Which of the following statements is FALSE?

A$.$Volatility measures total risk, while beta measures only systematic risk

$.$B$.$The beta is the expected percentage change in the excess return of the market portfolio for a $1\%$ change in the excess return of a security

$.$C$.$Beta measures the sensitivity of a security to market risk.

D$.$An efficient portfolio cannot be diversified further, that is there is no way to reduce the risk of the portfolio without lowering its expected return.