Where the weak point is seen: Portfolio optimization is not limited to 250 assets of a fixed index.
This test on the S&P 500 is an inherent failure mode, as it ignores the complexity and interdependencies of the global market.
In Switzerland, we manage portfolios with thousands of assets, where correlation shocks and currency risks can cause any model based on simplistic abstraction to fail.
Take Swiss pension funds: their diversification is inherently global, and a test of 250 securities does not at all capture the actual attack surface they are exposed to daily.