Yes and no. I read in Brealey-Myers [1] that you can get 80-90% of the way to pure beta (market risk) by picking 15-20 stocks. You just have to pick ones that aren't super correlated, e.g. 10 pharmaceutical companies.

Whether it's worth your time messing about with this is a separate matter entirely.

[1] https://www.amazon.com/Principles-Corporate-Finance-Richard-...

End to End exploration and explanation of how and why global economy works. - Peter Dicken, Global Shift https://uk.sagepub.com/en-gb/eur/global-shift/book242137

Any corporate finance textbook, probably; Brearly Myers, Corporate Finance, https://www.amazon.com/Principles-Corporate-Finance-Richard-...

Watch the Yale/Stanford lectures opencourseware on Financial Markets with Schiller; http://oyc.yale.edu/economics/econ-252-11

Nicholas Taleb, Black Swan; https://www.amazon.com/Black-Swan-Improbable-Robustness-Frag...

Harry Markopolos, Nobody Would Listen, https://www.amazon.com/No-One-Would-Listen-Financial/dp/0470...

Michael Lewis, Liars Poker, https://www.amazon.com/Liars-Poker-Norton-Paperback-Michael/...

"Leveraged Sellout", Damn It Feels Good To Be A Banker, https://www.amazon.com/Damn-Feels-Good-Be-Banker/dp/14013096...