Connecticut Retirement Plans and Trust Funds, Hartford, terminated AXA Rosenberg as a manager of two domestic equity portfolios with a combined $597 million in assets “due to the recent and ongoing downturn in performance,” according to Denise L. Nappier, state treasurer and principal fiduciary of the $22.8 billion system.
AXA Rosenberg “has also experienced a disruption in the investment process caused by the resignation of key investment professionals,” Ms. Nappier wrote in an e-mail response to questions. “We continue to have concerns about the potential for management instability due to losses in assets and ongoing SEC investigations.”
AXA Rosenberg Investment Management LLC, Orinda Calif., revealed a coding error in its computer models in an April 15 client letter. The letter said the problem was discovered in June 2009 and fixed in November 2009.
As of July 31, AXA Rosenberg managed $397 million in a small-cap/midcap portfolio for the Connecticut funds and $200 million in a 130/30 active extension large-cap core strategy, according to Ms. Nappier's e-mail.
When AXA Rosenberg was placed on the Connecticut watchlist in June, the firm had been managing $841 million in a small-cap/midcap strategy as well as $215 million in a 130/30 equity strategy.
However, in an Aug. 16 e-mail, M. Timothy Corbett, chief investment officer and head of pension fund management, said that some of AXA Rosenberg's small-cap/midcap cap assets had been “transitioned into a Russell 2000 small-cap exchange-traded fund.”
Ms. Nappier also wrote that she intends to hire, “subject to successful contract negotiations,” Frontier Capital Management to run small-cap/midcap growth equities for the system. “The amount to be committed to this manager has yet to be decided, and will likely fall within the range of $300 million to $400 million,” according to the e-mail. Allianz Global Investors and Boston Co. Asset Management were the other finalists.
Further details about what the system will do with the remaining money from AXA Rosenberg could not be immediately learned.
AXA Rosenberg spokeswoman Jennifer Morgan could not immediately be reached for comment.
Separately, Goodwin Capital Advisers, which runs $325 million in core fixed income for the system, was removed from the system's watchlist “due to strong performance.” Ms. Nappier didn't offer additional comment.
Goodwin was placed on the watchlist in February 2009, according to Mr. Corbett's e-mail. n
