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Exercise has innumerable health benefits, but losing weight may not be among them. A provocative new study shows that a substantial number of people who take up an exercise regimen wind up heavier afterward than they were at the start, with the weight gain due mostly to extra fat, not muscle.

But the study also finds, for the first time, that one simple strategy may improve people’s odds of actually dropping pounds with exercise.

As we all know, the fundamentals of weight loss should be simple. Burn more calories on any given day than you consume and, over time, you will lose weight. Theoretically, we can achieve that desirable condition by reducing the number of calories that we take in through dieting or by increasing the number of calories that we incinerate through exercise.

But in reality, most people do not achieve or sustain weight loss, no matter what method they try.

Exercise is particularly problematic in this regard. A recent review of studies related to exercise and weight control found that in most of the studies, people lost barely a third as many pounds as would have been expected, given how many calories they were burning during workouts. Many studies also report enormous variations in how people’s waistlines respond to the same exercise program, with some people dropping pounds and others gaining fat.

Scientists have had little understanding, however, of why exercise helps some people but not others to shed pounds or whether there might be early indications of how people will respond to an exercise routine.

So for the new study, which was published last month in The Journal of Strength and Conditioning Research, scientists at Arizona State University in Phoenix recruited 81 healthy but sedentary adult women. All of the women were overweight, based on their body mass index, but some were significantly heavier than others. None had exercised regularly in the past year.

The women were told that they would be joining a fitness study and would exercise in order to improve their aerobic endurance. The scientists asked the women not to change their eating habits in any way.

Each of the volunteers visited the physiology lab at the start of the study and the scientists determined their weight, B.M.I., percentage of body fat, current endurance level, and others measures of health and fitness.

Then each woman began a supervised exercise program designed to be vigorous but manageable by most people, said Glenn Gaesser, a professor of nutrition and health promotion at Arizona State and senior author of the study. The women walked on treadmills at the laboratory three times per week for 30 minutes at a pace that represented about 80 percent of their maximum endurance.

They continued the program for 12 weeks, with the scientists repeating the original fitness and other tests every month during that time.

At the end of 12 weeks, the women were all significantly more aerobically fit than they had been at the start. But many were fatter. Almost 70 percent of the women had added at least some fat mass during the program, and several had gained as much as 10 pounds, most of which was from fat, not added muscle.

A few of the women, though, had lost that much fat or more, and quite a few had remained at the same weight as at the start of the regimen.

At this point, the researchers returned to the data from the first day of the study, to determine whether any obvious differences existed between the women who subsequently gained or lost weight. “Some past studies of dieting had indicated that women who weigh more at the beginning” of a weight-loss program “tend to lose more weight during the program,” Dr. Gaesser said.

But the researchers found no correlation in this case between a woman’s weight at the start and end of the study. In fact, the scientists found no connection between any of the original parameters of health and fitness and the women’s responses to the exercise program.

But looking deeper into their data, they discovered one interesting indicator: Those women who were losing weight after four weeks of exercise tended to continue to lose weight, while the others did not.

“What that means in practical terms is that someone who wants to lose weight with exercise” should step on the bathroom scale after a month, Dr. Gaesser said. If at that point your weight remains stubbornly unchanged or has increased, “look closely at your diet and other activities,” he said.

While this study didn’t track the women’s eating and movement habits away from the lab, it is likely that those who gained weight began eating more and moving less when they weren’t on the treadmills, “probably without meaning to,” Dr. Gaesser said.

Of course, the study was fairly short-term. It also did not involve men, although some past studies indicate that men, like women, frequently add fat mass after starting to exercise.

Still, the results, while sobering in some respects, also provide encouragement. By deploying a bathroom scale and discipline, along with exercise, you may well lose weight, Dr. Gaesser said.

Even more important, the women in the study were much fitter after four months of exercise, and Dr. Gaesser said “fitness matters far more for health than how much you weigh.”