Yes, there is a loss with each split. Kind of curious what your end goal is??
At a certain point you will need to stop using passive splitters and switch to an active splitter/amplifier. It makes up for the signal loss by boosting the signal. Since the incoming, original signal is high quality they work a lot better than the TV/FM antenna boosters you might be used to. Those tend to be used when the signal has already degraded.
Of course, if you make the switch, put the amp in as the first device you use.