(FORTUNE Small Business) – When the season for competitive marlin fishing kicks off on the West Coast this month, Anthony Hsieh of Irvine, Calif., will be ready. The founder and CEO of online lender HomeLoanCenter.com, Hsieh balances time at work with time on his boat. He takes off about 30 days a year to hit the water on Bad Company—his 60-foot Hatteras yacht—and compete in eight to ten tournaments along the coast.

As founder of an earlier startup called LoansDirect.com, Hsieh, 39, rode the dot-com wave to prosperity: In 2001 the company was acquired by the eTrade Group for $36 million. Hsieh's stake wasn't disclosed, but the buyout allowed him to take a year off to fish. In that year he caught some 200 marlin.

It's a good hobby for an Internet millionaire, given the costs involved. Tournament entry fees run about $10,000. Bad Company, the largest of Hsieh's three yachts, cost $2.6 million and requires an annual operating budget of $240,000. Just filling up the massive gas tank costs $5,000.

Marlin fishing is also risky. Hsieh saw one crew member lose a finger when his hand got caught in a line. Another time a marlin jumped into the boat, forcing Hsieh and his crew to jump out, into rough seas, until the fish calmed down and could be slid back into the water.

In 1998, Hsieh won the Bisbees Black & Blue Tournament in Cabo San Lucas—considered the Super Bowl of marlin competitions—after he and his seven-man crew caught a 498-pounder. To date they've won $635,000 in prize money, enough to rank their boat in the top 15 worldwide in lifetime earnings.

They haven't always been so lucky. Two years ago off the Baja Peninsula, the crew hauled in a 13½ -foot marlin that weighed 823 pounds—their largest ever. The problem? It was the day before the competition had started. Last year, at a tournament in Mazatlán, his crew hooked a marlin close to 1,000 pounds. It would have won the boat first place and $350,000, but after ten minutes on the hook, the marlin fought free. And although that's a fish story, Hsieh admits, "it was really heart-wrenching for us."