UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 13F
FORM 13F COVER PAGE
Report for the Calendar Year or Quarter Ended: December 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 January 31, 2012
--------------------------------------------------------------------------------
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: 218
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Form 13F Information Table Value Total: $567,829
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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
------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- -------
AAR CORP COM 000361105 353 18,400 SH SOLE 18,400
AARONS INC COM PAR $0.50 002535300 542 20,300 SH SOLE 20,300
ABBOTT LABORATORIES COM 002824100 2,553 45,400 SH SOLE 45,400
ADVANCE AUTO PARTS INC COM 00751Y106 1,622 23,300 SH SOLE 23,300
AETNA INC NEW COM 00817Y108 1,586 37,600 SH SOLE 37,600
AIR TRANSPORT SERVICES GRP COM 00922R105 1,989 421,500 SH SOLE 421,500
ALLIANT ENERGY CORP COM 018802108 5,112 115,900 SH SOLE 115,900
ALTRA HOLDINGS INC COM 02208R106 419 22,250 SH SOLE 22,250
ALTRIA GROUP INC COM 02209S103 2,624 88,500 SH SOLE 88,500
AMC NETWORKS INC CL A 00164V103 429 11,425 SH SOLE 11,425
AMERCO COM 023586100 2,846 32,200 SH SOLE 32,200
AMERIGROUP CORP COM 03073T102 455 7,700 SH SOLE 7,700
AMTRUST FINANCIAL SERVICES COM 032359309 563 23,700 SH SOLE 23,700
ANN INC COM 035623107 3,112 125,600 SH SOLE 125,600
APOLLO GROUP INC CL A 037604105 2,069 38,400 SH SOLE 38,400
APPLIED MATLS INC COM 038222105 1,153 107,700 SH SOLE 107,700
ASHFORD HOSPITALITY TR INC COM SHS 044103109 2,642 330,200 SH SOLE 330,200
AT&T INC COM 00206R102 7,330 242,400 SH SOLE 242,400
ATLAS ENERGY LP COM UNITS LP 04930A104 5,528 227,500 SH SOLE 227,500
ATLAS PIPELINE PARTNERS LP UNIT L P INT 049392103 5,034 135,500 SH SOLE 135,500
AUTOLIV INC COM 052800109 1,113 20,800 SH SOLE 20,800
AUTOMATIC DATA PROCESSING COM 053015103 2,598 48,100 SH SOLE 48,100
AUTONATION INC COM 05329W102 527 14,300 SH SOLE 14,300
AXCELIS TECHNOLOGIES INC COM 054540109 16 12,400 SH SOLE 12,400
BCE INC COM NEW 05534B760 2,775 66,600 SH SOLE 66,600
BEST BUY CO INC COM 086516101 1,234 52,800 SH SOLE 52,800
BOEING CO COM 097023105 1,489 20,300 SH SOLE 20,300
BORGWARNER INC COM 099724106 3,206 50,300 SH SOLE 50,300
BRISTOL MYERS SQUIBB CO COM 110122108 2,925 83,000 SH SOLE 83,000
BUCKEYE TECHNOLOGIES INC COM 118255108 5,360 160,300 SH SOLE 160,300
CABELAS INC COM 126804301 521 20,500 SH SOLE 20,500
CABLEVISION SYS CORP CL A NY CABLVS 12686C109 486 34,200 SH SOLE 34,200
CAMPBELL SOUP CO COM 134429109 3,680 110,700 SH SOLE 110,700
CASCADE CORP COM 147195101 495 10,500 SH SOLE 10,500
CASEYS GEN STORES INC COM 147528103 5,203 101,000 SH SOLE 101,000
CASH AMER INTL INC COM 14754D100 459 9,850 SH SOLE 9,850
CBS CORP CL B 124857202 550 20,250 SH SOLE 20,250
CENTERPOINT ENERGY INC COM 15189T107 4,570 227,500 SH SOLE 227,500
CENTURYLINK INC COM 156700106 1,920 51,600 SH SOLE 51,600
CHEVRON CORP NEW COM 166764100 7,198 67,650 SH SOLE 67,650
CHICOS FAS INC COM 168615102 401 36,000 SH SOLE 36,000
CHINA MOBILE LIMITED SPONSORED ADR 16941M109 2,066 42,600 SH SOLE 42,600
CIGNA CORPORATION COM 125509109 1,415 33,700 SH SOLE 33,700
CIMAREX ENERGY CO COM 171798101 1,071 17,300 SH SOLE 17,300
CLIFFS NATURAL RESOURCES INC COM 18683K101 1,166 18,700 SH SOLE 18,700
CMS ENERGY CORP COM 125896100 5,067 229,500 SH SOLE 229,500
COMMERCIAL VEHICLE GROUP COM 202608105 1,736 192,000 SH SOLE 192,000
COMP SIDERURGICA NAC SPONSORED ADR 20440W105 1,052 128,600 SH SOLE 128,600
CONAGRA FOODS INC COM 205887102 2,669 101,100 SH SOLE 101,100
CONOCOPHILLIPS COM 20825C104 2,565 35,200 SH SOLE 35,200
CORN PRODUCTS INTL INC COM 219023108 526 10,000 SH SOLE 10,000
COST PLUS INC COM 221485105 3,188 327,000 SH SOLE 327,000
COVENTRY HEALTH CARE INC COM 222862104 463 15,250 SH SOLE 15,250
CPI CORP COM 125902106 213 117,800 SH SOLE 117,800
CROSSTEX ENERGY INC COM 22765Y104 549 43,400 SH SOLE 43,400
CVR ENERGY INC COM 12662P108 399 21,300 SH SOLE 21,300
DDI CORP COM 0.0001 NEW 233162502 2,726 292,150 SH SOLE 292,150
DELL INC COM 24702R101 1,404 96,000 SH SOLE 96,000
DFC GLOBAL CORP COM 23324T107 461 25,550 SH SOLE 25,550
DIAGEO P L C SPON ADR NEW 25243Q205 2,561 29,300 SH SOLE 29,300
DIAMOND OFFSHORE DRILLING COM 25271C102 1,271 23,000 SH SOLE 23,000
DILLARDS INC CL A 254067101 4,555 101,500 SH SOLE 101,500
DINEEQUITY INC COM 254423106 2,558 60,600 SH SOLE 60,600
DIRECTV COM CL A 25490A101 1,385 32,400 SH SOLE 32,400
DISH NETWORK CORP CL A 25470M109 2,078 72,950 SH SOLE 72,950
DOMINOS PIZZA INC COM 25754A201 5,890 173,500 SH SOLE 173,500
DR PEPPER SNAPPLE GROUP INC COM 26138E109 4,734 119,900 SH SOLE 119,900
DSW INC CL A 23334L102 455 10,300 SH SOLE 10,300
DU PONT E I DE NEMOURS & CO COM 263534109 6,874 150,150 SH SOLE 150,150
DYCOM INDS INC COM 267475101 678 32,400 SH SOLE 32,400
EASTMAN CHEM CO COM 277432100 1,184 30,300 SH SOLE 30,300
EDUCATION MGMT CORP NEW COM 28140M103 599 21,400 SH SOLE 21,400
EMCORE CORP COM 290846104 13 15,360 SH SOLE 15,360
ENI S P A SPONSORED ADR 26874R108 2,035 49,300 SH SOLE 49,300
ENPRO INDUSTRIES INC COM 29355X107 376 11,400 SH SOLE 11,400
ENTERPRISE PRODS PARTNERS L P COM 293792107 2,342 50,500 SH SOLE 50,500
EXXON MOBIL CORP COM 30231G102 1,678 19,800 SH SOLE 19,800
FAMILY DOLLAR STORES INC COM 307000109 4,705 81,600 SH SOLE 81,600
FINISH LINE INC CL A 317923100 478 24,800 SH SOLE 24,800
FOOT LOCKER INC COM 344849104 572 24,000 SH SOLE 24,000
FOREST LABORATORIES COM 345838106 1,446 47,800 SH SOLE 47,800
FRANCE TELECOM SPONSORED ADR 35177Q105 1,496 95,500 SH SOLE 95,500
FREEPORT-MCMORAN COP & GOLD COM 35671D857 1,225 33,300 SH SOLE 33,300
GAP INC COM 364760108 1,302 70,200 SH SOLE 70,200
GENERAL COMMUNICATION INC CL A 369385109 2,643 270,000 SH SOLE 270,000
GENERAL DYNAMICS CORP COM 369550108 1,428 21,500 SH SOLE 21,500
GENERAL ELECTRIC CO COM 369604103 4,255 237,600 SH SOLE 237,600
GENERAL MILLS INC COM 370334104 4,134 102,300 SH SOLE 102,300
GENESCO INC COM 371532102 5,767 93,400 SH SOLE 93,400
GENIE ENERGY LTD CL B 372284208 927 116,900 SH SOLE 116,900
GENUINE PARTS CO COM 372460105 5,159 84,300 SH SOLE 84,300
GILEAD SCIENCES INC COM 375558103 1,613 39,400 SH SOLE 39,400
GLAXOSMITHKLINE PLC SPONSORED ADR 37733W105 2,542 55,700 SH SOLE 55,700
GOODYEAR TIRE & RUBR CO COM 382550101 444 31,300 SH SOLE 31,300
GRACE W R & CO COM 38388F108 558 12,150 SH SOLE 12,150
GREENBRIER COS INC COM 393657101 3,569 147,000 SH SOLE 147,000
GRUPO FINANCIERO GALICIA S A SP ADR 10 SH B 399909100 1,291 217,700 SH SOLE 217,700
HARRIS CORP COM 413875105 1,182 32,800 SH SOLE 32,800
HCA HOLDINGS INC COM 40412C101 1,024 46,500 SH SOLE 46,500
HEALTHSPRING INC COM 42224N101 671 12,300 SH SOLE 12,300
HEINZ H J CO COM 423074103 2,453 45,400 SH SOLE 45,400
HEWLETT PACKARD CO COM 428236103 1,007 39,100 SH SOLE 39,100
HOLLYFRONTIER CORP COM 436106108 365 15,600 SH SOLE 15,600
HSN INC COM 404303109 4,877 134,500 SH SOLE 134,500
HUMANA INC COM 444859102 1,796 20,500 SH SOLE 20,500
IDT CORP CL B NEW 448947507 1,097 116,900 SH SOLE 116,900
INNOPHOS HOLDINGS INC COM 45774N108 551 11,350 SH SOLE 11,350
INNOSPEC INC COM 45768S105 4,345 154,800 SH SOLE 154,800
INTEL CORP COM 458140100 9,940 409,900 SH SOLE 409,900
INTERFACE INC CL A 458665106 2,498 216,500 SH SOLE 216,500
INTERNATIONAL BUSINESS MACH COM 459200101 1,747 9,500 SH SOLE 9,500
IPASS INC COM 46261V108 31 22,080 SH SOLE 22,080
ISTAR FINANCIALINC COM 45031U101 2,552 482,500 SH SOLE 482,500
JABIL CIRCUIT INC COM 466313103 4,732 240,700 SH SOLE 240,700
JOHNSON & JOHNSON COM 478160104 7,224 110,150 SH SOLE 110,150
KELLOGG CO COM 487836108 2,266 44,800 SH SOLE 44,800
KEMET CORP COM NEW 488360207 1,845 261,700 SH SOLE 261,700
KIMBERLY CLARK CORP COM 494368103 4,333 58,900 SH SOLE 58,900
KRAFT FOODS INC CL A 50075N104 7,274 194,700 SH SOLE 194,700
KRISPY KREME DOUGHNUTS INC COM 501014104 3,045 465,590 SH SOLE 465,590
KT CORP SPONSORED ADR 48268K101 1,559 99,700 SH SOLE 99,700
LAM RESEARCH CORP COM 512807108 1,259 34,000 SH SOLE 34,000
LIBBEY INC COM 529898108 2,965 232,700 SH SOLE 232,700
LILLY ELI & CO COM 532457108 4,368 105,100 SH SOLE 105,100
LIMITED BRANDS INC COM 532716107 1,545 38,300 SH SOLE 38,300
LITHIA MOTORS INC CL A 536797103 608 27,800 SH SOLE 27,800
LKQ CORP COM 501889208 5,059 168,200 SH SOLE 168,200
LOCKHEED MARTIN CORP COM 539830109 4,183 51,700 SH SOLE 51,700
LSB INDS INC COM 502160104 356 12,700 SH SOLE 12,700
MACQUARIE INFRASTR CO LLC MEMBERSHIP INT 55608B105 593 21,200 SH SOLE 21,200
MARSH & MCLENNAN COS INC COM 571748102 2,713 85,800 SH SOLE 85,800
MATERION CORP COM 576690101 2,129 87,700 SH SOLE 87,700
MATTEL INC COM 577081102 4,261 153,500 SH SOLE 153,500
MCDONALDS CORP COM 580135101 3,120 31,100 SH SOLE 31,100
MEDCATH CORP COM 58404W109 1,824 250,260 SH SOLE 250,260
MENS WEARHOUSE INC COM 587118100 540 16,650 SH SOLE 16,650
MERCER INTL INC COM 588056101 3,025 495,900 SH SOLE 495,900
MERCK & CO COM 58933Y105 7,851 208,250 SH SOLE 208,250
METROPCS COMMUNICATIONS COM 591708102 286 32,900 SH SOLE 32,900
MICROSOFT CORP COM 594918104 1,643 63,300 SH SOLE 63,300
MOBILE TELESYSTEMS SPONSORED ADR 607409109 1,499 102,100 SH SOLE 102,100
MRV COMMUNICATIONS INC COM 553477100 17 19,310 SH SOLE 19,310
MUELLER INDS INC COM 624756102 4,620 120,250 SH SOLE 120,250
NACCO INDS INC CL A 629579103 2,802 31,400 SH SOLE 31,400
NEW JERSEY RES COM 646025106 5,156 104,800 SH SOLE 104,800
NEWCASTLE INVT CORP COM 65105M108 2,645 568,900 SH SOLE 568,900
NEWMONT MINING CORP COM 651639106 1,806 30,100 SH SOLE 30,100
NEWPORT CORP COM 651824104 2,683 197,100 SH SOLE 197,100
NISOURCE INC COM 65473P105 5,033 211,400 SH SOLE 211,400
NOKIA CORP SPONSORED ADR 654902204 1,022 212,000 SH SOLE 212,000
NORDSTROM INC COM 655664100 1,640 33,000 SH SOLE 33,000
ONEOK PARTNERS LP UNIT LTD PARTN 68268N103 5,722 99,100 SH SOLE 99,100
OPNEXT INC COM 68375V105 9 10,710 SH SOLE 10,710
OXFORD INDS INC COM 691497309 693 15,350 SH SOLE 15,350
PENSKE AUTOMOTIVE GRP INC COM 70959W103 458 23,800 SH SOLE 23,800
PETROCHINA CO LTD SPONSORED ADR 71646E100 2,101 16,900 SH SOLE 16,900
PETSMART INC COM 716768106 5,165 100,700 SH SOLE 100,700
PFIZER INC COM 717081103 8,624 398,500 SH SOLE 398,500
PHILIP MORRIS INTL INC COM 718172109 2,888 36,800 SH SOLE 36,800
PIER 1 IMPORTS INC COM 720279108 4,451 319,500 SH SOLE 319,500
PINNACLE WEST CAP CORP COM 723484101 5,001 103,800 SH SOLE 103,800
PITNEY BOWES INC COM 724479100 1,737 93,700 SH SOLE 93,700
POWER ONE INC NEW COM 73930R102 1,182 302,300 SH SOLE 302,300
PRICESMART INC COM 741511109 11,315 162,600 SH SOLE 162,600
PROCTER & GAMBLE CO COM 742718109 3,883 58,200 SH SOLE 58,200
PROGRESSIVE CORP OHIO COM 743315103 1,465 75,100 SH SOLE 75,100
QUAKER CHEM CORP COM 747316107 3,203 82,360 SH SOLE 82,360
QUIKSILVER INC COM 74838C106 2,393 663,000 SH SOLE 663,000
RAYTHEON CO COM NEW 755111507 3,846 79,500 SH SOLE 79,500
ROCHE HLDG LTD ADR 771195104 2,566 60,300 SH SOLE 60,300
ROCKWOOD HLDGS INC COM 774415103 384 9,750 SH SOLE 9,750
ROSS STORES INC COM 778296103 5,238 110,200 SH SOLE 110,200
ROYAL DUTCH SHELL PLC SPONSORED ADR A 780259206 2,441 33,400 SH SOLE 33,400
RUBY TUESDAY INC COM 781182100 1,699 246,300 SH SOLE 246,300
SALLY BEAUTY HLDGS INC COM 79546E104 6,244 295,500 SH SOLE 295,500
SANOFI-AVENTIS SPONSORED ADR 80105N105 2,375 65,000 SH SOLE 65,000
SAUER-DANFOSS INC COM 804137107 3,878 107,100 SH SOLE 107,100
SCANA CORP NEW COM 80589M102 5,096 113,100 SH SOLE 113,100
SONIC AUTOMOTIVE INC CL A 83545G102 561 37,850 SH SOLE 37,850
STATOIL ASA SPONSORED ADR 85771P102 2,633 102,800 SH SOLE 102,800
SUNOCO LOGISTICS PRTNRS L P COM UNITS LP 86764L108 5,764 146,300 SH SOLE 146,300
SUNOPTA INC COM 8676EP108 2,158 447,800 SH SOLE 447,800
SYKES ENTERPRISES INC COM 871237103 429 27,400 SH SOLE 27,400
SYSCO CORP COM 871829107 3,731 127,200 SH SOLE 127,200
TAIWAN SEMICONDUCTOR SPONSORED ADR 874039100 2,551 197,600 SH SOLE 197,600
TELEDYNE TECHNOLOGIES INC COM 879360105 4,832 88,100 SH SOLE 88,100
TELEFONICA S A SPONSORED ADR 879382208 1,528 88,900 SH SOLE 88,900
TENNECO INC COM 880349105 2,427 81,500 SH SOLE 81,500
TESORO CORP COM 881609101 4,350 186,200 SH SOLE 186,200
TEXAS INSTRS INC COM 882508104 1,339 46,000 SH SOLE 46,000
TIMKEN CO COM 887389104 3,902 100,800 SH SOLE 100,800
TITAN INTL INC ILL COM 88830M102 3,532 181,500 SH SOLE 181,500
TJX COS INC NEW COM 872540109 1,943 30,100 SH SOLE 30,100
TOTAL S A SPONSORED ADR 89151E109 2,080 40,700 SH SOLE 40,700
TOWERS WATSON & CO CL A 891894107 4,509 75,232 SH SOLE 75,232
TPC GROUP INC COM 89236Y104 3,101 132,900 SH SOLE 132,900
TRACTOR SUPPLY CO COM 892356106 5,493 78,300 SH SOLE 78,300
TRAVELERS COMPANIES INC COM 89417E109 1,509 25,500 SH SOLE 25,500
TRIMAS CORP COM NEW 896215209 3,071 171,100 SH SOLE 171,100
TRIUMPH GROUP INC NEW COM 896818101 5,377 92,000 SH SOLE 92,000
TRW AUTOMOTIVE HLDGS CORP COM 87264S106 2,999 92,000 SH SOLE 92,000
TUESDAY MORNING CORP COM NEW 899035505 2,105 610,100 SH SOLE 610,100
U S AIRWAYS GROUP INC COM 90341W108 1,562 308,100 SH SOLE 308,100
UIL HLDG CORP COM 902748102 5,037 142,400 SH SOLE 142,400
UNITED CONTL HLDGS INC COM 910047109 2,434 129,000 SH SOLE 129,000
UNITED RENTALS INC COM 911363109 4,232 143,200 SH SOLE 143,200
UNITEDHEALTH GROUP INC COM 91324P102 1,627 32,100 SH SOLE 32,100
UNIVERSAL STAINLESS & ALLOY COM 913837100 483 12,930 SH SOLE 12,930
VALUEVISION MEDIA INC CL A 92047K107 132 70,100 SH SOLE 70,100
VERIZON COMMUNICATIONS INC COM 92343V104 8,461 210,900 SH SOLE 210,900
VODAFONE GROUP PLC SPONSORED ADR NEW 92857W209 2,198 78,400 SH SOLE 78,400
WAL MART STORES INC COM 931142103 1,739 29,100 SH SOLE 29,100
WALGREEN CO COM 931422109 1,203 36,400 SH SOLE 36,400
WASTE MGMT INC COM 94106L109 2,044 62,500 SH SOLE 62,500
WESTAR ENERGY INC COM 95709T100 4,993 173,500 SH SOLE 173,500
WESTELL TECH INC CL A 957541105 23 10,580 SH SOLE 10,580
WESTERN REFNG INC COM 959319104 4,550 342,400 SH SOLE 342,400
WORLD FUEL SVCS CORP COM 981475106 5,222 124,400 SH SOLE 124,400
TOTAL 567,829