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Here's one - ME! The N54 in my Z4 puts up some terrible mileage numbers. Of course, the car is almost always under either significant acceleration or deceleration. That might have something to do with the frequent fill-ups...
I think you hit on the reason in your own post, the Z4 is a sports car and you're driving it in a sporty way. If you talk to people with say 535s or X5 3.0s, etc I think you'd find its a different situation.
Case in point...my friend has a new X5 with the 3.0 turbo. She's getting about 21 combined MPG. I have a new Jeep Grand Cherokee with the NA V6. I get about 17. Her X5 is more powerful and also more efficient. Weight is similar...the X5 is actually a little bigger.
If you talk to people with say 535s ... I think you'd find its a different situation.
Actualy, my son drives a 535i with the N55 engine. Unfortunately, his accel/decel profile is similar to mine in the Z4, and his mileage numbers are similarly disappointing. Turbos are seriously bad news at the pump if you tend to run them at high boost.
I'm not saying it's surprising that you burn prodigious quantities of gas when you're into the pedal all the time. I AM saying that many people are unpleasantly surprised to find just how much "normal driving" puts them into the turbos "feed me" mode. I figure small displacement turbos with computer-controlled governors to limit acceleration rates is the future. The key is to remove the freedom from drivers to burn gas at rates that are (or will soon become) unlawful.
I think the same is the case with the NA engines in say the GS. Look at the fuel economy some people are posting, we have people saying they're getting 15 MPG...well they MUST run them harder than say me who gets about 19.5.
Does that mean they're running their GS in lower gears/higher RPMs for any given speed? Is this the reason so many complaints about the new 8-speed tranny are popping up?