Davis Commodities, LLC : Davis Trading Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Since1/2016 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 SummaryThe 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% Composition Grains 95.00% Livestock 5.00% SummaryThe 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 StrategyThe 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 ManagementTrades 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel