Here are a couple of figures showing nominal and real rates of return on stocks, bonds, and Treasury bills for the US market from 1900-2019. (Thanks to the authors for permission to reproduce the figures shown here.) In real terms, US stock market returns have risen at a 6.5% annual rate over this time, compared to 2.0% for bonds and 0.8% annually for bills. This is the "equity premium," the name given to the pattern that if you invest in stocks for the long term--and thus ride through the hills and valleys--your patience will be rewarded after a decade or two.
The high returns for US stock market mean that over time, US stock market capitalization has become a substantially larger share of the global total. For example, the US stock market was 15% of total global stock market capitalization in 1899 (top pie graph), but was 54.5% of global stock market capitalization in 2019 (bottom pie graph).
The report by Dimson, Marsh, and Staunton has a lot of other material of interest, as well: how factor investing has worked over time; the "golden age" of US bond markets from 1982-2014; environmental, social and governance investing; and more.