Abstract: This article selects Australia, having a most advanced pension market, as its research target, and tries to draw an empirical conclusion about pension market’s investment and return rate. There are obvious economies of scale in the pension investment market. The larger scale of pension fund is, the less management cost. There are many microfactors like portfolio proportion, management cost, return rate, risks and return/cost ratio, to measure the market players’ operational efficiency. This article also summarizes some implications valuable for Chinese pension market. According to its pension fund scale, the cost of 1.6% for pension fund management in China is lower than it should be, and 1.74% could be a good reference for Chinese market. The benchmark of return/cost ratio could be 3.32. All these conclusions are valuable for China’s pension market, especially for its corporate annuity market.