An average risky security has a beta of 1.0, which is the market beta. Risk-free securities, i.e., U.S. Treasury bills, have a beta of zero. A portfolio that is invested 50 percent in a security that has a beta of 2.0 (twice the systematic risk as an average risky security) and 50 percent in risk-free securities (U.S. Treasury bills) will have a beta of 1.0 (which is the market beta).