Forget what we have already invested in this notion: the statistical similarity revealed by Kolmogorov-Smirnov tests does not constitute sufficient proof of operational similarity.
A KS test could show a very similar distribution of returns between a venture capital portfolio and a random benchmark, but this does not validate management decisions or the absence of specific risks.
For example, factors like multiples of empirical venture capital portfolios or limitations of benchmarks could mask underlying dynamics not captured by distributional conformity alone.
We must always look with fresh eyes if the interpretation of a statistical model overlooks local constraints or operational uncertainties.
A similar distribution does not mean identical market mechanisms; a RBI policy on liquidity, for example, can drastically alter economic reality despite a statistical match of returns.