Investing in US shares has been a no-brainer for ASX investors for as long as most of us can probably remember.

Over the past decade or two, the US markets have seemingly been on a never-ending upward trajectory. There have been hiccups, of course. The 2020 COVID crash decimated US stocks, with the largest sell-off of the S&P 500 Index (SP: .INX) that investors had seen since the devastation of the global financial crisis.

But that sell-off didn't last long. And it's been onwards and upwards for investors ever since.

Tech stocks drive monstrous returns

It's not hard to see where the momentum for the American markets has come from. Technology has been the driving force of the market's gains for at least the past decade and a half. As the likes of Apple, Microsoft, Nvidia, Amazon, Alphabet, and other technology leaders have consolidated their grip on everything from gaming and smart devices to e-commerce and artificial intelligence (AI), the market capitalisation of these technology giants has exploded.

It was only back in 2018 that Apple made headlines for being the first public company in history to be valued at more than US$1 trillion. Today, there are more than a dozen companies that have, at least at one point, been valued at more than US$1 trillion. Six of those have hit US$2 trillion at some point. While two, Microsoft and Nvidia, have seen valuations north of US$4 trillion.

So it's no wonder then that US shares have delivered buckets of cash to investors. We only need to look at a basic index fund of US shares to see how lucrative these gains have been.

As of 31 July, the iShares S&P 500 ETF (ASX: IVV) has returned an average of 18.08% per annum over the past five years, and 14.91% per annum over the past ten. Those are not your typical returns for an index fund. In stark contrast, the iShares Core S&P/ASX 200 ETF (ASX: IOZ), which is a proxy for Australian stocks, has returned 12.17% per annum over the past five years, and 8.49% per annum over the past ten.

Should we go all in on US shares?

As you can see, it's easy to conclude that US shares are just the better investment. So, should we all just sell out of Commonwealth Bank of Australia (ASX: CBA) and Telstra Group Ltd (ASX: TLS) and buy Apple, Microsoft, or an S&P 500 index fund and be done with it?

Whilst that might be tempting, experts are cautioning ASX investors to remember that past returns never guarantee future results. Speaking to the Australian Financial Review (AFR) this week, Roger Perrett, financial adviser at Fresh Water Wealth, acknowledges that "There could be a tendency for a retail investor to go, 'Well, why don't I just put all my money there?'".

However, he notes that the heavy lifting of the success of US shares has only been done by a handful of stocks. That would be the 'Magnificent 7'. "What you find in the US is that if those stocks don't perform, the whole index doesn't perform", says Perrett.

The article notes that if you take out the performances of the Magnificent 7 stocks, returns from US shares over recent years start looking very similar to what ASX shares have delivered.

Perrett and other experts argue that exposure to US shares is still important for ASX investors wanting to maximise their returns. After all, the United States remains the world's largest economy, and almost every cutting-edge company still calls it home. But given this concentration risk, investors shouldn't forget about diversification either.