This study attempts to examine the risk-adjusted returns of listed mutual funds over a ten-year period from January 1996 to December 2005 using daily, weekly and monthly data on the Stock Exchange of Mauritius (SEM). Using daily data, the Jensen’s Alpha, the modified Jensen alpha, the Treynor’s and Sharpe Indices seem to indicate that few funds perform better than the market. However, analysis from weekly and monthly data reveals that it becomes more difficult to beat the market or even perform as well as the SEM. Thus when daily data are used, the Stock Exchange of Mauritius seems to deviate a little from strong form market efficiency. However, this last result must be viewed with caution given the findings when using weekly and monthly data.