This means that all the stocks selected all move in the same direction when something happens in the marketplace- either all up or all down. But all this is a rather moot point since investors aren't diversified to begin with. That report was from the early 90's and is unquestionably tempered by the significant use of mutual funds from about 1990 onward. An excellent example of the problem of unsystematic risk that is endemic in society is through company incentives to employees to purchase company stock through discounts, stock options and profit sharing plans. Employees invariably end up with highly non diversified portfolios since most people do not buy other securities to offset such risk.
Digital stock defines such a problem.
Employees did maintain large undiversified holdings and will probably never see their investment return to even half the value in their remaining lifetime. It would appear that the continued use of employer stock will be cause for significant employer liability in the future. One type of guide to diversification, though one not normally monitored except by certain portfolio managers and sophisticated investors who statistically monitor various funds, is called R squared. It's an indication of a fund's overall diversification and measures the percentage of the funds performance as compared to the overall market. This is better known as asset allocation.