Alekhine won WC title from Capa which is the clear evidence he was superior at that time.
Both players were chess geniuses with very sharp tactical eye and great endgame technique. I think however Alekhine as more complete as he studied openings deeply, too. Capa played simple classical openings while Alekhine brought many new ideas in modern lines (just to mention Alekhine defence which was a completely new opening he invented).
I prefer Alekhine, he was more human for me. He worked hard to achieve his highest level, faced many problems that I personally have (like having many periods of much weaker play (frequently related to alcohol), searching for beautiful moves during the whole game and wasting his time when they appeared to be false - he wrote about that in his books).
On the other side, there was Capablanca who did not work too much - he was extremely gifted player, he just played brilliantly without much fighting for progress. Capa was a natural chess machine, unbeatable for 10 years (if I recall correctly), self-confident, nearly perfect.
Alekhine risked very much to challenge Capa for WC match. He was though able to prepare for playing the monster, found his weaker sides and exploited them. For this, he has more respect from me than "Chess God" whom he managed to beat.
Who was the superior player an why?