Is consulting right for you? I'll give you the consulting answer - it depends.
Consulting opens many doors and provides you with options but let me address your question through three statements - a long answer since your question is also fairly indirect.
First (1) it is important to note that consulting is not for everyone, secondly (2) you need to know that not everyone starts working as a consultant does that to make a consulting career and finally (3) those who do make a career in consulting need to keep a couple of things in mind to succeed.
1. Consulting is not for everyone. Consulting is as you noted a varied type of work. However, since it's varied, you will also find that it can also be intensely demanding, frequently a having a high degree of uncertainty in project tasks and the hours can be silly. Key skills that a consultant need are excellent analytical skills on both macro and micro level, great ability to structure problems to clarify solutions, and top-notch people skills because after all your job is to sell people intangibles (findings, solutions and methodologies). I find that there are quite a lot of people are decently skilled in these areas but when I recruit I only look for those with excellent abilities in each of these areas (read: superlative). Most aspiring consultants don't pass that first filter. A fact to point out, many of those who pass through that first filter (roughly 3 out of 4) leave the firm within the first 2-3 years and many of those leave consulting altogether. It may sound harsh but I want to give you realistic expectations here. Expect your first years in consulting to be very analytical and focused on data crunching, expect projects to start without any clear direction from the clients, expect the direction of your work to change frequently during the projects and expect your clients to sometime ignore your hard-worked findings and do something else (that’s often a bitter pill to swallow). On the other hand - do expect to be challenged every day, to work on interesting and diverse problems and to be able to build an experience base that is unparalleled outside the consulting world. They say that a year in consulting is like 3 years in the industry (that is partially true; you are exposed to more diverse problems and thereby solutions than the average employee elsewhere but you never have the managerial responsibilities to see the change through hence why consultants often think of themselves as excellent managers but the industry sometimes view things slightly differently…). That’s also why many people use consulting as a stepping stone to advance their career elsewhere...which leads to the next point...
2. Some enter the consulting world to make a career and some use it as stepping stone to get ahead in another line of business or specialization. I can only advice you to search yourself and try to understand what motivates you.
Are you interested in going long, medium or short term in consulting? if you're planning to use it a stepping stone to quickly get into other careers, then focus on the particular area that you want to work in for 1.5 to 3 years. This can be an industry or functional practice in the consulting firm. I was given a piece of advice when I started that said: "Manage your career or your career will manage you". Of course, you can't pick and choose your projects but by knowing what you want to do, you can get projects by working with the right managers on proposals and thereby putting yourself first in line for consideration for the proposals that materialize into projects. Staffing does NOT have your best interest in mind so be proactive.
If you’re thinking medium term as a stepping stone, do 3-5 years in consulting and aim for a lower/middle management role in a company outside the consulting world. Focus again on an area and build a core competency in the area (e.g cybersecurity, regulatory, automotive, financial services etc) as this would be where you want to work in the future. NOW, interpersonal skills start to become quite important. You will meet clients throughout your projects and each and every one of them is a potential future employer. Network, network and network. And keep that network alive - it will become a future asset.
3. Finally, if you're contemplating a long term career in consulting, I advise you to build at least two (max three) areas of core competencies. One or two in a functional practice area of the firm (such as transformation, regulatory, risk, strategy etc) and the other competency in an industry area. It is neigh impossible to be a functional expert in more than industry (although it does happen) so my recommendation would be to focus on one industry. Make sure that your functional area expertise complements your chosen industry. As mentioned above - NETWORKING is THE key to success here. Consulting is one of those jobs where the more senior you become, the more of a sales-man you become. Managers spend 10-15 % of their time selling/pitching for new projects, Principals about 30-40% and VPs about 60-70%. Ability to generate revenue (and I don't mean small-change here) is the key to progress and you can only do that by having a network to tap into. A client that you interview in one project, can be your paying client in a future project or can open doors for you to sell in other areas of the business. If you're not really a people person, very extrovert, know how to work groups and build trust as an expert and adviser then I would not think that these roles are for you.
I have been working in consulting for more than 20 years, I've been a working as a partner for the past 12 years so I'm not trying to sugarcoat anything here. To be honest I wouldn't trade my consulting career for anything. Beyond the monetary side, the work is so rewarding and fulfilling that I can't imagine doing anything else that gives me the same challenges - but that's me. Others hate it, can't stand the uncertainty and the pressure.
The type of work that you did as a portfolio analyst will be a big part of what you'll be doing during your first year: Analyse, Structure and Present. It will feel repetitive and you will sometimes hate it but analysis is an integral part of the consulting work. Building recommendations on that analysis is the second part of the consulting work but where the consultants excel is where you can create a view of "the big picture"; see things that other's missed, interconnect areas that were overlooked and most of all, you're able to see your next project coming out of that analysis and you’re able to formulate compelling proposals that make those next projects materialize.
You said that you want to work with something that is Challenging, Creative and Independent. Consulting is all of those things but like every job and career, the beginning is gruelling and demanding but with the right mindset and ambition, consulting will make the world your oyster.
Best of luck in your choice