The benchmark S&P/ASX 200 is down by 3.6 per cent in local currency terms this year, compared to a 7.5 per cent year-to-date gain on the main US index S&P500.

Malcolm Wood head of investment strategy at Morgan Stanley Wealth Management said global investors have been reluctant to buy Aussie equities because of the pressures of a weaker currency and lower commodity prices.

In US dollar terms, Australian shares have actually fallen into bear market territory, meaning the index is down 20 per cent from its September peak of 5679.5 points. Meanwhile the S&P500 has recovered all of its losses from the dramatic September sell off.

Paul Moore, chief investment officer at PM Capital said Australian investors, particularly those with self managed super funds (SMSFs), are overly invested in local assets and are missing out on better returns offshore.

"It should be noted that SMSF's still only hold 1 per cent of their assets in global assets," he told online social platform livewiremarkets.com.

"Sentiment may be changing but it is actions that will provide investors returns and there is still severe under-diversification in certain areas of the market.

A survey by livewiremarkets.com found that 50.7 per cent of all survey respondents said international equities will be the best performing asset class in 2015, while only 23.2 per cent expected Australian equities to outperform. Most of the remaining respondents said they believed Australian real estate, bonds, cash or precious metals will outperform next year.

What's interesting is that despite the underperformance of Australian shares, some fund managers with global strategies have not made the most of recent gains.

The latest Mercer survey shows that the median Australian shares fund manager outperformed the local index by 0.8 per cent over the 3 months and 12 months to November.

But the median overseas shares manager underperformed the index by 0.2 per cent over the 3 months to November and underperformed by 0.4 per cent over 12 months.