Reader Ben shared this in the comments, and I think it deserves a separate mention. Every year, investment consultant firm Callan Associates updates a neat visual representation of the relative performance of 8 major asset classes over the last 20 years. You can find the most recent one below (click to view PDF), which covers 1994 to 2013. Each year, the best performing asset class is listed at the top, and it sorts downward until you have the worst performing asset. You can find previous versions here.
You can try to find some patterns, but I doubt you’ll find anything significant. Sometimes an asset class has a hot streak that last a few years, and other times an asset class is on top one year and bottom the next. Most recently, Emerging markets equities were on top in 2012, and bottom in 2013.
Also, while the table compares relative performance, you can also note that absolute performance changes all the time as well. In 2013 the best asset class returned +43% while the worst asset class returned -2%. Contrast this with 2008, when the best asset class returned +5% while the worst asset class returned -53%. Sometimes you just can’t lose, and other times you just can’t win.
So I won’t bother predicting what will happen in 2014, and will instead continue owning multiple, less-correlating asset classes using low-cost passive investments. Oh, and I make sure to rebalance them regularly.