While many investors think U.S. stocks are safer than their global peers, they may well be wrong, says The Wall Street Journals  Brett Arends.

Arends recently highlighted research involving the separate work of Joachim Klement, chief investment officer at Wellershoff & Partners, and Mebane Faber, CIO at Cambria Investment Management, both of whom examined long-term data from more than 30 different stock markets around the world. “Among their findings: First, no stock market provided the best return in all periods,” he writes. “On the contrary, the markets of different countries and different regions tended to fare better at different times. … Second, performance in the past has depended to a substantial degree on starting valuations. You generally did best by investing in the stock markets that were cheapest in relation to corporate fundamentals such as earnings and net assets — and you generally did worst by investing in those markets which were expensive on those measures.”

The cheapest markets are often fraught with fear, which Arends says can make it tough for many investors to focus on them. But he says that by simply diversifying broadly over many different regions of the world, and rebalancing regularly, you can increase your chances of higher returns and lower your risk. A portfolio composed of equal amounts of the S&P 500, London’s FTSE 100 index, Europe’s EuroStoxx 50, Japan’s Nikkei 225 and the MSCI Emerging Markets index, rebalanced periodically, returned about 70% from Dec. 31, 1999, through Dec. 31, 2013, vs. less than 50% for U.S. stocks alone, he says, for example.