Rico Mariano took a C++ STL sample created by Raymond Chen and converted it to .NET. When comparing the performance of the line by line converted .NET to the original C++ version .NET won!
Raymond made improvements and was able to make the C++ application outperform .NET but at quite some cost by rewriting slow functionality in the STL.
Don’t assume the worst just because .NET is a platform compiled to IL and then JIT’ed to native before beeing run. Microsoft probably has far more resources working on making the .NET platform run as fast as possible compared to what anyone else has to optimize a native C++ application.