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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: December 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 January 17, 2006
--------------------------------------------------------------------------------
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: 172
----------------------
Form 13F Information Table Value Total: $1,792,142
----------------------
(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
----------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
A T & T INC COMMON 00206R102 12,216 498,830 SH SOLE 490,029 8,801
------------------------------------------------------------------------------------------------------------------------------------
ADVANCE AUTO PARTS INC COMMON 00751Y106 4,702 108,200 SH SOLE 108,200 0
------------------------------------------------------------------------------------------------------------------------------------
AETNA INC COMMON 00817Y108 34,914 370,200 SH SOLE 370,200 0
------------------------------------------------------------------------------------------------------------------------------------
AK STEEL HOLDING CORP COMMON 001547108 10,760 1,353,500 SH SOLE 1,353,500 0
------------------------------------------------------------------------------------------------------------------------------------
ALBERTSONS INC COMMON 013104104 3,288 154,000 SH SOLE 154,000 0
------------------------------------------------------------------------------------------------------------------------------------
ALLEGHENY TECHNOLOGIES
INC COMMON 01741R102 5,701 158,000 SH SOLE 158,000 0
------------------------------------------------------------------------------------------------------------------------------------
ALLIANCE IMAGING INC COMMON 018606202 10,187 1,712,100 SH SOLE 1,712,100 0
------------------------------------------------------------------------------------------------------------------------------------
ALTRIA GROUP INC COMMON 02209S103 12,151 162,615 SH SOLE 162,175 440
------------------------------------------------------------------------------------------------------------------------------------
AMERCO COMMON 023586100 6,261 86,900 SH SOLE 86,900 0
------------------------------------------------------------------------------------------------------------------------------------
AMERIGROUP CORP COMMON 03073T102 10,074 517,700 SH SOLE 517,700 0
------------------------------------------------------------------------------------------------------------------------------------
ANDERSONS INC COMMON 034164103 5,876 136,400 SH SOLE 136,400 0
------------------------------------------------------------------------------------------------------------------------------------
BADGER METER INC COMMON 056525108 4,481 114,200 SH SOLE 114,200 0
------------------------------------------------------------------------------------------------------------------------------------
BANK OF AMERICA CORP COMMON 060505104 4,216 91,351 SH SOLE 77,800 13,551
------------------------------------------------------------------------------------------------------------------------------------
BELLSOUTH CORP COMMON 079860102 3,605 133,038 SH SOLE 129,300 3,738
------------------------------------------------------------------------------------------------------------------------------------
BLACK & DECKER CORP COMMON 091797100 19,279 221,700 SH SOLE 221,700 0
------------------------------------------------------------------------------------------------------------------------------------
BLOUNT INTL INC COMMON 095180105 17,910 1,124,300 SH SOLE 1,124,300 0
------------------------------------------------------------------------------------------------------------------------------------
BLUEGREEN CORP COMMON 096231105 15,606 987,700 SH SOLE 987,700 0
------------------------------------------------------------------------------------------------------------------------------------
BP PLC -ADS ADR 055622104 3,833 59,688 SH SOLE 53,200 6,488
------------------------------------------------------------------------------------------------------------------------------------
BRINKS CO COMMON 109696104 23,744 495,600 SH SOLE 495,600 0
------------------------------------------------------------------------------------------------------------------------------------
BRISTOL MYERS SQUIBB COMMON 110122108 3,849 167,500 SH SOLE 166,700 800
------------------------------------------------------------------------------------------------------------------------------------
BUILDING MATERIALS HLDG
CP COMMON 120113105 38,443 563,600 SH SOLE 563,600 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
----------------------------------------------------------------------------------------------------------------------------------
BUNGE LTD COMMON G16962105 19,446 343,500 SH SOLE 343,500 0
------------------------------------------------------------------------------------------------------------------------------------
BURLINGTON COAT FACTORY
WRHS COMMON 121579106 4,351 108,200 SH SOLE 108,200 0
------------------------------------------------------------------------------------------------------------------------------------
CARPENTER TECHNOLOGY CORP COMMON 144285103 23,607 335,000 SH SOLE 335,000 0
------------------------------------------------------------------------------------------------------------------------------------
CB RICHARD ELLIS GROUP
INC COMMON 12497T101 12,994 220,800 SH SOLE 210,800 10,000
------------------------------------------------------------------------------------------------------------------------------------
CENTENE CORP COMMON 15135B101 18,161 690,800 SH SOLE 690,800 0
------------------------------------------------------------------------------------------------------------------------------------
CHAMPION ENTERPRISES INC COMMON 158496109 22,568 1,657,000 SH SOLE 1,657,000 0
------------------------------------------------------------------------------------------------------------------------------------
CHAPARRAL STEEL CO COMMON 159423102 9,499 314,000 SH SOLE 314,000 0
------------------------------------------------------------------------------------------------------------------------------------
CHEMED CORP COMMON 16359R103 5,534 111,400 SH SOLE 111,400 0
------------------------------------------------------------------------------------------------------------------------------------
CHEVRONTEXACO CORP COMMON 166764100 4,355 76,707 SH SOLE 60,700 16,007
------------------------------------------------------------------------------------------------------------------------------------
CHILDRENS PLACE RETAIL
STRS COMMON 168905107 5,575 112,800 SH SOLE 112,800 0
------------------------------------------------------------------------------------------------------------------------------------
CHUNGHWA TELECOM CO ADR 17133Q205 3,701 201,700 SH SOLE 201,700 0
------------------------------------------------------------------------------------------------------------------------------------
CITIGROUP INC COMMON 172967101 11,454 236,025 SH SOLE 236,025 0
------------------------------------------------------------------------------------------------------------------------------------
CLEAN HARBORS INC COMMON 184496107 3,319 115,200 SH SOLE 115,200 0
------------------------------------------------------------------------------------------------------------------------------------
CLEVELAND-CLIFFS INC COMMON 185896107 38,333 432,800 SH SOLE 432,800 0
------------------------------------------------------------------------------------------------------------------------------------
CMS ENERGY CORP COMMON 125896100 4,321 297,800 SH SOLE 297,800 0
------------------------------------------------------------------------------------------------------------------------------------
COCA-COLA COMPANY COMMON 191216100 5,174 128,350 SH SOLE 128,350 0
------------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL METALS COMMON 201723103 34,646 922,900 SH SOLE 922,900 0
------------------------------------------------------------------------------------------------------------------------------------
CONAGRA FOODS INC COMMON 205887102 3,598 177,400 SH SOLE 177,400 0
------------------------------------------------------------------------------------------------------------------------------------
CONSOL ENERGY INC COMMON 20854P109 31,097 477,100 SH SOLE 477,100 0
------------------------------------------------------------------------------------------------------------------------------------
DAIMLERCHRYSLER AG ADR sedol -
2307389 3,557 69,700 SH SOLE 69,700 0
------------------------------------------------------------------------------------------------------------------------------------
DENNYS CORP COMMON 24869P104 3,468 860,600 SH SOLE 860,600 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
----------------------------------------------------------------------------------------------------------------------------------
DIAGEO PLC ADR 25243Q205 3,492 59,900 SH SOLE 59,900 0
------------------------------------------------------------------------------------------------------------------------------------
DONNELLEY (R R) & SONS CO COMMON 257867101 3,561 104,100 SH SOLE 104,100 0
------------------------------------------------------------------------------------------------------------------------------------
DOW CHEMICAL COMMON 260543103 3,506 80,000 SH SOLE 80,000 0
------------------------------------------------------------------------------------------------------------------------------------
DU PONT (E I) DE NEMOURS COMMON 263534109 10,889 256,200 SH SOLE 255,650 550
------------------------------------------------------------------------------------------------------------------------------------
EMERSON ELECTRIC COMMON 291011104 1,535 20,550 SH SOLE 0 20,550
------------------------------------------------------------------------------------------------------------------------------------
EXPRESS SCRIPTS INC COMMON 302182100 6,612 78,900 SH SOLE 78,900 0
------------------------------------------------------------------------------------------------------------------------------------
EXXON MOBIL CORPORATION COMMON 30231G102 1,196 21,293 SH SOLE 14,200 7,093
------------------------------------------------------------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTG
CORP COMMON 313400301 3,679 56,300 SH SOLE 56,300 0
------------------------------------------------------------------------------------------------------------------------------------
FLOWSERVE CORP COMMON 34354P105 5,455 137,900 SH SOLE 137,900 0
------------------------------------------------------------------------------------------------------------------------------------
FORD MOTOR CO COMMON 345370860 3,372 436,746 SH SOLE 436,500 246
------------------------------------------------------------------------------------------------------------------------------------
FRONTIER OIL CORP COMMON 35914P105 9,611 256,100 SH SOLE 256,100 0
------------------------------------------------------------------------------------------------------------------------------------
GEHL CO COMMON 368483103 4,707 179,300 SH SOLE 179,300 0
------------------------------------------------------------------------------------------------------------------------------------
GENERAL ELECTRIC CO. COMMON 369604103 2,225 63,475 SH SOLE 62,250 1,225
------------------------------------------------------------------------------------------------------------------------------------
GENERAL MOTORS CORP COMMON 370442105 7,956 409,657 SH SOLE 408,900 757
------------------------------------------------------------------------------------------------------------------------------------
GENESCO INC COMMON 371532102 29,127 750,900 SH SOLE 750,900 0
------------------------------------------------------------------------------------------------------------------------------------
GEORGIA GULF CORP COMMON 373200203 11,964 393,300 SH SOLE 393,300 0
------------------------------------------------------------------------------------------------------------------------------------
GLAXOSMITHKLINE PLC ADR 37733W105 3,559 70,500 SH SOLE 70,500 0
------------------------------------------------------------------------------------------------------------------------------------
GOODYEAR TIRE & RUBBER CO COMMON 382550101 5,414 311,500 SH SOLE 311,500 0
------------------------------------------------------------------------------------------------------------------------------------
GRACE (W R) & CO COMMON 38388F108 13,527 1,439,000 SH SOLE 1,439,000 0
------------------------------------------------------------------------------------------------------------------------------------
GREAT ATLANTIC & PAC TEA
CO COMMON 390064103 5,221 164,300 SH SOLE 164,300 0
------------------------------------------------------------------------------------------------------------------------------------
GREENBRIER COMPANIES INC COMMON 393657101 16,432 578,600 SH SOLE 578,600 0
------------------------------------------------------------------------------------------------------------------------------------
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
----------------------------------------------------------------------------------------------------------------------------------
HEALTHCARE SERVICES GROUP COMMON 421906108 4,784 231,000 SH SOLE 231,000 0
------------------------------------------------------------------------------------------------------------------------------------
HEINZ (H J) CO COMMON 423074103 3,500 103,800 SH SOLE 103,800 0
------------------------------------------------------------------------------------------------------------------------------------
HENNESSY ADVISORS INC COMMON 425885100 31,951 1,265,368 SH SOLE 0 1,265,368
------------------------------------------------------------------------------------------------------------------------------------
HEXCEL CORP COMMON 428291108 24,380 1,350,700 SH SOLE 1,350,700 0
------------------------------------------------------------------------------------------------------------------------------------
HOLLY CORP COMMON 435758305 10,379 176,300 SH SOLE 176,300 0
------------------------------------------------------------------------------------------------------------------------------------
HOVNANIAN ENTRPRS INC
-CL A COMMON 442487203 3,564 71,800 SH SOLE 71,800 0
------------------------------------------------------------------------------------------------------------------------------------
HSBC HOLDINGS PLC ADR 404280406 3,573 44,400 SH SOLE 44,400 0
------------------------------------------------------------------------------------------------------------------------------------
HUMANA INC COMMON 444859102 11,811 217,400 SH SOLE 217,400 0
------------------------------------------------------------------------------------------------------------------------------------
HUNT (JB) TRANSPRT SVCS
INC COMMON 445658107 19,774 873,400 SH SOLE 873,400 0
------------------------------------------------------------------------------------------------------------------------------------
ING GROEP NV ADR 456837103 3,663 105,200 SH SOLE 105,200 0
------------------------------------------------------------------------------------------------------------------------------------
INTL PAPER CO COMMON 460146103 3,684 109,625 SH SOLE 108,750 875
------------------------------------------------------------------------------------------------------------------------------------
IPSCO INC ADR 462622101 33,997 409,700 SH SOLE 409,700 0
------------------------------------------------------------------------------------------------------------------------------------
J P MORGAN CHASE & CO COMMON 46625H100 11,978 301,795 SH SOLE 300,950 845
------------------------------------------------------------------------------------------------------------------------------------
JACOBS ENGINEERING GROUP
INC COMMON 469814107 4,907 72,300 SH SOLE 72,300 0
------------------------------------------------------------------------------------------------------------------------------------
JLG INDUSTRIES INC COMMON 466210101 14,292 313,000 SH SOLE 313,000 0
------------------------------------------------------------------------------------------------------------------------------------
JONES LANG LASALLE INC COMMON 48020Q107 26,358 523,500 SH SOLE 523,500 0
------------------------------------------------------------------------------------------------------------------------------------
KB HOME COMMON 48666K109 4,585 63,100 SH SOLE 63,100 0
------------------------------------------------------------------------------------------------------------------------------------
KIMBERLY-CLARK CORP COMMON 494368103 3,724 62,426 SH SOLE 61,300 1,126
------------------------------------------------------------------------------------------------------------------------------------
KRAFT FOODS INC COMMON 50075N104 3,439 122,200 SH SOLE 122,200 0
------------------------------------------------------------------------------------------------------------------------------------
LABOR READY INC COMMON 505401208 3,902 187,400 SH SOLE 187,400 0
------------------------------------------------------------------------------------------------------------------------------------
LANDSTAR SYSTEM INC COMMON 515098101 22,202 531,900 SH SOLE 531,900 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
----------------------------------------------------------------------------------------------------------------------------------
LENNOX INTERNATIONAL INC COMMON 526107107 5,161 183,000 SH SOLE 183,000 0
------------------------------------------------------------------------------------------------------------------------------------
LILLY (ELI) & CO COMMON 532457108 3,780 66,800 SH SOLE 66,800 0
------------------------------------------------------------------------------------------------------------------------------------
LINCOLN NATIONAL CORP COMMON 534187109 3,664 69,100 SH SOLE 69,100 0
------------------------------------------------------------------------------------------------------------------------------------
LONGS DRUG STORES CORP COMMON 543162101 3,916 107,600 SH SOLE 107,600 0
------------------------------------------------------------------------------------------------------------------------------------
LUBYS INC COMMON 549282101 5,143 386,700 SH SOLE 386,700 0
------------------------------------------------------------------------------------------------------------------------------------
LUFKIN INDUSTRIES INC COMMON 549764108 6,373 127,800 SH SOLE 127,800 0
------------------------------------------------------------------------------------------------------------------------------------
LYONDELL CHEMICAL CO COMMON 552078107 19,535 820,100 SH SOLE 820,100 0
------------------------------------------------------------------------------------------------------------------------------------
MATTEL INC COMMON 577081102 3,423 216,400 SH SOLE 216,400 0
------------------------------------------------------------------------------------------------------------------------------------
MCDERMOTT INTL INC COMMON 580037109 53,470 1,198,600 SH SOLE 1,198,600 0
------------------------------------------------------------------------------------------------------------------------------------
MEADWESTVACO CORP COMMON 583334107 3,549 126,600 SH SOLE 126,600 0
------------------------------------------------------------------------------------------------------------------------------------
MENS WEARHOUSE INC COMMON 587118100 3,948 134,100 SH SOLE 134,100 0
------------------------------------------------------------------------------------------------------------------------------------
MERCK & CO COMMON 589331107 11,577 363,939 SH SOLE 363,250 689
------------------------------------------------------------------------------------------------------------------------------------
MERITAGE HOMES CORP COMMON 59001A102 25,552 406,100 SH SOLE 406,100 0
------------------------------------------------------------------------------------------------------------------------------------
MOLINA HEALTHCARE INC COMMON 60855R100 11,250 422,300 SH SOLE 422,300 0
------------------------------------------------------------------------------------------------------------------------------------
MULTI-FINELINE ELECTRON
INC COMMON 62541B101 12,168 252,600 SH SOLE 252,600 0
------------------------------------------------------------------------------------------------------------------------------------
NATIONAL CITY CORP COMMON 635405103 3,491 104,000 SH SOLE 104,000 0
------------------------------------------------------------------------------------------------------------------------------------
NCR CORP COMMON 62886E108 19,204 565,832 SH SOLE 565,800 32
------------------------------------------------------------------------------------------------------------------------------------
NOVA CHEMICALS CORP ADR 66977W109 13,831 414,100 SH SOLE 414,100 0
------------------------------------------------------------------------------------------------------------------------------------
NOVAMERICAN STEEL INC ADR 669959108 13,554 344,350 SH SOLE 344,350 0
------------------------------------------------------------------------------------------------------------------------------------
NS GROUP, INC. COMMON 628916108 5,841 139,700 SH SOLE 139,700 0
------------------------------------------------------------------------------------------------------------------------------------
NUCOR CORP COMMON 670346105 24,967 374,200 SH SOLE 374,200 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
----------------------------------------------------------------------------------------------------------------------------------
NVR INC COMMON 62944T105 17,901 25,500 SH SOLE 25,500 0
------------------------------------------------------------------------------------------------------------------------------------
OFFICE DEPOT INC COMMON 676220106 5,121 163,100 SH SOLE 163,100 0
------------------------------------------------------------------------------------------------------------------------------------
OIL STATES INTL INC COMMON 678026105 4,442 140,200 SH SOLE 140,200 0
------------------------------------------------------------------------------------------------------------------------------------
OLD DOMINION FREIGHT COMMON 679580100 22,760 844,200 SH SOLE 844,200 0
------------------------------------------------------------------------------------------------------------------------------------
OREGON STEEL MILLS INC COMMON 686079104 28,399 965,300 SH SOLE 965,300 0
------------------------------------------------------------------------------------------------------------------------------------
P G & E CORP COMMON 69331C108 223 6,005 SH SOLE 0 6,005
------------------------------------------------------------------------------------------------------------------------------------
PANTRY INC COMMON 698657103 5,479 116,600 SH SOLE 116,600 0
------------------------------------------------------------------------------------------------------------------------------------
PAR TECHNOLOGY CORP COMMON 698884103 4,361 157,100 SH SOLE 157,100 0
------------------------------------------------------------------------------------------------------------------------------------
PFIZER INC COMMON 717081103 10,347 443,675 SH SOLE 441,575 2,100
------------------------------------------------------------------------------------------------------------------------------------
PHILLIPS-VAN HEUSEN CORP COMMON 718592108 4,530 139,800 SH SOLE 139,800 0
------------------------------------------------------------------------------------------------------------------------------------
PIONEER COS INC -CL A COMMON 723643300 6,303 210,300 SH SOLE 210,300 0
------------------------------------------------------------------------------------------------------------------------------------
PITNEY BOWES INC COMMON 724479100 3,608 85,400 SH SOLE 85,400 0
------------------------------------------------------------------------------------------------------------------------------------
PNC FINANCIAL SVCS GROUP
INC COMMON 693475105 3,456 55,900 SH SOLE 55,900 0
------------------------------------------------------------------------------------------------------------------------------------
PPG INDUSTRIES INC COMMON 693506107 3,543 61,200 SH SOLE 61,200 0
------------------------------------------------------------------------------------------------------------------------------------
QUANEX CORP COMMON 747620102 8,205 164,200 SH SOLE 164,200 0
------------------------------------------------------------------------------------------------------------------------------------
QUANTA SERVICES INC COMMON 74762E102 5,007 380,200 SH SOLE 380,200 0
------------------------------------------------------------------------------------------------------------------------------------
QUIKSILVER INC COMMON 74838C106 18,198 1,314,900 SH SOLE 1,314,900 0
------------------------------------------------------------------------------------------------------------------------------------
REGIONS FINL CORP COMMON 7591EP100 3,607 105,600 SH SOLE 105,600 0
------------------------------------------------------------------------------------------------------------------------------------
RELIANT ENERGY INC COMMON 75952B105 14,807 1,434,800 SH SOLE 1,434,800 0
------------------------------------------------------------------------------------------------------------------------------------
REYNOLDS AMERICAN INC COMMON 761713106 3,680 38,600 SH SOLE 38,600 0
------------------------------------------------------------------------------------------------------------------------------------
RIVIERA HOLDINGS CORP COMMON 769627100 3,203 195,400 SH SOLE 195,400 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
----------------------------------------------------------------------------------------------------------------------------------
RYLAND GROUP INC COMMON 783764103 4,523 62,700 SH SOLE 62,700 0
------------------------------------------------------------------------------------------------------------------------------------
SARA LEE CORP COMMON 803111103 3,782 200,128 SH SOLE 198,900 1,228
------------------------------------------------------------------------------------------------------------------------------------
SEABOARD CORP COMMON 811543107 4,231 2,800 SH SOLE 2,800 0
------------------------------------------------------------------------------------------------------------------------------------
SEARS HOLDING CORP COMMON 812350106 26,422 228,700 SH SOLE 228,700 0
------------------------------------------------------------------------------------------------------------------------------------
SHAW GROUP INC COMMON 820280105 12,195 419,200 SH SOLE 419,200 0
------------------------------------------------------------------------------------------------------------------------------------
SIERRA HEALTH SERVICES COMMON 826322109 28,418 355,400 SH SOLE 355,400 0
------------------------------------------------------------------------------------------------------------------------------------
SIERRA PACIFIC RESOURCES COMMON 826428104 4,209 322,800 SH SOLE 322,800 0
------------------------------------------------------------------------------------------------------------------------------------
SKYWEST INC COMMON 830879102 4,862 181,000 SH SOLE 181,000 0
------------------------------------------------------------------------------------------------------------------------------------
SPARTAN STORES INC COMMON 846822104 3,357 322,200 SH SOLE 322,200 0
------------------------------------------------------------------------------------------------------------------------------------
STANDARD PACIFIC CP COMMON 85375C101 3,930 106,800 SH SOLE 106,800 0
------------------------------------------------------------------------------------------------------------------------------------
STOLT OFFSHORE S A ADR 861567105 5,809 498,200 SH SOLE 498,200 0
------------------------------------------------------------------------------------------------------------------------------------
SYKES ENTERPRISES INC COMMON 871237103 6,498 486,000 SH SOLE 486,000 0
------------------------------------------------------------------------------------------------------------------------------------
SYNAGRO TECHNOLOGIES INC COMMON 871562203 4,004 946,600 SH SOLE 946,600 0
------------------------------------------------------------------------------------------------------------------------------------
TELEFONICA DE ARGENTINA
CONT ADR 879991024 0 12,900 SH SOLE 12,900 0
------------------------------------------------------------------------------------------------------------------------------------
TELEFONICA DE ARGENTINA
CONT ADR 879991016 0 12,900 SH SOLE 12,900 0
------------------------------------------------------------------------------------------------------------------------------------
TELEFONOS DE MEX ADR 879403780 3,808 154,300 SH SOLE 154,300 0
------------------------------------------------------------------------------------------------------------------------------------
TERRA INDUSTRIES INC COMMON 880915103 12,351 2,205,600 SH SOLE 2,205,600 0
------------------------------------------------------------------------------------------------------------------------------------
TESORO PETROLEUM CORP COMMON 881609101 37,835 614,700 SH SOLE 614,700 0
------------------------------------------------------------------------------------------------------------------------------------
TEXAS INDUSTRIES INC COMMON 882491103 15,650 314,000 SH SOLE 314,000 0
------------------------------------------------------------------------------------------------------------------------------------
THE CHARLES SCHWAB CORP COMMON 808513105 148 10,100 SH SOLE 0 10,100
------------------------------------------------------------------------------------------------------------------------------------
TOLL BROTHERS INC COMMON 889478103 19,776 570,900 SH SOLE 570,900 0
------------------------------------------------------------------------------------------------------------------------------------
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
----------------------------------------------------------------------------------------------------------------------------------
TORO CO COMMON 891092108 21,075 481,500 SH SOLE 481,500 0
------------------------------------------------------------------------------------------------------------------------------------
TRAMMELL CROW CO COMMON 89288R106 4,863 189,600 SH SOLE 189,600 0
------------------------------------------------------------------------------------------------------------------------------------
TRANSMONTAIGNE INC COMMON 893934109 2,684 406,600 SH SOLE 406,600 0
------------------------------------------------------------------------------------------------------------------------------------
TRW AUTOMOTIVE HOLDINGS
CORP COMMON 87264S106 4,477 169,900 SH SOLE 169,900 0
------------------------------------------------------------------------------------------------------------------------------------
U G I CORPORATION NEW COMMON 902681105 346 16,800 SH SOLE 0 16,800
------------------------------------------------------------------------------------------------------------------------------------
U S BANCORP COMMON 902973304 3,544 118,575 SH SOLE 118,500 75
------------------------------------------------------------------------------------------------------------------------------------
USG CORP COMMON 903293405 36,465 561,000 SH SOLE 561,000 0
------------------------------------------------------------------------------------------------------------------------------------
VALERO ENERGY CORP COMMON 91913Y100 50,269 974,200 SH SOLE 974,200 0
------------------------------------------------------------------------------------------------------------------------------------
VERIZON COMMUNICATIONS COMMON 92343V104 10,084 334,799 SH SOLE 321,375 13,424
------------------------------------------------------------------------------------------------------------------------------------
VODAFONE GROUP PLC -ADR ADR 92857W100 3,486 162,365 SH SOLE 158,100 4,265
------------------------------------------------------------------------------------------------------------------------------------
WACHOVIA CORP COMMON 929903102 3,573 67,600 SH SOLE 67,600 0
------------------------------------------------------------------------------------------------------------------------------------
WALTER INDUSTRIES INC COMMON 93317Q105 5,086 102,300 SH SOLE 102,300 0
------------------------------------------------------------------------------------------------------------------------------------
WASHINGTON MUTUAL INC COMMON 939322103 3,756 86,350 SH SOLE 85,900 450
------------------------------------------------------------------------------------------------------------------------------------
WELLCARE HEALTH PLANS INC COMMON 94946T106 10,029 245,500 SH SOLE 245,500 0
------------------------------------------------------------------------------------------------------------------------------------
WELLPOINT INC COMMON 94973V107 2,808 35,195 SH SOLE 35,195 0
------------------------------------------------------------------------------------------------------------------------------------
WELLS FARGO & CO COMMON 949746101 4,536 72,190 SH SOLE 57,000 15,190
------------------------------------------------------------------------------------------------------------------------------------
WESCO INTL INC COMMON 95082P105 28,236 660,800 SH SOLE 660,800 0
------------------------------------------------------------------------------------------------------------------------------------
WESTAMERICA BANCORP COMMON 957090103 500 9,415 SH SOLE 0 9,415
------------------------------------------------------------------------------------------------------------------------------------
WESTERN DIGITAL CORP COMMON 958102105 6,424 345,200 SH SOLE 345,200 0
------------------------------------------------------------------------------------------------------------------------------------
WESTERN GAS RESOURCES INC COMMON 958259103 4,403 93,500 SH SOLE 93,500 0
------------------------------------------------------------------------------------------------------------------------------------
WEYERHAEUSER CO COMMON 962166104 3,569 53,800 SH SOLE 53,800 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
----------------------------------------------------------------------------------------------------------------------------------
WILLIAM LYON HOMES COMMON 552074106 3,289 32,600 SH SOLE 32,600 0
------------------------------------------------------------------------------------------------------------------------------------
WORLD AIR HOLDINGS INC COMMON 98142V104 3,617 376,000 SH SOLE 376,000 0
------------------------------------------------------------------------------------------------------------------------------------
XL CAPITAL LTD ADR G98255105 3,612 53,600 SH SOLE 53,600 0
------------------------------------------------------------------------------------------------------------------------------------
YELLOW ROADWAY CORP COMMON 985577105 15,685 351,600 SH SOLE 351,600 0
------------------------------------------------------------------------------------------------------------------------------------
TOTAL 1,792,142
------------------------------------------------------------------------------------------------------------------------------------