Abstract: The social security fund is becoming the focus of personal, social and governmental concern point. It is not only because of the fund itself, but also because that the social security fund belongs to the system and social attributes. From the viewpoint of the current social security fund investment channels, almost more than 90% investment is concerned with banks and the purchase of Treasury bonds. In view of this, the modern portfolio theory model and the robust test are adopted to analyze the lopsided effect of social security fund investment strategy. Empirical analysis results show that this single investment strategy, the current financial market development, the National Council for social security fund of social security fund investment channels and investment proportion limit the positive correlation is significant. However, in the current financial market development pattern, the social security fund invested heavily banks and bonds will result in "hedge" under the strategy of "depreciation" pattern generation. In view of the results of this study, it should be gradually put the social security fund investment strategy for single value-added government gradually transition to the equilibrium investment strategy by the society dominated by multiple channels. In this regard, the government leading behavior should gradually transit to the market behavior, and the government should return to its supervision and service responsibilities.

Key words: investment strategy, combination model, equilibrium investment, financial markets