This paper examines the time variation form of the systematic risk measurement, beta, in Australian industry sectors. By using a semi-parametric approach, the systematic risk measurement, beta, is defined as a combination of one stable parametric component and one varying non-parametric component. Two categories of industries were identified. The Energy, Material, Mining, Industrial and Property Trust industries had a generally increasing beta for most of the sample period, while the Consumer Discretionary, Financials Excluding Property Trust, IT and Telecommunications had a decreasing beta for the same period. The betas of the Health and Utility industries are more stable than others. The variation of industry risk is linked with the market conditions, as well as the change of interest rates.