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, 2012
----------------------
Check here if Amendment [ ]; Amendment Number:
This Amendment (Check only one): [ ] is a restatement.
[ ] adds new holdings entries.
Institutional Investment Manager Filing this Report:
Name: Hennessy Advisors, Inc.
Address: 7250 Redwood Boulevard, Suite 200
Novato, CA 94945
Form 13F File Number: 028-06715
The institutional investment manager filing this report and the person by whom
it is signed hereby represent that the person signing the report is authorized
to submit it, that all information contained herein is true, correct and
complete, and that it is understood that all required items, statements,
schedules, lists, and tables, are considered integral parts of this form.
Person Signing this Report on Behalf of Reporting Manager:
Name: Teresa M. Nilsen
Title: Executive Vice President and Chief Financial Officer
Phone: (415) 899-1555
Signature, Place, and Date of Signing:
/s/ Teresa M. Nilsen Novato, CA January 18, 2013
-------------------------------------------------------------------------------
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: 394
-----------
Form 13F Information Table Value Total: $1,730,058
-----------
(thousands)
List of Other Included Managers: NONE
FORM 13F INFORMATION TABLE
Name of Reporting Manager: Hennessy Advisors, Inc.
Value Shares/ Sh/ Put/ Invstmt Other Voting Authority
Name of Issuer Title of Class CUSIP (x1000) Prn Amt Prn Call Dscretn Mgrs Sole Shared None
------------------------------ --------------- ---------- ------- --------- ---- ---- ------- ----- --------- ------ -----
------------------------------ ----------------- --------- --------- --------- --- --- ---- ------- --------- ------ -----
ABBOTT LABS COM 002824100 2,679 40,900 SH SOLE 40,900
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
ADVANCE AUTO PARTS INC COM 00751Y106 2,062 28,500 SH SOLE 28,500
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
AGL RES INC COM 001204106 21,083 527,470 SH SOLE 527,470
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
ALASKA AIR GROUP INC COM 011659109 259 6,000 SH SOLE 6,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
ALEXION PHARMACEUTICALS INC COM 015351109 208 2,220 SH SOLE 2,220
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
ALLETE INC COM NEW 018522300 493 12,025 SH SOLE 12,025
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
ALLIANT ENERGY CORP COM 018802108 2,349 53,492 SH SOLE 53,492
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
ALLSCRIPTS HEALTHCARE SOLUTNS COM 01988P108 151 16,000 SH SOLE 16,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
ALTRIA GROUP INC COM 02209S103 2,454 78,100 SH SOLE 78,100
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
AMAZON COM INC COM 023135106 229 910 SH SOLE 910
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
AMEREN CORP COM 023608102 2,700 87,890 SH SOLE 87,890
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
AMERICAN AXLE & MFG HLDGS INC COM 024061103 280 25,000 SH SOLE 25,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
AMERICAN CAP LTD COM 02503Y103 1,680 140,000 SH SOLE 140,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
AMERICAN EXPRESS CO COM 025816109 2,874 50,000 SH SOLE 50,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
AMERICAN INTL GROUP INC COM NEW 026874784 2,648 75,000 SH SOLE 75,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
AMERICAN VANGUARD CORP COM 030371108 9,852 317,100 SH SOLE 317,100
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
AMERICAN WOODMARK CORP COM 030506109 445 16,000 SH SOLE 16,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
APPLE INC COM 037833100 2,262 4,243 SH SOLE 4,243
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
ARCELORMITTAL SA LUXEMBOURG NY REGISTRY SH 03938L104 1,936 110,800 SH SOLE 110,800
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
ARCTIC CAT INC COM 039670104 4,862 145,600 SH SOLE 145,600
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
ASCENA RETAIL GROUP INC COM 04351G101 296 16,000 SH SOLE 16,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
ASSOCIATED BANC CORP COM 045487105 2,991 228,000 SH SOLE 228,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
ASTORIA FINL CORP COM 046265104 4,446 475,000 SH SOLE 475,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
AT&T INC COM 00206R102 8,224 243,950 SH SOLE 243,950
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
ATLAS AIR WORLDWIDE HLDGS INC COM NEW 049164205 222 5,000 SH SOLE 5,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
ATMOS ENERGY CORP COM 049560105 16,519 470,362 SH SOLE 470,362
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
ATWOOD OCEANICS INC COM 050095108 458 10,012 SH SOLE 10,012
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
AUTOMATIC DATA PROCESSING INC COM 053015103 228 4,000 SH SOLE 4,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
AUTOZONE INC COM 053332102 2,056 5,800 SH SOLE 5,800
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
AVIS BUDGET GROUP COM 053774105 555 28,000 SH SOLE 28,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
AVISTA CORP COM 05379B107 1,542 63,972 SH SOLE 63,972
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
AVON PRODS INC COM 054303102 1,821 126,800 SH SOLE 126,800
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
BANCO SANTANDER SA ADR 05964H105 2,538 310,600 SH SOLE 310,600
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
BANCORPSOUTH INC COM 059692103 1,454 100,000 SH SOLE 100,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
BANK OF AMERICA CORPORATION COM 060505104 3,596 310,000 SH SOLE 310,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
BANKUNITED INC COM 06652K103 6,403 262,000 SH SOLE 262,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
BANNER CORP COM NEW 06652V208 6,453 210,000 SH SOLE 210,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
BAXTER INTL INC COM 071813109 2,118 31,775 SH SOLE 31,775
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
BBCN BANCORP INC COM 073295107 694 60,000 SH SOLE 60,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
BCE INC COM NEW 05534B760 2,323 54,100 SH SOLE 54,100
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
BEACON ROOFING SUPPLY INC COM 073685109 5,751 172,800 SH SOLE 172,800
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
BED BATH & BEYOND INC COM 075896100 2,002 35,800 SH SOLE 35,800
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
BERKSHIRE HATHAWAY INC CL A 084670108 3,754 28 SH SOLE 28
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
BERKSHIRE HILLS BANCORP INC COM 084680107 239 10,000 SH SOLE 10,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
BLACK HILLS CORP COM 092113109 1,657 45,600 SH SOLE 45,600
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
BLACKSTONE GROUP L P COM UNIT LTD 09253U108 1,559 100,000 SH SOLE 100,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
BOEING CO COM 097023105 2,110 28,000 SH SOLE 28,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
BP PLC SPONSORED ADR 055622104 2,115 50,800 SH SOLE 50,800
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
BRISTOL MYERS SQUIBB CO COM 110122108 2,184 67,000 SH SOLE 67,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
BROCADE COMMUNICATIONS SYS INC COM NEW 111621306 134 25,100 SH SOLE 25,100
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
BROOKLINE BANCORP INC DEL COM 11373M107 3,228 379,729 SH SOLE 379,729
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
BUCKLE INC COM 118440106 250 5,600 SH SOLE 5,600
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
CALUMET SPECIALTY PRODS PTNRS UT LTD PARTNER 131476103 5,291 174,100 SH SOLE 174,100
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
CAMBREX CORP COM 132011107 8,299 729,300 SH SOLE 729,300
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
CAMPBELL SOUP CO COM 134429109 4,494 128,800 SH SOLE 128,800
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
CAPITAL ONE FINL CORP COM 14040H105 2,897 50,000 SH SOLE 50,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
CAPITALSOURCE INC COM 14055X102 5,533 730,000 SH SOLE 730,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
CAPITOL FED FINL INC COM 14057J101 637 54,454 SH SOLE 54,454
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
CARDINAL HEALTH INC COM 14149Y108 2,047 49,700 SH SOLE 49,700
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
CARIBOU COFFEE INC COM 142042209 4,554 281,300 SH SOLE 281,300
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
CARNIVAL CORP PAIRED CT F 143658300 2,721 74,000 SH SOLE 74,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
CATERPILLAR INC DEL COM 149123101 2,114 23,600 SH SOLE 23,600
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
CENTENE CORP DEL COM 15135B101 4,440 108,300 SH SOLE 108,300
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
CENTERPOINT ENERGY INC COM 15189T107 15,740 817,673 SH SOLE 817,673
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
CENTRAL PAC FINL CORP COM NEW 154760409 1,660 106,470 SH SOLE 106,470
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
CENTURYLINK INC COM 156700106 2,363 60,400 SH SOLE 60,400
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
CEPHEID COM 15670R107 338 10,000 SH SOLE 10,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
CF INDS HLDGS INC COM 125269100 2,093 10,300 SH SOLE 10,300
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
CH ENERGY GROUP INC COM 12541M102 1,160 17,780 SH SOLE 17,780
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
CHEMTURA CORP COM NEW 163893209 6,637 312,200 SH SOLE 312,200
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
CHENIERE ENERGY INC COM NEW 16411R208 19,402 1,033,133 SH SOLE 1,033,133
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
CHESAPEAKE UTILS CORP COM 165303108 1,800 39,639 SH SOLE 39,639
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
CHEVRON CORP NEW COM 166764100 8,505 78,650 SH SOLE 78,650
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
CHICOPEE BANCORP INC COM 168565109 304 19,139 SH SOLE 19,139
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
CHICOS FAS INC COM 168615102 5,577 302,100 SH SOLE 302,100
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
CHURCHILL DOWNS INC COM 171484108 5,801 87,296 SH SOLE 87,296
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
CINTAS CORP COM 172908105 5,325 130,200 SH SOLE 130,200
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
CIRRUS LOGIC INC COM 172755100 207 7,150 SH SOLE 7,150
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
CISCO SYS INC COM 17275R102 226 11,520 SH SOLE 11,520
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
CIT GROUP INC COM NEW 125581801 3,091 80,000 SH SOLE 80,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
CITIGROUP INC COM NEW 172967424 3,521 89,000 SH SOLE 89,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
CITY NATL CORP COM 178566105 1,238 25,000 SH SOLE 25,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
CMS ENERGY CORP COM 125896100 10,975 450,148 SH SOLE 450,148
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
CNO FINL GROUP INC COM 12621E103 215 23,000 SH SOLE 23,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
COGNIZANT TECHNOLOGY SOLUTIONS CL A 192446102 236 3,187 SH SOLE 3,187
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
COMERICA INC COM 200340107 1,669 55,000 SH SOLE 55,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
COMMVAULT SYSTEMS INC COM 204166102 209 3,000 SH SOLE 3,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
COMPUWARE CORP COM 205638109 196 18,000 SH SOLE 18,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
CONAGRA FOODS INC COM 205887102 2,460 83,400 SH SOLE 83,400
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
CONOCOPHILLIPS COM 20825C104 3,874 66,800 SH SOLE 66,800
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
CONSOLIDATED EDISON INC COM 209115104 14,578 262,470 SH SOLE 262,470
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
COOPER TIRE & RUBR CO COM 216831107 5,813 229,200 SH SOLE 229,200
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
CORNING NAT GAS CORP COM 219381100 198 12,935 SH SOLE 12,935
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
CUMMINS INC COM 231021106 2,145 19,800 SH SOLE 19,800
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
CVS CAREMARK CORPORATION COM 126650100 5,565 115,100 SH SOLE 115,100
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
CYTEC INDS INC COM 232820100 206 3,000 SH SOLE 3,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
DEERE & CO COM 244199105 2,109 24,400 SH SOLE 24,400
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
DELTA AIR LINES INC DEL COM NEW 247361702 2,191 184,600 SH SOLE 184,600
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
DELTA NAT GAS INC COM 247748106 731 37,390 SH SOLE 37,390
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
DILLARDS INC CL A 254067101 5,378 64,200 SH SOLE 64,200
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
DIRECTV COM 25490A309 2,092 41,700 SH SOLE 41,700
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
DISCOVER FINL SVCS COM 254709108 655 17,000 SH SOLE 17,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
DOLLAR GEN CORP NEW COM 256677105 5,153 116,885 SH SOLE 116,885
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
DOLLAR TREE INC COM 256746108 2,178 53,700 SH SOLE 53,700
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
DOMINION RES INC VA NEW COM 25746U109 31,782 613,556 SH SOLE 613,556
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
DOMINOS PIZZA INC COM 25754A201 6,493 149,100 SH SOLE 149,100
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
DR PEPPER SNAPPLE GROUP INC COM 26138E109 2,072 46,900 SH SOLE 46,900
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
DTE ENERGY CO COM 233331107 11,092 184,715 SH SOLE 184,715
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
DU PONT E I DE NEMOURS & CO COM 263534109 7,319 162,750 SH SOLE 162,750
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
DUKE ENERGY CORP NEW COM NEW 26441C204 5,349 83,837 SH SOLE 83,837
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
DXP ENTERPRISES INC NEW COM NEW 233377407 6,541 133,300 SH SOLE 133,300
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
DYCOM INDS INC COM 267475101 4,227 213,500 SH SOLE 213,500
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
EBAY INC COM 278642103 231 4,530 SH SOLE 4,530
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
ELIZABETH ARDEN INC COM 28660G106 5,631 125,100 SH SOLE 125,100
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
EMERSON ELEC CO COM 291011104 2,404 45,400 SH SOLE 45,400
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
EMPIRE DIST ELEC CO COM 291641108 336 16,500 SH SOLE 16,500
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
ENBRIDGE INC COM 29250N105 35,626 822,401 SH SOLE 822,401
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
ENCANA CORP COM 292505104 2,549 129,000 SH SOLE 129,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
ENCORE CAP GROUP INC COM 292554102 5,879 192,000 SH SOLE 192,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
ENERGEN CORP COM 29265N108 4,064 90,129 SH SOLE 90,129
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
ENERGY TRANSFER EQUITY L P COM UT LTD PTN 29273V100 35,429 779,005 SH SOLE 779,005
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
ENERGY XXI (BERMUDA) LTD USD UNRS SHS G10082140 290 9,000 SH SOLE 9,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
ENTERGY CORP NEW COM 29364G103 504 7,900 SH SOLE 7,900
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
EQT CORP COM 26884L109 4,861 82,410 SH SOLE 82,410
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
EVERBANK FINL CORP COM 29977G102 3,578 240,000 SH SOLE 240,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
EXELON CORP COM 30161N101 7,779 261,581 SH SOLE 261,581
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
EXTERRAN HLDGS INC COM 30225X103 5,903 269,300 SH SOLE 269,300
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
EXXON MOBIL CORP COM 30231G102 2,034 23,500 SH SOLE 23,500
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
FAMILY DLR STORES INC COM 307000109 2,004 31,600 SH SOLE 31,600
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
FIFTH THIRD BANCORP COM 316773100 3,266 215,000 SH SOLE 215,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
FINISH LINE INC CL A 317923100 189 10,000 SH SOLE 10,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
FIRST AMERN FINL CORP COM 31847R102 5,635 233,900 SH SOLE 233,900
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
FIRST BANCORP P R COM NEW 318672706 1,832 400,000 SH SOLE 400,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
FIRST COMWLTH FINL CORP PA COM 319829107 512 75,000 SH SOLE 75,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
FIRST CONN BANCORP INC MD COM 319850103 2,753 200,210 SH SOLE 200,210
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
FIRST HORIZON NATL CORP COM 320517105 4,531 457,253 SH SOLE 457,253
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
FIRST NIAGARA FINL GP INC COM 33582V108 2,379 300,000 SH SOLE 300,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
FIRSTMERIT CORP COM 337915102 1,419 100,000 SH SOLE 100,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
FLAGSTAR BANCORP INC COM PAR .001 337930705 6,596 340,000 SH SOLE 340,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
FLUOR CORP NEW COM 343412102 2,150 36,600 SH SOLE 36,600
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
FLUSHING FINL CORP COM 343873105 5,522 360,000 SH SOLE 360,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
FOOT LOCKER INC COM 344849104 8,001 249,100 SH SOLE 249,100
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
FREEPORT-MCMORAN COP & GLD COM 35671D857 2,196 64,200 SH SOLE 64,200
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
FULLER H B CO COM 359694106 5,846 167,900 SH SOLE 167,900
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
FULTON FINL CORP PA COM 360271100 4,711 490,200 SH SOLE 490,200
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
GAP INC DEL COM 364760108 2,055 66,200 SH SOLE 66,200
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
GAS NAT INC COM 367204104 282 30,256 SH SOLE 30,256
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
GENERAL DYNAMICS CORP COM 369550108 2,127 30,700 SH SOLE 30,700
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
GENERAL ELECTRIC CO COM 369604103 5,621 267,800 SH SOLE 267,800
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
GENESCO INC COM 371532102 4,219 76,700 SH SOLE 76,700
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
GEO GROUP INC COM 36159R103 5,423 192,300 SH SOLE 192,300
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
GEORGIA GULF CORP COM PAR $0.01 NEW 373200302 5,738 139,000 SH SOLE 139,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
GLAXOSMITHKLINE PLC SPONSORED ADR 37733W105 2,160 49,700 SH SOLE 49,700
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
GOLDMAN SACHS GROUP INC COM 38141G104 2,934 23,000 SH SOLE 23,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
GOOGLE INC CL A 38259P508 222 313 SH SOLE 313
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
GRACE W R & CO DEL NEW COM 38388F108 11,715 174,250 SH SOLE 174,250
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
GREEN DOT CORP CL A 39304D102 1,037 85,000 SH SOLE 85,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
GROUP 1 AUTOMOTIVE INC COM 398905109 5,492 88,600 SH SOLE 88,600
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
HALLIBURTON CO COM 406216101 2,158 62,200 SH SOLE 62,200
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
HCA HOLDINGS INC COM 40412C101 2,039 67,600 SH SOLE 67,600
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
HEALTH MGMT ASSOC INC NEW CL A 421933102 149 16,000 SH SOLE 16,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
HEARTLAND PMT SYS INC COM 42235N108 1,770 60,000 SH SOLE 60,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
HEINZ H J CO COM 423074103 2,434 42,200 SH SOLE 42,200
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
HELMERICH & PAYNE INC COM 423452101 2,156 38,500 SH SOLE 38,500
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
HENRY JACK & ASSOC INC COM 426281101 707 18,000 SH SOLE 18,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
HEWLETT PACKARD CO COM 428236103 1,054 73,950 SH SOLE 73,950
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
HINGHAM INSTN SVGS MASS COM 433323102 5,905 94,331 SH SOLE 94,331
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
HOLLYFRONTIER CORP COM 436106108 8,351 179,400 SH SOLE 179,400
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
HOME LN SERVICING SOLUTIONS ORD SHS G6648D109 567 30,000 SH SOLE 30,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
HOMESTREET INC COM 43785V102 6,388 250,000 SH SOLE 250,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
HORACE MANN EDUCATORS CORP COM 440327104 479 24,000 SH SOLE 24,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
HSBC HLDGS PLC SPON ADR NEW 404280406 2,993 56,400 SH SOLE 56,400
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
HUNTINGTON BANCSHARES INC COM 446150104 2,300 360,000 SH SOLE 360,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
HUNTSMAN CORP COM 447011107 5,242 329,700 SH SOLE 329,700
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
IMPAX LABORATORIES INC COM 45256B101 307 15,000 SH SOLE 15,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
INDEPENDENT BANK CORP MASS COM 453836108 2,924 101,000 SH SOLE 101,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
INNERWORKINGS INC COM 45773Y105 5,896 427,865 SH SOLE 427,865
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
INNOSPEC INC COM 45768S105 345 10,000 SH SOLE 10,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
INTEGRYS ENERGY GROUP INC COM 45822P105 11,035 211,321 SH SOLE 211,321
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
INTEL CORP COM 458140100 8,326 403,600 SH SOLE 403,600
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
INTERNATIONAL BUSINESS MACHS COM 459200101 2,088 10,900 SH SOLE 10,900
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
INTL PAPER CO COM 460146103 2,809 70,500 SH SOLE 70,500
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
INTUITIVE SURGICAL INC COM NEW 46120E602 224 457 SH SOLE 457
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
INVESTORS TITLE CO COM 461804106 204 3,407 SH SOLE 3,407
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
ISHARES TR RUSSELL 2000 464287655 674 8,000 SH SOLE 8,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
JARDEN CORP COM 471109108 5,547 107,300 SH SOLE 107,300
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
JAZZ PHARMACEUTICALS PLC SHS USD G50871105 213 4,000 SH SOLE 4,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
JETBLUE AIRWAYS CORP COM 477143101 286 50,000 SH SOLE 50,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
JOHNSON & JOHNSON COM 478160104 8,387 119,650 SH SOLE 119,650
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
JOY GLOBAL INC COM 481165108 2,200 34,500 SH SOLE 34,500
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
JPMORGAN CHASE & CO. COM 46625H100 5,881 133,750 SH SOLE 133,750
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
KB HOME COM 48666K109 11,632 736,200 SH SOLE 736,200
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
KELLOGG CO COM 487836108 2,469 44,200 SH SOLE 44,200
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
KEYCORP NEW COM 493267108 3,705 440,000 SH SOLE 440,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
KIMBERLY CLARK CORP COM 494368103 2,584 30,600 SH SOLE 30,600
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
KINDER MORGAN INC DEL COM 49456B101 35,744 1,011,704 SH SOLE 1,011,704
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
KKR FINANCIAL HLDGS LLC COM 48248A306 6,125 580,000 SH SOLE 580,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
KLA-TENCOR CORP COM 482480100 2,135 44,700 SH SOLE 44,700
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
KODIAK OIL & GAS CORP COM 50015Q100 336 38,000 SH SOLE 38,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
KOHLS CORP COM 500255104 2,042 47,500 SH SOLE 47,500
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
KRAFT FOODS GROUP INC COM 50076Q106 648 14,250 SH SOLE 14,250
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
KROGER CO COM 501044101 2,058 79,100 SH SOLE 79,100
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
LA Z BOY INC COM 505336107 5,059 357,500 SH SOLE 357,500
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
LACLEDE GROUP INC COM 505597104 4,145 107,349 SH SOLE 107,349
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
LEAPFROG ENTERPRISES INC CL A 52186N106 6,265 726,000 SH SOLE 726,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
LENNAR CORP CL A 526057104 387 10,000 SH SOLE 10,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
LENNOX INTL INC COM 526107107 315 6,000 SH SOLE 6,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
LILLY ELI & CO COM 532457108 4,907 99,500 SH SOLE 99,500
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
LITHIA MTRS INC CL A 536797103 7,551 201,800 SH SOLE 201,800
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
LOCKHEED MARTIN CORP COM 539830109 4,679 50,700 SH SOLE 50,700
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
M & T BK CORP COM 55261F104 985 10,000 SH SOLE 10,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
MACYS INC COM 55616P104 5,393 138,200 SH SOLE 138,200
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
MADDEN STEVEN LTD COM 556269108 317 7,500 SH SOLE 7,500
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
MANITOWOC INC COM 563571108 235 15,000 SH SOLE 15,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
MARATHON OIL CORP COM 565849106 2,116 69,000 SH SOLE 69,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
MARATHON PETE CORP COM 56585A102 2,123 33,700 SH SOLE 33,700
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
MASCO CORP COM 574599106 5,724 343,600 SH SOLE 343,600
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
MASTERCARD INC CL A 57636Q104 1,719 3,500 SH SOLE 3,500
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
MATTEL INC COM 577081102 2,875 78,500 SH SOLE 78,500
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
MB FINANCIAL INC NEW COM 55264U108 1,185 60,000 SH SOLE 60,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
MBIA INC COM 55262C100 4,200 535,000 SH SOLE 535,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
MCDONALDS CORP COM 580135101 2,086 23,650 SH SOLE 23,650
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
MDU RES GROUP INC COM 552690109 7,525 354,285 SH SOLE 354,285
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
MEDASSETS INC COM 584045108 302 18,000 SH SOLE 18,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
MEDIDATA SOLUTIONS INC COM 58471A105 392 10,000 SH SOLE 10,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
MENS WEARHOUSE INC COM 587118100 4,149 133,150 SH SOLE 133,150
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
MERCK & CO INC NEW COM 58933Y105 7,889 192,700 SH SOLE 192,700
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
MERITAGE HOMES CORP COM 59001A102 5,416 145,000 SH SOLE 145,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
METLIFE INC COM 59156R108 329 10,000 SH SOLE 10,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
MGE ENERGY INC COM 55277P104 1,020 20,017 SH SOLE 20,017
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
MGIC INVT CORP WIS COM 552848103 3,458 1,300,000 SH SOLE 1,300,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
MICROSOFT CORP COM 594918104 228 8,525 SH SOLE 8,525
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
MKS INSTRUMENT INC COM 55306N104 232 9,000 SH SOLE 9,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
MOHAWK INDS INC COM 608190104 5,691 62,900 SH SOLE 62,900
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
MOLINA HEALTHCARE INC COM 60855R100 4,140 153,000 SH SOLE 153,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
MONDELEZ INTL INC CL A 609207105 1,184 46,500 SH SOLE 46,500
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
MONEYGRAM INTL INC COM NEW 60935Y208 1,994 150,000 SH SOLE 150,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
MORGAN STANLEY COM NEW 617446448 3,327 174,000 SH SOLE 174,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
MUELLER INDS INC COM 624756102 5,096 101,850 SH SOLE 101,850
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
MYRIAD GENETICS INC COM 62855J104 273 10,030 SH SOLE 10,030
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
NATIONAL FUEL GAS CO N J COM 636180101 14,350 283,098 SH SOLE 283,098
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
NATIONAL GRID PLC SPON ADR NEW 636274300 35,481 617,706 SH SOLE 617,706
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
NATIONSTAR MTG HLDGS INC COM 63861C109 5,267 170,000 SH SOLE 170,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
NAVIGANT CONSULTING INC COM 63935N107 4,040 362,000 SH SOLE 362,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
NEENAH PAPER INC COM 640079109 5,680 199,505 SH SOLE 199,505
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
NETGEAR INC COM 64111Q104 4,707 119,400 SH SOLE 119,400
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
NETSPEND HLDGS INC COM 64118V106 4,728 400,000 SH SOLE 400,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
NEW JERSEY RES COM 646025106 6,769 170,842 SH SOLE 170,842
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
NEWMARKET CORP COM 651587107 6,634 25,300 SH SOLE 25,300
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
NISOURCE INC COM 65473P105 24,537 985,831 SH SOLE 985,831
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
NORDSTROM INC COM 655664100 2,140 40,000 SH SOLE 40,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
NORTHEAST UTILS COM 664397106 4,626 118,375 SH SOLE 118,375
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
NORTHROP GRUMMAN CORP COM 666807102 2,541 37,600 SH SOLE 37,600
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
NORTHSTAR RLTY FIN CORP COM 66704R100 4,928 700,000 SH SOLE 700,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
NORTHWEST BANCSHARES INC MD COM 667340103 2,185 180,000 SH SOLE 180,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
NORTHWEST NAT GAS CO COM 667655104 5,932 134,197 SH SOLE 134,197
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
NUCOR CORP COM 670346105 2,293 53,100 SH SOLE 53,100
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
NV ENERGY INC COM 67073Y106 625 34,450 SH SOLE 34,450
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
OASIS PETE INC NEW COM 674215108 413 13,000 SH SOLE 13,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
OBAGI MEDICAL PRODUCTS INC COM 67423R108 149 11,000 SH SOLE 11,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
OCEANFIRST FINL CORP COM 675234108 3,575 260,000 SH SOLE 260,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
OCWEN FINL CORP COM NEW 675746309 5,534 160,000 SH SOLE 160,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
OLD DOMINION FGHT LINES INC COM 679580100 5,783 168,700 SH SOLE 168,700
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
ONEOK INC NEW COM 682680103 31,229 730,496 SH SOLE 730,496
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
ONEOK PARTNERS LP UNIT LTD PARTN 68268N103 4,703 87,100 SH SOLE 87,100
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
OPEN TEXT CORP COM 683715106 289 5,175 SH SOLE 5,175
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
ORACLE CORP COM 68389X105 235 7,060 SH SOLE 7,060
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
OREXIGEN THERAPEUTICS INC COM 686164104 63 12,000 SH SOLE 12,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
OXFORD INDS INC COM 691497309 4,569 98,550 SH SOLE 98,550
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
PACCAR INC COM 693718108 2,147 47,500 SH SOLE 47,500
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
PAPA JOHNS INTL INC COM 698813102 6,840 124,500 SH SOLE 124,500
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
PAREXEL INTL CORP COM 699462107 5,356 181,000 SH SOLE 181,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
PARKER HANNIFIN CORP COM 701094104 2,127 25,000 SH SOLE 25,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
PENN NATL GAMING INC COM 707569109 589 12,000 SH SOLE 12,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
PENNYMAC MTG INVT TR COM 70931T103 2,276 90,000 SH SOLE 90,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
PEPCO HOLDINGS INC COM 713291102 857 43,704 SH SOLE 43,704
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
PEPSICO INC COM 713448108 2,388 34,900 SH SOLE 34,900
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
PFIZER INC COM 717081103 8,831 352,100 SH SOLE 352,100
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
PG&E CORP COM 69331C108 23,457 583,809 SH SOLE 583,809
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
PHH CORP COM NEW 693320202 6,370 280,000 SH SOLE 280,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
PHILIP MORRIS INTL INC COM 718172109 2,584 30,900 SH SOLE 30,900
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
PHILLIPS 66 COM 718546104 820 15,450 SH SOLE 15,450
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
PIEDMONT NAT GAS INC COM 720186105 12,407 396,276 SH SOLE 396,276
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
PIER 1 IMPORTS INC COM 720279108 11,318 565,900 SH SOLE 565,900
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
PNC FINL SVCS GROUP INC COM 693475105 2,741 47,000 SH SOLE 47,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
POLYONE CORP COM 73179P106 286 14,000 SH SOLE 14,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
POOL CORPORATION COM 73278L105 6,023 142,309 SH SOLE 142,309
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
POPULAR INC COM NEW 733174700 6,341 305,000 SH SOLE 305,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
PORTFOLIO RECOVERY ASSOCS COM 73640Q105 2,672 25,000 SH SOLE 25,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
PORTLAND GEN ELEC CO COM NEW 736508847 421 15,400 SH SOLE 15,400
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
PPL CORP COM 69351T106 2,011 70,235 SH SOLE 70,235
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
PRICELINE COM INC COM NEW 741503403 233 375 SH SOLE 375
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
PRIMORIS SVCS CORP COM 74164F103 4,607 306,300 SH SOLE 306,300
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
PRIVATEBANCORP INC COM 742962103 2,451 160,000 SH SOLE 160,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
PROCTER & GAMBLE CO COM 742718109 7,957 117,200 SH SOLE 117,200
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
PROVIDENT FINL SVCS INC COM 74386T105 1,194 80,000 SH SOLE 80,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
PUBLIC SVC ENTERPRISE GROUP COM 744573106 14,479 473,176 SH SOLE 473,176
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
PVH CORP COM 693656100 5,428 48,900 SH SOLE 48,900
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
QUALCOMM INC COM 747525103 230 3,705 SH SOLE 3,705
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
QUESTAR CORP COM 748356102 15,221 770,315 SH SOLE 770,315
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
RAIT FINANCIAL TRUST COM NEW 749227609 3,390 600,000 SH SOLE 600,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
RAYTHEON CO COM NEW 755111507 4,708 81,800 SH SOLE 81,800
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
REGIONS FINL CORP NEW COM 7591EP100 2,278 320,000 SH SOLE 320,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
REPUBLIC SVCS INC COM 760759100 2,399 81,800 SH SOLE 81,800
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
REYNOLDS AMERICAN INC COM 761713106 2,275 54,900 SH SOLE 54,900
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
RGC RES INC COM 74955L103 485 25,517 SH SOLE 25,517
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
ROADRUNNER TRNSN SVCS HLDG COM 76973Q105 290 16,000 SH SOLE 16,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
ROCKVILLE FINL INC NEW COM 774188106 3,225 250,000 SH SOLE 250,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
ROCKWELL COLLINS INC COM 774341101 2,141 36,800 SH SOLE 36,800
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
ROSS STORES INC COM 778296103 5,168 95,440 SH SOLE 95,440
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
ROYAL DUTCH SHELL PLC SPONSORED ADR 780259206 2,213 32,100 SH SOLE 32,100
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
SALESFORCE COM INC COM 79466L302 229 1,365 SH SOLE 1,365
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
SALLY BEAUTY HLDGS INC COM 79546E104 5,614 238,200 SH SOLE 238,200
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
SAUER-DANFOSS INC COM 804137107 374 7,000 SH SOLE 7,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
SCANA CORP NEW COM 80589M102 5,423 118,823 SH SOLE 118,823
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
SEAGATE TECHNOLOGY PLC SHS G7945M107 3,490 114,500 SH SOLE 114,500
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
SEMPRA ENERGY COM 816851109 34,956 492,755 SH SOLE 492,755
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
SHAW GROUP INC COM 820280105 5,766 123,700 SH SOLE 123,700
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
SIRONA DENTAL SYSTEMS INC COM 82966C103 516 8,000 SH SOLE 8,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
SMITH A O COM 831865209 6,339 100,500 SH SOLE 100,500
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
SNAP ON INC COM 833034101 5,529 70,000 SH SOLE 70,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
SOURCEFIRE INC COM 83616T108 362 7,665 SH SOLE 7,665
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
SOUTH JERSEY INDS INC COM 838518108 6,270 124,581 SH SOLE 124,581
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
SOUTHERN COPPER CORP COM 84265V105 2,412 63,700 SH SOLE 63,700
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
SOUTHWEST GAS CORP COM 844895102 10,505 247,701 SH SOLE 247,701
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
SPECTRA ENERGY CORP COM 847560109 35,584 1,299,622 SH SOLE 1,299,622
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
STANDARD MTR PRODS INC COM 853666105 4,837 217,700 SH SOLE 217,700
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
STANDARD PAC CORP NEW COM 85375C101 5,981 813,800 SH SOLE 813,800
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
STERLING FINL CORP WASH COM NEW 859319303 6,890 330,000 SH SOLE 330,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
SUN HYDRAULICS CORP COM 866942105 261 10,000 SH SOLE 10,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
SUN LIFE FINL INC COM 866796105 2,998 113,000 SH SOLE 113,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
SUNSTONE HOTEL INVS INC NEW COM 867892101 300 28,000 SH SOLE 28,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
SUNTRUST BKS INC COM 867914103 2,268 80,000 SH SOLE 80,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
SUPERIOR ENERGY SVCS INC COM 868157108 207 10,000 SH SOLE 10,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
SUSQUEHANNA BANCSHARES INC COM 869099101 4,758 454,000 SH SOLE 454,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
SUSSER HLDGS CORP COM 869233106 7,046 204,300 SH SOLE 204,300
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
SYNOVUS FINL CORP COM 87161C105 3,675 1,500,000 SH SOLE 1,500,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
SYSCO CORP COM 871829107 2,400 75,800 SH SOLE 75,800
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
TCF FINL CORP COM 872275102 3,645 300,000 SH SOLE 300,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
TECO ENERGY INC COM 872375100 2,571 153,390 SH SOLE 153,390
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
TEREX CORP NEW COM 880779103 562 20,000 SH SOLE 20,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
TERRITORIAL BANCORP INC COM 88145X108 2,911 127,384 SH SOLE 127,384
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
TFS FINL CORP COM 87240R107 577 60,000 SH SOLE 60,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
THOMSON REUTERS CORP COM 884903105 2,310 79,500 SH SOLE 79,500
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
THOR INDS INC COM 885160101 4,739 126,600 SH SOLE 126,600
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
3M CO COM 88579Y101 2,089 22,500 SH SOLE 22,500
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
TJX COS INC NEW COM 872540109 6,084 143,330 SH SOLE 143,330
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
TOTAL S A SPONSORED ADR 89151E109 2,278 43,800 SH SOLE 43,800
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
TOWER GROUP INC COM 891777104 320 18,000 SH SOLE 18,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
TRACTOR SUPPLY CO COM 892356106 5,151 58,300 SH SOLE 58,300
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
TRANSCANADA CORP COM 89353D107 35,567 751,618 SH SOLE 751,618
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
TRANSOCEAN LTD REG SHS H8817H100 2,317 51,900 SH SOLE 51,900
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
TREX CO INC COM 89531P105 298 8,000 SH SOLE 8,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
TRIQUINT SEMICONDUCTOR INC COM 89674K103 87 18,000 SH SOLE 18,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
TRIUMPH GROUP INC NEW COM 896818101 5,009 76,700 SH SOLE 76,700
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
U S AIRWAYS GROUP INC COM 90341W108 5,833 432,100 SH SOLE 432,100
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
U S G CORP COM NEW 903293405 6,021 214,500 SH SOLE 214,500
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
UGI CORP NEW COM 902681105 6,211 189,875 SH SOLE 189,875
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
UIL HLDG CORP COM 902748102 4,201 117,304 SH SOLE 117,304
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
UNION PAC CORP COM 907818108 2,100 16,700 SH SOLE 16,700
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
UNITED CMNTY BKS BLAIRSVLE GA COM 90984P303 1,507 160,000 SH SOLE 160,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
UNITED FINANCIAL BANCORP INC COM 91030T109 4,070 258,890 SH SOLE 258,890
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
UNITED RENTALS INC COM 911363109 5,528 121,439 SH SOLE 121,439
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
UNITEDHEALTH GROUP INC COM 91324P102 2,077 38,300 SH SOLE 38,300
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
UNITIL CORP COM 913259107 1,032 39,834 SH SOLE 39,834
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
UNS ENERGY CORP COM 903119105 631 14,880 SH SOLE 14,880
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
US BANCORP DEL COM NEW 902973304 2,715 85,000 SH SOLE 85,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
VALMONT INDS INC COM 920253101 5,585 40,900 SH SOLE 40,900
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
VECTREN CORP COM 92240G101 5,172 175,916 SH SOLE 175,916
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
VERIZON COMMUNICATIONS INC COM 92343V104 8,269 191,100 SH SOLE 191,100
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
VIACOM INC NEW CL B 92553P201 2,062 39,100 SH SOLE 39,100
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
VISA INC COM CL A 92826C839 1,980 13,060 SH SOLE 13,060
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
VOXX INTL CORP CL A 91829F104 2,579 383,200 SH SOLE 383,200
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
WADDELL & REED FINL INC CL A 930059100 836 24,000 SH SOLE 24,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
WALTER INVT MGMT CORP COM 93317W102 3,872 90,000 SH SOLE 90,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
WASHINGTON FED INC COM 938824109 3,937 233,400 SH SOLE 233,400
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
WASTE MGMT INC DEL COM 94106L109 2,264 67,100 SH SOLE 67,100
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
WEBSTER FINL CORP CONN COM 947890109 206 10,000 SH SOLE 10,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
WELLCARE HEALTH PLANS INC COM 94946T106 3,944 81,000 SH SOLE 81,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
WELLS FARGO & CO NEW COM 949746101 3,076 90,000 SH SOLE 90,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
WERNER ENTERPRISES INC COM 950755108 244 11,250 SH SOLE 11,250
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
WESTERN DIGITAL CORP COM 958102105 2,466 58,045 SH SOLE 58,045
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
WESTERN UN CO COM 959802109 2,141 157,300 SH SOLE 157,300
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
WEX INC COM 96208T104 476 6,320 SH SOLE 6,320
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
WGL HLDGS INC COM 92924F106 9,784 249,665 SH SOLE 249,665
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
WHIRLPOOL CORP COM 963320106 5,637 55,400 SH SOLE 55,400
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
WHOLE FOODS MKT INC COM 966837106 5,978 65,450 SH SOLE 65,450
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
WILLIAMS COS INC DEL COM 969457100 35,814 1,093,892 SH SOLE 1,093,892
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
WINTRUST FINANCIAL CORP COM 97650W108 3,303 90,000 SH SOLE 90,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
WISCONSIN ENERGY CORP COM 976657106 5,021 136,260 SH SOLE 136,260
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
WOLVERINE WORLD WIDE INC COM 978097103 328 8,000 SH SOLE 8,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
WSFS FINL CORP COM 929328102 2,746 65,000 SH SOLE 65,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
XCEL ENERGY INC COM 98389B100 7,973 298,497 SH SOLE 298,497
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
ZIONS BANCORPORATION COM 989701107 2,461 115,000 SH SOLE 115,000
------------------------------ ----------------- --------- --------- --------- --- ---- ---------
TOTAL 1,730,058
------------------------------ ---------