Now days the financial markets have proven to be more effective and efficient to fight against inflation, and what better way than investing in a fund which helps to earn better return, less risky and also has portfolio diversification. Mutual funds as a part of financial markets are becoming a popularized tool among investors because of their convenient nature and its ability to facilitate easy operations with good returns. It is a general belief that Mutual Fund is a retail product which is so designed for those who do not directly invest in share market because of its unpredictable and volatile nature, but fascinated by the growth and returns given by the same market. During last two decades growth of upper middle and middle class families in India is noteworthy. This is the target group for most of the financial institutions and companies, so that the newly found cash could be utilised for investing to increase the country’s GDP and prosperity. But, they are also reluctant to invest in the various schemes for the fear of losing the hard earned income, so what better alternative than mutual funds. The role of Indian mutual fund industry as significant financial service in financial market has really been noteworthy. In fact, the mutual fund industry has emerged as an important segment of financial market of India, especially in channelizing the savings of millions of individuals into the investment in equity and debt instruments. In this context I have studied the annual return generated by 3 randomly selected Debt oriented Mutual Fund Schemes and compared it with the Sensex return over the last 11 years. I have also analysed the correlation between the two and measured the alpha, beta, standard deviation, Sharpe Ratio and Sortino Ratio of the sample schemes over the sample period. It was observed that the volatility of the return generated by these selected schemes was comparatively less than that of the sensex returns.