Stock Analysis on Net

Nike Inc. (NYSE:NKE)

Capital Asset Pricing Model (CAPM) 

Microsoft Excel LibreOffice Calc

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 LibreOffice Calc
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, 2015 $54.01 2,063.11
1. Jul 31, 2015 $57.61 6.67% 2,103.84 1.97%
2. Aug 31, 2015 $55.88 -3.00% 1,972.18 -6.26%
3. Sep 30, 2015 $61.49 $0.14 10.29% 1,920.03 -2.64%
. . . . . . .
. . . . . . .
. . . . . . .
70. Apr 30, 2021 $132.62 -0.20% 4,181.17 5.24%
71. May 31, 2021 $136.46 $0.275 3.10% 4,204.11 0.55%
Average (R): 1.60% 1.10%
Standard deviation: 6.25% 4.32%
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, 2015 $54.01 2,063.11
1. Jul 31, 2015 $57.61 6.67% 2,103.84 1.97%
2. Aug 31, 2015 $55.88 -3.00% 1,972.18 -6.26%
3. Sep 30, 2015 $61.49 $0.14 10.29% 1,920.03 -2.64%
4. Oct 31, 2015 $65.52 6.55% 2,079.36 8.30%
5. Nov 30, 2015 $66.14 0.95% 2,080.41 0.05%
6. Dec 31, 2015 $62.50 $0.16 -5.26% 2,043.94 -1.75%
7. Jan 31, 2016 $62.01 -0.78% 1,940.24 -5.07%
8. Feb 29, 2016 $61.59 -0.68% 1,932.23 -0.41%
9. Mar 31, 2016 $61.47 $0.16 0.06% 2,059.74 6.60%
10. Apr 30, 2016 $58.94 -4.12% 2,065.30 0.27%
11. May 31, 2016 $55.22 -6.31% 2,096.95 1.53%
12. Jun 30, 2016 $55.20 $0.16 0.25% 2,098.86 0.09%
13. Jul 31, 2016 $55.50 0.54% 2,173.60 3.56%
14. Aug 31, 2016 $57.64 3.86% 2,170.95 -0.12%
15. Sep 30, 2016 $52.65 $0.16 -8.38% 2,168.27 -0.12%
16. Oct 31, 2016 $50.18 -4.69% 2,126.15 -1.94%
17. Nov 30, 2016 $50.07 -0.22% 2,198.81 3.42%
18. Dec 31, 2016 $50.83 $0.18 1.88% 2,238.83 1.82%
19. Jan 31, 2017 $52.90 4.07% 2,278.87 1.79%
20. Feb 28, 2017 $57.16 8.05% 2,363.64 3.72%
21. Mar 31, 2017 $55.73 $0.18 -2.19% 2,362.72 -0.04%
22. Apr 30, 2017 $55.41 -0.57% 2,384.20 0.91%
23. May 31, 2017 $52.99 -4.37% 2,411.80 1.16%
24. Jun 30, 2017 $59.00 $0.18 11.68% 2,423.41 0.48%
25. Jul 31, 2017 $59.05 0.08% 2,470.30 1.93%
26. Aug 31, 2017 $52.81 $0.18 -10.26% 2,471.65 0.05%
27. Sep 30, 2017 $51.85 -1.82% 2,519.36 1.93%
28. Oct 31, 2017 $54.99 6.06% 2,575.26 2.22%
29. Nov 30, 2017 $60.42 9.87% 2,647.58 2.81%
30. Dec 31, 2017 $62.55 $0.20 3.86% 2,673.61 0.98%
31. Jan 31, 2018 $68.22 9.06% 2,823.81 5.62%
32. Feb 28, 2018 $67.03 -1.74% 2,713.83 -3.89%
33. Mar 31, 2018 $66.44 $0.20 -0.58% 2,640.87 -2.69%
34. Apr 30, 2018 $68.39 2.93% 2,648.05 0.27%
35. May 31, 2018 $71.80 4.99% 2,705.27 2.16%
36. Jun 30, 2018 $79.68 $0.20 11.25% 2,718.37 0.48%
37. Jul 31, 2018 $76.91 -3.48% 2,816.29 3.60%
38. Aug 31, 2018 $82.20 $0.20 7.14% 2,901.52 3.03%
39. Sep 30, 2018 $84.72 3.07% 2,913.98 0.43%
40. Oct 31, 2018 $75.04 -11.43% 2,711.74 -6.94%
41. Nov 30, 2018 $75.12 $0.22 0.40% 2,760.17 1.79%
42. Dec 31, 2018 $74.14 -1.30% 2,506.85 -9.18%
43. Jan 31, 2019 $81.88 10.44% 2,704.10 7.87%
44. Feb 28, 2019 $85.73 4.70% 2,784.49 2.97%
45. Mar 31, 2019 $84.21 $0.22 -1.52% 2,834.40 1.79%
46. Apr 30, 2019 $87.83 4.30% 2,945.83 3.93%
47. May 31, 2019 $77.14 $0.22 -11.92% 2,752.06 -6.58%
48. Jun 30, 2019 $83.95 8.83% 2,941.76 6.89%
49. Jul 31, 2019 $86.03 2.48% 2,980.38 1.31%
50. Aug 31, 2019 $84.50 $0.22 -1.52% 2,926.46 -1.81%
51. Sep 30, 2019 $93.92 11.15% 2,976.74 1.72%
52. Oct 31, 2019 $89.55 -4.65% 3,037.56 2.04%
53. Nov 30, 2019 $93.49 $0.245 4.67% 3,140.98 3.40%
54. Dec 31, 2019 $101.31 8.36% 3,230.78 2.86%
55. Jan 31, 2020 $96.30 -4.95% 3,225.52 -0.16%
56. Feb 29, 2020 $89.38 $0.245 -6.93% 2,954.22 -8.41%
57. Mar 31, 2020 $82.74 -7.43% 2,584.59 -12.51%
58. Apr 30, 2020 $87.18 5.37% 2,912.43 12.68%
59. May 31, 2020 $98.58 $0.245 13.36% 3,044.31 4.53%
60. Jun 30, 2020 $98.05 -0.54% 3,100.29 1.84%
61. Jul 31, 2020 $97.61 -0.45% 3,271.12 5.51%
62. Aug 31, 2020 $111.89 $0.245 14.88% 3,500.31 7.01%
63. Sep 30, 2020 $125.54 12.20% 3,363.00 -3.92%
64. Oct 31, 2020 $120.08 -4.35% 3,269.96 -2.77%
65. Nov 30, 2020 $134.70 12.18% 3,621.63 10.75%
66. Dec 31, 2020 $141.47 $0.275 5.23% 3,756.07 3.71%
67. Jan 31, 2021 $133.59 -5.57% 3,714.24 -1.11%
68. Feb 28, 2021 $134.78 $0.275 1.10% 3,811.15 2.61%
69. Mar 31, 2021 $132.89 -1.40% 3,972.89 4.24%
70. Apr 30, 2021 $132.62 -0.20% 4,181.17 5.24%
71. May 31, 2021 $136.46 $0.275 3.10% 4,204.11 0.55%
Average (R): 1.60% 1.10%
Standard deviation: 6.25% 4.32%

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 LibreOffice Calc
t Date RNKE,t RS&P 500,t (RNKE,tRNKE)2 (RS&P 500,tRS&P 500)2 (RNKE,tRNKE)×(RS&P 500,tRS&P 500)
1. Jul 31, 2015 6.67% 1.97% 25.70 0.76 4.43
2. Aug 31, 2015 -3.00% -6.26% 21.15 54.14 33.84
3. Sep 30, 2015 10.29% -2.64% 75.59 14.02 -32.55
. . . . . . .
. . . . . . .
. . . . . . .
70. Apr 30, 2021 -0.20% 5.24% 3.24 17.16 -7.45
71. May 31, 2021 3.10% 0.55% 2.27 0.30 -0.83
Total (Σ): 2,731.35 1,306.92 1,013.81
t Date RNKE,t RS&P 500,t (RNKE,tRNKE)2 (RS&P 500,tRS&P 500)2 (RNKE,tRNKE)×(RS&P 500,tRS&P 500)
1. Jul 31, 2015 6.67% 1.97% 25.70 0.76 4.43
2. Aug 31, 2015 -3.00% -6.26% 21.15 54.14 33.84
3. Sep 30, 2015 10.29% -2.64% 75.59 14.02 -32.55
4. Oct 31, 2015 6.55% 8.30% 24.58 51.81 35.69
5. Nov 30, 2015 0.95% 0.05% 0.42 1.10 0.68
6. Dec 31, 2015 -5.26% -1.75% 47.02 8.14 19.56
7. Jan 31, 2016 -0.78% -5.07% 5.66 38.11 14.69
8. Feb 29, 2016 -0.68% -0.41% 5.17 2.29 3.44
9. Mar 31, 2016 0.06% 6.60% 2.34 30.24 -8.42
10. Apr 30, 2016 -4.12% 0.27% 32.62 0.69 4.74
11. May 31, 2016 -6.31% 1.53% 62.52 0.19 -3.42
12. Jun 30, 2016 0.25% 0.09% 1.80 1.02 1.35
13. Jul 31, 2016 0.54% 3.56% 1.11 6.06 -2.59
14. Aug 31, 2016 3.86% -0.12% 5.11 1.49 -2.76
15. Sep 30, 2016 -8.38% -0.12% 99.51 1.50 12.21
16. Oct 31, 2016 -4.69% -1.94% 39.53 9.26 19.13
17. Nov 30, 2016 -0.22% 3.42% 3.29 5.37 -4.21
18. Dec 31, 2016 1.88% 1.82% 0.08 0.52 0.20
19. Jan 31, 2017 4.07% 1.79% 6.13 0.47 1.70
20. Feb 28, 2017 8.05% 3.72% 41.70 6.86 16.92
21. Mar 31, 2017 -2.19% -0.04% 14.31 1.30 4.31
22. Apr 30, 2017 -0.57% 0.91% 4.71 0.04 0.41
23. May 31, 2017 -4.37% 1.16% 35.56 0.00 -0.34
24. Jun 30, 2017 11.68% 0.48% 101.72 0.38 -6.24
25. Jul 31, 2017 0.08% 1.93% 2.28 0.70 -1.26
26. Aug 31, 2017 -10.26% 0.05% 140.62 1.09 12.40
27. Sep 30, 2017 -1.82% 1.93% 11.65 0.69 -2.83
28. Oct 31, 2017 6.06% 2.22% 19.89 1.25 4.99
29. Nov 30, 2017 9.87% 2.81% 68.54 2.92 14.14
30. Dec 31, 2017 3.86% 0.98% 5.11 0.01 -0.26
31. Jan 31, 2018 9.06% 5.62% 55.79 20.41 33.74
32. Feb 28, 2018 -1.74% -3.89% 11.16 24.95 16.68
33. Mar 31, 2018 -0.58% -2.69% 4.74 14.35 8.25
34. Apr 30, 2018 2.93% 0.27% 1.79 0.69 -1.11
35. May 31, 2018 4.99% 2.16% 11.49 1.13 3.60
36. Jun 30, 2018 11.25% 0.48% 93.27 0.38 -5.95
37. Jul 31, 2018 -3.48% 3.60% 25.73 6.26 -12.69
38. Aug 31, 2018 7.14% 3.03% 30.72 3.71 10.68
39. Sep 30, 2018 3.07% 0.43% 2.16 0.45 -0.99
40. Oct 31, 2018 -11.43% -6.94% 169.56 64.65 104.70
41. Nov 30, 2018 0.40% 1.79% 1.43 0.47 -0.82
42. Dec 31, 2018 -1.30% -9.18% 8.41 105.63 29.81
43. Jan 31, 2019 10.44% 7.87% 78.22 45.81 59.86
44. Feb 28, 2019 4.70% 2.97% 9.65 3.51 5.82
45. Mar 31, 2019 -1.52% 1.79% 9.69 0.48 -2.15
46. Apr 30, 2019 4.30% 3.93% 7.31 8.02 7.65
47. May 31, 2019 -11.92% -6.58% 182.70 58.95 103.78
48. Jun 30, 2019 8.83% 6.89% 52.31 33.56 41.90
49. Jul 31, 2019 2.48% 1.31% 0.78 0.05 0.19
50. Aug 31, 2019 -1.52% -1.81% 9.72 8.46 9.07
51. Sep 30, 2019 11.15% 1.72% 91.24 0.38 5.90
52. Oct 31, 2019 -4.65% 2.04% 39.05 0.89 -5.89
53. Nov 30, 2019 4.67% 3.40% 9.47 5.31 7.09
54. Dec 31, 2019 8.36% 2.86% 45.82 3.09 11.91
55. Jan 31, 2020 -4.95% -0.16% 42.78 1.59 8.26
56. Feb 29, 2020 -6.93% -8.41% 72.71 90.46 81.10
57. Mar 31, 2020 -7.43% -12.51% 81.45 185.29 122.84
58. Apr 30, 2020 5.37% 12.68% 14.22 134.20 43.68
59. May 31, 2020 13.36% 4.53% 138.34 11.75 40.32
60. Jun 30, 2020 -0.54% 1.84% 4.55 0.55 -1.58
61. Jul 31, 2020 -0.45% 5.51% 4.18 19.45 -9.02
62. Aug 31, 2020 14.88% 7.01% 176.49 34.88 78.47
63. Sep 30, 2020 12.20% -3.92% 112.44 25.23 -53.26
64. Oct 31, 2020 -4.35% -2.77% 35.34 14.95 22.99
65. Nov 30, 2020 12.18% 10.75% 111.93 93.21 102.14
66. Dec 31, 2020 5.23% 3.71% 13.21 6.82 9.49
67. Jan 31, 2021 -5.57% -1.11% 51.35 4.90 15.86
68. Feb 28, 2021 1.10% 2.61% 0.25 2.28 -0.75
69. Mar 31, 2021 -1.40% 4.24% 8.99 9.88 -9.43
70. Apr 30, 2021 -0.20% 5.24% 3.24 17.16 -7.45
71. May 31, 2021 3.10% 0.55% 2.27 0.30 -0.83
Total (Σ): 2,731.35 1,306.92 1,013.81

Show all

VarianceNKE = Σ(RNKE,tRNKE)2 ÷ (71 – 1)
= 2,731.35 ÷ (71 – 1)
= 39.02

VarianceS&P 500 = Σ(RS&P 500,tRS&P 500)2 ÷ (71 – 1)
= 1,306.92 ÷ (71 – 1)
= 18.67

CovarianceNKE, S&P 500 = Σ(RNKE,tRNKE)×(RS&P 500,tRS&P 500) ÷ (71 – 1)
= 1,013.81 ÷ (71 – 1)
= 14.48


Systematic Risk (β) Estimation

Microsoft Excel LibreOffice Calc
VarianceNKE 39.02
VarianceS&P 500 18.67
CovarianceNKE, S&P 500 14.48
Correlation coefficientNKE, S&P 5001 0.54
βNKE2 0.78
αNKE3 0.74%

Calculations

1 Correlation coefficientNKE, S&P 500
= CovarianceNKE, S&P 500 ÷ (Standard deviationNKE × Standard deviationS&P 500)
= 14.48 ÷ (6.25% × 4.32%)
= 0.54

2 βNKE
= CovarianceNKE, S&P 500 ÷ VarianceS&P 500
= 14.48 ÷ 18.67
= 0.78

3 αNKE
= AverageNKE – βNKE × AverageS&P 500
= 1.60%0.78 × 1.10%
= 0.74%


Expected Rate of Return

Microsoft Excel LibreOffice Calc
Assumptions
Rate of return on LT Treasury Composite1 RF 3.31%
Expected rate of return on market portfolio2 E(RM) 13.03%
Systematic risk (β) of Nike Inc. common stock βNKE 0.78
 
Expected rate of return on Nike Inc. common stock3 E(RNKE) 10.85%

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]
= 3.31% + 0.78 [13.03%3.31%]
= 10.85%