Oh, ok. That's confusing because systemic risk in finance is the measure of how much a stock tracks the market. E.g., if the market goes down X, how much will my index fund go down.

I read the comment as "an index fund perfectly tracks the market". Some are designed to do that, but others are not. Saying they all have the same systemic risk is demonstrably untrue because they don't all have a beta = 1.0