W ith the app roach of p rincipal componen t analysis, the m ain indexes are studied to deter2 m ine if they can ref lect the stock m arket change of the Shanghai Stock Exchange o r the Shenzhen Stock Exchange. The resu lt s indicate that the two compo site indexes and two A 2share indexes can accu rately ref lect them arket changes, and o ther indexes are no t so good in th is funct ion. Becau se all the fou r indexes are no t good investm en t po rtfo lio s, w e need to m ake index ing po rtfo lio s to t rack them. W ith the theo ry of A PT and the app roaches of stat ist ics and op t im izat ion, w e choo se p rincipal componen t s as facto rs, m ake the facto r loadings of t rack ing po rtfo lio s the sam e as the indexes, and then let the sum of squared differences of residualsm in im ized in the samp le period to ob tain the w eigh t of each stock in the po rtfo lio. A bou t 20 stock s are selected f rom every m arket to ob tain the t rack ing po rtfo lio w ith specif ied w eigh t. The index ing po rtfo lio s have almo st the sam e retu rn s as the indexes bo th in the samp le period and af ter samp le period ( th ree mon th s) .