You have to do performance tests to get to a conclusion.
Also the query can have different views;
1. Comparing performance on getting data directly from source systems against getting data accumulated into a single database.
2. Comparing performance on getting data from a normalized model against getting data from a dimensional model.
Most of the cases; getting data from data warehouses should give better performance since;
Data warehouses allocate more resource towards BI systems.
Source systems serve many more other purposes than BI systems; so resources are shared.
In a data warehouse data sets are already at the same place lowering network latency.
Data warehouse stores summarized information.
Data warehouses are implemented with dimensional models that serves better for BI type queries.