Somewhat surprisingly, the behavior of analytical query engines is crucially affected by the dynamic memory allocator used. Memory allocators highly influence performance, scalability, memory efficiency and memory fairness to other processes. In this work, we provide the first comprehensive experimental study that analyzes and explains the impact of memory allocation for high-performance query engines. We test five state-of-the-art dynamic memory allocators and discuss their strengths and weaknesses within our DBMS. The right allocator can increase the performance of TPC-DS (SF 100) by 2.7x on a 4-socket Intel Xeon server.