-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, PaeTK0dt9A+7hk3JafwdOcGF19Bh+5QW//ZeL6gQdfbngW63jVCLRk+lDof1uJcT nEUEUmXpIXok9RpMtzc6aQ== 0001164508-05-000019.txt : 20050503 0001164508-05-000019.hdr.sgml : 20050503 20050503150123 ACCESSION NUMBER: 0001164508-05-000019 CONFORMED SUBMISSION TYPE: 13F-HR/A PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20040930 FILED AS OF DATE: 20050503 DATE AS OF CHANGE: 20050503 EFFECTIVENESS DATE: 20050503 FILER: COMPANY DATA: COMPANY CONFORMED NAME: ARROWSTREET CAPITAL LIMITED PARTNERSHIP CENTRAL INDEX KEY: 0001164508 IRS NUMBER: 043472863 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 13F-HR/A SEC ACT: 1934 Act SEC FILE NUMBER: 028-10005 FILM NUMBER: 05794654 BUSINESS ADDRESS: STREET 1: 875 MASSACHUSETTS AVE., 6TH FLOOR CITY: CAMBRIDGE STATE: MA ZIP: 02139 BUSINESS PHONE: 6175479999 MAIL ADDRESS: STREET 1: 875 MASSACHUSETTS AVE, 6TH FL CITY: CAMBRIDGE STATE: MA ZIP: 02139 13F-HR/A 1 q30413f.txt 2004 Q3 2ND AMENDMENT 13F 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 [X]; Amendment Number: 2 This Amendment (Check only one.): [X ] 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 Apri1 28, 2005 Report Type (Check only one.): [X] 13F HOLDINGS REPORT. [ ] 13F NOTICE. [ ] 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: $773,878 (x1000) List of Other Included Managers: NONE VALUE SHARES/ SH/ PUT/ INVSTMT OTHER VOTING AUTHORITY NAME OF ISSUER TITLE OF CLASS CUSIP (x$1000) PRN AMT PRN CALL DSCRETN MANAGERS SOLE NONE ACE LTD COM G0070K103 6450 161000 SH SOLE 65700 95300 ADOBE SYS INC DEL COM 00724F101 163 3300 SH SOLE 0 3300 AETNA INC COM 00817Y108 6630 66350 SH SOLE 31200 35150 ALBERTSONS INC COM 013104104 17201 718800 SH SOLE 304300 414500 ALLIED CAPITAL CORP COM 01903Q108 327 13400 SH SOLE 10600 2800 ALLSTATE CORP COM 020002101 37840 788500 SH SOLE 240400 548100 ALLTEL CORP COM 020039103 340 6200 SH SOLE 0 6200 ALTRIA GROUP INC COM 02209S103 45384 964800 SH SOLE 316500 648300 AMERADA HESS CORP COM 023551104 24083 270600 SH SOLE 0 270600 AMERICAN STD COS INC DEL COM 029712106 782 20100 SH SOLE 16800 3300 AMERISOURCEBERGEN CORP COM 03073E105 360 6700 SH SOLE 6700 0 ANADARKO PETE CORP COM 032511107 3039 45800 SH SOLE 31100 14700 ANTHEM INC COM 03674B104 1064 12200 SH SOLE 12200 0 AO TATNEFT ADR REG S SPONSORED ADR 03737P306 835 26419 SH SOLE 12300 14119 AON CORP COM 037389103 241 8400 SH SOLE 8400 0 APACHE CORP COM 037411105 192 3840 SH SOLE 3840 0 APPLE COMPUTER INC COM 037833100 1004 25900 SH SOLE 18500 7400 ARCHER DANIELS MIDLAND COM 039483102 18814 1108000 SH SOLE 373400 734600 ARCHSTONE SMITH TR REIT 039583109 4468 141200 SH SOLE 0 141200 AT&T CORP COM 001957505 10002 698460 SH SOLE 296160 402300 AT&T WIRELESS COM 00209A106 461 31200 SH SOLE 31200 0 AVON PRODS INC COM 054303102 384 8800 SH SOLE 8800 0 BANK OF AMERICA CORP COM 060505104 1164 26858 SH SOLE 26858 0 BEA SYS INC COM 073325102 384 55500 SH SOLE 0 55500 BEAR STEARNS COS INC COM 073902108 2385 24800 SH SOLE 0 24800 BECTON DICKINSON & CO COM 075887109 429 8300 SH SOLE 8300 0 BELLSOUTH CORP COM 079860102 2381 87800 SH SOLE 86300 1500 BIOMET INC COM 090613100 211 4500 SH SOLE 4500 0 BLOCK H & R INC COM 093671105 376 7600 SH SOLE 7600 0 BOEING CO COM 097023105 1698 32900 SH SOLE 32900 0 BRISTOL MYERS SQUIBB CO COM 110122108 1188 50200 SH SOLE 49500 700 BURLINGTON NORTHERN COM 12189T104 6976 182100 SH SOLE 69700 112400 BURLINGTON RES INC COM 122014103 2273 55700 SH SOLE 37800 17900 CAPITAL ONE FINL CORP COM 14040H105 333 4500 SH SOLE 0 4500 CENDANT CORP COM 151313103 1156 53500 SH SOLE 53500 0 CENTEX CORP COM 152312104 2548 50500 SH SOLE 38900 11600 CHEVRONTEXACO CORP COM 166764100 8159 152100 SH SOLE 96800 55300 CHUBB CORP COM 171232101 316 4500 SH SOLE 4500 0 CIGNA CORP COM 125509109 1017 14600 SH SOLE 12100 2500 CINCINNATI FINL CORP COM 172062101 2194 53230 SH SOLE 37630 15600 CISCO SYS INC COM 17275R102 921 50900 SH SOLE 50900 0 CIT GROUP INC COM 125581108 8630 230800 SH SOLE 53200 177600 CITIGROUP GLOBAL COM 173073172 909 56283 SH SOLE 56283 0 CITIGROUP INC COM 172967101 6442 146000 SH SOLE 146000 0 COCA COLA CO COM 191216100 344 8600 SH SOLE 8600 0 COMERICA INC COM 200340107 12772 215200 SH SOLE 54700 160500 COMPUTER SCIENCES CORP COM 205363104 8181 173700 SH SOLE 89700 84000 CONAGRA FOODS INC COM 205887102 1088 42300 SH SOLE 18800 23500 CONOCOPHILLIPS COM 20825C104 26031 314200 SH SOLE 0 314200 COOPER INDUSTRIES LTD COM G24182100 1864 31600 SH SOLE 31600 0 COUNTRYWIDE FINANCIAL COM 222372104 583 14798 SH SOLE 14798 0 CSX CORP COM 126408103 920 27700 SH SOLE 8900 18800 CVS CORP COM 126650100 1003 23800 SH SOLE 15900 7900 DARDEN RESTAURANTS INC COM 237194105 187 8000 SH SOLE 8000 0 DATACRAFT ASIA SGD0.10 COM FM6246835 84 117000 SH SOLE 117000 0 DEAN FOODS CO COM 242370104 1297 43200 SH SOLE 43200 0 DELL INC COM 24702R101 417 11700 SH SOLE 11700 0 DEVON ENERGY CORP COM 25179M103 1704 24000 SH SOLE 24000 0 Dover Corp COM 26000310 972 25000 SH SOLE 25000 0 DST SYS INC DEL COM 233326107 1090 24500 SH SOLE 19700 4800 DUKE ENERGY CORP COM 264399106 2914 127300 SH SOLE 109200 18100 EASTMAN KODAK CO COM 277461109 274 8500 SH SOLE 8500 0 EATON CORP COM 278058102 704 11100 SH SOLE 10800 300 EDISON INTL COM 281020107 2898 109300 SH SOLE 49400 59900 ELECTRONIC DATA SYS COM 285661104 10362 534400 SH SOLE 77900 456500 EMERSON ELEC CO COM 291011104 644 10400 SH SOLE 10400 0 EQUITY OFFICE PPTYS REIT 294741103 8679 318500 SH SOLE 76800 241700 EQUITY RESIDENTIAL REIT 29476L107 295 9500 SH SOLE 9500 0 EXXON MOBIL CORP COM 30231G102 4780 98900 SH SOLE 98900 0 FEDERAL NATL MTG ASSN COM 313586109 1864 29400 SH SOLE 29400 0 FEDERATED DEPT STORES COM 31410H101 11217 246900 SH SOLE 68000 178900 FIDELITY NATL FINL COM 316326107 1535 40300 SH SOLE 40300 0 FLEXTRONICS INTL COM Y2573F102 457 34500 SH SOLE 34500 0 FORTUNE BRANDS INC COM 349631101 4349 58700 SH SOLE 37500 21200 FREDDIE MAC CORP COM 313400301 31648 485100 SH SOLE 140400 344700 GAP INC COM 364760108 323 17300 SH SOLE 17300 0 GAZPROM OAO ADR SPONSORED ADR 368287207 5774 161276 SH SOLE 38196 123080 GENERAL DYNAMICS COM 369550108 1429 14000 SH SOLE 14000 0 GENERAL ELEC CO COM 369604103 2968 88400 SH SOLE 88400 0 GENERAL MLS INC COM 370334104 332 7400 SH SOLE 0 7400 GENERAL MTRS CORP COM 370442105 33275 783300 SH SOLE 257200 526100 GEORGIA PAC CORP COM 373298108 1194 33200 SH SOLE 33200 0 GILLETTE CO COM 375766102 831 19900 SH SOLE 19900 0 GOLDEN WEST FINL COM 381317106 799 7200 SH SOLE 4700 2500 GOLDMAN SACHS COM 38141G104 336 3600 SH SOLE 3600 0 GREENPOINT FINL COM 395384100 8361 180700 SH SOLE 11600 169100 HARRAHS ENTMT COM 413619107 164 3100 SH SOLE 3100 0 HCA INC COM 404119109 782 20500 SH SOLE 20500 0 HEINZ H J CO COM 423074103 328 9100 SH SOLE 9100 0 HEWLETT PACKARD COM 428236103 12383 660400 SH SOLE 188400 472000 HONEYWELL INTL INC COM 438516106 728 20300 SH SOLE 20300 0 IBM CORP COM 459200101 1972 23000 SH SOLE 23000 0 ILLINOIS TOOL WKS COM 452308109 941 10100 SH SOLE 10100 0 INDIA FD INC COM 454089103 2624 110500 SH SOLE 110500 0 INGERSOLL-RAND COMPANY COM G4776G101 911 13400 SH SOLE 13400 0 INTEL CORP COM 458140100 2279 113600 SH SOLE 113600 0 ISHARES MSCI EAFE EXCHANGE TRADED F464287465 11079 78350 SH SOLE 45550 32800 ISHARES MSCI EM MKTS EXCHANGE TRADED F464287234 17854 103500 SH SOLE 103500 0 ISTAR FINL INC REIT 45031U101 792 19200 SH SOLE 12800 6400 JEFFERSON PILOT CORP COM 475070108 6059 122000 SH SOLE 24700 97300 JSC MMC NORILSK NICKEL SPONSORED ADR 46626D108 9936 157617 SH SOLE 75068 82549 KERR MCGEE CORP COM 492386107 4632 80900 SH SOLE 77900 3000 KEYCORP COM 493267108 995 31500 SH SOLE 8300 23200 KIMBERLY CLARK CORP COM 494368103 1828 28300 SH SOLE 18100 10200 KRAFT FOODS INC CL A COM 50075N104 723 22800 SH SOLE 22800 0 KROGER CO COM 501044101 213 13700 SH SOLE 13700 0 LABORATORY CORP AMER COM 50540R409 210 4800 SH SOLE 4800 0 LEHMAN BROS HLDGS INC COM 524908100 191 2400 SH SOLE 2400 0 LENNAR CORP COM 526057104 1661 34900 SH SOLE 34900 0 LEXMARK INTERNATIONAL COM 529771107 756 9000 SH SOLE 0 9000 LIMITED BRANDS INC COM 532716107 12607 565600 SH SOLE 142600 423000 LINCOLN NATL CORP IND COM 534187109 6566 139700 SH SOLE 43400 96300 Ltd Brands COM 53271610 1607 72100 SH SOLE 72100 0 MARATHON OIL CORP COM 565849106 16314 395200 SH SOLE 127300 267900 MAY DEPT STORES CO COM 577778103 12290 479500 SH SOLE 127900 351600 MBIA INC COM 55262C100 3266 56100 SH SOLE 8300 47800 MCKESSON CORP COM 58155Q103 203 7900 SH SOLE 7900 0 MEDCO HEALTH SOLUTIONS COM 58405U102 220 7127 SH SOLE 7127 0 MERCK & CO INC COM 589331107 1950 59100 SH SOLE 59100 0 METLIFE INC COM 59156R108 1403 36300 SH SOLE 30500 5800 MICROSOFT CORP COM 594918104 4606 166600 SH SOLE 166600 0 MOLEX INC COM 608554101 853 28600 SH SOLE 0 28600 MONSANTO CO COM 61166W101 6399 175700 SH SOLE 120600 55100 MOODYS CORP COM 615369105 198 2700 SH SOLE 2700 0 MORGAN STANLEY COM 617446448 1331 27000 SH SOLE 27000 0 MORGAN STANLEY INDIA INVT CLOSED END FUND 61745C105 1263 55400 SH SOLE 55400 0 NATIONAL CITY CORP COM 635405103 927 24000 SH SOLE 23000 1000 NATIONAL SEMICONDUCTOR COM 637640103 485 31300 SH SOLE 30000 1300 NETWORK APPLIANCE INC COM 64120L104 378 16400 SH SOLE 16400 0 NORFOLK SOUTHN CORP COM 655844108 401 13500 SH SOLE 13500 0 NORTHFORK BANCORPORATION COM 659424105 373 8400 SH SOLE 8400 0 NORTHROP GRUMMAN CORP COM 666807102 2528 47400 SH SOLE 47400 0 NOVELLUS SYS INC COM 670008101 232 8700 SH SOLE 8700 0 NTL INC DEL COM 62940M104 254 4100 SH SOLE 4100 0 NUCOR CORP COM 670346105 2860 31300 SH SOLE 31300 0 NY Community Bancorp I COM 64944510 1512 73600 SH SOLE 73600 0 OCCIDENTAL PETE CORP COM 674599105 7942 142000 SH SOLE 56200 85800 OIL CO LUKOIL SPON ADR SPONSORED ADR 677862104 4323 34871 SH SOLE 15370 19501 ORACLE CORPORATION COM 68389X105 1686 149500 SH SOLE 71700 77800 PACCAR INC COM 693718108 601 8700 SH SOLE 8700 0 PARKER HANNIFIN CORP COM 701094104 3084 52400 SH SOLE 52400 0 PEOPLESOFT INC COM 712713106 264 13300 SH SOLE 13300 0 PMI GROUP INC COM 69344M101 183 4500 SH SOLE 4500 0 PNC FINANCIAL SERVICES COM 693475105 687 12700 SH SOLE 6900 5800 PROCTER & GAMBLE CO COM 742718109 2587 47800 SH SOLE 47800 0 PRUDENTIAL FINL INC COM 744320102 6698 142400 SH SOLE 38100 104300 PULTE HOMES INC COM 745867101 565 9200 SH SOLE 9200 0 QUALCOMM INC COM 747525103 1644 42100 SH SOLE 24000 18100 QUEST DIAGNOSTICS INC COM 74834L100 318 3600 SH SOLE 3600 0 Radian Group Inc COM 75023610 1549 33500 SH SOLE 33500 0 RADIO SHACK CORP COM 750438103 175 6100 SH SOLE 6100 0 RAYTHEON CO COM 755111507 1128 29700 SH SOLE 21500 8200 Rockwell Automation Inc COM 77390310 801 20700 SH SOLE 20700 0 ROSTELECOM LONG DISTANCE COM 778529107 623 46055 SH SOLE 12200 33855 SAFECO CORP COM 786429100 1456 31900 SH SOLE 27600 4300 SANMINA-SCI CORP COM 800907107 440 62400 SH SOLE 62400 0 SARA LEE CORP COM 803111103 15897 695400 SH SOLE 235300 460100 SBC COMMUNICATIONS INC COM 78387G103 8976 345900 SH SOLE 188500 157400 SCIENTIFIC ATLANTA COM 808655104 140 5400 SH SOLE 5400 0 SEARS ROEBUCK & CO COM 812387108 19762 495900 SH SOLE 156300 339600 SHIP FINANCE INTL COM SNB01G7F2 1325 65924 SH SOLE 38529 27395 SIEBEL SYS INC COM 826170102 706 93700 SH SOLE 28100 65600 SIMON PPTY GROUP INC REIT 828806109 670 12500 SH SOLE 12500 0 SMITH INTL INC COM 832110100 267 4400 SH SOLE 4400 0 SOUTHTRUST CORP COM 844730101 208 5000 SH SOLE 5000 0 SPDR TR UNIT SER 1 STAND EXCHANGE TRADED F78462F103 900 8050 SH SOLE 3700 4350 SPX CORP COM 784635104 1710 48300 SH SOLE 48300 0 STARWOOD HOTELS COM 85590A203 910 19600 SH SOLE 19600 0 SUNGARD DATA SYS COM 867363103 1495 62900 SH SOLE 10200 52700 SUNOCO INC COM 86764P109 1879 25400 SH SOLE 14200 11200 SUNTRUST BKS INC COM 867914103 3091 43900 SH SOLE 20700 23200 SURGUTNEFTEGAZ JSC ADR SPONSORED ADR 868861204 5471 150312 SH SOLE 42160 108152 Temple-Inland Inc COM 87986810 1847 27500 SH SOLE 27500 0 TENET HEALTHCARE CORP COM 88033G100 555 51400 SH SOLE 23900 27500 TEXTRON INC COM 883203101 3516 54700 SH SOLE 14000 40700 THERMO ELECTRON CORP COM 883556102 1205 44600 SH SOLE 44600 0 TIFFANY & CO NEW COM 886547108 160 5200 SH SOLE 5200 0 TJX COS INC NEW COM 872540109 324 14700 SH SOLE 14700 0 TORCHMARK CORP COM 891027104 9030 169800 SH SOLE 17600 152200 TOYS R US INC COM 892335100 2015 113600 SH SOLE 100500 13100 TRANSOCEAN INC COM G90078109 923 25800 SH SOLE 25800 0 TYCO INTL LTD COM 902124106 7855 256200 SH SOLE 89000 167200 UNION PAC CORP COM 907818108 2643 45100 SH SOLE 45100 0 UNITED HEALTH GROUP COM 91324P102 111 1500 SH SOLE 1500 0 UNOCAL CORP COM 915289102 370 8600 SH SOLE 8600 0 UNUMPROVIDENT CORP COM 91529Y106 8484 540700 SH SOLE 90000 450700 US BANCORP DEL COM NEW COM 902973304 1581 54700 SH SOLE 54700 0 UST INC COM 902911106 2283 56700 SH SOLE 0 56700 V F CORP COM 918204108 588 11900 SH SOLE 10500 1400 VALERO ENERGY CORP COM 91913Y100 12561 156600 SH SOLE 66600 90000 VERISIGN INC COM 92343E102 245 12300 SH SOLE 12300 0 VERIZON COMMUNICATIONS COM 92343V104 536 13600 SH SOLE 13600 0 VIACOM INC CL B COM 925524308 279 8300 SH SOLE 8300 0 Vulcan Materials Co COM 92916010 1055 20700 SH SOLE 20700 0 WACHOVIA CORP COM 929903102 1385 29500 SH SOLE 29500 0 WASHINGTON MUTUAL INC COM 939322103 20306 519600 SH SOLE 94600 425000 WASTE MGMT INC DEL COM 94106L109 148 5400 SH SOLE 5400 0 WELLPOINT HEALTH NETWORK COM 94973H108 851 8100 SH SOLE 8100 0 WELLS FARGO & CO COM 949746101 2153 36100 SH SOLE 36100 0 WW Grainger Inc COM 38480210 190 3300 SH SOLE 3300 0 XEROX CORP COM 984121103 528 37500 SH SOLE 37500 0
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