Portfolio Theory is about keeping a set expected return but reducing risk (volitation) through diversification. Diversification is about choosing investments which aren't positively correlated. Are web startups positively correlated?

As a industry, probably/maybe. Was certainly the case in the dotcom crash.

Performance-wise, not really. Most startups fail, some make it big. Why? Low investment costs and high possible leverage with internet technology (to little marginal cost). This could change in the future.

In this case the second way is probably more fruitful to think about, since one big winner will even out all the losers. I'm sure this is possible to "prove" by some Black-Swan-ish statistic model theory.

NOTE: I could be wrong.

EDIT: I agree that web startups today aren't one industry. Social web startups is a candidate though.