This paper discusses the performance of China’s investment funds through the Sharpe ratio which is the most widely used measure. Concerning about the Sharpe ratio inadequacies , this empirical analysis is conducted by employing the decay rate firstly put forward by Stutzer(2000) . With the decay rate and the Sharpe ratio , the perfor2 mance is the same when the returns are normally distributed , the performance is rectified by skewness and kurtosis when the returns are not normally distributed. Furthermore , the ranking of the performance based on the decay rate parameters θis proven to be effective.