我們利用了手動蒐集的資料去研究管理期貨組合基金(以下簡稱組合基金)的價值，這些組合基金的持有部位資料讓我們能夠研究最主要的三個議題。(1)何種特徵值的管理期貨較容易被組合式基金經理人雇用(2)當管理期貨被持有時以及被解雇時其績效表現情況(3)當管理期貨被解雇時其被清算機率是否有顯著提升?關於第一個議題，我們發現組合基金經理人較喜歡持有進入門檻較高的管理期貨，也比較喜歡持有較大、年齡較老、流動性較差以及最小投資額度較大的管理期貨。在第二個議題上，我們發現，當管理期貨被組合式基金經理人持有時可以產生正的超額報酬，而當管理期貨被解雇時則會產生負的超額報酬，但遺憾的是這兩者在統計上都是不顯著的，最後在第三個議題上，我們發現組合式基金在監督其管理期貨投資組合上帶給投資人極大的價值，我們發現只要是被經理人移除投資組合的管理期貨則之後被清算的機率將大大提升。被移除的管理期貨其危險比率較其他管理期貨增加了4.5倍。這顯示組合式基金經理人在監督其下投組時帶給了投資人額外的價值。

We investigate the value of Funds of CTAs Funds by the hand-collected data of the CTAs holdings. This data set of holdings allows us to research three issues.(1) Which type of CTAs would have higher probability to be hired (2) Is there has differences in excess return between CTAs was hired by FoFs manager and CTAs fired out by FoFs manager? (3)Is the probability of liquidated increasing after the CTAs was fired by FoFs manager? We find that FoFs hire CTAs that might be more difficult for individual investors than for institutional high-worth investors to access. FoFs hire larger and older CTAs with more restrictive liquidity and higher minimum investments in first issue. We find that CTAs which hold by FoFs can generate positive alpha and CTAs fire by FoFs generate negative alpha but they are statistically insignificant both in second issue. We find evidence that a primary source of FoF value comes from FoFs manager take care of their CTAs holdings in last issue. CTAs fired by FoFs are more likely to fail. The hazard rate for CTAs fired by FoFs is 455% higher than comparable CTAs.

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