There is a definite penalty to using the "Report Execution Times" in the coldfusion administrator. There is a simple way to use built-in java timestamps to guage execution time.
I simply add a start time at the beginning of a request via the Application.cfc's onRequest method and calculate the difference in time at the end of the Application.cfc's onRequestEnd method as follows:
This is using the built-in java Date object which includes the "unix" time-stamp number of milliseconds since the unix epoc which is perfect for calculating execution time. For each run of the application 2 java Date objects are instantiate within the request scope which is only a minute amount of overhead. This method could possibly be made faster if instantiating a Date object at the Application level and only setting the actual current time at the start and end of a request, but this has proved itself as fast enough in the production environment.