The foreign study on the stock-picking ability of the fund managers has already been carried on about half a century and, especially, in recent ten years, with the emerging of behavioral finance, the research on the selection ability of fund-shareholder began to be emphasized and has made important progress. Currently, according to different data used by researchers, the research methodology of the selection ability of fund-shareholder can be classified into such three methods as the research based on net asset data, the research based on data of stock portfolio held by fund and the research based on fund transaction data. The research on the selection ability of fund-shareholder should be further deepened by designing the indexes more able to accurately reflect selection behavior of fund-shareholder, by obtaining the data more accurately reflecting the buying and selling behaviors of fund-shareholder and by exploring more stable and accurate methods for evaluating fund performance.