But market veterans warn that going abroad exposes retail investors to currency risk, political headwinds and extreme volatility in some cases.

For example, while Dubai's market has returned 17% in 2014, it recently tumbled into a bear market (20% below previous high) due in part to jitters about the company that built the world's tallest tower.

Foreign stock markets also often lack the transparency, rule of law and regulatory oversight that U.S. equities enjoy.

"I would take our capital market framework over any in the world," said Kenny.

Still, short-term U.S. investors need to be aware of downside risks in the short term, Hooper said. These include the chances the Fed hikes rates sooner than expected, another debt showdown in Washington and geopolitical crises in Iraq, Syria and Ukraine.

Investors with less than a one-year time horizon should consider rotating into more defensive stocks or even taking some gains off the table, Hooper said.

But for long-term investors, exposure to equities is a must if they want to reach their retirement goals.