Abstract: Industry risk is one of the major sources of risks for asset investors and asset managers. The author uses assets selection and capital assets pricing theories to create a portfolio method which is to construct a portfolio from industries based on single-fund theorem first, and a portfolio from securities of the industry based on Markowitz’s mode. Then it combines them into a portfolio method. Finally, with the data of Shanghai securities composite index and Shenzhen securities industry index (avoid self correlation between the whole and the parts) and through the Granger causality test (not put the sample values into the portfolio model to test self ), it validates that the role of different industries on the market are different, which indicates that the portfolio with industry factors is more effective. The conclusion is consistent with the fact that investment banks select securities by industry segment