13F-HR 1 q040413f.txt 2004 4TH QUARTER 13-F UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON D.C. 20549 FORM 13F FORM 13F COVER PAGE Report for the Calendar Year or Quarter Ended: December 31, 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 January 31,2005 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: 180 Form 13F Information Table Value Total: $852,975 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 ADOBE SYS INC DEL COM 2008154 521 8300 SH SOLE 8300 AETNA INC COM 2695921 1584 12700 SH SOLE 12700 ALBERTSONS INC COM 2012467 30748 1287600 SH SOLE 1287600 ALLIED CAPITAL CORP COM 2014797 891 34500 SH SOLE 34500 ALLSTATE CORP COM 2019952 42493 821600 SH SOLE 821600 ALLTEL CORP COM 2589198 2292 39000 SH SOLE 39000 ALTRIA GROUP INC COM 2692632 42086 688800 SH SOLE 688800 AMERADA HESS COM 2023748 25645 311300 SH SOLE 311300 AMERICA MOVIL S A COM 2722670 197 3755 SH SOLE 3755 AMERICAN STD COS INC DEL COM 2029809 694 16800 SH SOLE 16800 ANADARKO PETE CORP COM 2032380 15898 245300 SH SOLE 245300 AO TATNEFT ADR REG S SPONSORED ADR 2255110 766 26419 SH SOLE 26419 AON CORP COM 2212717 200 8400 SH SOLE 8400 APACHE CORP COM 2043962 194 3840 SH SOLE 3840 APPLE COMPUTER COM 2046251 1732 26900 SH SOLE 26900 ARCHER DANIELS MIDLAND COM 2047317 24592 1102300 SH SOLE 1102300 AT&T COM 2064888 20001 1049360 SH SOLE 1049360 AU OPTRONICS CORP SPONSORED SPONSORED ADR 2877149 1217 84980 SH SOLE 84980 BEA SYS INC COM 2087476 492 55500 SH SOLE 55500 BECTON DICKINSON & CO COM 2087807 471 8300 SH SOLE 8300 BELLSOUTH CORP COM 2090601 8040 289300 SH SOLE 289300 BIOMET INC COM 2098597 195 4500 SH SOLE 4500 BOEING CO COM 2108601 1703 32900 SH SOLE 32900 BRISTOL MYERS SQUIBB COM 2126335 1268 49500 SH SOLE 49500 BURLINGTON N. SANTA FE COM 2154927 11903 251600 SH SOLE 251600 BURLINGTON RES INC COM 2093990 10971 252200 SH SOLE 252200 CEMEX SA SPON ADR SPONSORED ADR 2488671 1105 30340 SH SOLE 30340 CHEVRONTEXACO CORP COM 2838555 7987 152100 SH SOLE 152100 CHUNGHWA TELECOM LTD SPONS SPONSORED ADR 2885120 5961 283190 SH SOLE 283190 CIGNA CORP COM 2196479 547 6700 SH SOLE 6700 CINCINNATI FINL CORP COM 2196888 1723 38930 SH SOLE 38930 CISCO SYS INC COM 2198163 344 17800 SH SOLE 17800 CIT GROUP INC COM 2965549 7739 168900 SH SOLE 168900 CITIGROUP INC COM 2297907 853 17700 SH SOLE 17700 COMERICA INC COM 2212870 5736 94000 SH SOLE 94000 COMPANHIA VALE DO RIO DOCE COM 2857334 1392 61800 SH SOLE 61800 COMPUTER SCIENCES CORP COM 2215200 15767 279700 SH SOLE 279700 CONAGRA FOODS INC COM 2215460 554 18800 SH SOLE 18800 CONOCOPHILLIPS COM 2685717 27282 314200 SH SOLE 314200 COOPER INDUSTRIES LTD COM 2949435 2213 32600 SH SOLE 32600 COUNTRYWIDE FINANCIAL COM 2229676 548 14798 SH SOLE 14798 CSX CORP COM 2160753 1110 27700 SH SOLE 27700 DARDEN RESTAURANTS INC COM 2289874 222 8000 SH SOLE 8000 DELL INC COM 2261526 493 11700 SH SOLE 11700 DEVON ENERGY COM 2480677 1238 30500 SH SOLE 30500 DST SYS INC DEL COM 2282947 1927 36965 SH SOLE 36965 DTE ENERGY COM 2280220 3515 81500 SH SOLE 81500 DUKE ENERGY COM 2283906 14096 556500 SH SOLE 556500 EASTMAN KODAK COM 2300601 7572 234800 SH SOLE 234800 EATON CORP COM 2300883 803 11100 SH SOLE 11100 EDISON INTL COM 2829515 20217 631200 SH SOLE 631200 ELECTRONIC DATA SYS COM 2312736 11555 500200 SH SOLE 500200 EMBRAKER EMPRESA BRAS. COM 2611916 11828 353700 SH SOLE 353700 ENCANA CORP COM 2793182 91 1600 SH SOLE 1600 ENERGIZER HLDGS COM 2569297 1014 20400 SH SOLE 20400 EQUITY OFFICE PPTYS TR REIT 2038430 8023 275500 SH SOLE 275500 EQUITY RESIDENTIAL SH REIT 2319157 344 9500 SH SOLE 9500 EXXON MOBIL CORP COM 2326618 5828 113700 SH SOLE 113700 FANNIE MAE COM 2333889 2094 29400 SH SOLE 29400 FEDERATED DEPT STORES COM 2345022 8622 149200 SH SOLE 149200 FIDELITY NATL FINL CORP COM 2341729 315 6900 SH SOLE 6900 FLEXTRONICS INTL COM 2353058 477 34500 SH SOLE 34500 FORTUNE BRANDS INC COM 2024774 2956 38300 SH SOLE 38300 FREDDIE MAC CORP COM 2334150 28971 393100 SH SOLE 393100 GAZPROM OAO SPONS ADR SPONSORED ADR 2016629 248 6996 SH SOLE 6996 GENERAL DYNAMICS COM 2365161 1966 18800 SH SOLE 18800 GENERAL ELEC COM 2380498 3227 88400 SH SOLE 88400 GENERAL MTRS COM 2365804 15876 396300 SH SOLE 396300 GILLETTE CO COM 2369301 152 3400 SH SOLE 3400 GOLDEN WEST FINL COM 2375643 577 9400 SH SOLE 9400 GRAINGER W W INC COM 2380863 1725 25900 SH SOLE 25900 GROUPO AEROPORTUARIO DEL COM 2639361 216 7900 SH SOLE 7900 HARRAHS ENTMT INC COM 2705648 207 3100 SH SOLE 3100 HCA INC COM 2212193 819 20500 SH SOLE 20500 HEWLETT PACKARD COM 2424006 11672 556600 SH SOLE 556600 HONEYWELL INTL INC COM 2020459 719 20300 SH SOLE 20300 IBM CORP COM 2005973 2267 23000 SH SOLE 23000 ILLINOIS TOOL WKS INC COM 2457552 936 10100 SH SOLE 10100 INDIA FD INC CLOSED END FUND 2445115 3274 110500 SH SOLE 110500 INDIA FUND RIGHTS CLOSED END FUND 45408999 55 110500 SH SOLE 110500 INGERSOLL-RAND COMPANY LTD COM 2831167 1076 13400 SH SOLE 13400 INTEL CORP COM 2463247 2657 113600 SH SOLE 113600 ISHARES TR MSCI EAFE EXCHANGE TRADED FUND 2801290 11324 70690 SH SOLE 70690 ISHARES TR MSCI EMERGING MKTS EXCHANGE TRADED FUND 46428723 20891 103500 SH SOLE 103500 ISTAR FINL INC COM 2259190 579 12800 SH SOLE 12800 JEFFERSON PILOT CORP COM 2472362 1283 24700 SH SOLE 24700 JSC MMC NORILSK NICKEL SPONSORED ADR 2768243 5065 91707 SH SOLE 91707 KERR MCGEE CORP COM 2490502 1520 26300 SH SOLE 26300 KEYCORP COM 2490911 1180 34800 SH SOLE 34800 KIMBERLY CLARK COM 2491839 1191 18100 SH SOLE 18100 KOMERCNI BANKA A S GLOBAL COM 2489157 747 15300 SH SOLE 15300 KOREA ELEC PWR ADR SPONSORED ADR 2480495 4390 331580 SH SOLE 331580 KRAFT FOODS INC CL A COM 2764296 812 22800 SH SOLE 22800 LABORATORY AMER HLDGS COM 2586122 239 4800 SH SOLE 4800 LEXMARK INTERNATIONAL COM 2511908 765 9000 SH SOLE 9000 LG CHEM SPONSORED 144A COM 2760498 682 17115 SH SOLE 17115 LG ELECTRONICS INC GDR REP 1/2 GDR 3153406 272 15652 SH SOLE 15652 LIMITED BRANDS INC COM 2516185 29376 1276100 SH SOLE 1276100 LINCOLN NATL COM 2516378 6521 139700 SH SOLE 139700 LOEWS CORP COM 2523022 18369 261300 SH SOLE 261300 Ltd Brands COM 53271610 3181 138200 SH SOLE 138200 MARATHON OIL CORP COM 2910970 9361 248900 SH SOLE 248900 MAY DEPT STORES COM 2573890 3922 133400 SH SOLE 133400 MBIA INC COM 2547044 525 8300 SH SOLE 8300 MCKESSON CORP COM 2378534 249 7900 SH SOLE 7900 MEDCO HEALTH SOLUTIONS INC COM 2954019 296 7127 SH SOLE 7127 MERCK & CO COM 2578312 7514 233800 SH SOLE 233800 METLIFE INC COM 2573209 1236 30500 SH SOLE 30500 MICROSOFT CORP COM 2588173 4452 166600 SH SOLE 166600 MOLEX INC COM 2599142 858 28600 SH SOLE 28600 MONSANTO CO NEW COM 2654320 5699 102600 SH SOLE 102600 MOODYS CORP COM 2252058 234 2700 SH SOLE 2700 NATIONAL CITY CORP COM 2625047 1018 27100 SH SOLE 27100 NATIONAL SEMICONDUCTOR COM 2626921 539 30000 SH SOLE 30000 NETWORK APPLIANCE COM 2630643 545 16400 SH SOLE 16400 NORFOLK SOUTHN CORP COM 2641894 926 25600 SH SOLE 25600 NORTHROP GRUMMAN CORP COM 2648806 2577 47400 SH SOLE 47400 NTL INC DEL COM 2987855 299 4100 SH SOLE 4100 NUCOR CORP COM 2651086 3208 61300 SH SOLE 61300 OCCIDENTAL PETE CORP COM 2655408 12571 215400 SH SOLE 215400 OIL CO LUKOIL SPON ADR SPONSORED ADR 2537432 2228 18304 SH SOLE 18304 ORACLE CORPORATION COM 2661568 2051 149500 SH SOLE 149500 PACCAR INC COM 2665861 1771 22000 SH SOLE 22000 PARKER HANNIFIN CORP COM 2671501 500 6600 SH SOLE 6600 PETROLEO BRASILEIRO SA COM 2616580 1257 31600 SH SOLE 31600 PETROLEO BRASILEIRO SA ADR SPONSORED ADR 2683410 1608 44400 SH SOLE 44400 PG&E CORP COM 2689560 5534 166300 SH SOLE 166300 PMI GROUP INC COM 2704032 188 4500 SH SOLE 4500 PNC FINANCIAL SRVS GROUP COM 2692665 396 6900 SH SOLE 6900 POSCO ADR SPONSORED ADR 2692795 3963 89000 SH SOLE 89000 PRUDENTIAL FINL INC COM 2819118 1583 28800 SH SOLE 28800 PULTE HOMES INC COM 2708841 587 9200 SH SOLE 9200 QUALCOMM INC COM 2714923 3087 72800 SH SOLE 72800 QUEST DIAGNOSTICS COM 2702791 344 3600 SH SOLE 3600 RAYTHEON CO COM 2758051 2155 55500 SH SOLE 55500 Rockwell Automation COM 77390310 1100 22200 SH SOLE 22200 ROSTELECOM LONG DISTANCE COM 2150259 504 46055 SH SOLE 46055 SAFECO CORP COM 2766805 2163 41400 SH SOLE 41400 SAMSUNG ELECTRONIC GDR REP 1/2 GDR 4942818 4655 26835 SH SOLE 26835 SARA LEE CORP COM 2217109 12357 511900 SH SOLE 511900 SBC COMMUNICATIONS INC COM 2831811 25226 978900 SH SOLE 978900 SCIENTIFIC ATLANTA INC COM 2779502 178 5400 SH SOLE 5400 SEARS ROEBUCK COM 2787312 4531 88800 SH SOLE 88800 SHINHAN FINL GROUP CO LTD COM 6397502 228 5000 SH SOLE 5000 SHIP FINANCE INTL LTD SHS COM B019MJ8 1839 89621 SH SOLE 89621 SIEBEL SYS INC COM 2790763 295 28100 SH SOLE 28100 SK TELECOM LTD ADR SPONSORED ADR 2495648 305 13700 SH SOLE 13700 SMITH INTL INC COM 2816409 239 4400 SH SOLE 4400 SPDR TR UNIT SER 1 STAND EXCHANGE TRADED FUND 2840215 973 8050 SH SOLE 8050 SPX CORP COM 2787185 6193 154600 SH SOLE 154600 STARWOOD HOTELS & RESORTS COM 2371436 1145 19600 SH SOLE 19600 SUNGARD DATA SYS COM 2860365 1782 62900 SH SOLE 62900 SUNOCO INC COM 2859868 3048 37300 SH SOLE 37300 SURGUTNEFTEGAZ JSC ADR SPONSORED ADR 2810144 1084 28900 SH SOLE 28900 TAIWAN SEMICONDUCTOR COM 2113382 1272 149800 SH SOLE 149800 TELEPHONE & DATA SYS COM 2881430 38 500 SH SOLE 500 TELESP CELULAR PART COM 2297974 28 4100 SH SOLE 4100 TENET HEALTHCARE CORP COM 2626879 564 51400 SH SOLE 51400 TEXTRON INC COM 2885937 7616 103200 SH SOLE 103200 THERMO ELECTRON CORP COM 2886907 2774 91900 SH SOLE 91900 TORCHMARK COM 2896713 4674 81800 SH SOLE 81800 TOYS R US INC COM 2898894 14165 692000 SH SOLE 692000 TRANSOCEAN INC COM 2821287 1166 27500 SH SOLE 27500 TYCO INTL LTD NEW COM 2038010 7966 222900 SH SOLE 222900 UNIBANCO-UNIAO DE BANC COM 2000815 815 25700 SH SOLE 25700 UNION PAC CORP COM 2914734 3033 45100 SH SOLE 45100 UNITED MICRO ELECTRONICS COM 2634117 649 183800 SH SOLE 183800 UNOCAL CORP COM 2914273 372 8600 SH SOLE 8600 UNUMPROVIDENT CORP COM 2433842 8586 478600 SH SOLE 478600 US BANCORP DEL COM 2736035 1713 54700 SH SOLE 54700 UST INC COM 2922544 2728 56700 SH SOLE 56700 V F CORP COM 2928683 6294 113650 SH SOLE 113650 VALERO ENERGY COM 2041364 13543 298300 SH SOLE 298300 VERISIGN INC COM 2142922 413 12300 SH SOLE 12300 VERIZON COMMUNICATIONS COM 2090571 551 13600 SH SOLE 13600 WASHINGTON MUTUAL INC COM 2942188 5704 134900 SH SOLE 134900 WATERS CORP COM 2937689 370 7900 SH SOLE 7900 WW Grainger COM 38480210 220 3300 SH SOLE 3300 XEROX CORP COM 2985202 638 37500 SH SOLE 37500 YUKOS CORP SPONSORED ADR SPONSORED ADR 2740713 41 15742 SH SOLE 15742 ADOBE SYS INC DEL COM 2008154 521 8300 SH SOLE 8300 AETNA INC COM 2695921 1584 12700 SH SOLE 12700 ALBERTSONS INC COM 2012467 30748 1287600 SH SOLE 1287600 ALLIED CAPITAL CORP COM 2014797 891 34500 SH SOLE 34500 ALLSTATE CORP COM 2019952 42493 821600 SH SOLE 821600 ALLTEL CORP COM 2589198 2292 39000 SH SOLE 39000 ALTRIA GROUP INC COM 2692632 42086 688800 SH SOLE 688800 AMERADA HESS COM 2023748 25645 311300 SH SOLE 311300 AMERICA MOVIL S A COM 2722670 197 3755 SH SOLE 3755 AMERICAN STD COS INC DEL COM 2029809 694 16800 SH SOLE 16800 ANADARKO PETE CORP COM 2032380 15898 245300 SH SOLE 245300 AO TATNEFT ADR REG S SPONSORED ADR 2255110 766 26419 SH SOLE 26419 AON CORP COM 2212717 200 8400 SH SOLE 8400 APACHE CORP COM 2043962 194 3840 SH SOLE 3840 APPLE COMPUTER COM 2046251 1732 26900 SH SOLE 26900 ARCHER DANIELS MIDLAND COM 2047317 24592 1102300 SH SOLE 1102300 AT&T COM 2064888 20001 1049360 SH SOLE 1049360 AU OPTRONICS CORP SPONSORED SPONSORED ADR 2877149 1217 84980 SH SOLE 84980 BEA SYS INC COM 2087476 492 55500 SH SOLE 55500 BECTON DICKINSON & CO COM 2087807 471 8300 SH SOLE 8300 BELLSOUTH CORP COM 2090601 8040 289300 SH SOLE 289300