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, 2010
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 October 25, 2010
--------------------------------------------------------------------------------
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: 216
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Form 13F Information Table Value Total: $651,605
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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
------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- -------
ACERGY S A SPONSORED ADR 00443E104 4,421 239,600 SH SOLE 239,600
ADVANCE AMER CASH ADVANCE COM 00739W107 2,485 616,630 SH SOLE 616,630
ADVANCE AUTO PARTS INC COM 00751Y106 4,336 73,900 SH SOLE 73,900
ADVANCED MICRO DEVICES INC COM 007903107 3,578 503,200 SH SOLE 503,200
AIR TRANSPORT SERVICES GRP INC COM 00922R105 652 107,000 SH SOLE 107,000
ALAMO GROUP INC COM 011311107 556 24,900 SH SOLE 24,900
ALASKA AIR GROUP INC COM 011659109 602 11,800 SH SOLE 11,800
ALLIED HEALTHCARE INTL INC COM 01923A109 28 11,090 SH SOLE 11,090
ALTRIA GROUP INC COM 02209S103 5,304 220,800 SH SOLE 220,800
AMERICAN AXLE & MFG HLDGS INC COM 024061103 4,774 529,300 SH SOLE 529,300
AMERICAN INTL GROUP INC COM 026874784 594 15,200 SH SOLE 15,200
AMERICREDIT CORP COM 03060R101 4,794 196,000 SH SOLE 196,000
AMERIGROUP CORP COM 03073T102 4,757 112,000 SH SOLE 112,000
APOLLO GROUP INC COM 037604105 1,232 24,000 SH SOLE 24,000
APPLIED INDL TECHNOLOGIES INC COM 03820C105 4,443 145,200 SH SOLE 145,200
ARVINMERITOR INC COM 043353101 5,223 336,100 SH SOLE 336,100
AT&T INC COM 00206R102 8,177 285,900 SH SOLE 285,900
AUTOLIV INC COM 052800109 4,625 70,800 SH SOLE 70,800
AUTOMATIC DATA PROCESSING INC COM 053015103 2,917 69,400 SH SOLE 69,400
AUTOZONE INC COM 053332102 1,877 8,200 SH SOLE 8,200
BANCO MACRO SA SPON ADR B 05961W105 806 18,100 SH SOLE 18,100
BAXTER INTL INC COM 071813109 1,493 31,300 SH SOLE 31,300
BCE INC COM NEW 05534B760 3,686 113,400 SH SOLE 113,400
BECTON DICKINSON & CO COM 075887109 1,452 19,600 SH SOLE 19,600
BEST BUY INC COM 086516101 1,307 32,000 SH SOLE 32,000
BIG 5 SPORTING GOODS CORP COM 08915P101 2,976 221,730 SH SOLE 221,730
BOEING CO COM 097023105 4,558 68,500 SH SOLE 68,500
BORGWARNER INC COM 099724106 4,757 90,400 SH SOLE 90,400
BP PLC SPONSORED ADR 055622104 2,157 52,400 SH SOLE 52,400
BRASKEM S A SP ADR PFD A 105532105 5,116 249,200 SH SOLE 249,200
BRISTOL MYERS SQUIBB CO COM 110122108 4,758 175,500 SH SOLE 175,500
BROWN SHOE INC NEW COM 115736100 384 33,500 SH SOLE 33,500
BRUNSWICK CORP COM 117043109 5,211 342,400 SH SOLE 342,400
BUCYRUS INTL INC NEW COM 118759109 4,841 69,800 SH SOLE 69,800
CALLON PETE CO DEL COM 13123X102 452 91,300 SH SOLE 91,300
CALUMET SPECIALTY PRODS PTNRS UT LTD PARTNER 131476103 3,812 193,300 SH SOLE 193,300
CAMPBELL SOUP CO COM 134429109 4,698 131,400 SH SOLE 131,400
CARDINAL HEALTH INC COM 14149Y108 1,374 41,600 SH SOLE 41,600
CARDTRONICS INC COM 14161H108 5,467 354,300 SH SOLE 354,300
CARMAX INC COM 143130102 5,073 182,100 SH SOLE 182,100
CASCADE CORP COM 147195101 455 14,300 SH SOLE 14,300
CHEVRON CORP NEW COM 166764100 8,616 106,300 SH SOLE 106,300
CHINA MOBILE LIMITED SPONSORED ADR 16941M109 3,272 64,000 SH SOLE 64,000
CIGNA CORP COM 125509109 5,582 156,000 SH SOLE 156,000
CLEARWATER PAPER CORP COM 18538R103 723 9,500 SH SOLE 9,500
CLOROX CO DEL COM 189054109 1,556 23,300 SH SOLE 23,300
COCA COLA CO COM 191216100 2,434 41,600 SH SOLE 41,600
COMMERCIAL VEH GROUP INC COM 202608105 487 47,800 SH SOLE 47,800
COMPANHIA BRASILEIRA DE DIST SPN ADR PFD CL A 20440T201 3,741 54,200 SH SOLE 54,200
COMPLETE PRODUCTION SERVICES COM 20453E109 4,131 202,000 SH SOLE 202,000
CONAGRA FOODS INC COM 205887102 2,911 132,700 SH SOLE 132,700
CONSOL ENERGY INC COM 20854P109 1,268 34,300 SH SOLE 34,300
CONSOLIDATED GRAPHICS INC COM 209341106 502 12,100 SH SOLE 12,100
COOPER COS INC COM 216648402 4,913 106,300 SH SOLE 106,300
COTT CORP QUE COM 22163N106 3,483 443,700 SH SOLE 443,700
CROCS INC COM 227046109 5,485 421,600 SH SOLE 421,600
CROWN HOLDINGS INC COM 228368106 1,582 55,200 SH SOLE 55,200
DCP MIDSTREAM PARTNERS LP COM 23311P100 4,904 146,400 SH SOLE 146,400
DIAGEO P L C SPON ADR NEW 25243Q205 2,974 43,100 SH SOLE 43,100
DIAMOND MGMT & TECHNOLOGY COM 25269L106 639 51,100 SH SOLE 51,100
DIAMOND OFFSHORE DRILLING INC COM 25271C102 1,193 17,600 SH SOLE 17,600
DIRECTV COM 25490A101 1,715 41,200 SH SOLE 41,200
DISH NETWORK CORP COM 25470M109 1,293 67,500 SH SOLE 67,500
DOLLAR TREE INC COM 256746108 6,178 126,700 SH SOLE 126,700
DONNELLEY R R & SONS CO COM 257867101 2,308 136,100 SH SOLE 136,100
DOT HILL SYSTEMS CORP COM 25848T109 24 17,310 SH SOLE 17,310
DRUGSTORE.COM INC COM 262241102 21 10,700 SH SOLE 10,700
DU PONT E I DE NEMOURS & CO COM 263534109 9,765 218,850 SH SOLE 218,850
DYNAVAX TECHNOLOGIES CORP COM 268158102 36 19,840 SH SOLE 19,840
EATON CORP COM 278058102 3,836 46,500 SH SOLE 46,500
EMERSON ELEC CO COM 291011104 3,707 70,400 SH SOLE 70,400
ENCORE CAP GROUP INC COM 292554102 3,690 204,800 SH SOLE 204,800
ENI S P A SPONSORED ADR 26874R108 2,608 60,400 SH SOLE 60,400
ENTERPRISE GP HLDGS L P COM 293716106 693 11,800 SH SOLE 11,800
ESTERLINE TECHNOLOGIES CORP COM 297425100 630 11,000 SH SOLE 11,000
F M C CORP COM 302491303 1,594 23,300 SH SOLE 23,300
FAMILY DLR STORES INC COM 307000109 6,068 137,400 SH SOLE 137,400
FERRO CORP COM 315405100 4,484 347,900 SH SOLE 347,900
FLOWSERVE CORP COM 34354P105 1,401 12,800 SH SOLE 12,800
FLUOR CORP NEW COM 343412102 1,412 28,500 SH SOLE 28,500
FORD MTR CO DEL COM 345370860 4,990 407,700 SH SOLE 407,700
FOREST LABS INC COM 345838106 1,701 55,000 SH SOLE 55,000
FREEPORT-MCMORAN COPPER & GO COM 35671D857 1,665 19,500 SH SOLE 19,500
FRONTIER COMMUNICATIONS CORP COM 35906A108 364 44,600 SH SOLE 44,600
GAP INC DEL COM 364760108 1,102 59,100 SH SOLE 59,100
GARDNER DENVER INC COM 365558105 617 11,500 SH SOLE 11,500
GENCORP INC COM 368682100 2,152 437,300 SH SOLE 437,300
GENERAL MLS INC COM 370334104 1,564 42,800 SH SOLE 42,800
GLAXOSMITHKLINE PLC SPONSORED ADR 37733W105 2,782 70,400 SH SOLE 70,400
GLOBAL CASH ACCESS HLDGS INC COM 378967103 1,996 489,200 SH SOLE 489,200
GSI COMMERCE INC COM 36238G102 3,875 156,900 SH SOLE 156,900
HEALTHSPRING INC COM 42224N101 4,840 187,300 SH SOLE 187,300
HEINZ H J CO COM 423074103 4,865 102,700 SH SOLE 102,700
HERSHEY CO COM 427866108 3,969 83,400 SH SOLE 83,400
HHGREGG INC COM 42833L108 4,335 175,100 SH SOLE 175,100
HILL ROM HLDGS INC COM 431475102 646 18,000 SH SOLE 18,000
HOME DEPOT INC COM 437076102 7,176 226,500 SH SOLE 226,500
HONEYWELL INTL INC COM 438516106 1,393 31,700 SH SOLE 31,700
HSN INC COM 404303109 4,273 142,900 SH SOLE 142,900
HUMANA INC COM 444859102 1,713 34,100 SH SOLE 34,100
HUNTSMAN CORP COM 447011107 4,281 370,300 SH SOLE 370,300
IDT CORP COM 448947507 1,005 56,500 SH SOLE 56,500
INERGY HLDGS L P COM 45661Q107 650 21,500 SH SOLE 21,500
INTEL CORP COM 458140100 5,474 284,650 SH SOLE 284,650
INTERFACE INC COM 458665106 657 46,200 SH SOLE 46,200
INTERNATIONAL BUSINESS MACHS COM 459200101 1,543 11,500 SH SOLE 11,500
JO-ANN STORES INC COM 47758P307 9,315 209,100 SH SOLE 209,100
JOE'S JEANS INC COM 47777N101 37 17,620 SH SOLE 17,620
JOHNSON & JOHNSON COM 478160104 5,381 86,850 SH SOLE 86,850
JONES LANG LASALLE INC COM 48020Q107 4,572 53,000 SH SOLE 53,000
JOY GLOBAL INC COM 481165108 1,730 24,600 SH SOLE 24,600
KAPSTONE PAPER & PACKAGING CRP COM 48562P103 5,693 468,940 SH SOLE 468,940
KELLOGG CO COM 487836108 1,434 28,400 SH SOLE 28,400
KIMBERLY CLARK CORP COM 494368103 4,612 70,900 SH SOLE 70,900
KIRKLANDS INC COM 497498105 3,258 235,070 SH SOLE 235,070
KNOLOGY INC COM 499183804 4,795 357,000 SH SOLE 357,000
KRAFT FOODS INC COM 50075N104 8,400 272,200 SH SOLE 272,200
KRISPY KREME DOUGHNUTS INC COM 501014104 48 10,550 SH SOLE 10,550
LA Z BOY INC COM 505336107 3,243 384,300 SH SOLE 384,300
LABORATORY CORP AMER HLDGS COM 50540R409 1,506 19,200 SH SOLE 19,200
LEXMARK INTL NEW COM 529771107 4,591 102,900 SH SOLE 102,900
LIBBEY INC COM 529898108 547 41,500 SH SOLE 41,500
LIBERTY GLOBAL INC COM 530555101 1,670 54,200 SH SOLE 54,200
LIFETIME BRANDS INC COM 53222Q103 533 35,300 SH SOLE 35,300
LILLY ELI & CO COM 532457108 1,556 42,600 SH SOLE 42,600
LIMITED BRANDS INC COM 532716107 4,167 155,600 SH SOLE 155,600
LIONBRIDGE TECHNOLOGIES INC COM 536252109 479 111,400 SH SOLE 111,400
LOCKHEED MARTIN CORP COM 539830109 3,999 56,100 SH SOLE 56,100
LORAL SPACE & COMMUNICATNS INC COM 543881106 699 13,400 SH SOLE 13,400
LORILLARD INC COM 544147101 1,542 19,200 SH SOLE 19,200
LUBRIZOL CORP COM 549271104 6,061 57,200 SH SOLE 57,200
LUMBER LIQUIDATORS HLDGS INC COM 55003T107 3,504 142,600 SH SOLE 142,600
M & F WORLDWIDE CORP COM 552541104 2,686 110,300 SH SOLE 110,300
MACQUARIE INFRASTR CO LLC COM 55608B105 622 40,100 SH SOLE 40,100
MAGELLAN HEALTH SVCS INC COM 559079207 4,549 96,300 SH SOLE 96,300
MARATHON OIL CORP COM 565849106 3,151 95,200 SH SOLE 95,200
MARSH & MCLENNAN COS INC COM 571748102 3,271 135,600 SH SOLE 135,600
MASSEY ENERGY COMPANY COM 576206106 2,978 96,000 SH SOLE 96,000
MATTEL INC COM 577081102 4,964 211,600 SH SOLE 211,600
MCDONALDS CORP COM 580135101 7,313 98,150 SH SOLE 98,150
MCGRAW HILL COS INC COM 580645109 1,461 44,200 SH SOLE 44,200
MEADWESTVACO CORP COM 583334107 2,606 106,900 SH SOLE 106,900
MEDIA GEN INC COM 584404107 465 51,900 SH SOLE 51,900
MERCK & CO INC NEW COM 58933Y105 7,841 213,000 SH SOLE 213,000
MOBILE TELESYSTEMS OJSC SPONSORED ADR 607409109 3,235 152,400 SH SOLE 152,400
MOODYS CORP COM 615369105 1,494 59,800 SH SOLE 59,800
NACCO INDS INC COM 629579103 507 5,800 SH SOLE 5,800
NEENAH PAPER INC COM 640079109 436 28,700 SH SOLE 28,700
NETWORK ENGINES INC COM 64121A107 32 21,700 SH SOLE 21,700
NEWMARKET CORP COM 651587107 3,831 33,700 SH SOLE 33,700
NOKIA CORP SPONSORED ADR 654902204 2,370 236,300 SH SOLE 236,300
NU SKIN ENTERPRISES INC COM 67018T105 3,819 132,600 SH SOLE 132,600
NUCOR CORP COM 670346105 2,563 67,100 SH SOLE 67,100
OMNOVA SOLUTIONS INC COM 682129101 3,962 550,990 SH SOLE 550,990
OWENS CORNING NEW COM 690742101 446 17,400 SH SOLE 17,400
PACER INTL INC TENN COM 69373H106 471 77,900 SH SOLE 77,900
PATRIOT COAL CORP COM 70336T104 3,269 286,500 SH SOLE 286,500
PFIZER INC COM 717081103 7,851 457,250 SH SOLE 457,250
PHILIP MORRIS INTL INC COM 718172109 5,109 91,200 SH SOLE 91,200
PITNEY BOWES INC COM 724479100 2,754 128,800 SH SOLE 128,800
POLYONE CORP COM 73179P106 4,609 381,200 SH SOLE 381,200
POWER ONE INC NEW COM 73930R102 684 75,300 SH SOLE 75,300
PPG INDS INC COM 693506107 3,706 50,900 SH SOLE 50,900
PROVIDENCE SVC CORP COM 743815102 4,111 250,800 SH SOLE 250,800
QUAKER CHEM CORP COM 747316107 628 19,300 SH SOLE 19,300
RAYTHEON CO COM 755111507 1,179 25,800 SH SOLE 25,800
REGENCY ENERGY PARTNERS L P COM 75885Y107 4,654 190,100 SH SOLE 190,100
REVLON INC COM 761525609 2,518 199,500 SH SOLE 199,500
REYNOLDS AMERICAN INC COM 761713106 3,290 55,400 SH SOLE 55,400
ROCKWOOD HLDGS INC COM 774415103 4,349 138,200 SH SOLE 138,200
ROSS STORES INC COM 778296103 1,420 26,000 SH SOLE 26,000
ROYAL DUTCH SHELL PLC SPONS ADR A 780259206 3,057 50,700 SH SOLE 50,700
SAIC INC COM 78390X101 1,318 82,500 SH SOLE 82,500
SANMINA SCI CORP COM 800907206 5,283 437,300 SH SOLE 437,300
SARA LEE CORP COM 803111103 3,309 246,400 SH SOLE 246,400
SCHWEITZER-MAUDUIT INTL INC COM 808541106 3,481 59,700 SH SOLE 59,700
SELECT COMFORT CORP COM 81616X103 401 59,100 SH SOLE 59,100
SINCLAIR BROADCAST GROUP INC CL A 829226109 592 84,300 SH SOLE 84,300
SKECHERS U S A INC COM 830566105 329 14,000 SH SOLE 14,000
STANDEX INTL CORP COM 854231107 508 21,000 SH SOLE 21,000
SXC HEALTH SOLUTIONS CORP COM 78505P100 5,500 150,806 SH SOLE 150,806
SYSCO CORP COM 871829107 4,446 155,900 SH SOLE 155,900
TAIWAN SEMICONDUCTOR MFG LTD SPONSORED ADR 874039100 2,685 264,800 SH SOLE 264,800
TECH DATA CORP COM 878237106 3,494 86,700 SH SOLE 86,700
TELEFONICA S A SPONSORED ADR 879382208 2,655 35,800 SH SOLE 35,800
TELVENT GIT SA SHS E90215109 2,466 109,000 SH SOLE 109,000
TENNANT CO COM 880345103 501 16,200 SH SOLE 16,200
TENNECO INC COM 880349105 4,519 156,000 SH SOLE 156,000
TIM PARTICIPACOES S A SPONS ADR PFD 88706P106 4,299 130,300 SH SOLE 130,300
TJX COS INC NEW COM 872540109 1,410 31,600 SH SOLE 31,600
TORO CO COM 891092108 4,330 77,000 SH SOLE 77,000
TOTAL S A SPONSORED ADR 89151E109 2,487 48,200 SH SOLE 48,200
TRACTOR SUPPLY CO COM 892356106 4,519 113,936 SH SOLE 113,936
TRIMAS CORP COM 896215209 711 47,900 SH SOLE 47,900
TRW AUTOMOTIVE HLDGS CORP COM 87264S106 5,723 137,700 SH SOLE 137,700
U S AIRWAYS GROUP INC COM 90341W108 4,958 536,000 SH SOLE 536,000
UAL CORP COM 902549807 5,241 221,800 SH SOLE 221,800
ULTA SALON COSMETCS & FRAG INC COM 90384S303 11,073 379,200 SH SOLE 379,200
ULTRA CLEAN HLDGS INC COM 90385V107 546 63,300 SH SOLE 63,300
UNISYS CORP COM 909214306 3,136 112,400 SH SOLE 112,400
UNITED PARCEL SERVICE INC COM 911312106 3,381 50,700 SH SOLE 50,700
UNIVERSAL AMERICAN CORP COM 913377107 527 35,700 SH SOLE 35,700
VALASSIS COMMUNICATIONS INC COM 918866104 4,928 145,400 SH SOLE 145,400
VERIZON COMMUNICATIONS INC COM 92343V104 8,130 249,450 SH SOLE 249,450
VIRGIN MEDIA INC COM 92769L101 5,145 223,500 SH SOLE 223,500
VIVO PARTICIPACOES S A SPON ADR PFD NEW 92855S200 3,114 114,600 SH SOLE 114,600
VODAFONE GROUP PLC NEW SPONS ADR NEW 92857W209 3,263 131,500 SH SOLE 131,500
WASTE MGMT INC DEL COM 94106L109 3,188 89,200 SH SOLE 89,200
WESTELL TECH INC CL A 957541105 54 23,580 SH SOLE 23,580
WESTERN DIGITAL CORP COM 958102105 985 34,700 SH SOLE 34,700
WHIRLPOOL CORP COM 963320106 470 5,800 SH SOLE 5,800
WILLIAMS SONOMA INC COM 969904101 4,438 140,000 SH SOLE 140,000
WYNDHAM WORLDWIDE CORP COM 98310W108 4,313 157,000 SH SOLE 157,000
XL GROUP PLC SHS G98290102 4,321 199,500 SH SOLE 199,500
YUM BRANDS INC COM 988498101 1,598 34,700 SH SOLE 34,700
ZIONS BANCORPORATION COM 989701107 502 23,500 SH SOLE 23,500
TOTAL 651,605