Namely that your definition of a developing market may not match that of the index fund and, even if it aligns when you first invest, it may become out of alignment as time goes on. In short, it pays to review the holdings of your developing-market index funds for what I term "exposure drift."

As a case in point, during the May 2014 semiannual index review by MSCI-the marquee developing-market index provider-Qatar and the United Arab Emirates (UAE) were officially reclassified as emerging markets, an upgrade, as it were, from their previous classification as frontier markets. Between the two countries, 23 securities were removed from the iShares MSCI Frontier 100 ETF /quotes/zigman/11794247/delayed/quotes/nls/fm FM +0.83% .

This means the weighting of the remaining countries in the earlier iteration of the iShares MSCI Frontier 100 ETF was increased with the addition of new securities. In this instance, UAE companies, such as Abu Dhabi Commercial Bank /quotes/zigman/2764635/realtime AE:ADCB+3.87%  and Dana Gas /quotes/zigman/2768022/realtime AE:DANA-1.33%  were moved off the list, while Nigeria's Ecobank Transnat and Forte Oil were added, along with four securities from Pakistan.

There were other changes, of course, but I'm focusing on these because I'm quite bearish on Nigeria at the moment; I am not recommending that developing-markets investors increase their exposure to Nigeria either via a direct investment or indirect, such as through a broad based index fund.

I have no criticism at all of how MSCI structures its indexes and, in fact, only compliments for its transparency about its methodology and the changes it makes.

My sole point is that buy-and-hold investors holding the iShares MSCI Frontier 100 ETF have now just increased their exposure to Nigeria, whether they realize it or not.

Of course, all indexes and index funds reconstitute on some timetable, usually annually or semiannually. All seek to balance risk according to stated methodologies, usually using a combination of factors, including free float-adjusted market capitalization and company ratings, etc.

For an investor interested in holding a "frontier market" account as a means of gaining exposure to the UAE, it could be discomforting to find out that they've not only lost that exposure, but gained exposure to Pakistan and Nigeria.

Developing markets-whether identified as emerging, frontier or some other classification-change quickly. Further, one fund's definition of emerging or frontier may not align with that of another fund.

As such, it¡¯s best to look beyond the label of a fund to see which countries it holds and bear in mind that what you bought two years ago may not be providing you with the same exposure now.

A good advisor will explain this to a client and test his or her assumptions when they choose funds so that there's the right match. Also, it helps to remember that funds evolve and that whenever you rebalance your portfolio, you should check to make sure the funds you're in reflect your current outlook with regard to country exposures.

If you buy based on a label and don't check in when an index reconstitutes, you might find that the exposure you thought you had has drifted a little, or a lot.