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In investment theory and practice, crucial factor in decision is relation between rate of return and risk. This paper studies the CAPM model that is used to calculate the required rate of return to the certain level of risk. The CAPM model is used to analyze the rate of return visa verse the risk on the Macedonian capital market. But, the analyses do not apply to the whole market portfolio, but rather to the market index of common shares of the Macedonian Stock Exchange (MBI 10). When analyzing the relation between rate of return and risk, the variables that are incorporated in the CAPM model are calculated for a period of about 10 years, for the purpose of obtaining a more realistic value of beta, as a key element in this model. In the period of analysis, it appears one specific feature of the Macedonian capital market concerning that the rate of return of the Macedonian market of securities is low, below the risk free rate in the country, that determines a reverse relationship between the rate of return and risk. [ABSTRACT FROM AUTHOR]