Trev,

At market bottoms - such as the one we just had - individual stocks may experience a higher level of vol as each seeks its own bottom. If you are using trailing stops on these stocks, I've seen where they are hit even though the market indices, while bumping around, remain above their respective stops, using the same stop methodology. This leads to potential whipsaws and the frustrating situation where you are right on the market call but now are in cash and having to make the emotionally difficult decision to get back in as the market moves strongly upwards.

The inherent diversity of an indice reduces the volatility of the individual stocks contained therein.