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, 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 October 31, 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: 210
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Form 13F Information Table Value Total: $520,492
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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 6,908 242,200 SH SOLE 242,200
AAR CORP COM 000361105 307 18,400 SH SOLE 18,400
AARON'S INC COM PAR $0.50 002535300 513 20,300 SH SOLE 20,300
ABBOTT LABORATORIES COM 002824100 2,322 45,400 SH SOLE 45,400
ADVANCE AUTO PARTS INC COM 00751Y106 6,205 106,800 SH SOLE 106,800
AETNA INC COM 00817Y108 1,425 39,200 SH SOLE 39,200
AIR TRANSPORT SERVICES GROUP COM 00922R105 1,913 441,700 SH SOLE 441,700
ALTRA HOLDINGS INC COM 02208R106 257 22,250 SH SOLE 22,250
ALTRIA GROUP INC COM 02209S103 2,373 88,500 SH SOLE 88,500
AMC NETWORKS CL A 00164V103 381 11,925 SH SOLE 11,925
AMERCO COM 023586100 2,105 33,700 SH SOLE 33,700
AMERIGROUP CORP COM 03073T102 5,173 132,600 SH SOLE 132,600
AMTRUST FINANCIAL SERVICES COM 032359309 528 23,700 SH SOLE 23,700
ANN, INC COM 035623107 3,008 131,700 SH SOLE 131,700
APOLLO GROUP INC CL A 037604105 1,588 40,100 SH SOLE 40,100
APPLIED INDUSTRIAL TECH INC COM 03820C105 4,397 161,900 SH SOLE 161,900
APPLIED MATERIALS INC COM 038222105 1,164 112,400 SH SOLE 112,400
ASHFORD HOSPITALITY TRUST COM SHS 044103109 2,429 346,000 SH SOLE 346,000
ATLAS PIPELINE HOLDINGS LP COM UNITS LP 04930A104 4,427 238,400 SH SOLE 238,400
ATLAS PIPELINE PARTNER LP UNIT L P INT 049392103 4,239 141,900 SH SOLE 141,900
AUTOLIV INC COM 052800109 4,879 100,600 SH SOLE 100,600
AUTOMATIC DATA PROCESSING COM 053015103 2,268 48,100 SH SOLE 48,100
AUTONATION INC COM 05329W102 469 14,300 SH SOLE 14,300
AXCELIS TECHNOLOGIES INC COM 054540109 15 12,400 SH SOLE 12,400
BCE INC COM NEW 05534B760 2,495 66,600 SH SOLE 66,600
BEST BUY CO INC COM 086516101 1,284 55,100 SH SOLE 55,100
BOEING CO COM 097023105 1,283 21,200 SH SOLE 21,200
BORGWARNER INC COM 099724106 9,291 153,500 SH SOLE 153,500
BRISTOL MYERS SQUIBB COM 110122108 2,605 83,000 SH SOLE 83,000
BUCKEYE TECHNOLOGIES INC COM 118255108 4,050 168,000 SH SOLE 168,000
CABELAS INC COM 126804301 420 20,500 SH SOLE 20,500
CABLEVISION SYS CORP CL A NY CABLVS 12686C109 562 35,700 SH SOLE 35,700
CAMPBELL SOUP CO COM 134429109 3,651 112,800 SH SOLE 112,800
CASCADE CORP COM 147195101 351 10,500 SH SOLE 10,500
CASH AMERICA INTL INC COM 14754D100 504 9,850 SH SOLE 9,850
CBS CORP CL B 124857202 413 20,250 SH SOLE 20,250
CENTURYLINK INC COM 156700106 1,709 51,600 SH SOLE 51,600
CHEVRON CORP COM 166764100 6,574 71,000 SH SOLE 71,000
CHICOS FAS INC COM 168615102 411 36,000 SH SOLE 36,000
CHINA MOBILE LTD SPONSORED ADR 16941M109 2,075 42,600 SH SOLE 42,600
CIGNA CORP COM 125509109 1,472 35,100 SH SOLE 35,100
CIMAREX ENERGY CO COM 171798101 1,008 18,100 SH SOLE 18,100
CLIFFS NATURAL RESOURCES INC COM 18683K101 1,003 19,600 SH SOLE 19,600
COMMERCIAL VEHICLE GROUP INC COM 202608105 1,322 201,200 SH SOLE 201,200
COMP SIDERURGICA NAC SPONSORED ADR 20440W105 1,021 128,600 SH SOLE 128,600
COMPLETE PRODUCTION SERVICES COM 20453E109 4,245 225,200 SH SOLE 225,200
CONAGRA FOODS INC COM 205887102 2,449 101,100 SH SOLE 101,100
CONOCOPHILLIPS COM 20825C104 2,229 35,200 SH SOLE 35,200
CORN PRODUCTS INTL INC COM 219023108 392 10,000 SH SOLE 10,000
COST PLUS INC COM 221485105 2,158 342,600 SH SOLE 342,600
COVENTRY HEALTH CARE INC COM 222862104 439 15,250 SH SOLE 15,250
CPI CORP COM 125902106 765 123,400 SH SOLE 123,400
CROCS INC COM 227046109 8,520 359,800 SH SOLE 359,800
CROSSTEX ENERGY INC COM 22765Y104 585 43,400 SH SOLE 43,400
CVR ENERGY INC COM 12662P108 450 21,300 SH SOLE 21,300
DDI CORP COM 0.0001 NEW 233162502 2,215 305,950 SH SOLE 305,950
DELL INC COM 24702R101 1,417 100,200 SH SOLE 100,200
DFC GLOBAL CORP COM 23324T107 558 25,550 SH SOLE 25,550
DIAGEO PLC SPON ADR NEW 25243Q205 2,225 29,300 SH SOLE 29,300
DIAMOND OFFSHRE DRILLING INC COM 25271C102 1,314 24,000 SH SOLE 24,000
DILLARDS INC CL A 254067101 4,626 106,400 SH SOLE 106,400
DINEEQUITY INC COM 254423106 2,444 63,500 SH SOLE 63,500
DIRECTV COM CL A 25490A101 1,433 33,900 SH SOLE 33,900
DISH NETWORK CORP CL A 25470M109 1,888 75,350 SH SOLE 75,350
DOLLAR TREE INC COM 256746108 7,559 100,600 SH SOLE 100,600
DOMINO'S PIZZA INC COM 25754A201 597 21,900 SH SOLE 21,900
DSW INC CL A 23334L102 476 10,300 SH SOLE 10,300
DU PONT (E I) DE NEMOURS COM 263534109 5,976 149,500 SH SOLE 149,500
DYCOM INDUSTRIES INC COM 267475101 496 32,400 SH SOLE 32,400
EASTMAN CHEMICAL CO COM 277432100 1,083 15,800 SH SOLE 15,800
EDUCATION MANAGEMENT CORP COM 28140M103 318 21,400 SH SOLE 21,400
EMCORE CORP COM 290846104 15 15,360 SH SOLE 15,360
ENI SPA SPONSORED ADR 26874R108 1,732 49,300 SH SOLE 49,300
ENPRO INDUSTRIES INC COM 29355X107 338 11,400 SH SOLE 11,400
ENTERPRISE PRODS PRTNER -LP COM 293792107 2,028 50,500 SH SOLE 50,500
EXXON MOBIL CORP COM 30231G102 1,503 20,700 SH SOLE 20,700
FAMILY DOLLAR STORES COM 307000109 5,645 111,000 SH SOLE 111,000
FERRO CORP COM 315405100 2,386 387,900 SH SOLE 387,900
FINISH LINE INC CL A 317923100 496 24,800 SH SOLE 24,800
FOOT LOCKER INC COM 344849104 482 24,000 SH SOLE 24,000
FOREST LABORATORIES COM 345838106 1,536 49,900 SH SOLE 49,900
FRANCE TELECOM SPONSORED ADR 35177Q105 1,563 95,500 SH SOLE 95,500
FREEPORT-MCMORAN COP&GOLD COM 35671D857 1,057 34,700 SH SOLE 34,700
GAP INC COM 364760108 1,190 73,300 SH SOLE 73,300
GENERAL COMMUNICATION CL A 369385109 2,321 283,000 SH SOLE 283,000
GENERAL DYNAMICS CORP COM 369550108 1,274 22,400 SH SOLE 22,400
GENERAL ELECTRIC CO. COM 369604103 3,460 227,350 SH SOLE 227,350
GENERAL MILLS INC COM 370334104 4,007 104,100 SH SOLE 104,100
GENESCO INC COM 371532102 531 10,300 SH SOLE 10,300
GILEAD SCIENCES INC COM 375558103 1,595 41,100 SH SOLE 41,100
GLAXOSMITHKLINE PLC SPONSORED ADR 37733W105 2,300 55,700 SH SOLE 55,700
GOODYEAR TIRE & RUBBER CO COM 382550101 316 31,300 SH SOLE 31,300
GRACE (W R) & CO COM 38388F108 405 12,150 SH SOLE 12,150
GREENBRIER COMPANIES INC COM 393657101 1,795 154,100 SH SOLE 154,100
GRUPO FINANCIERO GALICIA SP ADR 10 SH B 399909100 1,889 228,100 SH SOLE 228,100
HARRIS CORP COM 413875105 1,172 34,300 SH SOLE 34,300
HCA HOLDINGS INC COM 40412C101 978 48,500 SH SOLE 48,500
HEALTHSPRING INC COM 42224N101 8,061 221,100 SH SOLE 221,100
HEINZ (H J) CO COM 423074103 2,292 45,400 SH SOLE 45,400
HEWLETT-PACKARD CO COM 428236103 916 40,800 SH SOLE 40,800
HOLLYFRONTIER CORP COM 436106108 409 15,600 SH SOLE 15,600
HSN INC COM 404303109 5,278 159,300 SH SOLE 159,300
HUMANA INC COM 444859102 1,556 21,400 SH SOLE 21,400
IDT CORP CL B NEW 448947507 2,499 122,500 SH SOLE 122,500
INNOPHOS HOLDINGS INC COM 45774N108 453 11,350 SH SOLE 11,350
INNOSPEC INC COM 45768S105 3,927 162,200 SH SOLE 162,200
INTEL CORP COM 458140100 8,828 413,800 SH SOLE 413,800
INTERFACE INC CL A 458665106 2,691 226,900 SH SOLE 226,900
INTL BUSINESS MACHINES CORP COM 459200101 1,731 9,900 SH SOLE 9,900
IPASS INC COM 46261V108 27 22,080 SH SOLE 22,080
ISTAR FINANCIAL INC COM 45031U101 2,943 505,600 SH SOLE 505,600
JOHNSON & JOHNSON COM 478160104 7,022 110,250 SH SOLE 110,250
JONES LANG LASALLE INC COM 48020Q107 3,062 59,100 SH SOLE 59,100
KELLOGG CO COM 487836108 2,383 44,800 SH SOLE 44,800
KEMET CORP COM NEW 488360207 1,961 274,200 SH SOLE 274,200
KIMBERLY-CLARK CORP COM 494368103 4,253 59,900 SH SOLE 59,900
KRAFT FOODS INC CL A 50075N104 6,572 195,700 SH SOLE 195,700
KRISPY KREME DOUGHNUTS INC COM 501014104 3,325 487,590 SH SOLE 487,590
KT CORP SPONSORED ADR 48268K101 1,474 99,700 SH SOLE 99,700
LAM RESEARCH CORP COM 512807108 1,348 35,500 SH SOLE 35,500
LEXMARK INTL INC CL A 529771107 3,103 114,800 SH SOLE 114,800
LIBBEY INC COM 529898108 2,571 243,900 SH SOLE 243,900
LILLY (ELI) & CO COM 532457108 3,952 106,900 SH SOLE 106,900
LIMITED BRANDS INC COM 532716107 1,540 40,000 SH SOLE 40,000
LITHIA MOTORS INC CL A 536797103 400 27,800 SH SOLE 27,800
LOCKHEED MARTIN CORP COM 539830109 3,821 52,600 SH SOLE 52,600
LSB INDUSTRIES INC COM 502160104 364 12,700 SH SOLE 12,700
MACQUARIE INFRASTRUCT CO LLC MEMBERSHIP INT 55608B105 476 21,200 SH SOLE 21,200
MAGELLAN HEALTH SERVICES INC COM NEW 559079207 5,187 107,400 SH SOLE 107,400
MAGNETEK INC COM 559424106 15 16,280 SH SOLE 16,280
MARSH & MCLENNAN COS COM 571748102 2,278 85,800 SH SOLE 85,800
MATERION CORP COM 576690101 2,084 91,900 SH SOLE 91,900
MATTEL INC COM 577081102 4,044 156,200 SH SOLE 156,200
MCDONALD'S CORPORATION COM 580135101 2,924 33,300 SH SOLE 33,300
MEDCATH CORP COM 58404W109 3,637 262,060 SH SOLE 262,060
MENS WEARHOUSE INC COM 587118100 434 16,650 SH SOLE 16,650
MERCER INTL INC COM 588056101 3,534 519,700 SH SOLE 519,700
MERCK & CO COM 58933Y105 6,810 208,250 SH SOLE 208,250
MERITOR INC COM 59001K100 2,352 333,100 SH SOLE 333,100
METROPCS COMMUNICATIONS INC COM 591708102 286 32,900 SH SOLE 32,900
MICROSOFT CORP COM 594918104 1,645 66,100 SH SOLE 66,100
MOBILE TELESYSTEMS - SP ADR SPONSORED ADR 607409109 1,256 102,100 SH SOLE 102,100
MRV COMMUNICATIONS INC COM 553477100 24 19,310 SH SOLE 19,310
MUELLER INDUSTRIES COM 624756102 473 12,250 SH SOLE 12,250
NACCO INDUSTRIES CL A 629579103 2,086 32,900 SH SOLE 32,900
NEWCASTLE INVESTMENT CORP COM 65105M108 2,426 596,100 SH SOLE 596,100
NEWMONT MINING CORP COM 651639106 1,977 31,400 SH SOLE 31,400
NEWPORT CORP COM 651824104 2,232 206,500 SH SOLE 206,500
NOKIA CORP SPONSORED ADR 654902204 1,200 212,000 SH SOLE 212,000
NORDSTROM INC COM 655664100 1,571 34,400 SH SOLE 34,400
OPNEXT INC COM 68375V105 13 10,710 SH SOLE 10,710
OXFORD INDUSTRIES INC COM 691497309 527 15,350 SH SOLE 15,350
PENSKE AUTOMOTIVE GROUP INC COM 70959W103 381 23,800 SH SOLE 23,800
PETROCHINA CO LTD SPONSORED ADR 71646E100 2,036 16,900 SH SOLE 16,900
PFIZER INC COM 717081103 7,091 401,100 SH SOLE 401,100
PHILIP MORRIS INTERNATIONAL COM 718172109 2,296 36,800 SH SOLE 36,800
PIER 1 IMPORTS INC/DE COM 720279108 3,274 334,800 SH SOLE 334,800
PITNEY BOWES INC COM 724479100 1,762 93,700 SH SOLE 93,700
POLYONE CORP COM 73179P106 4,581 427,700 SH SOLE 427,700
POWER-ONE INC COM 73930R102 1,426 316,800 SH SOLE 316,800
PRICESMART INC COM 741511109 6,269 100,600 SH SOLE 100,600
PROCTER & GAMBLE CO COM 742718109 3,443 54,500 SH SOLE 54,500
PROGRESSIVE CORP-OHIO COM 743315103 1,392 78,400 SH SOLE 78,400
QUAKER CHEMICAL CORP COM 747316107 2,236 86,260 SH SOLE 86,260
QUIKSILVER INC COM 74838C106 2,119 694,700 SH SOLE 694,700
RAYTHEON CO COM NEW 755111507 3,310 81,000 SH SOLE 81,000
ROCHE HOLDING LTD ADR 771195104 2,425 60,300 SH SOLE 60,300
ROCKWOOD HOLDINGS INC COM 774415103 5,520 163,850 SH SOLE 163,850
ROYAL DUTCH SHELL PLC SPONS ADR A 780259206 2,055 33,400 SH SOLE 33,400
RUBY TUESDAY INC COM 781182100 1,848 258,100 SH SOLE 258,100
SALLY BEAUTY HOLDINGS INC COM 79546E104 530 31,900 SH SOLE 31,900
SANOFI-AVENTIS SPONSORED ADR 80105N105 2,132 65,000 SH SOLE 65,000
SAUER-DANFOSS INC COM 804137107 3,243 112,200 SH SOLE 112,200
SONIC AUTOMOTIVE INC CL A 83545G102 408 37,850 SH SOLE 37,850
STATOIL ASA SPONSORED ADR 85771P102 2,215 102,800 SH SOLE 102,800
SUNOPTA INC COM 8676EP108 2,314 469,300 SH SOLE 469,300
SYKES ENTERPRISES INC COM 871237103 410 27,400 SH SOLE 27,400
SYSCO CORP COM 871829107 3,351 129,400 SH SOLE 129,400
TAIWAN SEMICONDUCTOR SPONSORED ADR 874039100 2,259 197,600 SH SOLE 197,600
TELEFONICA SA SPONSORED ADR 879382208 1,700 88,900 SH SOLE 88,900
TENNECO INC COM 880349105 6,641 259,300 SH SOLE 259,300
TEXAS INSTRUMENTS INC COM 882508104 1,279 48,000 SH SOLE 48,000
TIMKEN CO COM 887389104 3,463 105,500 SH SOLE 105,500
TITAN INTERNATIONAL INC COM 88830M102 2,853 190,200 SH SOLE 190,200
TJX COMPANIES INC COM 872540109 1,742 31,400 SH SOLE 31,400
TORO CO COM 891092108 4,232 85,900 SH SOLE 85,900
TOTAL SA SPONSORED ADR 89151E109 1,786 40,700 SH SOLE 40,700
TPC GROUP INC COM 89236Y104 2,797 139,300 SH SOLE 139,300
TRACTOR SUPPLY CO COM 892356106 13,019 208,200 SH SOLE 208,200
TRAVELERS COS INC / THE COM 89417E109 1,243 25,500 SH SOLE 25,500
TRIMAS CORP COM NEW 896215209 2,663 179,300 SH SOLE 179,300
TRW AUTOMOTIVE HOLDINGS CORP COM 87264S106 7,531 230,100 SH SOLE 230,100
TUESDAY MORNING CORP COM NEW 899035505 2,250 639,300 SH SOLE 639,300
ULTA SALON COSMETCS & FRAG COM 90384S303 9,310 149,600 SH SOLE 149,600
UNITED CONTINENTAL HLDGS INC COM 910047109 6,835 352,700 SH SOLE 352,700
UNITED RENTALS INC COM 911363109 2,528 150,100 SH SOLE 150,100
UNITEDHEALTH GROUP INC COM 91324P102 1,545 33,500 SH SOLE 33,500
UNVL STAINLESS & ALLOY PRODS COM 913837100 329 12,930 SH SOLE 12,930
US AIRWAYS GROUP INC COM 90341W108 4,688 852,300 SH SOLE 852,300
VALASSIS COMMUNICATIONS INC COM 918866104 2,699 144,000 SH SOLE 144,000
VALUEVISION MEDIA INC CL A 92047K107 165 70,100 SH SOLE 70,100
VERIZON COMMUNICATIONS COM 92343V104 7,783 211,500 SH SOLE 211,500
VODAFONE GROUP PLC SPONSORED ADR NEW 92857W209 2,012 78,400 SH SOLE 78,400
WALGREEN CO COM 931422109 1,250 38,000 SH SOLE 38,000
WAL-MART STORES INC COM 931142103 1,578 30,400 SH SOLE 30,400
WASTE MANAGEMENT INC COM 94106L109 2,035 62,500 SH SOLE 62,500
WESTELL TECH INC CL A 957541105 23 10,580 SH SOLE 10,580
WESTERN REFINING INC COM 959319104 4,471 358,800 SH SOLE 358,800
WILLIAMS-SONOMA INC COM 969904101 4,806 156,100 SH SOLE 156,100
WYNDHAM WORLDWIDE CORP COM 98310W108 4,989 175,000 SH SOLE 175,000
TOTAL 520,492