This paper has approached the investment method by alpha value as the excess return to compensate for risks other than the market risk with the data sample of filtered stocks from three major exchanges of the Vietnam stock market HOSE, HNX, and UPCOM from January 2016 to December 2020. Then, we compare the performance of the portfolio through 2021, the year Vietnam fell into the 4th wave of Covid and was the hardest hit. The results of the paper have shown that the portfolio selected by the alpha method has eliminated the beta market risk of the portfolio and has the actual portfolio return higher than the general rate of return of the stock market index, thereby reinforcing and proving the effectiveness of the alpha investment model.
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