The tax reporting is also pretty nightmarish. I have a friend who once decided he could mimic an index fund without the fees by buying individual stocks in the same proportions as the index (I think his broker offered a free trades deal or something, otherwise this is an obviously bad idea). His Schedule D that year was about 60 pages long, and he decided never again. Of course, it took him years to finish unwinding all the positions and reporting all the taxes, since many times you're left with a small fraction of a share once dividends have been reinvested.