They are slow for several reasons:
1 - Most of them are very modular, which means more files, more code and more database queries.
2 - They largely (not much talk) try to do everything, and again creating a system for any possible situation complicates and complicates the setup.
3 - Most of them (currently) support PHP4 and PHP5, this again is superfluous work.
4 - They are supposedly made so that non-technical users can use them, which means that they often have to do something differently than is most effective, for example, Drupals CCK / Views allows people who cannot program database tables efficiently data and SQL queries, the drawback of these tables / queries is very common in design and quite inefficient compared to user-encoded efforts.
5 - They usually use a lot of database queries, Drupal uses 40 or so for a very simple page, and if you search on your forums, you will see posts saying that people claiming that some pages are hundreds or even more than a thousand requests.
Of course, they offer caching, and Drupal can get good performance from things like a boost module, the disadvantage being one of Drupal's (and Joomla's) selling points is that you can create a community site, forum, Digg, like site in it, on all sites where caching is limited ...
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