 In 2004 Davey played bass guitar on the "Alfie" soundtrack and also performed on tracks for the "Be Cool" soundtrack in 2005.In 2006 Davey directed his debut feature documentary "The Canary Effect", which premiered at the Tribeca Film Festival and was also awarded the Stanley Kubrick Award for Bold and Innovative Film Making at Michael Moore's Traverse City Film Festival the same year.In 2006 Davey also formed his current band The Bastard Fairies with Native American artist and singer Yellow Thunder Woman.