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The MSCI provides country-specific indices since 1998-12-31 (essentially the start of 1999). As such, this provides useful data to calculate country-specific returns for the currently 23 developed countries and 24 emerging markets as classified by the MSCI.
Note that some countries (Russia, Venezuela) have left the indices. Additionally, data for Kuwait, Qatar, and the UAE did not start until 2005-05-31; Saudi Arabia was not available until 2014-08-29. I've calculated them using available data during the timeframe.
Returns are provided based on CAGR (I would define this term, but apparently the first word is blocked by the automod for some reason), gross returns (i.e. total returns including dividends), denominated in constant currency. I chose USD since the data was most easily available, but in any case, since the DXY has been essentially flat since the start of 1999, currency effects haven't really introduced a significant bias one way or another.
Among the developed countries, Canada (+9.92%), Denmark (+9.59%), and Norway (+9.41%) have fared the best--despite the recent crash in Denmark's stock market due to the underperformance of Novo Nordisk. Among the emerging countries, Peru (+16.91%), Czechia (+14.11%), and Colombia (+13.76%) have led the pack.
Additionally, I have broken the returns down by president. This spans the tail end of Clinton's second term, which included the very end of the dotcom bubble and the subsequent crash; the Bush presidency, with the continued tech crash and the subsequent great financial crisis; the Obama presidency, characterized by subsequent recovery and tech boom but European debt crisis; Trump's first term, including the first trade wars and the start of the pandemic; the Biden presidency, as the world recovered from the pandemic and figured out its supply chains but dealt with high inflation; and the start of the current Trump term, characterized by deglobalization and increased protectionism.
Where the U.S. (+14.95%) has been exceptional, however, along with Taiwan at #1 (+16.50%), has been in its recovery from the GFC at the end of June 2009. Perhaps not a coincidence, as they have been the two biggest beneficiaries of the tech boom. Will this continue, or is the trend starting to break?