First, I don't know about states where you guys live, but I think that Massachusetts has switched over fully from MBTE (which used to be only in the winter) to Ethanol additive all year round. Are there other ways which the fuel formulation changes to lose power in the winter? Or am I confused on some point here

Second, I have a manual 2.0 L (~115 HP) engine. The last thing I need is more horsepower! But you can check out the graph for my car here I clearly get lower efficiency in the winter, by about 5 MPH on average. I bet you are all right to say it has to do with the hit from warming up the engine. I don't know what exactly the car's computer is doing on start up in cold weather, but I can definitely smell richer exaust. Also, the engine has an air pump that only kicks in in cold weather (and if you try to disconnect it, the engine throws a code!).