CMake executable runs slower than running in ROOT - makefile

Question

I wrote a macro for ROOT with the following libraries:
#include <iostream>
#include <math.h>
#include <vector>
#include <iomanip>
#include <time.h>
#include <stdio.h>
#include <gsl/gsl_matrix.h>
#include <gsl/gsl_odeiv2.h>
//ROOT libraries
#include <TTree.h>
#include <TFile.h>
When running in ROOT with .x script.cpp, it works fine and takes 0.25 seconds to write a root file.
Then, I created an executable using CMake. For that, I created the next CMakeLists files:
This CMakeLists file is outside the directory where the .cpp file is
cmake_minimum_required(VERSION 2.6)
project(CMAKE_TEST)
find_package(GSL)
find_package(ROOT REQUIRED COMPONENTS)
set(CMAKE_CXX_FLAGS "-g++ -O2 -Wall")
set(CMAKE_CXX_FLAGS ${ROOT_CXX_FLAGS})
add_subdirectory(script_sub)
This is the one that is inside (same location as the .cpp file)
include_directories(${CMAKE_TEST_SOURCE_DIR}/script_sub)
link_directories(${CMAKE_TEST_BINARY_DIR}/script_sub)
include(${ROOT_USE_FILE})
set(CORELIBS ${ROOT_LIBRARIES} ${GSL_LIBRARIES} m)
add_executable(script script.cpp)
target_link_libraries(script ${CORELIBS})
CMake creates the Makefile just fine, and then I can run make with no problems either. The issue is that when running the executable by ./script, this writes the root file in 0.92 seconds, i.e., it is slower than running the code in ROOT. The results are correct, and I see no error message.
How is this possible?