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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, 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 October 18, 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: 178
----------------------
Form 13F Information Table Value Total: $1,782,289
----------------------
(thousands)
List of Other Included Managers: NONE
Page 1 of 9
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
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
ADOBE SYSTEMS INC COMMON 00724F101 119 4,000 SH SOLE 0 4,000
----------------------------------------------------------------------------------------------------------------------------------
ADVANCE AUTO PARTS INC COMMON 00751Y106 4,531 117,150 SH SOLE 117,150 0
----------------------------------------------------------------------------------------------------------------------------------
AEGON NV ORD REG AMER ADR 007924103 93 6,221 SH SOLE 0 6,221
----------------------------------------------------------------------------------------------------------------------------------
AETNA INC COMMON 00817Y108 31,321 363,600 SH SOLE 363,600 0
----------------------------------------------------------------------------------------------------------------------------------
AK STEEL HOLDING CORP COMMON 001547108 11,187 1,305,400 SH SOLE 1,305,400 0
----------------------------------------------------------------------------------------------------------------------------------
ALBERTSONS INC COMMON 013104104 4,058 158,200 SH SOLE 158,200 0
----------------------------------------------------------------------------------------------------------------------------------
ALLEGHENY TECHNOLOGIES
INC COMMON 01741R102 4,099 132,300 SH SOLE 132,300 0
----------------------------------------------------------------------------------------------------------------------------------
ALLIANCE IMAGING INC COMMON 018606202 14,356 1,679,100 SH SOLE 1,679,100 0
----------------------------------------------------------------------------------------------------------------------------------
ALLTEL CORP COMMON 020039103 4,156 63,830 SH SOLE 63,000 830
----------------------------------------------------------------------------------------------------------------------------------
ALTRIA GROUP INC. COMMON 02209S103 13,814 187,414 SH SOLE 186,975 439
----------------------------------------------------------------------------------------------------------------------------------
AMERCO COMMON 023586100 5,476 94,100 SH SOLE 94,100 0
----------------------------------------------------------------------------------------------------------------------------------
AMERIGROUP CORP COMMON 03073T102 9,547 499,300 SH SOLE 499,300 0
----------------------------------------------------------------------------------------------------------------------------------
ANDERSONS INC COMMON 034164103 4,322 147,600 SH SOLE 147,600 0
----------------------------------------------------------------------------------------------------------------------------------
AON CORP COMMON 037389103 5,213 162,500 SH SOLE 162,500 0
----------------------------------------------------------------------------------------------------------------------------------
AT&T CORP COMMON 001957505 6,450 325,739 SH SOLE 324,600 1,139
----------------------------------------------------------------------------------------------------------------------------------
BADGER METER INC COMMON 056525108 4,862 123,600 SH SOLE 123,600 0
----------------------------------------------------------------------------------------------------------------------------------
BANK of AMERICA CORP COMMON 060505104 4,002 95,051 SH SOLE 81,600 13,451
----------------------------------------------------------------------------------------------------------------------------------
BB&T CORP COMMON 054937107 3,421 87,600 SH SOLE 87,600 0
----------------------------------------------------------------------------------------------------------------------------------
BELLSOUTH CORP COMMON 079860102 3,517 133,738 SH SOLE 130,000 3,738
----------------------------------------------------------------------------------------------------------------------------------
BLACK & DECKER CORP COMMON 091797100 17,559 213,900 SH SOLE 213,900 0
----------------------------------------------------------------------------------------------------------------------------------
BLOUNT INTL INC COMMON 095180105 19,127 1,084,300 SH SOLE 1,084,300 0
----------------------------------------------------------------------------------------------------------------------------------
Page 2 of 9
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
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
BLUEGREEN CORP COMMON 096231105 16,813 952,600 SH SOLE 952,600 0
----------------------------------------------------------------------------------------------------------------------------------
BP PLC -ADS ADR 055622104 4,944 69,788 SH SOLE 63,300 6,488
----------------------------------------------------------------------------------------------------------------------------------
BRINKS CO COMMON 109696104 19,627 478,000 SH SOLE 478,000 0
----------------------------------------------------------------------------------------------------------------------------------
BRISTOL MYERS SQUIBB COMMON 110122108 3,717 154,500 SH SOLE 153,700 800
----------------------------------------------------------------------------------------------------------------------------------
BUILDING MATERIALS HLDG
CP COMMON 120113105 50,071 536,900 SH SOLE 536,900 0
----------------------------------------------------------------------------------------------------------------------------------
BUNGE LTD COMMON G16962105 17,433 331,300 SH SOLE 331,300 0
----------------------------------------------------------------------------------------------------------------------------------
BURLINGTON COAT FACTORY COMMON 121579106 4,454 117,100 SH SOLE 117,100 0
----------------------------------------------------------------------------------------------------------------------------------
CARPENTER TECHNOLOGY CORP COMMON 144285103 18,937 323,100 SH SOLE 323,100 0
----------------------------------------------------------------------------------------------------------------------------------
CB RICHARD ELLIS GROUP
INC COMMON 12497T101 10,475 212,900 SH SOLE 202,900 10,000
----------------------------------------------------------------------------------------------------------------------------------
CEMEX S A ADR 151290889 5,758 110,100 SH SOLE 110,100 0
----------------------------------------------------------------------------------------------------------------------------------
CENTENE CORP COMMON 15135B101 16,677 666,300 SH SOLE 666,300 0
----------------------------------------------------------------------------------------------------------------------------------
CHAMPION ENTERPRISES INC COMMON 158496109 23,620 1,598,100 SH SOLE 1,598,100 0
----------------------------------------------------------------------------------------------------------------------------------
CHAPARRAL STEEL CO COMMON 159423102 7,637 302,800 SH SOLE 302,800 0
----------------------------------------------------------------------------------------------------------------------------------
CHARLES SCHWAB CORP COMMON 808513105 146 10,100 SH SOLE 0 10,100
----------------------------------------------------------------------------------------------------------------------------------
CHEMED CORP COMMON 16359R103 5,222 120,500 SH SOLE 120,500 0
----------------------------------------------------------------------------------------------------------------------------------
CHEVRONTEXACO CORP COMMON 166764100 5,592 86,397 SH SOLE 70,400 15,997
----------------------------------------------------------------------------------------------------------------------------------
CHILDRENS PLACE RETAIL
STRS COMMON 168905107 4,346 122,100 SH SOLE 122,100 0
----------------------------------------------------------------------------------------------------------------------------------
CIGNA CORP COMMON 125509109 106 900 SH SOLE 0 900
----------------------------------------------------------------------------------------------------------------------------------
CITIGROUP INC COMMON 172967101 11,216 246,400 SH SOLE 246,400 0
----------------------------------------------------------------------------------------------------------------------------------
CLEAN HARBORS INC COMMON 184496107 4,234 124,700 SH SOLE 124,700 0
----------------------------------------------------------------------------------------------------------------------------------
CLEVELAND-CLIFFS INC COMMON 185896107 35,741 410,300 SH SOLE 410,300 0
----------------------------------------------------------------------------------------------------------------------------------
Page 3 of 9
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
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
CMS ENERGY CORP COMMON 125896100 4,101 249,300 SH SOLE 249,300 0
----------------------------------------------------------------------------------------------------------------------------------
COCA-COLA COMPANY COMMON 191216100 4,584 106,125 SH SOLE 106,125 0
----------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL METALS COMMON 201723103 29,398 871,300 SH SOLE 871,300 0
----------------------------------------------------------------------------------------------------------------------------------
CONAGRA FOODS INC COMMON 205887102 3,331 134,600 SH SOLE 134,600 0
----------------------------------------------------------------------------------------------------------------------------------
CONSOL ENERGY INC COMMON 20854P109 35,099 460,200 SH SOLE 460,200 0
----------------------------------------------------------------------------------------------------------------------------------
DENNYS CORP COMMON 24869P104 3,865 931,400 SH SOLE 931,400 0
----------------------------------------------------------------------------------------------------------------------------------
DONNELLEY (R R) & SONS CO COMMON 257867101 4,033 108,800 SH SOLE 108,800 0
----------------------------------------------------------------------------------------------------------------------------------
DOW CHEMICAL COMMON 260543103 3,179 76,300 SH SOLE 76,300 0
----------------------------------------------------------------------------------------------------------------------------------
DU PONT (E I) DE NEMOURS COMMON 263534109 9,890 252,500 SH SOLE 251,950 550
----------------------------------------------------------------------------------------------------------------------------------
ELECTRONICS BOUTIQUE HLDG
CP COMMON 286045109 27,643 439,900 SH SOLE 439,900 0
----------------------------------------------------------------------------------------------------------------------------------
EMERSON ELECTRIC COMMON 291011104 1,475 20,550 SH SOLE 0 20,550
----------------------------------------------------------------------------------------------------------------------------------
EXPRESS SCRIPTS INC COMMON 302182100 4,105 66,000 SH SOLE 66,000 0
----------------------------------------------------------------------------------------------------------------------------------
EXXON MOBIL CORPORATION COMMON 30231G102 4,034 63,485 SH SOLE 56,300 7,185
----------------------------------------------------------------------------------------------------------------------------------
FANNIE MAE COMMON 313586109 2,380 53,100 SH SOLE 53,100 0
----------------------------------------------------------------------------------------------------------------------------------
FLOWSERVE CORP COMMON 34354P105 4,195 115,400 SH SOLE 115,400 0
----------------------------------------------------------------------------------------------------------------------------------
FORD MOTOR CO COMMON 345370860 2,576 261,246 SH SOLE 261,000 246
----------------------------------------------------------------------------------------------------------------------------------
FRONTIER OIL CORP COMMON 35914P105 11,092 250,100 SH SOLE 250,100 0
----------------------------------------------------------------------------------------------------------------------------------
GEHL CO COMMON 368483103 5,410 194,100 SH SOLE 194,100 0
----------------------------------------------------------------------------------------------------------------------------------
GENERAL ELECTRIC CO. COMMON 369604103 3,487 103,559 SH SOLE 103,025 534
----------------------------------------------------------------------------------------------------------------------------------
GENERAL MILLS INC COMMON 370334104 3,711 77,000 SH SOLE 77,000 0
----------------------------------------------------------------------------------------------------------------------------------
GENERAL MOTORS CORP COMMON 370442105 9,550 311,989 SH SOLE 311,475 514
----------------------------------------------------------------------------------------------------------------------------------
Page 4 of 9
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
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
GENESCO INC COMMON 371532102 27,505 738,600 SH SOLE 738,600 0
----------------------------------------------------------------------------------------------------------------------------------
GEORGIA GULF CORP COMMON 373200203 9,134 379,300 SH SOLE 379,300 0
----------------------------------------------------------------------------------------------------------------------------------
GOODYEAR TIRE & RUBBER CO COMMON 382550101 4,064 260,700 SH SOLE 260,700 0
----------------------------------------------------------------------------------------------------------------------------------
GRACE (W R) & CO COMMON 38388F108 12,422 1,387,900 SH SOLE 1,387,900 0
----------------------------------------------------------------------------------------------------------------------------------
GREAT ATLANTIC & PAC TEA
CO COMMON 390064103 5,042 177,800 SH SOLE 177,800 0
----------------------------------------------------------------------------------------------------------------------------------
GREENBRIER COMPANIES INC COMMON 393657101 18,548 558,000 SH SOLE 558,000 0
----------------------------------------------------------------------------------------------------------------------------------
HEALTHCARE SERVICES GROUP COMMON 421906108 4,813 250,000 SH SOLE 250,000 0
----------------------------------------------------------------------------------------------------------------------------------
HEINZ (H J) CO COMMON 423074103 3,574 97,800 SH SOLE 97,800 0
----------------------------------------------------------------------------------------------------------------------------------
HENNESSY ADVISORS INC COMMON 425885100 38,119 1,466,120 SH SOLE 0 1,466,120
----------------------------------------------------------------------------------------------------------------------------------
HEXCEL CORP COMMON 428291108 23,826 1,302,700 SH SOLE 1,302,700 0
----------------------------------------------------------------------------------------------------------------------------------
HOLLY CORP COMMON 435758305 11,024 172,300 SH SOLE 172,300 0
----------------------------------------------------------------------------------------------------------------------------------
HOVNANIAN ENTRPRS INC CLASS A 442487203 3,983 77,800 SH SOLE 77,800 0
----------------------------------------------------------------------------------------------------------------------------------
HSBC HOLDINGS PLC ADR 404280406 3,590 44,200 SH SOLE 44,200 0
----------------------------------------------------------------------------------------------------------------------------------
HUMANA INC COMMON 444859102 10,093 210,800 SH SOLE 210,800 0
----------------------------------------------------------------------------------------------------------------------------------
HUNT (JB) TRANSPRT SVCS
INC COMMON 445658107 16,012 842,300 SH SOLE 842,300 0
----------------------------------------------------------------------------------------------------------------------------------
INTL PAPER CO COMMON 460146103 2,879 96,625 SH SOLE 95,750 875
----------------------------------------------------------------------------------------------------------------------------------
IPSCO INC ADR 462622101 28,253 395,200 SH SOLE 395,200 0
----------------------------------------------------------------------------------------------------------------------------------
J P MORGAN CHASE & CO COMMON 46625H100 10,465 308,420 SH SOLE 307,725 695
----------------------------------------------------------------------------------------------------------------------------------
JACOBS ENGINEERING GROUP
INC COMMON 469814107 4,078 60,500 SH SOLE 60,500 0
----------------------------------------------------------------------------------------------------------------------------------
JLG INDUSTRIES INC COMMON 466210101 11,101 303,400 SH SOLE 303,400 0
----------------------------------------------------------------------------------------------------------------------------------
JONES LANG LASALLE INC COMMON 48020Q107 23,256 504,900 SH SOLE 504,900 0
----------------------------------------------------------------------------------------------------------------------------------
Page 5 of 9
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
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
KB HOME COMMON 48666K109 5,000 68,300 SH SOLE 68,300 0
----------------------------------------------------------------------------------------------------------------------------------
KERR-MCGEE CORP COMMON 492386107 6,166 63,500 SH SOLE 63,500 0
----------------------------------------------------------------------------------------------------------------------------------
KIMBERLY-CLARK CORP COMMON 494368103 3,496 58,726 SH SOLE 57,600 1,126
----------------------------------------------------------------------------------------------------------------------------------
LABOR READY INC COMMON 505401208 4,022 156,800 SH SOLE 156,800 0
----------------------------------------------------------------------------------------------------------------------------------
LANDSTAR SYSTEM INC COMMON 515098101 20,535 513,000 SH SOLE 513,000 0
----------------------------------------------------------------------------------------------------------------------------------
LENNOX INTERNATIONAL INC COMMON 526107107 4,196 153,100 SH SOLE 153,100 0
----------------------------------------------------------------------------------------------------------------------------------
LILLY (ELI) & CO COMMON 532457108 3,511 65,600 SH SOLE 65,600 0
----------------------------------------------------------------------------------------------------------------------------------
LINCOLN NATIONAL CORP COMMON 534187109 4,078 78,400 SH SOLE 78,400 0
----------------------------------------------------------------------------------------------------------------------------------
LONGS DRUG STORES CORP COMMON 543162101 4,992 116,400 SH SOLE 116,400 0
----------------------------------------------------------------------------------------------------------------------------------
LUBYS INC COMMON 549282101 5,466 418,500 SH SOLE 418,500 0
----------------------------------------------------------------------------------------------------------------------------------
LUFKIN INDUSTRIES INC COMMON 549764108 6,023 138,300 SH SOLE 138,300 0
----------------------------------------------------------------------------------------------------------------------------------
LYONDELL CHEMICAL CO COMMON 552078107 18,695 653,200 SH SOLE 653,200 0
----------------------------------------------------------------------------------------------------------------------------------
MARATHON OIL CORP COMMON 565849106 6,962 101,000 SH SOLE 101,000 0
----------------------------------------------------------------------------------------------------------------------------------
MARSH & MCLENNAN COS COMMON 571748102 3,604 118,600 SH SOLE 118,600 0
----------------------------------------------------------------------------------------------------------------------------------
MCDERMOTT INTL INC COMMON 580037109 41,706 1,139,200 SH SOLE 1,139,200 0
----------------------------------------------------------------------------------------------------------------------------------
MEADWESTVACO CORP COMMON 583334107 3,146 113,900 SH SOLE 113,900 0
----------------------------------------------------------------------------------------------------------------------------------
MENS WEARHOUSE INC COMMON 587118100 3,874 145,100 SH SOLE 145,100 0
----------------------------------------------------------------------------------------------------------------------------------
MERCK & CO COMMON 589331107 9,529 350,186 SH SOLE 349,600 586
----------------------------------------------------------------------------------------------------------------------------------
MERITAGE HOMES CORP COMMON 59001A102 30,549 398,500 SH SOLE 398,500 0
----------------------------------------------------------------------------------------------------------------------------------
MOLINA HEALTHCARE INC COMMON 60855R100 10,178 407,300 SH SOLE 407,300 0
----------------------------------------------------------------------------------------------------------------------------------
MULTI-FINELINE ELECTRON
INC COMMON 62541B101 8,002 273,400 SH SOLE 273,400 0
----------------------------------------------------------------------------------------------------------------------------------
Page 6 of 9
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
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
NATIONAL CITY CORP COMMON 635405103 3,374 100,900 SH SOLE 100,900 0
----------------------------------------------------------------------------------------------------------------------------------
NCR CORP COMMON 62886E108 17,414 545,732 SH SOLE 545,700 32
----------------------------------------------------------------------------------------------------------------------------------
NOVA CHEMICALS CORP ADR 66977W109 14,698 399,400 SH SOLE 399,400 0
----------------------------------------------------------------------------------------------------------------------------------
NOVAMERICAN STEEL INC ADR 669959108 12,565 336,400 SH SOLE 336,400 0
----------------------------------------------------------------------------------------------------------------------------------
NS GROUP, INC. COMMON 628916108 5,935 151,200 SH SOLE 151,200 0
----------------------------------------------------------------------------------------------------------------------------------
NUCOR CORP COMMON 670346105 21,289 360,900 SH SOLE 360,900 0
----------------------------------------------------------------------------------------------------------------------------------
NVR INC COMMON 62944T105 21,770 24,600 SH SOLE 24,600 0
----------------------------------------------------------------------------------------------------------------------------------
OFFICE DEPOT INC COMMON 676220106 4,057 136,600 SH SOLE 136,600 0
----------------------------------------------------------------------------------------------------------------------------------
OIL STATES INTL INC COMMON 678026105 4,259 117,300 SH SOLE 117,300 0
----------------------------------------------------------------------------------------------------------------------------------
OLD DOMINION FREIGHT COMMON 679580100 18,178 542,800 SH SOLE 542,800 0
----------------------------------------------------------------------------------------------------------------------------------
OREGON STEEL MILLS INC COMMON 686079104 25,975 931,000 SH SOLE 931,000 0
----------------------------------------------------------------------------------------------------------------------------------
P G & E CORP COMMON 69331C108 236 6,005 SH SOLE 0 6,005
----------------------------------------------------------------------------------------------------------------------------------
PANTRY INC COMMON 698657103 4,712 126,100 SH SOLE 126,100 0
----------------------------------------------------------------------------------------------------------------------------------
PAR TECHNOLOGY CORP COMMON 698884103 3,910 170,000 SH SOLE 170,000 0
----------------------------------------------------------------------------------------------------------------------------------
PFIZER INC COMMON 717081103 8,312 332,875 SH SOLE 330,775 2,100
----------------------------------------------------------------------------------------------------------------------------------
PHILLIPS-VAN HEUSEN CORP COMMON 718592108 4,693 151,300 SH SOLE 151,300 0
----------------------------------------------------------------------------------------------------------------------------------
PIONEER COS INC CLASS A 723643300 5,476 227,600 SH SOLE 227,600 0
----------------------------------------------------------------------------------------------------------------------------------
PITNEY BOWES INC COMMON 724479100 3,452 82,700 SH SOLE 82,700 0
----------------------------------------------------------------------------------------------------------------------------------
PNC FINANCIAL SVCS GROUP
INC COMMON 693475105 3,916 67,500 SH SOLE 67,500 0
----------------------------------------------------------------------------------------------------------------------------------
PPG INDUSTRIES INC COMMON 693506107 3,297 55,700 SH SOLE 55,700 0
----------------------------------------------------------------------------------------------------------------------------------
QUANEX CORP COMMON 747620102 10,516 158,800 SH SOLE 158,800 0
----------------------------------------------------------------------------------------------------------------------------------
Page 7 of 9
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
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
QUANTA SERVICES INC COMMON 74762E102 4,062 318,300 SH SOLE 318,300 0
----------------------------------------------------------------------------------------------------------------------------------
QUIKSILVER INC COMMON 74838C106 18,325 1,268,200 SH SOLE 1,268,200 0
----------------------------------------------------------------------------------------------------------------------------------
REGIONS FINL CORP COMMON 7591EP100 3,308 106,300 SH SOLE 106,300 0
----------------------------------------------------------------------------------------------------------------------------------
RELIANT ENERGY INC COMMON 75952B105 21,366 1,383,800 SH SOLE 1,383,800 0
----------------------------------------------------------------------------------------------------------------------------------
RIVIERA HOLDINGS CORP COMMON 769627100 4,691 211,500 SH SOLE 211,500 0
----------------------------------------------------------------------------------------------------------------------------------
RYLAND GROUP INC COMMON 783764103 4,646 67,900 SH SOLE 67,900 0
----------------------------------------------------------------------------------------------------------------------------------
SARA LEE CORP COMMON 803111103 2,925 154,328 SH SOLE 153,100 1,228
----------------------------------------------------------------------------------------------------------------------------------
SBC COMMUNICATIONS INC COMMON 78387G103 11,458 478,019 SH SOLE 470,100 7,919
----------------------------------------------------------------------------------------------------------------------------------
SEABOARD CORP COMMON 811543107 4,119 3,000 SH SOLE 3,000 0
----------------------------------------------------------------------------------------------------------------------------------
SEARS HOLDING CORP COMMON 812350106 27,897 224,200 SH SOLE 224,200 0
----------------------------------------------------------------------------------------------------------------------------------
SHAW GROUP INC COMMON 820280105 9,963 404,000 SH SOLE 404,000 0
----------------------------------------------------------------------------------------------------------------------------------
SIERRA HEALTH SERVICES COMMON 826322109 23,609 342,800 SH SOLE 342,800 0
----------------------------------------------------------------------------------------------------------------------------------
SIERRA PACIFIC RESOURCES COMMON 826428104 4,036 271,800 SH SOLE 271,800 0
----------------------------------------------------------------------------------------------------------------------------------
SKYWEST INC COMMON 830879102 4,063 151,500 SH SOLE 151,500 0
----------------------------------------------------------------------------------------------------------------------------------
SPARTAN STORES INC COMMON 846822104 3,592 348,700 SH SOLE 348,700 0
----------------------------------------------------------------------------------------------------------------------------------
SPRINT NEXTEL CORP COMMON 852061100 149 6,257 SH SOLE 0 6,257
----------------------------------------------------------------------------------------------------------------------------------
STANDARD PACIFIC CP COMMON 85375C101 4,799 115,600 SH SOLE 115,600 0
----------------------------------------------------------------------------------------------------------------------------------
STOLT OFFSHORE S A ADR 861567105 6,245 539,300 SH SOLE 539,300 0
----------------------------------------------------------------------------------------------------------------------------------
SYKES ENTERPRISES INC COMMON 871237103 6,259 526,000 SH SOLE 526,000 0
----------------------------------------------------------------------------------------------------------------------------------
SYNAGRO TECHNOLOGIES INC COMMON 871562203 4,816 1,024,600 SH SOLE 1,024,600 0
----------------------------------------------------------------------------------------------------------------------------------
TELEFONICA DE ARGENTINA ADR 879991016 0 12,900 SH SOLE 0 12,900
----------------------------------------------------------------------------------------------------------------------------------
Page 8 of 9
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
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
TELEFONICA DE ARGENTINA ADR 879991024 0 12,900 SH SOLE 0 12,900
----------------------------------------------------------------------------------------------------------------------------------
TELEFONOS DE MEX ADR 879403780 4,588 215,700 SH SOLE 215,700 0
----------------------------------------------------------------------------------------------------------------------------------
TERRA INDUSTRIES INC COMMON 880915103 14,146 2,127,200 SH SOLE 2,127,200 0
----------------------------------------------------------------------------------------------------------------------------------
TESORO PETROLEUM CORP COMMON 881609101 39,867 592,900 SH SOLE 592,900 0
----------------------------------------------------------------------------------------------------------------------------------
TEXAS INDUSTRIES INC COMMON 882491103 16,472 302,800 SH SOLE 302,800 0
----------------------------------------------------------------------------------------------------------------------------------
TOLL BROTHERS INC COMMON 889478103 24,595 550,600 SH SOLE 550,600 0
----------------------------------------------------------------------------------------------------------------------------------
TORO CO COMMON 891092108 17,071 464,400 SH SOLE 464,400 0
----------------------------------------------------------------------------------------------------------------------------------
TOTAL SA ADR 89151E109 4,713 34,700 SH SOLE 34,700 0
----------------------------------------------------------------------------------------------------------------------------------
TRAMMELL CROW CO COMMON 89288R106 5,064 205,200 SH SOLE 205,200 0
----------------------------------------------------------------------------------------------------------------------------------
TRANSMONTAIGNE INC COMMON 893934109 3,516 440,100 SH SOLE 440,100 0
----------------------------------------------------------------------------------------------------------------------------------
TRW AUTOMOTIVE HOLDINGS COMMON 87264S106 4,172 142,200 SH SOLE 142,200 0
----------------------------------------------------------------------------------------------------------------------------------
U G I CORPORATION NEW COMMON 902681105 473 16,800 SH SOLE 0 16,800
----------------------------------------------------------------------------------------------------------------------------------
U S BANCORP COMMON 902973304 3,535 125,875 SH SOLE 125,800 75
----------------------------------------------------------------------------------------------------------------------------------
USG CORP COMMON 903293405 36,532 531,600 SH SOLE 531,600 0
----------------------------------------------------------------------------------------------------------------------------------
VALERO ENERGY CORP COMMON 91913Y100 53,862 476,400 SH SOLE 476,400 0
----------------------------------------------------------------------------------------------------------------------------------
VERIZON COMMUNICATIONS COMMON 92343V104 8,403 257,047 SH SOLE 243,625 13,422
----------------------------------------------------------------------------------------------------------------------------------
VODAFONE GROUP PLC ADR 92857W100 111 4,265 SH SOLE 0 4,265
----------------------------------------------------------------------------------------------------------------------------------
WACHOVIA CORP COMMON 929903102 3,265 68,600 SH SOLE 68,600 0
----------------------------------------------------------------------------------------------------------------------------------
WALTER INDUSTRIES INC COMMON 93317Q105 4,188 85,600 SH SOLE 85,600 0
----------------------------------------------------------------------------------------------------------------------------------
WASHINGTON MUTUAL INC COMMON 939322103 3,563 90,850 SH SOLE 90,400 450
----------------------------------------------------------------------------------------------------------------------------------
WELLCARE HEALTH PLANS INC COMMON 94946T106 8,796 237,400 SH SOLE 237,400 0
----------------------------------------------------------------------------------------------------------------------------------
Page 9 of 9
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
----------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------
WELLCHOICE INC COMMON 949475107 5,563 73,300 SH SOLE 73,300 0
----------------------------------------------------------------------------------------------------------------------------------
WELLS FARGO & CO COMMON 949746101 4,374 74,675 SH SOLE 59,400 15,275
----------------------------------------------------------------------------------------------------------------------------------
WESCO INTL INC COMMON 95082P105 21,585 637,300 SH SOLE 637,300 0
----------------------------------------------------------------------------------------------------------------------------------
WESTAMERICA BANCORP COMMON 957090103 486 9,411 SH SOLE 0 9,411
----------------------------------------------------------------------------------------------------------------------------------
WESTERN DIGITAL CORP COMMON 958102105 4,832 373,700 SH SOLE 373,700 0
----------------------------------------------------------------------------------------------------------------------------------
WESTERN GAS RESOURCES INC COMMON 958259103 4,011 78,300 SH SOLE 78,300 0
----------------------------------------------------------------------------------------------------------------------------------
WILLIAM LYON HOMES COMMON 552074106 4,237 27,300 SH SOLE 27,300 0
----------------------------------------------------------------------------------------------------------------------------------
WORLD AIR HOLDINGS INC COMMON 98142V104 4,012 406,900 SH SOLE 406,900 0
----------------------------------------------------------------------------------------------------------------------------------
XL CAPITAL LTD ADR G98255105 3,204 47,100 SH SOLE 47,100 0
----------------------------------------------------------------------------------------------------------------------------------
YELLOW ROADWAY CORP COMMON 985577105 14,046 339,100 SH SOLE 339,100 0
----------------------------------------------------------------------------------------------------------------------------------
TOTAL 1,782,289
----------------------------------------------------------------------------------------------------------------------------------