The separation theorem of two funds means that in the capital market theory, investors can realize their risk preference by choosing risk-independent portfolios (risk-free assets) and risk assets respectively. This theorem emphasizes that investors can achieve their expected risk-return balance by combining risk-free assets and risk assets. Separation theorem means that in modern portfolio theory, investors can consider the expected return and risk of assets respectively, and achieve the best risk-return balance through the combination of effective frontiers. This theorem emphasizes that investors can maximize expected returns and control risks through the combination of effective frontiers. The separation theorem of the two funds mainly focuses on the risk preference of investors and the construction of asset portfolio, while the separation theorem pays more attention to the analysis of expected returns and risks of assets. Both of them are important concepts in capital market theory, but the emphasis and application scenarios are slightly different.