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Nicholas Hara made a great blog about improving workbook performance.
While it doesn't directly answer your question, your question is more complicated than a simple either or. In general, in memory will be faster but at a certain level you may receive diminishing returns or be over-taxing your system. Likewise, live connections will depend on how the workbook is constructed, custom sql, network connection, specs on the DB end, etc. If you tell us a bit about the issues you're running into, we may be able to provide more specific help.