One of the most interesting areas of research to me is the analysis of how various macro environments affect asset class returns. We have been doing a lot of internal modeling (here is an oldish post on the yield curve and real interest rates) with promising results.
Here is a nice PDF from Thomson Reuters on the subject: Monitoring and Adapting to Quant Factor Rotation. Some of their 13F work is misguided (ie almost all of the quant shops and banks focus on the entire hedge fund industry which makes no sense whatsoever) but the macro slides are very interesting. (They also present some info on SmartHoldings which attempts to predict, or front run, what factors and thus stocks managers will actually buy. While this sounds great on paper I imagine it will be very difficult in practice. But like anything, I will reserve judgement until I know more. ) The good material really begins on slide 20:
(click to download):
One of my favorite writers Charles Kirkpatrick has a book coming out on the subject and I am super excited to get my hands on it: Time the Markets: Using Technical Analysis to Interpret Economic Data.