Investing outside the United States does have it benefits for investors who want to diversify their risk. Investing in foreign markets can bring high risk and reward but in turn, expands an individuals portfolio for more opportunities in an international market. Investing outside of the home country can bring diversification benefits and make a major impact on the efficient frontier curve. The EF curve (efficient frontier curve) represents the efficiency of all risky assets in a given portfolio. In more detail, optimal portfolio plotted along the curve has the highest expected return possible for the given amount of risk (investopedia). Below is a chart explanation of the EF curve:

In order for a portfolio to gain the highest returns, it must take on the highest risk. As the graph explains above, low risk will bring low returns, and as we continue up the curve, the greater the amount of risk and return our portfolio will give us. Anything above the efficiency curve is unattainable. It is impossible for a portfolio to exceed the EF curve because there is no such thing as low risk bringing high returns. But according to Bruno Sulnik, international investing can raise the EF curve to bring on more risk and higher returns. To invest internationally it is important to see the different stages of each countries business cycle. By studying different countries business cycles, they can diversify the risk into countries with stronger performing markets. It is essential for a portfolio manager to determine if the country they are investing in, is in a contracting our expanding cycle. Since, investing domestically can only bring on systematic risk (because we can not control our market), investing internationally gives the portfolio manager nonsystematic or diversifiable risk because cross-market correlations are low. Sources: http://www.investopedia.com/terms/e/efficientfrontier.asp