The Sharpe ratio is the correct choice because it accounts for total risk, which is relevant for an investor holding a portfolio that is not fully diversified. In such cases, the Sharpe ratio and M2 are appropriate performance measures, as they incorporate total risk.

• Option B (Treynor ratio) and Option C (Jensen's alpha) are incorrect because these measures are based on beta risk and are more suitable for well-diversified portfolios with negligible diversifiable risk.