how or where can I set up a investment fund and not have to be a registered investment advisor?

How can I set up an invesment fund without being an RIA? What state(s) would I have to llc out of and have an office located in order to fall under the "private advisor exemption"? I will not be "holding myself out", will not have more than 5 clients and they will all be accredited. How should I register the fund... investment club, hedge fund, etc...