Background: Exercise improves cognition and lessens the risk of death in older adults. Cognition and mortality are each also affected by biological sex, which might modify the effect of exercise. We investigated how sex mediates the impact of exercise on mortality and 5-year changes in cognition. Methods: In the Canadian Study of Health and Aging (n = 8,403, 60.7% women), cognitive states were defined as errors in the Modified Mini-Mental State Examination. Improvement and declines were modeled using a 4-parameter truncated Poisson distribution. Results: Men and women showed similar levels of improvement or stabilization (34.1%, 95% CI = 32.1–35.9 in women and 30.2%, 95% CI = 28.2–32.4 in men). In unadjusted analysis, more men died (34%, 95% CI = 32.3–36.3) than did women (30.3%, 95% CI = 28.4–32.2). Higher education was beneficial for cognitive function in both sexes, but did not impact survival when other factors were considered. The effect of exercise differed by sex: women had a survival advantage compared with men, but men most benefited in cognitive functioning. Conclusions: Exercise is strongly associated with cognitive improvement and stabilization in men, and with better survival in women. In contrast to conventional approaches, our model allows us to analyze how different risk factors affect cognition to any degree, and simultaneously to assess their impact on survival.

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