The party line on index exchange-traded funds is that they offer easy exposure to a benchmark, less the fund's expense ratio. If a stock index were to gain 10% this year, for instance, and an index ETF charges 0.1% of fund assets a year in expenses, an investor in that ETF might expect to earn 9.9%.

The reality is messier. The fund's costs to buy and sell securities, and other aspects of portfolio management, influence your return as well.