The conditional CAPM is characterized by time-varying market beta. Based on state-space models approach, beta behavior can be modeled as a stochastic process dependent on conditioning variables related to the potential market in Association of Southeast Asian Nation (ASEAN) are growing, and US investor wanted to know what method will suited to this new developed market. The CAPM can be used to find what they need. This research forecast capabilities of the Capital Asset Pricing Model (CAPM): There are five US sectors and five ASEAN member states, for 10 total portfolios.