Ok so if I understand correctly the sentence:

> The glmnet implementation is not yet competitive with the current
> implementation.

Should read:

"""
The l1+l2 penalized least square regression implemented with
coordinate descent and
covariance updates not yet competitive with the current implementation
in cd_fast.pyx (without covariance updates).
"""

We should be precise because "glmnet" is the original name of a broad
R package [1]  that comprises many subparts and along and the paper
you mentioned that was already the main inspiration when Alexandre
implemented cd_fast.pyx, hence the confusion.

[1] http://cran.r-project.org/web/packages/glmnet/index.html

-- 
Olivier

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