Pennsylvania State Employees’ Retirement System, Harrisburg, terminated AXA Rosenberg Investment Management, which ran $126 million in small/midcap domestic equity, said spokesman Robert Gentzel.
The move reflected concerns by officials at the $24.4 billion system about coding errors that AXA Rosenberg’s senior portfolio managers discovered in the quantitative firm’s computer models in June 2009 but failed to disclose widely until a few months ago.
The assets have been transferred to an existing Russell 3000 index fund managed by BlackRock, increasing it to $372 million, Mr. Gentzel said. The system’s small-cap domestic equity exposure had exceeded its target level, so the shift to the broader market Russell 3000 strategy served the purpose of rebalancing, Mr. Gentzel said.
An AXA Rosenberg spokesman declined to comment, saying it wouldn’t be appropriate to comment on any specific client decision.