The Tactical Ânima Index: Short-Horizon Sentiment Dynamics in Brazilian Equities
Year: 2026
Type: article
Abstract: Radar Perene Working Paper Series, No. RPWP-003 · Version 1.0 · July 2026 Sentiment in equity markets does not operate on a single clock. The slow accumulation and erosion of conviction that defines a market's structural mood — the subject of the companion paper RPWP-002 — coexists with a much faster cycle of fear and relief that plays out over days and weeks rather than quarters. Brazil's equity market, characterized by concentrated ownership, episodic foreign participation, and recurrent macro-political shocks, exhibits this fast cycle with unusual amplitude: washouts and euphorias that would take months to develop in larger markets frequently complete within weeks. Yet no public, systematically constructed, daily instrument has existed to measure this short-horizon disposition for Brazilian equities. This paper documents the Tactical Ânima Index, a daily 0–100 composite that measures the short-horizon sentiment position of the Brazilian equity market relative to its own recent history. The index aggregates five categories of observable market behaviour: short-dated options positioning, volatility pricing (constructed as an implied-volatility overlay anchored on a realized-volatility base), price momentum and oscillation, short-horizon market breadth, and participation. Each category is normalized through a rolling-percentile transformation over a short window and combined into a weighted composite renormalized over available components, with light smoothing applied to the display series only. The index is the short-horizon sibling of the Structural Ânima Index (RPWP-002): the two share a component philosophy but read the market on deliberately different clocks, and their agreement or disagreement carries information that neither carries alone. The index is designed to answer one question: where does the market's short-term disposition sit within its own recent distribution — stretched toward fear, stretched toward greed, or unremarkable? It is explicitly not a forecasting device, not a timing signal, and not a recommendation engine. The name "tactical" refers to the construction window and reading cadence, not to a validated short-horizon return edge: no validated tendency exists at horizons of one week to two months, and the index's demonstrated conditional content sits at three to six months. Historically, extreme-pessimism readings were followed by a median IBOV advance of 6.9% over the subsequent three months and 10.4% over six months, against unconditional medians of +4.2% and +8.4% over the same history. The direction-confirmation rates after extreme pessimism (64.2% at three months, 70.0% at twelve) did not exceed the unconditional frequency of positive windows (65.3% and 78.1%); only the six-month rate (76.9% against 73.2%) modestly did. What survives comparison against the baseline is a conditional-median tendency at three to six months — a documented tendency, not a guarantee. The failure cases are shown alongside the hits, including the finding that extreme-optimism episodes were also followed by positive forward returns in the structurally rising sample; the drift of that sample discounts both tails symmetrically, which is precisely why the reading is conditioned on trend. The paper presents the conceptual framework, construction methodology at the disclosure level appropriate for a public methodology document, interpretation doctrine including the contrarian-conditioned-on-trend rule and the required comparison between structural and tactical readings, historical behaviour across the 2016–2026 window, validation statistics, and candid limitations. 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.21327608) always resolves to the latest version.
Author: Silva, Luiz F. Nunes da
Institution: Radar (United States)
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W7168120754
FWCI:
Cites:
Cited by:
Related to: