I attend a school that is on the Morningstar recruiting list. The entire application process was pretty rigorous, and consisted of four stages:
1. I had to submit my resume
2. They invited me to have a skype interview.
3. I'm not sure if they asked this of the other positions, but they asked me to take a writing test. This consisted of two questions, to be answered within a one-hour time frame. They were pretty open ended questions about my opinion on investing.
4. They invited me to a second round interview, but said I would be interviewing for a different analyst position than what they originally told me.
The second round interview is the most intense part of the process, consisting of four 30-minute interviews. Beforehand they told me to research a fund of my choosing, and be prepared to give a one-hour sales pitch for it; this would take the place of two of my interviews.
They flew me out to Chicago and held an MDP dinner in their office for all the aspiring candidates. The next morning I went back to their office and sat through a presentation. For my first set of interviews I went into the board room with two people. The first half hour was more interview focused, where they both asked me questions about myself. The second half hour consisted of my sales pitch, which was pretty informal; it was more of a discussion than a pitch. This was followed by a session where the other candidate and I sat in a meeting room with two analysts and asked them questions. This was followed by lunch, another presentation, and then two consecutive half-hour interviews (both of which were also pretty informal).
The next week I got a phone call saying that they would not pursue me, but thanks for applying anyhow.
HOWEVER, two weeks later I got a second phone call, this time saying that they had a change in their business needs, and would like to offer me a position.
So go figure.
The main thing I took away from this is that it is somewhat difficult to gage how casual one should be. Although it is hard to maintain a sense of professionalism when you are wearing a suit and everyone in the office is walking around in jeans, try to keep it together. At the same time, this isn't like an ibank interview - they're probably looking for friendly people that they would enjoy working with.