Beyond Portfolio Theory, Evidence from Tehran Stock Exchange

Many theories of portfolio management have been yet presented. In this research, we survey the efficiency and effectiveness of two well-known theories, the modern theory of portfolio and the postmodern theory of portfolio, by making use of popular indexes of Sharpe and sterling. We evaluate the performance of investment companies, with active portfolio management, accepted in Tehran stock Exchange during 2006 to 2010. Sharpe and sterling indexes are employed as the means of evaluation to evaluate the performance of investment companies in comparison to each other and to the market. To do research, we have used Kruskal Wallis tests, regression analysis and LSD post-test. The previous researches and evidence emerge other factors, affecting on the performance of corporations but not evaluate by these two criteria. In another word, maybe it is time to revise modern and postmodern theories of portfolios.