Abstract

This paper evaluates the performance of nine industries under ICB classification scheme from Datastream, employing 3 popular measures: Sharpe ratio (1994), alpha based on CAPM model (Sharpe, 1964; Lintner, 1965) and Fama and French (1993). These measures allow the comparison of operating performance of portfolios taking into consideration of the risk born by investors. CAPM and Fama and French models are utilized to test the systematicness rather than randomness in obtaining positive/negative excess returns.Analyzing industry performance using risk-adjusted measures is critical because present studies in Vietnam are mostly involved in dissecting conventional indicators and qualitative analysis of macroeconomic news. In addition, we conduct further analysis of profitability, cash flow management and EPS to verify the rationality of the 3 indicators and examine problems that firms in some industries are faced. The findings show a consistency among the 3 measures and the comprehensiveness of performance measurement isbetter guaranteed.