Getting out of the Public Sector

Hello Monkeys. I have an unusual question for this forum.

I want to go from the public to the private side of the business.
After undergrad, i did not start in Finance. I was doing something else until about five years ago when i started working as an alternative investments (Hedge Funds, Real Assets, Private Debt funds) analyst at a major state pension. I get to talk to some of the best hedge funds and private capital firms in the business, i get to work with some of the smartest consultants in the industry and i am privy to some of the most interesting research, but at the end of the day most of the work is done by the consultants and i am only helping pick the manager, not actually investing money.

On the upside, i have an MBA from a good (top 50) school, i am working towards Lvl 1 of the CFA and I already have my CAIA.

I am wondering where to go from here. Id like to further develop my soft skills and analytical skills. I think its a little late to get in on the ground floor at an IB or equity research shop, so i think the best thing is to join a consultant. I expect to work long hours but if i join the right firm, i can get valuable training and experience and go to a corporate pension or insurance firm, eventually.

I am pretty realistic about my prospects, I dont think a firm like Bain or Boston Consulting would take me so i am thinking about targeting small regional firms.

I am almost 30 so i need to make a decision soon.
What do you guys think? Any other suggestions? Am i missing anything?