The Structural Ânima Index: Measuring Persistent One-Sided Market Behaviour in Brazilian Equities

Radar Perene Working Paper Series, No. RPWP-002 · Version 1.0 · July 2026 Investor sentiment is among the oldest intuitions in finance and among the hardest to measure with discipline. Market participants, journalists, and policymakers routinely speak of "euphoria" and "capitulation" as if these states were directly observable, yet most references to market mood in Brazil rest on anecdote, on survey instruments imported from other markets, or on single indicators read in isolation. The problem this paper addresses is the absence of a systematic, daily, multi-input measure of persistent one-sided market behaviour — the standing disposition that sentiment language gestures at — constructed specifically for the Brazilian equity market. The Structural Ânima Index summarizes the persistent one-sided behaviour of the Brazilian equity market: the standing disposition expressed in prices, positioning, and breadth — not what investors did today, but the posture they carry into each session. It is a composite index computed daily over the Brazilian trading calendar, scaled from 0 to 100, where high readings indicate persistent optimism embedded in market behaviour and low readings indicate persistent pessimism. One boundary of the construct is stated at the outset. Three of the index's four component categories are transformations of prices, and the construction performs no orthogonalization against fundamentals in the tradition of Baker and Wurgler (2006); the index therefore cannot — and this paper does not claim to — separate sentiment from market conditions. What it measures, strictly, is the market's persistent one-sided behaviour, whatever mixture of psychology and fundamentals stands behind it; the vocabulary of "mood" is retained as interpretive shorthand for that behavioural object. The index also deliberately distinguishes mood from flow: mood is a slow-moving disposition; flow is daily action. The Structural Ânima Index reads the former. Construction proceeds at a high level as follows. Four categories of market-derived inputs — options-market positioning, trend and momentum conditions, market breadth, and a foreign-flow proxy — are each transformed into rolling percentiles against their own recent history, using a 252-trading-day window that anchors the index to roughly one year of market memory. The percentile-transformed components are aggregated into a single 0–100 reading. Because every input is expressed relative to its own history, the index reads position within regime rather than raw level. Public interpretation bands are: extreme optimism above 65, a neutral zone between 35 and 65, and extreme pessimism below 35. Readings at extremes are interpreted contrarily, but always conditioned on the prevailing long-term trend — an extreme means different things above and below the market's long-term average. The index is designed for regime description: situating today's collective disposition within the market's own emotional history, contextualizing episodes such as 2016, 2018, 2020, and the 2024 fiscal scare, and providing researchers and journalists with a disciplined vocabulary for sentiment. It is not a forecasting device, not a trading signal, and not investment advice. It does not predict the direction of the Ibovespa, the timing of reversals, or the resolution of any specific episode. Where historical statistics are reported, they are conditional distributions with documented failure cases, drawn from the index's validation registry and verified against the production database as of July 2026, and every conditional statistic is printed beside the corresponding unconditional base rate. The honest summary of that comparison is narrow: hit rates following extreme pessimism fall below the unconditional base at the three- and six-month horizons, and modestly exceed an already strong base only at the twelve-month horizon the construction targets — a descriptive result drawn from roughly five independent stress clusters, not an inferential one — while optimism extremes carried no reliable reversal signal in the sample. --- This is a living document: future versions may expand datasets, validation procedures and historical coverage without changing the conceptual foundations. All validation statistics were verified against the Radar Perene production database as of July 2026. The concept DOI (10.5281/zenodo.21327595) always resolves to the latest version. Version 2.2: the slow-placebo concession (the price-dependence reduction is generic to any slow price-orthogonal substitute; the surviving contribution is the credit channel's informational gain), banded-frequency corrections, suppressed-sessions audit, and the companion data package (10.5281/zenodo.21399427). All tests, favourable and unfavourable, documented.