The study aimed to examine the relationship between the Variables of portfolio management diversification, marketability and return the mediating role liquidity. Research sample consist of investors in Khartoum stock exchange in Khartoum state Sudan. The sample was taken by random probability sampling. In addition for that researcher depended on questionnaire for data collection, the sample was taken from the investors who were still own the investment portfolio. This was done to facilitate the distribution of questionnaires and the accuracy of answers given by the investors. Research sample 400 investors the total response rate 81.75% the analysis technique used in this research is quantitative data analysis technique using Path Analysis modeling using (AMOS v 25). The results revealed the relationship between portfolio management and return it positive because it different form zero at 0.05 level of significance. And the relationship between diversification and liquidity it not significance because it different from zero at 0.05 level of significance. And the relationship between liquidity and return it not significance because it different from zero at 0.05 level of significance. The mediating role of liquidity on the relationship between marketability and return it positive because it different from zero at 0.05 level of significance. The mediating role of liquidity on the relationship between diversification and return it not support because it different from zero at 0.05 level of significance. The recommendation is Khartoum stock exchange management should take care of marketing the financial securities. And make it easy to increase the efficiency of market. Should improve the fundamental and technical analysis of market for individual investors to anticipate the price of securities according to available information about the price in the past. Also the investors need to be flexible with market environment to change the percentage weight of their portfolio assets according to market study.