The performance evaluation of the investment funds is analyzed,and the evaluation system according to the specialty of China security market is set up.Three different methods - the traditional mono-factor appraising model,factor analysis and data envelopment analysis are used.Using the three methods,some empirical studies with the real data on 39 Chinese investment funds in 2002 are conducted.All the indexes are calculated and the relative performances of all funds are classified.The correlation of the three evaluation results,and the reason of the different results are explained.