History teaches us that relying on narrow asset universes for portfolio optimization is a misplaced prudence. The playbook of sovereign funds has long emphasized the need for diversification well beyond 250 securities, even if they come from the S&P 500. A test with such a limited sample does not account for the real complexity of global markets, where sovereign funds manage thousands of assets, exposed to dynamic correlations and currency risks. For example, relying on this type of benchmark in 2008 would have tragically ignored the systemic interdependencies that caused the financial crisis. Technological innovation must primarily prove its robustness against historical reality.