The aims of this study is to evaluate the importance of analyzing and using managerial ability information along with financial ratios for the efficient portfolio selection in Tehran Stock Exchange. For this purpose, 103 companies, for a period of 10 years, were analyzed. To calculate and analyze managerial ability information, Demerjian et al.’s model (2012 & 2013) were used. In this study, by exerting the input BCC DEA model and Factorial Analysis, three portfolios were formed. The first portfolio consist of risk and return information only the second portfolio is made of financial ratios only, and the third portfolio contains financial ratios along with managerial ability information of the companies. Then, in order to test the research hypothesis, the average return of each portfolios on the basis of performance scores, were compared by Wilcoxon nonparametric test. The result of the study showed that there is no significant difference between the first and second portfolios. But, there is significant difference between the third portfolio and the first and second portfolios. The analysis of financial ratios along with managerial ability during the 10 year period of the study, showed that ,on the average, the return of the third portfolio was twice as the first and second portfolios. This issue, indicate the importance and value of analyzing managerial ability information as a supplemental information to financial ratios which would lead to efficient investing and achieving efficiency in Tehran Stock Exchange.