If the program runs on PlayOnLinux well and you are satisfied with that, it will most probably be faster than in a VM. This would be my first preference. You can check applications' combatibility at WineHQ.
Running windows programs in a Virtual Machine (like with VirtualBox or KVM or VMware) is quite convenient, especially for non 3D-games. However, depending on your host system's specification there almost certainly be some performance drop. Your virtualized Windows system will seem that runs on a "slower-than-host" PC, but they will also seem more stable. :) An added benefit with this setup is that you can run windows bots there, and continue working on your linux system. On the other hand, it restricts your system's resources (like RAM/CPU).
Note that for both approaches there are optimizations.
So to answer your question. If program runs on Wine/PlayOnLinux well, then it's unlikely (but not impossible) that will run faster in a Virtual Machine.