Seeking Advice, V5 Federal Strategy Consulting --> Finance

I'm currently weighing a number of next steps for my career and could definitely use some advice from the pros in WSO:

I have been working for a V5 Consulting firm (non-MBB) doing Strategy Consulting in DC for their Federal practice since I graduated in May, 2010. I went to GW so not exactly a target school for top finance firms, but graduated top 5% of my class so I would up with a solid offer in management consulting.

That said I am looking to make the transition to New York and into the field of finance. I am looking specifically into Asset Management, financial services consulting (perhaps my best fit based off my current experience), PE, HF, or any other intermediate field that would give me the experience pre-MBA to make a switch in the long-run (PE fund placement?). I understand to start a career in one of these finance fields I ideally need experience in at least a related field before getting my MBA.

Thoughts?

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