This thesis is a thinking of improving the insurance investment yields,given the poor performance in practice as described in the beginning of thisarticle. Most researchers agree that it is necessary to broaden the using ofinsurance funds. In accordance with Modern Portfolio Theory, the authorapproves recent innovative policies on insurance funds investing issued bythe government. Especially, alternative investment, which is a new fielddifferent from traditional assets,is concerned about quite a lot. In view thatalternative investment is still in its early stage, this article designs severalindices to imitate alternative investment market by using passive strategy. Bymaking a comparison between submarkets of alternative investment aboutrisk-adjusted rate of return,correlations with traditional investment markets,it draws a conclusion that debt investment plans, and private equity are goodchoices to take to improve the performance of insurance investment portfolio.Moreover, with the method of solving the optimal investment portfolio,this article suggests that insurance companies be prepared to see that theauthority will continue its policy of opening to the capital market.Commodity futures are coming.