Nike Inc. (NYSE:NKE)

Capital Asset Pricing Model (CAPM)

Capital asset pricing model (CAPM) indicates what should be the expected or required rate of return on risky assets like Nike Inc. common stock.

Rates of Return
Variance and Covariance
Systematic Risk (β) Estimation
Expected Rate of Return

Rates of Return

Nike Inc., monthly rates of return

		Nike Inc. (NKE)			Standard & Poor’s 500 (S&P 500)
t	Date	Price_NKE,t¹	Dividend_NKE,t¹	R_NKE,t²	Price_{S&P 500,t}	R_{S&P 500,t}³
	Jun 30, 2020	$98.05			3,100.29
1.	Jul 31, 2020	$97.61		-0.45%	3,271.12	5.51%
2.	Aug 31, 2020	$111.89	$0.245	14.88%	3,500.31	7.01%
3.	Sep 30, 2020	$125.54		12.20%	3,363.00	-3.92%
.	.	.	.	.	.	.
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69.	Mar 31, 2026	$52.82	$0.41	-14.39%	6,528.52	-5.09%
70.	Apr 30, 2026	$44.36		-16.02%	7,209.01	10.42%
Average (R):				-0.57%		1.31%
Standard deviation:				9.31%		4.56%

		Nike Inc. (NKE)			Standard & Poor’s 500 (S&P 500)
t	Date	Price_NKE,t¹	Dividend_NKE,t¹	R_NKE,t²	Price_{S&P 500,t}	R_{S&P 500,t}³
	Jun 30, 2020	$98.05			3,100.29
1.	Jul 31, 2020	$97.61		-0.45%	3,271.12	5.51%
2.	Aug 31, 2020	$111.89	$0.245	14.88%	3,500.31	7.01%
3.	Sep 30, 2020	$125.54		12.20%	3,363.00	-3.92%
4.	Oct 31, 2020	$120.08		-4.35%	3,269.96	-2.77%
5.	Nov 30, 2020	$134.70		12.18%	3,621.63	10.75%
6.	Dec 31, 2020	$141.47	$0.275	5.23%	3,756.07	3.71%
7.	Jan 31, 2021	$133.59		-5.57%	3,714.24	-1.11%
8.	Feb 28, 2021	$134.78	$0.275	1.10%	3,811.15	2.61%
9.	Mar 31, 2021	$132.89		-1.40%	3,972.89	4.24%
10.	Apr 30, 2021	$132.62		-0.20%	4,181.17	5.24%
11.	May 31, 2021	$136.46	$0.275	3.10%	4,204.11	0.55%
12.	Jun 30, 2021	$154.49		13.21%	4,297.50	2.22%
13.	Jul 31, 2021	$167.51		8.43%	4,395.26	2.27%
14.	Aug 31, 2021	$164.74	$0.275	-1.49%	4,522.68	2.90%
15.	Sep 30, 2021	$145.23		-11.84%	4,307.54	-4.76%
16.	Oct 31, 2021	$167.29		15.19%	4,605.38	6.91%
17.	Nov 30, 2021	$169.24		1.17%	4,567.00	-0.83%
18.	Dec 31, 2021	$166.67	$0.305	-1.34%	4,766.18	4.36%
19.	Jan 31, 2022	$148.07		-11.16%	4,515.55	-5.26%
20.	Feb 28, 2022	$136.55		-7.78%	4,373.94	-3.14%
21.	Mar 31, 2022	$134.56	$0.305	-1.23%	4,530.41	3.58%
22.	Apr 30, 2022	$124.70		-7.33%	4,131.93	-8.80%
23.	May 31, 2022	$118.85		-4.69%	4,132.15	0.01%
24.	Jun 30, 2022	$102.20	$0.305	-13.75%	3,785.38	-8.39%
25.	Jul 31, 2022	$114.92		12.45%	4,130.29	9.11%
26.	Aug 31, 2022	$106.45		-7.37%	3,955.00	-4.24%
27.	Sep 30, 2022	$83.12	$0.305	-21.63%	3,585.62	-9.34%
28.	Oct 31, 2022	$92.68		11.50%	3,871.98	7.99%
29.	Nov 30, 2022	$109.69		18.35%	4,080.11	5.38%
30.	Dec 31, 2022	$117.01	$0.34	6.98%	3,839.50	-5.90%
31.	Jan 31, 2023	$127.33		8.82%	4,076.60	6.18%
32.	Feb 28, 2023	$118.79		-6.71%	3,970.15	-2.61%
33.	Mar 31, 2023	$122.64	$0.34	3.53%	4,109.31	3.51%
34.	Apr 30, 2023	$126.72		3.33%	4,169.48	1.46%
35.	May 31, 2023	$105.26		-16.93%	4,179.83	0.25%
36.	Jun 30, 2023	$110.37	$0.34	5.18%	4,376.86	4.71%
37.	Jul 31, 2023	$110.39		0.02%	4,588.96	4.85%
38.	Aug 31, 2023	$101.71		-7.86%	4,507.66	-1.77%
39.	Sep 30, 2023	$95.62	$0.34	-5.65%	4,288.05	-4.87%
40.	Oct 31, 2023	$102.77		7.48%	4,193.80	-2.20%
41.	Nov 30, 2023	$110.27		7.30%	4,567.80	8.92%
42.	Dec 31, 2023	$108.57	$0.37	-1.21%	4,769.83	4.42%
43.	Jan 31, 2024	$101.53		-6.48%	4,845.65	1.59%
44.	Feb 29, 2024	$103.93		2.36%	5,096.27	5.17%
45.	Mar 31, 2024	$93.98	$0.37	-9.22%	5,254.35	3.10%
46.	Apr 30, 2024	$92.26		-1.83%	5,035.69	-4.16%
47.	May 31, 2024	$95.05		3.02%	5,277.51	4.80%
48.	Jun 30, 2024	$75.37	$0.37	-20.32%	5,460.48	3.47%
49.	Jul 31, 2024	$74.86		-0.68%	5,522.30	1.13%
50.	Aug 31, 2024	$83.32		11.30%	5,648.40	2.28%
51.	Sep 30, 2024	$88.40	$0.37	6.54%	5,762.48	2.02%
52.	Oct 31, 2024	$77.13		-12.75%	5,705.45	-0.99%
53.	Nov 30, 2024	$78.77		2.13%	6,032.38	5.73%
54.	Dec 31, 2024	$75.67	$0.40	-3.43%	5,881.63	-2.50%
55.	Jan 31, 2025	$76.90		1.63%	6,040.53	2.70%
56.	Feb 28, 2025	$79.43		3.29%	5,954.50	-1.42%
57.	Mar 31, 2025	$63.48	$0.40	-19.58%	5,611.85	-5.75%
58.	Apr 30, 2025	$56.40		-11.15%	5,569.06	-0.76%
59.	May 31, 2025	$60.59		7.43%	5,911.69	6.15%
60.	Jun 30, 2025	$71.04	$0.40	17.91%	6,204.95	4.96%
61.	Jul 31, 2025	$74.69		5.14%	6,339.39	2.17%
62.	Aug 31, 2025	$77.37		3.59%	6,460.26	1.91%
63.	Sep 30, 2025	$69.73	$0.40	-9.36%	6,688.46	3.53%
64.	Oct 31, 2025	$64.59		-7.37%	6,840.20	2.27%
65.	Nov 30, 2025	$64.63		0.06%	6,849.09	0.13%
66.	Dec 31, 2025	$63.71	$0.41	-0.79%	6,845.50	-0.05%
67.	Jan 31, 2026	$61.81		-2.98%	6,939.03	1.37%
68.	Feb 28, 2026	$62.18		0.60%	6,878.88	-0.87%
69.	Mar 31, 2026	$52.82	$0.41	-14.39%	6,528.52	-5.09%
70.	Apr 30, 2026	$44.36		-16.02%	7,209.01	10.42%
Average (R):				-0.57%		1.31%
Standard deviation:				9.31%		4.56%

Show all

¹ Data in US$ per share of common stock, adjusted for splits and stock dividends.

² Rate of return on common stock of NKE during period t

³ Rate of return on S&P 500 (the market portfolio proxy) during period t

Variance and Covariance

Nike Inc., calculation of variance and covariance of returns

t	Date	R_NKE,t	R_{S&P 500,t}	(R_NKE,t–R_NKE)²	(R_{S&P 500,t}–R_{S&P 500})²	(R_NKE,t–R_NKE)×(R_{S&P 500,t}–R_{S&P 500})
1.	Jul 31, 2020	-0.45%	5.51%	0.01	17.60	0.50
2.	Aug 31, 2020	14.88%	7.01%	238.63	32.39	87.92
3.	Sep 30, 2020	12.20%	-3.92%	162.98	27.43	-66.87
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69.	Mar 31, 2026	-14.39%	-5.09%	191.18	41.06	88.60
70.	Apr 30, 2026	-16.02%	10.42%	238.69	82.96	-140.72
Total (Σ):				5,978.31	1,433.75	1,541.91

t	Date	R_NKE,t	R_{S&P 500,t}	(R_NKE,t–R_NKE)²	(R_{S&P 500,t}–R_{S&P 500})²	(R_NKE,t–R_NKE)×(R_{S&P 500,t}–R_{S&P 500})
1.	Jul 31, 2020	-0.45%	5.51%	0.01	17.60	0.50
2.	Aug 31, 2020	14.88%	7.01%	238.63	32.39	87.92
3.	Sep 30, 2020	12.20%	-3.92%	162.98	27.43	-66.87
4.	Oct 31, 2020	-4.35%	-2.77%	14.30	16.66	15.44
5.	Nov 30, 2020	12.18%	10.75%	162.36	89.11	120.28
6.	Dec 31, 2020	5.23%	3.71%	33.61	5.75	13.90
7.	Jan 31, 2021	-5.57%	-1.11%	25.03	5.90	12.15
8.	Feb 28, 2021	1.10%	2.61%	2.77	1.68	2.15
9.	Mar 31, 2021	-1.40%	4.24%	0.70	8.58	-2.45
10.	Apr 30, 2021	-0.20%	5.24%	0.13	15.43	1.43
11.	May 31, 2021	3.10%	0.55%	13.47	0.59	-2.81
12.	Jun 30, 2021	13.21%	2.22%	189.88	0.82	12.49
13.	Jul 31, 2021	8.43%	2.27%	80.91	0.92	8.63
14.	Aug 31, 2021	-1.49%	2.90%	0.85	2.51	-1.46
15.	Sep 30, 2021	-11.84%	-4.76%	127.15	36.87	68.46
16.	Oct 31, 2021	15.19%	6.91%	248.27	31.35	88.23
17.	Nov 30, 2021	1.17%	-0.83%	3.00	4.61	-3.72
18.	Dec 31, 2021	-1.34%	4.36%	0.59	9.28	-2.35
19.	Jan 31, 2022	-11.16%	-5.26%	112.21	43.21	69.63
20.	Feb 28, 2022	-7.78%	-3.14%	52.03	19.81	32.10
21.	Mar 31, 2022	-1.23%	3.58%	0.44	5.12	-1.51
22.	Apr 30, 2022	-7.33%	-8.80%	45.71	102.22	68.35
23.	May 31, 2022	-4.69%	0.01%	17.01	1.71	5.40
24.	Jun 30, 2022	-13.75%	-8.39%	173.86	94.22	127.99
25.	Jul 31, 2022	12.45%	9.11%	169.34	60.79	101.46
26.	Aug 31, 2022	-7.37%	-4.24%	46.29	30.90	37.82
27.	Sep 30, 2022	-21.63%	-9.34%	443.64	113.52	224.41
28.	Oct 31, 2022	11.50%	7.99%	145.65	44.51	80.51
29.	Nov 30, 2022	18.35%	5.38%	357.98	16.49	76.82
30.	Dec 31, 2022	6.98%	-5.90%	57.01	52.01	-54.45
31.	Jan 31, 2023	8.82%	6.18%	88.11	23.62	45.62
32.	Feb 28, 2023	-6.71%	-2.61%	37.70	15.41	24.11
33.	Mar 31, 2023	3.53%	3.51%	16.76	4.80	8.97
34.	Apr 30, 2023	3.33%	1.46%	15.16	0.02	0.58
35.	May 31, 2023	-16.93%	0.25%	267.91	1.14	17.46
36.	Jun 30, 2023	5.18%	4.71%	33.00	11.55	19.53
37.	Jul 31, 2023	0.02%	4.85%	0.34	12.47	2.07
38.	Aug 31, 2023	-7.86%	-1.77%	53.23	9.53	22.52
39.	Sep 30, 2023	-5.65%	-4.87%	25.87	38.28	31.47
40.	Oct 31, 2023	7.48%	-2.20%	64.71	12.34	-28.26
41.	Nov 30, 2023	7.30%	8.92%	61.86	57.81	59.80
42.	Dec 31, 2023	-1.21%	4.42%	0.41	9.66	-1.99
43.	Jan 31, 2024	-6.48%	1.59%	35.01	0.08	-1.63
44.	Feb 29, 2024	2.36%	5.17%	8.59	14.88	11.30
45.	Mar 31, 2024	-9.22%	3.10%	74.84	3.19	-15.46
46.	Apr 30, 2024	-1.83%	-4.16%	1.60	29.99	6.92
47.	May 31, 2024	3.02%	4.80%	12.90	12.16	12.52
48.	Jun 30, 2024	-20.32%	3.47%	390.01	4.63	-42.50
49.	Jul 31, 2024	-0.68%	1.13%	0.01	0.03	0.02
50.	Aug 31, 2024	11.30%	2.28%	140.85	0.94	11.50
51.	Sep 30, 2024	6.54%	2.02%	50.52	0.50	5.01
52.	Oct 31, 2024	-12.75%	-0.99%	148.40	5.31	28.07
53.	Nov 30, 2024	2.13%	5.73%	7.25	19.49	11.89
54.	Dec 31, 2024	-3.43%	-2.50%	8.18	14.55	10.91
55.	Jan 31, 2025	1.63%	2.70%	4.81	1.92	3.04
56.	Feb 28, 2025	3.29%	-1.42%	14.88	7.50	-10.56
57.	Mar 31, 2025	-19.58%	-5.75%	361.38	49.98	134.39
58.	Apr 30, 2025	-11.15%	-0.76%	112.07	4.32	21.99
59.	May 31, 2025	7.43%	6.15%	63.94	23.40	38.68
60.	Jun 30, 2025	17.91%	4.96%	341.30	13.29	67.35
61.	Jul 31, 2025	5.14%	2.17%	32.55	0.73	4.86
62.	Aug 31, 2025	3.59%	1.91%	17.27	0.35	2.46
63.	Sep 30, 2025	-9.36%	3.53%	77.27	4.92	-19.49
64.	Oct 31, 2025	-7.37%	2.27%	46.30	0.91	-6.49
65.	Nov 30, 2025	0.06%	0.13%	0.40	1.40	-0.75
66.	Dec 31, 2025	-0.79%	-0.05%	0.05	1.87	0.30
67.	Jan 31, 2026	-2.98%	1.37%	5.83	0.00	-0.12
68.	Feb 28, 2026	0.60%	-0.87%	1.36	4.76	-2.54
69.	Mar 31, 2026	-14.39%	-5.09%	191.18	41.06	88.60
70.	Apr 30, 2026	-16.02%	10.42%	238.69	82.96	-140.72
Total (Σ):				5,978.31	1,433.75	1,541.91

Show all

Variance_NKE = Σ(R_NKE,t–R_NKE)² ÷ (70 – 1)
= 5,978.31 ÷ (70 – 1)
= 86.64

Variance_{S&P 500} = Σ(R_{S&P 500,t}–R_{S&P 500})² ÷ (70 – 1)
= 1,433.75 ÷ (70 – 1)
= 20.78

Covariance_{NKE, S&P 500} = Σ(R_NKE,t–R_NKE)×(R_{S&P 500,t}–R_{S&P 500}) ÷ (70 – 1)
= 1,541.91 ÷ (70 – 1)
= 22.35

Systematic Risk (β) Estimation

Variance_NKE	86.64
Variance_{S&P 500}	20.78
Covariance_{NKE, S&P 500}	22.35
Correlation coefficient_{NKE, S&P 500}¹	0.53
β_NKE²	1.08
α_NKE³	-1.98%

Calculations

¹ Correlation coefficient_{NKE, S&P 500}
= Covariance_{NKE, S&P 500} ÷ (Standard deviation_NKE × Standard deviation_{S&P 500})
= 22.35 ÷ (9.31% × 4.56%)
= 0.53

² β_NKE
= Covariance_{NKE, S&P 500} ÷ Variance_{S&P 500}
= 22.35 ÷ 20.78
= 1.08

³ α_NKE
= Average_NKE – β_NKE × Average_{S&P 500}
= -0.57% – 1.08 × 1.31%
= -1.98%

Expected Rate of Return

Assumptions
Rate of return on LT Treasury Composite¹	R_F	5.25%
Expected rate of return on market portfolio²	E(R_M)	17.51%
Systematic risk (β) of Nike Inc. common stock	β_NKE	1.08

Expected rate of return on Nike Inc. common stock³	E(R_NKE)	18.44%

¹ Unweighted average of bid yields on all outstanding fixed-coupon U.S. Treasury bonds neither due or callable in less than 10 years (risk-free rate of return proxy).

² See details »

³ E(R_NKE) = R_F + β_NKE [E(R_M) – R_F]
= 5.25% + 1.08 [17.51% – 5.25%]
= 18.44%