Which one of the following statements related to risk is correct?

Multiple Choice

• The beta of a portfolio must increase when a stock with a high standard deviation is added to the portfolio.

• Every portfolio that contains 25 or more securities is free of unsystematic risk.

• The systematic risk of a portfolio can be effectively lowered by adding T-bills to the portfolio.

• Adding five additional stocks to a diversified portfolio will lower the portfolio's beta.

• Stocks that move in tandem with the overall market have zero betas.