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Davis Commodities, LLC - Agricultural Program
Principal(s): Stephen DavisStrategy: Fundamental / Agricultural
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Trading Description, Risk Strategy & Background
The primary focus of the trading program is agricultural commodity markets with particular emphasis on soybean, soybean products, and commodity 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 general 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.
N/A
Stephen Davis is the owner and trading principal of Davis Commodities, LLC. Stephen started his career on the floor of the Chicago Board of Trade as a runner for Refco, Inc during a summer internship. After graduation in 1994 from the University of Tennessee, he returned to Memphis to work for Refco. The affiliation of the Memphis office with Sparks Companies' research offered him the opportunity to learn the complex fundamental structure of the grain, oilseed, and livestock markets. In 2006, after eleven years in brokerage, Stephen went to work for Dicken Commodities, Inc. to gain experience in fund trading and asset management.
During his time at Dicken, Stephen learned the art of managing a large commodity portfolio. Work at Dicken Commodities gave him plenty of opportunity to hone his trading skills all while helping to administer the day to day activities of a large asset manager. While at Dicken his responsibilities included: research, trade execution, trade idea development, and risk management. In 2006, Stephen began trading his own account and added other discretionary accounts over the years. Starting in 2017, he worked to launch Davis Commodities, LLC as a full-time CTA.
Accounting Notes:
Proprietary Performance Pro-Forma Adjusted for a 2% Management Fee and 20% Incentive Fee from Jan 2012 through Dec 2015. Jan 2016 onwards performance data began applying to Davis Commodities rather than individual Stephen Davis. Trading Style has remained the same through the transition.Proprietary Performance Pro-Forma from Jan 2012 through Dec 2015. Davis Commodities Performance from Jan 2016. Please see Acct Notes for Additional Information.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | -0.03% | -0.31% | 0.22% | -0.12% | -0.34% | |||||||||
| 2024 | 5.39% | 5.95% | -2.53% | 0.19% | -5.54% | 1.51% | 4.87% | 0.92% | -2.27% | 4.60% | 0.33% | 0.79% | 14.39% | -7.75% |
| 2023 | 0.23% | -1.40% | -0.45% | 3.08% | 2.30% | -0.85% | -1.04% | -0.10% | -0.87% | -1.91% | -0.75% | 3.24% | 1.32% | -5.4% |
| 2022 | 4.93% | 4.05% | -0.88% | -1.90% | 0.19% | 0.59% | -0.67% | -3.42% | 2.34% | -0.51% | -0.69% | 1.72% | 5.57% | -5.99% |
| 2021 | -1.06% | 1.09% | -4.28% | 5.65% | 1.89% | -0.76% | -3.47% | 2.36% | 1.31% | -0.58% | -0.59% | -0.07% | 1.11% | -4.28% |
| 2020 | 3.83% | 0.31% | 0.80% | 4.55% | -0.30% | 1.91% | 2.13% | 4.25% | 3.61% | 3.40% | 4.89% | 4.46% | 39.38% | -0.3% |
| 2019 | -2.02% | -2.11% | -2.98% | 2.10% | 5.99% | -3.54% | -1.32% | -2.09% | 3.15% | 3.41% | -1.96% | 1.57% | -0.31% | -6.95% |
| 2018 | -2.31% | 3.80% | 5.81% | 1.13% | -1.06% | -5.42% | 0.99% | 1.89% | -1.86% | -1.58% | -2.09% | -0.81% | -2% | -9.68% |
| 2017 | 2.35% | -1.38% | -1.40% | -3.22% | -2.52% | 9.37% | 6.20% | 6.42% | -1.69% | -1.99% | -1.67% | 0.58% | 10.6% | -8.26% |
| 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% | -25.32% |
| 2015 | 3.84% | -4.05% | 4.02% | 2.09% | 3.42% | -5.40% | 3.29% | 2.48% | 1.46% | 0.91% | 0.58% | 3.08% | 16.31% | -5.4% |
| 2014 | 2.27% | -2.62% | -4.31% | -0.86% | -3.57% | 4.20% | 6.70% | 4.65% | 7.90% | -6.94% | -1.39% | 0.78% | 5.78% | -10.92% |
| 2013 | 0.19% | 3.96% | 2.16% | 2.45% | -2.30% | 0.71% | 3.36% | -1.46% | 4.90% | 1.67% | 1.16% | 1.65% | 19.81% | -2.3% |
| 2012 | -1.33% | 2.67% | 2.60% | 4.79% | -5.43% | 7.52% | 23.41% | 7.48% | -8.81% | -4.24% | -0.76% | -1.13% | 25.86% | -14.32% |
Annual Performance
| Years | 2012 | 2013 | 2014 | 2015 | 2016 | 2017 |
|---|---|---|---|---|---|---|
| ROR | 25.86% | 19.81% | 5.78% | 16.31% | -21.96% | 10.60% |
| Max DD | -14.32% | -2.30% | -10.92% | -5.40% | -25.32% | -8.26% |
| Years | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 |
|---|---|---|---|---|---|---|
| ROR | -2.00% | -0.31% | 39.38% | 1.11% | 5.57% | 1.32% |
| Max DD | -9.68% | -6.95% | -0.30% | -4.28% | -5.99% | -5.40% |
| Years | 2024 | 2025 YTD |
|---|---|---|
| ROR | 14.39% | -0.12% |
| Max DD | -7.75% | -0.34% |
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.
VAMI, Assets under Management & Worst Drawdown
Monthly Returns
RISK DISCLOSURE
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS AND/OR FOREIGN EXCHANGE ('FOREX') IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.
THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.
AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.
Footnotes & Definitions:
- P - Proprietary Trading Results
- C - Client Trading Results
- Fixed Trade Level: The programs trades a fixed number of contracts in a nominal account regardless of the account value.
- Rates of Return: The Annual Compound Rate of Return ("Annual CROR") represents the compounded rate of return or each year or portion thereof presented. It is computed by applying successively respective monthly rate of return for each month beginning with the first month of that period. Annual CROR is not applicable to CTAs that sum their monthly returns.
- Worst Peak-to-Valley Drawdown: The Worst Peak-to-Valley Drawdown ("Worst Drawdown") is defined as the greatest cumulative percentage decline in net asset value due to losses sustained by the trading program during any period in which the initial net asset value is not equaled or exceeded by a subsequent asset value.
- Start & End Dates: Indicates the Start and End Dates of the Worst Peak-to-Valley Drawdown.
- Current Losing Streak: The Current Losing Streak ("Losing Streak") represents the extent of the Advisor's current drawdown.
- Annualzied Standard Deviation: Annualized Standard Deviation is one way to look at consistency of returns. It measures the degree by which the monthly returns vary from the average (mean) return.
- Downside Deviation: Downside Deviation is a measure of downside volatility. It only considers those monthly performance results that are less than the monthly Minimum Acceptable Rate of Return.
- Sharpe Ratio: Sharpe Ratio is a risk-adjusted ratio that rewards consistency of returns. Traders are penalized for volatility regardless of whether it is on the up or downside. The Sharpe Ratios is calculated using a 1% risk-free rate of return.
- Sortino Ratio: Sortino Ratio is a risk-adjusted ratio. The higher the number the better. Results are dependent upon the Minimum Acceptable Rate of Return (currently set at 5%.
- Sterling Ratio: Sterling Ratio is a risk-adjusted return measurement calculated by dividing the Annualized Compound ROR by the Average Yearly Maximum Drawdown less an arbitrary 10%. The Sterling Ratio is normally calculated using the last 36 months of data.
- Calmar Ratio: Calmar Ratio represents the historical amount gained for each dollar risked. A higher number is better. Unless otherwise denoted the Calmar Ratio is calculated by dividing the 36 month Compounded ROR by the 36 month Peak to Valley Drawdown. Traders with less than 36 months of data or a negative Calmar Ratio will be indicated by N/A.
- Omega Function: The Omega Function accounts for the non-normal distributions of returns and takes into account the investor's preferences for loss and gain. Omega is computed directly from the returns distribution and measures the total impact of the moments instead of each one of them individually.
- Minimum Investment: Minimum Investment represents the minimum account size.
- Assets Under Management: Assets Under Management ("AUM") represents the current nominal assets traded by the Manager.
- Number of Winning Months: Number of Winning Months represents the months with positive return.
- Number of Losing Months: Number of Losing Months represents the months with negative return.
- Percentage of Winning Months: Percentage of Winning Months represents the % of winning months.
- Margin to Equity: Margin to Equity ("Margin") represents the average margin as a percent of a fully funded account.
- Round Turns per Million: Round Turns per Million ("Round Turns") represent the average number of round turns that would be generated in a $1,000,000 account.
- Average Commission: The Average Commission ("Avg Comm") represents the average commission rate of the composite track record. A higher or lower commission rate would increase or decrease the performance accordingly.
- Maximum Commisions: Maximum Commission ("Max Comm") is the Maximum Round Turn Rate allowable by the Manager.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS