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Efficiency Assessment of Mutual Fund With Risk and Negative Data: An Improved Two‐Stage Network SBM Model

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  • Xiao Shi
  • Zhuo Pei
  • Xinle Liu

Abstract

This paper innovatively proposes an improved two‐stage network SBM model, which could handle negative data and incorporates the CVaR indicator representing risks in efficiency evaluation. The proposed approach is utilized to evaluate and analyze the overall efficiency and two subsystems' efficiencies of 29 mutual funds in China from 2018 to 2022. Empirical results demonstrate that both operational management efficiency and portfolio management efficiency significantly impact overall efficiency. Funds exhibiting excellent performance in operational management subsystem are more likely to achieve outstanding overall performance. Based on the empirical results, some policy recommendations are proposed.

Suggested Citation

  • Xiao Shi & Zhuo Pei & Xinle Liu, 2025. "Efficiency Assessment of Mutual Fund With Risk and Negative Data: An Improved Two‐Stage Network SBM Model," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 46(3), pages 1645-1660, April.
    • Handle: RePEc:wly:mgtdec:v:46:y:2025:i:3:p:1645-1660
    DOI: 10.1002/mde.4464
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