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, 2012
----------------------
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 26, 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: 216
-----------
Form 13F Information Table Value Total: $714,696
-----------
(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 LABORATORIES COM 002824100 2,982 43,500 SH SOLE 43,500
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
ACETO CORP COM 004446100 27 2,870 SH SOLE 2,870
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
ADVANCE AUTO PARTS INC COM 00751Y106 1,533 22,400 SH SOLE 22,400
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
AETNA INC NEW COM 00817Y108 1,430 36,100 SH SOLE 36,100
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
ALAMO GROUP INC COM 011311107 28 820 SH SOLE 820
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
ALLIANT ENERGY CORP COM 018802108 5,641 130,000 SH SOLE 130,000
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
ALTRIA GROUP INC COM 02209S103 2,775 83,100 SH SOLE 83,100
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
AMC NETWORKS INC CL A 00164V103 475 10,925 SH SOLE 10,925
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
AMERICAN VANGUARD CORP COM 030371108 10,322 296,600 SH SOLE 296,600
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
AMERICAS CAR MART INC COM 03062T105 25 540 SH SOLE 540
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
AMN HEALTHCARE SVCS INC COM 001744101 32 3,220 SH SOLE 3,220
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
APOGEE ENTERPRISES INC COM 037598109 30 1,540 SH SOLE 1,540
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
APOLLO GROUP INC CL A 037604105 1,072 36,900 SH SOLE 36,900
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
APPLIED MATLS INC COM 038222105 1,154 103,400 SH SOLE 103,400
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
ARCELORMITTAL SA LUXEMBOURG NY REGISTRY SH 03938L104 1,704 118,000 SH SOLE 118,000
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
ARCTIC CAT INC COM 039670104 5,647 136,200 SH SOLE 136,200
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
ARGAN INC COM 04010E109 27 1,540 SH SOLE 1,540
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
ASSET ACCEPTANCE CAPITAL COM 04543P100 28 3,790 SH SOLE 3,790
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
AT&T INC COM 00206R102 10,051 266,600 SH SOLE 266,600
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
AUTOLIV INC COM 052800109 1,239 20,000 SH SOLE 20,000
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
AVON PRODS INC COM 054303102 2,153 135,000 SH SOLE 135,000
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
BAKER MICHAEL CORP COM 057149106 25 1,040 SH SOLE 1,040
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
BANCO SANTANDER SA ADR 05964H105 2,467 330,700 SH SOLE 330,700
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
BARRY R G CORP OHIO COM 068798107 25 1,710 SH SOLE 1,710
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
BCE INC COM NEW 05534B760 2,531 57,600 SH SOLE 57,600
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
BEST BUY INC COM 086516101 872 50,700 SH SOLE 50,700
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
BIOSCRIP INC COM 09069N108 29 3,180 SH SOLE 3,180
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
BOEING CO COM 097023105 1,358 19,500 SH SOLE 19,500
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
BP PLC SPONSORED ADR 055622104 2,287 54,000 SH SOLE 54,000
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
BRISTOL MYERS SQUIBB CO COM 110122108 2,410 71,400 SH SOLE 71,400
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
C D I CORP COM 125071100 25 1,490 SH SOLE 1,490
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
CABLEVISION SYS CORP CL A NY CABL VS 12686C109 520 32,800 SH SOLE 32,800
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
CALAMP CORP COM 128126109 30 3,640 SH SOLE 3,640
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
CAMBREX CORP COM 132011107 8,024 684,050 SH SOLE 684,050
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
CAMPBELL SOUP CO COM 134429109 4,213 121,000 SH SOLE 121,000
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
CARIBOU COFFEE INC COM 142042209 3,612 263,100 SH SOLE 263,100
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
CARNIVAL CORP PAIRED CT F 143658300 2,871 78,800 SH SOLE 78,800
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
CASEYS GEN STORES INC COM 147528103 6,480 113,400 SH SOLE 113,400
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
CECO ENVIRONMENTAL CORP COM 125141101 26 2,650 SH SOLE 2,650
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
CENTENE CORP DEL COM 15135B101 3,790 101,300 SH SOLE 101,300
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
CENTERPOINT ENERGY INC COM 15189T107 5,438 255,300 SH SOLE 255,300
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
CENTURYLINK INC COM 156700106 2,598 64,300 SH SOLE 64,300
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
CHEVRON CORP NEW COM 166764100 8,829 75,750 SH SOLE 75,750
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
CHURCHILL DOWNS INC COM 171484108 5,124 81,696 SH SOLE 81,696
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
CIGNA CORPORATION COM 125509109 1,524 32,300 SH SOLE 32,300
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
CIMAREX ENERGY CO COM 171798101 978 16,700 SH SOLE 16,700
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
CINTAS CORP COM 172908105 5,044 121,700 SH SOLE 121,700
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
CLIFFS NATURAL RESOURCES COM 18683K101 704 18,000 SH SOLE 18,000
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
CMS ENERGY CORP COM 125896100 6,064 257,500 SH SOLE 257,500
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
COMPUTER TASK GROUP INC COM 205477102 25 1,570 SH SOLE 1,570
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
CONAGRA FOODS INC COM 205887102 2,450 88,800 SH SOLE 88,800
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
CONOCOPHILLIPS COM 20825C104 1,876 32,800 SH SOLE 32,800
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
CRAY INC COM NEW 225223304 26 2,080 SH SOLE 2,080
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
CVS CAREMARK CORPORATION COM 126650100 5,215 107,700 SH SOLE 107,700
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
DELL INC COM 24702R101 909 92,200 SH SOLE 92,200
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
DIAMOND OFFSHORE DRILLING COM 25271C102 1,454 22,100 SH SOLE 22,100
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
DIRECTV COM 25490A309 1,637 31,200 SH SOLE 31,200
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
DISH NETWORK CORP CL A 25470M109 1,610 52,600 SH SOLE 52,600
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
DOLLAR GEN CORP NEW COM 256677105 5,638 109,385 SH SOLE 109,385
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
DOMINOS PIZZA INC COM 25754A201 11,672 309,600 SH SOLE 309,600
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
DR PEPPER SNAPPLE GROUP INC COM 26138E109 5,989 134,500 SH SOLE 134,500
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
DU PONT E I DE NEMOURS & CO COM 263534109 8,491 168,900 SH SOLE 168,900
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
DXP ENTERPRISES INC NEW COM NEW 233377407 5,957 124,700 SH SOLE 124,700
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
DYCOM INDS INC COM 267475101 2,872 199,700 SH SOLE 199,700
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
E PLUS INC COM 294268107 28 710 SH SOLE 710
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
EASTMAN CHEM CO COM 277432100 1,659 29,100 SH SOLE 29,100
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
ECHO GLOBAL LOGISTICS INC COM 27875T101 22 1,260 SH SOLE 1,260
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
EDAC TECHNOLOGIES CORP COM 279285100 24 1,700 SH SOLE 1,700
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
ELIZABETH ARDEN INC COM 28660G106 5,527 117,000 SH SOLE 117,000
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
EMERSON ELEC CO COM 291011104 2,331 48,300 SH SOLE 48,300
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
ENCANA CORP COM 292505104 3,010 137,300 SH SOLE 137,300
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
EXXON MOBIL CORP COM 30231G102 1,738 19,000 SH SOLE 19,000
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
FAMILY DLR STORES INC COM 307000109 6,066 91,500 SH SOLE 91,500
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
FEDERAL SIGNAL CORP COM 313855108 26 4,080 SH SOLE 4,080
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
FLEXSTEEL INDS INC COM 339382103 22 1,070 SH SOLE 1,070
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
FOOT LOCKER INC COM 344849104 6,152 173,300 SH SOLE 173,300
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
FOREST LABS INC COM 345838106 1,634 45,900 SH SOLE 45,900
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
FRANKLIN COVEY CO COM 353469109 28 2,360 SH SOLE 2,360
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
FREEPORT-MCMORAN COP & GOLD COM 35671D857 1,267 32,000 SH SOLE 32,000
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
FULLER H B CO COM 359694106 4,817 157,000 SH SOLE 157,000
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
GAP INC DEL COM 364760108 2,415 67,500 SH SOLE 67,500
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
GENERAL DYNAMICS CORP COM 369550108 1,362 20,600 SH SOLE 20,600
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
GENERAL ELECTRIC CO COM 369604103 6,853 301,750 SH SOLE 301,750
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
GENERAL MLS INC COM 370334104 1,586 39,800 SH SOLE 39,800
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
GENESCO INC COM 371532102 11,004 164,900 SH SOLE 164,900
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
GENUINE PARTS CO COM 372460105 5,773 94,600 SH SOLE 94,600
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
GILEAD SCIENCES INC COM 375558103 2,507 37,800 SH SOLE 37,800
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
GLAXOSMITHKLINE PLC SPONSORED ADR 37733W105 2,446 52,900 SH SOLE 52,900
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
GOLDFIELD CORP COM 381370105 22 11,540 SH SOLE 11,540
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
GORDMANS STORES INC COM 38269P100 24 1,280 SH SOLE 1,280
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
GP STRATEGIES CORP COM 36225V104 24 1,230 SH SOLE 1,230
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
GRACE W R & CO DEL NEW COM 38388F108 5,001 84,650 SH SOLE 84,650
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
GROUP 1 AUTOMOTIVE INC COM 398905109 4,993 82,900 SH SOLE 82,900
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
HARRIS CORP DEL COM 413875105 1,613 31,500 SH SOLE 31,500
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
HAVERTY FURNITURE COS INC COM 419596101 27 1,950 SH SOLE 1,950
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
HAWKINS INC COM 420261109 27 640 SH SOLE 640
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
HCA HOLDINGS INC COM 40412C101 1,486 44,700 SH SOLE 44,700
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
HEINZ H J CO COM 423074103 2,518 45,000 SH SOLE 45,000
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
HEWLETT PACKARD CO COM 428236103 641 37,600 SH SOLE 37,600
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
HSBC HLDGS PLC SPONS ADR NEW 404280406 2,788 60,000 SH SOLE 60,000
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
HSN INC COM 404303109 7,407 151,000 SH SOLE 151,000
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
HUMANA INC COM 444859102 1,382 19,700 SH SOLE 19,700
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
IEC ELECTRS CORP NEW COM 44949L105 27 4,050 SH SOLE 4,050
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
INNERWORKINGS INC COM 45773Y105 5,210 400,165 SH SOLE 400,165
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
INT BUSINESS MACHS COM 459200101 1,888 9,100 SH SOLE 9,100
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
INTEL CORP COM 458140100 8,679 382,650 SH SOLE 382,650
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
INTL PAPER CO COM 460146103 2,728 75,100 SH SOLE 75,100
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
JABIL CIRCUIT INC COM 466313103 5,054 270,000 SH SOLE 270,000
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
JOHNSON & JOHNSON COM 478160104 8,841 128,300 SH SOLE 128,300
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
JOHNSON OUTDOORS INC CL A 479167108 25 1,170 SH SOLE 1,170
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
JPMORGAN CHASE & CO. COM 46625H100 2,257 55,750 SH SOLE 55,750
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
KADANT INC COM 48282T104 25 1,090 SH SOLE 1,090
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
KANSAS CITY LIFE INS CO COM 484836101 26 670 SH SOLE 670
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
KELLOGG CO COM 487836108 2,433 47,100 SH SOLE 47,100
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
KIMBALL INTL INC CL B 494274103 26 2,160 SH SOLE 2,160
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
KIMBERLY CLARK CORP COM 494368103 4,752 55,400 SH SOLE 55,400
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
KRAFT FOODS INC CL A 50075N104 3,364 81,350 SH SOLE 81,350
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
LA Z BOY INC COM 505336107 4,892 334,400 SH SOLE 334,400
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
LAM RESEARCH CORP COM 512807108 1,036 32,600 SH SOLE 32,600
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
LEAPFROG ENTERPRISES INC CL A 52186N106 6,125 679,100 SH SOLE 679,100
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
LILLY ELI & CO COM 532457108 4,750 100,200 SH SOLE 100,200
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
LIMITED BRANDS INC COM 532716107 1,813 36,800 SH SOLE 36,800
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
LITHIA MTRS INC CL A 536797103 6,289 188,800 SH SOLE 188,800
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
LKQ CORP COM 501889208 6,982 377,400 SH SOLE 377,400
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
LOCKHEED MARTIN CORP COM 539830109 4,548 48,700 SH SOLE 48,700
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
LYDALL INC DEL COM 550819106 27 1,920 SH SOLE 1,920
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
M / I HOMES INC COM 55305B101 25 1,310 SH SOLE 1,310
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
MACYS INC COM 55616P104 4,864 129,300 SH SOLE 129,300
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
MATTEL INC COM 577081102 5,035 141,900 SH SOLE 141,900
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
MCDONALDS CORP COM 580135101 1,991 21,700 SH SOLE 21,700
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
MENS WEARHOUSE INC COM 587118100 4,288 124,550 SH SOLE 124,550
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
MERCK & CO INC NEW COM 58933Y105 9,430 209,100 SH SOLE 209,100
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
MET PRO CORP COM 590876306 23 2,590 SH SOLE 2,590
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
METROPOLITAN HEALTH NET COM 592142103 5,214 558,214 SH SOLE 558,214
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
MICROSOFT CORP COM 594918104 1,811 60,800 SH SOLE 60,800
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
MOLINA HEALTHCARE INC COM 60855R100 3,599 143,100 SH SOLE 143,100
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
MUELLER INDS INC COM 624756102 9,842 216,450 SH SOLE 216,450
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
N N INC COM 629337106 24 2,810 SH SOLE 2,810
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
NAVIGANT CONSULTING INC COM 63935N107 3,742 338,600 SH SOLE 338,600
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
NEENAH PAPER INC COM 640079109 5,347 186,705 SH SOLE 186,705
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
NETGEAR INC COM 64111Q104 4,260 111,700 SH SOLE 111,700
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
NEW JERSEY RES COM 646025106 5,377 117,600 SH SOLE 117,600
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
NEWMARKET CORP COM 651587107 5,842 23,700 SH SOLE 23,700
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
NEWMONT MINING CORP COM 651639106 1,619 28,900 SH SOLE 28,900
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
NISOURCE INC COM 65473P105 6,044 237,200 SH SOLE 237,200
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
NORDSTROM INC COM 655664100 1,749 31,700 SH SOLE 31,700
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
NORTHROP GRUMMAN CORP COM 666807102 2,657 40,000 SH SOLE 40,000
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
NUCOR CORP COM 670346105 2,162 56,500 SH SOLE 56,500
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
OIL DRI CORP AMER COM 677864100 25 1,070 SH SOLE 1,070
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
OLD DOMINION FGHT LINES INC COM 679580100 4,759 157,800 SH SOLE 157,800
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
ONEOK PARTNERS LP UNIT LTD PARTN 68268N103 11,460 192,600 SH SOLE 192,600
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
OXFORD INDS INC COM 691497309 5,202 92,150 SH SOLE 92,150
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
PAPA JOHNS INTL INC COM 698813102 6,222 116,500 SH SOLE 116,500
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
PC CONNECTION INC COM 69318J100 23 2,010 SH SOLE 2,010
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
PEPSICO INC COM 713448108 2,626 37,100 SH SOLE 37,100
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
PETSMART INC COM 716768106 7,795 113,000 SH SOLE 113,000
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
PFIZER INC COM 717081103 9,494 382,050 SH SOLE 382,050
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
PGT INC COM 69336V101 24 7,440 SH SOLE 7,440
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
PHI INC COM NON VTG 69336T205 27 860 SH SOLE 860
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
PHILIP MORRIS INTL INC COM 718172109 2,959 32,900 SH SOLE 32,900
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
PHILLIPS 66 COM 718546104 763 16,450 SH SOLE 16,450
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
PIER 1 IMPORTS INC COM 720279108 5,189 276,900 SH SOLE 276,900
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
PINNACLE WEST CAP CORP COM 723484101 6,146 116,400 SH SOLE 116,400
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
POOL CORPORATION COM 73278L105 5,535 133,109 SH SOLE 133,109
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
POWELL INDS INC COM 739128106 25 640 SH SOLE 640
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
PRICESMART INC COM 741511109 5,656 74,700 SH SOLE 74,700
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
PRIMORIS SVCS CORP COM 74164F103 3,739 286,500 SH SOLE 286,500
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
PROCTER & GAMBLE CO COM 742718109 8,927 128,700 SH SOLE 128,700
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
PROGRESSIVE CORP OHIO COM 743315103 1,495 72,100 SH SOLE 72,100
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
RAYTHEON CO COM 755111507 4,561 79,800 SH SOLE 79,800
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
REPUBLIC SVCS INC COM 760759100 2,393 87,000 SH SOLE 87,000
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
REYNOLDS AMERICAN INC COM 761713106 2,531 58,400 SH SOLE 58,400
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
ROSS STORES INC COM 778296103 13,756 212,940 SH SOLE 212,940
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
ROYAL DUTCH SHELL PLC SPONSORED ADR 780259206 2,374 34,200 SH SOLE 34,200
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
S W S GROUP INC COM 78503N107 26 4,190 SH SOLE 4,190
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
SALLY BEAUTY HLDGS INC COM 79546E104 13,009 518,500 SH SOLE 518,500
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
SANFILIPPO JOHN B & SON INC COM 800422107 19 1,440 SH SOLE 1,440
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
SCANA CORP NEW COM 80589M102 6,125 126,900 SH SOLE 126,900
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
SEAGATE TECHNOLOGY PLC SHS G7945M107 3,779 121,900 SH SOLE 121,900
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
SENECA FOODS CORP CL A 817070501 26 880 SH SOLE 880
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
SOUTHERN COPPER CORP COM 84265V105 2,330 67,800 SH SOLE 67,800
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
STANDARD MTR PRODS INC COM 853666105 3,750 203,600 SH SOLE 203,600
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
SUN LIFE FINL INC COM 866796105 2,795 120,300 SH SOLE 120,300
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
SUNOCO LOGISTICS PRTNRS L P COM UNITS LP 86764L108 7,660 164,200 SH SOLE 164,200
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
SUPREME INDS INC CL A 868607102 22 6,060 SH SOLE 6,060
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
SUSSER HLDGS CORP COM 869233106 6,912 191,100 SH SOLE 191,100
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
SYMMETRICOM INC COM 871543104 27 3,890 SH SOLE 3,890
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
SYSCO CORP COM 871829107 4,071 130,200 SH SOLE 130,200
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
TELEDYNE TECHNOLOGIES INC COM 879360105 6,269 98,900 SH SOLE 98,900
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
TESORO CORP COM 881609101 8,757 209,000 SH SOLE 209,000
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
TEXAS INSTRS INC COM 882508104 1,218 44,200 SH SOLE 44,200
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
THOMSON REUTERS CORP COM 884903105 2,442 84,600 SH SOLE 84,600
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
TIMKEN CO COM 887389104 1,081 29,100 SH SOLE 29,100
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
TJX COS INC NEW COM 872540109 8,592 191,830 SH SOLE 191,830
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
TOTAL S A SPONSORED ADR 89151E109 2,335 46,600 SH SOLE 46,600
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
TOWERS WATSON & CO CL A 891894107 4,479 84,432 SH SOLE 84,432
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
TRACTOR SUPPLY CO COM 892356106 5,390 54,500 SH SOLE 54,500
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
TRANSOCEAN LTD REG SHS H8817H100 2,482 55,300 SH SOLE 55,300
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
TRAVELCENTERS OF AMERICA LLC COM 894174101 24 4,530 SH SOLE 4,530
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
TRIUMPH GROUP INC NEW COM 896818101 10,943 175,000 SH SOLE 175,000
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
TRW AUTOMOTIVE HLDGS CORP COM 87264S106 1,167 26,700 SH SOLE 26,700
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
U S PHYSICAL THERAPY INC COM 90337L108 26 930 SH SOLE 930
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
UIL HLDG CORP COM 902748102 5,730 159,800 SH SOLE 159,800
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
UNITED RENTALS INC COM 911363109 3,716 113,600 SH SOLE 113,600
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
UNITEDHEALTH GROUP INC COM 91324P102 1,707 30,800 SH SOLE 30,800
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
VERIZON COMMUNICATIONS INC COM 92343V104 9,638 211,500 SH SOLE 211,500
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
VILLAGE SUPER MARKET INC CL A NEW 927107409 26 700 SH SOLE 700
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
VIRTUSA CORP COM 92827P102 26 1,450 SH SOLE 1,450
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
VOXX INTL CORP CL A 91829F104 2,682 358,500 SH SOLE 358,500
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
WALGREEN CO COM 931422109 1,275 35,000 SH SOLE 35,000
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
WAL-MART STORES INC COM 931142103 2,066 28,000 SH SOLE 28,000
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
WASTE MGMT INC DEL COM 94106L109 2,294 71,500 SH SOLE 71,500
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
WELLCARE HEALTH PLANS INC COM 94946T106 4,286 75,800 SH SOLE 75,800
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
WESTAR ENERGY INC COM 95709T100 5,775 194,700 SH SOLE 194,700
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
WHOLE FOODS MKT INC COM 966837106 5,956 61,150 SH SOLE 61,150
---------------------------- --------------- ---------- ------- --------- --- ----- ---------
WORLD FUEL SVCS CORP COM 981475106 4,971 139,600 SH SOLE 139,600
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TOTAL 714,696
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