One sentence: Performing KS tests is not enough to validate statistical similarity if the interpretation is treated as proof in itself.
The simplest thing is to remember that the tool does not replace judgment on the quality of inputs.
If you apply this test to emerging market data like BRL without adjusting for intrinsic volatility, the "small deviations" mask systemic risk.
In Singapore, we evaluate the relevance of the benchmark for our foreign exchange reserves before drawing conclusions.