PRIMER RESEARCHQuantitative research for U.S. taxable investors

PRIMER RESEARCH · DISCUSSION WHITE PAPER

Fund of One

August 2026 · 3 minute read

A fund-of-one aligns strategy, fees, and taxes around a single U.S. taxable investor.

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Problem

A pooled fund runs one portfolio and one realization schedule for many investors. Individual tax history, cash flows, and investment horizon sit outside the portfolio.

I.

Shared tax path

The same trades create different outcomes for different investors.

II.

Layered costs

Pass-through expenses reduce the return available to compound.

III.

Separated decisions

Portfolio construction and tax consequences are managed apart.

Structure

One alpha engine. One investor. One tax path.

A dedicated partnership and brokerage account hold a multi-strategy portfolio for one investor. Every strategy shares one risk budget, while tax lots and realizations follow that investor’s circumstances.

  1. Set the risk mandate and restrictions.
  2. Allocate capital across independent strategies.
  3. Manage trades and realizations as one system.

Investor defines

  • Risk
  • Restrictions
  • Cash flows

System manages

  • Strategy weights
  • Leverage and liquidity
  • Execution and tax lots

Result

Gross alpha × Diversification × Fee efficiency × Tax efficiency

The objective is long-term wealth after fees and taxes. The structure brings strategy selection, risk, costs, and realization decisions into one portfolio.

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Sources and important disclosures ＋
  1. Millennium Management, “Approach and Strategies at Millennium.” Source ↗
  2. Bloomberg, “Hedge Funds Are Pocketing Much of Their Clients’ Gains With ‘No Limit’ Fees,” February 10, 2025. Source ↗
  3. AQR, “Flex.” Source ↗
  4. Joseph Liberman, Nathan Sosner and Pedro Freitas, “The Tax Benefits of Pre-Tax Alpha,” AQR, March 17, 2026.
  5. AQR, “AQR Launches the AQR Fusion Mutual Fund Series,” 2025. Source ↗
  6. Internal Revenue Service, Publication 529; and Public Law 119-21, §70110. Source ↗
  7. Internal Revenue Service, Publication 541 (Rev. Dec. 2025). Source ↗

This paper is a conceptual discussion of an investment-product architecture. It is not an offer, investment recommendation, tax opinion, or legal opinion. Tax results depend on investor circumstances, vehicle terms, and future law.

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