13F-HR 1 q030413f.txt UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON D.C. 20549 FORM 13F FORM 13F COVER PAGE Report for the Calendar Year or Quarter Ended: September 30, 2004 Check here if Amendment [ ]; Amendment Number: This Amendment (Check only one.): [ ] is a restatement. [ ] adds new holdings entries. Institutional Investment Manager Filing this Report: Name: Arrowstreet Capital, Limited Partnership Address: 44 Brattle Street 5th Floor Cambridge, MA 02138 13F File Number: The institutional investment manager filing this report and the person by whom it is signed hereby represent that the person signing the report is authorized to submit it, that all information contained herein is true, correct and complete, and that it is understood that all required items, statements, schedules, lists, and tables, are considered integral parts of this submission. Person Signing this Report on Behalf of Reporting Manager: Name: Vaithi Muttulingam Title: Partner, Finance and Compliance Phone: 617-547-9999 Signature, Place, and Date of Signing: Vaithi Muttulingam Cambridge, Massachusetts November 12,2004 Report Type (Check only one.): [ ] 13F HOLDINGS REPORT. [ ] 13F NOTICE. [X] 13F COMBINATION REPORT. List of Other Managers Reporting for this Manager: Frank Russell Investment Management Company FORM 13F SUMMARY PAGE Report Summary: Number of Other Included Managers: 0 Form 13F Information Table Entry Total: 201 Form 13F Information Table Value Total: $763,876 List of Other Included Managers: NONE FORM 13F INFORMATION TABLE NAME OF ISSUER TITLE OF CLASS CUSIP VALUE (x$1000) SHRS OR PRN AMT SH/PRN PUT/CALL INVESTMENT DISCRETION OTHER MANAGERS VOTING AUTHORITY SOLE SHARED NONE AT&T CORP COM 001957505 10002 698460 SH SOLE 698460 AT&T WIRELESS COM 00209A106 461 31200 SH SOLE 31200 ADOBE SYS INC DEL COM 00724F101 163 3300 SH SOLE 3300 AETNA INC COM 00817Y108 6630 66350 SH SOLE 66350 ALBERTSONS INC COM 013104104 17201 718800 SH SOLE 718800 ALLIED CAPITAL CORP COM 01903Q108 327 13400 SH SOLE 13400 ALLSTATE CORP COM 020002101 37840 788500 SH SOLE 788500 ALLTEL CORP COM 020039103 340 6200 SH SOLE 6200 ALTRIA GROUP INC COM 02209S103 45384 964800 SH SOLE 964800 AMERADA HESS CORP COM 023551104 24083 270600 SH SOLE 270600 AMERICAN STD COS INC DEL COM 029712106 782 20100 SH SOLE 20100 AMERISOURCEBERGEN CORP COM 03073E105 360 6700 SH SOLE 6700 ANADARKO PETE CORP COM 032511107 3039 45800 SH SOLE 45800 ANTHEM INC COM 03674B104 1064 12200 SH SOLE 12200 AO TATNEFT ADR REG S SPONSORED ADR 03737P306 835 26419 SH SOLE 26419 AON CORP COM 037389103 241 8400 SH SOLE 8400 APACHE CORP COM 037411105 192 3840 SH SOLE 3840 APPLE COMPUTER INC COM 037833100 1004 25900 SH SOLE 25900 ARCHER DANIELS MIDLAND COM 039483102 18814 1108000 SH SOLE 1108000 ARCHSTONE SMITH TR COM 039583109 4468 141200 SH SOLE 141200 AVON PRODS INC COM 054303102 384 8800 SH SOLE 8800 BANK OF AMERICA CORP COM 060505104 1164 26858 SH SOLE 26858 BEA SYS INC COM 073325102 384 55500 SH SOLE 55500 BEAR STEARNS COS INC COM 073902108 2385 24800 SH SOLE 24800 BECTON DICKINSON & CO COM 075887109 429 8300 SH SOLE 8300 BELLSOUTH CORP COM 079860102 2381 87800 SH SOLE 87800 BIOMET INC COM 090613100 211 4500 SH SOLE 4500 BLOCK H & R INC COM 093671105 376 7600 SH SOLE 7600 BOEING CO COM 097023105 1698 32900 SH SOLE 32900 BRISTOL MYERS SQUIBB CO COM 110122108 1188 50200 SH SOLE 50200 BURLINGTON NORTHERN COM 12189T104 6976 182100 SH SOLE 182100 BURLINGTON RES INC COM 122014103 2273 55700 SH SOLE 55700 CIGNA CORP COM 125509109 1017 14600 SH SOLE 14600 CIT GROUP INC COM 125581108 8630 230800 SH SOLE 230800 CSX CORP COM 126408103 920 27700 SH SOLE 27700 CVS CORP COM 126650100 1003 23800 SH SOLE 23800 CAPITAL ONE FINL CORP COM 14040H105 333 4500 SH SOLE 4500 CENDANT CORP COM 151313103 1156 53500 SH SOLE 53500 CENTEX CORP COM 152312104 2548 50500 SH SOLE 50500 CHEVRONTEXACO CORP COM 166764100 8159 152100 SH SOLE 152100 CHUBB CORP COM 171232101 316 4500 SH SOLE 4500 CINCINNATI FINL CORP COM 172062101 2194 53230 SH SOLE 53230 CISCO SYS INC COM 17275R102 921 50900 SH SOLE 50900 CITIGROUP INC COM 172967101 6442 146000 SH SOLE 146000 CITIGROUP GLOBAL COM 173073172 909 56283 SH SOLE 56283 COCA COLA CO COM 191216100 344 8600 SH SOLE 8600 COMERICA INC COM 200340107 12772 215200 SH SOLE 215200 COMPUTER SCIENCES CORP COM 205363104 8181 173700 SH SOLE 173700 CONAGRA FOODS INC COM 205887102 1088 42300 SH SOLE 42300 CONOCOPHILLIPS COM 20825C104 26031 314200 SH SOLE 314200 COUNTRYWIDE FINANCIAL COM 222372104 583 14798 SH SOLE 14798 DST SYS INC DEL COM 233326107 1090 24500 SH SOLE 24500 DARDEN RESTAURANTS INC COM 237194105 187 8000 SH SOLE 8000 DEAN FOODS CO COM 242370104 1297 43200 SH SOLE 43200 DELL INC COM 24702R101 417 11700 SH SOLE 11700 DEVON ENERGY CORP COM 25179M103 1704 24000 SH SOLE 24000 Dover Corp COM 26000310 972 25000 SH SOLE 25000 DUKE ENERGY CORP COM 264399106 2914 127300 SH SOLE 127300 EASTMAN KODAK CO COM 277461109 274 8500 SH SOLE 8500 EATON CORP COM 278058102 704 11100 SH SOLE 11100 EDISON INTL COM 281020107 2898 109300 SH SOLE 109300 ELECTRONIC DATA SYS COM 285661104 10362 534400 SH SOLE 534400 EMERSON ELEC CO COM 291011104 644 10400 SH SOLE 10400 EQUITY OFFICE PPTYS REIT 294741103 8679 318500 SH SOLE 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3300 SH SOLE 3300 GREENPOINT FINL COM 395384100 8361 180700 SH SOLE 180700 HCA INC COM 404119109 782 20500 SH SOLE 20500 HARRAHS ENTMT COM 413619107 164 3100 SH SOLE 3100 HEINZ H J CO COM 423074103 328 9100 SH SOLE 9100 HEWLETT PACKARD COM 428236103 12383 660400 SH SOLE 660400 HONEYWELL INTL INC COM 438516106 728 20300 SH SOLE 20300 ISTAR FINL INC COM 45031U101 792 19200 SH SOLE 19200 ILLINOIS TOOL WKS COM 452308109 941 10100 SH SOLE 10100 INDIA FD INC COM 454089103 2624 110500 SH SOLE 110500 INTEL CORP COM 458140100 2279 113600 SH SOLE 113600 IBM CORP COM 459200101 1972 23000 SH SOLE 23000 ISHARES MSCI EM MKTS EXCHANGE TRADED FUND 464287234 17854 103500 SH SOLE 103500 ISHARES MSCI EAFE EXCHANGE TRADED FUND 464287465 11079 78350 SH SOLE 78350 JSC MMC NORILSK NICKEL COM 46626D108 9936 157617 SH SOLE 157617 JEFFERSON PILOT CORP COM 475070108 6059 122000 SH SOLE 122000 KERR MCGEE CORP COM 492386107 4632 80900 SH SOLE 80900 KEYCORP COM 493267108 995 31500 SH SOLE 31500 KIMBERLY CLARK CORP COM 494368103 1828 28300 SH SOLE 28300 KRAFT FOODS INC CL A COM 50075N104 723 22800 SH SOLE 22800 KROGER CO COM 501044101 213 13700 SH SOLE 13700 LABORATORY CORP AMER COM 50540R409 210 4800 SH SOLE 4800 LEHMAN BROS HLDGS INC COM 524908100 191 2400 SH SOLE 2400 LENNAR CORP COM 526057104 1661 34900 SH SOLE 34900 LEXMARK INTERNATIONAL COM 529771107 756 9000 SH SOLE 9000 Ltd Brands COM 53271610 1607 72100 SH SOLE 72100 LIMITED BRANDS INC COM 532716107 12607 565600 SH SOLE 565600 LINCOLN NATL CORP IND COM 534187109 6566 139700 SH SOLE 139700 MBIA INC COM 55262C100 3266 56100 SH SOLE 56100 MARATHON OIL CORP COM 565849106 16314 395200 SH SOLE 395200 MAY DEPT STORES CO COM 577778103 12290 479500 SH SOLE 479500 MCKESSON CORP COM 58155Q103 203 7900 SH SOLE 7900 MEDCO HEALTH SOLUTIONS COM 58405U102 220 7127 SH SOLE 7127 MERCK & CO INC COM 589331107 1950 59100 SH SOLE 59100 METLIFE INC COM 59156R108 1403 36300 SH SOLE 36300 MICROSOFT CORP COM 594918104 4606 166600 SH SOLE 166600 MOLEX INC COM 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8050 SH SOLE 8050 SPX CORP COM 784635104 1710 48300 SH SOLE 48300 SAFECO CORP COM 786429100 1456 31900 SH SOLE 31900 SANMINA-SCI CORP COM 800907107 440 62400 SH SOLE 62400 SARA LEE CORP COM 803111103 15897 695400 SH SOLE 695400 SCIENTIFIC ATLANTA COM 808655104 140 5400 SH SOLE 5400 SEARS ROEBUCK & CO COM 812387108 19762 495900 SH SOLE 495900 SIEBEL SYS INC COM 826170102 706 93700 SH SOLE 93700 SIMON PPTY GROUP INC COM 828806109 670 12500 SH SOLE 12500 SMITH INTL INC COM 832110100 267 4400 SH SOLE 4400 SOUTHTRUST CORP COM 844730101 208 5000 SH SOLE 5000 STARWOOD HOTELS COM 85590A203 910 19600 SH SOLE 19600 SUNGARD DATA SYS COM 867363103 1495 62900 SH SOLE 62900 SUNOCO INC COM 86764P109 1879 25400 SH SOLE 25400 SUNTRUST BKS INC COM 867914103 3091 43900 SH SOLE 43900 SURGUTNEFTEGAZ JSC ADR SPONSORED ADR 868861204 5471 150312 SH SOLE 150312 TJX COS INC NEW COM 872540109 324 14700 SH SOLE 14700 Temple-Inland Inc COM 87986810 1847 27500 SH SOLE 27500 TENET HEALTHCARE CORP COM 88033G100 555 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