Starting with systems that shipped with OS X 10.11.0, Apple no longer supports booting from external storage devices.

 However, there is a workaround:

  • First enter Startup Manager by holding the Option key during boot
  • While in Startup Manager, press Shift+CMD+Option+Period.  This will load the option ROMs and allow the user to select the bootable device.  Note that this setting is not persistent and you will need to do this each time you’d like to boot from the external device.

For more information, please see here: