The Connecticut Retirement Plans and Trust Funds, Hartford, placed AXA Rosenberg on its watchlist, confirmed Denise Nappier, Connecticut’s state treasurer and principal fiduciary of the $23.6 billion state pension fund system.
In an e-mail response to questions, Ms. Nappier said AXA Rosenberg was added to the watchlist earlier this month “in light of concerns over AXA Rosenberg’s failure to detect and correct a coding error in its risk model and portfolio optimization process, as well as the firm’s failure to report this error in a complete and timely manner in accordance with the firm’s policies.”
Ms. Nappier said AXA Rosenberg, which manages $841 million in a small-cap/midcap strategy as well as $215 million in a 130/30 equity strategy for the Connecticut pension system, will remain on the watchlist until AXA Rosenberg completes an internal investigation.
AXA Rosenberg revealed the coding error in its computer models in an April 15 client letter to clients. The letter said the problem was discovered in June 2009 and fixed in November 2009.
“There is no specified timeframe for the length of time a firm is on watch,” Ms. Nappier said in her e-mail. “The assessment of whether a firm is terminated or removed from watch is done on a case-by-case basis.”