Not long ago, a friend called me on a Sunday morning, flushed with fresh air and pride after completing an early run. "I can already smell that lunchtime burger," she reported. I wasn't going to deny her the pleasure of a good burger. I probably had one lined up myself. But after jogging for 40 minutes, she would have burned off around 400 calories. Even if she cooked a burger herself at home, chose a healthy bun and passed on the butter and mayo, the minimum possible calorie intake would cancel out those she used up running. It's much more likely, given the sort of treats we like to indulge in after exercise, that she went out and ordered a cheeseburger with fries on the side. The result being that she consumed far more calories than if she hadn't gone running.

The idea that exercise, and running in particular, will lead to weight loss, is a common misconception. I have been running for years. Net weight loss: zero. When I ran a marathon, under the extremely naive apprehension I would cross the finish line looking like Paula Radcliffe, I put on weight. At the time, this seemed astonishing. In fact, it is quite common. This is partly because muscle is denser than fat. But there is also a more subtle connection. Getting up at 6am for long runs demands an increase in calorie intake. My response? Two breakfasts, minimum, and then protein-based snacks before and after runs. Ah yes, and the cake.

"It is possible to lose weight with dietary changes alone," explains Laura Clark, a registered dietician with the British Dietetic Association, "but to lose weight just through exercising is very difficult. You would have to exercise at high intensity for three to four hours or more a week, and not many people can fit that in."

It is fair to describe my behaviour during marathon training as gluttonous, but it exemplifies the two principal reasons why anyone exercising to lose weight is unlikely to succeed.

First up is the reward element. "An apple is rarely appealing after you've worked up a sweat," confirms Clark. "It's very easy to think, when you've been to the gym, that you merit a treat. The reality is that the number of calories you have to make up for is usually very few."

"People gravitate towards rewarding themselves after exercise with sweet treats," says James Duigan, the trainer responsible for the bodies of Elle Macpherson and Rosie Huntington-Whiteley, no less, "which is like taking two steps back."

One pound of fat equates to 3,500 calories. You need a deficit of 500 calories a day to lose a pound, so rewarding yourself with a burger or a cake will automatically cancel out that deficit. The catch is that this is so easy to do. "It can take an hour to burn off 400 or 500 calories, and just two minutes to eat that," says Clark.

Exercise has been found both to curb and stimulate hunger. Unfortunately, only very intense exercise will suppress appetite. A Loughborough University study found that vigorous exercise increases levels of peptide YY, an appetite-suppressing hormone, and reduces ghrelin, an appetite-stimulating hormone. But an hour later, the appetite will kick in again. Another study, from the University of Massachusetts, found that not only does exercise increase hunger, by increasing levels of insulin and leptin, both appetite-stimulating hormones, but that women are affected more than men.

A few years ago, the American peer-reviewed journal PLoS ONE, the publication of the not-for-profit Public Library of Science, ran a surprising study. It suggests that even holding back on the treats and ignoring post-exercise hunger pangs will have little effect. The study put 464 overweight women who did not exercise regularly into four groups. Three of the groups worked out for different lengths of time each week with a personal trainer, and the control group remained inactive. The women were asked to stick to their usual diets. Although all groups lost weight (though some individuals gained more than 10lbs), those who exercised did not lose significantly more weight than the inactive participants. They did reduce their waist measurements a little, but lost no more body fat overall than the control group.

One theory for this is that the women who worked out most did the least at other times of the day to compensate. After all, exercise wears you out. When I am in a training programme for a race, I often take the escalator and avoid long walks. So all those calories I would have burnt stagnate. Where do they stagnate? Often around the tummy. "Running is great. I don't want to discourage people," says Duigan. "But a lot of people overdo it. Getting up at 5am to run 1.5hrs per day is an obsessive approach. Doing too much increases our levels of cortisol, the stress hormone, which leads to tummy fat.

"When you're purely running, you're not creating lovely lean muscle fat, so people end up having that 'skinny fat' look, where there is no real muscle tone because they haven't done any resistance work. Half an hour of running every few days is plenty, along with resistance work."

This encapsulates why running fares worse in the weight-loss stakes compared with other forms of exercise. If you are preparing for a long run, the likelihood is you're trotting along at little more than a fast walk, so your muscles hardly get going. Then there are the different consequences of aerobic versus anaerobic exercise. We burn fat during aerobic exercise (running, cycling, walking, dancing), but as soon as the exercise is over, so is the fat burning. With anaerobic workouts (weights, circuits, sprints, interval and resistance work) you burn fat and also convert some into muscle while training, but the muscles keep working out after you have stopped, so you end up with a higher calorie burn and a higher proportion of lean muscle to boot.

"It is now commonly thought that varying the intensity of your training is better than grinding along at a slow pace, because you work the heart harder and you get this afterburn," says Andy Dixon, editor of Runner's World magazine, "It's not running that makes you fat, it's eating. It's a common habit for runners to think that everything else will look after itself, but even more important than the exercise is looking at nutrition.

"What's more, and the reason I put my trainers on when it's raining, running is easier than going to the gym or engaging in team sport. It's accessible, easy to get into, cheap and a very effective mode of burning fat," says Dixon.

As for those, like me, who are too tired to take the stairs after workouts, the NHS recommends between 75 and 150 minutes of exercise per week, depending on the intensity, plus two sessions of muscle-strengthening activities. But the exercise doesn't have to be done in one go: the message is to become more active, rather than to offset a sedentary lifestyle with bursts of exercise.

It is important not to downplay the benefits of exercise. The part it plays in weight loss has been overstated, but it has a crucial role in most aspects of our physical health, in fighting disease and in moderating mental health. Even better, a morning jog will put a smile on your face.

Running and weight loss: the dos and don'ts

* Eat an hour-and-a-half before a run and have a healthy snack available for afterwards.

* Mix up the intensity of your run. Running for 30 minutes with bursts of sprinting is better for fat burning, lean-muscle building and fitness than a 45-minute trudge.

* Exercise followed by a treat is better for overall health than not exercising. But be aware of the calories burnt. Running for 40 minutes does not buy you two doughnuts – more like three or four oatcakes with hummus, 80g of dark chocolate or two eggs on slices of wholemeal toast.