While I agree with Dave regarding hardware must be looked at also (the question of something running faster on one place vs another gets pretty complicated quickly).
I have a blog entry that is pretty detailed regarding disks. Internal disk is always consistent. SAN disk can be faster although as Dave pointed out you can get contention. An infrastructure contact of mine on the client side was going thru the SAN vs. internal disk and his Essbase team kept saying the internal disk was faster than SAN and they had thrown tons of hardware and duplicate host bus adaptors. Turns out they weren't loading equivalent data sets and with equivalent data sets the SAN was 4% faster on a reliable basis -- the lesson here is be really really sure you are comparing apples to apples data.
John A. Booth
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