Explaining how polymorphism is maintained in the face of selection remains a puzzle since selection tends to erode genetic variation. Provided an infinitely large unsubdivided population and no frequency-dependance of selective values, heterozygote advantage is the text book explanation for the maintenance of polymorphism when selection acts at a diallelic locus. Here, we investigate whether this remains true when selection acts at multiple diallelic loci. We use five different definitions of heterozygote advantage that largely cover this concept for multiple loci. Using extensive numerical simulations, we found no clear associations between the presence of any of the five definitions of heterozygote advantage and the maintenance of polymorphism at all loci. The strength of the association decreases as the number of loci increases or as recombination decreases. We conclude that heterozygote advantage cannot be a general mechanism for the maintenance of genetic polymorphism at multiple loci. These findings suggest that a correlation between the number of heterozygote loci and fitness is not warranted on theoretical ground.