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This is just a guess, but....
DATE(LEFT([MONTH],4) + '/' + RIGHT([MONTH],2) + '/01')
Will give the best performance. Of course the sooner you can get from sending Alpha-numeric data queries, to sending numeric data, the faster everything gets.
Changing the string date Month date from 201503 to 2015-03 in the database would then allow you to 'split' the fields into year and month in Tableau's new data connection process, and make them numeric. Then you can deal in numbers from the start:
MAKEDATE([Year], [Month], 1)
That'll be the most performant.