Curriculum Vitae (March 2013) Universität Gießen. Wissenschaftlicher Mitarbeiter. Ph.D. (Summa Cum Laude) supervised by Prof. Dr. J.P. Krahnen.

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1 Curriculum Vitae (March 2013) Bernd Scherer, Ph.D., Dipl.-oec, M.Sc. Phone : EDUCATION November 1985 August 1990 October 1990 July 1991 September 1991 December 1993 Universität Augsburg. Diplom-Ökonom ( sehr gut ). University of London, Queen Mary College. Master of Science. Universität Gießen. Wissenschaftlicher Mitarbeiter. Ph.D. (Summa Cum Laude) supervised by Prof. Dr. J.P. Krahnen. PROFESSIONAL EXPERIENCE July 2011 Present FTC Capital, Vienna Chief Investment Officer for a Vienna based CTA, Global Macro Fund managing a team of 10 investment professional in Research, Quantitative IT and Trading. Responsibility for design, implementation and trading of trend following strategies (intraday models, limit order driven models, long term models) January 2010 June 2011 January 2007 November 2009 EDHEC Business School, London Full Time Professor and European Academic Director for the MSC in Risk and Asset Management. Research Focus on Quantitative Strategies, Risk Management, Real Assets and Sovereign Wealth Funds. Extensive Teaching in EDHEC Executive Programmes in London and Singapore. Morgan Stanley, London Managing Director and Global Head of Quantitative GTAA. Development of Morgan Stanley s quantitative long short GTAA product capability. Research and implementation of trading strategies for FX, interest rates, equities. Management of 9 investment professionals.

2 October 2005 December 2006 January 2001 September 2005 March 1999 December 2000 April 1998 February 1999 January 1995 March 1998 January 1991 December 1994 September 1991 December 1993 Deutsche Asset Management, New York Global Head of Quantitative Research and Portfolio Engineering Global coordination and representation of DeAM s quantitative research activities. Responsibility for Risk Management of Overlay Products. Management of two teams with a total of 9 investment professionals. Deutsche Asset Management, Frankfurt Director. Head of Investment Solutions and Overlay Management. Development of client solutions using GTAA and derivative products. Asset liability management advice for pension plans. Management of GTAA and portfolio insurance products. Responsibility for 5 investment professionals. SCHRODERS Investment Management, London Assistant Director. Global head of fixed income portfolio research. Build global quantitative research team. Develop risk management platform for global bond products. Build optimization and portfolio construction platform. Research into fixed income macro strategies. J.P. Morgan Investment Management, Frankfurt Vice President. Client portfolio manager (CPM) for active equity and balanced products. Pursued client driven research/consulting projects. Sal. OPPENHEIM Asset Management, Köln Quantitative Analyst. Development of TAA Models and structured fund products. MORGAN STANLEY, London Analyst. Fixed income trading of cash and derivative products. Universität Gießen Lecturer in Finance. Research projects with major asset management firms, supervision of Master students, teaching responsibilities TEACHING EXPERIENCE January 2010 Present Spring 2010 Spring 2009 Winter 2008 EDHEC Business School Courses taught: Research Methods, Mathematical Foundations of Finance, Risk Management, International Finance, Portfolio Optimization, Asset-Liability Management. WHU Koblenz, Lectures on Portfolio Management WHU Koblenz, Lectures on Portfolio Management Birkbeck College (University of London), Lectures on Risk 2

3 Management Winter 2007 Birkbeck College (University of London), Lectures on Portfolio Construction and Bayesian Methods in Asset Management Winter 2006/2007 European Business School, Asset Liability Management Summer 2006 Columbia University, Lectures on Portfolio Optimization Winter 2005/2006 European Business School, Asset Liability Management Summer 2004/2005 Universität Augsburg, Bond Management PROGRAMMING LANGUAGES S-plus R Mathematica Rats Matlab PUBLICATIONS REFEREED ARTICLES B. Scherer (1994), Timing deutscher Investmentfonds, Journal of Economics and Statistics, 213/2, p B. Scherer (1994), Adverse Selektion in Versicherungsmärkten, in: WIST, Heft 4, p Ebertz T. and B. Scherer (1998), A Simple Model for Lifetime Asset Allocation, in: Journal of Wealth Management, Summer 1998, v1n2, p B. Scherer (1999), Cost Averaging - Fact or Fiction, in: Journal of Wealth Management, Winter 1999, v1n3, p B. Scherer (2000), Preparing the Best Risk Budget, in: Risk, December, p B. Scherer (2001), A Note on Tracking Error Funding Assumptions, in: Journal of Asset Management, v2, p B. Scherer (2001), Core Satellite Investing: Harmony Through Seperation, in: Risk, v14, p

4 B. Scherer (2002), Portfolio Resampling: Review and Critique, in: Financial Analysts Journal, v45n6, p B. Scherer (2002), Harmonie durch Seperation, in: Deutsches Risk, März, p B. Scherer and Thomas E. (2003), Cost Averaging: An Expensive Strategy for Maximizing Terminal Wealth, in: Financial Markets and Portfoliomanagement, v17n2, p B. Scherer (2004), An Alternative Route To Performance Hypothesis Testing, in: Journal of Asset Management, v5n1, p B. Scherer (2004), Hedging of Corporate Pension Liabilities, in: Risk, August, p B. Scherer (2004), Resampled Efficiency and Portfolio Choice, in: Financial Markets and Portfoliomanagement, v18, p B. Scherer (2004), Absicherung von Pensionsverbindlichkeiten, in: Deutsches Risk, Winter, p B. Scherer (2005). Theorie der Unternehmung versus Portfoliotheorie, in: Zeitschrift für betriebliche Altersvorsorge, März, p B. Scherer (2006), The Corporate View, in: Life & Pensions, February, p B. Scherer (2006), Inflation Hedging, in: Life & Pensions, June, p B. Scherer, Colm O-Cinneide and Xiaodong Xu (2006), Ensuring Fairness When Pooling Trades, in: Journal of Portfolio Management, Vol 32, No. 4, Summer, p B. Scherer (2006), Resampled Efficiency: Out of Sample Evidence, Journal of Asset Management, v7n3/4, p B. Scherer (2007), Can Robust Optimization Build Better Portfolios?, Journal of Asset Management, v7, p B. Scherer, X. Xu (2007), Performance based Fees and Risk Shifting with knockout barrier, Journal of Investment Management, v5n3, p B. Scherer, X. Xu (2007), The Impact of Constraints On Value Added, Journal of Portfolio Management, v31n2, Summer, p B. Scherer and A. Gintschel (2008), Optimal Asset Allocation For Sovereign Wealth Funds, Journal of Asset Management, v9n3, p

5 B. Scherer and S. Kessler (2009), Varying Risk Premia in International Bond Markets, Journal of Banking and Finance, v33n8, p B. Scherer (2009), A Note on Portfolio Choice For Sovereign Wealth Funds, Financial Markets and Portfolio Management, Volume 23, Number 3, p B. Scherer (2010), A Note on Asset Management and Market Risk, Financial Markets and Portfolio Management, v24n3, p B. Scherer, S. Kessler and D. Judice (2010), Price Reversals in Global Equity Markets, Journal of Asset Management, v11, p B. Scherer (2010), Should Asset Managers Hedge Their Fees At Risk?, Journal of Applied Corporate Finance, v22n4, p B. Scherer and S. Satchell (2010), Fairness in Trading A Microeconomic Interpretation, Journal of Trading, v5n1, pp B. Scherer (2010), Portfolio Choice For Oil Based Sovereign Wealth Funds, Journal of Alternative Investments, Winter, v13n3, p Hong J., Knight J., Satchell S. and B. Scherer (2010), Using approximate results for validating value-at-risk, Journal of Risk Model Validation, v4n3, pp 1-8 B. Scherer (2011) Buy Side Risk Management, Journal of Asset Management, v12, p B. Scherer and S. Kessler (2010), Hedge fund return sensitivity to global liquidity, Journal of Financial Markets, v14n2, p B. Scherer (2010), Macroeconomic Risk Management for Oil Stabilization Funds in GCC Countries, Banques & Marchés, n109, p B. Scherer and S. Satchell (2011), Managing the Risk of Hedge Fund Outflows, Journal of Alternative Investments, Fall, v14n2, p B. Scherer (2011), A Note On the Performance of the Minimum Variance Portfolio, Journal of Empirical Finance, v18n4, p B. Scherer (2011), Market Risks in Asset Management Companies, Quantitative Finance,v12n10, p B.Scherer (2012), Asset Allocation With Shadow Assets, The Journal of Wealth Management, v15n3, p B. Scherer B. (2012), Risk parity in US futures markets, Journal of Asset Management, v13n5, p

6 Bernd Scherer (2013), Greed can be dangerous to your Sharpe, Journal of Asset Management, v13n6, p B. Scherer (2013), Synchronize Your Data, Or Get Out Of Step With Your Risks, Journal of Derivatives, v20n3, pp B. Scherer (2013), Frictional Costs Of Diversification, Journal of Portfolio Management, forthcoming B. Scherer (2013), Optimal Number of Hedge Funds in A Fund of Funds, Journal of Hedge Funds and Derivatives, forthcoming OTHER ARTICLES B. Scherer (1995), Konvexitätstrategien am Rentenmarkt, in: Die Bank, Heft 10, p B. Scherer und T. Ebertz (1998), Cost Averaging: Fakt oder Fiktion, in: Die Bank, Heft 2, p B. Scherer und T. Ebertz (1998), Cost Averaging versus Einmalanlage, in: Die Bank, Heft 7, p. 448 B. Scherer (2003), Portfolio Insurance: What Practitioners Need To Know, in: IPE, October, p B. Scherer (2004), What Practitioners Need To Know About Pension Liabilities, in: European Pension News, 8. November 2004 B. Scherer (2005), Liability Benchmarking. in: Deutsche Pension News, Juli 2005, p B. Scherer (2010), Synchronize your data or get out of step with your risks, EDHEC Risk Newsletter B. Scherer (2010), Vermögensrisiken, Elite Report B. Scherer, B. Balachander, R. Falk and B. Yen, Introducing Capital IQ s Fundamental US Equity Risk Models, July 2010 B. Scherer, B. Balachander, R. Falk and B. Yen, Introducing Capital IQ s Fundamental Global Equity Risk Models, July 2010 B. Scherer (2013), Irrtümer im Asset Management, Deutsche Pension News, forthcoming 6

7 BOOK CONTRIBUTIONS Ebertz T. and B. Scherer (1998), Das Rahmenwerk des aktiven Portfoliomanagements, in: Kleeberg/Rehkugler, Handbuch Portfoliomanagement, Uhlenbruch Verlag, Bad Soden B. Scherer (2000), Einfluss der Investmentrichtlinien auf die Performance von Spezialfonds, in: Kleeberg/Rehkugler, Handbuch Spezialfonds, Uhlenbruch Verlag, Bad Soden B. Scherer (2002), Time Variable Investment Opportunities, in: Kleeberg/Rehkugler, Handbuch Portfoliomanagement, 2nd edition, Uhlenbruch Verlag, B. Scherer (2002), Das Markowitz Kalkül und seine Erweiterungen, in: Investmentmodelle für das Asset Liability Modelling von Versicherungsunternehmen, Verlag Versicherungswirtschaft, Karlsruhe B. Scherer (2002), Überlegungen zum Aufbau einer Datenbank zur Modellierung der Marktrisiken von Versicherungsanlagen, in: Investmentmodelle für das Asset Liability Modelling von Versicherungsunternehmen, Verlag Versicherungswirtschaft, Karlsruhe B. Scherer (2002), Das Konzept der Resampled Efficiency, in: Handbuch Asset Allokation, p , Uhlenbruch Verlag B. Scherer (2002), Der Core Satellite Ansatz, in: J. Coche and O. Stotz, Asset Allocation, Deutscher Wirtschaftsdienst, p B. Scherer and T. Jasper (2003), Approximating Corporate Liabilities, in: B. Scherer, ALM Tools, p , Riskwaters: London B. Scherer (2003), Rethinking Asset Management: Lessons from the Pension Crises, in: Boom and Bust, EAMA, London B. Scherer and A. Gintschel (2004), Currency Reserve Management by Dual Benchmark Optimization, in: F. Diebold et al, Risk Management For Central Bank Foreign Reserves, p , European Central Bank B. Scherer and A. Gintschel (2005), Erfolgskriterien Makro Hedge Fonds, Handbuch Hedge Fonds, p , Uhlenbruch Verlag, B. Scherer (2005), Commodities as an Asset Class: Testing for Mean Variance Spanning under Arbitrary Constraints, in: An Investors Guide to Commodities, Deutsche Bank, p B. Scherer and Li He (2007), Commodities as an Asset Class, in: Fabozzi et al., Handbook of Commodities Investing, chapter 10, p

8 B. Scherer (2008), Currency Overlays, in: Fabozzi et al., Handbook of Finance, v2, p B. Scherer (2008), The Crack Spread, in: Gregoriou G. et al, Encyclopedia of Alternative Investments, Chapman & Hall B. Scherer (2008), Trend Follower, in: Gregoriou G. et al, Encyclopedia of Alternative Investments, Chapman & Hall B. Scherer (2008), Hedge Fund Replication, in: Gregoriou G. et al, Encyclopedia of Alternative Investments, Chapman & Hall B. Scherer (2008), Weather Premium, in: Gregoriou G. et al, Encyclopedia of Alternative Investments, Chapman & Hall B. Scherer (2008), Statistical Arbitrage, in: Gregoriou G. et al, Encyclopedia of Alternative Investments, Chapman & Hall B. Scherer (2009), Value at Risk Based Stop Loss Strategies, in: Gregoriou G. et al, Handbook of Value at Risk, p , McGraw Hill B. Scherer (2010), The Theory of SAA for Sovereign Wealth Funds, in: Berkelaar A., Coche J. and K.Nyholm (eds), Central Bank Reserves and Sovereign Wealth Management B. Scherer (2010), Porfolio Choice For Sovereign WealthFunds, in: Berkelaar A., Coche J. and K.Nyholm (eds), Central Bank Reserves and Sovereign Wealth Management B. Scherer (2009), More Than You Ever Wanted To Know About Conditional Value at Risk Optimization, in: S. Satchell (ed), Optimizing the Optimizers, Elsevier B. Scherer (2012), Asset Management Incentives, in B. Scherer and K. Winston (eds), Handbook of Quantitative Asset Management, Oxford University Press B. Scherer (2013), Divorce Risk And Optimal Asset Allocation, in S. Satchell (ed), Quantitative Private Wealth Management, Elsevier BOOKS B. Scherer (1993), Timing Deutscher Investmentfonds, unveröffentlichte Dissertation, Universität Gießen B. Scherer (2002), Portfolio Construction and Risk Budgeting, Riskwaters: London B. Scherer (2003, Editor), ALM Tools, Riskwaters: London 8

9 B. Scherer (2004), Portfolio Construction and Risk Budgeting, 2 nd extended edition, Riskwaters: London B. Scherer and D. Martin (2005), Portfolio Optimization using Nuopt for S-plus, Springer: New York B. Scherer (2005), Liability Hedging and Portfolio Choice, Riskwaters: London B. Scherer (2006), Portfolio Construction and Risk Budgeting, 3rd extended edition, Riskwaters: London B. Scherer, (2008), Portfolio Management, Risk: London B. Scherer (2010), Portfolio Construction and Risk Budgeting, 4th extended edition, Riskwaters: London B. Scherer, (2012), Optimization using Nuopt for S-plus, Springer: New York, 2nd extended edition, forthcoming B. Scherer, K. Winston (2012), Handbook of Quantitative Fund Management, Oxford University Press, forthcoming INTERVIEWS B. Scherer, Gebühren haben Signalwirkung, Portfolio Institutionell, Mai 2005 B. Scherer, Verzahnung von Assets und Liabilities, Portfolio Institutionell, April 2006 B. Scherer, Portfolio construction, in: Wilmott, August 2007 B. Scherer, CFA Society (8 th of February 2010), Asset Management for Sovereign Wealth Funds B. Scherer, CFA Society (4 th of November 2010), Fees at Risk B. Scherer, Financial Times (15th of March, 2010), Take the risks you have control over B. Scherer, Handelsblatt (16 th of June, 2010), Schützt Euer Geld vor dem Staat, in: Handelsblatt B. Scherer, Fees at Risk, Pension and Investment (1 st of November 2010, p1) B. Scherer, Shadow Assets (25 th of July 2011), Pension and Investment B. Scherer (26 th of March 2013), Der Staat zwingt zum Kauf seiner Anleihen, in: Handelsblatt 9

10 PRESS CONTRIBUTIONS B. Scherer, Financial Times (15th of March, 2010), Take the risks you have control over. B. Scherer, Financial Times (20 th of May 2012), What Quants Can Learn From the AXA Rosenberg Case. BOOK REVIEWS Jansen B. und B. Rudoph (1992), Der Deutsche Aktienindex DAX: Konstruktion und Anwendungsmöglichkeiten, Fritz Knapp Verlag, in: ZFBF, Heft 7/8, p 680 Golub B. und L. Tilman (2000), Risk Management: Approaches for Fixed Income Markets, Wiley, in: Risk, January 2002 CONFERENCES AND SEMINARS CONTRIBUTIONS Risk, Europe, April 2002 in Paris, Estimation Error And Portfolio Choice. European Investment Review, 30. September, 2002 in London, Portfolio Resampling. European Investment Review and CFS, 20. März, 2003 in Frankfurt, Financial Economists View on Pension Fund Asset Allocation. 6te Jahrestagung Portfoliomanagement 12. May, 2003 in Frankfurt, Fair Value: A Financial Economists View. Inquire UK, September, 2003 in Cambridge Pitfalls in Portfolio Resampling. 17th Annual Investment Conference, UBS, 15. September, 2003 in Cambridge: Portfolio Optimisation with Arbitrary Return Distributions. Insightful User Conference, 30. März, 2004 in New York Financial Optimization. Insightful User Conference 4. November 2004 in Frankfurt, Financial Optimization. Marcus Evans, Corporate Pension Liability Management, Februar, 2005 in London, Corporate Finance versus Portfolio Theory. 10

11 8te Jahrestagung Portfoliomanagement, 7. Juni 2005 in Frankfurt Performance Based Fees And Incentives. Extending the Frontier of the Fixed Income Market, 21 September 2005, Corporate finance versus portfolio theory? Insightful, April, 2005 in New York, Portfoliooptimierung. Risk Europe, 1. November 2005 in London, Liability Benchmarks and Credit Risk. Society of Quantitative Analysts, 11. November 2005 in New York, Multiple Account Optimization. Europan Quant Association, 23. November 2005 in London, Multiple Account Optimization. CFR Kolloquium Asset Management, 27. Januar 2006 in Cologne, Fundierung von Pensionszusagen (mit A. Gintschel). Institutional Investor, San Francisco, 17. März 2006, Measuring investment capacity. Annual Conference of the Society of Actuaries, New York, 21. März 2006, How Different is Robust Optimization? Financial Engineering Conference, University of Florida, 23. März 2006, How Different is Robust Optimization? Canada Alternative Investment Roundtable, 1-2 June 2006 in Toronto, Do you know what constraints can do to your portfolio? VI International conference: Asset returns and firm policies, Cattolica Assicuracioni, 29th of June 2006 in Verona, Pension liabilities and corporate risk management. PRMIA conference on the pension crisis, New York, 8th of August, Integrating pension plans into corporate risk management. Equity Derivatives and Structured Products, Risk Training 2006, New York, 21st-22nd September, Portfolio Optimization under the P and Q measure. Workshop: Pension Fund Investment World, Germany 2006, Frankfurt, 12th December, ALM Portfolio Theory versus Theory of the Firm. 10te Jahrestagung Portfoliomanagement (Uhlenbruch Verlag), Frankfurt 8th-9th May, The search for a better beta: Is there value in new index designs? 2nd Conference Advances in the Analysis of Hedge Fund Strategies, Imperial College, 13th December 2007 in London, Making Money from Macro Finance (joint paper with Stephan Kessler). 11

12 Santa Fe Institute Forum on Risk, 16th October 2008 in New York, The Evolution of Risk Measures - Theoretical Review and Application to the Credit Crunch. EDHEC First Advance in Asset Allocation, London 17th of March 2008, Portfolio construction and Risk Budgeting Trends in Asset Management, CFA Swiss Society, Zurich, 11th of September 2008, Value at Risk based Stop Loss Strategies London Quant Group Annual Conference, Cambridge, 8th of September 2008, Recent Advances in Portfolio Optimization Joint BIS/ECB/World Bank Public Investors Conference on Strategic Asset Allocation for Central Banks & Sovereign Wealth Funds, 24th November 2008 in Frankfurt, Theory of Optimal Asset Allocation for Sovereign Wealth Funds. IMF Conference in Washington DC, 19th February 2009, Theory of AA for Sovereign Wealth Funds. Northfields Annual Research Conference, 3rd of June 2009 in Venice, Fairness in Trading EFMA Conference in Milan, 24th of June 2009, Should Asset Managers Hedge Their Fees at Risk? Northfields Annual Research Conference, 3rd of June in Venice, Fairness in Trading London Quant Group Conference in Cambridge, Who should hedge fees at risk? ; 15 th of September 2009 Q Group Conference in Key Largo, Asset Allocation for Resource Based Sovereign Wealth Funds, 22 nd of March 2010 EDHEC Breakfast Meeting at the Dorchester (13 th of April 2010), Fees at Risk London Quant Group Evening Seminar at FACTSET (13 th of April 2010), Building A Short Term Risk Model London Quant Group Conference at Imperial College London (17 th of May 2010), Fat Tails and the BLACK/LITTERMAN Model (joint work with Doug Martin and Jarrod Wilcox) London Quant Group Evening Seminar (2 nd of March 2010), Hedge Funds and Liquidity Risks London Quant Group Evening Seminar (24th of April 2010), Hedge Funds and Liquidity Risks 12

13 EDHEC Risk Alternative Investment Days in London (8th of June 2010), Fat Tails and the BLACK/LITTERMAN Model (joint work with Doug Martin and Jarrod Wilcox) 13te Jahrestagung Portfolio Management in Frankfurt (8 th of June 2010), What Practitioners Need to Know About Risk Measures 13te Jahrestagung Portfolio Management in Frankfurt (9 th of June 2010), Panel Discussion with Andrew Lo and Bill Fung, The Future of Asset Management State Street European Quant Forum in London (17th of June 2010), Fees at Risk Sovereign Wealth Fund Meeting in Baku (8 th of July 2010), Resource Based Sovereign Wealth Funds Northfield Annual Research Conference, Colorado Springs (1 st of September 2010), Explaining the Minimum Variance Portfolio Citi Global Quant Conference, Barcelona (16 th of September 2010), Explaining the Minimum Variance Portfolio London Quant Group Conference, Cambridge (14 th of September 2010), Explaining the Minimum Variance Portfolio World Commodities, London (6 th of October), Commodities for Pension Funds Q Group Meeting in Scotsdale (18 th of October 2010), Asset Management for Sovereign Wealth Funds 1tes DVFA Risk Management Symposium in Frankfurt (23. November 2010), Fees at Risk 5 th Imperial College Hedge Fund Conference, London (9 th of December 2010), Macro Momentum 64 th Annual CFA Conference in Edingburgh (10 th of May 2011,), Fees at Risk 25 th London Quant Group Conference in Oxford (14 th of September 2011) The Ten Biggest Myth in Asset Management Morningstar Conference in Wien (15. März 2012), Keynote Speaker: Mythen im Asset Management. FMA Conference in Istanbul (8. Juni 2012), Liquidity Risk Annual Conference on the Advances in in the Analysis of Hedge Fund Strategies at the Imperial College, London (12 th of December,2012), Discussant 16 th Jahrestagung Portfolio Management in Frankfurt (4 th of June 2013),The Ten Biggest Myth in Asset Management 13

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