It's faster. The JVM is almost always faster than the CLR, look at the techempower framework shootouts. .NET core is fast but regular .NET get destroyed by multiple Java frameworks.
Look at the older techempower benchmarks where they include the regular .NET framework. It's slow as hell compared to java.
And yes that's the problem. The CLR itself probably isn't slower than JVM but most of the .NET stack is. It just wasn't written with performance in mind.
The coreclr is only maybe 10-15% faster than Desktop, but not a magnitude or more compared to old ASP.net.
I don't think that the clr is slower than the jvm, but quite a few basic frameworks are compared to their Java counterparts