Mac Murray

Vanguard’s Quant Disaster

In INTELLIGENT Investor on May 5, 2010 at 11:02 AM


John Bogle help us.

Vanguard Group Inc., the largest U.S. provider of stock and bond funds, is deciding whether to keep Axa Rosenberg Group as manager for about $1.5 billion of its assets, after that firm said a “coding error” disrupted its quantitative investment process.

“We’re taking a very hard look at that relationship, but we’re still in fact-finding mode,” Rebecca Katz, a spokeswoman for Valley Forge, Pennsylvania-based Vanguard, said in a telephone interview. Axa Rosenberg, a unit of Paris-based insurer Axa SA, manages assets for three Vanguard funds.

Axa Rosenberg told clients in an April 15 letter that founder Barr Rosenberg is taking a  30-day leave of absence and director of research Thomas Mead will resign within a year, after an error in the model used to select investments was found in June last year.
Senior executives failed to report the error, which was corrected between September and November, in a “complete and timely manner,” according to the letter.

Oops.  Maybe they should be calling John Bogle out of retirement.


E. M. Murray. Customized Stock Portfolios. Fixed Downside Risk. Professional Management.

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