I'm not an expert on this but I'm interested in the topic so I'll take a stab at it...
* Stocks have a very long and successful history. You can look at 100 years of data and make statements about how the real return has been about 7% real and 11% nominal. And the magnitude and direction of the risks is fairly well understood -- mostly you will do pretty well if you invest for long periods of time, though you can get burned in the short run and with bad timing you could pretty easily get below average returns over a 10 or 15 year period. And you can apply some theory here and say that stocks
should return something related to business's ROI + a risk premium. There must be some finance undergrads here who can state that much more eloquently, but hopefully that gives you the flavor.
* Pure commodities (e.g. physical gold, not gold futures or gold mining) have historically earned the inflation rate. This pretty much also applies to housing (see the most current version of Shiller's Irrational Exuberance). In fact, until the last few years, people mostly bought commodities as an inflation hedge moreso than a true investment.
* Commodities futures -- I think this is where the action has been, but I'm not sure we know much about the long term performance.
This paper notes that commodities futures have performed as well as stocks while offering extra diversification, but it's "only" 40 years of data. I believe this paper is considered to be very influential but I'm not an expert here. Interesting read in any case.
Also, check out this article by
Jeremy Siegel.