The US stock market is by no means expensive, but the euro area, Japan and China are way cheaper using the price to book and forward P/E ratios for comparison.
The second reason why the US stock market should underperform the world benchmark is cyclical. The US economy has passed its most dynamic phase of the profit recovery, and earnings growth has flattened out. Meanwhile, the recovery in the rest of the world has just begun.
Another important consideration is fiscal policy: the fiscal drag from the US federal government is front-loaded and the impact will be mostly felt in the first half of the year. For Europe, however, severe fiscal austerity has crested and most crisis-stricken countries are adopting much softer targets or measures to regain their fiscal balance.
In Japan, the Abe government has announced a new stimulus package amounting to 2% of GDP. In China, the government has been actively beefing up fiscal spending on infrastructure. As a result, there is a clear de-synchronization in fiscal policy among the major world economies: the US is getting more austere while policy in the rest of the world is becoming more stimulative.
All of this suggests that the underperformance of the US stock market, which began about six months ago, should continue.