CAP LOCK - shift key for lower case

This is my first Mac, so this might seem like a dumb question. I have to primarily use capital letters for work, so I always have cap lock on. With my last few laptops and even my work PC can use shift key to modify to lowercase while cap lock is on, for some reason I can't find a way to enable it in the settings. Any solutions to by pass this annoyance would be appreciated.