Based on the data of portfolios（equity，fixed income）of Chinese collective pension plans from 2012 to the second quarter of 2016，we assessed the investment performance of these two types of portfolios from excess return，risk adjusted return and investment efficiency by introducing a DEA model.Then，the persistence of performance and economies of scale were examined from two dimensions of time and“space”separately.The results of Spearman rank correlation，contingency table and regression showed a certain degree of performance persistence（positive correlation）and significant economies of scale for the fixed income portfolios；however，we cannot draw such a conclusion for the equity ones.Lastly，several suggestions were raised to conclude this paper.