The number and size of China’s commercial retirement Fund of Funds (FOFs) have exploded since 2018, reflecting a dearth of Chinese retirement products and widespread retirement anxiety among individual investors. Therefore, the performance of retirement FOFs continues to garner widespread interest from academia and society. This study evaluates the performance and sustainability of the investment strategies employed by China’s retirement FOFs using standard relative and absolute measures. The Sharpe ratio, Treynor ratio, and Jensen’s alpha are used as performance measurement standards, and the sustainability of performance is evaluated using the performance dichotomy, cross-sectional regression, and Spearman rank correlation coefficient methods. Target-risk FOFs for retirement are categorized into four groups: conservative, stable, balanced, and aggressive, with each group assuming progressively greater levels of risk. In evaluating fund performance, it was determined that the aggressive and stable groups of funds generated greater excess returns (as indicated by the inflation-adjusted Sharpe ratio). Additionally, the stable group of funds generated greater investment returns than the other groups (as all statistically significant alpha values for Jensen were positive). When evaluating the sustainability of fund performance, it was determined that the stable and balanced group funds exhibited the least sustainable performance. During the economic recession caused by the COVID-19 pandemic between 2020 and 2021, there were multiple fund performance ranking reversals (with significantly negative cross-sectional regression coefficients and Spearman coefficients). In the second half of 2022, the fund’s performance exhibited signs of sustainability (as indicated by significant performance dichotomy test values and positively significant Spearman coefficients). Still, this trend did not persist into 2023. Summarizing the different performance indicator results reveals that the stable group is the most worthwhile fund group to purchase among the four groups. Also, given that the historical performance of a signal fund is not sustainable, the investors should diversify their investments in this group and try to obtain the average return of the stable strategy to achieve the goal of supplementing retirement.