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I have to run a select statement across several tables. I am sure the tables return different records. I am anyway using UNION ALL.

Is it better to use UNION or of UNION ALL in performance terms when I am sure the tables return different records?

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UNION ALL will perform better than UNION when you're not concerned about eliminating duplicate records because you're avoiding an expensive distinct sort operation. See: SQL SERVER – Difference Between Union vs. Union All – Optimal Performance Comparison


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