Government of India, on the basis of OASIS Report, implemented the pension reforms in India by shifting from old defined benefit pension scheme to new defined contributory pension scheme which is known as New Pension Scheme or NPS. Various models have been launched under the scheme e.g. ‘Central Government Model’, ‘State Government Model’, ‘Corporate Sector Model’, ‘All Citizen Model’, ‘NPS-Swavalamban (NPS-Lite)’ and ‘Atal Pension Yojna’. Any citizen of India, whether employed or unemployed can open a Tier-I account under ‘All Citizen Model’ of NPS. The investors under ‘All Citizen Model’ have the option to invest in various assets classes namely Assets Class ‘E’, ‘C’ and ‘G’ by selecting ‘Auto Choice’ and ‘Active Choice’ subject to certain restrictions. The Investors have the option to open Tier-I and Tier-II account under the NPS. In the present study, the performance of Equity Scheme (Tier-I) has been analyzed for the period 1st May, 2009 to 30th Sept., 2015 with the help of various statistical and financial measures e.g. Standard Deviation, Coefficient of Variation, Beta Coefficient, Correlation Coefficient, Coefficient of Determination, Sharpe Ratio, Jensen’s Alpha and Treynor’s Index. It was found that, the performance of SBIPF which is the largest asset holder in the segment is not satisfactory as it fails to generate the returns to beat the benchmark returns. Its other indicators are in negative and Sharpe Ratio is lower than the Sharpe Ratio of benchmark index. Similarly, the performance of LICPF,