If we compare the volatility of returns on a mutual fund that invests in just one industry versus the volatility of a diversified stock index like the S&P $500$ we should expect to find that $\_\_\_\_\_\_\_\_.$

Question $11$ options:

returns on the mutual fund are about as volatile as returns on the broad market index because both are well diversified

returns on the mutual fund are more volatile than returns on the index because the mutual fund has both systematic and unsystematic risk while the market index has only systematic risk

returns on the market index are more volatile than returns on the fund because the market index includes some extremely risky stocks as well as less risky ones

returns on the mutual fund should track the market index almost exactly because the fund's beta will be close to $1\mathrm{.}0$