The $1.6 billion Phoenix City Employees' Retirement System terminated AXA Rosenberg Investment Management for performance, while the $7.8 billion Orange County Employees Retirement System placed the firm on watch.
AXA Rosenberg ran $68 million in active international small-cap equities for Phoenix, said Greg Fitchet, investment manager. At Orange County, AXA Rosenberg manages $47 million in active international small-cap equities, spokesman Robert Kinsler wrote in an e-mail response to inquiries.
Both systems took action against AXA Rosenberg because a coding error in its computer models in June 2009 went unreported for months by company executives.
In a memo to the Orange County board, Michael J. O'Leary, executive vice president at general consultant Callan Associates, said the firm was “very perplexed by the lengthy interval between discovery, correction and communication to clients.”
Phoenix's Mr. Fitchet said the assets were parked in an MSCI EAFE small-cap index fund managed by BlackRock. The system will conduct a shortlist search for a new international small-cap manager in the fall through its general investment consultant R.V. Kuhns.
Orange County will search for at least one active international small-cap equity manager, Mr. Kinsler wrote. Selected managers could replace either existing developed market small-cap equity managers. An AXA Rosenberg spokesman could not be reached for comment.