Move from banking -> consulting?

Finishing up my first year in banking, been applying to bunch consulting firms as I think consulting fits me better. Haven't been getting any hits, like ANY. Is this a pretty uncommon path (ie I'm not an "experienced" hire nor am I a college grad"? Is the market not that hot? Or should I be scrutinizing my resume some more and see if I'm not portraying myself well enough?

 

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