We currently don't have a built in fee anywhere in the Set Protocol or TokenSets the app. This will most likely be updated at some point in the future when when we plan on transitioning Set Labs into a self sustaining business. When/if we add a fee, we will notify users beforehand. If you want to keep up to date on this from the Set team, join our Telegram channel, follow us on Twitter, Medium, or sign up for our email notifications in your account settings.
Rebalancing Slippage: It's important to note that even if there is no fee, users may incur a small amount of slippage during a rebalance under certain circumstances. Rebalancing slippage is a side effect of a dutch auction mechanism used in a Set's rebalance. In a simplified explanation, the more collateral there is to rebalance in a dutch auction system, the more time it will take to rebalance all the collateral. As more time passes in a Set dutch auction, less under-collateralized tokens are needed in exchange for over-collateralized tokens in order for a Set to rebalance to its target weight. During this process, the changing ratio for under-collateralized tokens in exchange for over-collateralized tokens naturally changes the net asset value of the Set as some of the value is either taken out or added in by the rebalancing liquidity provider. This change in net asset value is the rebalancing slippage. This is by design, and built for future use to incentivize open market participants if they want to help with rebalances once rebalance sizes become larger. For more info on rebalancing, take a look at this article here.