if I am trying to lose weight but build my body as well

1. You should focus on one goal at a time. I am on the same boat as you and I see a trainer. This is what he told me: If you are trying to lose weight, you shouldn't really be taking protein shakes, but you should be taking amino acids. You should lose all the weight you need to by doing weight training and cardio and then focus on building your muscles. You will see more muscle definition, but you cannot really build muscle if you are having a caloric deficit.
2. Protein is essential for building muscle (the bodys natural fat burners). So people who worry they arent getting enough (like some vegetarians) may include protein supplements. Plus, they are easy, fast, and very filling (well, the shakes are). I like Whey Protein powder. Best on-the-go breakfast!
3. Protein shakes and supplements just provide a more convenient source of protein when one cannot get it in a meal. There are studies out that show protein not only affects muscle growth, but also can assist with body fat reduction. It is suggested that those who are looking to lose weight and/or gain muscle mass take in more than the recommeded daily allowance. The shakes just provide anthor way of getting the nutrients into ones diet.

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