Advice on moving from AM to Venture Capital

I actually took this exact path to get into VC - I spent 2 years as an equity research analyst in an asset manager then I moved to a VC firm that has offices in Asia and Silicon Valley.

The two big caveats here are that I'm in Asia (less rigid career paths than your side of the world), and that I was lucky enough to be covering Consumer, Retail and Tech, so my skillset was a pretty good fit for what a VC fund needs from a junior - can build financial models, has enough sector knowledge to sit in board meetings and sound intelligent, and can add value to portfolio companies as a "util player", doing work here and there for portfolio companies that need a hand.

Luckily, venture isn't as rigid as private equity as well - you see investment professionals (junior and senior) with a variety of backgrounds like ex-startup founders, consultants, lawyers, and even commercial bankers (I know right, wtf). Of course there is a preferred background (something deal-related like IB or even transaction advisory at a Big 4 firm) but as long as you know your shit in and out, can build a model quickly (good deals have a short fuse), and are interested in working with young companies, there isn't any reason why an Asset Management analyst wouldn't be able to do the job.

Some stuff that may help your chances:

• Try to cover Tech and other related sectors/sectors that VC's invest in - Media, Telecom, Retail, Consumer, etc.
• Learn how to code - even basic stuff like MySQL will help you understand the stuff you're investing in. Also, some top-tier VC's (ex. Union Square Ventures in NYC) will demand that their juniors know how to write software so you may have to learn Rails, Python, etc. to satisfy that condition.
• This may be a bit contingent on #1 - go to tech/startup events and conferences and build your network in the relevant "orbit" and meet VC fund partners. Especially if you're an equity research analyst doing a lot of sector analysis and covering publicly listed companies in relevant spaces, stuff that you know off the top of your head could be of value to these guys -- remember, the big, publicly listed tech, media, & telecom companies are often the acquirers of the startups VC's invest in. VC's also are small teams that don't really have the time or resources to do in-depth sector analysis.
• BUILD YOUR OWN MODELS AS MUCH AS YOU CAN -- don't be that buy-side equity research analyst that relies on broker models. Thankfully, the asset manager I worked for had a lot of PM's that were ex-brokers, so they were always adamant that we analysts don't rely on brokers and do our own research, build our own models etc. It sounds simple, but there are way too many buy-side analysts that just ask for broker models, edit the assumptions, then start plugging into Bloomberg IRH. Nothing is worse than joining a VC/PE fund, then having to build a model for a transaction without a clue as to what you're doing. The model is a small part of the deal in the grand scheme of things, but it's mission critical -- it's expected that you can do this stuff in your sleep.
• Become good at handling investments through the entire process -- from idea origination to pulling the trigger, to monitoring the position. One advantage that buy-side guys have over sell-side guys when coming into venture is that we had the privilege of actually being part of the investment process in a big way. An equity analyst's idea can get turned into a $100MM position relatively easily depending on the fund you're working for, which means that the ability to screen potential investment opportunities gets instilled very early on. Analysts and Associates often are a "first screen" for pitches. Juniors read a LOT of pitch decks and then flag the interesting ones to Principals and Partners for further evaluation. The skill of thinking like an investor already is more valuable than most people would like to admit -- I meet a number of guys who just think in terms of writing checks rather than from the outset thinking of the exit. People tend to forget, a VC/PE fund is an asset manager as well. We have to generate returns for our L.P.'s first and foremost (gross oversimplification) -- the best technology doesn't mean the best business, which implies possibly subpar returns and therefore does not make the best investment. All this talk of "partnering", "building companies", "value added", "operational expertise" is often bullshit injected into websites and pitchbooks to cover up the fact that their funds never hit Cambridge Associates top quartile and their Alpha is consistently negative.

This last one's a personal opinion, but if you're gonna move to a different field to set yourself up for VC, go to IB (M&A/Sponsors/LevFin/etc., not Capital Markets) and not consulting. I honestly can't stand consultants who come to startup events then start forcing their "big company" frameworks on startups. Not that I blame them, when all you have is a hammer, everything looks like a nail. Although, it's as if they didn't heed Peter Drucker's words that companies at different stages in their lifecycle need different managerial styles.