Yes, it absorbs moisture. In some cases its saturated. As in, it will not take any more water. So, not only are you paying for fuel that requires more to make the same bang,and you are buying water.
Ethanol absorbs 5% water. So a 15% ethanol fuel contains 0.75% water at saturation. That's approximately 1 oz of water per gallon of fuel. Or for those that do metric, approximately 7.5mL per liter.
So for a full 18 gallon tank, that's like pouring a full bottle of water (18 oz) in your fuel tank every time you fill up.