If pressed, could you tell me the country that offered the best stock returns this year? What about any members of the top 10?

It's harder than you probably think, because they're not the countries you might expect.

You call that a bull market?
Investors rejoiced as the Dow crossed 12,000 this year, yet U.S. stocks have returned just 13.2% thus far. While that's an impressive number, it's abysmal when compared with the rest of the world's equities.

And what about the highly publicized markets in China and India? They don't crack the top 10, either. But I'm getting ahead of myself.

Without further ado, the top 10 performers:

Country

Return*

Cyprus

159%

Slovenia

74%

Indonesia

60%

Venezuela

58%

Poland

52%

Spain

47%

Portugal

40%

Philippines

40%

Norway

39%

Sweden

37%
*In U.S. dollars. Source: Dow Jones.

This list is incredible to me. Indonesia? Slovenia? Cyprus? I, for one, don't know anyone who owned Cypriot stocks this year.

I think we can learn a few things from this list. First, if you're an American investor, it's absolutely crucial to be invested abroad. The potential returns to be found overseas are too good to pass up. Second, the best returns often come from obscure places -- not from the countries we read about every day in the papers. And finally, there is some risk involved in investing internationally. Indonesia, for example, is known for its volatility. There are also threats of social unrest, terrorism, earthquakes, and volcanoes. And then there's Venezuela -- where President Hugo Chavez isn't exactly a friend of foreign investors.

Buy what others aren't
But the main lesson here is old hat: To get the best returns, you need to be willing (and able) to look where other investors aren't. That's why the 10 best domestic stocks of the past 10 years were all small caps such as Hansen Natural (NASDAQ:HANS) and Chico's (NYSE:CHS), and it's also why even the best large-cap investors manage to beat the market by a only few percentage points.

See, large companies and popular markets have huge numbers of investors and analysts watching them. Google (NASDAQ:GOOG), Microsoft (NASDAQ:MSFT), and Apple (NASDAQ:AAPL), for example, get coverage from 30 or more analysts. Those three popular stocks are also the only stocks to have more than 3,000 ratings in our Motley Fool CAPS community intelligence database.

In other words, they're probably pretty efficiently priced.

You'll get the best returns, however, by finding market inefficiencies. And while 2,000 more investors are covering Johnson & Johnson (NYSE:JNJ) and Dell (NASDAQ:DELL) in CAPS, I can't find a single Cypriot stock that's even rated.

The Foolish bottom line
That's where your opportunity lies as a Foolish investor. But as I said, international investing is not without risks. If you'd like some help finding worthy international investing ideas that you may never have heard of, click here to try our new Global Gains service free for 30 days. There is no obligation to subscribe.

Tim Hanson does not own shares of any company mentioned. Microsoft and Dell are Inside Value recommendations. Johnson & Johnson is an Income Investor pick. Dell is also a Stock Advisor pick. No Fool is too cool for disclosure.