Converting Julia Arrays to Python Lists takes some time because they have a completely different memory structure. However, passing Julia Arrays as Numpy Arrays is usually very fast.
The PyCall overhead is in my experience <<1ms if no significant amount of data is transferred. To be on the safe side, I suggest to cross-check the Python and R benchmarks using native Python/ R notebooks.
I did a comparison of Julia to Python for DataFrames, maybe this is useful for you:
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