Financial asset allocation is one of the important business decisions faced by non-financial enterprises. The relationship between the financial asset allocation behavior of non-financial enterprises and their operating performance and real asset investment returns has always been an important concern of financial regulators, listed companies and investors. Taking the Chinese non-financial listed companies from 2011 to 2018 as samples, the authors use the multiple regression model to empirically study the impact of companies' financial asset allocation behavior on operating performance and real asset investment returns. The results show that there is a significant inverted U-shaped relationship between the financial asset allocation and operating performance this year, and between the financial asset allocation last year and the real asset investment returns this year. The companies' financial asset allocation ratios of different industries and different attributes may have different effects on operating performance and real asset investment returns. There is no inverted U-shaped relationship between the financial asset allocation ratio and operating performance of listed companies in the primary industry. The relationship between the financial asset allocation ratio and operating performance of listed companies in the secondary industry and tertiary industry, state-owned and non-state-owned listed companies shows a significant inverted U-shaped characteristic. That is, only a moderate allocation of financial assets can maximize the operating performance. The increase in the financial asset allocation ratio in the previous year will significantly increase the real asset investment returns of state-owned listed companies this year, but will not affect the real asset investment returns of non-financial listed companies in the primary and tertiary industries this year. The real asset investment returns of the secondary industry and non-state-owned listed companies have an inverted U-shaped relationship with their financial asset allocation ratio in the previous year, and the insufficient (excessive) allocation of financial assets in the previous year will have a complementary effect (crowding-out effect) on the real asset investment returns this year. The appropriate allocation of financial assets in the previous year will maximize the real asset investment returns this year. Central and local governments and financial regulatory authorities should use market to guide non-financial listed companies to appropriately allocate financial assets, encourage companies to increase investment in real assets, and alleviate the dilemma of "removing reality to virtual". Non-financial listed companies should make scientific decisions on their financial asset allocation based on their own industrial and state-owned attributes and the different effects of financial asset allocation behavior on operating performance and real asset investment returns, and recognize the complementary effect (crowding-out effect) of under-allocation (over-allocation) of financial assets on the real asset investment returns, allocate the financial asset allocation ratio that can maximize the operating performance and the real asset investment returns. In the process of selecting investment objects and constructing investment portfolios, investors should deeply analyze the asset allocation behaviors of different industries and companies of different natures, and examine whether the financial asset allocation behavior of the proposed investment object meets the requirements of the maximization of operating performance and the real asset investment returns, so as to make effective investment decisions. This paper supplements and enriches relevant research in the field of corporate asset allocation, and provides decision-making basis for central and local governments to formulate different industrial policies, financial supervision departments to guide financial resources to flow to the real economy, non-financial listed companies to regulate financial asset allocation behavior, and investors to make correct investment decisions.