I have to admit never having seen the phrase before. The basic idea is to computerize the creation of asset allocation strategies for retirement and other projects. When we do that, we try to separate out what is controllable by the manager and what is not controllable.
Market risk is pretty obvious.
When markets fall it tends to be broad. Style risk is what comes with the idea itself. Suppose, for instance, that you wanted to create a value fund, a la the ideas of Graham and Dodd. Well, there's risk in that idea, by itself. One example is Windsor Fund.