when my filter was in the engine bay, i logged incoming air temps of 170 degrees sitting at a light. at those temps, the timing really gets pulled back. that is where you can lose power. even when running, the temp never got below 110.
with the filter in the fenderwell, the incoming air temp never gets more than 5 degrees above the outside air.
it is not so much that colder air is that much more dense that you get a gain, it is more that the lower air temp allows the spark to be more advanced. that is where any gain (or lack of loss) would come from.
i recommend making your own with a piece of pvc and some fernco fittings.