This paper investigates the investment horizon effects on dependence structure between hedge fund returns and market returns. The key question is whether the nonlinearity (i.e., asymmetry) in the dependence structure, observed by several previous studies using monthly frequency data, continues to exist between longer horizon returns. In the context of hedge funds, this question is particularly important because investing in a hedge fund often involves liquidity restrictions such as lock-up periods and redemption notice periods. Two main results emerge. First, the asymmetry in their dependence relationship is more short-term in nature. Second, the lower tail dependence decreases along with the increasing investment time horizon, which suggest the possibility that the tail risk of hedge funds can be diversified through time. Our finding of diminishing asymmetry in dependence structure along with lengthening investment horizon implies that the value of knowing such asymmetries may not be as substantial for long-term investors as the previous studies suggest.