DLL performance when called via .NET/interop vs native

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I have a computationally-intensive, multi-threaded DLL written in VC++ and built in native code. To my amazement, it performs better when invoked from C# via .NET/interop than from a native VC++ client. While the difference is almost non-existent
on 2-core machine, CPU utlization on 8-core machine in the former case is noticeably higher.
Any clues as to why that is?

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