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It does work. Working out makes you more attractive and women judge you primarily by how attractive you are. If you are short and don't have broad shoulders, just having thicker arms, better posture, less body fat and so on makes a big difference. As does tailored or close fitting clothes that show off your form.
Women say "I want a man with confidence" or "he has to have a sense of humor", but how attractive you are subconsciously affects how confident they think you are or how funny your jokes seem to them and so on. They will open up more if you are attractive. Feminists screech at this notion, however they are quick to point out men judge women by how attractive they are, the truth is, we both do it, we are both judgmental cunts, or dicks.