Apparently, Anaconda 2.5 builds now ship with Intel MKL optimizations: https://www.continuum.io/blog/developer-blog/anaconda-25-release-now-mkl-optimizations
I wonder if this would be possible for the official Julia builds, too? I don't know about the MKL licensing conditions (and whether the Anaconda team had to buy one, or if they got it for free).