I've got 19" Winter Wheels and also a set of 214s that the car was ordered with and I don't see any degradation in economy either. The 20's are heavier yes, but not that much.

Order a set of 20"s as they do look much better

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Me:
Current: 2011 E71 40D Vermilion Red/Beige Nappa

Wifey:
Current: 2012 R80 Countryman SDX Green/Cream