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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, 2009
------------------
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 21, 2009
--------------------------------------------------------------------------------
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 by
other reporting manager(s).)
FORM 13F SUMMARY PAGE
Report Summary:
Number of Other Included Managers: 0
----------------------
Form 13F Information Table Entry Total: 220
----------------------
Form 13F Information Table Value Total: $618,149
----------------------
(thousands)
List of Other Included Managers: NONE
Page 1 of 10 06/30/2009
FORM 13F INFORMATION TABLE
Name of Reporting Manager: Hennessy Advisors, Inc.
Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: Column 7: Column 8:
------------------------------------------------------------------------------------------------------------------------------------
Title Market
of CUSIP Value Shares or Other
Name of Issuer Class Number (x$1,000) Principal Amount Investment Discretion Mgrs. Voting Authority
------------------------------------------------------------------------------------------------------------------------------------
SH/ Put/ Shared Shared
PRN Call Sole Defined Other Sole Shared None
------------------------------------------------------------------------------------------------------------------------------------
3M CO COM 88579Y101 1,454 24,200 SH SOLE 24,200
------------------------------------------------------------------------------------------------------------------------------------
99 CENTS ONLY STORES COM 65440K106 588 43,300 SH SOLE 43,300
------------------------------------------------------------------------------------------------------------------------------------
A T & T INC COM 00206R102 5,692 229,130 SH SOLE 229,130
------------------------------------------------------------------------------------------------------------------------------------
AAON INC COM 000360206 4,849 243,400 SH SOLE 243,400
------------------------------------------------------------------------------------------------------------------------------------
AARON'S INC COM 002535201 6,262 210,000 SH SOLE 210,000
------------------------------------------------------------------------------------------------------------------------------------
ACETO CORP COM 004446100 3,407 510,850 SH SOLE 510,850
------------------------------------------------------------------------------------------------------------------------------------
AECOM TECHNOLOGY CORP COM 00766T100 5,293 165,400 SH SOLE 165,400
------------------------------------------------------------------------------------------------------------------------------------
AEROPOSTALE INC COM 007865108 7,108 207,400 SH SOLE 207,400
------------------------------------------------------------------------------------------------------------------------------------
ALCOA INC COM 013817101 4,961 480,260 SH SOLE 480,260
------------------------------------------------------------------------------------------------------------------------------------
ALLIANZ SE -ADR ADR 018805101 1,671 181,400 SH SOLE 181,400
------------------------------------------------------------------------------------------------------------------------------------
ALLSTATE CORP COM 020002101 1,430 58,600 SH SOLE 58,600
------------------------------------------------------------------------------------------------------------------------------------
ALTRIA GROUP INC COM 02209S103 1,731 105,600 SH SOLE 105,600
------------------------------------------------------------------------------------------------------------------------------------
AMER ITALIAN PASTA CO
-CL A CLASS A 027070101 6,632 227,500 SH SOLE 227,500
------------------------------------------------------------------------------------------------------------------------------------
AMERICAN EXPRESS COMPANY COM 025816109 1,893 81,440 SH SOLE 81,440
------------------------------------------------------------------------------------------------------------------------------------
AMERICAN INTERNATIONAL
GROUP COM 026874784 35 30,110 SH SOLE 30,110
------------------------------------------------------------------------------------------------------------------------------------
AMERISAFE INC COM 03071H100 3,851 247,500 SH SOLE 247,500
------------------------------------------------------------------------------------------------------------------------------------
APAC CUSTOMER SERVICES INC COM 00185E106 589 114,800 SH SOLE 114,800
------------------------------------------------------------------------------------------------------------------------------------
APPLIED SIGNAL TECHNOLOGY COM 038237103 7,269 284,960 SH SOLE 284,960
------------------------------------------------------------------------------------------------------------------------------------
ARCELORMITTAL -ADR ADR 03938L104 2,468 74,600 SH SOLE 74,600
------------------------------------------------------------------------------------------------------------------------------------
ARVINMERITOR INC COM 043353101 1,924 438,200 SH SOLE 438,200
------------------------------------------------------------------------------------------------------------------------------------
AU OPTRONICS CORP -ADR ADR 002255107 2,620 270,700 SH SOLE 270,700
------------------------------------------------------------------------------------------------------------------------------------
AUTOZONE INC COM 053332102 13,449 89,000 SH SOLE 89,000
------------------------------------------------------------------------------------------------------------------------------------
AVON PRODUCTS COM 054303102 1,446 56,100 SH SOLE 56,100
------------------------------------------------------------------------------------------------------------------------------------
Page 2 of 10 06/30/2009
FORM 13F INFORMATION TABLE
Name of Reporting Manager: Hennessy Advisors, Inc.
Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: Column 7: Column 8:
------------------------------------------------------------------------------------------------------------------------------------
Title Market
of CUSIP Value Shares or Other
Name of Issuer Class Number (x$1,000) Principal Amount Investment Discretion Mgrs. Voting Authority
------------------------------------------------------------------------------------------------------------------------------------
SH/ Put/ Shared Shared
PRN Call Sole Defined Other Sole Shared None
------------------------------------------------------------------------------------------------------------------------------------
BAKER (MICHAEL) CORP COM 057149106 6,443 152,100 SH SOLE 152,100
------------------------------------------------------------------------------------------------------------------------------------
BAKER HUGHES INC COM 057224107 1,177 32,300 SH SOLE 32,300
------------------------------------------------------------------------------------------------------------------------------------
BANK of AMERICA CORP COM 060505104 3,191 241,780 SH SOLE 241,780
------------------------------------------------------------------------------------------------------------------------------------
BB&T CORP COM 054937107 1,194 54,300 SH SOLE 54,300
------------------------------------------------------------------------------------------------------------------------------------
BEACON ROOFING SUPPLY INC COM 073685109 5,294 366,100 SH SOLE 366,100
------------------------------------------------------------------------------------------------------------------------------------
BEST BUY CO INC COM 086516101 1,038 31,000 SH SOLE 31,000
------------------------------------------------------------------------------------------------------------------------------------
BIO REFERENCE LABS COM 09057G602 588 18,600 SH SOLE 18,600
------------------------------------------------------------------------------------------------------------------------------------
BLACK BOX CORP COM 091826107 539 16,100 SH SOLE 16,100
------------------------------------------------------------------------------------------------------------------------------------
BOEING CO COM 097023105 2,342 55,100 SH SOLE 55,100
------------------------------------------------------------------------------------------------------------------------------------
BOOTS&COOTS/INTL WELL
CONTRL COM 099469504 25 18,180 SH SOLE 18,180
------------------------------------------------------------------------------------------------------------------------------------
BP PLC -ADS ADR 055622104 1,736 36,400 SH SOLE 36,400
------------------------------------------------------------------------------------------------------------------------------------
BRADY CORP COM 104674106 4,582 182,400 SH SOLE 182,400
------------------------------------------------------------------------------------------------------------------------------------
BRISTOL MYERS SQUIBB COM 110122108 1,515 74,600 SH SOLE 74,600
------------------------------------------------------------------------------------------------------------------------------------
BWAY HOLDING CO COM 12429T104 636 36,300 SH SOLE 36,300
------------------------------------------------------------------------------------------------------------------------------------
CACI INTL INC -CL A CLASS A 127190304 4,813 112,700 SH SOLE 112,700
------------------------------------------------------------------------------------------------------------------------------------
CALAVO GROWERS INC COM 128246105 579 29,200 SH SOLE 29,200
------------------------------------------------------------------------------------------------------------------------------------
CAMERON INTERNATIONAL CORP COM 13342B105 1,257 44,400 SH SOLE 44,400
------------------------------------------------------------------------------------------------------------------------------------
CANTEL MEDICAL CORP COM 138098108 6,256 385,480 SH SOLE 385,480
------------------------------------------------------------------------------------------------------------------------------------
CARTER'S INC COM 146229109 7,100 288,500 SH SOLE 288,500
------------------------------------------------------------------------------------------------------------------------------------
CATERPILLAR INC COM 149123101 2,347 71,030 SH SOLE 71,030
------------------------------------------------------------------------------------------------------------------------------------
CBS CORP COM 124857202 1,483 214,300 SH SOLE 214,300
------------------------------------------------------------------------------------------------------------------------------------
CENTRAL GARDEN & PET CO COM 153527205 601 61,000 SH SOLE 61,000
------------------------------------------------------------------------------------------------------------------------------------
CHEVRON CORP COM 166764100 1,497 22,600 SH SOLE 22,600
------------------------------------------------------------------------------------------------------------------------------------
Page 3 of 10 06/30/2009
FORM 13F INFORMATION TABLE
Name of Reporting Manager: Hennessy Advisors, Inc.
Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: Column 7: Column 8:
------------------------------------------------------------------------------------------------------------------------------------
Title Market
of CUSIP Value Shares or Other
Name of Issuer Class Number (x$1,000) Principal Amount Investment Discretion Mgrs. Voting Authority
------------------------------------------------------------------------------------------------------------------------------------
SH/ Put/ Shared Shared
PRN Call Sole Defined Other Sole Shared None
------------------------------------------------------------------------------------------------------------------------------------
CITIGROUP INC COM 172967101 454 152,800 SH SOLE 152,800
------------------------------------------------------------------------------------------------------------------------------------
CNOOC LTD -ADR ADR 126132109 2,522 20,500 SH SOLE 20,500
------------------------------------------------------------------------------------------------------------------------------------
COACH INC COM 189754104 1,793 66,700 SH SOLE 66,700
------------------------------------------------------------------------------------------------------------------------------------
COCA-COLA BTLNG CONS COM 191098102 474 8,600 SH SOLE 8,600
------------------------------------------------------------------------------------------------------------------------------------
CONOCOPHILLIPS COM 20825C104 1,115 26,500 SH SOLE 26,500
------------------------------------------------------------------------------------------------------------------------------------
CONSOL ENERGY INC COM 20854P109 1,185 34,900 SH SOLE 34,900
------------------------------------------------------------------------------------------------------------------------------------
CONTINUCARE CORP COM 212172100 32 13,870 SH SOLE 13,870
------------------------------------------------------------------------------------------------------------------------------------
COOPER INDUSTRIES LTD COM G24182100 1,313 42,300 SH SOLE 42,300
------------------------------------------------------------------------------------------------------------------------------------
CORINTHIAN COLLEGES INC COM 218868107 12,196 720,400 SH SOLE 720,400
------------------------------------------------------------------------------------------------------------------------------------
COTT CORP QUE ADR 22163N106 649 115,000 SH SOLE 115,000
------------------------------------------------------------------------------------------------------------------------------------
CREDIT SUISSE GROUP -ADR ADR 225401108 2,922 63,900 SH SOLE 63,900
------------------------------------------------------------------------------------------------------------------------------------
CSG SYSTEMS INTL INC COM 126349109 3,852 290,900 SH SOLE 290,900
------------------------------------------------------------------------------------------------------------------------------------
CUBIC CORP COM 229669106 594 16,600 SH SOLE 16,600
------------------------------------------------------------------------------------------------------------------------------------
CUMMINS INC COM 231021106 1,503 42,700 SH SOLE 42,700
------------------------------------------------------------------------------------------------------------------------------------
DAIMLER AG ADR D1668R123 1,933 53,300 SH SOLE 53,300
------------------------------------------------------------------------------------------------------------------------------------
DELL INC COM 24702R101 1,394 101,500 SH SOLE 101,500
------------------------------------------------------------------------------------------------------------------------------------
DENBURY RESOURCES INC COM 247916208 941 63,900 SH SOLE 63,900
------------------------------------------------------------------------------------------------------------------------------------
DEUTSCHE TELEKOM AG -ADR ADR 251566105 1,274 108,000 SH SOLE 108,000
------------------------------------------------------------------------------------------------------------------------------------
DIAMOND OFFSHRE DRILLING
INC COM 25271C102 1,262 15,200 SH SOLE 15,200
------------------------------------------------------------------------------------------------------------------------------------
DISH NETWORK CORP COM 25470M109 1,571 96,900 SH SOLE 96,900
------------------------------------------------------------------------------------------------------------------------------------
DOLLAR THRIFTY AUTOMOTIVE
GP COM 256743105 841 60,300 SH SOLE 60,300
------------------------------------------------------------------------------------------------------------------------------------
DOLLAR TREE INC COM 256746108 5,132 121,900 SH SOLE 121,900
------------------------------------------------------------------------------------------------------------------------------------
DONNELLEY (R R) & SONS CO COM 257867101 1,533 131,900 SH SOLE 131,900
------------------------------------------------------------------------------------------------------------------------------------
Page 4 of 10 06/30/2009
FORM 13F INFORMATION TABLE
Name of Reporting Manager: Hennessy Advisors, Inc.
Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: Column 7: Column 8:
------------------------------------------------------------------------------------------------------------------------------------
Title Market
of CUSIP Value Shares or Other
Name of Issuer Class Number (x$1,000) Principal Amount Investment Discretion Mgrs. Voting Authority
------------------------------------------------------------------------------------------------------------------------------------
SH/ Put/ Shared Shared
PRN Call Sole Defined Other Sole Shared None
------------------------------------------------------------------------------------------------------------------------------------
DOW CHEMICAL COM 260543103 1,344 83,300 SH SOLE 83,300
------------------------------------------------------------------------------------------------------------------------------------
DU PONT (E I) DE NEMOURS COM 263534109 5,529 215,800 SH SOLE 215,800
------------------------------------------------------------------------------------------------------------------------------------
EMERGENCY MEDICAL SVCS CORP COM 29100P102 5,111 138,800 SH SOLE 138,800
------------------------------------------------------------------------------------------------------------------------------------
EMERSON ELECTRIC CO COM 291011104 1,212 37,400 SH SOLE 37,400
------------------------------------------------------------------------------------------------------------------------------------
ENCORE CAPITAL GROUP INC COM 292554102 636 48,000 SH SOLE 48,000
------------------------------------------------------------------------------------------------------------------------------------
ENI SPA -ADR ADR 26874R108 1,821 38,400 SH SOLE 38,400
------------------------------------------------------------------------------------------------------------------------------------
ENSCO INTERNATIONAL INC COM 26874Q100 1,245 35,700 SH SOLE 35,700
------------------------------------------------------------------------------------------------------------------------------------
ENSIGN GROUP INC COM 29358P101 4,346 305,430 SH SOLE 305,430
------------------------------------------------------------------------------------------------------------------------------------
ENTERPRISE PRODS PRTNER
-LP COM 293792107 1,993 79,900 SH SOLE 79,900
------------------------------------------------------------------------------------------------------------------------------------
EOG RESOURCES INC COM 26875P101 1,100 16,200 SH SOLE 16,200
------------------------------------------------------------------------------------------------------------------------------------
EVERCORE PARTNERS INC COM 29977A105 589 30,000 SH SOLE 30,000
------------------------------------------------------------------------------------------------------------------------------------
EXXON MOBIL CORP COM 30231G102 1,063 15,200 SH SOLE 15,200
------------------------------------------------------------------------------------------------------------------------------------
FAMILY DOLLAR STORES COM 307000109 5,516 194,900 SH SOLE 194,900
------------------------------------------------------------------------------------------------------------------------------------
FGX INTERNATIONAL HLDNGS
LTD ADR G3396L102 4,208 369,800 SH SOLE 369,800
------------------------------------------------------------------------------------------------------------------------------------
FIRST BANCORP P R ADR 318672102 1,802 456,200 SH SOLE 456,200
------------------------------------------------------------------------------------------------------------------------------------
FIRST HORIZON NATIONAL CORP COM 320517105 554 46,200 SH SOLE 46,200
------------------------------------------------------------------------------------------------------------------------------------
FLUOR CORP COM 343412102 1,405 27,400 SH SOLE 27,400
------------------------------------------------------------------------------------------------------------------------------------
FORCE PROTECTION INC COM 345203202 662 74,900 SH SOLE 74,900
------------------------------------------------------------------------------------------------------------------------------------
FOREST LABORATORIES -CL A CLASS A 345838106 1,193 47,500 SH SOLE 47,500
------------------------------------------------------------------------------------------------------------------------------------
FUQI INTERNATIONAL INC ADR 36102A207 694 33,500 SH SOLE 33,500
------------------------------------------------------------------------------------------------------------------------------------
GAP INC COM 364760108 1,373 83,700 SH SOLE 83,700
------------------------------------------------------------------------------------------------------------------------------------
GENERAL DYNAMICS CORP COM 369550108 1,473 26,600 SH SOLE 26,600
------------------------------------------------------------------------------------------------------------------------------------
GENERAL ELECTRIC CO COM 369604103 3,776 322,170 SH SOLE 322,170
------------------------------------------------------------------------------------------------------------------------------------
Page 5 of 10 06/30/2009
FORM 13F INFORMATION TABLE
Name of Reporting Manager: Hennessy Advisors, Inc.
Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: Column 7: Column 8:
------------------------------------------------------------------------------------------------------------------------------------
Title Market
of CUSIP Value Shares or Other
Name of Issuer Class Number (x$1,000) Principal Amount Investment Discretion Mgrs. Voting Authority
------------------------------------------------------------------------------------------------------------------------------------
SH/ Put/ Shared Shared
PRN Call Sole Defined Other Sole Shared None
------------------------------------------------------------------------------------------------------------------------------------
GENTIVA HEALTH SERVICES INC COM 37247A102 2,859 173,700 SH SOLE 173,700
------------------------------------------------------------------------------------------------------------------------------------
GLOBAL CASH ACCESS HOLDINGS COM 378967103 652 81,900 SH SOLE 81,900
------------------------------------------------------------------------------------------------------------------------------------
GOODRICH CORP COM 382388106 1,919 38,400 SH SOLE 38,400
------------------------------------------------------------------------------------------------------------------------------------
GRANITE CONSTRUCTION INC COM 387328107 3,850 115,700 SH SOLE 115,700
------------------------------------------------------------------------------------------------------------------------------------
GREIF INC -CL A CLASS A 397624107 4,280 96,800 SH SOLE 96,800
------------------------------------------------------------------------------------------------------------------------------------
HALLIBURTON CO COM 406216101 1,232 59,500 SH SOLE 59,500
------------------------------------------------------------------------------------------------------------------------------------
HANOVER INSURANCE GROUP INC COM 410867105 5,137 134,800 SH SOLE 134,800
------------------------------------------------------------------------------------------------------------------------------------
HARLEY-DAVIDSON INC COM 412822108 1,546 95,400 SH SOLE 95,400
------------------------------------------------------------------------------------------------------------------------------------
HARTFORD FINANCIAL SERVICES COM 416515104 1,288 108,500 SH SOLE 108,500
------------------------------------------------------------------------------------------------------------------------------------
HASBRO INC COM 418056107 4,560 188,100 SH SOLE 188,100
------------------------------------------------------------------------------------------------------------------------------------
HAWAIIAN ELECTRIC INDS COM 419870100 4,614 242,100 SH SOLE 242,100
------------------------------------------------------------------------------------------------------------------------------------
HESS CORP COM 42809H107 871 16,200 SH SOLE 16,200
------------------------------------------------------------------------------------------------------------------------------------
HHGREGG INC COM 42833L108 555 36,600 SH SOLE 36,600
------------------------------------------------------------------------------------------------------------------------------------
HOME DEPOT INC COM 437076102 1,491 63,100 SH SOLE 63,100
------------------------------------------------------------------------------------------------------------------------------------
HONEYWELL INTERNATIONAL INC COM 438516106 1,168 37,200 SH SOLE 37,200
------------------------------------------------------------------------------------------------------------------------------------
HOT TOPIC INC COM 441339108 4,033 551,760 SH SOLE 551,760
------------------------------------------------------------------------------------------------------------------------------------
HSBC HOLDINGS PLC -ADR ADR 404280406 1,241 29,700 SH SOLE 29,700
------------------------------------------------------------------------------------------------------------------------------------
HUB GROUP INC -CL A CLASS A 443320106 3,399 164,700 SH SOLE 164,700
------------------------------------------------------------------------------------------------------------------------------------
INSITUFORM TECHNOLOGIES
-CL A CLASS A 457667103 4,415 260,170 SH SOLE 260,170
------------------------------------------------------------------------------------------------------------------------------------
INTL BUSINESS MACHINES CORP COM 459200101 1,128 10,800 SH SOLE 10,800
------------------------------------------------------------------------------------------------------------------------------------
INTL PAPER CO COM 460146103 2,167 143,200 SH SOLE 143,200
------------------------------------------------------------------------------------------------------------------------------------
ISLE OF CAPRI CASINOS INC COM 464592104 630 47,300 SH SOLE 47,300
------------------------------------------------------------------------------------------------------------------------------------
ITT CORP COM 450911102 1,184 26,600 SH SOLE 26,600
------------------------------------------------------------------------------------------------------------------------------------
Page 6 of 10 06/30/2009
FORM 13F INFORMATION TABLE
Name of Reporting Manager: Hennessy Advisors, Inc.
Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: Column 7: Column 8:
------------------------------------------------------------------------------------------------------------------------------------
Title Market
of CUSIP Value Shares or Other
Name of Issuer Class Number (x$1,000) Principal Amount Investment Discretion Mgrs. Voting Authority
------------------------------------------------------------------------------------------------------------------------------------
SH/ Put/ Shared Shared
PRN Call Sole Defined Other Sole Shared None
------------------------------------------------------------------------------------------------------------------------------------
J & J SNACK FOODS CORP COM 466032109 585 16,300 SH SOLE 16,300
------------------------------------------------------------------------------------------------------------------------------------
J.P. MORGAN CHASE & COMPANY COM 46625H100 2,586 75,800 SH SOLE 75,800
------------------------------------------------------------------------------------------------------------------------------------
JOS A BANK CLOTHIERS INC COM 480838101 708 20,560 SH SOLE 20,560
------------------------------------------------------------------------------------------------------------------------------------
KIRKLAND'S INC COM 497498105 759 63,200 SH SOLE 63,200
------------------------------------------------------------------------------------------------------------------------------------
KONINKLIJKE PHLPS ELC -ADR ADR 500472303 1,809 98,200 SH SOLE 98,200
------------------------------------------------------------------------------------------------------------------------------------
KRAFT FOODS INC COM 50075N104 1,679 66,250 SH SOLE 66,250
------------------------------------------------------------------------------------------------------------------------------------
LACLEDE GROUP INC COM 505597104 3,595 108,500 SH SOLE 108,500
------------------------------------------------------------------------------------------------------------------------------------
LANCASTER COLONY CORP COM 513847103 582 13,200 SH SOLE 13,200
------------------------------------------------------------------------------------------------------------------------------------
LAUDER (ESTEE) COS INC
-CL A CLASS A 518439104 4,407 134,900 SH SOLE 134,900
------------------------------------------------------------------------------------------------------------------------------------
LENNOX INTERNATIONAL INC COM 526107107 5,796 180,500 SH SOLE 180,500
------------------------------------------------------------------------------------------------------------------------------------
LIFEPOINT HOSPITALS INC COM 53219L109 5,423 206,600 SH SOLE 206,600
------------------------------------------------------------------------------------------------------------------------------------
LILLY (ELI) & CO COM 532457108 1,067 30,800 SH SOLE 30,800
------------------------------------------------------------------------------------------------------------------------------------
LIMITED BRANDS INC COM 532716107 2,029 169,500 SH SOLE 169,500
------------------------------------------------------------------------------------------------------------------------------------
LINCOLN EDUCATIONAL
SERVICES COM 533535100 655 31,300 SH SOLE 31,300
------------------------------------------------------------------------------------------------------------------------------------
LOCKHEED MARTIN CORP COM 539830109 1,194 14,800 SH SOLE 14,800
------------------------------------------------------------------------------------------------------------------------------------
MACY'S INC COM 55616P104 2,163 183,900 SH SOLE 183,900
------------------------------------------------------------------------------------------------------------------------------------
MADDEN STEVEN LTD COM 556269108 554 21,900 SH SOLE 21,900
------------------------------------------------------------------------------------------------------------------------------------
MANTECH INTL CORP COM 564563104 9,064 210,600 SH SOLE 210,600
------------------------------------------------------------------------------------------------------------------------------------
MARATHON OIL CORP COM 565849106 1,244 41,300 SH SOLE 41,300
------------------------------------------------------------------------------------------------------------------------------------
MARTEN TRANSPORT LTD COM 573075108 571 27,500 SH SOLE 27,500
------------------------------------------------------------------------------------------------------------------------------------
MASCO CORP COM 574599106 1,491 155,600 SH SOLE 155,600
------------------------------------------------------------------------------------------------------------------------------------
MASTERCARD INC COM 57636Q104 1,071 6,400 SH SOLE 6,400
------------------------------------------------------------------------------------------------------------------------------------
MCGRAW-HILL COMPANIES COM 580645109 1,596 53,000 SH SOLE 53,000
------------------------------------------------------------------------------------------------------------------------------------
Page 7 of 10 06/30/2009
FORM 13F INFORMATION TABLE
Name of Reporting Manager: Hennessy Advisors, Inc.
Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: Column 7: Column 8:
------------------------------------------------------------------------------------------------------------------------------------
Title Market
of CUSIP Value Shares or Other
Name of Issuer Class Number (x$1,000) Principal Amount Investment Discretion Mgrs. Voting Authority
------------------------------------------------------------------------------------------------------------------------------------
SH/ Put/ Shared Shared
PRN Call Sole Defined Other Sole Shared None
------------------------------------------------------------------------------------------------------------------------------------
MERCK & CO COM 589331107 6,417 229,510 SH SOLE 229,510
------------------------------------------------------------------------------------------------------------------------------------
MOBILE TELESYSTEMS OJS
-ADR ADR 607409109 2,164 58,600 SH SOLE 58,600
------------------------------------------------------------------------------------------------------------------------------------
MONRO MUFFLER BRAKE INC COM 610236101 5,124 199,300 SH SOLE 199,300
------------------------------------------------------------------------------------------------------------------------------------
MORGAN STANLEY COM 617446448 2,871 100,700 SH SOLE 100,700
------------------------------------------------------------------------------------------------------------------------------------
MOSAIC CO COM 61945A107 1,068 24,100 SH SOLE 24,100
------------------------------------------------------------------------------------------------------------------------------------
MURPHY OIL CORP COM 626717102 1,141 21,000 SH SOLE 21,000
------------------------------------------------------------------------------------------------------------------------------------
NASH FINCH CO COM 631158102 3,063 113,200 SH SOLE 113,200
------------------------------------------------------------------------------------------------------------------------------------
NATIONAL PRESTO INDS INC COM 637215104 5,627 73,940 SH SOLE 73,940
------------------------------------------------------------------------------------------------------------------------------------
NCI INC COM 62886K104 5,816 191,200 SH SOLE 191,200
------------------------------------------------------------------------------------------------------------------------------------
NELNET INC COM 64031N108 4,819 354,600 SH SOLE 354,600
------------------------------------------------------------------------------------------------------------------------------------
NETFLIX INC COM 64110L106 7,028 170,000 SH SOLE 170,000
------------------------------------------------------------------------------------------------------------------------------------
NEW JERSEY RESOURCES CORP COM 646025106 4,782 129,100 SH SOLE 129,100
------------------------------------------------------------------------------------------------------------------------------------
NEWELL RUBBERMAID INC COM 651229106 1,265 121,500 SH SOLE 121,500
------------------------------------------------------------------------------------------------------------------------------------
NOBLE CORP COM H5833N103 1,204 39,800 SH SOLE 39,800
------------------------------------------------------------------------------------------------------------------------------------
NSTAR COM 67019E107 4,473 139,300 SH SOLE 139,300
------------------------------------------------------------------------------------------------------------------------------------
NUCOR CORP COM 670346105 1,191 26,800 SH SOLE 26,800
------------------------------------------------------------------------------------------------------------------------------------
NUSTAR ENERGY LP COM 67058H102 616 11,400 SH SOLE 11,400
------------------------------------------------------------------------------------------------------------------------------------
OCCIDENTAL PETROLEUM CORP COM 674599105 1,165 17,700 SH SOLE 17,700
------------------------------------------------------------------------------------------------------------------------------------
ODYSSEY RE HOLDINGS CORP COM 67612W108 10,763 269,200 SH SOLE 269,200
------------------------------------------------------------------------------------------------------------------------------------
OMNICOM GROUP COM 681919106 1,330 42,100 SH SOLE 42,100
------------------------------------------------------------------------------------------------------------------------------------
OPENTV CORP COM G67543101 33 24,870 SH SOLE 24,870
------------------------------------------------------------------------------------------------------------------------------------
OWENS & MINOR INC COM 690732102 6,262 142,900 SH SOLE 142,900
------------------------------------------------------------------------------------------------------------------------------------
Page 8 of 10 06/30/2009
FORM 13F INFORMATION TABLE
Name of Reporting Manager: Hennessy Advisors, Inc.
Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: Column 7: Column 8:
------------------------------------------------------------------------------------------------------------------------------------
Title Market
of CUSIP Value Shares or Other
Name of Issuer Class Number (x$1,000) Principal Amount Investment Discretion Mgrs. Voting Authority
------------------------------------------------------------------------------------------------------------------------------------
SH/ Put/ Shared Shared
PRN Call Sole Defined Other Sole Shared None
------------------------------------------------------------------------------------------------------------------------------------
P F CHANGS CHINA BISTRO INC COM 69333Y108 596 18,600 SH SOLE 18,600
------------------------------------------------------------------------------------------------------------------------------------
PANERA BREAD CO COM 69840W108 10,909 218,800 SH SOLE 218,800
------------------------------------------------------------------------------------------------------------------------------------
PEET'S COFFEE & TEA INC COM 705560100 596 23,640 SH SOLE 23,640
------------------------------------------------------------------------------------------------------------------------------------
PENTAIR INC COM 709631105 4,463 174,200 SH SOLE 174,200
------------------------------------------------------------------------------------------------------------------------------------
PEP BOYS-MANNY MOE & JACK COM 713278109 622 61,300 SH SOLE 61,300
------------------------------------------------------------------------------------------------------------------------------------
PFIZER INC COM 717081103 5,586 372,370 SH SOLE 372,370
------------------------------------------------------------------------------------------------------------------------------------
PIEDMONT NATURAL GAS CO COM 720186105 8,858 367,400 SH SOLE 367,400
------------------------------------------------------------------------------------------------------------------------------------
PITNEY BOWES INC COM 724479100 2,482 113,200 SH SOLE 113,200
------------------------------------------------------------------------------------------------------------------------------------
PRECISION CASTPARTS CORP COM 740189105 1,271 17,400 SH SOLE 17,400
------------------------------------------------------------------------------------------------------------------------------------
PSS WORLD MEDICAL INC COM 69366A100 4,998 270,000 SH SOLE 270,000
------------------------------------------------------------------------------------------------------------------------------------
RALCORP HOLDINGS INC COM 751028101 6,238 102,400 SH SOLE 102,400
------------------------------------------------------------------------------------------------------------------------------------
RAYMOND JAMES FINANCIAL
CORP COM 754730109 3,094 179,800 SH SOLE 179,800
------------------------------------------------------------------------------------------------------------------------------------
REHABCARE GROUP INC COM 759148109 617 25,800 SH SOLE 25,800
------------------------------------------------------------------------------------------------------------------------------------
RENT-A-CENTER INC COM 76009N100 5,094 285,700 SH SOLE 285,700
------------------------------------------------------------------------------------------------------------------------------------
REYNOLDS AMERICAN INC COM 761713106 1,471 38,100 SH SOLE 38,100
------------------------------------------------------------------------------------------------------------------------------------
RIO TINTO GROUP (GBR) -ADR ADR 767204100 3,998 24,400 SH SOLE 24,400
------------------------------------------------------------------------------------------------------------------------------------
ROCK-TENN CO COM 772739207 599 15,700 SH SOLE 15,700
------------------------------------------------------------------------------------------------------------------------------------
ROCKWELL COLLINS INC COM 774341101 1,331 31,900 SH SOLE 31,900
------------------------------------------------------------------------------------------------------------------------------------
ROSS STORES INC COM 778296103 7,091 183,700 SH SOLE 183,700
------------------------------------------------------------------------------------------------------------------------------------
SAIC INC COM 78390X101 4,840 260,900 SH SOLE 260,900
------------------------------------------------------------------------------------------------------------------------------------
SALLY BEAUTY HOLDINGS INC COM 79546E104 4,382 689,000 SH SOLE 689,000
------------------------------------------------------------------------------------------------------------------------------------
SASOL LTD -ADR ADR 803866300 2,235 64,200 SH SOLE 64,200
------------------------------------------------------------------------------------------------------------------------------------
Page 9 of 10 06/30/2009
FORM 13F INFORMATION TABLE
Name of Reporting Manager: Hennessy Advisors, Inc.
Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: Column 7: Column 8:
------------------------------------------------------------------------------------------------------------------------------------
Title Market
of CUSIP Value Shares or Other
Name of Issuer Class Number (x$1,000) Principal Amount Investment Discretion Mgrs. Voting Authority
------------------------------------------------------------------------------------------------------------------------------------
SH/ Put/ Shared Shared
PRN Call Sole Defined Other Sole Shared None
------------------------------------------------------------------------------------------------------------------------------------
SCHLUMBERGER LTD COM 806857108 1,304 24,100 SH SOLE 24,100
------------------------------------------------------------------------------------------------------------------------------------
SCHWEITZER-MAUDUIT INTL INC COM 808541106 607 22,300 SH SOLE 22,300
------------------------------------------------------------------------------------------------------------------------------------
SMITH (A O) CORP COM 831865209 5,022 154,200 SH SOLE 154,200
------------------------------------------------------------------------------------------------------------------------------------
SNAP-ON INC COM 833034101 3,383 117,700 SH SOLE 117,700
------------------------------------------------------------------------------------------------------------------------------------
SOUTH JERSEY INDUSTRIES INC COM 838518108 4,448 127,500 SH SOLE 127,500
------------------------------------------------------------------------------------------------------------------------------------
SOUTHERN COPPER CORP COM 84265V105 2,639 129,100 SH SOLE 129,100
------------------------------------------------------------------------------------------------------------------------------------
SPARTAN MOTORS INC COM 846819100 613 54,100 SH SOLE 54,100
------------------------------------------------------------------------------------------------------------------------------------
STANLEY INC COM 854532108 4,613 140,300 SH SOLE 140,300
------------------------------------------------------------------------------------------------------------------------------------
STARWOOD HOTELS&RESORTS
WRLD COM 85590A401 2,191 98,700 SH SOLE 98,700
------------------------------------------------------------------------------------------------------------------------------------
STIFEL FINANCIAL CORP COM 860630102 12,426 258,400 SH SOLE 258,400
------------------------------------------------------------------------------------------------------------------------------------
STURM RUGER & CO INC COM 864159108 577 46,400 SH SOLE 46,400
------------------------------------------------------------------------------------------------------------------------------------
SUN LIFE FINANCIAL INC ADR 866796105 2,065 76,700 SH SOLE 76,700
------------------------------------------------------------------------------------------------------------------------------------
SUNOCO LOGISTICS PRTNRS L P COM 86764L108 591 10,900 SH SOLE 10,900
------------------------------------------------------------------------------------------------------------------------------------
SUPERVALU INC COM 868536103 1,814 140,100 SH SOLE 140,100
------------------------------------------------------------------------------------------------------------------------------------
SXC HEALTH SOLUTIONS CORP ADR 78505P100 7,501 295,100 SH SOLE 295,100
------------------------------------------------------------------------------------------------------------------------------------
TAIWAN SEMICONDUCTOR -ADR ADR 874039100 2,217 235,600 SH SOLE 235,600
------------------------------------------------------------------------------------------------------------------------------------
TELEDYNE TECHNOLOGIES INC COM 879360105 3,792 115,800 SH SOLE 115,800
------------------------------------------------------------------------------------------------------------------------------------
TENET HEALTHCARE CORP COM 88033G100 3,097 1,098,400 SH SOLE 1,098,400
------------------------------------------------------------------------------------------------------------------------------------
TETRA TECH INC COM 88162G103 13,549 472,900 SH SOLE 472,900
------------------------------------------------------------------------------------------------------------------------------------
TEXAS INSTRUMENTS INC COM 882508104 1,353 63,500 SH SOLE 63,500
------------------------------------------------------------------------------------------------------------------------------------
TEXAS ROADHOUSE INC COM 882681109 578 53,000 SH SOLE 53,000
------------------------------------------------------------------------------------------------------------------------------------
TEXTRON INC COM 883203101 1,083 112,100 SH SOLE 112,100
------------------------------------------------------------------------------------------------------------------------------------
Page 10 of 10 06/30/2009
FORM 13F INFORMATION TABLE
Name of Reporting Manager: Hennessy Advisors, Inc.
Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: Column 7: Column 8:
------------------------------------------------------------------------------------------------------------------------------------
Title Market
of CUSIP Value Shares or Other
Name of Issuer Class Number (x$1,000) Principal Amount Investment Discretion Mgrs. Voting Authority
------------------------------------------------------------------------------------------------------------------------------------
SH/ Put/ Shared Shared
PRN Call Sole Defined Other Sole Shared None
------------------------------------------------------------------------------------------------------------------------------------
TJX COMPANIES INC COM 872540109 1,277 40,600 SH SOLE 40,600
------------------------------------------------------------------------------------------------------------------------------------
TOTAL SA -ADR ADR 89151E109 1,811 33,400 SH SOLE 33,400
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TREX CO INC COM 89531P105 4,127 308,700 SH SOLE 308,700
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U S BANCORP COM 902973304 982 54,800 SH SOLE 54,800
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UNITED NATURAL FOODS INC COM 911163103 609 23,200 SH SOLE 23,200
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UNITED TECHNOLOGIES CORP COM 913017109 1,283 24,700 SH SOLE 24,700
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USA MOBILITY INC COM 90341G103 610 47,800 SH SOLE 47,800
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VERIZON COMMUNICATIONS COM 92343V104 6,196 201,640 SH SOLE 201,640
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VIASAT INC COM 92552V100 5,410 211,000 SH SOLE 211,000
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VIMPEL COMMUN OJS -ADR ADR 68370R109 2,219 188,500 SH SOLE 188,500
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VSE CORP COM 918284100 3,388 129,500 SH SOLE 129,500
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WESTERN DIGITAL CORP COM 958102105 1,537 58,000 SH SOLE 58,000
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WET SEAL INC -CL A CLASS A 961840105 34 10,940 SH SOLE 10,940
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WEYERHAEUSER CO COM 962166104 1,360 44,700 SH SOLE 44,700
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WORLD FUEL SERVICES CORP COM 981475106 6,246 151,500 SH SOLE 151,500
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ZEP INC COM 98944B108 3,172 263,200 SH SOLE 263,200
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TOTAL 618,149
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