The Morningstar report looked at index funds and ETFs that tracked similar indexes and could be compared easily. But the report also took into account a number of factors that often aren't considered when looking just at price.

While the ETFs appeared to be cheaper than the index funds, the study compared their annual report net expense ratios, current ETF and index mutual fund fees and "other considerations that affect the total cost of ownership, including tracking error, liquidity, and tax efficiency."

One factor the study considered was the "estimated holding cost"—which came out lower on an asset-weighted basis, for one- and five-year periods, for mutual funds than for ETFs of U.S. and international stocks. The study said, "The asset-weighted expense ratio comparison narrowed ETFs' cost advantage in every category." The same was not true for bonds.

However, when it came to equal-weighted expense ratios, "ETFs look like a better bargain … though the institutional share classes narrowed the gap in five categories."

Including Vanguard funds changed the results.

"Because Vanguard prices its funds at cost, many of its index mutual funds are cheaper than ETFs from other providers. Vanguard's index funds have significant influence on the asset-weighted averages because they tend to be among the largest mutual funds in each category," the study said.

With Vanguard's funds out of the picture, "ETFs look cheaper than their mutual fund counterparts on an asset-weighted basis in every category included except foreign large blend." But there are tax issues with Vanguard that could make its funds "less tax-efficient for ETF investors than a stand-alone ETF because Vanguard's ETF investors must share the tax liabilities that could result when mutual fund investors sell their shares."

Stock ETFs had a lower tax cost than stock mutual funds, while bond ETFs and funds came out about even. And trading commissions, the bid-ask spread and the market impact of trading all took their toll as well.

The end result was a determination that there's more analysis to be done than simply looking at superficial measures of cost and expense. But that shouldn't come as news to anyone who knows to look beyond the price tag, whether in the stock market or the supermarket. J.P. Morgan made the same point in a research paper that explored target-date fund costs.

Morningstar included a checklist of considerations to aid in deciding between index mutual funds and ETFs. Some of its recommendations included whether the investment would be held in a taxable account; whether it would be held longer than a year; how much brokerage commissions are; how large the investment is; whether there will be numerous small investments or withdrawals in the account; and whether dividends will be reinvested.