Which more diversified?

Got this question from Q.12, p.89, Schweser book 5 By Sharpe and M-squared, Theta fund has superior performance. By Treynor and ex-post alpha, Jaguar fund has super performance. Question: Which is less diversified? Answer: Jaguar. Why? - sticky

We know that standard deviation takes into account total risk. on a total risk analysis Theta outperforms Jaguar. We know this because M2 and Sharpe use standard deviation in the return per unit of risk measures. Since SD is total risk, Theta must have diversified away a large amount of unsystematic risk in order to outperform jaguar.

thanks! - sticky