Optimize managed to native calls

What can be done to speed up calling native methods from managed code?

I'm writing a program which needs to be able to manage arbitrarily-sized lists of objects and retrieve information from them at high speed, which it feeds into scripts. Scripts are bits of compiled C# code. I'm writing a basic interface layer from the C++ (native) DLL/SO/etc to the C# (.Net or Mono) management layer.

Now, I've been doing some testing, and I've found that on average, PInvoking a native method from managed code is something like 100 times slower than doing it all in managed (all native and all managed are identically fast, for reference).

The syntax I was using is:

[DllImport("test.dll")]
extern static public String test_method(String value);

String returnedValue = test_method("hello world");

Is there a way to cache a pointer to the function, some code of fast invoker, that would increase speed after loading the native library? That would solve the problem quite neatly, so I doubt it exists. :P

Edit: I didn't specify, but this needs to work on Windows, Linux (Ubuntu at least) and Mac OS X, all for both x86 and x64. Otherwise I would've gone with a C++/CLI interface and been done with it, but unless that works for all 3 platforms, I can't use it.