The purpose of this study is to assess the efficiency and performance of portfolio management in investment companies listed on the TSE, which were holding active portfolios during the years 2005 to 2009. The study employed Modern Portfolio Theory (MPT) and Postmodern Portfolio Theory (PMPT) to evaluate performance, utilising the Sharpe, Sortino, and Sterling ratios. The first hypothesis was not accepted based on one-way ANOVA and pairwise mean comparison using LSD post hoc tests, which showed that the Sterling ratio was the highest for all three metrics but not significantly different, as it was nearly the best. The second hypothesis tested the performance of the companies in relation to the market, and all metrics signalled that the series was superior to the market except the Sortino ratio. Lastly, the Kruskal-Wallis test and Chi-square statistic showed identical rankings between all three measures.