F# is essentially just C#, which should be reasonably performant? It's possible the persistent data structures aren't optimized I guess?
Pity something's busted in the benchmarks game: http://benchmarksgame.alioth.debian.org/u64q/fsharp.html
It wasn't busted with .NET Core 1.0.1 005db40cd1.
Is F# working with .NET Core 2.0 Preview 1 for you?
Haven't tried out .NET Core 2 yet, actually.
I honestly don't know how F# compares to Haskell over performance