Davis Commodities LLC

Davis Commodities Trading Program *QEP*


Monthly Performance (%)

Date Range: 12/15 - 11/18
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec  YTD 
2018 -2.31 3.80 5.81 1.13 -1.06 -5.43 0.99 1.89 -1.86 -1.58 -2.09   -1.20 
2017 2.35 -1.38 -1.40 -3.22 -2.52 9.37 6.20 6.42 -1.69 -1.99 -1.67 0.60  10.62 
2016 -2.28 3.78 -1.88 -6.33 4.94 6.60 -10.97 -5.60 -2.05 -5.23 -4.27 0.22  -21.96 
Note: Estimates appear in italics. All performance data is since program inception.

Strategy Description

Focus is in agriculture commodity markets. Trading instruments include futures, spreads, and options. Davis Commodities performs fundamental balance sheet analysis on the grain markets. Maintains US and world S&Ds for corn, wheat, and soybeans. Maintains world export and import matrixes for corn, wheat, soybeans, and soybean meal. Monitors trade data including US and major exporter shipments by destination. Utilizes historical studies and regression analysis to forecast price projections.

Performance Statistics

Date Range: 12/15 - 11/18
  Program S&P 500 Altegris 40 
Total Return -14.71% 41.14% -8.68% 
Annualized Return -5.31% 12.17% -2.98% 
Annualized Std. Deviation 14.72% 9.27% 7.88% 
Correlation -0.15 0.06 
Sharpe Ratio (rf=2.5%) -0.53 1.04 -0.69 
Worst Month -10.97% -6.84% -6.10% 
Date of Worst Month 07/2016 10/2018 02/2018 
Worst Drawdown -29.72% -6.84% -12.29% 
Date of Worst Drawdown 6/16 - 5/17 9/18 - 10/18 2/16 - 9/17 
Note: Estimates appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 12/15 - 11/18

Year or YTD Program S&P 500 Altegris 40 
2018 -1.20 5.11 -4.69 
2017 10.62 21.84 1.24 
2016 -21.96 11.98 -3.13 
Note: Estimates appear in italics. All performance data is since program inception.

Performance Comparison

Date Range: 12/15 - 11/18
Date: 11/30/2018
Perf: $934.74 Date: 10/31/2018
Perf: $946.09 Date: 9/30/2018
Perf: $970.05 Date: 8/31/2018
Perf: $974.44 Date: 7/31/2018
Perf: $950.21 Date: 6/30/2018
Perf: $957.39 Date: 5/31/2018
Perf: $949.41 Date: 4/30/2018
Perf: $961.82 Date: 3/31/2018
Perf: $951.54 Date: 2/28/2018
Perf: $952.40 Date: 1/31/2018
Perf: $1,014.27 Date: 12/31/2017
Perf: $980.73 Date: 11/30/2017
Perf: $970.15 Date: 10/31/2017
Perf: $968.89 Date: 9/30/2017
Perf: $929.93 Date: 8/31/2017
Perf: $949.97 Date: 7/31/2017
Perf: $934.46 Date: 6/30/2017
Perf: $930.83 Date: 5/31/2017
Perf: $958.83 Date: 4/30/2017
Perf: $957.01 Date: 3/31/2017
Perf: $962.79 Date: 2/28/2017
Perf: $977.05 Date: 1/31/2017
Perf: $956.21 Date: 12/31/2016
Perf: $968.70 Date: 11/30/2016
Perf: $961.40 Date: 10/31/2016
Perf: $972.09 Date: 9/30/2016
Perf: $997.84 Date: 8/31/2016
Perf: $1,010.88 Date: 7/31/2016
Perf: $1,038.82 Date: 6/30/2016
Perf: $1,028.33 Date: 5/31/2016
Perf: $986.41 Date: 4/30/2016
Perf: $1,003.98 Date: 3/31/2016
Perf: $1,029.83 Date: 2/29/2016
Perf: $1,060.26 Date: 1/31/2016
Perf: $1,034.80 Date: 12/31/2015
Perf: $1,000.00 Date: 11/30/2018
Perf: $1,434.11 Date: 10/31/2018
Perf: $1,405.44 Date: 9/30/2018
Perf: $1,508.63 Date: 8/31/2018
Perf: $1,500.08 Date: 7/31/2018
Perf: $1,452.72 Date: 6/30/2018
Perf: $1,400.61 Date: 5/31/2018
Perf: $1,391.98 Date: 4/30/2018
Perf: $1,359.23 Date: 3/31/2018
Perf: $1,354.08 Date: 2/28/2018
Perf: $1,389.37 Date: 1/31/2018
Perf: $1,442.60 Date: 12/31/2017
Perf: $1,364.42 Date: 11/30/2017
Perf: $1,349.44 Date: 10/31/2017
Perf: $1,309.25 Date: 9/30/2017
Perf: $1,279.44 Date: 8/31/2017
Perf: $1,253.61 Date: 7/31/2017
Perf: $1,249.74 Date: 6/30/2017
Perf: $1,224.51 Date: 5/31/2017
Perf: $1,216.97 Date: 4/30/2017
Perf: $1,200.05 Date: 3/31/2017
Perf: $1,187.81 Date: 2/28/2017
Perf: $1,186.39 Date: 1/31/2017
Perf: $1,141.09 Date: 12/31/2016
Perf: $1,119.81 Date: 11/30/2016
Perf: $1,098.07 Date: 10/31/2016
Perf: $1,058.89 Date: 9/30/2016
Perf: $1,078.52 Date: 8/31/2016
Perf: $1,078.31 Date: 7/31/2016
Perf: $1,076.80 Date: 6/30/2016
Perf: $1,038.48 Date: 5/31/2016
Perf: $1,035.79 Date: 4/30/2016
Perf: $1,017.47 Date: 3/31/2016
Perf: $1,013.52 Date: 2/29/2016
Perf: $949.16 Date: 1/31/2016
Perf: $950.40 Date: 12/31/2015
Perf: $1,000.00 Date: 11/30/2018
Perf: $852.93 Date: 10/31/2018
Perf: $871.14 Date: 9/30/2018
Perf: $885.12 Date: 8/31/2018
Perf: $901.90 Date: 7/31/2018
Perf: $885.17 Date: 6/30/2018
Perf: $876.49 Date: 5/31/2018
Perf: $926.82 Date: 4/30/2018
Perf: $936.75 Date: 3/31/2018
Perf: $926.28 Date: 2/28/2018
Perf: $875.42 Date: 1/31/2018
Perf: $843.37 Date: 12/31/2017
Perf: $863.31 Date: 11/30/2017
Perf: $858.16 Date: 10/31/2017
Perf: $872.74 Date: 9/30/2017
Perf: $890.46 Date: 8/31/2017
Perf: $905.77 Date: 7/31/2017
Perf: $851.12 Date: 6/30/2017
Perf: $801.44 Date: 5/31/2017
Perf: $732.77 Date: 4/30/2017
Perf: $751.72 Date: 3/31/2017
Perf: $776.73 Date: 2/28/2017
Perf: $787.76 Date: 1/31/2017
Perf: $798.78 Date: 12/31/2016
Perf: $780.44 Date: 11/30/2016
Perf: $778.73 Date: 10/31/2016
Perf: $813.46 Date: 9/30/2016
Perf: $858.35 Date: 8/31/2016
Perf: $876.32 Date: 7/31/2016
Perf: $928.30 Date: 6/30/2016
Perf: $1,042.69 Date: 5/31/2016
Perf: $978.13 Date: 4/30/2016
Perf: $932.08 Date: 3/31/2016
Perf: $995.07 Date: 2/29/2016
Perf: $1,014.14 Date: 1/31/2016
Perf: $977.20 Date: 12/31/2015
Perf: $1,000.00
Note: All performance data is since program inception.

Monthly Returns

Date Range: 12/15 - 11/18
Date: 11/30/2018
Return: -2.09 % Date: 10/31/2018
Return: -1.58 % Date: 9/30/2018
Return: -1.86 % Date: 8/31/2018
Return: 1.89 % Date: 7/31/2018
Return: 0.99 % Date: 6/30/2018
Return: -5.43 % Date: 5/31/2018
Return: -1.06 % Date: 4/30/2018
Return: 1.13 % Date: 3/31/2018
Return: 5.81 % Date: 2/28/2018
Return: 3.80 % Date: 1/31/2018
Return: -2.31 % Date: 12/31/2017
Return: 0.60 % Date: 11/30/2017
Return: -1.67 % Date: 10/31/2017
Return: -1.99 % Date: 9/30/2017
Return: -1.69 % Date: 8/31/2017
Return: 6.42 % Date: 7/31/2017
Return: 6.20 % Date: 6/30/2017
Return: 9.37 % Date: 5/31/2017
Return: -2.52 % Date: 4/30/2017
Return: -3.22 % Date: 3/31/2017
Return: -1.40 % Date: 2/28/2017
Return: -1.38 % Date: 1/31/2017
Return: 2.35 % Date: 12/31/2016
Return: 0.22 % Date: 11/30/2016
Return: -4.27 % Date: 10/31/2016
Return: -5.23 % Date: 9/30/2016
Return: -2.05 % Date: 8/31/2016
Return: -5.60 % Date: 7/31/2016
Return: -10.97 % Date: 6/30/2016
Return: 6.60 % Date: 5/31/2016
Return: 4.94 % Date: 4/30/2016
Return: -6.33 % Date: 3/31/2016
Return: -1.88 % Date: 2/29/2016
Return: 3.78 % Date: 1/31/2016
Return: -2.28 % Date: 12/31/2015
Return: 0.00 %
Note: All performance data is since program inception.

Distribution of Monthly Returns

Date Range: 12/15 - 11/18
Return: 1.00 %
Count: 3 Return: 6.00 %
Count: 3 Return: 9.00 %
Count: 1 Return: -3.00 %
Count: 2 Return: -1.00 %
Count: 3 Return: 2.00 %
Count: 2 Return: -4.00 %
Count: 1 Return: -5.00 %
Count: 2 Return: -11.00 %
Count: 1 Return: 7.00 %
Count: 1 Return: 5.00 %
Count: 1 Return: -6.00 %
Count: 2 Return: 4.00 %
Count: 2 Return: -2.00 %
Count: 10 Return: 0.00 %
Count: 2
Note: All performance data is since program inception.

Underwater Curve

Date Range: 12/15 - 11/18
Date: 11/30/2018
Drawdown: -18.20 % Date: 10/31/2018
Drawdown: -16.45 % Date: 9/30/2018
Drawdown: -15.11 % Date: 8/31/2018
Drawdown: -13.50 % Date: 7/31/2018
Drawdown: -15.11 % Date: 6/30/2018
Drawdown: -15.94 % Date: 5/31/2018
Drawdown: -11.11 % Date: 4/30/2018
Drawdown: -10.16 % Date: 3/31/2018
Drawdown: -11.16 % Date: 2/28/2018
Drawdown: -16.04 % Date: 1/31/2018
Drawdown: -19.12 % Date: 12/31/2017
Drawdown: -17.20 % Date: 11/30/2017
Drawdown: -17.70 % Date: 10/31/2017
Drawdown: -16.30 % Date: 9/30/2017
Drawdown: -14.60 % Date: 8/31/2017
Drawdown: -13.13 % Date: 7/31/2017
Drawdown: -18.37 % Date: 6/30/2017
Drawdown: -23.14 % Date: 5/31/2017
Drawdown: -29.72 % Date: 4/30/2017
Drawdown: -27.91 % Date: 3/31/2017
Drawdown: -25.51 % Date: 2/28/2017
Drawdown: -24.45 % Date: 1/31/2017
Drawdown: -23.39 % Date: 12/31/2016
Drawdown: -25.15 % Date: 11/30/2016
Drawdown: -25.32 % Date: 10/31/2016
Drawdown: -21.98 % Date: 9/30/2016
Drawdown: -17.68 % Date: 8/31/2016
Drawdown: -15.96 % Date: 7/31/2016
Drawdown: -10.97 % Date: 6/30/2016
Drawdown: 0.00 % Date: 5/31/2016
Drawdown: -3.55 % Date: 4/30/2016
Drawdown: -8.09 % Date: 3/31/2016
Drawdown: -1.88 % Date: 2/29/2016
Drawdown: 0.00 % Date: 1/31/2016
Drawdown: -2.28 %
Note: All performance data is since program inception.

Underwater Curve

Manager Information

Manager Name:  Davis Commodities LLC
Address: 9047 Poplar Ave, Suite 101
City: Germantown
State: TN
Zip: 38138
Country: United States

Key People

Name:  Stephen Davis
Position:  Portfolio Manager
Biography: 


Additional Information

 Futures Sectors Traded
 Grains Yes 
 Meats Yes 
 Investment Methodology
 Fundamental Analysis Yes 
 Discretionary Yes 
 Sector Specialist Yes 
 Instruments Traded
 Futures Yes 
 Listed Options Yes 
 Geographical Focus
 United States Yes 
 Holding Period
 Investment Terms & Information
 Managed Account Minimum: $250,000 
 Margin / Equity Ratio: 6% 
 Managed Account Availability: Open