Net cash flow of funds is the trade off of cash inflow and cash outflow.And the net cash flow is the result of purchase and redemption decisions made by investors.In order to systematically examine the reaction of investors in face of fund performance，this paper distinguishes the behaviors of investors into purchase and redemption，and has a further examination on the sensitivity of investors reaction to fund performance in bull or bear market by using samples of open end funds in China between the years of 2005 to 2014.The result shows：（1）both the purchase and redemption of a fund is positively related to fund performance；（2）the net flow of a fund has a positive correlation with the performance of the fund，indicating that the “Redemption Puzzle” found in existing paper does not exist；（3）investors behavior differently in different stages of the stock market cycle.In the bull market，investors tend to be“return chasing”，while in the bear market，they tend to be“return ignoring”.