UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 13F
FORM 13F COVER PAGE
Report for the Calendar Year or Quarter Ended: June 30, 2010
--------------------
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 July 19, 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: 221
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Form 13F Information Table Value Total: $587,090
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(thousands)
List of Other Included Managers: NONE
Page 1 of 10 06/30/2010
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
------------------------------------------------------------------------------------------------------------------------------------
ACERGY S A ADR 00443E104 3,804 257,200 SH SOLE 257,200
ADVANCE AMER CASH ADVANCE CTRS COM 00739W107 2,738 662,970 SH SOLE 662,970
ADVANCED MICRO DEVICES INC COM 007903107 3,953 540,000 SH SOLE 540,000
AEROPOSTALE COM 007865108 3,992 139,400 SH SOLE 139,400
AIR TRANSPORT SERVICES GRP INC COM 00922R105 529 111,200 SH SOLE 111,200
ALAMO GROUP INC COM 011311107 560 25,800 SH SOLE 25,800
ALASKA AIR GROUP INC COM 011659109 553 12,300 SH SOLE 12,300
ALLIED HEALTHCARE INTL INC COM 01923A109 32 13,920 SH SOLE 13,920
ALTRIA GROUP INC COM 02209S103 4,218 210,500 SH SOLE 210,500
AMERICAN AXLE & MFG HLDGS INC COM 024061103 4,163 568,000 SH SOLE 568,000
AMERICAN INTL GROUP INC COM 026874784 544 15,800 SH SOLE 15,800
AMERICREDIT CORP COM 03060R101 8,153 447,500 SH SOLE 447,500
APOLLO GROUP INC COM 037604105 1,049 24,700 SH SOLE 24,700
ARVINMERITOR INC COM 043353101 510 38,900 SH SOLE 38,900
AT&T INC COM 00206R102 6,349 262,450 SH SOLE 262,450
AUTOMATIC DATA PROCESSING INC COM 053015103 2,565 63,700 SH SOLE 63,700
AUTOZONE INC COM 053332102 1,623 8,400 SH SOLE 8,400
BALL CORP COM 058498106 4,226 80,000 SH SOLE 80,000
SPON
BANCO MACRO SA ADR B 05961W105 557 18,900 SH SOLE 18,900
BAXTER INTL INC COM 071813109 1,309 32,200 SH SOLE 32,200
BCE INC COM NEW 05534B760 3,044 104,000 SH SOLE 104,000
BECTON DICKINSON & CO COM 075887109 1,359 20,100 SH SOLE 20,100
BEST BUY INC COM 086516101 1,114 32,900 SH SOLE 32,900
Page 2 of 10 06/30/2010
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
------------------------------------------------------------------------------------------------------------------------------------
BIG 5 SPORTING GOODS CORP COM 08915P101 3,132 238,350 SH SOLE 238,350
BOEING CO COM 097023105 5,114 81,500 SH SOLE 81,500
BP PLC ADR 055622104 1,389 48,100 SH SOLE 48,100
SP ADR
BRASKEM S A PFD A 105532105 3,785 267,500 SH SOLE 267,500
BRISTOL MYERS SQUIBB CO COM 110122108 4,187 167,900 SH SOLE 167,900
BROADRIDGE FINL SOLUTIONS INC COM 11133T103 3,437 180,400 SH SOLE 180,400
BROWN SHOE INC NEW COM 115736100 530 34,900 SH SOLE 34,900
BRUNSWICK CORP COM 117043109 4,567 367,400 SH SOLE 367,400
BUCYRUS INTL INC NEW COM 118759109 3,554 74,900 SH SOLE 74,900
CALLON PETE CO DEL COM 13123X102 597 94,800 SH SOLE 94,800
CALUMET SPECIALTY UT LTD
PRODS PTNRS PARTNER 131476103 3,669 207,500 SH SOLE 207,500
CAMPBELL SOUP CO COM 134429109 4,489 125,300 SH SOLE 125,300
CARDINAL HEALTH INC COM 14149Y108 1,439 42,800 SH SOLE 42,800
CARDTRONICS INC COM 14161H108 4,909 378,800 SH SOLE 378,800
CARMAX INC COM 143130102 3,890 195,500 SH SOLE 195,500
CARTER INC COM 146229109 4,043 154,000 SH SOLE 154,000
CASCADE CORP COM 147195101 531 14,900 SH SOLE 14,900
CATERPILLAR INC DEL COM 149123101 967 16,100 SH SOLE 16,100
CHEVRON CORP NEW COM 166764100 6,090 89,750 SH SOLE 89,750
CHINA MOBILE LIMITED ADR 16941M109 2,905 58,800 SH SOLE 58,800
CIGNA CORP COM 125509109 5,134 165,300 SH SOLE 165,300
CLEARWATER PAPER CORP COM 18538R103 542 9,900 SH SOLE 9,900
CLOROX CO DEL COM 189054109 1,492 24,000 SH SOLE 24,000
Page 3 of 10 06/30/2010
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
------------------------------------------------------------------------------------------------------------------------------------
COCA COLA CO COM 191216100 1,474 29,400 SH SOLE 29,400
COCA COLA ENTERPRISES INC COM 191219104 4,929 190,600 SH SOLE 190,600
COMMERCIAL VEH GROUP INC COM 202608105 507 49,700 SH SOLE 49,700
COMPANHIA BRASILEIRA SPN ADR
DE DISTRB PFD CL A 20440T201 4,046 58,200 SH SOLE 58,200
COMPUTER SCIENCES CORP COM 205363104 3,611 79,800 SH SOLE 79,800
CONAGRA FOODS INC COM 205887102 2,840 121,800 SH SOLE 121,800
CONSOL ENERGY INC COM 20854P109 1,192 35,300 SH SOLE 35,300
CONSOLIDATED GRAPHICS INC COM 209341106 541 12,500 SH SOLE 12,500
COOPER COS INC COM 216648402 4,536 114,000 SH SOLE 114,000
COTT CORP QUE COM 22163N106 2,771 476,100 SH SOLE 476,100
CROCS INC COM 227046109 540 51,000 SH SOLE 51,000
CROWN HOLDINGS INC COM 228368106 1,422 56,800 SH SOLE 56,800
DARDEN RESTAURANTS INC COM 237194105 4,371 112,500 SH SOLE 112,500
COM UT
DCP MIDSTREAM PARTNERS LP LTD PTN 23311P100 5,018 157,100 SH SOLE 157,100
DEL MONTE FOODS CO COM 24522P103 4,957 344,500 SH SOLE 344,500
DIAGEO P L C ADR 25243Q205 2,485 39,600 SH SOLE 39,600
DIAMOND MGMT &
TECHNOLOGY CONS COM 25269L106 547 53,100 SH SOLE 53,100
DIAMOND OFFSHORE
DRILLING INC COM 25271C102 1,126 18,100 SH SOLE 18,100
DIRECTV COM 25490A101 1,438 42,400 SH SOLE 42,400
DISH NETWORK CORP COM 25470M109 1,261 69,500 SH SOLE 69,500
DOLLAR TREE INC COM 256746108 6,482 155,700 SH SOLE 155,700
DONNELLEY R R & SONS CO COM 257867101 2,045 124,900 SH SOLE 124,900
DOT HILL SYSTEMS CORP COM 25848T109 26 21,730 SH SOLE 21,730
Page 4 of 10 06/30/2010
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
------------------------------------------------------------------------------------------------------------------------------------
DRUGSTORE.COM INC COM 262241102 41 13,420 SH SOLE 13,420
DU PONT E I DE NEMOURS & CO COM 263534109 7,428 214,750 SH SOLE 214,750
DYNAVAX TECHNOLOGIES CORP COM 268158102 46 24,890 SH SOLE 24,890
EATON CORP COM 278058102 2,794 42,700 SH SOLE 42,700
EMERGENCY MEDICAL SVCS CORP COM 29100P102 4,060 82,800 SH SOLE 82,800
EMERSON ELEC CO COM 291011104 2,822 64,600 SH SOLE 64,600
ENCORE CAP GROUP INC COM 292554102 4,528 219,700 SH SOLE 219,700
ENI S P A ADR 26874R108 2,025 55,400 SH SOLE 55,400
ENTERPRISE GP HLDGS L P COM 293716106 583 12,300 SH SOLE 12,300
ESTERLINE TECHNOLOGIES CORP COM 297425100 546 11,500 SH SOLE 11,500
F M C CORP COM 302491303 1,378 24,000 SH SOLE 24,000
FAMILY DLR STORES INC COM 307000109 1,466 38,900 SH SOLE 38,900
FLOWSERVE CORP COM 34354P105 1,119 13,200 SH SOLE 13,200
FLUOR CORP NEW COM 343412102 1,245 29,300 SH SOLE 29,300
FORD MTR CO DEL COM 345370860 4,410 437,500 SH SOLE 437,500
FOREST LABS INC COM 345838106 1,550 56,500 SH SOLE 56,500
FREEPORT-MCMORAN
COPPER & GOLD COM 35671D857 1,189 20,100 SH SOLE 20,100
GAP INC DEL COM 364760108 1,183 60,800 SH SOLE 60,800
GARDNER DENVER INC COM 365558105 531 11,900 SH SOLE 11,900
GENCORP INC COM 368682100 2,056 469,300 SH SOLE 469,300
GENERAL MLS INC COM 370334104 1,563 44,000 SH SOLE 44,000
GLAXOSMITHKLINE PLC ADR 37733W105 2,197 64,600 SH SOLE 64,600
GLOBAL CASH ACCESS HLDGS INC COM 378967103 3,847 533,504 SH SOLE 533,504
Page 5 of 10 06/30/2010
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
------------------------------------------------------------------------------------------------------------------------------------
GOODRICH CORP COM 382388106 4,585 69,200 SH SOLE 69,200
GSI COMMERCE INC COM 36238G102 4,850 168,400 SH SOLE 168,400
GYMBOREE CORP COM 403777105 3,660 85,700 SH SOLE 85,700
HEINZ H J CO COM 423074103 4,227 97,800 SH SOLE 97,800
HERSHEY CO COM 427866108 3,667 76,500 SH SOLE 76,500
HHGREGG INC COM 42833L108 4,382 187,900 SH SOLE 187,900
HILL ROM HLDGS INC COM 431475102 569 18,700 SH SOLE 18,700
HOME DEPOT INC COM 437076102 5,552 197,800 SH SOLE 197,800
HONEYWELL INTL INC COM 438516106 1,272 32,600 SH SOLE 32,600
HUMANA INC COM 444859102 1,603 35,100 SH SOLE 35,100
HUNTSMAN CORP COM 447011107 3,445 397,400 SH SOLE 397,400
IDT CORP COM 448947507 440 34,500 SH SOLE 34,500
INERGY HLDGS L P COM 45661Q107 592 22,400 SH SOLE 22,400
INTEL CORP COM 458140100 3,293 169,300 SH SOLE 169,300
INTERFACE INC COM 458665106 517 48,100 SH SOLE 48,100
INTERNATIONAL BUSINESS MACHS COM 459200101 1,469 11,900 SH SOLE 11,900
JO-ANN STORES INC COM 47758P307 4,494 119,800 SH SOLE 119,800
JOE'S JEANS INC COM 47777N101 44 22,110 SH SOLE 22,110
JOHNSON & JOHNSON COM 478160104 3,245 54,950 SH SOLE 54,950
JOY GLOBAL INC COM 481165108 1,267 25,300 SH SOLE 25,300
KAPSTONE PAPER & PACKAGING CRP COM 48562P103 5,613 503,890 SH SOLE 503,890
KBR INC COM 48242W106 3,610 177,500 SH SOLE 177,500
KELLOGG CO COM 487836108 1,469 29,200 SH SOLE 29,200
Page 6 of 10 06/30/2010
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
------------------------------------------------------------------------------------------------------------------------------------
KIMBERLY CLARK CORP COM 494368103 4,111 67,800 SH SOLE 67,800
KIRKLANDS INC COM 497498105 4,262 252,580 SH SOLE 252,580
KNOLOGY INC COM 499183804 4,187 383,100 SH SOLE 383,100
KRAFT FOODS INC COM 50075N104 6,649 237,450 SH SOLE 237,450
KRISPY KREME DOUGHNUTS INC COM 501014104 45 13,230 SH SOLE 13,230
LA Z BOY INC COM 505336107 3,064 412,400 SH SOLE 412,400
LABORATORY CORP AMER HLDGS COM 50540R409 1,484 19,700 SH SOLE 19,700
LANCASTER COLONY CORP COM 513847103 4,119 77,200 SH SOLE 77,200
LIBBEY INC COM 529898108 558 43,000 SH SOLE 43,000
LIBERTY GLOBAL INC COM 530555101 1,450 55,800 SH SOLE 55,800
LIFETIME BRANDS INC COM 53222Q103 537 36,700 SH SOLE 36,700
LILLY ELI & CO COM 532457108 1,467 43,800 SH SOLE 43,800
LIMITED BRANDS INC COM 532716107 3,152 142,800 SH SOLE 142,800
LINN ENERGY LLC COM 536020100 4,848 182,600 SH SOLE 182,600
LIONBRIDGE TECHNOLOGIES INC COM 536252109 530 115,900 SH SOLE 115,900
LOCKHEED MARTIN CORP COM 539830109 3,986 53,500 SH SOLE 53,500
LORAL SPACE & COMMUNICATNS INC COM 543881106 598 14,000 SH SOLE 14,000
LORILLARD INC COM 544147101 1,418 19,700 SH SOLE 19,700
LUBRIZOL CORP COM 549271104 1,349 16,800 SH SOLE 16,800
LUMBER LIQUIDATORS HLDGS INC COM 55003T107 3,569 153,000 SH SOLE 153,000
M & F WORLDWIDE CORP COM 552541104 3,209 118,400 SH SOLE 118,400
MACQUARIE INFRASTR CO LLC COM 55608B105 533 41,700 SH SOLE 41,700
MARATHON OIL CORP COM 565849106 2,714 87,300 SH SOLE 87,300
Page 7 of 10 06/30/2010
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
------------------------------------------------------------------------------------------------------------------------------------
MARSH & MCLENNAN COS INC COM 571748102 2,807 124,500 SH SOLE 124,500
MASSEY ENERGY CORP COM 576206106 2,820 103,100 SH SOLE 103,100
MATTEL INC COM 577081102 4,257 201,200 SH SOLE 201,200
MCDONALDS CORP COM 580135101 6,636 100,750 SH SOLE 100,750
MCGRAW HILL COS INC COM 580645109 1,278 45,400 SH SOLE 45,400
MEADWESTVACO CORP COM 583334107 2,178 98,100 SH SOLE 98,100
MEDIA GEN INC COM 584404107 526 53,900 SH SOLE 53,900
MERCK & CO INC NEW COM 58933Y105 6,517 186,350 SH SOLE 186,350
MOBILE TELESYSTEMS OJSC ADR 607409109 2,679 139,800 SH SOLE 139,800
MOODYS CORP COM 615369105 1,225 61,500 SH SOLE 61,500
MYLAN INC COM 628530107 4,541 266,500 SH SOLE 266,500
NACCO INDS INC COM 629579103 533 6,000 SH SOLE 6,000
NEENAH PAPER INC COM 640079109 547 29,900 SH SOLE 29,900
NETWORK ENGINES INC COM 64121A107 74 27,240 SH SOLE 27,240
NEWMARKET CORP COM 651587107 7,195 82,400 SH SOLE 82,400
NOKIA CORP ADR 654902204 1,767 216,800 SH SOLE 216,800
NU SKIN ENTERPRISES INC CLASS A 67018T105 3,548 142,300 SH SOLE 142,300
NUCOR CORP COM 670346105 2,358 61,600 SH SOLE 61,600
O REILLY AUTOMOTIVE INC COM 686091109 4,903 103,100 SH SOLE 103,100
OMNOVA SOLUTIONS INC COM 682129101 4,626 592,310 SH SOLE 592,310
OWENS CORNING NEW COM 690742101 541 18,100 SH SOLE 18,100
PACER INTL INC TENN COM 69373H106 566 81,000 SH SOLE 81,000
Page 8 of 10 06/30/2010
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
------------------------------------------------------------------------------------------------------------------------------------
PATRIOT COAL CORP COM 70336T104 3,613 307,500 SH SOLE 307,500
PFIZER INC COM 717081103 5,680 398,350 SH SOLE 398,350
PHILIP MORRIS INTL INC COM 718172109 3,993 87,100 SH SOLE 87,100
PITNEY BOWES INC COM 724479100 2,596 118,200 SH SOLE 118,200
UNIT LTD
PLAINS ALL AMERN PIPELINE L P PARTN 726503105 4,737 80,700 SH SOLE 80,700
POWER ONE INC NEW COM 73930R102 529 78,300 SH SOLE 78,300
PPG INDS INC COM 693506107 2,821 46,700 SH SOLE 46,700
PROVIDENCE SVC CORP COM 743815102 3,767 269,100 SH SOLE 269,100
QUAKER CHEM CORP COM 747316107 545 20,100 SH SOLE 20,100
RAYTHEON CO COM 755111507 1,282 26,500 SH SOLE 26,500
COM
REGENCY ENERGY PARTNERS L P UNITS L P 75885Y107 4,931 204,100 SH SOLE 204,100
REVLON INC CLASS A 761525609 2,389 214,100 SH SOLE 214,100
REYNOLDS AMERICAN INC COM 761713106 2,648 50,800 SH SOLE 50,800
ROCK-TENN CO COM 772739207 3,899 78,500 SH SOLE 78,500
ROSS STORES INC COM 778296103 5,819 109,200 SH SOLE 109,200
SPON
ROYAL DUTCH SHELL PLC ADR A 780259206 2,335 46,500 SH SOLE 46,500
SAIC INC COM 78390X101 1,421 84,900 SH SOLE 84,900
SANMINA SCI CORP COM 800907206 6,387 469,300 SH SOLE 469,300
SARA LEE CORP COM 803111103 3,188 226,100 SH SOLE 226,100
SCHWEITZER-MAUDUIT INTL INC COM 808541106 3,234 64,100 SH SOLE 64,100
SCOTTS MIRACLE GRO CO COM 810186106 4,286 96,500 SH SOLE 96,500
SELECT COMFORT CORP COM 81616X103 537 61,400 SH SOLE 61,400
Page 9 of 10 06/30/2010
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
------------------------------------------------------------------------------------------------------------------------------------
SINCLAIR BROADCAST GROUP INC COM 829226109 511 87,600 SH SOLE 87,600
SKECHERS U S A INC COM 830566105 533 14,600 SH SOLE 14,600
STANDEX INTL CORP COM 854231107 553 21,800 SH SOLE 21,800
SXC HEALTH SOLUTIONS CORP COM 78505P100 5,904 80,603 SH SOLE 80,603
SYSCO CORP COM 871829107 4,243 148,500 SH SOLE 148,500
TAIWAN SEMICONDUCTOR MFG LTD ADR 874039100 2,372 243,000 SH SOLE 243,000
TECH DATA CORP COM 878237106 6,857 192,500 SH SOLE 192,500
TELEFONICA S A ADR 879382208 1,821 32,800 SH SOLE 32,800
TELVENT GIT SA SHS E90215109 1,954 117,000 SH SOLE 117,000
TENNANT CO COM 880345103 572 16,900 SH SOLE 16,900
TETRA TECH INC NEW COM 88162G103 2,604 132,800 SH SOLE 132,800
SPONS
TIM PARTICIPACOES S A ADR PFD 88706P106 3,794 139,800 SH SOLE 139,800
TJX COS INC NEW COM 872540109 1,363 32,500 SH SOLE 32,500
TOTAL S A ADR 89151E109 1,973 44,200 SH SOLE 44,200
TRACTOR SUPPLY CO COM 892356106 5,012 82,200 SH SOLE 82,200
TRIMAS CORP COM 896215209 562 49,700 SH SOLE 49,700
TRW AUTOMOTIVE HLDGS CORP COM 87264S106 527 19,100 SH SOLE 19,100
TUPPERWARE BRANDS CORP COM 899896104 4,085 102,500 SH SOLE 102,500
U S AIRWAYS GROUP INC COM 90341W108 548 63,600 SH SOLE 63,600
UAL CORP COM 902549807 574 27,900 SH SOLE 27,900
ULTA SALON COSMETCS & FRAG INC COM 90384S303 5,678 240,000 SH SOLE 240,000
ULTRA CLEAN HLDGS INC COM 90385V107 561 65,800 SH SOLE 65,800
Page 10 of 10 06/30/2010
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
------------------------------------------------------------------------------------------------------------------------------------
UNISYS CORP COM 909214306 2,232 120,700 SH SOLE 120,700
UNITED PARCEL SERVICE INC COM 911312106 2,651 46,600 SH SOLE 46,600
UNIVERSAL AMERICAN CORP COM 913377107 534 37,100 SH SOLE 37,100
VALASSIS COMMUNICATIONS INC COM 918866104 533 16,800 SH SOLE 16,800
VERIZON COMMUNICATIONS INC COM 92343V104 6,303 224,950 SH SOLE 224,950
VIRGIN MEDIA INC COM 92769L101 9,478 567,900 SH SOLE 567,900
SPON ADR
VIVO PARTICIPACOES S A PFD NEW 92855S200 3,188 123,000 SH SOLE 123,000
VODAFONE GROUP PLC NEW ADR 92857W209 2,495 120,700 SH SOLE 120,700
WASTE MGMT INC DEL COM 94106L109 2,560 81,800 SH SOLE 81,800
WATSON PHARMACEUTICALS INC COM 942683103 4,511 111,200 SH SOLE 111,200
WESTELL TECH INC -CL A CLASS A 957541105 46 29,600 SH SOLE 29,600
WESTERN DIGITAL CORP COM 958102105 1,077 35,700 SH SOLE 35,700
WHIRLPOOL CORP COM 963320106 527 6,000 SH SOLE 6,000
WORLD FUEL SVCS CORP COM 981475106 4,433 170,900 SH SOLE 170,900
XL CAP LTD CL A G98255105 3,428 214,100 SH SOLE 214,100
YUM BRANDS INC COM 988498101 1,394 35,700 SH SOLE 35,700
ZIONS BANCORPORATION COM 989701107 528 24,500 SH SOLE 24,500
TOTAL 587,090