You'd have to sacrifice the returns if you want bigger size. For every trade you do, there will be expected return (+ve) and then some costs to pay (-ve). Commi

You'd have to sacrifice the returns if you want bigger size. For every trade you do, there will be expected return (+ve) and then some costs to pay (-ve). Commissions and similar costs are only linear so not terrible. With increasing size, the market impact cost that's non-linear will soon overwhelm all other costs. So you keep adding alpha in your forecasts (via your research pipeline), that will be eaten away by the impact cost, as you scale up. If you keep it small (-ish - still gross pfolio will be billions) - then you will get to keep high returns.