This article analyses the identification and performance of frontier investments over the period 2002 to 2017. Using fine wine as a setting we find that the trade frequency and value of frontier investments in the form of Alpine wines has increased over recent years leading to a rise of their prices above inflation rates. We further observe that this frontier investment has been favourable in terms of risk-adjusted returns and volatility for investors. We also evidence that the inclusion of frontier wines in a financial portfolio is beneficial for investors both in terms of returns and diversification benefits due to low correlation coefficients. The identification and investment into frontier investments therefore appears worthwhile for investors looking into new favourable opportunities.