Deep-dive into our calculation engine, institutional benchmarking, and regulatory compliance framework.
CapX100's analytics are built on institutional-grade methodologies used by the world's largest asset managers. Every calculation is designed for audit-trail transparency and regulatory compliance.
TWR = [(1 + R₁) × (1 + R₂) × ... × (1 + Rₙ)] - 1
Where each R represents the return for a sub-period between cash flows. TWR eliminates the distortion caused by investor deposits and withdrawals, providing a pure measure of portfolio manager performance. This is the GIPS-mandated standard for performance reporting.
Total Return = Allocation Effect + Selection Effect + Interaction Effect
Brinson-Fachler decomposes portfolio outperformance into two components: (1) Allocation Effect—how well you over/underweighted sectors vs. benchmark, and (2) Selection Effect—how well you picked securities within each sector. This granular attribution helps explain exactly where alpha comes from.
VaR(95%) = Portfolio Value × Z-score(95%) × Volatility
VaR quantifies the maximum loss expected at a given confidence level (e.g., 95%) over a specific time horizon. CVaR (Expected Shortfall) goes further by calculating the average loss beyond the VaR threshold. Both are critical for MiFID III suitability assessments and stress testing.
Modified Duration = -dP/dY × (1/P)
We calculate duration, convexity, key rate durations, and spread duration for every bond holding. This enables precise interest rate sensitivity analysis and supports SEC Marketing Rule evidence for fixed-income performance claims.
How CapX100 compares to industry-standard platforms used by the largest asset managers globally.
| Metric | CapX100 | Bloomberg PORT | Aladdin | StatPro |
|---|---|---|---|---|
| TWR Performance | ✓ Full | ✓ Full | ✓ Full | ✓ Full |
| Brinson-Fachler Attribution | ✓ Full | ✓ Full | ✓ Full | ✓ Full |
| VaR/CVaR Risk | ✓ Full | ✓ Full | ✓ Full | ✓ Limited |
| Fixed Income Duration | ✓ Full | ✓ Full | ✓ Full | ✓ Full |
| Decimal Parity (2 decimals) | ✓ 0.01 | ✓ 0.01 | ✓ 0.01 | ✓ 0.01 |
| GIPS 2025 Ready | ✓ Yes | ✓ Yes | ✓ Yes | ✓ Yes |
| Deployment Model | Service | Software | Software | Software |
Key Difference: While CapX100 matches institutional-grade calculation standards, we deliver results as a service—no software licensing, no implementation projects, no IT overhead. You get the analytical depth of a €50B+ asset manager's quant team without the cost.
Example of the analytical output you'll receive. This is based on a synthetic €500M portfolio with 60/40 equity/fixed-income allocation.
YTD Return
+8.42%
Benchmark Return
+7.15%
Outperformance
+127 bps
Volatility
9.23%
Sharpe Ratio
0.91
Sortino Ratio
1.34
Max Drawdown
-12.4%
VaR (95%)
-1.52%
CVaR (95%)
-2.18%
Beta
0.98
How CapX100's analytics satisfy regulatory requirements across major jurisdictions.
Requirement: Chain-linked TWR, full calculation transparency, composite construction, and verification.
CapX100 Solution: We calculate chain-linked TWR for every composite, provide full audit trail documentation, and generate GIPS-compliant verification reports. All calculations meet GIPS 2025 precision standards.
Requirement: Fair, balanced, and substantiated performance advertising. Must include benchmarks, risk metrics, and disclaimers.
CapX100 Solution: We generate SEC-compliant performance reports with benchmarking, risk-adjusted returns (Sharpe, Sortino), and required disclaimers. Every claim is backed by documented calculations.
Requirement: Suitability and appropriateness evidence. Risk profiling, scenario analysis, and cost-benefit analysis.
CapX100 Solution: Our VaR/CVaR analysis, stress testing, and scenario outputs provide the quantitative evidence needed for MiFID III suitability documentation. We generate client-ready risk reports.
Requirement: Fair value evidence, cost-benefit analysis, and outcome tracking.
CapX100 Solution: We provide fair value evidence through performance attribution, cost analysis, and risk-adjusted return metrics. All outputs support FCA Consumer Duty compliance.