A large amount of literature analyzes the investment ability of fund managers, but very little of them explore funds' investment strategy from a perspective of economic cycles. This paper analyzes the investment strategy of China's open-end funds and its cycle characteristic from the perspective of stock picking and market timing skills. Then it analyzes relative performance of different types of investment strategy and investor preferences. Firstly, fund managers actually have significantly stock picking and market timing skills. As for the whole fund industry, market timing and stock picking skills of funds have periodic transformation, namely the market timing skill is more prominent in economic contraction and the stock picking skill in economic expansion. Secondly, fund individuals have significant stickiness of investment strategy, but there is no obvious periodic transformation. And the periodic transformation of market timing and stock picking skills in Chinese market cannot result in better fund benefits. Thirdly, the cycle characteristic at industry level stems from two types of investment strategy of individual funds: stock picking and market timing skills of the first one are stronger than other funds in economic expansion and are weaker than other funds in economic contraction; the second type of investment strategy is opposite to the first one, and funds taking this type of investment strategy focus more on their investment performance in economic contraction. The former is featured by high benefits and risks, and the latter low benefits and risks. It not only finds out new characteristics of fund investment in China, but also provides investment decision-making suggestions when investors select funds.