Radar Perene Working Paper Series, No. RPWP-001 · Version 1.0 · July 2026 Market observers in Brazil, as elsewhere, habitually reason from isolated indicators — an index level, a volatility print, a single valuation multiple — even though episodes of systemic stress and systemic exuberance are joint phenomena that no single series captures. The result is a persistent interpretive gap: participants can state where the Ibovespa is, but not where the market stands within its own behavioural history. This paper introduces the Perene Risk Index, a daily composite regime indicator for the Brazilian equity market and the founding instrument of the Radar Perene research program. The index measures the market's prevailing appetite for risk — the degree to which the domestic equity environment is behaving in a risk-embracing or defensive manner — by aggregating observable market behaviour rather than opinion or survey data. Its components are drawn from two categories: market breadth and internals (the participation of a broad, liquidity-filtered universe of Brazilian listed equities in prevailing trends) and size/liquidity preference (the relative behaviour of small-capitalization equities against the large-capitalization benchmark). Sentiment-type inputs are deliberately excluded; within the Radar Perene program these are held by a sibling indicator, so that the two instruments are mechanically decoupled by construction — they share no inputs. Construction proceeds in three conceptual stages, described here without proprietary parameters: each component is bounded through a rolling-percentile transformation against its own recent history; bounded components are aggregated with renormalization over the components present on each date; and the aggregate is expressed through a final range-ranking within a rolling window, producing a 0–100 scale in which 0 and 100 denote the extremes of the market's own recent range. Daily history extends to 2000, with coverage gating where underlying data begin later. The index is for locating the present within the distribution of the market's own past: identifying capitulation extremes (readings near 0 in January 2016, the 2018 truckers' strike, and March 2020), euphoric extremes (cyclical tops historically near 93 on the pre-saturation composite — the aggregate prior to the final range-ranking stage), and the transitions between them. It is not for forecasting returns, timing individual securities, or replacing valuation, macroeconomic, or fundamental analysis. A sequential-signal study using the index's public bands, with all statistics recomputed on the production series as of July 2026, shows historically favourable but imperfect asymmetries — roughly two of every three historical signals were followed by profitable windows, and roughly one of every three was not, against an unconditional base in which roughly three of every five windows of comparable horizon were positive — and the paper documents saturation at the scale's extremes, coverage limitations before 2009 in one component category, and the restriction of all statistics to the post-2000 monetary regime. A documented 2026 recalibration, in which a component-sourcing defect was found and corrected with essentially unchanged results, is reported as evidence of the construction's robustness and of the program's audit discipline. 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.21325743) always resolves to the latest version. Version 2.2: second evidence round — the persistence race (run and lost, reported in full), threshold-sensitivity grid, per-era decomposition, internal-contradiction reconciliation, CISS/FSI and Brazilian literature engagement, and the companion data package (10.5281/zenodo.21399427). All tests, favourable and unfavourable, documented. Version 2.3: consolidation round — the pre-2019 credit-dormancy claim is withdrawn and replaced by a direct recomputation (era-uniform mechanical footprint); the pre-2009 event count is corrected (23 of 56, 41%, strengthening the 2009-onward record); the contribution is restated as two deliverables (dimensional separation with macro content on the credit axis; taxonomy, doctrine and governance), anchored by classification divergence from the trivial price benchmark (kappa 0.162); a reading-discipline section, an explicit validity horizon with a pre-registered regime gate, and a fully published IBC-Br nowcasting null are added. No component, weight, construction stage, or previously reported statistic changed. Companion data package: 10.5281/zenodo.21399427.
Luiz F. Nunes da Silva (Thu,) studied this question.