Objective: This study aims at measuring the effect of added valued of unobserved actions of mutual funds. Methods: Using Return Gap criteria– ؛ the difference between the return of hypothetical and actual return – ؛ the researchers examined the effect of indiscernible activities in mutual funds throughout seasonal reports. Results: The results showed that unreported activities in mutual funds create just enough value to offset their costs. Conclusion: We studied the unobserved actions of Iranian mutual funds among quarterly disclosure of holdings. We measured the effect of these unobserved actions using return gap – ؛ the difference between the return of a hypothetical constant portfolio matching the fund’ ؛ s beginning of quarter and the fund’ ؛ s actual return. The results indicated that these actions create just enough value to offset the costs associated with them ؛ hence, the net effect on returns to fund investors is zero. We further documented that the funds are able to create more value through these activities in bull markets.