just two small remarks,

1. the point 
>     x[weird.rM,]
                  rj        rM
2004-05-17 -11.89823 -13.05386

is actually not a distorting outlier since it lies pretty much on the regression lines.

this is what Martin and Simin (2003) in the article mentioned earlier in the winzorization topic call a "good" outlier, since it confirms rather than disproves the parameter estimates.

2. except for the normal regression line, all other lines seem to be very similar so that choice does not really matter so much, dont you think so?

Zeno



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