Abstract: Chinese security funds implement the positive feedback trading strategy to some extent. The higher the herding in the formation period is, the higher the abnormal returns one quarter, half year and one year before the formation period and during the formation period are, vice versa. In the 2000 annual statement, herding is beneficial to stabilizing the stock market. At the same time there is no significant mean-reversion for the abnormal returns before and after the formation period in both 2000 semiannual statement and 2001 semiannual statement. Finally, the herding direction (buy-side herding or sell-side herding) is unrelated to the portfolio abnormal return.