Exiting to distressed fund

If you go to a bank with relationships with headhunters that represent distressed funds, then yeah it's possible to exit to a distressed fund. You don't see this happening extremely often because (1) M&A analysts don't tend to want to exit to distressed, which influences how headhunters treat M&A analysts by default, (2) you'll have to convince headhunters why you're both passionate about distressed investing and good at it so that they'll give you interview opportunities, and (3) you'll have to convince the distressed shop why they should hire a kid who won't have directly relevant work experience (RX) for the next few years. To the last point, you can do this by displaying your passion and talents for distressed investing in the interview, but sometimes candidates won't even make it that far b/c the firm or HH will just decide to not interview you.

Also worth noting that a lot of distressed shops recruit off-cycle, save for maybe the huge ones. This'll mean maintaining HH relationships or networks inside those funds OR just hoping they pick you to interview, which is a lot more difficult because you're in M&A and not RX