Just five weeks ago, Saints' best ever start to a top-flight season saw them within a win of moving top of the table.
However, a 2-0 defeat at Arsenal put paid to those hopes and began a run which has seen them win just one of their past eight.
Those statistics do not fairly represent Saints' impressive displays, injury problems and level of opposition, but they do highlight areas to improve on.
"I don't think there is any feeling within the team that we're on a slippery slope or anything like that," midfielder Davis said.
"We have been in games, overall our general play has been good and we just have to cut out certain errors at the back and be a bit more clinical going forward as a team as well.
"I don't think it has dented our confidence in anyway. There is still that belief in terms of how we want to play and everybody is 100 per cent behind the methods.
"I think if the start of the season we had been looking at this position, we would have been relatively happy.
"We have seen a lot of progression from where we came from, our first Premier League season.
"This month, in particular, has been difficult in terms of the fixtures we've had. We've probably been a little unfortunate in certain games, naive in certain games.
"That is something we need to learn from and try to put right.
"As a whole, there are a lot of positives to take forwards and a good progression being made."
Something Davis knows Saints could do with is a mental strength similar to Wednesday's opponent Chelsea.
Despite having failed to reach their best yet, the west London side could go top of the pile on New Year's Day thanks to an unerring ability to grind out results.
"We managed to beat them towards the end of the season when we beat some of the bigger teams at home last season," Davis said. "It is something we hope to replicate again.
"We know how strong Chelsea are, even though they don't seem to be firing on all cylinders yet.
"We see where they are in the table and they seem to have that mentality within them and an efficiency in their game. That is something we need to try and get into ours as well.
"It is a really good game to look forward to for us and one we will go into with belief of winning."
That confidence is no doubt boosted by the exciting young talent on display at Southampton.
Eight English players began Sunday's 2-1 defeat at Everton, including senior internationals Rickie Lambert, Jay Rodriguez and Adam Lallana.
The latter's fine form has seen him linked with a January move to Manchester United, while teenage left-back Luke Shaw has been widely mentioned as Ashley Cole's heir at Chelsea.
The big clubs might be ready to swoop, but Davis believes there are few better places than St Mary's for home-grown talent to flourish.
"If you ask them yourself, they are totally happy at the club and enjoying the road we are on at this moment in time," the Northern Ireland captain said.
"I think it is inevitable with the way that the lads are playing at their age as well that they are going to be linked to big clubs.
"There are a number here with massive futures ahead of them."