China introduced the real individual account in the Basic Old Age Insurance recently. The paper considers in the case of funding, that it is essential to invest its funds in capital market for population aging and pressure from market economy. The paper argued that pension replacement declined rapidly recent years, low return of the funds is one important factor. The paper also demonstrates the feasibility of investing Basic Old Age Insurance funds in capital market. Chinese capital market is developing very rapid recent years, it is opportunity for the funds. The thought it is very important to keep independence of the funds and investing the funds by the specialty finance institutions.