Chinese stock mutual fund market experiences a high expansion over last 20 years. However, the entry of investors into mutual funds has raised concerns about whether mutual fund returns are equivalent to those earned by individual investors. This study employs dollar-weighted rate of return (IRR) to measure the actual return of investors incorporating trading behaviors and finds that most fund investors do not benefit as much as the return generated by fund performance. Besides, This study also investigates the anomalies of the long-term stagnation of Chinese stock market index and the performance comparison of active fund managers between Chinese and the US’s markets