Performance analysis of mutual funds is usually made on the basis of return-risk framework where return is considered an output indicator and risk is considered as an input indicator. However, portfolio risk in actuality is a non-separable undesirable output and any effort to reduce it also causes a reduction in portfolio return. In view of this, the present paper uses a non-parametric non-separable undesirable output model to evaluate the performance of 27 sectoral mutual fund schemes based on observations for the period July 2010 to June 2013. The USP of the present study is that return and risk are considered as both non-separable outcome of the process of investment. The results exhibit stability of mean efficiency scores across the observed years. Further, fund inefficiency mostly emerged from the input side and not from the output side.