The chart below, from Novel Investor (https://novelinvestor.com/asset-class-returns/) shows how difficult it is to pick the best performing asset class year after year. Many investors pick the best asset class from the previous year and assume that it will continue to outperform the others. The chart shows that this rarely happens.
The "AA" class represents the Asset Allocation Portfolio, which is made up of 15% U.S. large cap stocks, 15% non-U.S. developed market stocks, 10% U.S. small cap stocks, 10% emerging market stocks, 10% REITs, 40% U.S. high-grade bonds, and annual rebalancing.