If possible I would encourage you to make an MWE and post it on the Julia Discourse - "Julia slower than R for optimization problem" or something like that, there's a good chance that the community will be able to eke out some more performance. Alternatively you might have hit on a case in which Julia itself is currently leaving performance on the table, which would still be helpful for the community to know as being slow is often considered a bug in Julia world.
Great idea, I do lurk there, just might do that next time I look at the code. My hunch is that simd is the low hanging fruit julia brings. But, and I am not an expert, both might end up doing BLAS anyways, which is why they are so similar.
