Davis Commodities, LLC : Davis Trading Program

Year-to-Date
0.70%
May Performance
5.99%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
14.40%
Sharpe (RFR=1%)
-0.32
CAROR
-4.58%
Assets
$ 15.0M
Worst DD
-29.72
S&P Correlation
-0.19

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index May Qtr YTD 1yr 3yr 5yr 10yr Since
1/2016
Davis Trading Program 5.99 4.99 0.70 -8.07 -12.91 - - -14.81
S&P 500 -6.58 -1.17 9.77 1.72 29.91 - - 40.40
+/- S&P 500 12.57 6.16 -9.07 -9.79 -42.82 - - -55.21

Strategy Description

Summary

The product is an agricultural based system which relies on the discretionary models built by Stephen Davis. The program will trade futures, options, and spreads. The CTA is 4.7 exempt.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 250k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$10.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
1843 RT/YR/$M
Avg. Margin-to-Equity
6%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Agricultural Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Fundamental
100.00%
Strategy Pie Chart

Composition

Grains
95.00%
Livestock
5.00%
Composition Pie Chart

Summary

The product is an agricultural based system which relies on the discretionary models built by Stephen Davis. The program will trade futures, options, and spreads. The CTA is 4.7 exempt.

Investment Strategy

The primary focus of the trading program is agricultural commodity markets with particular emphasis on soybean, soybean products, and corn futures and options, but does occasionally trade other markets. Mr. Davis develops trading strategies that may involve long or short futures positions as well as intra- and inter-market spread positions. Options are frequently used to manage risk exposure or generate additional opportunities. Technical or chart analysis is generally used only to help determine entrance and exit points, as Mr. Davis believes that fundamentals ultimately determine price movement.

Risk Management

Trades are reviewed on a daily basis in relation to leverage and margin to equity. One of the key philosophies of the trader is that positions must be justified every day. Once a trade has been placed, the entry price is not as important as the current market analysis. In other words, is the trade still working today and is there still a chance to profit from the trade. In addition to margin to equity, analysis of the net delta value of positions for each commodity is considered daily.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-29.72 11 - 6/1/2016 5/1/2017
-8.09 2 2 2/1/2016 4/1/2016
-2.28 1 1 1/1/0001 1/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
23.61 3 6/1/2017 8/1/2017
11.87 2 5/1/2016 6/1/2016
11.07 3 2/1/2018 4/1/2018
8.22 2 4/1/2019 5/1/2019
3.78 1 2/1/2016 2/1/2016
2.90 2 7/1/2018 8/1/2018
2.58 2 12/1/2016 1/1/2017
0.58 1 12/1/2017 12/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-25.32 5 7/1/2016 11/1/2016
-12.71 7 9/1/2018 3/1/2019
-8.26 4 2/1/2017 5/1/2017
-8.09 2 3/1/2016 4/1/2016
-6.42 2 5/1/2018 6/1/2018
-5.26 3 9/1/2017 11/1/2017
-2.31 1 1/1/2018 1/1/2018
-2.28 1 1/1/2016 1/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods41.0039.0036.0030.0024.0018.00
Percent Profitable39.0233.3338.8940.0041.6761.11
Average Period Return-0.31-1.27-2.42-2.50-0.04-0.62
Average Gain3.897.068.0611.2913.145.71
Average Loss-2.99-5.43-9.10-11.69-9.46-10.56
Best Period9.3723.6117.1126.4618.9916.25
Worst Period-10.97-17.68-25.15-25.08-19.86-15.95
Standard Deviation4.167.6910.2014.3812.429.31
Gain Standard Deviation2.696.385.397.964.084.56
Loss Standard Deviation2.254.025.979.385.674.74
Sharpe Ratio (1%)-0.09-0.20-0.29-0.24-0.12-0.28
Average Gain / Average Loss1.301.300.890.971.390.54
Profit / Loss Ratio0.830.650.560.640.990.85
Downside Deviation (10%)3.166.3210.1314.7413.6814.07
Downside Deviation (5%)2.955.658.7812.109.358.31
Downside Deviation (0%)2.905.488.4511.488.347.13
Sortino Ratio (10%)-0.23-0.39-0.48-0.51-0.56-0.77
Sortino Ratio (5%)-0.13-0.27-0.33-0.29-0.17-0.32
Sortino Ratio (0%)-0.11-0.23-0.29-0.22-0.01-0.09

Top Performer Badges

Index Award Type Rank Performance Period
Agricultural Trader Index Month 3 2.10 4/2019
Discretionary Trader Index Month 9 2.10 4/2019

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.