Are there any online tools (optionally with developer API, to spare me the scraping) that given an existing portfolio, calculate how well a new candidate position would score to increase combined diversification/decrease risk?**
Or perhaps Linux tools that given parameters, can look up historical prices and whatever else they need to for instance return correlation values of individual positions relative to the rest (of that portfolio only, not the broader market or sector)? Beancounter was a great start.
Okay, I realize this may be vague, but I am also open-minded. My goal is to reduce correlations. For example if I already own SPY, then buying IWM (or shorting SDS) would be a poor choice for a new position, as this chart shows.
A tool that computes covariances? of each equity pair in a portfolio, then the combined portfolio variance plus some other aggregate stats based on those, would be nice.
A little bit more background perhaps. Using only very basic investment concepts I have built a process that, at the highest level, uses quantifiable fundamental analysis to screen out the universe of stocks and ETFs. Including market_cap, analyst_recom, average_volume, dividend_yield, P/E, Insider & Inst Own %s, to name a few.
Also daily at a lower level I further filter out candidates using more technical analysis, like short-term RSIs and performances, volatilities, exponential or simple_moving_averages, and average_true_range. (OK some are more for computing trade trigger parameters)
Somewhere in between, I'm looking to introduce criteria that actually considers the rest of the present portfolio and its positions' market values.
I found some websites like Correlation Analysis that take a stock basket to show a correlation matrix and some kind of Intra-portfolio diversification which is key. However that one doesn't factor in number of shares or size of each position.