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

Xiao Shi, Zhuo Pei and Xinle Liu

Managerial and Decision Economics, 2025, vol. 46, issue 3, 1645-1660

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.

Date: 2025
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https://doi.org/10.1002/mde.4464

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Persistent link: https://EconPapers.repec.org/RePEc:wly:mgtdec:v:46:y:2025:i:3:p:1645-1660

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