this study investigates the performance of Thai commercial bank that have been in operation from 2008 to 2014. Jensen's alpha model is used to calculate the risk-adjusted returns of commercial banks. Based on the sample of 8 commercial banks, the findings indicate commercial banks are unable to outperform the banking market in any meaningful sense over the 2008-2014 period. It is show that according to the Jensen's alpha the best performer is Kasikornbank Public Co Ltd. Thus' the study concludes that the return based on expected return and standard deviation is on longer the best performers after deduction of the risk free asset to its expected return.