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Some of the media have come to the assumption that this paper is saying that there is no evidence that exercise keeps depression at bay but in fact the study states that increase physical activity for the clinically depressed does not necessarily improve symptoms.
Perhaps it is a separate debate whether exercise can keep depression at bay, or if you are genetically predisposed to getting depressed, no matter how much exercise you do?
However, I often hear many people extolling the benefits of exercise. I often feel mentally more alert and happier after exercising (although for some reason swimming makes me fall asleep soon after), but do we often equate exercise as a cure for all mental wellbeing?