Unfortunately, daily returns don’t provide more information. Evaluating a manager involves measuring an average return relative to noise in the average return as an estimate of the true expected return. In statistical terms, we are interested in the t-statistic for the average return—that is, the ratio of the average return to its standard error. For simplicity, suppose we assume monthly returns are the sum of randomly generated daily returns. The standard error of the daily average return is then one-twentieth the standard error of the monthly average return, so the daily average is estimated more precisely. But the daily mean is also one-twentieth the monthly mean. Thus, the t-statistic for the daily mean (the ratio of the mean to its standard error) is the same as the t-statistic for the monthly mean.
Eugene Fama and Ken French are members of the Board of Directors for and provide consulting services to Dimensional Fund Advisors LP.