I seriously doubt you will LOSE horsepower, but you sure won't gain 20 or something. A 5 hp increase is pretty average for most cars running a warm air intake. A real cold air intake can give a greater variety of results (example: bone stock RSX Type S gets 21.something hp from an AEM cold air intake, where-as a Neon only gets about 9 more hp).
Slap it on, you'll like it