To establish this, I took all 22 developed economy stock markets for which MSCI has data since 1987. I then measured six-monthly returns in US dollar terms to June and December each year and asked: what would have happened if you had bought the six best-performing markets in the previous six months and held them for six months, repeating the process every six months since June 1988?
The answer is: you'd have made a lot of money. Ignoring dealing costs and dividends, this strategy would have turned $100 in June 1988 into just under $1,400 by December 2013. That's an annual return of 10.9 per cent. $100 left in MSCI's world index would have grown to only $372 - an annual return of 5.3 per cent. And if you'd bought the six worst-performing markets every six months, you'd have made just $311.
What's more, this outperformance is consistent. In the 51 six-month periods since 1988, the momentum portfolio beat the world index in 34, and beat the negative momentum portfolio in 35.
Momentum has continued to work this year. If you'd used it in December you'd have bought the Danish, German, Irish, Italian, Spanish and Finnish markets. So far this year, an equal-weighted basket of these has risen 7.7 per cent while MSCI's world index has lost 0.3 per cent.
In saying all this, I am not data-mining. Victoria Dobrynskaya at the London School of Economics shows that other methods of momentum investing in global markets also pay off well.
This outperformance, however, comes at a price - of higher risk.
The risk here isn't merely volatility. Yes, our momentum portfolio has been more volatile than MSCI's world index, but not that much so. As a result, its annualised Sharpe ratio has been better than that of the world index.
Instead, the problem is downside beta. In four of the five worst six-month periods for the global market since 1988, our momentum portfolio has done even worse than the market. For example, in the second half of 2008, MSCI's world index lost 34.4 per cent while our momentum portfolio lost 46.3 per cent.
And here's a curious coincidence. Dr Dobrynskaya points out that this high downside beta is exactly what characterises momentum portfolios comprising individual stocks within national markets. This implies that there's a general risk that accompanies momentum investing, and this risk should imply high returns in normal times for those investors brave enough to take it.
Now, in saying all this I'm not advising retail investors to follow such an international momentum strategy; it's tricky to do so, and probably unnecessary give that momentum is easy exploitable in UK shares.
Instead, there are two points to this. First, this strengthens our confidence in the long-run power of momentum investing. Because there's a systematic risk in momentum portfolios - downside beta - they should continue to pay off well in average times to compensate us for it.
Second, all this implies that the job of international equity allocation, at least in normal times, is much easier than the men in suits pretend. We don't need careful judgments about the world economy or fancy talk of Brics or Mints, but to a large extent merely easily-available data on past returns. Very often, professional investors are getting money for old rope.
