No, set it up in NYC. There are several regulatory reasons for this, but also for marketing. You can always build out a master-feeder structure later if that becomes necessary. Do it by the book and top shelf. Don't cut corners on anything. Expect to pay $300,000 to stand it up, then t that add however much you intend to prime the GP investor with.
Even if you do it like this, you will have a difficult time getting a respectable auditor. You will likely not be able to get on the decks of a decent prime broker either - these things take time.
A real-time track record helps, but that is only a minor help compared to actual month-after-month of the fund trading real money -- usually yours and family and friends if you are lucky. Most serious investors will not invest on year one, and most require you be up and running for two years. You need an office, employees, a payroll wherein you're filing the monthly EFTPS, and you can expect to do that for two years before you can attract any real money.
You need to go out and hustle it, talk to potential clients, get into various events, expect to pay 5,000-50,000 to present at any event. The Context event in Miami will cost you $10,000 / year alone just to be on the floor.
You'll need someone (employee) to handle the trading for you.
Of greater concern, of course, is defending the downside on the equity. That's the over-arching concern of the manager, far more than big enough returns. The road narrows, like everything else in life, and you need to be able to survive long enough to garner clients, and that means surviving market downturns, being defensive.
If you want to create a fly-by-night-type operation, you won't get off the ground. People who are going to invest millions with you are not going to engage with anyone who is not absolutely, totally clean, totally top-shelf.
Do you want to start a real hedge fund, or do you want to run a business out of the trunk of your car?
