UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 13F
Form 13F COVER PAGE
Report for the Calendar Year or Quarter Ended: March 31, 2010
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Check here if Amendment [ ]; Amendment Number:
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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 April 22, 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 by
other 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: 215
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Form 13F Information Table Value Total: $695,938
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(thousands)
List of Other Included Managers: NONE
Page 1 of 10 03/31/2010
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 1,705 20,400 SH SOLE 20,400
99 CENTS ONLY STORES COM 65440K106 584 35,800 SH SOLE 35,800
A T & T INC COM 00206R102 7,145 276,500 SH SOLE 276,500
AARON'S INC COM 002535201 527 15,800 SH SOLE 15,800
ACERGY SA -ADR ADR 00443E104 4,854 264,400 SH SOLE 264,400
ADVANCE AMER CASH ADVANCE CT COM 00739W107 3,966 681,370 SH SOLE 681,370
ADVANCED MICRO DEVICES COM 007903107 5,147 555,200 SH SOLE 555,200
AEROPOSTALE INC COM 007865108 4,312 149,550 SH SOLE 149,550
ALLIED HEALTHCARE INTL INC COM 01923A109 38 13,920 SH SOLE 13,920
ALTRIA GROUP INC COM 02209S103 3,213 156,600 SH SOLE 156,600
AMERICAN AXLE & MFG HOLDINGS COM 024061103 5,828 584,000 SH SOLE 584,000
AMERICAN EXPRESS COMPANY COM 025816109 392 9,500 SH SOLE 9,500
AMERICREDIT CORP COM 03060R101 11,181 470,600 SH SOLE 470,600
APAC CUSTOMER SERVICES INC COM 00185E106 587 102,050 SH SOLE 102,050
AUTOMATIC DATA PROCESSING COM 053015103 3,233 72,700 SH SOLE 72,700
AVON PRODUCTS COM 054303102 1,771 52,300 SH SOLE 52,300
BAKER (MICHAEL) CORP COM 057149106 410 11,900 SH SOLE 11,900
BAKER HUGHES INC COM 057224107 1,410 30,100 SH SOLE 30,100
BALL CORP COM 058498106 4,580 85,800 SH SOLE 85,800
BCE INC ADR 05534B760 3,481 118,600 SH SOLE 118,600
BEST BUY CO INC COM 086516101 1,229 28,900 SH SOLE 28,900
BIG 5 SPORTING GOODS CORP COM 08915P101 3,728 244,950 SH SOLE 244,950
BIO REFERENCE LABS COM 09057G602 677 15,400 SH SOLE 15,400
Page 2 of 10 03/31/2010
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
------------------------------------------------------------------------------------------------------------------------------------
BLACK BOX CORP COM 091826107 409 13,300 SH SOLE 13,300
BOEING CO COM 097023105 9,301 128,100 SH SOLE 128,100
BP PLC -ADS ADR 055622104 3,127 54,800 SH SOLE 54,800
BRASKEM SA -ADR ADR 105532105 3,979 275,000 SH SOLE 275,000
BRISTOL MYERS SQUIBB COM 110122108 3,188 119,400 SH SOLE 119,400
BROADRIDGE FINANCIAL SOLUTNS COM 11133T103 4,135 193,400 SH SOLE 193,400
BRUNSWICK CORP COM 117043109 6,032 377,700 SH SOLE 377,700
BUCYRUS INTERNATIONAL INC COM 118759109 5,081 77,000 SH SOLE 77,000
BWAY HOLDING CO COM 12429T104 647 32,180 SH SOLE 32,180
CALAVO GROWERS INC COM 128246105 441 24,200 SH SOLE 24,200
CALUMET SPECIALTY PRODS -LP UT LTD
PARTNER 131476103 4,437 213,300 SH SOLE 213,300
CAMERON INTERNATIONAL CORP COM 13342B105 1,774 41,400 SH SOLE 41,400
CAMPBELL SOUP CO COM 134429109 3,295 93,200 SH SOLE 93,200
CANTEL MEDICAL CORP COM 138098108 597 30,100 SH SOLE 30,100
CARDTRONICS INC COM 14161H108 4,299 342,000 SH SOLE 342,000
CARMAX INC COM 143130102 5,049 201,000 SH SOLE 201,000
CARTER'S INC COM 146229109 5,599 185,700 SH SOLE 185,700
CATERPILLAR INC COM 149123101 1,892 30,100 SH SOLE 30,100
CENTRAL GARDEN & PET CO COM 153527205 463 50,500 SH SOLE 50,500
CHEVRON CORP COM 166764100 8,281 109,200 SH SOLE 109,200
CHINA MOBILE LTD -ADR ADR 16941M109 3,224 67,000 SH SOLE 67,000
Page 3 of 10 03/31/2010
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
------------------------------------------------------------------------------------------------------------------------------------
CIA BRASILERIA-SP ADR ADR 20440T201 4,020 59,800 SH SOLE 59,800
CIGNA CORP COM 125509109 4,444 121,500 SH SOLE 121,500
COACH INC COM 189754104 2,458 62,200 SH SOLE 62,200
COCA-COLA BTLNG CONS COM 191098102 516 8,800 SH SOLE 8,800
COCA-COLA COMPANY COM 191216100 1,001 18,200 SH SOLE 18,200
COCA-COLA ENTERPRISES INC COM 191219104 5,654 204,400 SH SOLE 204,400
COMPUTER SCIENCES CORP COM 205363104 4,664 85,600 SH SOLE 85,600
CONAGRA FOODS INC COM 205887102 3,482 138,900 SH SOLE 138,900
CONOCOPHILLIPS COM 20825C104 1,264 24,700 SH SOLE 24,700
CONSOL ENERGY INC COM 20854P109 1,386 32,500 SH SOLE 32,500
COOPER COMPANIES INC COM 216648402 4,557 117,200 SH SOLE 117,200
COOPER INDUSTRIES LTD COM G24140108 1,889 39,400 SH SOLE 39,400
COTT CORP QUE ADR 22163N106 4,532 584,800 SH SOLE 584,800
CUBIC CORP COM 229669106 493 13,700 SH SOLE 13,700
CUMMINS INC COM 231021106 2,466 39,800 SH SOLE 39,800
DARDEN RESTAURANTS INC COM 237194105 5,376 120,700 SH SOLE 120,700
DCP MIDSTREAM PARTNERS LP COM UT
LTD PTN 23311P100 5,191 161,500 SH SOLE 161,500
DEL MONTE FOODS CO COM 24522P103 5,395 369,500 SH SOLE 369,500
DELL INC COM 24702R101 1,421 94,600 SH SOLE 94,600
DENBURY RESOURCES INC COM 247916208 1,005 59,600 SH SOLE 59,600
DIAGEO PLC -ADR ADR 25243Q205 3,042 45,100 SH SOLE 45,100
DIAMOND OFFSHRE DRILLING INC COM 25271C102 1,252 14,100 SH SOLE 14,100
Page 4 of 10 03/31/2010
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
------------------------------------------------------------------------------------------------------------------------------------
DISH NETWORK CORP COM 25470M109 1,880 90,300 SH SOLE 90,300
DOLLAR THRIFTY AUTOMOTIVE GP COM 256743105 1,603 49,900 SH SOLE 49,900
DOLLAR TREE INC COM 256746108 5,004 84,500 SH SOLE 84,500
DONNELLEY (R R) & SONS CO COM 257867101 3,040 142,400 SH SOLE 142,400
DOT HILL SYSTEMS CORP COM 25848T109 32 21,730 SH SOLE 21,730
DRUGSTORE.COM INC COM 262241102 48 13,420 SH SOLE 13,420
DU PONT (E I) DE NEMOURS COM 263534109 8,494 228,100 SH SOLE 228,100
DYNAVAX TECHNOLOGIES CORP COM 268158102 32 24,890 SH SOLE 24,890
EATON CORP COM 278058102 3,682 48,600 SH SOLE 48,600
EMERGENCY MEDICAL SVCS CORP COM 29100P102 5,022 88,800 SH SOLE 88,800
EMERSON ELECTRIC CO COM 291011104 5,467 108,600 SH SOLE 108,600
ENCORE CAPITAL GROUP INC COM 292554102 4,371 265,700 SH SOLE 265,700
ENI SPA -ADR ADR 26874R108 2,966 63,200 SH SOLE 63,200
ENSCO INTERNATIONAL PLC ADR 29358Q109 1,487 33,200 SH SOLE 33,200
EOG RESOURCES INC COM 26875P101 1,403 15,100 SH SOLE 15,100
EVERCORE PARTNERS INC COM 29977A105 744 24,800 SH SOLE 24,800
EXXON MOBIL CORP COM 30231G102 944 14,100 SH SOLE 14,100
FIRST HORIZON NATIONAL CORP COM 320517105 562 40,000 SH SOLE 40,000
FLUOR CORP COM 343412102 1,191 25,600 SH SOLE 25,600
FORCE PROTECTION INC COM 345203202 374 62,100 SH SOLE 62,100
FORD MOTOR CO COM 345370860 5,655 449,900 SH SOLE 449,900
FOREST LABORATORIES -CL A CLASS A 345838106 1,386 44,200 SH SOLE 44,200
FUQI INTERNATIONAL INC ADR 36102A207 327 29,970 SH SOLE 29,970
Page 5 of 10 03/31/2010
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
------------------------------------------------------------------------------------------------------------------------------------
GAP INC COM 364760108 1,803 78,000 SH SOLE 78,000
GENCORP INC COM 368682100 2,779 482,500 SH SOLE 482,500
GENERAL DYNAMICS CORP COM 369550108 1,915 24,800 SH SOLE 24,800
GLAXOSMITHKLINE PLC -ADR ADR 37733W105 2,835 73,600 SH SOLE 73,600
GLOBAL CASH ACCESS HOLDINGS COM 378967103 4,964 607,600 SH SOLE 607,600
GOODRICH CORP COM 382388106 7,666 108,700 SH SOLE 108,700
GSI COMMERCE INC COM 36238G102 4,798 173,100 SH SOLE 173,100
GYMBOREE CORP COM 403777105 4,746 91,900 SH SOLE 91,900
HALLIBURTON CO COM 406216101 1,672 55,500 SH SOLE 55,500
HEINZ (H J) CO COM 423074103 3,339 73,200 SH SOLE 73,200
HERSHEY CO COM 427866108 3,733 87,200 SH SOLE 87,200
HESS CORP COM 42809H107 945 15,100 SH SOLE 15,100
HHGREGG INC COM 42833L108 5,644 223,600 SH SOLE 223,600
HOME DEPOT INC COM 437076102 7,217 223,100 SH SOLE 223,100
HONEYWELL INTERNATIONAL INC COM 438516106 1,571 34,700 SH SOLE 34,700
HUNTSMAN CORP COM 447011107 4,924 408,600 SH SOLE 408,600
INTEL CORP COM 458140100 4,204 188,600 SH SOLE 188,600
INTL BUSINESS MACHINES CORP COM 459200101 1,295 10,100 SH SOLE 10,100
ISLE OF CAPRI CASINOS INC COM 464592104 305 39,200 SH SOLE 39,200
ITT CORP COM 450911102 1,330 24,800 SH SOLE 24,800
J & J SNACK FOODS CORP COM 466032109 587 13,500 SH SOLE 13,500
Page 6 of 10 03/31/2010
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
------------------------------------------------------------------------------------------------------------------------------------
JO-ANN STORES INC COM 47758P307 5,172 123,200 SH SOLE 123,200
JOE'S JEANS INC COM 47777N101 58 22,110 SH SOLE 22,110
JOHNSON & JOHNSON COM 478160104 1,467 22,500 SH SOLE 22,500
JOS A BANK CLOTHIERS INC COM 480838101 859 15,700 SH SOLE 15,700
KAPSTONE PAPER & PACKAGING COM 48562P103 6,147 517,890 SH SOLE 517,890
KBR INC COM 48242W106 4,219 190,400 SH SOLE 190,400
KIMBERLY-CLARK CORP COM 494368103 3,056 48,600 SH SOLE 48,600
KIRKLAND'S INC COM 497498105 6,552 311,980 SH SOLE 311,980
KNOLOGY INC COM 499183804 5,294 393,900 SH SOLE 393,900
KRAFT FOODS INC COM 50075N104 7,624 252,100 SH SOLE 252,100
KRISPY KREME DOUGHNUTS INC COM 501014104 53 13,230 SH SOLE 13,230
LANCASTER COLONY CORP COM 513847103 5,525 93,700 SH SOLE 93,700
LA-Z-BOY INC COM 505336107 5,317 424,000 SH SOLE 424,000
LILLY (ELI) & CO COM 532457108 1,040 28,700 SH SOLE 28,700
LIMITED BRANDS INC COM 532716107 4,008 162,800 SH SOLE 162,800
LINCOLN EDUCATIONAL SERVICES COM 533535100 655 25,900 SH SOLE 25,900
LINN ENERGY LLC COM 536020100 5,036 195,800 SH SOLE 195,800
LOCKHEED MARTIN CORP COM 539830109 4,502 54,100 SH SOLE 54,100
LUMBER LIQUIDATORS HOLDINGS
INC COM 55003T107 4,195 157,300 SH SOLE 157,300
M & F WORLDWIDE CORP COM 552541104 3,724 121,700 SH SOLE 121,700
MADDEN STEVEN LTD COM 556269108 888 18,200 SH SOLE 18,200
MARATHON OIL CORP COM 565849106 4,369 138,100 SH SOLE 138,100
Page 7 of 10 03/31/2010
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
------------------------------------------------------------------------------------------------------------------------------------
MARSH & MCLENNAN COS COM 571748102 3,465 141,900 SH SOLE 141,900
MARTEN TRANSPORT LTD COM 573075108 447 22,700 SH SOLE 22,700
MASSEY ENERGY CO COM 576206106 5,543 106,000 SH SOLE 106,000
MASTERCARD INC COM 57636Q104 1,524 6,000 SH SOLE 6,000
MATTEL INC COM 577081102 3,513 154,500 SH SOLE 154,500
MCDONALD'S CORP COM 580135101 6,899 103,400 SH SOLE 103,400
MCGRAW-HILL COMPANIES COM 580645109 1,761 49,400 SH SOLE 49,400
MEADWESTVACO CORP COM 583334107 2,859 111,900 SH SOLE 111,900
MERCK & CO COM 58933Y105 8,669 232,100 SH SOLE 232,100
MOBILE TELESYSTEMS - SP ADR ADR 607409109 3,541 63,800 SH SOLE 63,800
MOSAIC CO COM 61945A107 1,367 22,500 SH SOLE 22,500
MURPHY OIL CORP COM 626717102 1,096 19,500 SH SOLE 19,500
MYLAN INC COM 628530107 6,491 285,800 SH SOLE 285,800
NATIONAL PRESTO INDS INC COM 637215104 737 6,200 SH SOLE 6,200
NCI INC COM 62886K104 469 15,500 SH SOLE 15,500
NETWORK ENGINES INC COM 64121A107 51 27,240 SH SOLE 27,240
NEWMARKET CORP COM 651587107 8,940 86,800 SH SOLE 86,800
NOKIA CORP -ADR ADR 654902204 3,841 247,200 SH SOLE 247,200
NU SKIN ENTERPRISES -CL A CLASS A 67018T105 4,257 146,300 SH SOLE 146,300
NUCOR CORP COM 670346105 4,316 95,100 SH SOLE 95,100
NUSTAR ENERGY LP UNIT COM 67058H102 568 9,400 SH SOLE 9,400
OCCIDENTAL PETROLEUM CORP COM 674599105 1,395 16,500 SH SOLE 16,500
Page 8 of 10 03/31/2010
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
------------------------------------------------------------------------------------------------------------------------------------
OMNICOM GROUP COM 681919106 1,525 39,300 SH SOLE 39,300
OMNOVA SOLUTIONS INC COM 682129101 4,779 608,810 SH SOLE 608,810
O'REILLY AUTOMOTIVE INC COM 686091109 4,613 110,600 SH SOLE 110,600
P F CHANGS CHINA BISTRO INC COM 69333Y108 680 15,400 SH SOLE 15,400
PATRIOT COAL CORP COM 70336T104 6,469 316,200 SH SOLE 316,200
PEET'S COFFEE & TEA INC COM 705560100 737 18,600 SH SOLE 18,600
PEP BOYS-MANNY MOE & JACK COM 713278109 511 50,800 SH SOLE 50,800
PFIZER INC COM 717081103 7,136 416,100 SH SOLE 416,100
PHILIP MORRIS INTERNATIONAL COM 718172109 3,302 63,300 SH SOLE 63,300
PITNEY BOWES INC COM 724479100 4,342 177,600 SH SOLE 177,600
PLAINS ALL AMER PIPELNE -LP UNIT LTD
PARTN 726503105 4,928 86,600 SH SOLE 86,600
PPG INDUSTRIES INC COM 693506107 3,486 53,300 SH SOLE 53,300
PRECISION CASTPARTS CORP COM 740189105 2,065 16,300 SH SOLE 16,300
PROVIDENCE SERVICE CORP COM 743815102 4,203 276,700 SH SOLE 276,700
REGENCY ENERGY PARTNERS LP COM UNITS
L P 75885Y107 4,605 209,800 SH SOLE 209,800
REHABCARE GROUP INC COM 759148109 584 21,400 SH SOLE 21,400
REVLON INC -CL A CLASS A 761525609 3,270 220,200 SH SOLE 220,200
REYNOLDS AMERICAN INC COM 761713106 3,125 57,900 SH SOLE 57,900
ROCK-TENN CO COM 772739207 4,429 97,200 SH SOLE 97,200
ROCKWELL COLLINS INC COM 774341101 1,865 29,800 SH SOLE 29,800
ROSS STORES INC COM 778296103 4,727 88,400 SH SOLE 88,400
ROYAL DUTCH SHELL PLC -ADR ADR 780259206 3,067 53,000 SH SOLE 53,000
Page 9 of 10 03/31/2010
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
------------------------------------------------------------------------------------------------------------------------------------
SANMINA-SCI CORP COM 800907206 7,961 482,500 SH SOLE 482,500
SARA LEE CORP COM 803111103 3,591 257,800 SH SOLE 257,800
SCHLUMBERGER LTD COM 806857108 1,428 22,500 SH SOLE 22,500
SCHWEITZER-MAUDUIT INTL INC COM 808541106 4,014 84,400 SH SOLE 84,400
SCOTTS MIRACLE-GRO CO COM 810186106 4,797 103,500 SH SOLE 103,500
SPARTAN MOTORS INC COM 846819100 251 44,900 SH SOLE 44,900
STIFEL FINANCIAL CORP COM 860630102 570 10,600 SH SOLE 10,600
STURM RUGER & CO INC COM 864159108 462 38,500 SH SOLE 38,500
SUNOCO LOGISTICS PRTNRS L P COM 86764L108 617 9,000 SH SOLE 9,000
SXC HEALTH SOLUTIONS CORP COM 78505P100 6,311 93,800 SH SOLE 93,800
SYSCO CORP COM 871829107 3,316 112,400 SH SOLE 112,400
TAIWAN SEMICONDUCTOR -ADR ADR 874039100 2,906 277,000 SH SOLE 277,000
TECH DATA CORP COM 878237106 8,476 202,300 SH SOLE 202,300
TELEFONICA SA -ADR ADR 879382208 2,659 37,400 SH SOLE 37,400
TELVENT GIT SA ADR E90215109 3,460 120,300 SH SOLE 120,300
TETRA TECH INC COM 88162G103 3,659 158,800 SH SOLE 158,800
TEXAS INSTRUMENTS INC COM 882508104 1,449 59,200 SH SOLE 59,200
TEXAS ROADHOUSE INC COM 882681109 610 43,900 SH SOLE 43,900
TIM PARTICIPACOES SA -ADR ADR 88706P106 3,992 143,800 SH SOLE 143,800
TJX COMPANIES INC COM 872540109 1,612 37,900 SH SOLE 37,900
TOTAL SA -ADR ADR 89151E109 2,924 50,400 SH SOLE 50,400
TRACTOR SUPPLY CO COM 892356106 5,114 88,100 SH SOLE 88,100
Page 10 of 10 03/31/2010
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
------------------------------------------------------------------------------------------------------------------------------------
TUPPERWARE BRANDS CORP COM 899896104 5,304 110,000 SH SOLE 110,000
ULTA SALON COSMETCS & FRAG COM 90384S303 5,037 222,700 SH SOLE 222,700
UNISYS CORP COM 909214306 4,330 124,100 SH SOLE 124,100
UNITED NATURAL FOODS INC COM 911163103 543 19,300 SH SOLE 19,300
UNITED PARCEL SERVICE INC COM 911312106 3,420 53,100 SH SOLE 53,100
UNITED TECHNOLOGIES CORP COM 913017109 1,700 23,100 SH SOLE 23,100
USA MOBILITY INC COM 90341G103 502 39,600 SH SOLE 39,600
VERIZON COMMUNICATIONS COM 92343V104 7,243 233,500 SH SOLE 233,500
VIRGIN MEDIA INC COM 92769L101 10,330 598,500 SH SOLE 598,500
VIVO PARTICIPACOES SA -ADR ADR 92855S200 3,427 126,400 SH SOLE 126,400
VODAFONE GROUP PLC -ADR ADR 92857W209 3,207 137,600 SH SOLE 137,600
WASTE MANAGEMENT INC COM 94106L109 3,212 93,300 SH SOLE 93,300
WATSON PHARMACEUTICALS INC COM 942683103 4,983 119,300 SH SOLE 119,300
WESTELL TECH INC -CL A CLASS A 957541105 42 29,600 SH SOLE 29,600
WESTERN DIGITAL CORP COM 958102105 2,109 54,100 SH SOLE 54,100
WORLD FUEL SERVICES CORP COM 981475106 5,509 206,800 SH SOLE 206,800
XL CAPITAL LTD ADR G98255105 4,162 220,200 SH SOLE 220,200
TOTAL 695,938