Stock Analysis on Net
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Stock Analysis on Net

Nike Inc. (NYSE:NKE)

Capital Asset Pricing Model (CAPM)

Microsoft Excel

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

Nike Inc., monthly rates of return

Microsoft Excel
Nike Inc. (NKE) Standard & Poor’s 500 (S&P 500)
t Date PriceNKE,t1 DividendNKE,t1 RNKE,t2 PriceS&P 500,t RS&P 500,t3
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%
. . . . . . .
. . . . . . .
. . . . . . .
70. Apr 30, 2026 $44.36 -16.02% 7,209.01 10.42%
71. May 31, 2026 $46.23 4.22% 7,580.06 5.15%
Average (R): -0.50% 1.37%
Standard deviation: 9.26% 4.55%
Nike Inc. (NKE) Standard & Poor’s 500 (S&P 500)
t Date PriceNKE,t1 DividendNKE,t1 RNKE,t2 PriceS&P 500,t RS&P 500,t3
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%
71. May 31, 2026 $46.23 4.22% 7,580.06 5.15%
Average (R): -0.50% 1.37%
Standard deviation: 9.26% 4.55%

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

Microsoft Excel
t Date RNKE,t RS&P 500,t (RNKE,t–RNKE)2 (RS&P 500,t–RS&P 500)2 (RNKE,t–RNKE)×(RS&P 500,t–RS&P 500)
1. Jul 31, 2020 -0.45% 5.51% 0.00 17.15 0.21
2. Aug 31, 2020 14.88% 7.01% 236.55 31.78 86.71
3. Sep 30, 2020 12.20% -3.92% 161.27 28.00 -67.20
. . . . . . .
. . . . . . .
. . . . . . .
70. Apr 30, 2026 -16.02% 10.42% 240.78 81.98 -140.50
71. May 31, 2026 4.22% 5.15% 22.23 14.27 17.81
Total (Σ): 6,000.86 1,448.22 1,559.98
t Date RNKE,t RS&P 500,t (RNKE,t–RNKE)2 (RS&P 500,t–RS&P 500)2 (RNKE,t–RNKE)×(RS&P 500,t–RS&P 500)
1. Jul 31, 2020 -0.45% 5.51% 0.00 17.15 0.21
2. Aug 31, 2020 14.88% 7.01% 236.55 31.78 86.71
3. Sep 30, 2020 12.20% -3.92% 161.27 28.00 -67.20
4. Oct 31, 2020 -4.35% -2.77% 14.82 17.10 15.92
5. Nov 30, 2020 12.18% 10.75% 160.65 88.09 118.96
6. Dec 31, 2020 5.23% 3.71% 32.83 5.49 13.43
7. Jan 31, 2021 -5.57% -1.11% 25.71 6.16 12.59
8. Feb 28, 2021 1.10% 2.61% 2.55 1.54 1.98
9. Mar 31, 2021 -1.40% 4.24% 0.81 8.27 -2.60
10. Apr 30, 2021 -0.20% 5.24% 0.09 15.01 1.15
11. May 31, 2021 3.10% 0.55% 12.98 0.67 -2.95
12. Jun 30, 2021 13.21% 2.22% 188.03 0.73 11.69
13. Jul 31, 2021 8.43% 2.27% 79.70 0.82 8.09
14. Aug 31, 2021 -1.49% 2.90% 0.98 2.34 -1.51
15. Sep 30, 2021 -11.84% -4.76% 128.67 37.53 69.49
16. Oct 31, 2021 15.19% 6.91% 246.16 30.75 87.01
17. Nov 30, 2021 1.17% -0.83% 2.77 4.85 -3.67
18. Dec 31, 2021 -1.34% 4.36% 0.70 8.95 -2.51
19. Jan 31, 2022 -11.16% -5.26% 113.64 43.92 70.65
20. Feb 28, 2022 -7.78% -3.14% 53.00 20.29 32.80
21. Mar 31, 2022 -1.23% 3.58% 0.54 4.88 -1.62
22. Apr 30, 2022 -7.33% -8.80% 46.62 103.32 69.40
23. May 31, 2022 -4.69% 0.01% 17.57 1.86 5.72
24. Jun 30, 2022 -13.75% -8.39% 175.64 95.27 129.36
25. Jul 31, 2022 12.45% 9.11% 167.59 59.95 100.24
26. Aug 31, 2022 -7.37% -4.24% 47.21 31.50 38.56
27. Sep 30, 2022 -21.63% -9.34% 446.49 114.67 226.27
28. Oct 31, 2022 11.50% 7.99% 144.03 43.79 79.42
29. Nov 30, 2022 18.35% 5.38% 355.44 16.05 75.53
30. Dec 31, 2022 6.98% -5.90% 55.99 52.79 -54.37
31. Jan 31, 2023 8.82% 6.18% 86.85 23.10 44.79
32. Feb 28, 2023 -6.71% -2.61% 38.53 15.84 24.71
33. Mar 31, 2023 3.53% 3.51% 16.22 4.56 8.60
34. Apr 30, 2023 3.33% 1.46% 14.64 0.01 0.36
35. May 31, 2023 -16.93% 0.25% 270.12 1.26 18.42
36. Jun 30, 2023 5.18% 4.71% 32.23 11.19 18.99
37. Jul 31, 2023 0.02% 4.85% 0.27 12.09 1.80
38. Aug 31, 2023 -7.86% -1.77% 54.22 9.86 23.12
39. Sep 30, 2023 -5.65% -4.87% 26.56 38.95 32.16
40. Oct 31, 2023 7.48% -2.20% 63.64 12.72 -28.45
41. Nov 30, 2023 7.30% 8.92% 60.80 56.99 58.86
42. Dec 31, 2023 -1.21% 4.42% 0.50 9.33 -2.16
43. Jan 31, 2024 -6.48% 1.59% 35.82 0.05 -1.32
44. Feb 29, 2024 2.36% 5.17% 8.20 14.46 10.89
45. Mar 31, 2024 -9.22% 3.10% 76.01 3.00 -15.11
46. Apr 30, 2024 -1.83% -4.16% 1.77 30.58 7.36
47. May 31, 2024 3.02% 4.80% 12.42 11.79 12.10
48. Jun 30, 2024 -20.32% 3.47% 392.67 4.40 -41.58
49. Jul 31, 2024 -0.68% 1.13% 0.03 0.06 0.04
50. Aug 31, 2024 11.30% 2.28% 139.26 0.84 10.79
51. Sep 30, 2024 6.54% 2.02% 49.57 0.42 4.58
52. Oct 31, 2024 -12.75% -0.99% 150.04 5.56 28.89
53. Nov 30, 2024 2.13% 5.73% 6.90 19.02 11.45
54. Dec 31, 2024 -3.43% -2.50% 8.57 14.96 11.33
55. Jan 31, 2025 1.63% 2.70% 4.52 1.78 2.83
56. Feb 28, 2025 3.29% -1.42% 14.36 7.80 -10.58
57. Mar 31, 2025 -19.58% -5.75% 363.94 50.74 135.89
58. Apr 30, 2025 -11.15% -0.76% 113.50 4.54 22.71
59. May 31, 2025 7.43% 6.15% 62.86 22.88 37.93
60. Jun 30, 2025 17.91% 4.96% 338.81 12.90 66.11
61. Jul 31, 2025 5.14% 2.17% 31.78 0.64 4.50
62. Aug 31, 2025 3.59% 1.91% 16.71 0.29 2.20
63. Sep 30, 2025 -9.36% 3.53% 78.46 4.68 -19.16
64. Oct 31, 2025 -7.37% 2.27% 47.22 0.81 -6.18
65. Nov 30, 2025 0.06% 0.13% 0.32 1.53 -0.70
66. Dec 31, 2025 -0.79% -0.05% 0.08 2.02 0.41
67. Jan 31, 2026 -2.98% 1.37% 6.16 0.00 0.01
68. Feb 28, 2026 0.60% -0.87% 1.21 5.00 -2.46
69. Mar 31, 2026 -14.39% -5.09% 193.04 41.76 89.79
70. Apr 30, 2026 -16.02% 10.42% 240.78 81.98 -140.50
71. May 31, 2026 4.22% 5.15% 22.23 14.27 17.81
Total (Σ): 6,000.86 1,448.22 1,559.98

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VarianceNKE = Σ(RNKE,t–RNKE)2 ÷ (71 – 1)
= 6,000.86 ÷ (71 – 1)
= 85.73

VarianceS&P 500 = Σ(RS&P 500,t–RS&P 500)2 ÷ (71 – 1)
= 1,448.22 ÷ (71 – 1)
= 20.69

CovarianceNKE, S&P 500 = Σ(RNKE,t–RNKE)×(RS&P 500,t–RS&P 500) ÷ (71 – 1)
= 1,559.98 ÷ (71 – 1)
= 22.29

Systematic Risk (β) Estimation

Microsoft Excel
VarianceNKE 85.73
VarianceS&P 500 20.69
CovarianceNKE, S&P 500 22.29
Correlation coefficientNKE, S&P 5001 0.53
βNKE2 1.08
αNKE3 -1.97%

Calculations

1 Correlation coefficientNKE, S&P 500
= CovarianceNKE, S&P 500 ÷ (Standard deviationNKE × Standard deviationS&P 500)
= 22.29 ÷ (9.26% × 4.55%)
= 0.53

2 βNKE
= CovarianceNKE, S&P 500 ÷ VarianceS&P 500
= 22.29 ÷ 20.69
= 1.08

3 αNKE
= AverageNKE – βNKE × AverageS&P 500
= -0.50% – 1.08 × 1.37%
= -1.97%

Expected Rate of Return

Microsoft Excel
Assumptions
Rate of return on LT Treasury Composite1 RF 5.30%
Expected rate of return on market portfolio2 E(RM) 17.45%
Systematic risk (β) of Nike Inc. common stock βNKE 1.08
 
Expected rate of return on Nike Inc. common stock3 E(RNKE) 18.39%

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(RNKE) = RF + βNKE [E(RM) – RF]
= 5.30% + 1.08 [17.45% – 5.30%]
= 18.39%