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, 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 April 19, 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: 200
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Form 13F Information Table Value Total: $690,949
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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
------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- -------
ABBOTT LABS COM 002824100 2,659 54,200 SH SOLE 54,200
ADVANCE AUTO PARTS INC COM 00751Y106 4,830 73,600 SH SOLE 73,600
AIR TRANSPORT SERVICES GRP INC COM 00922R105 5,078 601,000 SH SOLE 601,000
ALAMO GROUP INC COM 011311107 728 26,520 SH SOLE 26,520
ALASKA AIR GROUP INC COM 011659109 755 11,900 SH SOLE 11,900
ALTRIA GROUP INC COM 02209S103 4,534 174,200 SH SOLE 174,200
AMERCO COM 023586100 3,647 37,600 SH SOLE 37,600
AMERICAN INTL GROUP INC COM 026874784 538 15,300 SH SOLE 15,300
AMERIGROUP CORP COM 03073T102 7,170 111,600 SH SOLE 111,600
ANN INC COM 035623107 4,279 147,000 SH SOLE 147,000
APOLLO GROUP INC COM 037604105 968 23,200 SH SOLE 23,200
APPLIED INDL TECHNOLOGIES INC COM 03820C105 4,813 144,700 SH SOLE 144,700
ASHFORD HOSPITALITY TR INC COM 044103109 4,255 386,100 SH SOLE 386,100
AT&T INC COM 00206R102 8,020 262,100 SH SOLE 262,100
ATLAS ENERGY LP COM 04930A104 5,945 266,100 SH SOLE 266,100
ATLAS PIPELINE PARTNERS LP COM 049392103 5,461 158,300 SH SOLE 158,300
AUTOLIV INC COM 52800109 5,233 70,500 SH SOLE 70,500
AUTOMATIC DATA PROCESSING INC COM 053015103 2,950 57,500 SH SOLE 57,500
AUTOZONE INC COM 053332102 2,161 7,900 SH SOLE 7,900
AXCELIS TECHNOLOGIES INC COM 054540109 34 12,760 SH SOLE 12,760
BANCO MACRO SA SPON ADR B 05961W105 737 18,400 SH SOLE 18,400
BAXTER INTL INC COM 071813109 1,624 30,200 SH SOLE 30,200
BCE INC COM NEW 05534B760 2,893 79,600 SH SOLE 79,600
BECTON DICKINSON & CO COM 075887109 1,505 18,900 SH SOLE 18,900
BEST BUY INC COM 086516101 885 30,800 SH SOLE 30,800
BORGWARNER INC COM 099724106 11,866 148,900 SH SOLE 148,900
BRISTOL MYERS SQUIBB CO COM 110122108 4,184 158,300 SH SOLE 158,300
BROWN SHOE INC NEW COM 115736100 414 33,900 SH SOLE 33,900
BUCKEYE TECHNOLOGIES INC COM 118255108 5,106 187,500 SH SOLE 187,500
CALLON PETE CO DEL COM 13123X102 718 92,400 SH SOLE 92,400
CAMPBELL SOUP CO COM 134429109 3,844 116,100 SH SOLE 116,100
CARDINAL HEALTH INC COM 14149Y108 1,653 40,200 SH SOLE 40,200
CARDTRONICS INC COM 14161H108 912 44,800 SH SOLE 44,800
CASCADE CORP COM 147195101 646 14,500 SH SOLE 14,500
CENTURYLINK INC COM 156700106 2,559 61,600 SH SOLE 61,600
CHEVRON CORP NEW COM 166764100 9,303 86,600 SH SOLE 86,600
CHINA MOBILE LIMITED SPONSORED ADR 16941M109 2,354 50,900 SH SOLE 50,900
CIGNA CORP COM 125509109 1,962 44,300 SH SOLE 44,300
CLEARWATER PAPER CORP COM 18538R103 781 9,600 SH SOLE 9,600
CLOROX CO DEL COM 189054109 1,577 22,500 SH SOLE 22,500
COCA COLA CO COM 191216100 1,758 26,500 SH SOLE 26,500
COMMERCIAL VEH GROUP INC COM 202608105 4,869 272,900 SH SOLE 272,900
COMPANHIA SIDERURGICA NACIONAL SPONSORED ADR 20440W105 2,557 153,500 SH SOLE 153,500
COMPLETE PRODUCTION SERVICES COM 20453E109 6,400 201,200 SH SOLE 201,200
CONAGRA FOODS INC COM 205887102 2,867 120,700 SH SOLE 120,700
CONOCOPHILLIPS COM 20825C104 3,354 42,000 SH SOLE 42,000
CONSOL ENERGY INC COM 20854P109 1,775 33,100 SH SOLE 33,100
CONSOLIDATED GRAPHICS INC COM 209341106 666 12,200 SH SOLE 12,200
COST PLUS INC CALIF COM 221485105 3,754 382,300 SH SOLE 382,300
CPI CORP COM 125902106 3,100 137,700 SH SOLE 137,700
CROCS INC COM 227046109 7,505 420,700 SH SOLE 420,700
CROWN HOLDINGS INC COM 228368106 2,052 53,200 SH SOLE 53,200
DDI CORP COM 233162502 3,606 341,140 SH SOLE 341,140
DIAGEO P L C SPON ADR NEW 25243Q205 2,660 34,900 SH SOLE 34,900
DIAMOND OFFSHORE DRILLING INC COM 25271C102 1,321 17,000 SH SOLE 17,000
DILLARDS INC COM 254067101 4,341 108,200 SH SOLE 108,200
DINEEQUITY INC COM 254423106 3,898 70,900 SH SOLE 70,900
DIRECTV COM 25490A101 1,863 39,800 SH SOLE 39,800
DISH NETWORK CORP COM 25470M109 1,586 65,100 SH SOLE 65,100
DOLLAR TREE INC COM 256746108 6,940 125,000 SH SOLE 125,000
DU PONT E I DE NEMOURS & CO COM 263534109 8,968 163,150 SH SOLE 163,150
EMCORE CORP COM 290846104 41 15,810 SH SOLE 15,810
ENI S P A SPONSORED ADR 26874R108 2,894 58,900 SH SOLE 58,900
ENTERPRISE PRODS PARTNERS L P COM 293792107 2,597 60,300 SH SOLE 60,300
ESTERLINE TECHNOLOGIES CORP COM 297425100 785 11,100 SH SOLE 11,100
EXPRESS-1 EXPEDITED SOLTNS COM 30217Q108 29 13,520 SH SOLE 13,520
F M C CORP COM 302491303 1,911 22,500 SH SOLE 22,500
FAMILY DLR STORES INC COM 307000109 6,959 135,600 SH SOLE 135,600
FERRO CORP COM 315405100 5,748 346,500 SH SOLE 346,500
FLOWSERVE CORP COM 34354P105 1,597 12,400 SH SOLE 12,400
FLUOR CORP NEW COM 343412102 2,018 27,400 SH SOLE 27,400
FOREST LABS INC COM 345838106 1,712 53,000 SH SOLE 53,000
FRANCE TELECOM SPONSORED ADR 35177Q105 2,566 114,000 SH SOLE 114,000
FREEPORT-MCMORAN COPPER & GOLD COM 35671D857 2,089 37,600 SH SOLE 37,600
GAP INC DEL COM 364760108 1,292 57,000 SH SOLE 57,000
GARDNER DENVER INC COM 365558105 905 11,600 SH SOLE 11,600
GENERAL COMMUNICATION INC COM 369385109 3,455 315,800 SH SOLE 315,800
GENERAL MLS INC COM 370334104 4,170 114,100 SH SOLE 114,100
GLAXOSMITHKLINE PLC SPONSORED ADR 37733W105 2,554 66,500 SH SOLE 66,500
GREENBRIER COS INC COM 393657101 4,881 172,000 SH SOLE 172,000
GRUPO FINANCIERO GALICIA S A SP ADR 10 SH B 399909100 3,163 254,500 SH SOLE 254,500
HEALTHSPRING INC COM 42224N101 6,973 186,600 SH SOLE 186,600
HEINZ H J CO COM 423074103 4,184 85,700 SH SOLE 85,700
HILL ROM HLDGS INC COM 431475102 691 18,200 SH SOLE 18,200
HOME DEPOT INC COM 437076102 2,361 63,700 SH SOLE 63,700
HONEYWELL INTL INC COM 438516106 1,821 30,500 SH SOLE 30,500
HSN INC COM 404303109 4,561 142,400 SH SOLE 142,400
HUMANA INC COM 444859102 2,301 32,900 SH SOLE 32,900
IDT CORP COM 448947507 5,244 194,600 SH SOLE 194,600
INNOSPEC INC COM 45768S105 5,781 181,000 SH SOLE 181,000
INTEL CORP COM 458140100 6,721 333,200 SH SOLE 333,200
INTERFACE INC COM 458665106 5,547 300,000 SH SOLE 300,000
INTERNATIONAL BUSINESS MACHS COM 459200101 1,810 11,100 SH SOLE 11,100
IPASS INC COM 46261V108 35 22,730 SH SOLE 22,730
ISTAR FINL INC COM 45031U101 5,179 564,200 SH SOLE 564,200
JOHNSON & JOHNSON COM 478160104 8,455 142,700 SH SOLE 142,700
JONES LANG LASALLE INC COM 48020Q107 5,266 52,800 SH SOLE 52,800
JOY GLOBAL INC COM 481165108 2,342 23,700 SH SOLE 23,700
KELLOGG CO COM 487836108 4,362 80,800 SH SOLE 80,800
KEMET CORP COM 488360207 4,538 306,000 SH SOLE 306,000
KIMBERLY CLARK CORP COM 494368103 4,282 65,600 SH SOLE 65,600
KRAFT FOODS INC COM 50075N104 7,577 241,600 SH SOLE 241,600
KRISPY KREME DOUGHNUTS INC COM 501014104 3,828 543,730 SH SOLE 543,730
KT CORP SPONSORED ADR 48268K101 2,324 119,000 SH SOLE 119,000
LABORATORY CORP AMER HLDGS COM 50540R409 1,704 18,500 SH SOLE 18,500
LEXMARK INTL NEW COM 529771107 3,797 102,500 SH SOLE 102,500
LIBBEY INC COM 529898108 5,181 314,000 SH SOLE 314,000
LIBERTY GLOBAL INC COM 530555101 2,166 52,300 SH SOLE 52,300
LIFETIME BRANDS INC COM 53222Q103 537 35,800 SH SOLE 35,800
LILLY ELI & CO COM 532457108 4,094 116,400 SH SOLE 116,400
LIONBRIDGE TECHNOLOGIES INC COM 536252109 387 112,800 SH SOLE 112,800
LOCKHEED MARTIN CORP COM 539830109 4,390 54,600 SH SOLE 54,600
LORAL SPACE & COMMUNICATNS INC COM 543881106 1,055 13,600 SH SOLE 13,600
LORILLARD INC COM 544147101 1,758 18,500 SH SOLE 18,500
LUBRIZOL CORP COM 549271104 7,569 56,500 SH SOLE 56,500
MACQUARIE INFRASTR CO LLC COM 55608B105 969 40,600 SH SOLE 40,600
MAGELLAN HEALTH SVCS INC COM 559079207 4,707 95,900 SH SOLE 95,900
MAGNETEK INC COM 559424106 37 16,760 SH SOLE 16,760
MARSH & MCLENNAN COS INC COM 571748102 3,056 102,500 SH SOLE 102,500
MATERION CORP COM 576690101 4,182 102,500 SH SOLE 102,500
MATTEL INC COM 577081102 4,298 172,400 SH SOLE 172,400
MCDONALDS CORP COM 580135101 3,321 43,650 SH SOLE 43,650
MCGRAW HILL COS INC COM 580645109 1,678 42,600 SH SOLE 42,600
MEDCATH CORP COM 58404W109 4,075 292,140 SH SOLE 292,140
MEDIA GEN INC COM 584404107 361 52,500 SH SOLE 52,500
MERCER INTL INC COM 588056101 7,858 579,900 SH SOLE 579,900
MERCK & CO INC NEW COM 58933Y105 7,350 222,650 SH SOLE 222,650
MERITOR INC COM 59001K100 5,692 335,400 SH SOLE 335,400
MOBILE TELESYSTEMS OJSC SPONSORED ADR 607409109 2,588 121,900 SH SOLE 121,900
MOODYS CORP COM 615369105 1,957 57,700 SH SOLE 57,700
MRV COMMUNICATIONS INC COM 553477100 30 19,870 SH SOLE 19,870
NACCO INDS INC COM 629579103 4,715 42,600 SH SOLE 42,600
NEENAH PAPER INC COM 640079109 639 29,100 SH SOLE 29,100
NEWCASTLE INVT CORP COM 65105M108 4,018 665,200 SH SOLE 665,200
NEWPORT CORP COM 651824104 4,108 230,400 SH SOLE 230,400
NOKIA CORP SPONSORED ADR 654902204 2,154 253,100 SH SOLE 253,100
OPNEXT INC COM 68375V105 27 11,020 SH SOLE 11,020
OWENS CORNING NEW COM 690742101 633 17,600 SH SOLE 17,600
PACER INTL INC TENN COM 69373H106 415 78,900 SH SOLE 78,900
PETROCHINA CO LTD SPONSORED ADR 71646E100 3,075 20,200 SH SOLE 20,200
PFIZER INC COM 717081103 9,089 447,500 SH SOLE 447,500
PHILIP MORRIS INTL INC COM 718172109 4,824 73,500 SH SOLE 73,500
PIER 1 IMPORTS INC COM 720279108 3,792 373,600 SH SOLE 373,600
PITNEY BOWES INC COM 724479100 2,872 111,800 SH SOLE 111,800
POLYONE CORP COM 73179P106 5,430 382,100 SH SOLE 382,100
POWER ONE INC NEW COM 73930R102 3,760 429,700 SH SOLE 429,700
POWERWAVE TECHNOLOGIES INC COM 739363109 46 10,240 SH SOLE 10,240
PRICESMART INC COM 741511109 3,734 101,900 SH SOLE 101,900
PROCTER & GAMBLE CO COM 742718109 810 13,150 SH SOLE 13,150
QUAKER CHEM CORP COM 747316107 4,647 115,690 SH SOLE 115,690
QUIKSILVER INC COM 74838C106 3,426 775,200 SH SOLE 775,200
RAYTHEON CO COM 755111507 4,120 81,000 SH SOLE 81,000
ROCHE HLDG LTD ADR 771195104 2,588 72,000 SH SOLE 72,000
ROCKWOOD HLDGS INC COM 774415103 6,778 137,700 SH SOLE 137,700
ROSS STORES INC COM 778296103 1,785 25,100 SH SOLE 25,100
ROYAL DUTCH SHELL PLC SPON ADR A 780259206 2,907 39,900 SH SOLE 39,900
RUBY TUESDAY INC COM 781182100 3,777 288,100 SH SOLE 288,100
SAIC INC COM 78390X101 1,347 79,600 SH SOLE 79,600
SANOFI AVENTIS SPONSORED ADR 80105N105 2,737 77,700 SH SOLE 77,700
SAUER-DANFOSS INC COM 804137107 6,376 125,200 SH SOLE 125,200
SELECT COMFORT CORP COM 81616X103 721 59,800 SH SOLE 59,800
SINCLAIR BROADCAST GROUP INC CL A 829226109 1,070 85,300 SH SOLE 85,300
SKECHERS U S A INC COM 830566105 292 14,200 SH SOLE 14,200
STANDEX INTL CORP COM 854231107 807 21,300 SH SOLE 21,300
STATOIL ASA SPONSORED ADR 85771P102 3,394 122,800 SH SOLE 122,800
SUNOPTA INC COM 8676EP108 3,885 523,600 SH SOLE 523,600
SXC HEALTH SOLUTIONS CORP COM 78505P100 844 15,400 SH SOLE 15,400
SYSCO CORP COM 871829107 3,795 137,000 SH SOLE 137,000
TAIWAN SEMICONDUCTOR MFG LTD SPONSORED ADR 874039100 2,873 235,900 SH SOLE 235,900
TELEFONICA S A SPONSORED ADR 879382208 2,676 106,100 SH SOLE 106,100
TENNANT CO COM 880345103 689 16,400 SH SOLE 16,400
TENNECO INC COM 880349105 10,642 250,700 SH SOLE 250,700
TIMKEN CO COM 887389104 4,310 82,400 SH SOLE 82,400
TITAN INTL INC ILL COM 88830M102 5,649 212,300 SH SOLE 212,300
TJX COS INC NEW COM 872540109 1,517 30,500 SH SOLE 30,500
TORO CO COM 891092108 5,079 76,700 SH SOLE 76,700
TOTAL S A SPONSORED ADR 89151E109 2,963 48,600 SH SOLE 48,600
TPC GROUP INC COM 89236Y104 4,059 140,600 SH SOLE 140,600
TRACTOR SUPPLY CO COM 892356106 11,685 195,200 SH SOLE 195,200
TRIMAS CORP COM 896215209 4,814 223,900 SH SOLE 223,900
TRW AUTOMOTIVE HLDGS CORP COM 87264S106 11,749 213,300 SH SOLE 213,300
TUESDAY MORNING CORP COM 899035505 3,496 713,400 SH SOLE 713,400
U S AIRWAYS GROUP INC COM 90341W108 7,797 895,200 SH SOLE 895,200
ULTA SALON COSMETCS & FRAG INC COM 90384S303 8,524 177,100 SH SOLE 177,100
ULTRA CLEAN HLDGS INC COM 90385V107 691 66,780 SH SOLE 66,780
UNITED CONTL HLDGS INC COM 910047109 8,559 372,300 SH SOLE 372,300
UNITED RENTALS INC COM 911363109 5,574 167,500 SH SOLE 167,500
UNIVERSAL AMERICAN CORP COM 913377107 827 36,100 SH SOLE 36,100
VALASSIS COMMUNICATIONS INC COM 918866104 4,225 145,000 SH SOLE 145,000
VERIZON COMMUNICATIONS INC COM 92343V104 8,899 230,900 SH SOLE 230,900
VODAFONE GROUP PLC NEW SPONS ADR NEW 92857W209 2,691 93,600 SH SOLE 93,600
WASTE MGMT INC DEL COM 94106L109 2,786 74,600 SH SOLE 74,600
WESTELL TECH INC CL A 957541105 38 10,890 SH SOLE 10,890
WESTERN DIGITAL CORP COM 958102105 1,249 33,500 SH SOLE 33,500
WESTERN REFNG INC COM 959319104 6,285 370,800 SH SOLE 370,800
WHIRLPOOL CORP COM 963320106 504 5,900 SH SOLE 5,900
WILLIAMS SONOMA INC COM 969904101 5,650 139,500 SH SOLE 139,500
WYNDHAM WORLDWIDE CORP COM 98310W108 4,975 156,400 SH SOLE 156,400
YUM BRANDS INC COM 988498101 1,721 33,500 SH SOLE 33,500
ZIONS BANCORPORATION COM 989701107 549 23,800 SH SOLE 23,800
TOTAL 690,949