Markowitz had realized, however, that the difficulties of estimation and computation when selecting among large numbers of securities would be alleviated if it could be assumed that the correlation between securities arose because they were each correlated with "one underlying factor, the general prosperity of the market as expressed by some index" (Markowitz 1959, p. 100). Instead of asking securities analysts to guess a huge array of crosscorrelations, they would have to estimate only one correlation per security: its correlation with the index.

Donald MacKenzie, An Engine, Not a Camera, loc. 232