UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 13F
FORM 13F COVER PAGE
Report for the Calendar Year or Quarter Ended: June 30, 2011
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: Hennessy Advisors, Inc.
Address: 7250 Redwood Boulevard, Suite 200
Novato, CA 94945
Form 13F File Number: 028-06715
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 form.
Person Signing this Report on Behalf of Reporting Manager:
Name: Teresa M. Nilsen
Title: Executive Vice President and Chief Financial Officer
Phone: (415) 899-1555
Signature, Place, and Date of Signing:
/s/ Teresa M. Nilsen Novato, CA July 25, 2011
--------------------------------------------------------------------------------
Teresa M. Nilsen City, State Date
Report Type (Check only one):
[X] 13F HOLDINGS REPORT. (Check here if all holdings of this reporting
manager are reported in this report.)
[ ] 13F NOTICE. (Check here if no holdings reported are in this report,
and all holdings are reported by other reporting manager(s).)
[ ] 13F COMBINATION REPORT. (Check here if a portion of the holdings for
this reporting manager are reported in this report and a portion are
reported byother reporting manager(s).)
FORM 13F SUMMARY PAGE
Report Summary:
Number of Other Included Managers: 0
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Form 13F Information Table Entry Total: 203
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Form 13F Information Table Value Total: $675,232
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(thousands)
List of Other Included Managers: NONE
FORM 13F INFORMATION TABLE
Name of Reporting Manager: Hennessy Advisors, Inc.
Value Shares/ Sh/ Put/ Invstmt Other Voting Authority
Name of Issuer Title of Class CUSIP (x1000) Prn Amt Prn Call Dscretn Managers Sole Shared None
------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- -------
A T & T INC COM 00206R102 7,970 253,750 SH SOLE 253,750
ABBOTT LABORATORIES COM 002824100 2,852 54,200 SH SOLE 54,200
ADVANCE AUTO PARTS INC COM 00751Y106 5,638 96,400 SH SOLE 96,400
AETNA INC COM 00817Y108 1,777 40,300 SH SOLE 40,300
AIR TRANSPORT SERVICES GROUP COM 00922R105 3,805 555,500 SH SOLE 555,500
ALAMO GROUP INC COM 011311107 559 23,580 SH SOLE 23,580
ALASKA AIR GROUP INC COM 011659109 726 10,600 SH SOLE 10,600
ALTRIA GROUP INC COM 02209S103 2,792 105,700 SH SOLE 105,700
AMERCO COM 023586100 3,375 35,100 SH SOLE 35,100
AMERICAN INTERNATIONAL GROUP COM 026874784 399 13,600 SH SOLE 13,600
AMERIGROUP CORP COM 03073T102 7,625 108,200 SH SOLE 108,200
ANN, INC COM 035623107 3,576 137,000 SH SOLE 137,000
APOLLO GROUP INC CL A 037604105 1,800 41,200 SH SOLE 41,200
APPLIED INDUSTRIAL TECH INC COM 03820C105 4,996 140,300 SH SOLE 140,300
APPLIED MATERIALS INC COM 038222105 1,504 115,600 SH SOLE 115,600
ASHFORD HOSPITALITY TRUST COM 044103109 4,480 359,800 SH SOLE 359,800
ATLAS PIPELINE HOLDINGS LP COM 04930A104 5,389 248,000 SH SOLE 248,000
ATLAS PIPELINE PARTNER LP COM 049392103 4,865 147,600 SH SOLE 147,600
AUTOLIV INC COM 052800109 7,115 90,700 SH SOLE 90,700
AUTOMATIC DATA PROCESSING COM 053015103 3,029 57,500 SH SOLE 57,500
AXCELIS TECHNOLOGIES INC COM 054540109 20 12,400 SH SOLE 12,400
BANCO MACRO SA SPON ADR B 05961W105 615 16,300 SH SOLE 16,300
BCE INC COM NEW 05534B760 3,127 79,600 SH SOLE 79,600
BEST BUY CO INC COM 086516101 1,781 56,700 SH SOLE 56,700
BOEING CO COM 097023105 1,612 21,800 SH SOLE 21,800
BORGWARNER INC COM 099724106 11,488 142,200 SH SOLE 142,200
BRISTOL MYERS SQUIBB COM 110122108 2,870 99,100 SH SOLE 99,100
BROWN SHOE CO INC COM 115736100 321 30,100 SH SOLE 30,100
BUCKEYE TECHNOLOGIES INC COM 118255108 4,716 174,800 SH SOLE 174,800
CABLEVISION SYS CORP CL A NY CABLVS 12686C109 1,771 48,900 SH SOLE 48,900
CALLON PETROLEUM CO/DE COM 13123X102 576 82,000 SH SOLE 82,000
CAMPBELL SOUP CO COM 134429109 4,371 126,500 SH SOLE 126,500
CARDTRONICS INC COM 14161H108 933 39,800 SH SOLE 39,800
CASCADE CORP COM 147195101 609 12,800 SH SOLE 12,800
CENTURYLINK INC COM 156700106 2,490 61,600 SH SOLE 61,600
CHEVRON CORP COM 166764100 9,353 90,950 SH SOLE 90,950
CHINA MOBILE LTD SPONSORED ADR 16941M109 2,381 50,900 SH SOLE 50,900
CIGNA CORP COM 125509109 1,857 36,100 SH SOLE 36,100
CIMAREX ENERGY CO COM 171798101 1,673 18,600 SH SOLE 18,600
CLEARWATER PAPER CORP COM 18538R103 580 8,500 SH SOLE 8,500
CLIFFS NATURAL RESOURCES INC COM 18683K101 1,858 20,100 SH SOLE 20,100
COCA-COLA COMPANY COM 191216100 343 5,100 SH SOLE 5,100
COMMERCIAL VEHICLE GROUP INC COM 202608105 3,580 252,300 SH SOLE 252,300
COMP SIDERURGICA NAC SPONSORED ADR 20440W105 1,913 153,500 SH SOLE 153,500
COMPLETE PRODUCTION SERVICES COM 20453E109 6,509 195,100 SH SOLE 195,100
CONAGRA FOODS INC COM 205887102 3,115 120,700 SH SOLE 120,700
CONOCOPHILLIPS COM 20825C104 3,158 42,000 SH SOLE 42,000
CONSOLIDATED GRAPHICS INC COM 209341106 593 10,800 SH SOLE 10,800
COST PLUS INC COM 221485105 3,564 356,400 SH SOLE 356,400
CPI CORP COM 125902106 1,688 128,400 SH SOLE 128,400
CROCS INC COM 227046109 10,400 403,900 SH SOLE 403,900
DDI CORP COM 233162502 3,035 318,150 SH SOLE 318,150
DELL INC COM 24702R101 1,719 103,100 SH SOLE 103,100
DIAGEO PLC SPON ADR NEW 25243Q205 2,857 34,900 SH SOLE 34,900
DIAMOND OFFSHRE DRILLING INC COM 25271C102 1,732 24,600 SH SOLE 24,600
DILLARDS INC CL A 254067101 5,261 100,900 SH SOLE 100,900
DINEEQUITY INC COM 254423106 3,455 66,100 SH SOLE 66,100
DIRECTV COM 25490A101 1,769 34,800 SH SOLE 34,800
DISH NETWORK CORP COM 25470M109 1,803 58,800 SH SOLE 58,800
DOLLAR TREE INC COM 256746108 5,809 87,200 SH SOLE 87,200
DU PONT (E I) DE NEMOURS COM 263534109 7,821 144,700 SH SOLE 144,700
EASTMAN CHEMICAL CO COM 277432100 1,664 16,300 SH SOLE 16,300
EMCORE CORP COM 290846104 42 15,360 SH SOLE 15,360
ENI SPA SPONSORED ADR 26874R108 2,801 58,900 SH SOLE 58,900
ENTERPRISE PRODS PRTNER -LP COM 293792107 2,606 60,300 SH SOLE 60,300
ESTERLINE TECHNOLOGIES CORP COM 297425100 756 9,900 SH SOLE 9,900
EXPRESS-1 EXPEDITED SOLTNS COM 30217Q108 41 13,140 SH SOLE 13,140
EXXON MOBIL CORP COM 30231G102 1,733 21,300 SH SOLE 21,300
FAMILY DOLLAR STORES COM 307000109 5,051 96,100 SH SOLE 96,100
FERRO CORP COM 315405100 4,516 336,000 SH SOLE 336,000
FOREST LABORATORIES COM 345838106 2,018 51,300 SH SOLE 51,300
FRANCE TELECOM SPONSORED ADR 35177Q105 2,427 114,000 SH SOLE 114,000
FREEPORT-MCMORAN COP&GOLD COM 35671D857 1,889 35,700 SH SOLE 35,700
GAP INC COM 364760108 1,365 75,400 SH SOLE 75,400
GARDNER DENVER INC COM 365558105 866 10,300 SH SOLE 10,300
GENERAL COMMUNICATION CL A 369385109 3,552 294,300 SH SOLE 294,300
GENERAL DYNAMICS CORP COM 369550108 1,721 23,100 SH SOLE 23,100
GENERAL ELECTRIC CO. COM 369604103 622 33,000 SH SOLE 33,000
GENERAL MILLS INC COM 370334104 4,362 117,200 SH SOLE 117,200
GILEAD SCIENCES INC COM 375558103 1,752 42,300 SH SOLE 42,300
GLAXOSMITHKLINE PLC SPONSORED ADR 37733W105 2,853 66,500 SH SOLE 66,500
GREENBRIER COMPANIES INC COM 393657101 3,168 160,300 SH SOLE 160,300
GRUPO FINANCIERO GALICIA SP ADR 10 SH B 399909100 3,213 237,300 SH SOLE 237,300
HARRIS CORP COM 413875105 1,586 35,200 SH SOLE 35,200
HCA HOLDINGS INC COM 40412C101 1,647 49,900 SH SOLE 49,900
HEALTHSPRING INC COM 42224N101 8,341 180,900 SH SOLE 180,900
HEINZ (H J) CO COM 423074103 2,888 54,200 SH SOLE 54,200
HEWLETT-PACKARD CO COM 428236103 1,529 42,000 SH SOLE 42,000
HILL-ROM HOLDINGS INC COM 431475102 741 16,100 SH SOLE 16,100
HOME DEPOT INC COM 437076102 1,844 50,900 SH SOLE 50,900
HSN INC COM 404303109 4,543 138,000 SH SOLE 138,000
HUMANA INC COM 444859102 1,772 22,000 SH SOLE 22,000
IDT CORP COM 448947507 4,831 178,800 SH SOLE 178,800
INNOSPEC INC COM 45768S105 5,670 168,700 SH SOLE 168,700
INTEL CORP COM 458140100 9,427 425,400 SH SOLE 425,400
INTERFACE INC CL A 458665106 5,375 277,500 SH SOLE 277,500
INTL BUSINESS MACHINES CORP COM 459200101 1,750 10,200 SH SOLE 10,200
IPASS INC COM 46261V108 34 22,080 SH SOLE 22,080
ISTAR FINANCIAL INC COM 45031U101 4,264 525,800 SH SOLE 525,800
JOHNSON & JOHNSON COM 478160104 7,680 115,450 SH SOLE 115,450
JONES LANG LASALLE INC COM 48020Q107 4,828 51,200 SH SOLE 51,200
KELLOGG CO COM 487836108 2,960 53,500 SH SOLE 53,500
KEMET CORP COM 488360207 4,076 285,200 SH SOLE 285,200
KIMBERLY-CLARK CORP COM 494368103 4,499 67,600 SH SOLE 67,600
KRAFT FOODS INC COM 50075N104 8,098 229,850 SH SOLE 229,850
KRISPY KREME DOUGHNUTS INC COM 501014104 4,821 506,990 SH SOLE 506,990
KT CORP SPONSORED ADR 48268K101 2,313 119,000 SH SOLE 119,000
LAM RESEARCH CORP COM 512807108 1,616 36,500 SH SOLE 36,500
LEXMARK INTL INC CL A 529771107 2,908 99,400 SH SOLE 99,400
LIBBEY INC COM 529898108 4,718 290,900 SH SOLE 290,900
LIFETIME BRANDS INC COM 53222Q103 372 31,700 SH SOLE 31,700
LILLY (ELI) & CO COM 532457108 4,515 120,300 SH SOLE 120,300
LIMITED BRANDS INC COM 532716107 1,580 41,100 SH SOLE 41,100
LIONBRIDGE TECHNOLOGIES INC COM 536252109 318 100,100 SH SOLE 100,100
LOCKHEED MARTIN CORP COM 539830109 4,802 59,300 SH SOLE 59,300
LORAL SPACE & COMMUNICATIONS COM 543881106 841 12,100 SH SOLE 12,100
LUBRIZOL CORP COM 549271104 5,290 39,400 SH SOLE 39,400
MACQUARIE INFRASTRUCT CO LLC COM 55608B105 996 36,100 SH SOLE 36,100
MAGELLAN HEALTH SERVICES INC COM 559079207 5,091 93,000 SH SOLE 93,000
MAGNETEK INC COM 559424106 30 16,280 SH SOLE 16,280
MARSH & MCLENNAN COS COM 571748102 3,197 102,500 SH SOLE 102,500
MATERION CORP COM 576690101 3,531 95,500 SH SOLE 95,500
MATTEL INC COM 577081102 4,838 176,000 SH SOLE 176,000
MCDONALD'S CORPORATION COM 580135101 3,609 42,800 SH SOLE 42,800
MEDCATH CORP COM 58404W109 3,703 272,460 SH SOLE 272,460
MEDIA GENERAL CL A 584404107 178 46,600 SH SOLE 46,600
MERCER INTL INC COM 588056101 5,449 540,600 SH SOLE 540,600
MERCK & CO COM 58933Y105 7,594 215,200 SH SOLE 215,200
MERITOR INC COM 59001K100 5,166 322,100 SH SOLE 322,100
MICROSOFT CORP COM 594918104 1,768 68,000 SH SOLE 68,000
MOBILE TELESYSTEMS SPONSORED ADR 607409109 2,319 121,900 SH SOLE 121,900
MRV COMMUNICATIONS INC COM 553477100 27 19,310 SH SOLE 19,310
NACCO INDUSTRIES CL A 629579103 3,815 39,400 SH SOLE 39,400
NEENAH PAPER INC COM 640079109 549 25,800 SH SOLE 25,800
NEWCASTLE INVESTMENT CORP COM 65105M108 3,584 620,000 SH SOLE 620,000
NEWMONT MINING CORP COM 651639106 1,743 32,300 SH SOLE 32,300
NEWPORT CORP COM 651824104 3,903 214,800 SH SOLE 214,800
NOKIA CORP SPONSORED ADR 654902204 1,625 253,100 SH SOLE 253,100
NORDSTROM INC COM 655664100 1,662 35,400 SH SOLE 35,400
OPNEXT INC COM 68375V105 24 10,710 SH SOLE 10,710
OWENS CORNING COM 690742101 583 15,600 SH SOLE 15,600
PACER INTERNATIONAL INC COM 69373H106 330 70,000 SH SOLE 70,000
PETROCHINA CO LTD SPONSORED ADR 71646E100 2,950 20,200 SH SOLE 20,200
PFIZER INC COM 717081103 8,643 419,550 SH SOLE 419,550
PHILIP MORRIS INTERNATIONAL COM 718172109 2,931 43,900 SH SOLE 43,900
PIER 1 IMPORTS INC/DE COM 720279108 4,029 348,200 SH SOLE 348,200
PITNEY BOWES INC COM 724479100 2,570 111,800 SH SOLE 111,800
POLYONE CORP COM 73179P106 5,732 370,500 SH SOLE 370,500
POWER-ONE INC COM 73930R102 3,217 397,200 SH SOLE 397,200
PRICESMART INC COM 741511109 4,862 94,900 SH SOLE 94,900
PROCTER & GAMBLE CO COM 742718109 1,561 24,550 SH SOLE 24,550
PROGRESSIVE CORP-OHIO COM 743315103 1,723 80,600 SH SOLE 80,600
QUAKER CHEMICAL CORP COM 747316107 4,600 106,960 SH SOLE 106,960
QUIKSILVER INC COM 74838C106 3,396 722,500 SH SOLE 722,500
RAYTHEON CO COM 755111507 4,536 91,000 SH SOLE 91,000
ROCHE HOLDING LTD ADR 771195104 3,021 72,000 SH SOLE 72,000
ROCKWOOD HOLDINGS INC COM 774415103 7,381 133,500 SH SOLE 133,500
ROYAL DUTCH SHELL PLC SPON ADR A 780259206 2,838 39,900 SH SOLE 39,900
RUBY TUESDAY INC COM 781182100 2,894 268,500 SH SOLE 268,500
SANOFI-AVENTIS SPONSORED ADR 80105N105 3,121 77,700 SH SOLE 77,700
SAUER-DANFOSS INC COM 804137107 5,881 116,700 SH SOLE 116,700
SELECT COMFORT CORP COM 81616X103 953 53,000 SH SOLE 53,000
SINCLAIR BROADCAST GP CL A 829226109 831 75,700 SH SOLE 75,700
SKECHERS U S A INC COM 830566105 182 12,600 SH SOLE 12,600
STANDEX INTERNATIONAL CORP COM 854231107 580 18,900 SH SOLE 18,900
STATOIL ASA SPONSORED ADR 85771P102 3,125 122,800 SH SOLE 122,800
SUNOPTA INC ADR 8676EP108 3,470 488,100 SH SOLE 488,100
SXC HEALTH SOLUTIONS CORP COM 78505P100 807 13,700 SH SOLE 13,700
SYSCO CORP COM 871829107 4,537 145,500 SH SOLE 145,500
TAIWAN SEMICONDUCTOR SPONSORED ADR 874039100 2,975 235,900 SH SOLE 235,900
TELEFONICA SA SPONSORED ADR 879382208 2,598 106,100 SH SOLE 106,100
TENNANT CO COM 880345103 583 14,600 SH SOLE 14,600
TENNECO INC COM 880349105 10,550 239,400 SH SOLE 239,400
TEXAS INSTRUMENTS INC COM 882508104 1,622 49,400 SH SOLE 49,400
TIMKEN CO COM 887389104 5,509 109,300 SH SOLE 109,300
TITAN INTERNATIONAL INC COM 88830M102 4,801 197,900 SH SOLE 197,900
TJX COMPANIES INC COM 872540109 1,697 32,300 SH SOLE 32,300
TORO CO COM 891092108 4,501 74,400 SH SOLE 74,400
TOTAL SA SPONSORED ADR 89151E109 2,811 48,600 SH SOLE 48,600
TPC GROUP INC COM 89236Y104 5,142 131,100 SH SOLE 131,100
TRACTOR SUPPLY CO COM 892356106 12,453 186,200 SH SOLE 186,200
TRIMAS CORP COM NEW 896215209 5,113 206,600 SH SOLE 206,600
TRW AUTOMOTIVE HOLDINGS CORP COM 87264S106 13,707 232,200 SH SOLE 232,200
TUESDAY MORNING CORP COM 899035505 3,092 664,900 SH SOLE 664,900
ULTA SALON COSMETCS & FRAG COM 90384S303 10,966 169,800 SH SOLE 169,800
ULTRA CLEAN HOLDINGS INC COM 90385V107 540 59,500 SH SOLE 59,500
UNITED CONTINENTAL HLDGS INC COM 910047109 7,991 353,100 SH SOLE 353,100
UNITED RENTALS INC COM 911363109 3,965 156,100 SH SOLE 156,100
UNITEDHEALTH GROUP INC COM 91324P102 1,780 34,500 SH SOLE 34,500
UNIVERSAL AMERICAN CORP COM 91338E101 351 32,100 SH SOLE 32,100
US AIRWAYS GROUP INC COM 90341W108 7,568 849,400 SH SOLE 849,400
VALASSIS COMMUNICATIONS INC COM 918866104 4,221 139,300 SH SOLE 139,300
VERIZON COMMUNICATIONS COM 92343V104 8,267 222,050 SH SOLE 222,050
VODAFONE GROUP PLC SPONS ADR NEW 92857W209 2,501 93,600 SH SOLE 93,600
WALGREEN CO COM 931422109 1,660 39,100 SH SOLE 39,100
WAL-MART STORES INC COM 931142103 1,663 31,300 SH SOLE 31,300
WASTE MANAGEMENT INC COM 94106L109 2,780 74,600 SH SOLE 74,600
WESTELL TECH INC CL A 957541105 38 10,580 SH SOLE 10,580
WESTERN REFINING INC COM 959319104 6,245 345,600 SH SOLE 345,600
WHIRLPOOL CORP COM 963320106 423 5,200 SH SOLE 5,200
WILLIAMS-SONOMA INC COM 969904101 4,933 135,200 SH SOLE 135,200
WYNDHAM WORLDWIDE CORP COM 98310W108 5,101 151,600 SH SOLE 151,600
ZIONS BANCORPORATION COM 989701107 507 21,100 SH SOLE 21,100
TOTAL 675,232