When To Underweight US Equities by Andrew Smithers, FT.com for full article H/T ValueInvestingWorld
The US seems expensive relative to other major stock markets. As it is probable that cheaper markets will give better returns, this implies that investors should underweight US equities. This conclusion applies, however, only over the longer term. Timing matters and this involves other considerations.
This combination of high volatility and strong correlation implies that investors should not time an underweighting of the US market just before it falls.