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Using the framework of a professional investment manager who wishes to track the S&amp;P 500 with the 30 Dow Jones Industrial Average stocks, we find that the benefits of using high\u2010frequency data depend upon the rebalancing frequency and estimation horizon. If the portfolio is rebalanced monthly <jats:italic>and<\/jats:italic> the manager has access to at least the previous 12 months of data, daily data have the potential to perform as well as high\u2010frequency data. However, substantial improvements in the portfolio optimization decision from high\u2010frequency data are realized if the manager rebalances daily <jats:italic>or<\/jats:italic> has less than a 6\u2010month estimation window. These findings are robust to transaction costs. 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