If i understand the concept correctly, I don't think it is about 1M or 6M return that matter. The point is returns tend to converge when you deal with higher and higher number of samples. Even with 6M return, the tendency of normal curve would appear. And that has to do with basic central tendency. The simplicity of 1D return is you get Mean of 0 and SD of 1 which is straight out of the statistics textbook. If you'r running 6M and comparing with 1D take care to adjust the number of sample-n.
Jason - do you reason similarly, in your experience with other industries.
Thanks in advance.
Regards
M Ashok, CFA