In the past, emerging markets has been riskier but also more rewarding. Will this be true going forward? Quite possibly. But would I put all of my taxable account in it? No.
I don't believe in tilting certain sectors/countries/however else you want to divide it of the global stock market. Maybe the tilt you choose will be a winner. Maybe it won't. I don't pretend to know. I'm pretty sure most others don't know either. I'd rather guarantee myself the average global stock market return (less Vanguard's minimal fees), for better or worse.
I also don't believe that truly assessing risk can be done with just one metric, no matter what the metric. The stock market is far more complicated than that.
This describes my investment approach to a tee. I invest in emerging markets (and developed markets!) via Vanguard FTSE all-world UCITS ETF. Aside from the benefit of Keeping It Simple, it means I have no rebalancing to do within the equity portion of my portfolio. This is a big advantage because of my broker's somewhat high transaction fees.
I was about to say that you're missing out on tax loss harvesting (TLH) opportunities but then I noticed you're from the Netherlands, so I don't even know if the tax laws there allow for it. And you have high transaction fees.
But for the benefit of Americans here, I will say the following:
Disadvantages of using all world funds:
A) Can't TLH US and international portions separately. It's decently common to have international funds reporting losses and US funds reporting gains (or vice versa)
B) The all world fund from Vanguard has a slightly higher expense ratio than a market weighted combination of Vanguard's total US + total international. This is Vanguard specific, but it may be true of other mutual fund companies - take a look and see
C) You may pay higher taxes on your all world fund vs a US + international fund. The optimal place to put a fund holding international stocks is not as simple as put it in taxable because otherwise you can't get the foreign tax credit. For a deeper explanation, see
my post in the US tax guide. You will see that the inability to separate the international and US portions hurts you.
Advantages of using all world funds (as mentioned by Mr FrugalNL)
A) Simple. No need to rebalance between US and international stocks.
B) Less rebalancing needs also means lower transaction costs (though largely irrelevant if you hold the mutual fund versions, because you can trade these for free (usually - if you choose the right brokerage and a non load fund))
Of course, everybody needs to decide for themselves whether the advantages outweigh the disadvantages here.