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 the popular indexes of Sharpe and Sterling. We evaluate the performance of investment companies with active portfolio management accepted in the Tehran Stock Exchange from 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 posttests. Previous research and evidence reveal other factors that affect the performance of corporations, which have not been evaluated by these two criteria. In other words, maybe it is time to revise modern and postmodern theories of portfolios.