I was working on increasing foreign exposure in my portfolio after the last few years run up in the US market. Using Portfolio Visualizer, increasing international exposure lowered CAGR, Sortino, and Sharpe numbers. Since PV is backward looking data that made sense to me as US has been much stronger than Foreign. I then started using earlier start dates to minimize the recent results but I ran into same numbers being lower the more foreign exposure I increased. This writer finds similar results.https://fortunefinancialadvisors.com/blog/the-global-portfolios-rough-three-decades/
(dated Mar 2019)
He's not saying not to invest outside the US but he writes:
"It seems that no matter how one looks at the data, the last few decades have not been friendly to the global equity portfolio when viewed through the lens of an American equity investor. However, I do not want readers to come away thinking that I am opposed to investing abroad. Far from it! As I have argued previously, there is no compelling reason to own everything in the foreign equity universe. Similarly, foreign equity portfolios with factor tilts such as momentum and minimum volatility offer value to investors. In addition, investors may find better value in foreign small caps as I have discussed here and here. So, by all means, diversify your portfolio not just sufficiently, but also prudently".
He had also written previously that US Tech and Health Care sectors may also have been a major reason for US out performance as well.