From Hendrick Bessembinder’s recent white paper.
While the overall stock market outperforms Treasury bills, most individual common stocks do not. Of the nearly 26,000 common stocks that have appeared on CRSP since 1926, less than half generated a positive holding period return, and only 42% have a holding period return higher than the one-month Treasury bill over the same time interval. The positive performance of the overall market is attributable to large returns generated by relatively few stocks. When stated in terms of lifetime dollar wealth creation, one third of one percent of common stocks account for half of the overall stock market gains, and less than four percent of 28 common stocks account for all of the stock market gains. The other ninety six percent of stocks collectively matched Treasury-Bill returns over their lifetimes.