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Capacity scenario workbench

Turn explicit assumptions into a conditional capital bound, sleeve-level participation and a cost sensitivity table.

Scope: long-only cash-notional baskets with weights summing to 100%. This simple sensitivity model excludes leverage, short borrow, market depth, correlated impact, queue position, opportunity cost and alpha decay. No live market data is supplied. Dollar ADV and costs must share the same currency.

01 / Declare the scenario

Scenario capital (USD)All sleeves, including cash. 1–1 trillion.Execution window (sessions)0.01–252 sessions; uniform assumed volume.Volume multiplier1 = stated ADV; 0.5 = half volume.Participation limit (%)Applied to each traded sleeve.Fees (bps / traded dollar)Explicit charges, non-negative.Half spread (bps)One crossing per traded dollar.Impact coefficient (bps)Uncalibrated sensitivity coefficient.Cost limit (bps / traded dollar)Per-sleeve limit, not portfolio drag.

02 / Describe the basket

Fraction traded is the absolute order divided by that sleeve’s capital, not a fund turnover statistic. 20% means 0.20 in the exported JSON. Use a zero traded fraction for untraded cash.

Sleeve	Weight (%)	Fraction traded (%)	Dollar ADV	Action

Import scenario JSONMaximum 200 KB. Parsed in this browser only.

03 / Inspect the constraint

Conditional capital bound

Scenario trading cost

Portfolio cost

Gross traded / capital

The bound is the minimum across traded sleeves. It is not deployable capacity, a liquidity guarantee or a return forecast. Costs are paid on gross traded notional; portfolio drag is divided by total capital.

Sleeve	Order (USD)	Participation	Cost (bps)	Cost (USD)	Capital bound	Constraint

Hold the basket fixed; vary capital.

Capital	Max participation	Portfolio cost (bps)	Constraint

The grid keeps weights, traded fractions, cost coefficients and available volume fixed. Scenarios outside the supported capital range are omitted. Cost is a square-root heuristic, not a fitted execution model.

The equations stay attached.

Quantity	Definition
Order	Capital × weight × traded fraction
Window volume	Dollar ADV × volume multiplier × sessions
Participation	Order ÷ window volume
Cost per traded dollar	Fee bps + half-spread bps + coefficient × √participation
Portfolio drag (bps)	Sum(order × cost bps) ÷ capital
Participation capital bound	Participation limit × window volume ÷ (weight × traded fraction)
Cost implied participation	((Cost limit − fees − half spread) ÷ coefficient)², if budget ≥ fixed costs and coefficient > 0
Combined capital bound	Minimum sleeve bound using the tighter of participation and cost limits

If the budget is below fixed cost, no positive trade passes. With zero impact coefficient and sufficient budget, only participation constrains the bound. An entirely untraded basket has undefined capacity.

Read the complete methodology