The First World War drew Davis' attention away from academia, and he assisted in the production of a series of Oxford Pamphlets on the war and published a dispassionate analysis, "The Political Thought of Heinrich von Treitschke". In early 1915 Davis moved to London and assisted the organization of the Trade Clearing House, a body sponsored by the Admiralty and Board of Trade to pool intelligence on commercial trade gathered from the postal censorship. When the Trade Clearing House grew and became the War Trade Intelligence Department and part of the Ministry of Blockade, under the Foreign Office, Davis became the vice-chairman. He later wrote of the department's workings in "History of the Blockade", but left the work unfinished.