>individual stocks also have the same systemic risk

What do yo mean by the "same" systemic risk? Yes, all stocks have some systemic risk, but at varying levels as measured by beta. I wouldn't say that's the same. That's like saying all sports have the same injury risk. Sure, there's some inherent risk in every sport but at varying levels.

There's an older investment technique called "betting-against-beta" that selects individual stocks due to the lowered systemic risk.