I find this concept particularly confusing
How does position size, asset under management, and number of securities impact the return of a fund with all the costs involved
Do you have a question example that asks it? Not sure on what you mean, i can only think about position size etc to aum amount of the fund.
Position limits might affect your return. But if all else equal, these should not impact the return to a large extent.
Let’s say you are small cap tilt fund manager
If you have a Higher AUM say 1bn, even if you take 10%, it becomes 100 million which indicates a larger position size in every stock and because you can only invest in small cap (let’s say gou can on average invest 2mn max), you will automatically diversify because you have to atleast invest in 50 stocks,
Dur to large chunks of stake , huge position size, you might have less liquidity, leading to lower liquidity.