There is this nice paper written by Jason McGuire titled:
Performance Comparison of Microsoft’s ADO and ADO.NET Database Connectors
The quick answer to the question is: inside a .NET application, ADO.NET is 3 to 4 times faster then ADODB when accessing SQL Server.
Well, not a big news you might say, going from .NET to COM and back is obviously a performance problem and also there was a bit of advancements since mid ‘90s, but it’s nice to find someone that published such analysis with such a great degree of details and precision.
If you are not satisfied by the web page that summarizes the results, there is even more detailed report in PDF and even the data points collected during the test runs.
Too bad there is not code to download so that I can run it on my environment and so prove it myself.
And, you really don’t want to know why I was looking for such a performance analysis.