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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: March 31, 2005
--------------
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: The Courtyard Square
750 Grant Avenue, Suite 100
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 April 8, 2005
--------------------------------------------------------------------------------
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: 137
----------------------
Form 13F Information Table Value Total: $1,340,526
----------------------
(thousands)
List of Other Included Managers: NONE
Page 1 of 7
FORM 13F INFORMATION TABLE
Name of Reporting Manager: Hennessy Advisors, Inc.
Column
Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: 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
-----------------------------------------------------------------------------------------------------------------------------------
AEGON NV ORD REG AMER ADR 007924103 137 10,147 SH SOLE 0 10,147
AETNA INC COMMON 00817Y108 22,935 306,000 SH SOLE 306,000 0
AK STEEL HOLDING CORP COMMON 001547108 14,587 1,318,900 SH SOLE 1,318,900 0
ALBERTSONS INC COMMON 013104104 3,413 165,300 SH SOLE 165,300 0
ALLEGHENY ENERGY INC COMMON 017361106 2,104 101,846 SH SOLE 101,500 346
ALLIANCE IMAGING INC COMMON 018606202 16,201 1,696,400 SH SOLE 1,696,400 0
ALLTEL CORP COMMON 020039103 3,660 66,730 SH SOLE 65,900 830
ALTRIA GROUP INC COMMON 02209S103 13,602 208,012 SH SOLE 206,825 1,187
AMERADA HESS CORP COMMON 023551104 1,770 18,400 SH SOLE 18,400 0
AMERIGROUP CORP COMMON 03073T102 18,445 504,500 SH SOLE 504,500 0
AON CORP COMMON 037389103 3,878 169,800 SH SOLE 169,800 0
ASHLAND INC COMMON 044204105 1,950 28,900 SH SOLE 28,900 0
AT&T CORP COMMON 001957505 9,054 482,889 SH SOLE 481,500 1,389
BANK of AMERICA CORP COMMON 060505104 4,478 101,536 SH SOLE 85,200 16,336
BB&T CORP COMMON 054937107 3,576 91,500 SH SOLE 91,500 0
BELLSOUTH CORP COMMON 079860102 3,676 139,840 SH SOLE 135,900 3,940
BLACK & DECKER CORP COMMON 091797100 18,744 237,300 SH SOLE 237,300 0
BLOUNT INTL INC COMMON 095180105 18,602 1,095,500 SH SOLE 1,095,500 0
BLUEGREEN CORP COMMON 096231105 12,367 962,400 SH SOLE 962,400 0
BP PLC -ADS ADR 055622104 4,529 72,588 SH SOLE 66,100 6,488
BRINKS CO COMMON 109696104 16,708 482,900 SH SOLE 482,900 0
Page 2 of 7
FORM 13F INFORMATION TABLE
Name of Reporting Manager: Hennessy Advisors, Inc.
Column
Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: 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
-----------------------------------------------------------------------------------------------------------------------------------
BRISTOL MYERS SQUIBB COMMON 110122108 4,109 161,400 SH SOLE 160,600 800
BRUNSWICK CORP COMMON 117043109 1,729 36,900 SH SOLE 36,900 0
BUILDING MATERIALS
HLDG CP COMMON 120113105 22,169 498,400 SH SOLE 498,400 0
BUNGE LTD COMMON sedol 18,039 334,800 SH SOLE 334,800 0
2788713
C B RICHARD ELLIS SVCS COMMON 12489L108 350 10,000 SH SOLE 0 10,000
CARPENTER TECHNOLOGY
CORP COMMON 144285103 19,391 326,400 SH SOLE 326,400 0
CEMEX S A -ADR ADR 151290889 4,169 115,000 SH SOLE 115,000 0
CENTENE CORP COMMON 15135B101 20,189 673,200 SH SOLE 673,200 0
CHAMPION ENTERPRISES
INC COMMON 158496109 15,177 1,614,600 SH SOLE 1,614,600 0
CHARLES SCHWAB CORP COMMON 808513105 106 10,100 SH SOLE 0 10,100
CHEVRONTEXACO CORP COMMON 166764100 5,372 92,130 SH SOLE 73,600 18,530
CIRCUIT CITY STORES INC COMMON 172737108 1,735 108,100 SH SOLE 108,100 0
CITIGROUP INC COMMON 172967101 11,229 249,877 SH SOLE 248,600 1,277
CLEVELAND-CLIFFS INC COMMON 185896107 26,780 367,500 SH SOLE 367,500 0
COCA-COLA COMPANY COMMON 191216100 1,575 37,800 SH SOLE 36,700 1,100
COMMERCIAL METALS COMMON 201723103 25,584 754,900 SH SOLE 754,900 0
CONAGRA FOODS INC COMMON 205887102 3,802 140,700 SH SOLE 140,700 0
CONSOL ENERGY INC COMMON 20854P109 21,860 464,900 SH SOLE 464,900 0
DICKS SPORTING
GOODS INC COMMON 253393102 1,657 45,100 SH SOLE 45,100 0
DONNELLEY (R R) &
SONS CO COMMON 257867101 3,595 113,700 SH SOLE 113,700 0
DOW CHEMICAL COMMON 260543103 3,973 79,700 SH SOLE 79,700 0
Page 3 of 7
FORM 13F INFORMATION TABLE
Name of Reporting Manager: Hennessy Advisors, Inc.
Column
Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: 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
-----------------------------------------------------------------------------------------------------------------------------------
DU PONT (E I) DE
NEMOURS COMMON 263534109 13,228 258,160 SH SOLE 256,575 1,585
ELECTRONICS BOUTIQUE
HLDG CP COMMON 286045109 19,096 444,400 SH SOLE 444,400 0
EMERSON ELECTRIC COMMON 291011104 1,334 20,550 SH SOLE 0 20,550
ENRON CORP ADR 293561106 0 10,392 SH SOLE 0 10,392
EXXON MOBIL CORPORATION COMMON 30231G102 9,116 152,949 SH SOLE 143,750 9,199
FANNIE MAE COMMON 313586109 3,022 55,500 SH SOLE 55,500 0
FMC TECHNOLOGIES INC COMMON 30249U101 1,606 48,400 SH SOLE 48,400 0
FORD MOTOR CO COMMON 345370860 3,098 273,446 SH SOLE 272,800 646
GENERAL ELECTRIC CO. COMMON 369604103 7,680 212,989 SH SOLE 206,325 6,664
GENERAL MILLS INC COMMON 370334104 3,957 80,500 SH SOLE 80,500 0
GENERAL MOTORS CORP COMMON 370442105 8,351 284,135 SH SOLE 282,000 2,135
GENESCO INC COMMON 371532102 17,419 612,900 SH SOLE 612,900 0
GEORGIA GULF CORP COMMON 373200203 17,620 383,200 SH SOLE 383,200 0
GOODYEAR TIRE &
RUBBER CO COMMON 382550101 1,957 146,600 SH SOLE 146,600 0
GRACE (W R) & CO COMMON 38388F108 11,947 1,402,200 SH SOLE 1,402,200 0
GREENBRIER COMPANIES
INC COMMON 393657101 19,784 563,800 SH SOLE 563,800 0
HARRIS CORP COMMON 413875105 1,933 59,200 SH SOLE 59,200 0
HEINZ (H J) CO COMMON 423074103 3,765 102,200 SH SOLE 102,200 0
HENNESSY ADVISORS INC COMMON 425885100 35,800 1,476,297 SH SOLE 0 1,476,297
HEXCEL CORP COMMON 428291108 20,414 1,316,200 SH SOLE 1,316,200 0
HSBC HOLDINGS PLC ADR 404280406 3,668 46,200 SH SOLE 46,200 0
Page 4 of 7
FORM 13F INFORMATION TABLE
Name of Reporting Manager: Hennessy Advisors, Inc.
Column
Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: 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
-----------------------------------------------------------------------------------------------------------------------------------
HUGHES SUPPLY INC COMMON 444482103 1,550 52,100 SH SOLE 52,100 0
HUNT (JB) TRANSPRT
SVCS INC COMMON 445658107 18,624 425,500 SH SOLE 425,500 0
INTL PAPER CO COMMON 460146103 3,842 104,425 SH SOLE 103,550 875
IPSCO INC ADR 462622101 20,364 399,300 SH SOLE 399,300 0
J P MORGAN CHASE & CO COMMON 46625H100 10,582 305,845 SH SOLE 303,800 2,045
JONES LANG LASALLE INC COMMON 48020Q107 23,796 510,100 SH SOLE 510,100 0
JOY GLOBAL INC COMMON 481165108 2,563 73,100 SH SOLE 73,100 0
KERR-MCGEE CORP COMMON 492386107 5,193 66,300 SH SOLE 66,300 0
KIMBERLY-CLARK CORP COMMON 494368103 4,031 61,326 SH SOLE 60,200 1,126
LANDSTAR SYSTEM INC COMMON 515098101 16,974 518,300 SH SOLE 518,300 0
LILLY (ELI) & CO COMMON 532457108 3,569 68,500 SH SOLE 68,500 0
LINCOLN NATIONAL CORP COMMON 534187109 3,697 81,900 SH SOLE 81,900 0
LONE STAR TECHNOLOGIES COMMON 542312103 1,766 44,800 SH SOLE 44,800 0
LYONDELL CHEMICAL CO COMMON 552078107 20,588 737,400 SH SOLE 737,400 0
MARATHON OIL CORP COMMON 565849106 4,950 105,500 SH SOLE 105,500 0
MARSH & MCLENNAN COS COMMON 571748102 3,772 124,000 SH SOLE 124,000 0
MASSEY ENERGY CO COMMON 576206106 2,226 55,600 SH SOLE 55,600 0
MAVERICK TUBE CORP COMMON 577914104 1,736 53,400 SH SOLE 53,400 0
MAY DEPARTMENT
STORES CO COMMON 577778103 5,046 136,300 SH SOLE 136,300 0
MCDERMOTT INTL INC COMMON 580037109 19,676 1,039,400 SH SOLE 1,039,400 0
MEADWESTVACO CORP COMMON 583334107 3,790 119,100 SH SOLE 119,100 0
Page 5 of 7
FORM 13F INFORMATION TABLE
Name of Reporting Manager: Hennessy Advisors, Inc.
Column
Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: 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
-----------------------------------------------------------------------------------------------------------------------------------
MERCK & CO COMMON 589331107 10,274 317,406 SH SOLE 315,300 2,106
MERITAGE HOMES CORP COMMON 59001A102 19,956 338,700 SH SOLE 338,700 0
MOLINA HEALTHCARE INC COMMON 60855R100 18,966 411,500 SH SOLE 411,500 0
NATIONAL CITY CORP COMMON 635405103 3,531 105,400 SH SOLE 105,400 0
NCR CORP COMMON 62886E108 18,602 551,332 SH SOLE 551,300 32
NOVA CHEMICALS CORP ADR 66977W109 17,330 403,500 SH SOLE 403,500 0
NOVAMERICAN STEEL INC ADR 669959108 17,032 339,900 SH SOLE 339,900 0
NUCOR CORP COMMON 670346105 23,036 400,200 SH SOLE 400,200 0
NVR INC COMMON 62944T105 19,468 24,800 SH SOLE 24,800 0
OLD DOMINION FREIGHT COMMON 679580100 17,083 548,400 SH SOLE 548,400 0
OREGON STEEL MILLS INC COMMON 686079104 21,634 940,600 SH SOLE 940,600 0
P G & E CORP COMMON 69331C108 211 6,200 SH SOLE 0 6,200
PEABODY ENERGY CORP COMMON 704549104 2,494 53,800 SH SOLE 53,800 0
PENN NATIONAL
GAMING INC COMMON 707569109 2,342 79,700 SH SOLE 79,700 0
PFIZER INC COMMON 717081103 5,252 199,925 SH SOLE 195,975 3,950
PITNEY BOWES INC COMMON 724479100 3,903 86,500 SH SOLE 86,500 0
PNC FINANCIAL SVCS
GROUP INC COMMON 693475105 3,634 70,600 SH SOLE 70,600 0
PPG INDUSTRIES INC COMMON 693506107 4,162 58,200 SH SOLE 58,200 0
PREMCOR INC COMMON 74045Q104 2,530 42,400 SH SOLE 42,400 0
PULTE HOMES INC COMMON 745867101 1,848 25,100 SH SOLE 25,100 0
QUIKSILVER INC COMMON 74838C106 20,356 701,200 SH SOLE 701,200 0
Page 6 of 7
FORM 13F INFORMATION TABLE
Name of Reporting Manager: Hennessy Advisors, Inc.
Column
Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: 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
-----------------------------------------------------------------------------------------------------------------------------------
REGIONS FINL CORP COMMON 7591EP100 3,600 111,100 SH SOLE 111,100 0
RELIANT ENERGY INC COMMON 75952B105 15,910 1,398,100 SH SOLE 1,398,100 0
RYDER SYSTEM INC COMMON 783549108 1,443 34,600 SH SOLE 34,600 0
SARA LEE CORP COMMON 803111103 3,573 161,228 SH SOLE 160,000 1,228
SBC COMMUNICATIONS INC COMMON 78387G103 11,707 494,171 SH SOLE 482,800 11,371
SEARS HOLDING CORP COMMON 812350106 28,192 211,700 SH SOLE 211,700 0
SIERRA HEALTH SERVICES COMMON 826322109 22,108 346,300 SH SOLE 346,300 0
SIERRA PACIFIC
RESOURCES COMMON 826428104 1,923 178,900 SH SOLE 178,900 0
STEEL DYNAMICS INC COMMON 858119100 1,530 44,400 SH SOLE 44,400 0
SUNOCO INC COMMON 86764P109 2,340 22,600 SH SOLE 22,600 0
TELEFONICA DE
ARGENTINA CONT ADR 879991016 0 12,900 SH SOLE 12,900 0
TELEFONICA DE
ARGENTINA CONT ADR 879991024 0 12,900 SH SOLE 12,900 0
TELEFONOS DE MEX ADR 879403780 3,892 112,700 SH SOLE 112,700 0
TEREX CORP COMMON 880779103 1,775 41,000 SH SOLE 41,000 0
TERRA INDUSTRIES INC COMMON 880915103 16,677 2,149,100 SH SOLE 2,149,100 0
TESORO PETROLEUM CORP COMMON 881609101 24,207 653,900 SH SOLE 653,900 0
TEXAS INDUSTRIES INC COMMON 882491103 16,442 305,900 SH SOLE 305,900 0
TOLL BROTHERS INC COMMON 889478103 21,936 278,200 SH SOLE 278,200 0
TORO CO COMMON 891092108 20,762 234,600 SH SOLE 234,600 0
TOTAL SA -ADR ADR 89151E109 4,255 36,300 SH SOLE 36,300 0
U G I CORPORATION NEW COMMON 902681105 382 8,400 SH SOLE 0 8,400
Page 7 of 7
FORM 13F INFORMATION TABLE
Name of Reporting Manager: Hennessy Advisors, Inc.
Column
Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: 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
-----------------------------------------------------------------------------------------------------------------------------------
U S BANCORP COMMON 902973304 3,792 131,575 SH SOLE 131,500 75
USG CORP COMMON 903293405 15,715 473,900 SH SOLE 473,900 0
VALERO ENERGY CORP COMMON 91913Y100 33,880 462,400 SH SOLE 462,400 0
VERIZON COMMUNICATIONS COMMON 92343V104 6,350 178,863 SH SOLE 163,150 15,713
WACHOVIA CORP COMMON 929903102 3,645 71,600 SH SOLE 71,600 0
WASHINGTON MUTUAL INC COMMON 939322103 3,751 94,950 SH SOLE 94,500 450
WELLS FARGO & CO COMMON 949746101 4,771 79,775 SH SOLE 62,000 17,775
WESCO INTL INC COMMON 95082P105 18,029 643,900 SH SOLE 643,900 0
WESTAMERICA BANCORP COMMON 957090103 542 10,473 SH SOLE 0 10,473
XL CAPITAL LTD ADR sedol 3,561 49,200 SH SOLE 49,200 0
2283401
YELLOW ROADWAY CORP COMMON 985577105 20,056 342,600 SH SOLE 342,600 0
TOTAL 1,340,526