Monday, December 03, 2007

Research Worth a Look

* VIX Trading System Ideas - The MarketSci site uses moving averages to produce significant returns, albeit with some drawdown. Interesting starting point for a trading system. See also their moving average crossover ideas.

* Popular Vehicle - Fixed income ETFs are finding greater interest, according to Research Recap. See also their interesting post on why the subprime situation may be less of a mess than has been thought.

* Volatility and Stock Returns - CXO summarizes research that finds superior returns for volatility-based strategies. See also their recent research on the implications of big up and down days.

* Commodity Weakness? - Bespoke Investment Group takes a snapshot of commodities and recent price weakness. See also their post on what the elevated TED spread might mean.

* Interest Rates and Stock Prices - Here's my research from last year on implications of rising rates for stock prices. I'll be updating this in a coming post.