(FORTUNE Magazine) – To Ralph Wanger, small-cap investing is getting a little dull. Never mind that over the past three years the funds that buy these stocks, with market capitalizations generally between $100 million and $1 billion, have killed the competition, giving shareholders an average return of 30% annually. Laments Wanger, who runs the legendary Acorn fund and Acorn International, its newer sibling: ''Investing in small caps in the U.S. has become so businesslike. With all the conference calls and analyst meetings and press releases, it's very hard to know something others don't. You can still make money in the U.S. -- but you can't steal it.'' Fortunately, Wanger and other adventurous investors can still get away with a little larceny elsewhere. In Europe, Asia, and Latin America, small companies have yet to be picked over and bid up. Managers of an increasing number of mutual funds are capturing the fast growth of small-cap stocks in markets where the bull hasn't run as long or as hard as in the U.S. Says Edward N. McMillan, a principal of Bee & Associates, a Denver investment advisory firm that specializes in global small-cap companies: ''There are many fine ones with above-average growth rates selling for fractions of their U.S. counterparts.'' Want evidence? Montgomery Asset Management ranked 5,764 non-U.S. stocks by market capitalization. The top tenth -- issues with an average market cap of $6.6 billion -- have an estimated overall earnings growth rate of 14% over the next two years and sell, on average, for 35 times this year's estimated earnings. For the bottom tenth -- companies with an average capitalization of $19 million -- the growth rate averages 25% and the P/E only 20. Just because international small-cap stocks are cheap and undiscovered doesn't mean they won't stay that way. But specialists in small-cap companies abroad are betting otherwise. As U.S. investors rush to diversify internationally, money is flooding into larger-cap blue chips. Eventually, the argument goes, that money will trickle down to the lesser-known companies, boosting their multiples.

And if the companies languish anonymously for a while, who cares? John Boich, lead manager of the newly formed Montgomery International Small Cap fund, is buying the likes of BWT, an Austrian water-treatment company with a P/E of 11. The stock yields 2%, and he estimates earnings growth at 20% a year. Says Boich: ''If it gets discovered, it will get rerated and trade for 20 times earnings. If not, a 22% return is just fine.'' Small caps have already caught fire in some parts of the world. In Britain, after lagging far behind large-cap stocks for three years, small caps have returned 32% so far in 1993, about three times as much as the broader market. Why? Explains Iain Clark, manager of Seligman Henderson Global Emerging Cos.: ''Small companies are more economically sensitive than large caps and tend to do best when economies expand.'' Britain shook off the recession in the fourth quarter of 1992, after the pound was devalued and interest rates fell. Mark Edwards, co-manager of T. Rowe Price International Discovery fund, expects small caps to perk up elsewhere in Europe as interest rates come down and the Continental economies wake from their slumber sometime next year. Edwards and other managers are also loading up on stocks in Asia and Latin America, where companies are riding fast economic growth. Wanger, for one, has bought shares in many of the gambling companies in Malaysia, betting that at least some of the casino operators will move into China and profit from the new wealth there. Before you jump into this risky universe, beware: The flip side of market inefficiency is illiquidity. Says Wanger: ''You get quite a few roach motels, where you become a long-term investor whether you like it or not.'' The best way to avoid getting zapped is to buy a mutual fund in which managers spread their bets over dozens of countries and 100 or more companies (see table). That way you can check out whenever you want.

CHART: NOT AVAILABLE CREDIT: FORTUNE CHART/SOURCE: MORNINGSTAR CAPTION: OVERSEAS SMALL CAPS