How to create a market regime indicator

Hello I want to ask whether anyone could lead me in an in-depth way on how to create a market regime indicator.

Let me explain by what I mean: 1) Most investment banks have their views say on whether you should overweight US, EU, Equity, Fixed Income etc.. I practically want to do the same with a lot less people though. I do not want to do something as sophisticated as IB or HF but sufficient enough to help guild an asset allocation.

I don't mind undergoing only Equities, forget other asset classes, and on a geographic level, not sector (US, EU, EM, Asia Dev).

From my own research, I found that Macro, Valuation, Sentiment, Earnings, and Risk are the 5 main factors to be taken into account. What I need is more of the sub factors beneath them ( I found tons but which are relevant and how to use them), how to weigh them (I do not have time nor the absolute expertise to conduct pure econometric analysis), and also how to apply a weighting on the 5 factors themselves to derive an absolute or relative allocation to say US, EU, EM, and Asia Developed vs a global benchmark that includes all markets.

2) Moreover, other than just providing a relative result of which region seems to be better than others, I would be keen on knowing whether I should not be investing in any if an expected recession or crash were to happen (probability of crash increases etc), such as if we move from a low volatility to a higher volatility market regime. I know that no one can do that accurately, all I ask is for the METHOD that investment banks, asset management companies, and consulting firms conduct such analysis.

3) Lastly, any suggestion on how to quantify qualitative stuff such as geopolitics, elections, etc??

Any help on any of the three would be of much help.

Thank you in advance.

1 Comments
 

Asperiores delectus sit at. Ab repudiandae voluptate omnis aut laudantium. Beatae voluptatem sint reprehenderit velit.

Deserunt sed qui perferendis quia voluptas architecto quae. Itaque praesentium consequatur provident sed veniam. Illo labore esse voluptatem voluptatem dolor voluptas fugit. Nostrum pariatur excepturi vitae excepturi dignissimos sed. Nostrum qui voluptate dolore velit quia. Non aut autem vero temporibus.

Perspiciatis officia quibusdam nemo. Aut voluptas qui et enim. Nisi aut dolorem tenetur ratione. Nobis voluptatibus possimus quia eligendi perspiciatis ea. Quidem quo ut necessitatibus possimus quo qui.

Accusamus deleniti reiciendis rerum voluptatem. Laudantium eius numquam aliquid dolores laboriosam. Qui rem eum voluptates minima aliquid est. Aliquid fugiat ut et fugiat quia. Sed quia ea laboriosam dolorem voluptas veritatis. Velit itaque consequuntur consequatur. Laborum perferendis molestiae rerum quis pariatur quisquam et. Voluptatem voluptas ipsam ex consequuntur quos eligendi.

I'm an AI bot trained on the most helpful WSO content across 17+ years.

Career Advancement Opportunities

August 2026 Investment Banking

  • Evercore 01 99.4%
  • Moelis & Company 01 98.9%
  • JPMorgan 01 98.3%
  • Morgan Stanley 08 97.8%
  • Goldman Sachs 02 97.2%

Overall Employee Satisfaction

August 2026 Investment Banking

  • Moelis & Company No 99.4%
  • Evercore No 98.9%
  • Morgan Stanley 01 98.3%
  • Banco Santander 02 97.8%
  • BMO Capital Markets 12 97.2%

Professional Growth Opportunities

August 2026 Investment Banking

  • Evercore 01 99.4%
  • Moelis & Company 01 98.9%
  • Morgan Stanley 06 98.3%
  • Goldman Sachs 01 97.8%
  • JPMorgan 01 97.2%

Total Avg Compensation

August 2026 Investment Banking

  • Vice President (16) $429
  • Associates (48) $259
  • 3rd+ Year Analyst (8) $210
  • 2nd Year Analyst (25) $178
  • Intern/Summer Associate (14) $159
  • 1st Year Analyst (83) $151
  • Intern/Summer Analyst (75) $101
notes
16 IB Interviews Notes

“... there’s no excuse to not take advantage of the resources out there available to you. Best value for your $ are the...”

Leaderboard

1
redever's picture
redever
99.2
2
Secyh62's picture
Secyh62
99.0
3
BankonBanking's picture
BankonBanking
99.0
4
kanon's picture
kanon
99.0
5
DrApeman's picture
DrApeman
98.9
6
CompBanker's picture
CompBanker
98.9
7
dosk17's picture
dosk17
98.9
8
GameTheory's picture
GameTheory
98.9
9
Betsy Massar's picture
Betsy Massar
98.9
10
Mimbs's picture
Mimbs
98.8
success
From 10 rejections to 1 dream investment banking internship

“... I believe it was the single biggest reason why I ended up with an offer...”