This paper firstly uses the method of stochastic frontier model which is quite different with the traditional methods in evaluating fund managers professional ability. We divide funds yield performance into three leading factors: benchmark yield, fund manager’s ability, and their luck. We use the daily data of 17 open-ended mutual funds from 2005.6.1 to 2008.10.14, and mark 2007.10.17 as the turning point of bull market with bear market. The results show that, in bear market, fund managers abilities contribute more to their performance than in bull market; and generally, their abilities get more and more effective than their luck as time goes on. This research originally separates luck and managers abilities from funds performance, so as to offer a new point of view to evaluate the fund manager’s performance.