The mutual fund industry has experienced huge growth internationally, becoming one of the primary vehicles through which individuals and most institutions invest in capital markets. Thus, the evaluation of the performance of mutual funds has become a very interesting research topic both for academic researchers for managers of financial, banking and investment institutions. This paper proposes Data Envelopment Analysis, a nonparametric approach, for the evaluation of mutual fund performance. This method is applied in both mean-variance and higher moment’s framework on data of Greek mutual funds over the period 2007-2010 with encouraging results.