Issuance value, redemption value and net value of issuance and redemption of investment units is called cash flow to mutual funds. This cash flow to mutual funds is used as an investor sentiment index, when there is significant relationship between cash flow to mutual funds and market return. In this paper, relationship between these two items is to be evaluated. Monthly and weekly cash flow to 19 funds during 2008 to 2010 is considered. OLS used to assess the current relationship and for the lag relationship, VAR method is used. The results show that based on monthly data current issuance value affected the market return but weekly data doesn’t support it. On the basis of weekly data, first lag of market return affected net cash flow to mutual funds. However, first lag of market return affected current issuance value and the second lag of market return affected current redemption value. Based on monthly data, neither of market returns lags had the significant explanatory power.