0000897069-12-000262.txt : 20120508 0000897069-12-000262.hdr.sgml : 20120508 20120508115845 ACCESSION NUMBER: 0000897069-12-000262 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20120331 FILED AS OF DATE: 20120508 DATE AS OF CHANGE: 20120508 EFFECTIVENESS DATE: 20120508 FILER: COMPANY DATA: COMPANY CONFORMED NAME: HENNESSY ADVISORS INC CENTRAL INDEX KEY: 0001145255 STANDARD INDUSTRIAL CLASSIFICATION: INVESTMENT ADVICE [6282] IRS NUMBER: 680176227 FISCAL YEAR END: 0930 FILING VALUES: FORM TYPE: 13F-HR SEC ACT: 1934 Act SEC FILE NUMBER: 028-06715 FILM NUMBER: 12820384 BUSINESS ADDRESS: STREET 1: 7250 REDWOOD BLVD. STREET 2: SUITE 200 CITY: NOVATO STATE: CA ZIP: 94945 BUSINESS PHONE: 415-899-1555 MAIL ADDRESS: STREET 1: 7250 REDWOOD BLVD. STREET 2: SUITE 200 CITY: NOVATO STATE: CA ZIP: 94945 13F-HR 1 cg013.txt UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 Form 13F FORM 13F COVER PAGE Report for the Calendar Year or Quarter Ended: March 31, 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 May 7, 2012 ------------------------------------------------------------------------------- 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: 170 ----------- Form 13F Information Table Value Total: $607,702 ----------- (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 Managers Sole Shared None ------------------------------ ---------------- --------- -------- -------- ---- --- --------- -------- ------- ------- ------ ----------------------------- --------------- ---------- ------- --------- --- --- ---- ------ --------- ------ ------ A T & T INC COM 00206R102 8,143 260,750 SH SOLE 260,750 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- ABBOTT LABORATORIES COM 002824100 2,574 42,000 SH SOLE 42,000 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- ADVANCE AUTO PARTS INC COM 00751Y106 1,984 22,400 SH SOLE 22,400 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- AETNA INC COM 00817Y108 1,811 36,100 SH SOLE 36,100 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- ALLIANT ENERGY CORP COM 018802108 4,497 103,800 SH SOLE 103,800 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- ALTRIA GROUP INC COM 02209S103 2,479 80,300 SH SOLE 80,300 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- AMC NETWORKS INC CL A 00164V103 488 10,925 SH SOLE 10,925 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- AMERICAN VANGUARD CORP COM 030371108 5,269 242,900 SH SOLE 242,900 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- APOLLO GROUP INC CL A 037604105 1,426 36,900 SH SOLE 36,900 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- APPLIED MATERIALS INC COM 038222105 1,287 103,400 SH SOLE 103,400 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- ARCELORMITTAL SA NY REGISTRY SH 03938L104 2,181 114,000 SH SOLE 114,000 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- ARCTIC CAT INC COM 039670104 4,781 111,600 SH SOLE 111,600 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- AUTOLIV INC COM 052800109 1,341 20,000 SH SOLE 20,000 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- AVON PRODUCTS COM 054303102 2,525 130,400 SH SOLE 130,400 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- AXCELIS TECHNOLOGIES INC COM 054540109 19 11,050 SH SOLE 11,050 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- BANCO SANTANDER SA ADR 05964H105 2,451 319,600 SH SOLE 319,600 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- BCE INC COM NEW 05534B760 2,227 55,600 SH SOLE 55,600 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- BEST BUY CO INC COM 086516101 1,201 50,700 SH SOLE 50,700 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- BOEING CO COM 097023105 1,450 19,500 SH SOLE 19,500 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- BP PLC SPONSORED ADR 055622104 2,349 52,200 SH SOLE 52,200 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- BRISTOL MYERS SQUIBB COM 110122108 2,329 69,000 SH SOLE 69,000 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- CABLEVISION SYS CORP CL A NY CABLVS 12686C109 482 32,800 SH SOLE 32,800 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- CAMBREX CORP COM 132011107 3,905 558,700 SH SOLE 558,700 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- CAMPBELL SOUP CO COM 134429109 4,011 118,500 SH SOLE 118,500 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- CARIBOU COFFEE CO COM 142042209 4,017 215,500 SH SOLE 215,500 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- CARNIVAL CORP/PLC (USA) PAIRED CTF 143658300 2,444 76,200 SH SOLE 76,200 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- CASEYS GENERAL STORES INC COM 147528103 5,019 90,500 SH SOLE 90,500 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- CENTENE CORP COM 15135B101 4,065 83,000 SH SOLE 83,000 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- CENTERPOINT ENERGY INC COM 15189T107 4,017 203,700 SH SOLE 203,700 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- CENTURYLINK INC COM 156700106 2,400 62,100 SH SOLE 62,100 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- CHEVRON CORP COM 166764100 6,770 63,150 SH SOLE 63,150 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- CHURCHILL DOWNS INC COM 171484108 3,739 66,896 SH SOLE 66,896 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- CIGNA CORP COM 125509109 1,591 32,300 SH SOLE 32,300 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- CIMAREX ENERGY CO COM 171798101 1,260 16,700 SH SOLE 16,700 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- CINTAS CORP COM 172908105 3,900 99,700 SH SOLE 99,700 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- CLIFFS NATURAL RESOURCES INC COM 18683K101 1,247 18,000 SH SOLE 18,000 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- CMS ENERGY CORP COM 125896100 4,521 205,500 SH SOLE 205,500 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- CONAGRA FOODS INC COM 205887102 2,253 85,800 SH SOLE 85,800 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- CONOCOPHILLIPS COM 20825C104 2,470 32,500 SH SOLE 32,500 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- COST PLUS INC COM 221485105 4,513 252,100 SH SOLE 252,100 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- CVS CAREMARK CORP COM 126650100 3,951 88,200 SH SOLE 88,200 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- DELL INC COM 24702R101 1,530 92,200 SH SOLE 92,200 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- DIAMOND OFFSHRE DRILLING INC COM 25271C102 1,475 22,100 SH SOLE 22,100 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- DIRECTV COM CL A 25490A101 1,539 31,200 SH SOLE 31,200 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- DISH NETWORK CORP CL A 25470M109 1,732 52,600 SH SOLE 52,600 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- DOLLAR GENERAL CORP COM 256677105 4,139 89,585 SH SOLE 89,585 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- DOMINO'S PIZZA INC COM 25754A201 9,079 250,100 SH SOLE 250,100 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- DR PEPPER SNAPPLE GROUP INC COM 26138E109 4,319 107,400 SH SOLE 107,400 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- DU PONT (E I) DE NEMOURS COM 263534109 8,580 162,200 SH SOLE 162,200 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- DXP ENTERPRISES INC COM NEW 233377407 4,440 102,100 SH SOLE 102,100 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- DYCOM INDUSTRIES INC COM 267475101 3,864 165,400 SH SOLE 165,400 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- EASTMAN CHEMICAL CO COM 277432100 1,504 29,100 SH SOLE 29,100 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- ELIZABETH ARDEN INC COM 28660G106 3,355 95,900 SH SOLE 95,900 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- EMERSON ELECTRIC CO COM 291011104 2,437 46,700 SH SOLE 46,700 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- ENCANA CORP COM 292505104 2,608 132,700 SH SOLE 132,700 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- EXXON MOBIL CORP COM 30231G102 1,648 19,000 SH SOLE 19,000 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- FAMILY DOLLAR STORES COM 307000109 4,626 73,100 SH SOLE 73,100 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- FOOT LOCKER INC COM 344849104 4,406 141,900 SH SOLE 141,900 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- FOREST LABORATORIES COM 345838106 1,592 45,900 SH SOLE 45,900 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- FREEPORT-MCMORAN COP&GOLD COM 35671D857 1,217 32,000 SH SOLE 32,000 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- FULLER (H. B.) CO COM 359694106 4,222 128,600 SH SOLE 128,600 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- GAP INC COM 364760108 1,764 67,500 SH SOLE 67,500 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- GENERAL DYNAMICS CORP COM 369550108 1,512 20,600 SH SOLE 20,600 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- GENERAL ELECTRIC CO COM 369604103 8,347 415,900 SH SOLE 415,900 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- GENERAL MILLS INC COM 370334104 1,570 39,800 SH SOLE 39,800 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- GENESCO INC COM 371532102 9,537 133,100 SH SOLE 133,100 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- GENUINE PARTS CO COM 372460105 4,738 75,500 SH SOLE 75,500 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- GILEAD SCIENCES INC COM 375558103 1,847 37,800 SH SOLE 37,800 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- GLAXOSMITHKLINE PLC SPONSORED ADR 37733W105 2,295 51,100 SH SOLE 51,100 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- GRACE (W R) & CO COM 38388F108 4,008 69,350 SH SOLE 69,350 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- GROUP 1 AUTOMOTIVE INC COM 398905109 3,814 67,900 SH SOLE 67,900 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- HARRIS CORP COM 413875105 1,420 31,500 SH SOLE 31,500 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- HCA HOLDINGS INC COM 40412C101 1,106 44,700 SH SOLE 44,700 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- HEINZ (H J) CO COM 423074103 2,329 43,500 SH SOLE 43,500 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- HEWLETT-PACKARD CO COM 428236103 896 37,600 SH SOLE 37,600 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- HSBC HOLDINGS PLC SPON ADR NEW 404280406 2,575 58,000 SH SOLE 58,000 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- HSN INC COM 404303109 4,583 120,500 SH SOLE 120,500 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- HUMANA INC COM 444859102 1,822 19,700 SH SOLE 19,700 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- INNERWORKINGS INC COM 45773Y105 3,891 333,965 SH SOLE 333,965 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- INTEL CORP COM 458140100 10,795 383,950 SH SOLE 383,950 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- INTL BUSINESS MACHINES CORP COM 459200101 1,899 9,100 SH SOLE 9,100 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- INTL PAPER CO COM 460146103 2,545 72,500 SH SOLE 72,500 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- IPASS INC COM 46261V108 51 19,680 SH SOLE 19,680 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- JABIL CIRCUIT INC COM 466313103 5,413 215,500 SH SOLE 215,500 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- JOHNSON & JOHNSON COM 478160104 7,935 120,300 SH SOLE 120,300 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- KELLOGG CO COM 487836108 2,440 45,500 SH SOLE 45,500 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- KIMBERLY-CLARK CORP COM 494368103 4,020 54,400 SH SOLE 54,400 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- KRAFT FOODS INC CL A 50075N104 5,249 138,100 SH SOLE 138,100 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- LAM RESEARCH CORP COM 512807108 1,455 32,600 SH SOLE 32,600 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- LA-Z-BOY INC COM 505336107 4,098 273,900 SH SOLE 273,900 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- LEAPFROG ENTERPRISES INC CL A 52186N106 4,650 556,200 SH SOLE 556,200 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- LILLY (ELI) & CO COM 532457108 3,954 98,200 SH SOLE 98,200 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- LIMITED BRANDS INC COM 532716107 1,766 36,800 SH SOLE 36,800 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- LITHIA MOTORS INC CL A 536797103 4,051 154,600 SH SOLE 154,600 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- LKQ CORP COM 501889208 4,694 150,600 SH SOLE 150,600 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- LOCKHEED MARTIN CORP COM 539830109 4,286 47,700 SH SOLE 47,700 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- MACY'S INC COM 55616P104 4,207 105,900 SH SOLE 105,900 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- MATTEL INC COM 577081102 4,682 139,100 SH SOLE 139,100 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- MCDONALD'S CORPORATION COM 580135101 1,452 14,800 SH SOLE 14,800 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- MENS WEARHOUSE INC COM 587118100 3,953 101,950 SH SOLE 101,950 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- MERCK & CO COM 58933Y105 7,670 199,750 SH SOLE 199,750 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- METROPOLITAN HLTH NTWRKS INC COM 592142103 4,347 463,954 SH SOLE 463,954 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- MICROSOFT CORP COM 594918104 1,961 60,800 SH SOLE 60,800 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- MOLINA HEALTHCARE INC COM 60855R100 3,941 117,200 SH SOLE 117,200 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- MRV COMMUNICATIONS INC COM 553477100 18 17,200 SH SOLE 17,200 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- MUELLER INDUSTRIES COM 624756102 7,942 174,750 SH SOLE 174,750 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- NAVIGANT CONSULTING INC COM 63935N107 3,857 277,300 SH SOLE 277,300 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- NEENAH PAPER INC COM 640079109 4,547 152,905 SH SOLE 152,905 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- NETGEAR INC COM 64111Q104 3,495 91,500 SH SOLE 91,500 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- NEW JERSEY RESOURCES CORP COM 646025106 4,181 93,800 SH SOLE 93,800 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- NEWMARKET CORP COM 651587107 3,636 19,400 SH SOLE 19,400 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- NEWMONT MINING CORP COM 651639106 1,482 28,900 SH SOLE 28,900 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- NISOURCE INC COM 65473P105 4,612 189,400 SH SOLE 189,400 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- NORDSTROM INC COM 655664100 1,766 31,700 SH SOLE 31,700 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- NORTHROP GRUMMAN CORP COM 666807102 2,364 38,700 SH SOLE 38,700 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- NUCOR CORP COM 670346105 2,345 54,600 SH SOLE 54,600 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- OLD DOMINION FREIGHT COM 679580100 4,104 86,100 SH SOLE 86,100 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- ONEOK PARTNERS LP UNIT LTD PARTN 68268N103 8,496 155,400 SH SOLE 155,400 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- OXFORD INDUSTRIES INC COM 691497309 3,834 75,450 SH SOLE 75,450 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- PAPA JOHNS INTERNATIONAL INC COM 698813102 3,593 95,400 SH SOLE 95,400 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- PEPSICO INC COM 713448108 2,382 35,900 SH SOLE 35,900 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- PETSMART INC COM 716768106 5,161 90,200 SH SOLE 90,200 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- PFIZER INC COM 717081103 8,314 367,150 SH SOLE 367,150 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- PHILIP MORRIS INTERNATIONAL COM 718172109 2,818 31,800 SH SOLE 31,800 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- PIER 1 IMPORTS INC/DE COM 720279108 4,123 226,800 SH SOLE 226,800 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- PINNACLE WEST CAPITAL CORP COM 723484101 4,450 92,900 SH SOLE 92,900 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- POOL CORP COM 73278L105 4,079 109,009 SH SOLE 109,009 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- PRICESMART INC COM 741511109 4,339 59,600 SH SOLE 59,600 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- PRIMORIS SERVICES CORP COM 74164F103 3,769 234,700 SH SOLE 234,700 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- PROCTER & GAMBLE CO COM 742718109 7,343 109,250 SH SOLE 109,250 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- PROGRESSIVE CORP-OHIO COM 743315103 1,671 72,100 SH SOLE 72,100 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- RAYTHEON CO COM 755111507 4,127 78,200 SH SOLE 78,200 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- REPUBLIC SERVICES INC COM 760759100 2,570 84,100 SH SOLE 84,100 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- REYNOLDS AMERICAN INC COM 761713106 2,341 56,500 SH SOLE 56,500 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- ROSS STORES INC COM 778296103 9,984 171,840 SH SOLE 171,840 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- ROYAL DUTCH SHELL PLC SPONSORED ADR 780259206 2,321 33,100 SH SOLE 33,100 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- SALLY BEAUTY HOLDINGS INC COM 79546E104 10,381 418,600 SH SOLE 418,600 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- SCANA CORP COM 80589M102 4,620 101,300 SH SOLE 101,300 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- SEAGATE TECHNOLOGY PLC SHS G7945M107 3,175 117,800 SH SOLE 117,800 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- SOUTHERN COPPER CORP COM 84265V105 2,099 66,200 SH SOLE 66,200 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- STANDARD MOTOR PRODS COM 853666105 2,959 166,800 SH SOLE 166,800 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- SUN LIFE FINANCIAL INC COM 866796105 2,755 116,300 SH SOLE 116,300 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- SUNOCO LOGISTICS PARTNERS LP COM UNITS LP 86764L108 4,953 131,000 SH SOLE 131,000 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- SUSSER HOLDINGS CORP COM 869233106 4,017 156,500 SH SOLE 156,500 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- SYSCO CORP COM 871829107 3,807 127,500 SH SOLE 127,500 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- TELEDYNE TECHNOLOGIES INC COM 879360105 4,975 78,900 SH SOLE 78,900 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- TESORO CORP COM 881609101 4,477 166,800 SH SOLE 166,800 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- TEXAS INSTRUMENTS INC COM 882508104 1,486 44,200 SH SOLE 44,200 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- THOMSON-REUTERS CORP COM 884903105 2,361 81,700 SH SOLE 81,700 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- TIMKEN CO COM 887389104 1,477 29,100 SH SOLE 29,100 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- TJX COMPANIES INC COM 872540109 6,657 167,630 SH SOLE 167,630 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- TOTAL SA SPONSORED ADR 89151E109 2,300 45,000 SH SOLE 45,000 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- TOWERS WATSON & CO CL A 891894107 4,455 67,432 SH SOLE 67,432 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- TRACTOR SUPPLY CO COM 892356106 4,048 44,700 SH SOLE 44,700 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- TRANSOCEAN LTD REG SHS H8817H100 2,921 53,400 SH SOLE 53,400 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- TRAVELERS COS INC / THE COM 89417E109 1,510 25,500 SH SOLE 25,500 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- TRIUMPH GROUP INC COM 896818101 8,841 141,100 SH SOLE 141,100 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- TRW AUTOMOTIVE HOLDINGS CORP COM 87264S106 1,240 26,700 SH SOLE 26,700 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- UIL HOLDINGS CORP COM 902748102 4,432 127,500 SH SOLE 127,500 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- UNITED RENTALS INC COM 911363109 3,989 93,000 SH SOLE 93,000 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- UNITEDHEALTH GROUP INC COM 91324P102 1,815 30,800 SH SOLE 30,800 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- VERIZON COMMUNICATIONS COM 92343V104 7,795 203,900 SH SOLE 203,900 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- VOXX INTERNATIONAL CORP CL A 91829F104 3,981 293,600 SH SOLE 293,600 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- WALGREEN CO COM 931422109 1,172 35,000 SH SOLE 35,000 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- WAL-MART STORES INC COM 931142103 1,714 28,000 SH SOLE 28,000 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- WASTE MANAGEMENT INC COM 94106L109 2,416 69,100 SH SOLE 69,100 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- WELLCARE HEALTH PLANS INC COM 94946T106 4,464 62,100 SH SOLE 62,100 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- WESTAR ENERGY INC COM 95709T100 4,340 155,400 SH SOLE 155,400 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- WHOLE FOODS MARKET INC COM 966837106 4,172 50,150 SH SOLE 50,150 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- WORLD FUEL SERVICES CORP COM 981475106 4,567 111,400 SH SOLE 111,400 ----------------------------- --------------- ---------- ------- --------- --- ---- --------- TOTAL 607,702 ----------------------------- -------