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The Quantum Approximate Optimization Algorithm (QAOA) is designed to maximize a cost function over bit strings. While the initial state is traditionally a uniform superposition over all strings, it is natural to try expediting the QAOA: first use a classical algorithm to produce some good string, and then run the standard QAOA starting in the computational basis state associated with that string. Here we report numerical experiments that show this method of initializing the QAOA fails dramatically, exhibiting little to no improvement of the cost function. We provide multiple analytical arguments for this lack of improvement, each of which can be made rigorous under different regimes or assumptions, including at nearly linear depths. We emphasize that our negative results only apply to our simple incarnation of the warm-start QAOA and may not apply to other approaches in the literature. We hope that our theoretical analysis will inform future algorithm design.