In terms of pure comedy, Chase is funnier than Murray. In terms of acting, Murray is the better actor than Chase. Chase isn't much of an actor. He is a comedian who acts his comedy. Murray on the other hand isn't much of a comedian, he is an actor who can read funny lines.
Chase is kind of like Will Ferrell. He is a comedian who got into acting but isn't very talented as an actor. You'll never see him win Academy Awards or succeed in a dramatic role that breaks heavily from his established act.
Meanwhile, Murray is kind of like Ryan Reynolds. He isn't really a comedian. He is an actor who kind of fell into comedic roles early on but is capable of doing more. Yes, he worked on Second City, but he kind of fell into that due to his relationship with the Belushis. He has never been much of a pure comedian
So yeah, Chase is Will Ferrell, Murray is Ryan Reynolds. One is a comedian, one is an actor.