The exploitation of a deep algal maximum by Daphnia in the absence of fish predation was studied in large indoor mesocosms. Facing the dilemma of low food but high temperature in the epilimnion vs. high food but low temperature in the hypolimnion, Daphnia distribute above and below the thermocline in order to optimise their fitness. Labelling hypolimnetic algae with 15N revealed that the vertical distribution of Daphnia is dynamic, i.e., all individuals traverse the thermocline and allocate a certain proportion of their time to feeding in the cold water. The overall energy gain from the deep-water algal maximum is lower than from the same algal concentration in the epilimnion due to the low temperature and the limited time an individual spends in the hypolimnion. The results provide mechanistic support for the hypothesis that Daphnia chose their habitat according to an Ideal Free Distribution with Costs model.