Winter fuel contains additives to increase the volitility of the fuel (it's ability to vaporize). They do this in northern states so that your car actually starts in the morning... If you use summer blend during the winter, your car will not start, guaranteed.
Anyway, these additives are a higher octane, however they contain much less BTU's (in other words, heat energy). This means that although you could theoretically increase boost and/or advance spark timing to make up for this loss in power, nobody does... Which is why you get, on average, 4% worse fuel economy using winter blend fuel... Due to having far less heat energy.
...Which is also why fuel with ethanol gives you less MPG's. Ethanol (the same kind of alcohol you consume) contains high octane, but less BTU's, like the additives in winter blend fuel (also alcohols, with some other ''good stuff''). Ethanol is a lot more corrosive too, which is why people try and seek out ethanol-free fuel.... But thats for another thread.
And I know someone is going to say ''What about E85 and methanol injection'', so I'll answer that too. When you use alcohol injection, it bypasses the MAF, and isn't calculated in with fuel delivery though the injectors... You're ''sneaking it in'', so to speak, because its un-accounted for. So although it has less BTU's than gasoline, it has a higher octane. You get the benefit of using gas, with the addition of a higher octane... Meaning you can advance spark timing and/or boost more so than if you had a lesser octane mixture. And pure E85 (85% ethanol) again, has less BTU's, but can achieve a ton of power because its octane is well over 100. But fuel economy is garbage...
Ok. Done now lol.