Sorry if my claim was inflammatory. But seriously, try implementing the same algorithm in Julia and Mathematica a few times. This particular example is a pretty good one. Just use the same divisor sum algorithm that you wrote in Julia and write it in Mathematica and compare the timings.
Mathematica is a wonderful language, and has an even more wonderful library of mathematical algorithms, but speaking from years of experience, predictable performance is not one of its virtues.
