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They don't sail quite as close to the wind becuase the centreboard is usuallly flat, rather than a foil, hence the lift that they generate is not significant. But then - if you're not sailing the fin keel properly you're not getting a lot of lift of the keel either so ...
The short answer is that it's not a big concern as far as sailing performance goes. One thing to keep in mind is that the centreboards have a tendency to clunk from side to side in the centreboard case when the wind is light and this can be INCREDIBLY irritating 'round about the fourth day of listening to it...
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