Assume today is 1 January 2021. You plan to evaluate the Australian foundation investment company's (ASX: AFI) performance in the past twelve months. The dividends and pricing information on AFI, the index levels of ASX200 (used as the benchmark of AFI), and the risk-free interest rates are presented in the worksheet titled "AFI". In this performance evaluation exercise, you will apply the CAPM model using ASX200 as the market portfolio.

Requirement: Write a performance evaluation report that incorporates answers to the tasks below [Word limit: 500].

1. Use a table to report the 12-month cumulative excess return and standard deviations (annualized) of AFI and ASX200.

2. List the regression equation with estimated alpha and beta for AFI using the monthly data provided.

3. Show your workings on calculating AFI's performance metrics using annualized data: Sharpe Ratio, 2, Treynor Ratio, Tracking Error, and Information Ratio; and summarize your results in a table.

4. Based on the calculated results on the above tasks, if you want to invest all your wealth in one risky security, will you choose AFI (i.e., active investment portfolio) over ASX200 (i.e., passive investment portfolio)? Evaluate the advantages and disadvantages of this evaluation method.

B 1 Date AFI Dividend 2 2020/1/1 3 2020/2/1 4 2020/3/1 5 2020/4/1 6 2020/5/1 7 2020/6/1 8 2020/7/1 9 2020/8/1 10 2020/9/1 11 2020/10/1 12 2020/11/1 13 2020/12/1 14 2021/1/1 15 D E AFI Closing price ASX 200 Index Risk-free rate 5.86 7017.20 0.00017 6.36 6441.20 0.00017 0.10 5.65 5076.80 0.00017 5.54 5522.40 0.00017 5.02 5755.70 0.00017 5.16 5897.90 0.00017 5.19 5927.80 0.00017 6.28 6060.50 0.00017 0.14 6.31 5815.90 0.00017 6.51 5927.60 0.00017 7.21 6517.80 0.00017 7.30 6587.10 0.00017 7.50 6824.70 0.00017 B 1 Date AFI Dividend 2 2020/1/1 3 2020/2/1 4 2020/3/1 5 2020/4/1 6 2020/5/1 7 2020/6/1 8 2020/7/1 9 2020/8/1 10 2020/9/1 11 2020/10/1 12 2020/11/1 13 2020/12/1 14 2021/1/1 15 D E AFI Closing price ASX 200 Index Risk-free rate 5.86 7017.20 0.00017 6.36 6441.20 0.00017 0.10 5.65 5076.80 0.00017 5.54 5522.40 0.00017 5.02 5755.70 0.00017 5.16 5897.90 0.00017 5.19 5927.80 0.00017 6.28 6060.50 0.00017 0.14 6.31 5815.90 0.00017 6.51 5927.60 0.00017 7.21 6517.80 0.00017 7.30 6587.10 0.00017 7.50 6824.70 0.00017