This paper chooses investment leading and coincident indicators from more than 200 economic index, then constructs Chinese investment SWI index based on State Space Model and Kalman Filtering. This paper also analyses the cyclical fluctuation characteristics and trend. The coincident composite index analysis shows that, since 1998 the investment in China experienced rapid expansion of long period and two short wave cycles. Investment got into relatively stable growth period in 2008, investment coincident composite index has significantly declined Since 2011 April. Based on the analysis of the leading composite index, this paper argues that investment will maintain steady growth in the "Twelfth Five-Year Plan" period, large swings is unlikely.