I recently had an email exchange with a reporter about frontier markets (emerging, emerging markets). He was writing a story about what markets investors should invest in. My answer to him was none. Not because there are not huge opportunities in frontier markets, but because of what could go wrong. If you time it right (big if) you can make a lot of money buying the right frontier market at the right time. If you time it wrong you need to explain to clients why you lost a ton of money investing in some obscure country nobody has hear of.
I just read an interesting study done by CXO Advisory (link below but available to subscribers only)
They add a frontier market ETF (FRN) to a diversified portfolio. What they found was that FRN slightly decreased returns over time and increased risk. There are of course caveats here, the main one being that FRN hasn't been around for a very long time. However, the point is that investors need to always make sure they look at the risks of whatever they are investing in before getting wowed by the potential returns.