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, 2009
------------------
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 13, 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: 214
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Form 13F Information Table Value Total: $698,235
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(thousands)
List of Other Included Managers: NONE
Page 1 of 10 12/31/2009
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
----------------------------------------------------------------------------------------------------------------------------------
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3M CO COM 88579Y101 1,877 22,700 SH SOLE 22,700
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99 CENTS ONLY STORES COM 65440K106 503 38,500 SH SOLE 38,500
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AARONS INC COM 002535201 471 17,000 SH SOLE 17,000
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ACERGY S A ADR 00443E104 4,548 291,350 SH SOLE 291,350
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ADVANCE AMER CASH ADVANCE
CTRS COM 00739W107 4,090 735,600 SH SOLE 735,600
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ADVANCED MICRO DEVICES INC COM 007903107 5,873 606,700 SH SOLE 606,700
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AEROPOSTALE COM 007865108 4,011 117,800 SH SOLE 117,800
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ALCOA INC COM 013817101 1,997 123,890 SH SOLE 123,890
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ALTRIA GROUP INC COM 02209S103 2,929 149,200 SH SOLE 149,200
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AMERICAN AXLE & MFG HLDGS
INC COM 024061103 5,118 638,200 SH SOLE 638,200
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AMERICAN EXPRESS CO COM 025816109 3,300 81,440 SH SOLE 81,440
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AMERICREDIT CORP COM 03060R101 10,223 536,900 SH SOLE 536,900
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APAC CUSTOMER SERVICES INC COM 00185E106 610 102,300 SH SOLE 102,300
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AT&T INC COM 00206R102 6,955 248,140 SH SOLE 248,140
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AUTOMATIC DATA PROCESSING
INC COM 053015103 2,997 70,000 SH SOLE 70,000
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AVON PRODS INC COM 054303102 1,644 52,200 SH SOLE 52,200
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BAKER HUGHES INC COM 057224107 1,218 30,100 SH SOLE 30,100
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BAKER MICHAEL CORP COM 057149106 530 12,800 SH SOLE 12,800
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BALL CORP COM 058498106 5,242 101,400 SH SOLE 101,400
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BCE INC ADR 05534B760 3,153 114,200 SH SOLE 114,200
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BEST BUY INC COM 086516101 1,140 28,900 SH SOLE 28,900
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BIG 5 SPORTING GOODS CORP COM 08915P101 4,336 252,400 SH SOLE 252,400
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Page 2 of 10 12/31/2009
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
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
BIO-REFERENCE LABS INC COM 09057G602 651 16,600 SH SOLE 16,600
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BLACK BOX CORP DEL COM 091826107 405 14,300 SH SOLE 14,300
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BOEING CO COM 097023105 7,551 139,500 SH SOLE 139,500
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BOOTS&COOTS/INTL WELL
CONTRL COM 099469504 30 18,180 SH SOLE 18,180
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BP PLC ADR 055622104 3,020 52,100 SH SOLE 52,100
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BRASKEM S A ADR 105532105 4,930 300,400 SH SOLE 300,400
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BRISTOL MYERS SQUIBB CO COM 110122108 2,856 113,100 SH SOLE 113,100
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BROADRIDGE FINL SOLUTIONS
INC COM 11133T103 5,157 228,600 SH SOLE 228,600
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BRUNSWICK CORP COM 117043109 5,245 412,700 SH SOLE 412,700
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BUCYRUS INTL INC NEW COM 118759109 4,746 84,200 SH SOLE 84,200
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BWAY HOLDING COMPANY COM 12429T104 621 32,300 SH SOLE 32,300
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CALAVO GROWERS INC COM 128246105 442 26,000 SH SOLE 26,000
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CALUMET SPECIALTY PRODS
PTNRS COM 131476103 4,273 233,100 SH SOLE 233,100
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CAMERON INTERNATIONAL CORP COM 13342B105 1,726 41,300 SH SOLE 41,300
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CAMPBELL SOUP CO COM 134429109 3,035 89,800 SH SOLE 89,800
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CANTEL MEDICAL CORP COM 138098108 710 35,180 SH SOLE 35,180
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CARDTRONICS INC COM 14161H108 4,136 373,600 SH SOLE 373,600
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CARMAX INC COM 143130102 5,325 219,600 SH SOLE 219,600
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CARTER INC COM 146229109 5,702 217,200 SH SOLE 217,200
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CATERPILLAR INC DEL COM 149123101 3,586 62,920 SH SOLE 62,920
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CENTRAL GARDEN & PET CO COM 153527205 540 54,300 SH SOLE 54,300
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CHEVRON CORP NEW COM 166764100 7,091 92,100 SH SOLE 92,100
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Page 3 of 10 12/31/2009
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
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
CHINA MOBILE LIMITED ADR 16941M109 2,995 64,500 SH SOLE 64,500
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CIGNA CORP COM 125509109 4,680 132,700 SH SOLE 132,700
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COACH INC COM 189754104 2,269 62,100 SH SOLE 62,100
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COCA COLA BOTTLING CO CONS COM 191098102 508 9,400 SH SOLE 9,400
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COCA COLA ENTERPRISES INC COM 191219104 5,120 241,500 SH SOLE 241,500
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COMPANHIA BRASILEIRA DE
DISTRB ADR 20440T201 4,913 65,400 SH SOLE 65,400
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COMPUTER SCIENCES CORP COM 205363104 5,816 101,100 SH SOLE 101,100
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CONAGRA FOODS INC COM 205887102 3,084 133,800 SH SOLE 133,800
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CONOCOPHILLIPS COM 20825C104 1,261 24,700 SH SOLE 24,700
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CONSOL ENERGY INC COM 20854P109 1,614 32,400 SH SOLE 32,400
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CONTINUCARE CORP COM 212172100 61 13,870 SH SOLE 13,870
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COOPER COS INC COM 216648402 4,883 128,100 SH SOLE 128,100
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COOPER INDUSTRIES PLC COM G24140108 1,676 39,300 SH SOLE 39,300
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COTT CORP QUE ADR 22163N106 5,226 637,300 SH SOLE 637,300
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CUBIC CORP COM 229669106 552 14,800 SH SOLE 14,800
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CUMMINS INC COM 231021106 1,821 39,700 SH SOLE 39,700
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DARDEN RESTAURANTS INC COM 237194105 5,001 142,600 SH SOLE 142,600
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DCP MIDSTREAM PARTNERS LP COM 23311P100 5,216 176,400 SH SOLE 176,400
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DEL MONTE FOODS CO COM 24522P103 4,952 436,700 SH SOLE 436,700
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DELL INC COM 24702R101 1,356 94,400 SH SOLE 94,400
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DENBURY RES INC COM 247916208 879 59,400 SH SOLE 59,400
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DIAGEO P L C ADR 25243Q205 3,019 43,500 SH SOLE 43,500
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Page 4 of 10 12/31/2009
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
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
DIAMOND OFFSHORE DRILLING
INC COM 25271C102 1,388 14,100 SH SOLE 14,100
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DISH NETWORK CORP COM 25470M109 1,871 90,100 SH SOLE 90,100
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DOLLAR THRIFTY AUTOMOTIVE
GP COM 256743105 1,375 53,700 SH SOLE 53,700
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DOLLAR TREE INC COM 256746108 4,820 99,800 SH SOLE 99,800
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DONNELLEY R R & SONS CO COM 257867101 3,113 139,800 SH SOLE 139,800
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DU PONT E I DE NEMOURS & CO COM 263534109 7,481 222,200 SH SOLE 222,200
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EATON CORP COM 278058102 2,977 46,800 SH SOLE 46,800
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EMERGENCY MEDICAL SVCS CORP COM 29100P102 5,680 104,900 SH SOLE 104,900
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EMERSON ELEC CO COM 291011104 4,503 105,700 SH SOLE 105,700
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ENCORE CAP GROUP INC COM 292554102 5,039 289,600 SH SOLE 289,600
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ENI S P A ADR 26874R108 3,021 59,700 SH SOLE 59,700
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ENSCO INTL LTD ADR 29358Q109 1,326 33,200 SH SOLE 33,200
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EOG RES INC COM 26875P101 1,469 15,100 SH SOLE 15,100
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EVERCORE PARTNERS INC COM 29977A105 812 26,700 SH SOLE 26,700
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EXXON MOBIL CORP COM 30231G10 961 14,100 SH SOLE 14,100
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FIRST HORIZON NATL CORP COM 32051710 569 42,448 SH SOLE 42,448
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FLUOR CORP NEW COM 343412102 1,149 25,500 SH SOLE 25,500
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FORCE PROTECTION INC COM 345203202 348 66,800 SH SOLE 66,800
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FORD MTR CO DEL COM 345370860 4,915 491,500 SH SOLE 491,500
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FOREST LABS INC COM 345838106 1,416 44,100 SH SOLE 44,100
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FUQI INTERNATIONAL INC ADR 36102A207 537 29,900 SH SOLE 29,900
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GAP INC DEL COM 364760108 1,630 77,800 SH SOLE 77,800
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Page 5 of 10 12/31/2009
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
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
GENCORP INC COM 368682100 3,690 527,200 SH SOLE 527,200
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GENERAL DYNAMICS CORP COM 369550108 1,691 24,800 SH SOLE 24,800
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GENERAL ELECTRIC CO COM 369604103 1,273 84,130 SH SOLE 84,130
----------------------------------------------------------------------------------------------------------------------------------
GLAXOSMITHKLINE PLC ADR 37733W105 2,996 70,900 SH SOLE 70,900
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GLOBAL CASH ACCESS HLDGS
INC COM 378967103 4,964 662,700 SH SOLE 662,700
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GOODRICH CORP COM 382388106 7,896 122,900 SH SOLE 122,900
----------------------------------------------------------------------------------------------------------------------------------
GSI COMMERCE INC COM 36238G102 4,804 189,200 SH SOLE 189,200
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GYMBOREE CORP COM 403777105 4,723 108,600 SH SOLE 108,600
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HALLIBURTON CO COM 406216101 1,667 55,400 SH SOLE 55,400
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HEINZ H J CO COM 423074103 3,015 70,500 SH SOLE 70,500
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HERSHEY CO COM 427866108 3,006 84,000 SH SOLE 84,000
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HESS CORP COM 42809H107 914 15,100 SH SOLE 15,100
----------------------------------------------------------------------------------------------------------------------------------
HHGREGG INC COM 42833L108 5,369 243,700 SH SOLE 243,700
----------------------------------------------------------------------------------------------------------------------------------
HOME DEPOT INC COM 437076102 5,615 194,100 SH SOLE 194,100
----------------------------------------------------------------------------------------------------------------------------------
HONEYWELL INTL INC COM 438516106 1,356 34,600 SH SOLE 34,600
----------------------------------------------------------------------------------------------------------------------------------
HUNTSMAN CORP COM 447011107 5,041 446,500 SH SOLE 446,500
----------------------------------------------------------------------------------------------------------------------------------
INTEL CORP COM 458140100 3,366 165,000 SH SOLE 165,000
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INTERNATIONAL BUSINESS
MACHS COM 459200101 1,322 10,100 SH SOLE 10,100
----------------------------------------------------------------------------------------------------------------------------------
ISLE OF CAPRI CASINOS INC COM 464592104 316 42,200 SH SOLE 42,200
----------------------------------------------------------------------------------------------------------------------------------
ITT CORP NEW COM 450911102 1,229 24,700 SH SOLE 24,700
----------------------------------------------------------------------------------------------------------------------------------
J & J SNACK FOODS CORP COM 466032109 579 14,500 SH SOLE 14,500
----------------------------------------------------------------------------------------------------------------------------------
JO-ANN STORES INC COM 47758P307 4,952 136,650 SH SOLE 136,650
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Page 6 of 10 12/31/2009
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
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
JOHNSON & JOHNSON COM 478160104 721 11,200 SH SOLE 11,200
----------------------------------------------------------------------------------------------------------------------------------
JOS A BANK CLOTHIERS INC COM 480838101 779 18,460 SH SOLE 18,460
----------------------------------------------------------------------------------------------------------------------------------
JPMORGAN CHASE & CO. COM 46625H100 1,117 26,800 SH SOLE 26,800
----------------------------------------------------------------------------------------------------------------------------------
KAPSTONE PAPER & PACKAGING
CRP COM 48562P103 5,580 566,510 SH SOLE 566,510
----------------------------------------------------------------------------------------------------------------------------------
KBR INC COM 48242W106 4,275 225,000 SH SOLE 225,000
----------------------------------------------------------------------------------------------------------------------------------
KIMBERLY CLARK CORP COM 494368103 2,982 46,800 SH SOLE 46,800
----------------------------------------------------------------------------------------------------------------------------------
KIRKLANDS INC COM 497498105 5,859 337,300 SH SOLE 337,300
----------------------------------------------------------------------------------------------------------------------------------
KNOLOGY INC COM 499183804 4,712 430,300 SH SOLE 430,300
----------------------------------------------------------------------------------------------------------------------------------
KRAFT FOODS INC COM 50075N104 6,012 221,200 SH SOLE 221,200
----------------------------------------------------------------------------------------------------------------------------------
LA Z BOY INC COM 505336107 4,414 463,200 SH SOLE 463,200
----------------------------------------------------------------------------------------------------------------------------------
LANCASTER COLONY CORP COM 513847103 5,442 109,500 SH SOLE 109,500
----------------------------------------------------------------------------------------------------------------------------------
LILLY ELI & CO COM 532457108 1,025 28,700 SH SOLE 28,700
----------------------------------------------------------------------------------------------------------------------------------
LIMITED BRANDS INC COM 532716107 3,117 162,000 SH SOLE 162,000
----------------------------------------------------------------------------------------------------------------------------------
LINCOLN EDL SVCS CORP COM 533535100 605 27,900 SH SOLE 27,900
----------------------------------------------------------------------------------------------------------------------------------
LINN ENERGY LLC COM 536020100 6,451 231,400 SH SOLE 231,400
----------------------------------------------------------------------------------------------------------------------------------
LOCKHEED MARTIN CORP COM 539830109 3,963 52,600 SH SOLE 52,600
----------------------------------------------------------------------------------------------------------------------------------
LUMBER LIQUIDATORS INC COM 55003Q103 4,684 174,770 SH SOLE 174,770
----------------------------------------------------------------------------------------------------------------------------------
M & F WORLDWIDE CORP COM 552541104 5,171 130,900 SH SOLE 130,900
----------------------------------------------------------------------------------------------------------------------------------
MADDEN STEVEN LTD COM 556269108 808 19,600 SH SOLE 19,600
----------------------------------------------------------------------------------------------------------------------------------
MARATHON OIL CORP COM 565849106 4,193 134,300 SH SOLE 134,300
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MARSH & MCLENNAN COS INC COM 571748102 3,018 136,700 SH SOLE 136,700
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MARTEN TRANS LTD COM 573075108 440 24,500 SH SOLE 24,500
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Page 7 of 10 12/31/2009
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
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
MASSEY ENERGY CORP COM 576206106 4,865 115,800 SH SOLE 115,800
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MASTERCARD INC COM 57636Q104 1,536 6,000 SH SOLE 6,000
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MATTEL INC COM 577081102 2,973 148,800 SH SOLE 148,800
----------------------------------------------------------------------------------------------------------------------------------
MCDONALDS CORP COM 580135101 4,951 79,300 SH SOLE 79,300
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MCGRAW HILL COS INC COM 580645109 1,652 49,300 SH SOLE 49,300
----------------------------------------------------------------------------------------------------------------------------------
MEADWESTVACO CORP COM 583334107 3,083 107,700 SH SOLE 107,700
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MERCK & CO INC NEW COM 58933Y105 7,911 216,500 SH SOLE 216,500
----------------------------------------------------------------------------------------------------------------------------------
MOBILE TELESYSTEMS OJSC ADR 607409109 3,061 62,600 SH SOLE 62,600
----------------------------------------------------------------------------------------------------------------------------------
MOSAIC CO COM 61945A107 1,338 22,400 SH SOLE 22,400
----------------------------------------------------------------------------------------------------------------------------------
MURPHY OIL CORP COM 626717102 1,057 19,500 SH SOLE 19,500
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MYLAN INC COM 628530107 6,226 337,800 SH SOLE 337,800
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NATIONAL PRESTO INDS INC COM 637215104 780 7,140 SH SOLE 7,140
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NCI INC COM 62886K104 459 16,600 SH SOLE 16,600
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NEWMARKET CORP COM 651587107 11,385 99,200 SH SOLE 99,200
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NOBLE CORPORATION BAAR ADR H5833N103 1,506 37,000 SH SOLE 37,000
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NOKIA CORP ADR 654902204 3,060 238,100 SH SOLE 238,100
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NU SKIN ENTERPRISES INC COM 67018T105 4,294 159,800 SH SOLE 159,800
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NUCOR CORP COM 670346105 4,315 92,500 SH SOLE 92,500
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NUSTAR ENERGY LP COM 67058H102 567 10,100 SH SOLE 10,100
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O REILLY AUTOMOTIVE INC COM 686091109 4,982 130,700 SH SOLE 130,700
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OCCIDENTAL PETE CORP DEL COM 674599105 1,334 16,400 SH SOLE 16,400
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Page 8 of 10 12/31/2009
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 INC COM 681919106 1,535 39,200 SH SOLE 39,200
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OMNOVA SOLUTIONS INC COM 682129101 4,034 658,000 SH SOLE 658,000
----------------------------------------------------------------------------------------------------------------------------------
OPENTV CORP COM G67543101 34 24,870 SH SOLE 24,870
----------------------------------------------------------------------------------------------------------------------------------
P F CHANGS CHINA BISTRO INC COM 69333Y108 626 16,500 SH SOLE 16,500
----------------------------------------------------------------------------------------------------------------------------------
PATRIOT COAL CORP COM 70336T104 5,341 345,500 SH SOLE 345,500
----------------------------------------------------------------------------------------------------------------------------------
PEETS COFFEE & TEA INC COM 705560100 708 21,240 SH SOLE 21,240
----------------------------------------------------------------------------------------------------------------------------------
PEP BOYS MANNY MOE & JACK COM 713278109 463 54,700 SH SOLE 54,700
----------------------------------------------------------------------------------------------------------------------------------
PFIZER INC COM 717081103 6,947 381,930 SH SOLE 381,930
----------------------------------------------------------------------------------------------------------------------------------
PHILIP MORRIS INTL INC COM 718172109 2,935 60,900 SH SOLE 60,900
----------------------------------------------------------------------------------------------------------------------------------
PITNEY BOWES INC COM 724479100 3,835 168,500 SH SOLE 168,500
----------------------------------------------------------------------------------------------------------------------------------
PLAINS ALL AMERN PIPELINE
L P COM 726503105 5,407 102,300 SH SOLE 102,300
----------------------------------------------------------------------------------------------------------------------------------
PPG INDS INC COM 693506107 3,003 51,300 SH SOLE 51,300
----------------------------------------------------------------------------------------------------------------------------------
PRECISION CASTPARTS CORP COM 740189105 1,788 16,200 SH SOLE 16,200
----------------------------------------------------------------------------------------------------------------------------------
PROVIDENCE SVC CORP COM 743815102 4,776 302,300 SH SOLE 302,300
----------------------------------------------------------------------------------------------------------------------------------
REGENCY ENERGY PARTNERS
L P COM 75885Y107 4,802 229,200 SH SOLE 229,200
----------------------------------------------------------------------------------------------------------------------------------
REHABCARE GROUP INC COM 759148109 700 23,000 SH SOLE 23,000
----------------------------------------------------------------------------------------------------------------------------------
REVLON INC COM 761525609 4,093 240,600 SH SOLE 240,600
----------------------------------------------------------------------------------------------------------------------------------
REYNOLDS AMERICAN INC COM 761713106 2,919 55,100 SH SOLE 55,100
----------------------------------------------------------------------------------------------------------------------------------
ROCK-TENN CO COM 772739207 5,722 113,500 SH SOLE 113,500
----------------------------------------------------------------------------------------------------------------------------------
ROCKWELL COLLINS INC COM 774341101 1,644 29,700 SH SOLE 29,700
----------------------------------------------------------------------------------------------------------------------------------
ROSS STORES INC COM 778296103 4,463 104,500 SH SOLE 104,500
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Page 9 of 10 12/31/2009
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
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
ROYAL DUTCH SHELL PLC ADR 780259206 3,066 51,000 SH SOLE 51,000
----------------------------------------------------------------------------------------------------------------------------------
SANMINA SCI CORP COM 800907206 5,815 527,200 SH SOLE 527,200
----------------------------------------------------------------------------------------------------------------------------------
SARA LEE CORP COM 803111103 3,024 248,300 SH SOLE 248,300
----------------------------------------------------------------------------------------------------------------------------------
SCHLUMBERGER LTD COM 806857108 1,465 22,500 SH SOLE 22,500
----------------------------------------------------------------------------------------------------------------------------------
SCHWEITZER-MAUDUIT INTL
INC COM 808541106 6,465 91,900 SH SOLE 91,900
----------------------------------------------------------------------------------------------------------------------------------
SCOTTS MIRACLE GRO CO COM 810186106 4,808 122,300 SH SOLE 122,300
----------------------------------------------------------------------------------------------------------------------------------
SPARTAN MTRS INC COM 846819100 272 48,300 SH SOLE 48,300
----------------------------------------------------------------------------------------------------------------------------------
STIFEL FINL CORP COM 860630102 675 11,400 SH SOLE 11,400
----------------------------------------------------------------------------------------------------------------------------------
STURM RUGER & CO INC COM 864159108 402 41,400 SH SOLE 41,400
----------------------------------------------------------------------------------------------------------------------------------
SUNOCO LOGISTICS PRTNRS
L P COM 86764L108 649 9,700 SH SOLE 9,700
----------------------------------------------------------------------------------------------------------------------------------
SXC HEALTH SOLUTIONS CORP COM 78505P100 5,654 104,800 SH SOLE 104,800
----------------------------------------------------------------------------------------------------------------------------------
SYSCO CORP COM 871829107 3,023 108,200 SH SOLE 108,200
----------------------------------------------------------------------------------------------------------------------------------
TAIWAN SEMICONDUCTOR MFG
LTD ADR 874039100 3,085 269,700 SH SOLE 269,700
----------------------------------------------------------------------------------------------------------------------------------
TECH DATA CORP COM 878237106 10,755 230,500 SH SOLE 230,500
----------------------------------------------------------------------------------------------------------------------------------
TELEFONICA S A ADR 879382208 3,015 36,100 SH SOLE 36,100
----------------------------------------------------------------------------------------------------------------------------------
TELVENT GIT SA ADR E90215109 5,122 131,400 SH SOLE 131,400
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TETRA TECH INC NEW COM 88162G103 5,051 185,900 SH SOLE 185,900
----------------------------------------------------------------------------------------------------------------------------------
TEXAS INSTRS INC COM 882508104 1,540 59,100 SH SOLE 59,100
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TEXAS ROADHOUSE INC COM 882681109 530 47,200 SH SOLE 47,200
----------------------------------------------------------------------------------------------------------------------------------
TIM PARTICIPACOES S A ADR 88706P106 4,667 157,100 SH SOLE 157,100
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TJX COS INC NEW COM 872540109 1,382 37,800 SH SOLE 37,800
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Page 10 of 10 12/31/2009
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
-----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
TOTAL S A ADR 89151E109 3,074 48,000 SH SOLE 48,000
----------------------------------------------------------------------------------------------------------------------------------
TRACTOR SUPPLY CO COM 892356106 5,513 104,100 SH SOLE 104,100
----------------------------------------------------------------------------------------------------------------------------------
TUPPERWARE BRANDS CORP COM 899896104 6,054 130,000 SH SOLE 130,000
----------------------------------------------------------------------------------------------------------------------------------
ULTA SALON COSMETCS &
FRAG INC COM 90384S303 4,490 247,266 SH SOLE 247,266
----------------------------------------------------------------------------------------------------------------------------------
UNISYS CORP COM 909214306 5,229 135,600 SH SOLE 135,600
----------------------------------------------------------------------------------------------------------------------------------
UNITED NAT FOODS INC COM 911163103 554 20,700 SH SOLE 20,700
----------------------------------------------------------------------------------------------------------------------------------
UNITED PARCEL SERVICE INC COM 911312106 2,932 51,100 SH SOLE 51,100
----------------------------------------------------------------------------------------------------------------------------------
UNITED TECHNOLOGIES CORP COM 913017109 1,596 23,000 SH SOLE 23,000
----------------------------------------------------------------------------------------------------------------------------------
USA MOBILITY INC COM 90341G103 469 42,600 SH SOLE 42,600
----------------------------------------------------------------------------------------------------------------------------------
VERIZON COMMUNICATIONS INC COM 92343V104 6,952 209,850 SH SOLE 209,850
----------------------------------------------------------------------------------------------------------------------------------
VIRGIN MEDIA INC COM 92769L101 11,534 685,300 SH SOLE 685,300
----------------------------------------------------------------------------------------------------------------------------------
VIVO PARTICIPACOES S A ADR 92855S200 4,281 138,100 SH SOLE 138,100
----------------------------------------------------------------------------------------------------------------------------------
VODAFONE GROUP PLC NEW ADR 92857W209 3,059 132,500 SH SOLE 132,500
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WASTE MGMT INC DEL COM 94106L109 3,036 89,800 SH SOLE 89,800
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WATSON PHARMACEUTICALS INC COM 942683103 5,585 141,000 SH SOLE 141,000
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WESTERN DIGITAL CORP COM 958102105 2,380 53,900 SH SOLE 53,900
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WET SEAL INC -CL A CLASS A 961840105 38 10,940 SH SOLE 10,940
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WORLD FUEL SVCS CORP COM 981475106 6,481 241,900 SH SOLE 241,900
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XL CAP LTD ADR G98255105 4,410 240,600 SH SOLE 240,600
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TOTAL 698,235
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