Despite being touted as among the last vestiges of low interest rate yields, investors made double takes before making a move on emerging market assets.

Several money managers on the Morningstar Investment Conference said that investment return and economic growth on emerging markets are prone to too much risk. The conference was held in Chicago on Thursday.

Richard Bernstein, chief executive of Richard Bernstein Advisors LLC., Eaton Vance Management's subadviser, said that investors "have grossly underestimated the risks in the emerging markets." "Earnings estimates for emerging market companies are overly optimistic and that emerging market countries are prone to inflation," he added.

Bernstein said that Turkey is an example of this.

Turkish Central Bank's Erdem Basci announced on Wednesday that the country's inflation rate is rising and will continue until July due to base effects.

China's real estate market overpricing is also affecting the variability of success in investing in emerging market countries, according to James Montier, a part of the asset allocation team of GMO LLC.

"We have real concerns about the fundamental risk embedded in emerging markets," Montier concluded.