Investors compare products on published charges and rarely consider what it costs to get in and out. That cost is real, it is paid on every transaction, and it appears nowhere on a statement.
Two prices exist at all times
Any traded asset has a price at which someone will buy and a slightly higher price at which someone will sell. A purchase pays the higher one and a sale receives the lower one.
The difference is the spread, and it compensates whoever stands ready to trade for holding inventory and bearing the risk of prices moving against them.
An investor who buys and immediately sells is therefore down by the spread before anything has happened, which makes it a genuine cost of the round trip.
The spread reflects how easy the asset is to trade
Heavily traded assets with many participants carry narrow spreads, because inventory can be offloaded quickly and the risk of holding it is small.
Thinly traded assets carry wide ones, since anyone quoting a price may be stuck with the position for a long time.
Spreads also widen during stress, precisely when investors are most likely to want to trade, so the cost is highest when it is least convenient.
Large orders move the price against themselves
A quoted price applies only to a limited quantity. An order larger than that must reach progressively worse prices to be filled completely.
This market impact is invisible in the sense that no fee is charged, yet the average price achieved is worse than the price displayed before the order.
It scales with size relative to normal trading volume, which is why institutional investors work large orders over time rather than executing at once.
Illiquidity is priced, and the premium is the compensation
Assets that are hard to sell generally offer higher expected returns, because investors require compensation for accepting the constraint.
That premium is not free money. It is payment for accepting that the position may not be exitable at a reasonable price when it is needed.
Judging whether the compensation is adequate requires knowing how likely you are to need access, which is a question about circumstances rather than about the asset.
Structures can promise more liquidity than they hold
A fund offering daily dealing while holding assets that take months to sell has a mismatch between what it promises investors and what it can deliver.
In normal conditions this is invisible, because redemptions are met from cash and new subscriptions.
Under pressure the mismatch becomes the central issue, and such funds may restrict withdrawals to avoid selling assets at distressed prices, which is when investors discover the terms.