Due to the existence of information asymmetry in the fund market and the imperfect supervision systems, principal-agent problems frequently emerge between fund managers and fund investors. Research on this field is necessary for the interests of investors and is also essential for the development and improvement of the fund market. By analyzing the behaviors of fund managers and fund supervisors, this paper studied the necessity of the fund supervision system and its main influence from the perspective of game analysis. And then, considering punishments, this paper established several different dynamic game models. As information asymmetry brings adverse selections in principal-agent models, signaling model was then taken into account in the fund market. In this way, game result was improved after separating equilibrium conditions. In the end, we proposed suggestions concerning penalty, incentives and efficiency of the supervision system.