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Obviously there isn't going to be one single answer. Hedge Funds (and most top places) tend to take whoever excels at what they do, and are obviously very bright.

That being said, management consulting seems to me, a less than optimal field to use as a springboard into a HF. Especially since you're not developing expertise in an industry (usually), or involved with investment decisions on a day-to-day basis, or really focusing on cultivating financial savvy.

 

One of my interviewers at Bridgewater Associates had spent two years as a consultant, and then got hired by the hedge fund. He switched because it "wasn't what he wanted to be doing".

Of course, he also went to harvard, which probably made things easier, but it certainly happens.

 
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