In 1993, Li Lu was prominently included in a lecture given by Buffett at Columbia University. The financial market in the 1990s was dominated by the bull market, and hedge funds were slowly rising. With doubts about China's market economic reform, Li Lu did not believe that China had a so-called financial market, but it was Buffett who changed Li Lu's view.

Inspired by Buffett, Li Lu started investing in the stock market with the advance money he received from the publishing house for writing his book. Before graduating in 1996, the money had expanded to a considerable scale, and Li Lu even felt that he could retire.

But he still accepted a job at securities firm Donaldson Lufkin & Jenrette. In 1997, he founded the hedge fund Himalayan Partners Fund. Later, he also established a venture capital fund to prepare for his next investment in American high-tech companies.

At that time, Wall Street was a paradise for investment, and the Internet and information craze had just emerged. Through his good relationship with Random House Chairman Bainsden, Li Lu quickly attracted celebrities from all walks of life to become clients of the fund. Among them are financier Joe Lemkeberg, News Corp director Stanley Schumann and hedge fund manager Jack Nash.

However, the development of the new hedge funds has not been smooth sailing. In 1998, the first year after the establishment of Li Lu Fund, his fund, which mainly invested in Asian stock markets, suffered a net value loss of 19% due to the impact of the Asian debt crisis. Li Lu felt bad at the time that he had failed the people who trusted him.

As the Asian debt crisis quickly receded, his fund's net worth began to rebound. By the end of 1999, Li Lu's fund had made up for its losses.