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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, 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 October 9, 2009
--------------------------------------------------------------------------------
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: 221
----------------------
Form 13F Information Table Value Total: $678,710
----------------------
(thousands)
List of Other Included Managers: NONE
Page 1 of 10 09/30/2009
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
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
3M CO COM 88579Y101 1,734 23,500 SH SOLE 23,500
----------------------------------------------------------------------------------------------------------------------------------
99 CENTS ONLY STORES COM 65440K106 562 41,800 SH SOLE 41,800
----------------------------------------------------------------------------------------------------------------------------------
A T & T INC COM 00206R102 5,761 213,280 SH SOLE 213,280
----------------------------------------------------------------------------------------------------------------------------------
AAON INC COM 000360206 4,504 224,300 SH SOLE 224,300
----------------------------------------------------------------------------------------------------------------------------------
AARON'S INC COM 002535201 5,130 194,300 SH SOLE 194,300
----------------------------------------------------------------------------------------------------------------------------------
ACETO CORP COM 004446100 3,118 470,950 SH SOLE 470,950
----------------------------------------------------------------------------------------------------------------------------------
AECOM TECHNOLOGY CORP COM 00766T100 4,136 152,400 SH SOLE 152,400
----------------------------------------------------------------------------------------------------------------------------------
AEROPOSTALE INC COM 007865108 5,542 127,500 SH SOLE 127,500
----------------------------------------------------------------------------------------------------------------------------------
ALCOA INC COM 013817101 6,014 458,360 SH SOLE 458,360
----------------------------------------------------------------------------------------------------------------------------------
ALLIANZ SE -ADR ADR 018805101 2,498 200,200 SH SOLE 200,200
----------------------------------------------------------------------------------------------------------------------------------
ALLSTATE CORP COM 020002101 1,981 64,700 SH SOLE 64,700
----------------------------------------------------------------------------------------------------------------------------------
ALTRIA GROUP INC COM 02209S103 2,075 116,500 SH SOLE 116,500
----------------------------------------------------------------------------------------------------------------------------------
AMER ITALIAN PASTA CO
-CL A CLASS A 027070101 5,697 209,600 SH SOLE 209,600
----------------------------------------------------------------------------------------------------------------------------------
AMERICAN EXPRESS COMPANY COM 025816109 2,761 81,440 SH SOLE 81,440
----------------------------------------------------------------------------------------------------------------------------------
AMERICREDIT CORP COM 03060R101 5,094 322,600 SH SOLE 322,600
----------------------------------------------------------------------------------------------------------------------------------
AMERISAFE INC COM 03071H100 3,935 228,100 SH SOLE 228,100
----------------------------------------------------------------------------------------------------------------------------------
APAC CUSTOMER SERVICES INC COM 00185E106 657 110,900 SH SOLE 110,900
----------------------------------------------------------------------------------------------------------------------------------
APPLIED SIGNAL TECHNOLOGY COM 038237103 6,112 262,660 SH SOLE 262,660
----------------------------------------------------------------------------------------------------------------------------------
ARCELORMITTAL -ADR ADR 03938L104 3,057 82,300 SH SOLE 82,300
----------------------------------------------------------------------------------------------------------------------------------
AU OPTRONICS CORP -ADR ADR 002255107 2,980 307,800 SH SOLE 307,800
----------------------------------------------------------------------------------------------------------------------------------
AUTOZONE INC COM 053332102 4,913 33,600 SH SOLE 33,600
----------------------------------------------------------------------------------------------------------------------------------
AVON PRODUCTS COM 054303102 1,844 54,300 SH SOLE 54,300
----------------------------------------------------------------------------------------------------------------------------------
BAKER (MICHAEL) CORP COM 057149106 5,117 140,800 SH SOLE 140,800
----------------------------------------------------------------------------------------------------------------------------------
Page 2 of 10 09/30/2009
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
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
BAKER HUGHES INC COM 057224107 1,335 31,300 SH SOLE 31,300
----------------------------------------------------------------------------------------------------------------------------------
BALL CORP COM 058498106 5,353 108,800 SH SOLE 108,800
----------------------------------------------------------------------------------------------------------------------------------
BANK of AMERICA CORP COM 060505104 2,992 176,810 SH SOLE 176,810
----------------------------------------------------------------------------------------------------------------------------------
BB&T CORP COM 054937107 1,632 59,900 SH SOLE 59,900
----------------------------------------------------------------------------------------------------------------------------------
BEACON ROOFING SUPPLY INC COM 073685109 5,392 337,400 SH SOLE 337,400
----------------------------------------------------------------------------------------------------------------------------------
BEST BUY CO INC COM 086516101 1,129 30,100 SH SOLE 30,100
----------------------------------------------------------------------------------------------------------------------------------
BIO REFERENCE LABS COM 09057G602 619 18,000 SH SOLE 18,000
----------------------------------------------------------------------------------------------------------------------------------
BLACK BOX CORP COM 091826107 391 15,600 SH SOLE 15,600
----------------------------------------------------------------------------------------------------------------------------------
BOEING CO COM 097023105 3,877 71,600 SH SOLE 71,600
----------------------------------------------------------------------------------------------------------------------------------
BOOTS&COOTS/INTL WELL
CONTRL COM 099469504 29 18,180 SH SOLE 18,180
----------------------------------------------------------------------------------------------------------------------------------
BP PLC -ADS ADR 055622104 2,140 40,200 SH SOLE 40,200
----------------------------------------------------------------------------------------------------------------------------------
BRISTOL MYERS SQUIBB COM 110122108 1,853 82,300 SH SOLE 82,300
----------------------------------------------------------------------------------------------------------------------------------
BROADRIDGE FINANCIAL
SOLUTNS COM 11133T103 4,933 245,400 SH SOLE 245,400
----------------------------------------------------------------------------------------------------------------------------------
BWAY HOLDING CO COM 12429T104 648 35,000 SH SOLE 35,000
----------------------------------------------------------------------------------------------------------------------------------
CACI INTL INC -CL A CLASS A 127190304 4,907 103,800 SH SOLE 103,800
----------------------------------------------------------------------------------------------------------------------------------
CALAVO GROWERS INC COM 128246105 535 28,200 SH SOLE 28,200
----------------------------------------------------------------------------------------------------------------------------------
CAMERON INTERNATIONAL CORP COM 13342B105 1,626 43,000 SH SOLE 43,000
----------------------------------------------------------------------------------------------------------------------------------
CANTEL MEDICAL CORP COM 138098108 5,408 359,080 SH SOLE 359,080
----------------------------------------------------------------------------------------------------------------------------------
CARTER'S INC COM 146229109 12,723 476,500 SH SOLE 476,500
----------------------------------------------------------------------------------------------------------------------------------
CATERPILLAR INC COM 149123101 4,375 85,230 SH SOLE 85,230
----------------------------------------------------------------------------------------------------------------------------------
CBS CORP COM 124857202 2,850 236,500 SH SOLE 236,500
----------------------------------------------------------------------------------------------------------------------------------
CENTRAL GARDEN & PET CO COM 153527205 644 58,900 SH SOLE 58,900
----------------------------------------------------------------------------------------------------------------------------------
CHEVRON CORP COM 166764100 2,965 42,100 SH SOLE 42,100
----------------------------------------------------------------------------------------------------------------------------------
Page 3 of 10 09/30/2009
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
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
CITIGROUP INC COM 172967101 353 72,850 SH SOLE 72,850
----------------------------------------------------------------------------------------------------------------------------------
CNOOC LTD -ADR ADR 126132109 3,074 22,700 SH SOLE 22,700
----------------------------------------------------------------------------------------------------------------------------------
COACH INC COM 189754104 2,127 64,600 SH SOLE 64,600
----------------------------------------------------------------------------------------------------------------------------------
COCA-COLA BTLNG CONS COM 191098102 416 8,600 SH SOLE 8,600
----------------------------------------------------------------------------------------------------------------------------------
COCA-COLA ENTERPRISES INC COM 191219104 5,552 259,300 SH SOLE 259,300
----------------------------------------------------------------------------------------------------------------------------------
COMPUTER SCIENCES CORP COM 205363104 5,719 108,500 SH SOLE 108,500
----------------------------------------------------------------------------------------------------------------------------------
CONOCOPHILLIPS COM 20825C104 1,161 25,700 SH SOLE 25,700
----------------------------------------------------------------------------------------------------------------------------------
CONSOL ENERGY INC COM 20854P109 1,525 33,800 SH SOLE 33,800
----------------------------------------------------------------------------------------------------------------------------------
CONTINUCARE CORP COM 212172100 42 13,870 SH SOLE 13,870
----------------------------------------------------------------------------------------------------------------------------------
COOPER INDUSTRIES LTD COM G24140108 1,537 40,900 SH SOLE 40,900
----------------------------------------------------------------------------------------------------------------------------------
CORINTHIAN COLLEGES INC COM 218868107 5,308 286,000 SH SOLE 286,000
----------------------------------------------------------------------------------------------------------------------------------
COTT CORP ADR 22163N106 817 111,100 SH SOLE 111,100
----------------------------------------------------------------------------------------------------------------------------------
CREDIT SUISSE GROUP -ADR ADR 225401108 3,923 70,500 SH SOLE 70,500
----------------------------------------------------------------------------------------------------------------------------------
CSG SYSTEMS INTL INC COM 126349109 4,291 268,000 SH SOLE 268,000
----------------------------------------------------------------------------------------------------------------------------------
CUBIC CORP COM 229669106 632 16,000 SH SOLE 16,000
----------------------------------------------------------------------------------------------------------------------------------
CUMMINS INC COM 231021106 1,855 41,400 SH SOLE 41,400
----------------------------------------------------------------------------------------------------------------------------------
DAIMLER AG ADR D1668R123 2,958 58,800 SH SOLE 58,800
----------------------------------------------------------------------------------------------------------------------------------
DARDEN RESTAURANTS INC COM 237194105 5,225 153,100 SH SOLE 153,100
----------------------------------------------------------------------------------------------------------------------------------
DEL MONTE FOODS CO COM 24522P103 5,429 468,800 SH SOLE 468,800
----------------------------------------------------------------------------------------------------------------------------------
DELL INC COM 24702R101 1,500 98,300 SH SOLE 98,300
----------------------------------------------------------------------------------------------------------------------------------
DENBURY RESOURCES INC COM 247916208 937 61,900 SH SOLE 61,900
----------------------------------------------------------------------------------------------------------------------------------
DEUTSCHE TELEKOM AG -ADR ADR 251566105 1,628 119,200 SH SOLE 119,200
----------------------------------------------------------------------------------------------------------------------------------
DIAMOND OFFSHRE DRILLING
INC COM 25271C102 1,404 14,700 SH SOLE 14,700
----------------------------------------------------------------------------------------------------------------------------------
Page 4 of 10 09/30/2009
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
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
DISH NETWORK CORP COM 25470M109 1,807 93,800 SH SOLE 93,800
----------------------------------------------------------------------------------------------------------------------------------
DOLLAR THRIFTY AUTOMOTIVE
GP COM 256743105 1,431 58,200 SH SOLE 58,200
----------------------------------------------------------------------------------------------------------------------------------
DOLLAR TREE INC COM 256746108 10,685 219,500 SH SOLE 219,500
----------------------------------------------------------------------------------------------------------------------------------
DONNELLEY (R R) & SONS CO COM 257867101 3,095 145,600 SH SOLE 145,600
----------------------------------------------------------------------------------------------------------------------------------
DOW CHEMICAL COM 260543103 2,398 92,000 SH SOLE 92,000
----------------------------------------------------------------------------------------------------------------------------------
DU PONT (E I) DE NEMOURS COM 263534109 6,837 212,730 SH SOLE 212,730
----------------------------------------------------------------------------------------------------------------------------------
EMERGENCY MEDICAL SVCS CORP COM 29100P102 11,183 240,500 SH SOLE 240,500
----------------------------------------------------------------------------------------------------------------------------------
EMERSON ELECTRIC CO COM 291011104 1,451 36,200 SH SOLE 36,200
----------------------------------------------------------------------------------------------------------------------------------
ENCORE CAPITAL GROUP INC COM 292554102 624 46,400 SH SOLE 46,400
----------------------------------------------------------------------------------------------------------------------------------
ENI SPA -ADR ADR 26874R108 2,109 42,300 SH SOLE 42,300
----------------------------------------------------------------------------------------------------------------------------------
ENSCO INTERNATIONAL INC COM 26874Q100 1,468 34,500 SH SOLE 34,500
----------------------------------------------------------------------------------------------------------------------------------
ENSIGN GROUP INC COM 29358P101 3,951 281,630 SH SOLE 281,630
----------------------------------------------------------------------------------------------------------------------------------
ENTERPRISE PRODS PRTNER -LP COM 293792107 2,498 88,200 SH SOLE 88,200
----------------------------------------------------------------------------------------------------------------------------------
EOG RESOURCES INC COM 26875P101 1,311 15,700 SH SOLE 15,700
----------------------------------------------------------------------------------------------------------------------------------
EVERCORE PARTNERS INC COM 29977A105 847 29,000 SH SOLE 29,000
----------------------------------------------------------------------------------------------------------------------------------
EXXON MOBIL CORP COM 30231G102 1,009 14,700 SH SOLE 14,700
----------------------------------------------------------------------------------------------------------------------------------
FAMILY DOLLAR STORES COM 307000109 4,741 179,600 SH SOLE 179,600
----------------------------------------------------------------------------------------------------------------------------------
FGX INTERNATIONAL HLDNGS
LTD ADR G3396L102 4,789 343,300 SH SOLE 343,300
----------------------------------------------------------------------------------------------------------------------------------
FIRST BANCORP P R ADR 318672102 1,282 420,300 SH SOLE 420,300
----------------------------------------------------------------------------------------------------------------------------------
FIRST HORIZON NATIONAL CORP COM 320517105 599 45,309 SH SOLE 45,309
----------------------------------------------------------------------------------------------------------------------------------
FLUOR CORP COM 343412102 1,353 26,600 SH SOLE 26,600
----------------------------------------------------------------------------------------------------------------------------------
FORCE PROTECTION INC COM 345203202 395 72,400 SH SOLE 72,400
----------------------------------------------------------------------------------------------------------------------------------
FOREST LABORATORIES -CL A CLASS A 345838106 1,354 46,000 SH SOLE 46,000
----------------------------------------------------------------------------------------------------------------------------------
Page 5 of 10 09/30/2009
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
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
FUQI INTERNATIONAL INC ADR 36102A207 946 32,400 SH SOLE 32,400
----------------------------------------------------------------------------------------------------------------------------------
GAP INC COM 364760108 1,736 81,100 SH SOLE 81,100
----------------------------------------------------------------------------------------------------------------------------------
GENERAL DYNAMICS CORP COM 369550108 1,667 25,800 SH SOLE 25,800
----------------------------------------------------------------------------------------------------------------------------------
GENERAL ELECTRIC CO COM 369604103 3,942 240,070 SH SOLE 240,070
----------------------------------------------------------------------------------------------------------------------------------
GENTIVA HEALTH SERVICES INC COM 37247A102 4,002 160,000 SH SOLE 160,000
----------------------------------------------------------------------------------------------------------------------------------
GLOBAL CASH ACCESS
HOLDINGS CLASS A 378967103 578 79,100 SH SOLE 79,100
----------------------------------------------------------------------------------------------------------------------------------
GOODRICH CORP COM 382388106 7,129 131,200 SH SOLE 131,200
----------------------------------------------------------------------------------------------------------------------------------
GRANITE CONSTRUCTION INC COM 387328107 3,298 106,600 SH SOLE 106,600
----------------------------------------------------------------------------------------------------------------------------------
GYMBOREE CORP COM 403777105 5,636 116,500 SH SOLE 116,500
----------------------------------------------------------------------------------------------------------------------------------
HALLIBURTON CO COM 406216101 1,565 57,700 SH SOLE 57,700
----------------------------------------------------------------------------------------------------------------------------------
HARLEY-DAVIDSON INC COM 412822108 2,422 105,300 SH SOLE 105,300
----------------------------------------------------------------------------------------------------------------------------------
HARTFORD FINANCIAL SERVICES COM 416515104 3,175 119,800 SH SOLE 119,800
----------------------------------------------------------------------------------------------------------------------------------
HESS CORP COM 42809H107 839 15,700 SH SOLE 15,700
----------------------------------------------------------------------------------------------------------------------------------
HHGREGG INC COM 42833L108 600 35,400 SH SOLE 35,400
----------------------------------------------------------------------------------------------------------------------------------
HOME DEPOT INC COM 437076102 1,481 55,600 SH SOLE 55,600
----------------------------------------------------------------------------------------------------------------------------------
HONEYWELL INTERNATIONAL INC COM 438516106 1,337 36,000 SH SOLE 36,000
----------------------------------------------------------------------------------------------------------------------------------
HOT TOPIC INC COM 441339108 3,810 508,660 SH SOLE 508,660
----------------------------------------------------------------------------------------------------------------------------------
HSBC HOLDINGS PLC -ADR ADR 404280406 1,881 32,800 SH SOLE 32,800
----------------------------------------------------------------------------------------------------------------------------------
INSITUFORM TECHNOLOGIES
-CL A CLASS A 457667103 4,591 239,870 SH SOLE 239,870
----------------------------------------------------------------------------------------------------------------------------------
INTL BUSINESS MACHINES CORP COM 459200101 1,256 10,500 SH SOLE 10,500
----------------------------------------------------------------------------------------------------------------------------------
INTL PAPER CO COM 460146103 3,515 158,100 SH SOLE 158,100
----------------------------------------------------------------------------------------------------------------------------------
ISLE OF CAPRI CASINOS INC COM 464592104 539 45,700 SH SOLE 45,700
----------------------------------------------------------------------------------------------------------------------------------
ITT CORP COM 450911102 1,340 25,700 SH SOLE 25,700
----------------------------------------------------------------------------------------------------------------------------------
Page 6 of 10 09/30/2009
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
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
J & J SNACK FOODS CORP COM 466032109 678 15,700 SH SOLE 15,700
----------------------------------------------------------------------------------------------------------------------------------
J.P. MORGAN CHASE & COMPANY COM 46625H100 1,608 36,700 SH SOLE 36,700
----------------------------------------------------------------------------------------------------------------------------------
JOHNSON & JOHNSON COM 478160104 682 11,200 SH SOLE 11,200
----------------------------------------------------------------------------------------------------------------------------------
JOS A BANK CLOTHIERS INC COM 480838101 889 19,860 SH SOLE 19,860
----------------------------------------------------------------------------------------------------------------------------------
KBR INC COM 48242W106 5,625 241,500 SH SOLE 241,500
----------------------------------------------------------------------------------------------------------------------------------
KIRKLAND'S INC COM 497498105 869 61,000 SH SOLE 61,000
----------------------------------------------------------------------------------------------------------------------------------
KONINKLIJKE PHLPS ELC-ADR ADR 500472303 2,641 108,400 SH SOLE 108,400
----------------------------------------------------------------------------------------------------------------------------------
KRAFT FOODS INC COM 50075N104 2,429 92,450 SH SOLE 92,450
----------------------------------------------------------------------------------------------------------------------------------
LACLEDE GROUP INC COM 505597104 3,216 100,000 SH SOLE 100,000
----------------------------------------------------------------------------------------------------------------------------------
LANCASTER COLONY CORP COM 513847103 6,034 117,700 SH SOLE 117,700
----------------------------------------------------------------------------------------------------------------------------------
LILLY (ELI) & CO COM 532457108 984 29,800 SH SOLE 29,800
----------------------------------------------------------------------------------------------------------------------------------
LIMITED BRANDS INC COM 532716107 3,181 187,200 SH SOLE 187,200
----------------------------------------------------------------------------------------------------------------------------------
LINCOLN EDUCATIONAL
SERVICES COM 533535100 691 30,200 SH SOLE 30,200
----------------------------------------------------------------------------------------------------------------------------------
LINN ENERGY LLC COM 536020100 5,688 248,400 SH SOLE 248,400
----------------------------------------------------------------------------------------------------------------------------------
LOCKHEED MARTIN CORP COM 539830109 1,117 14,300 SH SOLE 14,300
----------------------------------------------------------------------------------------------------------------------------------
MACY'S INC COM 55616P104 3,713 203,000 SH SOLE 203,000
----------------------------------------------------------------------------------------------------------------------------------
MADDEN STEVEN LTD COM 556269108 780 21,200 SH SOLE 21,200
----------------------------------------------------------------------------------------------------------------------------------
MANTECH INTL CORP COM 564563104 4,069 86,400 SH SOLE 86,400
----------------------------------------------------------------------------------------------------------------------------------
MARATHON OIL CORP COM 565849106 1,276 40,000 SH SOLE 40,000
----------------------------------------------------------------------------------------------------------------------------------
MARTEN TRANSPORT LTD COM 573075108 452 26,500 SH SOLE 26,500
----------------------------------------------------------------------------------------------------------------------------------
MASCO CORP COM 574599106 2,218 171,700 SH SOLE 171,700
----------------------------------------------------------------------------------------------------------------------------------
MASTERCARD INC COM 57636Q104 1,253 6,200 SH SOLE 6,200
----------------------------------------------------------------------------------------------------------------------------------
MCDONALD'S CORPORATION COM 580135101 913 16,000 SH SOLE 16,000
----------------------------------------------------------------------------------------------------------------------------------
Page 7 of 10 09/30/2009
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
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
MCGRAW-HILL COMPANIES COM 580645109 1,292 51,400 SH SOLE 51,400
----------------------------------------------------------------------------------------------------------------------------------
MERCK & CO COM 589331107 6,713 212,250 SH SOLE 212,250
----------------------------------------------------------------------------------------------------------------------------------
MOBILE TELESYSTEMS-SP ADR ADR 607409109 3,123 64,700 SH SOLE 64,700
----------------------------------------------------------------------------------------------------------------------------------
MONRO MUFFLER BRAKE INC COM 610236101 5,837 183,600 SH SOLE 183,600
----------------------------------------------------------------------------------------------------------------------------------
MORGAN STANLEY COM 617446448 3,434 111,200 SH SOLE 111,200
----------------------------------------------------------------------------------------------------------------------------------
MOSAIC CO COM 61945A107 1,120 23,300 SH SOLE 23,300
----------------------------------------------------------------------------------------------------------------------------------
MURPHY OIL CORP COM 626717102 1,169 20,300 SH SOLE 20,300
----------------------------------------------------------------------------------------------------------------------------------
MYLAN INC COM 628530107 5,805 362,600 SH SOLE 362,600
----------------------------------------------------------------------------------------------------------------------------------
NASH FINCH CO COM 631158102 2,852 104,300 SH SOLE 104,300
----------------------------------------------------------------------------------------------------------------------------------
NATIONAL PRESTO INDS INC COM 637215104 5,955 68,840 SH SOLE 68,840
----------------------------------------------------------------------------------------------------------------------------------
NCI INC COM 62886K104 4,970 173,400 SH SOLE 173,400
----------------------------------------------------------------------------------------------------------------------------------
NELNET INC COM 64031N108 4,065 326,800 SH SOLE 326,800
----------------------------------------------------------------------------------------------------------------------------------
NETFLIX INC COM 64110L106 7,235 156,700 SH SOLE 156,700
----------------------------------------------------------------------------------------------------------------------------------
NEW JERSEY RESOURCES CORP COM 646025106 4,321 119,000 SH SOLE 119,000
----------------------------------------------------------------------------------------------------------------------------------
NEWELL RUBBERMAID INC COM 651229106 2,106 134,200 SH SOLE 134,200
----------------------------------------------------------------------------------------------------------------------------------
NEWMARKET CORP COM 651587107 5,843 62,800 SH SOLE 62,800
----------------------------------------------------------------------------------------------------------------------------------
NOBLE CORP COM H5833N103 1,465 38,600 SH SOLE 38,600
----------------------------------------------------------------------------------------------------------------------------------
NSTAR COM 67019E107 4,083 128,300 SH SOLE 128,300
----------------------------------------------------------------------------------------------------------------------------------
NUCOR CORP COM 670346105 1,218 25,900 SH SOLE 25,900
----------------------------------------------------------------------------------------------------------------------------------
NUSTAR ENERGY LP COM 67058H102 570 11,000 SH SOLE 11,000
----------------------------------------------------------------------------------------------------------------------------------
OCCIDENTAL PETROLEUM CORP COM 674599105 1,341 17,100 SH SOLE 17,100
----------------------------------------------------------------------------------------------------------------------------------
ODYSSEY RE HOLDINGS CORP COM 67612W108 5,859 90,400 SH SOLE 90,400
----------------------------------------------------------------------------------------------------------------------------------
Page 8 of 10 09/30/2009
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 COM 681919106 1,507 40,800 SH SOLE 40,800
----------------------------------------------------------------------------------------------------------------------------------
OPENTV CORP COM G67543101 34 24,870 SH SOLE 24,870
----------------------------------------------------------------------------------------------------------------------------------
O'REILLY AUTOMOTIVE INC COM 686091109 5,070 140,300 SH SOLE 140,300
----------------------------------------------------------------------------------------------------------------------------------
P F CHANGS CHINA BISTRO INC COM 69333Y108 608 17,900 SH SOLE 17,900
----------------------------------------------------------------------------------------------------------------------------------
PANERA BREAD CO COM 69840W108 4,928 89,600 SH SOLE 89,600
----------------------------------------------------------------------------------------------------------------------------------
PEET'S COFFEE & TEA INC COM 705560100 648 22,940 SH SOLE 22,940
----------------------------------------------------------------------------------------------------------------------------------
PEP BOYS-MANNY MOE & JACK COM 713278109 578 59,200 SH SOLE 59,200
----------------------------------------------------------------------------------------------------------------------------------
PFIZER INC COM 717081103 5,674 342,870 SH SOLE 342,870
----------------------------------------------------------------------------------------------------------------------------------
PIEDMONT NATURAL GAS CO COM 720186105 3,541 147,900 SH SOLE 147,900
----------------------------------------------------------------------------------------------------------------------------------
PITNEY BOWES INC COM 724479100 2,952 118,800 SH SOLE 118,800
----------------------------------------------------------------------------------------------------------------------------------
PLAINS ALL AMER PIPELNE-LP COM 726503105 5,087 109,900 SH SOLE 109,900
----------------------------------------------------------------------------------------------------------------------------------
PRECISION CASTPARTS CORP COM 740189105 1,722 16,900 SH SOLE 16,900
----------------------------------------------------------------------------------------------------------------------------------
PSS WORLD MEDICAL INC COM 69366A100 5,431 248,800 SH SOLE 248,800
----------------------------------------------------------------------------------------------------------------------------------
REHABCARE GROUP INC COM 759148109 540 24,900 SH SOLE 24,900
----------------------------------------------------------------------------------------------------------------------------------
REYNOLDS AMERICAN INC COM 761713106 1,874 42,100 SH SOLE 42,100
----------------------------------------------------------------------------------------------------------------------------------
RIO TINTO PLC - SPON ADR ADR 767204100 4,581 26,900 SH SOLE 26,900
----------------------------------------------------------------------------------------------------------------------------------
ROCK-TENN CO COM 772739207 5,743 121,900 SH SOLE 121,900
----------------------------------------------------------------------------------------------------------------------------------
ROCKWELL COLLINS INC COM 774341101 1,570 30,900 SH SOLE 30,900
----------------------------------------------------------------------------------------------------------------------------------
ROSS STORES INC COM 778296103 5,398 113,000 SH SOLE 113,000
----------------------------------------------------------------------------------------------------------------------------------
SAIC INC COM 78390X101 4,217 240,400 SH SOLE 240,400
----------------------------------------------------------------------------------------------------------------------------------
SASOL LTD -ADR ADR 803866300 2,703 70,900 SH SOLE 70,900
----------------------------------------------------------------------------------------------------------------------------------
SCHLUMBERGER LTD COM 806857108 1,395 23,400 SH SOLE 23,400
----------------------------------------------------------------------------------------------------------------------------------
Page 9 of 10 09/30/2009
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
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
SCHWEITZER-MAUDUIT INTL INC COM 808541106 1,169 21,500 SH SOLE 21,500
----------------------------------------------------------------------------------------------------------------------------------
SCOTTS MIRACLE-GRO CO COM 810186106 5,639 131,300 SH SOLE 131,300
----------------------------------------------------------------------------------------------------------------------------------
SOUTH JERSEY INDUSTRIES INC COM 838518108 4,148 117,500 SH SOLE 117,500
----------------------------------------------------------------------------------------------------------------------------------
SOUTHERN COPPER CORP COM 84265V105 4,373 142,500 SH SOLE 142,500
----------------------------------------------------------------------------------------------------------------------------------
SPARTAN MOTORS INC COM 846819100 269 52,300 SH SOLE 52,300
----------------------------------------------------------------------------------------------------------------------------------
STANLEY INC COM 854532108 3,326 129,300 SH SOLE 129,300
----------------------------------------------------------------------------------------------------------------------------------
STARWOOD HOTELS&RESORTS
WRLD COM 85590A401 3,597 108,900 SH SOLE 108,900
----------------------------------------------------------------------------------------------------------------------------------
STIFEL FINANCIAL CORP COM 860630102 6,286 114,500 SH SOLE 114,500
----------------------------------------------------------------------------------------------------------------------------------
STURM RUGER & CO INC COM 864159108 580 44,800 SH SOLE 44,800
----------------------------------------------------------------------------------------------------------------------------------
SUN LIFE FINANCIAL INC ADR 866796105 2,646 84,700 SH SOLE 84,700
----------------------------------------------------------------------------------------------------------------------------------
SUNOCO LOGISTICS PRTNRS L P COM 86764L108 622 10,500 SH SOLE 10,500
----------------------------------------------------------------------------------------------------------------------------------
SUPERVALU INC COM 868536103 2,330 154,700 SH SOLE 154,700
----------------------------------------------------------------------------------------------------------------------------------
SXC HEALTH SOLUTIONS CORP COM 78505P100 12,774 273,000 SH SOLE 273,000
----------------------------------------------------------------------------------------------------------------------------------
TAIWAN SEMICONDUCTOR -ADR ADR 874039100 2,865 261,400 SH SOLE 261,400
----------------------------------------------------------------------------------------------------------------------------------
TECH DATA CORP COM 878237106 5,626 135,200 SH SOLE 135,200
----------------------------------------------------------------------------------------------------------------------------------
TETRA TECH INC COM 88162G103 10,458 394,200 SH SOLE 394,200
----------------------------------------------------------------------------------------------------------------------------------
TEXAS INSTRUMENTS INC COM 882508104 1,457 61,500 SH SOLE 61,500
----------------------------------------------------------------------------------------------------------------------------------
TEXAS ROADHOUSE INC COM 882681109 544 51,200 SH SOLE 51,200
----------------------------------------------------------------------------------------------------------------------------------
TEXTRON INC COM 883203101 2,350 123,800 SH SOLE 123,800
----------------------------------------------------------------------------------------------------------------------------------
TJX COMPANIES INC COM 872540109 1,464 39,400 SH SOLE 39,400
----------------------------------------------------------------------------------------------------------------------------------
TOTAL SA -ADR ADR 89151E109 2,187 36,900 SH SOLE 36,900
----------------------------------------------------------------------------------------------------------------------------------
TRACTOR SUPPLY CO COM 892356106 5,413 111,800 SH SOLE 111,800
----------------------------------------------------------------------------------------------------------------------------------
Page 10 of 10 09/30/2009
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
-----------------------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
TREX CO INC COM 89531P105 5,178 284,500 SH SOLE 284,500
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TUPPERWARE BRANDS CORP COM 899896104 5,569 139,500 SH SOLE 139,500
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U S BANCORP COM 902973304 1,323 60,500 SH SOLE 60,500
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UNITED NATURAL FOODS INC COM 911163103 536 22,400 SH SOLE 22,400
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UNITED TECHNOLOGIES CORP COM 913017109 1,462 24,000 SH SOLE 24,000
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USA MOBILITY INC COM 90341G103 594 46,100 SH SOLE 46,100
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VERIZON COMMUNICATIONS COM 92343V104 5,556 183,560 SH SOLE 183,560
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VIASAT INC COM 92552V100 5,170 194,500 SH SOLE 194,500
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VIMPELCOM-SP ADR ADR 68370R109 3,891 208,100 SH SOLE 208,100
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VIRGIN MEDIA INC COM 92769L101 6,215 446,500 SH SOLE 446,500
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VSE CORP COM 918284100 4,693 120,300 SH SOLE 120,300
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WATSON PHARMACEUTICALS INC COM 942683103 5,547 151,400 SH SOLE 151,400
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WESTERN DIGITAL CORP COM 958102105 2,053 56,200 SH SOLE 56,200
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WET SEAL INC -CL A CLASS A 961840105 41 10,940 SH SOLE 10,940
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WEYERHAEUSER CO COM 962166104 1,811 49,400 SH SOLE 49,400
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WORLD FUEL SERVICES CORP COM 981475106 12,330 256,500 SH SOLE 256,500
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ZEP INC COM 98944B108 3,941 242,500 SH SOLE 242,500
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TOTAL 678,710
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