Capital is finite, and attention should not be wasted on simplistic extrapolations.
A test bench of 250 S&P 500 assets is not sufficient to validate a portfolio optimization model under real and volatile market conditions.
Chinese markets, for example, are driven by political signals and capital controls, which can suddenly render certain assets illiquid.
Basing a strategy on such narrow interpretations amounts to ignoring the liquidity risks we are aware of, such as a sudden decision by the PBOC to immobilize entire stocks.