Monthly returns seems to be the industry standard for everything. Markowitz used monthly returns in his original paper on mean-variance optimization, the efficient frontier, etc.

Did he ever provide any justification or reasoning for choosing monthly over weekly or daily or yearly?

  • $\begingroup$ Not that I know of. The monthly and quarterly returns have the advantage of being not too far from normally distributed (unlike the daily and weekly) but I don't know if this was already established at the time Markowitz was writing his paper (probably not). $\endgroup$ – Alex C Oct 26 '16 at 1:00

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