Statistics of Price Movements of Flaherty & Crumrine Preferred Fund (PFO)

The price movements of Flaherty & Crumrine Preferred Fund (ticker PFO) are summarized in five ways:

• Table 1. Statistics of daily price changes using the closing prices
• Table 2. Statistics of daily price changes using the closing and opening prices
• Table 3 – 7. Statistics of daily price changes when PFO opened with an increase of 1%, 2%, 3%, 4%, or more than 5%
• Table 8 – 10. Statistics of stock price changes in the 20 days after PFO had a big price move
• Table 11. Statistics of daily price changes in the 20 days after PFO moved 5% with twice the 30-day average volume

The statistics are calculated using PFO's price data across 1,549 trading days from 2015 to 2020.

Table 1. Statistics of PFO one-day price changes

In this table, the one-day price change is calculated using the closing price and the previous day's closing price.

In the past 1,549 trading days, 50.3% of the time (778 days), PFO closed above the previous day's closing price. 41.7% of the time (646 days), it closed below the previous day's closing price. 8.0% of the time (124 days), it did not change.

Also see: VIX price movement study.

PFO Price Change (%)	Number of Days	% of Total Sessions
14 – 15%	2	0.13%
13 – 14%	1	0.06%
11 – 12%	1	0.06%
10 – 11%	1	0.06%
9 – 10%	1	0.06%
7 – 8%	2	0.13%
6 – 7%	2	0.13%
5 – 6%	1	0.06%
4 – 5%	5	0.32%
3 – 4%	11	0.71%
2 – 3%	13	0.84%
1 – 2%	113	7.30%
0 – 1%	625	40.37%
0%	124	8.01%
0 – -1%	472	30.49%
-1 – -2%	121	7.82%
-2 – -3%	32	2.07%
-3 – -4%	8	0.52%
-4 – -5%	4	0.26%
-5 – -6%	1	0.06%
-6 – -7%	3	0.19%
-7 – -8%	1	0.06%
-8 – -9%	1	0.06%
-13 – -14%	1	0.06%
-14 – -15%	1	0.06%
-25 – -26%	1	0.06%

Table 2. Statistics of PFO: Closing vs. Open

In this table, instead of using the closing price of the previous day, the opening price is used to calculate the one-day price change of PFO.

45.1% of the time (698 days), PFO closed above the opening price. 46.9% of the time (727 days), it closed below the opening price. 8.0% of the time (124 days), it closed where it started.

Closing - Open (%)	Number of Days	% of Total Sessions
22 – 23%	1	0.06%
14 – 15%	1	0.06%
12 – 13%	1	0.06%
9 – 10%	2	0.13%
5 – 6%	3	0.19%
4 – 5%	4	0.26%
3 – 4%	6	0.39%
2 – 3%	22	1.42%
1 – 2%	114	7.36%
0 – 1%	544	35.12%
0%	124	8.01%
0 – -1%	548	35.38%
-1 – -2%	121	7.81%
-2 – -3%	39	2.52%
-3 – -4%	9	0.58%
-4 – -5%	3	0.19%
-5 – -6%	4	0.26%
-7 – -8%	1	0.06%
-11 – -12%	1	0.06%
-21 – -22%	1	0.06%

Table 3. One-day performance when PFO opened 5% higher than previous close

In the past 1,549 trading days, PFO opened more than 5% higher than the previous day's closing price 0 times. Of these days, NaN% (0 days) had closing prices above the opening price, and NaN% (0 days) had closing prices below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions

Table 4. Closing vs. open when PFO opened 4–5% higher

On 4 days, PFO opened 4–5% higher than the previous day's closing price. Of these days, 25.0% (1 days) had closing prices above the opening price, and 75.0% (3 days) had closing prices below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions
9 – 10%	1	25.00%
0 – -1%	1	25.00%
-3 – -4%	1	25.00%
-5 – -6%	1	25.00%

Table 5. Closing vs. open when PFO open 3 – 4% higher

6 times PFO opened 3 – 4% higher than the previous day's closing price. Among these days, 50.0% (3 days) closed above the opening price, 50.0% (3 days) closed below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions
5 – 6%	1	16.67%
4 – 5%	1	16.67%
1 – 2%	1	16.67%
-3 – -4%	2	33.33%
-5 – -6%	1	16.67%

Table 6. Closing vs. open when PFO open 2 – 3% higher

11 times PFO opened 2 – 3% higher than the previous day's closing price. Among these days, 18.2% (2 days) closed above the opening price, 81.8% (9 days) closed below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions
3 – 4%	1	9.09%
0 – 1%	1	9.09%
0 – -1%	3	27.27%
-1 – -2%	2	18.18%
-2 – -3%	1	9.09%
-3 – -4%	1	9.09%
-4 – -5%	1	9.09%
-7 – -8%	1	9.09%

Table 7. Closing vs. open when PFO open 1 – 2% higher

73 times PFO opened 1 – 2% higher than the previous day's closing price. Among these days, 23.3% (17 days) closed above the opening price, 71.2% (52 days) closed below the opening price.

Closing - Open (%)	Number of Days	% of Total Sessions
9 – 10%	1	1.37%
5 – 6%	1	1.37%
3 – 4%	1	1.37%
2 – 3%	2	2.74%
1 – 2%	4	5.48%
0 – 1%	8	10.96%
0%	4	5.48%
0 – -1%	31	42.47%
-1 – -2%	13	17.81%
-2 – -3%	8	10.96%

Table 8. Periods when PFO moved 15% or more

In this table, we track the price movements in the 20 days after PFO had a one-day price change of at least 15%.

Date	Price Change	Price Change after 15% Move
Days after:		1	4	7	10	13	16	19
20200318	-25.6%	13.1	22.7	52.2	35.3	37.9	65.3	62.3

Table 9. Periods when PFO moved 10% or more

In this table, we track the price movements in the 20 days after PFO had a one-day price change of at least 10%.

Date	Price Change	Price Change after 10% Move
Days after:		1	4	7	10	13	16	19
20200324	14.9%	14.3	21.9	11.1	22.6	34.8	36.3	37.4
20200325	14.3%	11.3	5.2	-5.3	10.5	11.3	21.1	12.2
20200319	13.1%	10.7	24.0	32.1	20.4	32.9	46.1	47.8
20200326	11.2%	-2.5	-13.3	-11.7	5.9	4.0	7.4	1.9
20200320	10.6%	-14.8	24.6	17.9	6.1	23.8	24.6	35.7
20200312	-13.8%	7.7	-29.3	-24.6	10.3	4.3	-6.1	9.6
20200323	-14.7%	14.9	42.6	26.8	29.2	54.9	52.1	57.0
20200318	-25.6%	13.1	22.7	52.2	35.3	37.9	65.3	62.3

Table 9a. PFO average price changes following a 10% up day

Of the 1,549 trading days from 2015 to 2020, there were 5 days in which PFO was up more than 10%. This table shows the average price changes over the 5 days.

Average Type	Average Price Change
Days after:	1	4	7	10	13	16	19
Avg for Change ≥ 10%	3.8	12.5	8.8	13.1	21.4	27.1	27.0

Table 9b. PFO average price changes following a 10% down day

Of the 1,549 trading days from 2015 to 2020, there were 3 days in which PFO was down more than -10%. This table shows the average price changes over the 3 days.

Average Type	Average Price Change
Days after:	1	4	7	10	13	16	19
Avg for Change ≥ -10%	11.9	12.0	18.1	24.9	32.4	37.1	43.0

Table 10. Periods when PFO moved 5% or more

In this table, we track the price movements in the 20 days after PFO had a one-day price change of at least 5%.

Date	Price Change	Price Change after 5% Move
Days after:		1	4	7	10	13	16	19
20200324	14.9%	14.3	21.9	11.1	22.6	34.8	36.3	37.4
20200325	14.3%	11.3	5.2	-5.3	10.5	11.3	21.1	12.2
20200319	13.1%	10.7	24.0	32.1	20.4	32.9	46.1	47.8
20200326	11.2%	-2.5	-13.3	-11.7	5.9	4.0	7.4	1.9
20200320	10.6%	-14.8	24.6	17.9	6.1	23.8	24.6	35.7
20200407	9%	3.1	3.8	13.0	4.7	11.0	17.4	11.5
20200313	7.6%	-7.1	-25.7	-19.5	-.1	-11.2	-9.5	8.5
20181227	7.2%	-1.8	6.0	5.7	6.7	6.6	11.3	11.3
20200409	6.6%	.0	1.2	2.0	-4.8	3.2	2.6	1.2
20200424	6%	1.7	2.1	.2	1.6	-.7	-.4	.0
20200729	5.1%	-2.0	-1.3	-2.2	-2.0	.9	-2.2	-2.6
20200413	-5.5%	4.0	7.4	1.9	8.8	9.3	7.2	8.7
20200611	-6%	.1	1.3	2.1	-.6	1.5	2.6	.8
20200309	-6.2%	-.5	-8.8	-40.1	-36.1	-6.6	-11.7	-20.5
20200421	-6.6%	1.0	7.9	8.3	6.3	7.8	5.3	5.6
20200316	-7.1%	-4.8	-11.5	-.8	5.7	-3.7	6.3	16.9
20200401	-8.2%	.7	11.1	22.1	23.6	24.6	16.3	26.1
20200312	-13.8%	7.7	-29.3	-24.6	10.3	4.3	-6.1	9.6
20200323	-14.7%	14.9	42.6	26.8	29.2	54.9	52.1	57.0
20200318	-25.6%	13.1	22.7	52.2	35.3	37.9	65.3	62.3

Table 10a. PFO average price changes following a 5% up day

Of the 1,549 trading days from 2015 to 2020, there were 11 days in which PFO was up more than 5%. This table shows the average price changes over the 11 days.

Average Type	Average Price Change
Days after:	1	4	7	10	13	16	19
Avg for Change ≥ 5%	1.2	4.4	3.9	6.5	10.6	14.1	15.0

Table 10b. PFO average price changes following a 5% down day

Of the 1,549 trading days from 2015 to 2020, there were 9 days in which PFO was down more than -5%. This table shows the average price changes over the 9 days.

Average Type	Average Price Change
Days after:	1	4	7	10	13	16	19
Avg for Change ≥ -5%	4.0	4.8	5.3	9.1	14.4	15.3	18.5

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Also see: VIX price movement study.