I've read tons of different threads about XNA, but I still have some questions.

First of all: I have 2 years of experience programming and C# is my main language, so XNA would fit perfectly for me, but I have some concerns.

1. People mentioned that C# has a performance loss compared to C++. Is this true?

2. XNA only supports DirectX 9. I found the ANX framework which is pretty similar to XNA but it is capable of DirectX 11. Would this be a good alternative ?

3. Because I'm worried about the performance loss of C#, I searched for a C++ framework and found SFML. It's based on C++ but can be integrated into C#.

I already have some experience with UDK, but I am really interested in creating more by myself ( lighting physics etc ).

I didn't start yet, what would you recommend me to use / learn ?

I am going to create a first person shooter (3D) and I have plenty of time for this. My aim is realtime lighting, realtime global illumination, image-based reflections etc. I want to develop for Windows.

Edit: I found something interesting: OpenTK. It supports the latest version of OpenGL which is on the same level as DX11 (if my knowledge is correct). It makes use of mono.