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I guess it is something related to the springs in the derailleur. But is it that important?

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I suppose there's the theory that leaving it that way will somehow reduce "wear" on the springs, but, honestly, it doesn't make any difference. Maybe if you were leaving it for a few hundred years, but not for a few days/weeks/months. – Daniel R Hicks Jan 21 '14 at 21:19
up vote 7 down vote accepted

The cable that moves a mechanical derailleur is counteracted by a spring. To the best of my knowledge the "leave it on the smallest sprocket" theory suggests that the spring is sitting with the least amount of tension on it. The same is true for the cables. Because they have the least tension they are more likely to maintain adjustment over periods of storage.

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I think the answer to the question of importance is "No". The time scales for this to be significant are probably larger than you'd care about. – Batman Jan 22 '14 at 0:15

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