I suspect there's a lot at play, including cognitive biases. For example, value stocks tend to be contrarian plays. The stock is a good value because the price

I suspect there's a lot at play, including cognitive biases. For example, value stocks tend to be contrarian plays. The stock is a good value because the price is down, meaning the majority don't have faith in it. Fund managers don't want to be holding these stocks when others are crushing it because people will look at their holdings and have FOMO. When, say, tech is flying high, people want to see that their fund manager owns tech. Another example is leverage limits may incentivize fund managers into high-beta stocks. These are the one's that are most likely to win (or lose) by a large margin compared to the market. Over-optimism bias makes fund managers think they can disproportionately pick the winners.