Anonymized Side Hustle as a Way Out

Has anyone here developed a side venture outside of their current PE role with the longer-term intention of transitioning it into a standalone business? I was doodling on this path—considering entrepreneurship as a potential eventual exit from institutional investing—but I find the uncertainty around early product-market fit quite daunting. I'm particularly interested in how others have structured early-stage operations discreetly, prior to formally launching. Have you housed the venture under someone else’s name or used alternative legal structures to manage visibility and liability during the incubation phase?