| Since the theory of the portfolio brought forward by Markowitz, Investor and researcher show grade energy on the portfolio, the content. & means become more perfect and expand with the development of economics. Of course, the theory of Capital Asset pricing model is the most famous in all theories. According to the CAPM, risk is considered the only factor that affects the return. And the same time, the as the benchmark of scale for systematic risk is been thought the factor which can explain the performance, so investor often use it to make portfolio. Since last century 80's, some phenomenon in the capital market can't be explained by the traditional theory, however some other thing show great capacity to explain the portfolio's performance. Fortunately those factors are also the index for enterprise credibility, so we try to build an equation, which integrate all factor by the MUA, that not only can distinguish credibility, but also show a better explain for the performance. In order to prove this supposes, this paper want to make a compare the means between credibility grade and the tradition.The result of demonstration proves that the performance based on the credibility better than tradition means in all ways. The reason is that the portfolios that used the different Z score can complete scatter the unsystematic risk. In order to escape the condition that if only used the return as the benchmark to appraise the performance, which will cause too much risk and damage the benefit of investors. However if only used the risk as the benchmark to appraise the performance, which will cause too much conservative in investment and loss a lot of chance to invest. This paper made a compare between the two means by used the Risk Adjusted Return on Capital (RAROC). From the result, we can know that the performance based on the credibility better than that the tradition's means. In conclusion, the portfolio based the credibility is a good means in practice.
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