Regression of Citadel Kensington onto Trading Risk Factor

I thought it would be interesting to see how a very well known "flagship" hedge fund regressed onto our derived series of the risk premium accruing to the takers of trading risk. Following is a regression analysis of data for the Citadel Investments' Kensington Global Strategies Fund, Ltd. This data was taken from various public sources and omits most of the really interesting period (i.e. from December, 2007 until August, 2008 and October 2008 -- I did find data advertised for the "Wellington" fund for October, 2008, but decided to exclude that).
If somebody has data for this missing period, I'd be happy to receive it at blog@gillerinvestments.com.

I should point out that this is not any kind of attack on Ken Griffin or Citadel in any shape or form. (Mr. Griffin has created a huge and successful business out of nothing and is clearly a lot more prosperous and successful than I am and his companies have created great wealth for their investors.) It is a study of academic interest on a fund that is very much in the public eye -- nothing more than that.

Anyway, on to the data. Citadel Kensington displays a high beta and a very significant regression onto the factor (unlike the previous analysis, and since this concerns just one fund, I did not allow the regression procedure to fit the factor this time). If we exclude the Hedge Fund Crash of recent history the beta is about half as large but still significant. We should also note that Citadel has a significant alpha which is essentially eliminated by the recent history.

Now the data I've omitted I know includes more negative returns so the picture shown here probably overestimates the alpha and underestimates the beta. The cumulative performance is shown in the chart below.

From the chart we can see the effect of the positive beta, even before the drawdown at the end of the series.

As I wrote below that I do not believe in censoring data on the theory that there are some data that "don't fit" and so we should remove them. I believe that these strategies always had the capacity for such blow ups, we just hadn't wandered into that region of phase space yet.

UPDATE: I found the data for October, 2008, on Bloomberg, and have updated the charts and reports. This datum of -22% effectively kills the alpha of the fund, leaving it a 20% leveraged bed on the general factor (which, let's not forget, has a non-zero mean).