Investing OOS or Not

[Stone Jin]

I was having a chat with my wife about potential markets for investing and we got onto an interesting topic.  Would you invest out of your local market for the same returns as your local market?  We are in the Phoenix market and the returns on buy and hold are not super great at the moment, however the question is should we consider a market that will yield the same returns?  If so, what would be some reasons you would do it.