Chapter 15 Unified Threat Management for FortiOS 5.0 : Other Security Profiles considerations : Profile Groups : Creating a new group
  
Creating a new group
Security profiles that can be grouped
When setting up a Profile Group you can assign to a group, or not as you want, the following Profile types:
AntiVirus
Web Filter
Application Control
IPS
Email Filter
DLP Sensor
VoIP
ICAP
Because the Security profiles need to use one, if you are assigning a Security profile to a policy you must assign a Proxy Option profile.