VPN Connection Slow MacBook

I (MacBook user) use VPN (Zyxel) to connect to my office. We have a folder with lots of files on it that I need to load every time I connect. Couple of my colleagues connect to the same VPN using their windows machines. Their login credentials are same/similar to mine and the only difference is them using Windows vs. me using MacBook. The internet (download/upload) speed are similar for all three of us in fact I have the fasted with 1 gigabit connect. Also, I am the closest to the server (distance wise) but for some reason the VPN is slowest for me. The PDF files that others on their windows machine are able to open in a matter of few seconds, takes me 4-5 minutes to open and even then it is very laggy i.e. moving in between pages takes few seconds but for my colleagues there is no such issue. To them it feel they are locally at office i.e. not connected via VPN.

Any suggestion/reasons what am I doing differently? BTW, once I connect, I go to the Go/Connect to Server and the connect to the server (favorite) that is saved there. One of the saved server starts with afp and the other smb. I have played around with both but it does not make a difference when it comes to the speed.

Thank you in advance.