It all depends on congestion in the internet backbone. If there are some bottlenecks the VPN escapes, you will see better performance.
The routing in the great big web isn't ideal and there are some hot spots. The connection from VPN to you may be free of troubled over loaded spots and the VPN to whatever you currently demand is too. But the connection from you directly to the content you want is routed through a congested node in the backbone which slows everything down.
Alternatively sometimes it can also be that the content holders throttle performance to users who they don't want, like from other countries or such (where their adverts don't generate money). In which case the VPN just hides your identification and the server thinks you aren't some peasant that only deserves the slowest service.
