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Part 2: Fund performance evaluation Activity: Assume today is 1 January 2021. You plan to evaluate the Australian foundation investment company's (ASX: AFI) performance in
Part 2: Fund performance evaluation Activity: 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. 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 Part 2: Fund performance evaluation Activity: 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. 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
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