You can expect performance to be no better than a full-fledged native compiler for the language, if the native compiler was somewhat mature.
In this particular case, Frege is compiling to Java source code (not JVM bytecode), and Java does not give precise control over how things should be done at runtime, such as object representations. Additionally, while the main Java compiler is reasonably mature, its optimizations are certainly tailored for idiomatic Java, which includes a lot of mutation, strict evaluation, and use of object-oriented programming. Haskell in particular has unevaluated expressions everywhere (thunks) because of lazy evaluation, and heavy use of first-class and recursive functions.
In this particular case, Frege is compiling to Java source code (not JVM bytecode), and Java does not give precise control over how things should be done at runtime, such as object representations. Additionally, while the main Java compiler is reasonably mature, its optimizations are certainly tailored for idiomatic Java, which includes a lot of mutation, strict evaluation, and use of object-oriented programming. Haskell in particular has unevaluated expressions everywhere (thunks) because of lazy evaluation, and heavy use of first-class and recursive functions.