Investors in emerging markets must work proactively to understand where their exposures lie. That starts with understanding the indices against which they benchmark their investments. Investors need realistic expectations of how upcoming market events may affect those indices—and thus how they should affect investment decisions.

As emerging markets have experienced tremendous growth over the past 27 years, the look and feel of emerging-market indices have shifted dramatically. In 1988, the year of inception of the MSCI Emerging Markets Index, these markets represented less than 1 percent of the global MSCI ACWI Index, and the newly formed Emerging Markets Index consisted of just 10 countries. Today emerging markets make up more than 10 percent of the benchmark weight of the MSCI ACWI. Moreover, the MSCI Emerging Markets Index now consists of 23 countries, and the one that currently has the largest weight—China—wasn't even included until the beginning of the 21st century.

Countries that don't meet the economic and investability criteria of "emerging markets" are typically classified by index providers as "frontier markets." These are less mature, developing countries that are investable but haven't yet gotten as much attention as the more mainstream emerging markets. There are also standalone indices for countries in which the securities markets are mature enough to be considered "emerging" but the market is highly restrictive in terms of who can invest.