Statistician Measure Thyself

After producing a factor model to explain every body else's returns, I though honesty demanded that I regress my own trading profits onto the factor. First of is the monthly returns of the commodity pool I ran from 2000 to the end of 2003 (it was closed after a drawdown which coincided with personal committments that I could not neglect). The regression results are presented below.

During the period where the data coincides, my data is not well explained by the factor series. (I admit that this data is now a little ancient, but it is real.)

To follow: regressions for the Compact Model Portfolio.