CWGIX is one of those front-end load and high-fee funds you should avoid, though.
Just edited it to point out that it is a mutual fund, not an index fund. Still over the past 5 years, it is +43% total.
S&P500 index funds are up 77% over the past 5 years. I would say that's kind of proving the point, except international indices have done poorly over that time period and I think that explains most of the difference. (VXUS is up only ~7% over the 5 year period.)
(All figures quoted above are "price" and ignore dividends, which is bad but I don't have easy access to dividends-included figures.)
Yeah, I think it'd be a more valid comparison to put it next to something someone would actually invest that's also international. I'm not sure if there is a similar Vanguard fund.
Edit: I think I found one — VTWSX is +35% over the same time period. Accounting for fees vs the managed fund, probably means a better return here.
Yeah, this is an over-generalization. There are plenty of index funds for European companies at a variety of risk levels, just like in the U.S.
Also, there are worldwide funds too. Capital World Growth and Income Fund (CWGIX) [0] is one example that covers the U.S., Europe, and Asia. Note that this is a mutual fund, not an index fund.
Edit: Perhaps the downvotes are because this is an actively managed fund. The point of giving the example was trying to counter the specific concern OP stated. For passive, a specific Vanguard fund that's similar, at least the closest I found, is Vanguard Total World Stock Index Fund (VTWSX) [1]. It is very diversified.
[0]: https://www.google.com/finance?q=MUTF:CWGIX
[1]: https://www.google.com/finance?q=MUTF:VTWSX