-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, D/zweV/lqqQJk675FPSnwLYxOjCvzz4z4mxHmq3XDDBjfCleUJCXmttOZza1WanM Tljo3eb4VZa0A932vSQcHg== 0000897069-06-002223.txt : 20061018 0000897069-06-002223.hdr.sgml : 20061018 20061018162343 ACCESSION NUMBER: 0000897069-06-002223 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20060930 FILED AS OF DATE: 20061018 DATE AS OF CHANGE: 20061018 EFFECTIVENESS DATE: 20061018 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: 061151103 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 cmw2364.txt HOLDINGS REPORT --------------------------------------- OMB Number: 3235-0006 Expires: December 31, 2006 Estimated average burden hours per response ............. 22.8 --------------------------------------- UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 Form 13F Form 13F COVER PAGE Report for the Calendar Year or Quarter Ended: September 30, 2006 ------------------ 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 October 18, 2006 - -------------------------------------------------------------------------------- Teresa M. Nilsen City, State Date Report Type (Check only one): [X] 13F HOLDINGS REPORT. (Check here if all holdings of this reporting manager are reported in this report.) [ ] 13F NOTICE. (Check here if no holdings reported are in this report, and all holdings are reported by other reporting manager(s).) [ ] 13F COMBINATION REPORT. (Check here if a portion of the holdings for this reporting manager are reported in this report and a portion are reported by other reporting manager(s).) FORM 13F SUMMARY PAGE Report Summary: Number of Other Included Managers: 0 ---------------------- Form 13F Information Table Entry Total: 177 ---------------------- Form 13F Information Table Value Total: $2,044,444 ---------------------- (thousands) List of Other Included Managers: NONE Page 1 of 9 09/30/2006 FORM 13F INFORMATION TABLE Name of Reporting Manager: Hennessy Advisors, Inc.
Column Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: 7: Column 8: - ---------------------------------------------------------------------------------------------------------------------------------- Title Market of CUSIP Value Shares or Other Name of Issuer Class Number (x$1,000) Principal Amount Investment Discretion Mgrs. Voting Authority - ---------------------------------------------------------------------------------------------------------------------------------- SH/ Put/ Shared Shared PRN Call Sole Defined Other Sole Shared None - ---------------------------------------------------------------------------------------------------------------------------------- A T & T INC COMMON 00206R102 15,345 471,271 SH SOLE 463,775 7,496 - ------------------------------------------------------------------------------------------------------------------------------------ AAR CORP COMMON 000361105 22,512 944,300 SH SOLE 944,300 0 - ------------------------------------------------------------------------------------------------------------------------------------ AEP INDUSTRIES INC COMMON 001031103 5,328 127,000 SH SOLE 127,000 0 - ------------------------------------------------------------------------------------------------------------------------------------ AES CORP. (THE) COMMON 00130H105 4,965 243,500 SH SOLE 243,500 0 - ------------------------------------------------------------------------------------------------------------------------------------ ALERIS INTERNATIONAL INC COMMON 014477103 34,964 691,800 SH SOLE 691,800 0 - ------------------------------------------------------------------------------------------------------------------------------------ ALLEGHENY TECHNOLOGIES INC COMMON 01741R102 53,813 865,300 SH SOLE 865,300 0 - ------------------------------------------------------------------------------------------------------------------------------------ ALON USA ENERGY INC COMMON 020520102 4,196 142,300 SH SOLE 142,300 0 - ------------------------------------------------------------------------------------------------------------------------------------ ALTRIA GROUP INC COMMON 02209S103 12,571 164,219 SH SOLE 163,775 444 - ------------------------------------------------------------------------------------------------------------------------------------ AMERCO COMMON 023586100 25,396 342,500 SH SOLE 342,500 0 - ------------------------------------------------------------------------------------------------------------------------------------ AMN HEALTHCARE SERVICES INC COMMON 001744101 5,123 215,700 SH SOLE 215,700 0 - ------------------------------------------------------------------------------------------------------------------------------------ AMPCO-PITTSBURGH CORP COMMON 032037103 5,103 165,000 SH SOLE 165,000 0 - ------------------------------------------------------------------------------------------------------------------------------------ AMR CORP/DE COMMON 001765106 4,508 195,800 SH SOLE 194,800 1,000 - ------------------------------------------------------------------------------------------------------------------------------------ ANNTAYLOR STORES CORP COMMON 036115103 4,990 119,200 SH SOLE 119,200 0 - ------------------------------------------------------------------------------------------------------------------------------------ ARCH CHEMICALS INC COMMON 03937R102 3,932 138,200 SH SOLE 138,200 0 - ------------------------------------------------------------------------------------------------------------------------------------ ARCHER-DANIELS-MIDLAND CO COMMON 039483102 4,379 115,600 SH SOLE 115,600 0 - ------------------------------------------------------------------------------------------------------------------------------------ ARKANSAS BEST CORP COMMON 040790107 4,372 101,600 SH SOLE 101,600 0 - ------------------------------------------------------------------------------------------------------------------------------------ ASTEC INDUSTRIES INC COMMON 046224101 17,834 706,300 SH SOLE 706,300 0 - ------------------------------------------------------------------------------------------------------------------------------------ BANCO BRADESCO SA -ADR ADR 059460303 24,125 723,400 SH SOLE 723,400 0 - ------------------------------------------------------------------------------------------------------------------------------------ BANCO ITAU HLDG FINCIERA-ADR ADR 059602201 26,244 874,800 SH SOLE 874,800 0 - ------------------------------------------------------------------------------------------------------------------------------------ BANK of AMERICA CORP COMMON 060505104 5,351 99,891 SH SOLE 88,500 11,391 - ------------------------------------------------------------------------------------------------------------------------------------ BEACON ROOFING SUPPLY INC COMMON 073685109 23,379 1,155,100 SH SOLE 1,155,100 0 - ------------------------------------------------------------------------------------------------------------------------------------
Page 2 of 9 09/30/2006 FORM 13F INFORMATION TABLE Name of Reporting Manager: Hennessy Advisors, Inc.
Column Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: 7: Column 8: - ---------------------------------------------------------------------------------------------------------------------------------- Title Market of CUSIP Value Shares or Other Name of Issuer Class Number (x$1,000) Principal Amount Investment Discretion Mgrs. Voting Authority - ---------------------------------------------------------------------------------------------------------------------------------- SH/ Put/ Shared Shared PRN Call Sole Defined Other Sole Shared None - ---------------------------------------------------------------------------------------------------------------------------------- BELDEN CDT INC COMMON 077454106 6,132 160,400 SH SOLE 160,400 0 - ------------------------------------------------------------------------------------------------------------------------------------ BELLSOUTH CORP COMMON 079860102 6,448 150,838 SH SOLE 147,100 3,738 - ------------------------------------------------------------------------------------------------------------------------------------ BERKLEY (W R) CORP COMMON 084423102 24,922 704,200 SH SOLE 704,200 0 - ------------------------------------------------------------------------------------------------------------------------------------ BP PLC -ADS ADR 055622104 3,987 60,800 SH SOLE 60,500 300 - ------------------------------------------------------------------------------------------------------------------------------------ BRIGHTPOINT INC COMMON 109473405 20,450 1,438,100 SH SOLE 1,438,100 0 - ------------------------------------------------------------------------------------------------------------------------------------ BRISTOL MYERS SQUIBB COMMON 110122108 4,745 190,400 SH SOLE 189,600 800 - ------------------------------------------------------------------------------------------------------------------------------------ BUILDING MATERIALS HLDG CP COMMON 120113105 4,660 179,100 SH SOLE 179,100 0 - ------------------------------------------------------------------------------------------------------------------------------------ CASUAL MALE RETAIL GRP INC COMMON 148711104 6,364 463,500 SH SOLE 463,500 0 - ------------------------------------------------------------------------------------------------------------------------------------ CB RICHARD ELLIS GROUP INC COMMON 12497T101 13,540 550,400 SH SOLE 529,400 21,000 - ------------------------------------------------------------------------------------------------------------------------------------ CELADON GROUP INC COMMON 150838100 4,235 254,500 SH SOLE 254,500 0 - ------------------------------------------------------------------------------------------------------------------------------------ CENVEO INC COMMON 15670S105 5,049 268,300 SH SOLE 268,300 0 - ------------------------------------------------------------------------------------------------------------------------------------ CHAPARRAL STEEL CO COMMON 159423102 4,942 145,100 SH SOLE 145,100 0 - ------------------------------------------------------------------------------------------------------------------------------------ CHEVRONTEXACO CORP COMMON 166764100 5,484 84,557 SH SOLE 69,000 15,557 - ------------------------------------------------------------------------------------------------------------------------------------ CHUNGHWA TELECOM CO -ADR ADR 17133Q205 4,051 234,000 SH SOLE 234,000 0 - ------------------------------------------------------------------------------------------------------------------------------------ CIRCUIT CITY STORES INC COMMON 172737108 24,831 988,900 SH SOLE 988,900 0 - ------------------------------------------------------------------------------------------------------------------------------------ CITIGROUP INC COMMON 172967101 12,555 252,775 SH SOLE 252,775 0 - ------------------------------------------------------------------------------------------------------------------------------------ CLEAN HARBORS INC COMMON 184496107 5,757 132,200 SH SOLE 132,200 0 - ------------------------------------------------------------------------------------------------------------------------------------ CLEVELAND-CLIFFS INC COMMON 185896107 7,298 191,500 SH SOLE 191,500 0 - ------------------------------------------------------------------------------------------------------------------------------------ CMS ENERGY CORP COMMON 125896100 7,390 511,800 SH SOLE 511,800 0 - ------------------------------------------------------------------------------------------------------------------------------------ COCA-COLA COMPANY COMMON 191216100 1,889 42,275 SH SOLE 42,275 0 - ------------------------------------------------------------------------------------------------------------------------------------ COMMERCIAL METALS COMMON 201723103 10,356 509,400 SH SOLE 509,400 0 - ------------------------------------------------------------------------------------------------------------------------------------
Page 3 of 9 09/30/2006 FORM 13F INFORMATION TABLE Name of Reporting Manager: Hennessy Advisors, Inc.
Column Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: 7: Column 8: - ---------------------------------------------------------------------------------------------------------------------------------- Title Market of CUSIP Value Shares or Other Name of Issuer Class Number (x$1,000) Principal Amount Investment Discretion Mgrs. Voting Authority - ---------------------------------------------------------------------------------------------------------------------------------- SH/ Put/ Shared Shared PRN Call Sole Defined Other Sole Shared None - ---------------------------------------------------------------------------------------------------------------------------------- CONAGRA FOODS INC COMMON 205887102 4,938 201,700 SH SOLE 201,700 0 - ------------------------------------------------------------------------------------------------------------------------------------ CONN'S INC COMMON 208242107 12,272 588,000 SH SOLE 588,000 0 - ------------------------------------------------------------------------------------------------------------------------------------ CONTINENTAL AIRLS INC - -CL B CLASS B 210795308 4,691 165,700 SH SOLE 165,700 0 - ------------------------------------------------------------------------------------------------------------------------------------ CRAY INC COMMON 225223304 4,785 430,300 SH SOLE 430,300 0 - ------------------------------------------------------------------------------------------------------------------------------------ CROSSTEX ENERGY INC COMMON 22765Y104 4,702 52,500 SH SOLE 52,500 0 - ------------------------------------------------------------------------------------------------------------------------------------ CUMMINS INC COMMON 231021106 4,996 41,900 SH SOLE 41,900 0 - ------------------------------------------------------------------------------------------------------------------------------------ DAIMLERCHRYSLER AG ADR sedol 3,962 79,300 SH SOLE 79,300 0 - 2307389 - ------------------------------------------------------------------------------------------------------------------------------------ DIAGEO PLC -ADR ADR 25243Q205 4,838 68,100 SH SOLE 68,100 0 - ------------------------------------------------------------------------------------------------------------------------------------ DILLARDS INC -CL A CLASS A 254067101 5,378 164,300 SH SOLE 164,300 0 - ------------------------------------------------------------------------------------------------------------------------------------ DONNELLEY (R R) & SONS CO COMMON 257867101 3,902 118,400 SH SOLE 118,400 0 - ------------------------------------------------------------------------------------------------------------------------------------ DOW CHEMICAL COMMON 260543103 3,547 91,000 SH SOLE 91,000 0 - ------------------------------------------------------------------------------------------------------------------------------------ DRESS BARN INC COMMON 261570105 26,740 1,225,500 SH SOLE 1,225,500 0 - ------------------------------------------------------------------------------------------------------------------------------------ DREW INDUSTRIES INC COMMON 26168L205 20,107 796,000 SH SOLE 796,000 0 - ------------------------------------------------------------------------------------------------------------------------------------ DSW INC COMMON 23334L102 4,602 146,100 SH SOLE 146,100 0 - ------------------------------------------------------------------------------------------------------------------------------------ DU PONT (E I) DE NEMOURS COMMON 263534109 12,537 292,650 SH SOLE 292,650 0 - ------------------------------------------------------------------------------------------------------------------------------------ EMC INSURANCE GROUP INC COMMON 268664109 4,464 154,800 SH SOLE 154,800 0 - ------------------------------------------------------------------------------------------------------------------------------------ EMCOR GROUP INC COMMON 29084Q100 34,396 627,200 SH SOLE 627,200 0 - ------------------------------------------------------------------------------------------------------------------------------------ ESCALA GROUP INC COMMON 29605W107 5,919 1,088,100 SH SOLE 1,088,100 0 - ------------------------------------------------------------------------------------------------------------------------------------ EXPRESS SCRIPTS INC COMMON 302182100 30,678 406,600 SH SOLE 406,600 0 - ------------------------------------------------------------------------------------------------------------------------------------ EXXON MOBIL CORPORATION COMMON 30231G102 383 5,713 SH SOLE 0 5,713 - ------------------------------------------------------------------------------------------------------------------------------------ FEDERAL HOME LOAN MORTG CORP COMMON 313400301 4,252 64,100 SH SOLE 64,100 0 - ------------------------------------------------------------------------------------------------------------------------------------
Page 4 of 9 09/30/2006 FORM 13F INFORMATION TABLE Name of Reporting Manager: Hennessy Advisors, Inc.
Column Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: 7: Column 8: - ---------------------------------------------------------------------------------------------------------------------------------- Title Market of CUSIP Value Shares or Other Name of Issuer Class Number (x$1,000) Principal Amount Investment Discretion Mgrs. Voting Authority - ---------------------------------------------------------------------------------------------------------------------------------- SH/ Put/ Shared Shared PRN Call Sole Defined Other Sole Shared None - ---------------------------------------------------------------------------------------------------------------------------------- FLOWSERVE CORP COMMON 34354P105 11,990 237,000 SH SOLE 237,000 0 - ------------------------------------------------------------------------------------------------------------------------------------ FMC TECHNOLOGIES INC COMMON 30249U101 3,850 71,700 SH SOLE 71,700 0 - ------------------------------------------------------------------------------------------------------------------------------------ FORD MOTOR CO COMMON 345370860 4,019 496,746 SH SOLE 496,500 246 - ------------------------------------------------------------------------------------------------------------------------------------ FOSTER WHEELER LTD COMMON sedol 21,996 570,000 SH SOLE 570,000 0 B04MB31 - ------------------------------------------------------------------------------------------------------------------------------------ FRONTIER OIL CORP COMMON 35914P105 44,078 1,658,300 SH SOLE 1,658,300 0 - ------------------------------------------------------------------------------------------------------------------------------------ GENERAL CABLE CORP/DE COMMON 369300108 41,691 1,091,100 SH SOLE 1,091,100 0 - ------------------------------------------------------------------------------------------------------------------------------------ GENERAL ELECTRIC CO. COMMON 369604103 6,686 189,401 SH SOLE 188,175 1,226 - ------------------------------------------------------------------------------------------------------------------------------------ GENERAL MOTORS CORP COMMON 370442105 16,629 499,966 SH SOLE 499,600 366 - ------------------------------------------------------------------------------------------------------------------------------------ GENTEK INC COMMON 37245X203 4,719 170,900 SH SOLE 170,900 0 - ------------------------------------------------------------------------------------------------------------------------------------ GERBER SCIENTIFIC INC COMMON 373730100 5,270 351,800 SH SOLE 351,800 0 - ------------------------------------------------------------------------------------------------------------------------------------ GIANT INDUSTRIES INC COMMON 374508109 33,869 417,100 SH SOLE 417,100 0 - ------------------------------------------------------------------------------------------------------------------------------------ GLAXOSMITHKLINE PLC -ADR ADR 37733W105 4,264 80,100 SH SOLE 80,100 0 - ------------------------------------------------------------------------------------------------------------------------------------ GOODYEAR TIRE & RUBBER CO COMMON 382550101 7,763 535,400 SH SOLE 535,400 0 - ------------------------------------------------------------------------------------------------------------------------------------ GREAT ATLANTIC & PAC TEA CO COMMON 390064103 23,892 992,200 SH SOLE 992,200 0 - ------------------------------------------------------------------------------------------------------------------------------------ GYMBOREE CORP COMMON 403777105 6,251 148,200 SH SOLE 148,200 0 - ------------------------------------------------------------------------------------------------------------------------------------ HANESBRANDS INC COMMON 410345102 640 28,453 SH SOLE 28,300 153 - ------------------------------------------------------------------------------------------------------------------------------------ HARLEYSVILLE GROUP INC COMMON 412824104 5,203 148,700 SH SOLE 148,700 0 - ------------------------------------------------------------------------------------------------------------------------------------ HEINZ (H J) CO COMMON 423074103 4,952 118,100 SH SOLE 118,100 0 - ------------------------------------------------------------------------------------------------------------------------------------ HENNESSY ADVISORS INC COMMON 425885100 47,309 1,907,601 SH SOLE 0 1,907,601 - ------------------------------------------------------------------------------------------------------------------------------------ HOLLY CORP COMMON 435758305 47,832 1,103,900 SH SOLE 1,103,900 0 - ------------------------------------------------------------------------------------------------------------------------------------ HSBC HOLDINGS PLC -ADR ADR 404280406 4,622 50,500 SH SOLE 50,500 0 - ------------------------------------------------------------------------------------------------------------------------------------
Page 5 of 9 09/30/2006 FORM 13F INFORMATION TABLE Name of Reporting Manager: Hennessy Advisors, Inc.
Column Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: 7: Column 8: - ---------------------------------------------------------------------------------------------------------------------------------- Title Market of CUSIP Value Shares or Other Name of Issuer Class Number (x$1,000) Principal Amount Investment Discretion Mgrs. Voting Authority - ---------------------------------------------------------------------------------------------------------------------------------- SH/ Put/ Shared Shared PRN Call Sole Defined Other Sole Shared None - ---------------------------------------------------------------------------------------------------------------------------------- HUMANA INC COMMON 444859102 11,130 168,400 SH SOLE 168,400 0 - ------------------------------------------------------------------------------------------------------------------------------------ ING GROEP NV -ADR ADR 456837103 5,264 119,700 SH SOLE 119,700 0 - ------------------------------------------------------------------------------------------------------------------------------------ INTERSTATE HOTELS & RESORTS COMMON 46088S106 5,623 521,660 SH SOLE 521,600 60 - ------------------------------------------------------------------------------------------------------------------------------------ INTL PAPER CO COMMON 460146103 4,166 120,300 SH SOLE 120,000 300 - ------------------------------------------------------------------------------------------------------------------------------------ IPSCO INC ADR 462622101 24,649 284,400 SH SOLE 284,400 0 - ------------------------------------------------------------------------------------------------------------------------------------ J P MORGAN CHASE & CO COMMON 46625H100 14,042 299,015 SH SOLE 298,725 290 - ------------------------------------------------------------------------------------------------------------------------------------ JABIL CIRCUIT INC COMMON 466313103 17,991 629,700 SH SOLE 629,700 0 - ------------------------------------------------------------------------------------------------------------------------------------ JACOBS ENGINEERING GROUP INC COMMON 469814107 9,289 124,300 SH SOLE 124,300 0 - ------------------------------------------------------------------------------------------------------------------------------------ JLG INDUSTRIES INC COMMON 466210101 28,744 1,451,000 SH SOLE 1,451,000 0 - ------------------------------------------------------------------------------------------------------------------------------------ KIMBERLY-CLARK CORP COMMON 494368103 4,629 70,826 SH SOLE 69,700 1,126 - ------------------------------------------------------------------------------------------------------------------------------------ KRAFT FOODS INC COMMON 50075N104 4,957 139,000 SH SOLE 139,000 0 - ------------------------------------------------------------------------------------------------------------------------------------ LABOR READY INC COMMON 505401208 5,129 322,000 SH SOLE 322,000 0 - ------------------------------------------------------------------------------------------------------------------------------------ LENNOX INTERNATIONAL INC COMMON 526107107 7,200 314,400 SH SOLE 314,400 0 - ------------------------------------------------------------------------------------------------------------------------------------ LILLY (ELI) & CO COMMON 532457108 4,332 76,000 SH SOLE 76,000 0 - ------------------------------------------------------------------------------------------------------------------------------------ LINCOLN ELECTRIC HLDGS INC COMMON 533900106 4,438 81,500 SH SOLE 81,500 0 - ------------------------------------------------------------------------------------------------------------------------------------ LINCOLN NATIONAL CORP COMMON 534187109 4,879 78,600 SH SOLE 78,600 0 - ------------------------------------------------------------------------------------------------------------------------------------ LYONDELL CHEMICAL CO COMMON 552078107 4,125 162,600 SH SOLE 162,600 0 - ------------------------------------------------------------------------------------------------------------------------------------ MANITOWOC CO COMMON 563571108 35,644 795,800 SH SOLE 795,800 0 - ------------------------------------------------------------------------------------------------------------------------------------ MARATHON OIL CORP COMMON 565849106 29,976 389,800 SH SOLE 389,800 0 - ------------------------------------------------------------------------------------------------------------------------------------ MATRIX SERVICE COMPANY COMMON 576853105 5,503 420,400 SH SOLE 420,400 0 - ------------------------------------------------------------------------------------------------------------------------------------ MATTEL INC COMMON 577081102 4,848 246,100 SH SOLE 246,100 0 - ------------------------------------------------------------------------------------------------------------------------------------
Page 6 of 9 09/30/2006 FORM 13F INFORMATION TABLE Name of Reporting Manager: Hennessy Advisors, Inc.
Column Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: 7: Column 8: - ---------------------------------------------------------------------------------------------------------------------------------- Title Market of CUSIP Value Shares or Other Name of Issuer Class Number (x$1,000) Principal Amount Investment Discretion Mgrs. Voting Authority - ---------------------------------------------------------------------------------------------------------------------------------- SH/ Put/ Shared Shared PRN Call Sole Defined Other Sole Shared None - ---------------------------------------------------------------------------------------------------------------------------------- MCDERMOTT INTL INC COMMON 580037109 14,216 340,100 SH SOLE 340,100 0 - ------------------------------------------------------------------------------------------------------------------------------------ MEADOWBROOK INS GROUP INC COMMON 58319P108 5,219 463,500 SH SOLE 463,500 0 - ------------------------------------------------------------------------------------------------------------------------------------ MEADWESTVACO CORP COMMON 583334107 3,817 144,000 SH SOLE 144,000 0 - ------------------------------------------------------------------------------------------------------------------------------------ MENTOR GRAPHICS CORP COMMON 587200106 5,346 379,700 SH SOLE 379,700 0 - ------------------------------------------------------------------------------------------------------------------------------------ MERCK & CO COMMON 589331107 15,600 372,317 SH SOLE 371,825 492 - ------------------------------------------------------------------------------------------------------------------------------------ NATCO GROUP INC COMMON 63227W203 3,894 135,200 SH SOLE 135,200 0 - ------------------------------------------------------------------------------------------------------------------------------------ NATIONAL BEVERAGE CORP COMMON 635017106 3,550 298,100 SH SOLE 298,100 0 - ------------------------------------------------------------------------------------------------------------------------------------ NATIONAL CITY CORP COMMON 635405103 4,330 118,300 SH SOLE 118,300 0 - ------------------------------------------------------------------------------------------------------------------------------------ NORDSTROM INC COMMON 655664100 25,257 597,100 SH SOLE 597,100 0 - ------------------------------------------------------------------------------------------------------------------------------------ OFFICE DEPOT INC COMMON 676220106 11,132 280,400 SH SOLE 280,400 0 - ------------------------------------------------------------------------------------------------------------------------------------ OGE ENERGY CORP COMMON 670837103 4,793 132,720 SH SOLE 132,100 620 - ------------------------------------------------------------------------------------------------------------------------------------ OIL STATES INTL INC COMMON 678026105 23,900 869,100 SH SOLE 869,100 0 - ------------------------------------------------------------------------------------------------------------------------------------ OLD DOMINION FREIGHT COMMON 679580100 4,162 138,600 SH SOLE 138,600 0 - ------------------------------------------------------------------------------------------------------------------------------------ ON SEMICONDUCTOR CORP COMMON 682189105 20,227 3,439,900 SH SOLE 3,439,900 0 - ------------------------------------------------------------------------------------------------------------------------------------ P G & E CORP COMMON 69331C108 250 6,005 SH SOLE 0 6,005 - ------------------------------------------------------------------------------------------------------------------------------------ P.A.M. TRANSPORTATION SVCS COMMON 693149106 3,942 157,300 SH SOLE 157,300 0 - ------------------------------------------------------------------------------------------------------------------------------------ PALM INC COMMON 696643105 19,755 1,356,800 SH SOLE 1,356,800 0 - ------------------------------------------------------------------------------------------------------------------------------------ PANTRY INC COMMON 698657103 25,113 445,500 SH SOLE 445,500 0 - ------------------------------------------------------------------------------------------------------------------------------------ PAPA JOHNS INTERNATIONAL INC COMMON 698813102 26,144 724,000 SH SOLE 724,000 0 - ------------------------------------------------------------------------------------------------------------------------------------ PAYLESS SHOESOURCE INC COMMON 704379106 25,166 1,010,700 SH SOLE 1,010,700 0 - ------------------------------------------------------------------------------------------------------------------------------------ PETRO-CANADA ADR 71644E102 22,601 560,400 SH SOLE 560,400 0 - ------------------------------------------------------------------------------------------------------------------------------------
Page 7 of 9 09/30/2006 FORM 13F INFORMATION TABLE Name of Reporting Manager: Hennessy Advisors, Inc.
Column Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: 7: Column 8: - ---------------------------------------------------------------------------------------------------------------------------------- Title Market of CUSIP Value Shares or Other Name of Issuer Class Number (x$1,000) Principal Amount Investment Discretion Mgrs. Voting Authority - ---------------------------------------------------------------------------------------------------------------------------------- SH/ Put/ Shared Shared PRN Call Sole Defined Other Sole Shared None - ---------------------------------------------------------------------------------------------------------------------------------- PFIZER INC COMMON 717081103 14,873 524,453 SH SOLE 522,125 2,328 - ------------------------------------------------------------------------------------------------------------------------------------ PITNEY BOWES INC COMMON 724479100 4,313 97,200 SH SOLE 97,200 0 - ------------------------------------------------------------------------------------------------------------------------------------ PLAYTEX PRODUCTS INC COMMON 72813P100 23,962 1,788,200 SH SOLE 1,788,200 0 - ------------------------------------------------------------------------------------------------------------------------------------ PLEXUS CORP COMMON 729132100 19,398 1,010,300 SH SOLE 1,010,300 0 - ------------------------------------------------------------------------------------------------------------------------------------ PNC FINANCIAL SVCS GROUP INC COMMON 693475105 4,607 63,600 SH SOLE 63,600 0 - ------------------------------------------------------------------------------------------------------------------------------------ PPG INDUSTRIES INC COMMON 693506107 4,669 69,600 SH SOLE 69,600 0 - ------------------------------------------------------------------------------------------------------------------------------------ QUANEX CORP COMMON 747620102 6,064 199,800 SH SOLE 199,800 0 - ------------------------------------------------------------------------------------------------------------------------------------ QUANTA SERVICES INC COMMON 74762E102 41,533 2,463,400 SH SOLE 2,463,400 0 - ------------------------------------------------------------------------------------------------------------------------------------ QWEST COMMUNICATION INTL INC COMMON 749121109 5,438 623,622 SH SOLE 622,900 722 - ------------------------------------------------------------------------------------------------------------------------------------ REGIONS FINL CORP COMMON 7591EP100 4,418 120,100 SH SOLE 120,100 0 - ------------------------------------------------------------------------------------------------------------------------------------ RELIANCE STEEL & ALUMINUM CO COMMON 759509102 23,681 736,800 SH SOLE 736,800 0 - ------------------------------------------------------------------------------------------------------------------------------------ REYNOLDS AMERICAN INC COMMON 761713106 5,441 87,800 SH SOLE 87,800 0 - ------------------------------------------------------------------------------------------------------------------------------------ RYDER SYSTEM INC COMMON 783549108 4,579 88,600 SH SOLE 88,600 0 - ------------------------------------------------------------------------------------------------------------------------------------ RYERSON INC COMMON 78375P107 19,500 890,800 SH SOLE 890,800 0 - ------------------------------------------------------------------------------------------------------------------------------------ SAFETY INSURANCE GROUP INC COMMON 78648T100 4,623 95,000 SH SOLE 95,000 0 - ------------------------------------------------------------------------------------------------------------------------------------ SAIA INC COMMON 78709Y105 5,747 176,300 SH SOLE 176,300 0 - ------------------------------------------------------------------------------------------------------------------------------------ SARA LEE CORP COMMON 803111103 3,655 227,428 SH SOLE 226,200 1,228 - ------------------------------------------------------------------------------------------------------------------------------------ SHAW GROUP INC COMMON 820280105 8,236 348,400 SH SOLE 348,400 0 - ------------------------------------------------------------------------------------------------------------------------------------ SIERRA PACIFIC RESOURCES COMMON 826428104 7,956 554,800 SH SOLE 554,800 0 - ------------------------------------------------------------------------------------------------------------------------------------ SIX FLAGS INC COMMON 83001P109 12,205 2,333,600 SH SOLE 2,333,600 0 - ------------------------------------------------------------------------------------------------------------------------------------ SKYWEST INC COMMON 830879102 7,626 311,000 SH SOLE 311,000 0 - ------------------------------------------------------------------------------------------------------------------------------------
Page 8 of 9 09/30/2006 FORM 13F INFORMATION TABLE Name of Reporting Manager: Hennessy Advisors, Inc.
Column Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: 7: Column 8: - ---------------------------------------------------------------------------------------------------------------------------------- Title Market of CUSIP Value Shares or Other Name of Issuer Class Number (x$1,000) Principal Amount Investment Discretion Mgrs. Voting Authority - ---------------------------------------------------------------------------------------------------------------------------------- SH/ Put/ Shared Shared PRN Call Sole Defined Other Sole Shared None - ---------------------------------------------------------------------------------------------------------------------------------- STANDARD PARKING CORP COMMON 853790103 5,225 166,500 SH SOLE 166,500 0 - ------------------------------------------------------------------------------------------------------------------------------------ SUNOCO INC COMMON 86764P109 16,804 270,200 SH SOLE 270,200 0 - ------------------------------------------------------------------------------------------------------------------------------------ TELEFONICA DE ARGENTINA CONT ADR 879991024 0 12,900 SH SOLE 12,900 0 - ------------------------------------------------------------------------------------------------------------------------------------ TELEFONICA DE ARGENTINA CONT ADR 879991016 0 12,900 SH SOLE 12,900 0 - ------------------------------------------------------------------------------------------------------------------------------------ TELEFONOS DE MEX - -SPON ADR ADR 879403780 4,489 175,500 SH SOLE 175,500 0 - ------------------------------------------------------------------------------------------------------------------------------------ TESORO PETROLEUM CORP COMMON 881609101 19,580 337,700 SH SOLE 337,700 0 - ------------------------------------------------------------------------------------------------------------------------------------ THE CHARLES SCHWAB CORP COMMON 808513105 181 10,100 SH SOLE 0 10,100 - ------------------------------------------------------------------------------------------------------------------------------------ TRINITY INDUSTRIES COMMON 896522109 25,604 795,900 SH SOLE 795,900 0 - ------------------------------------------------------------------------------------------------------------------------------------ TRW AUTOMOTIVE HOLDINGS CORP COMMON 87264S106 7,028 292,000 SH SOLE 292,000 0 - ------------------------------------------------------------------------------------------------------------------------------------ U G I CORPORATION NEW COMMON 902681105 411 16,800 SH SOLE 0 16,800 - ------------------------------------------------------------------------------------------------------------------------------------ U S BANCORP COMMON 902973304 4,477 134,775 SH SOLE 134,700 75 - ------------------------------------------------------------------------------------------------------------------------------------ UNIVERSAL TRUCKLOAD SERVICES COMMON 91388P105 3,719 143,200 SH SOLE 143,200 0 - ------------------------------------------------------------------------------------------------------------------------------------ USG CORP COMMON 903293405 21,427 455,500 SH SOLE 455,500 0 - ------------------------------------------------------------------------------------------------------------------------------------ VALERO ENERGY CORP COMMON 91913Y100 21,098 409,900 SH SOLE 409,900 0 - ------------------------------------------------------------------------------------------------------------------------------------ VERIZON COMMUNICATIONS COMMON 92343V104 14,550 391,862 SH SOLE 378,500 13,362 - ------------------------------------------------------------------------------------------------------------------------------------ VODAFONE GROUP PLC -ADR ADR 92857W209 3,657 159,957 SH SOLE 157,400 2,557 - ------------------------------------------------------------------------------------------------------------------------------------ WABTEC CORP COMMON 929740108 23,147 853,200 SH SOLE 853,200 0 - ------------------------------------------------------------------------------------------------------------------------------------ WACHOVIA CORP COMMON 929903102 4,291 76,900 SH SOLE 76,900 0 - ------------------------------------------------------------------------------------------------------------------------------------ WALTER INDUSTRIES INC COMMON 93317Q105 7,503 175,800 SH SOLE 175,800 0 - ------------------------------------------------------------------------------------------------------------------------------------ WASHINGTON MUTUAL INC COMMON 939322103 4,247 97,700 SH SOLE 97,700 0 - ------------------------------------------------------------------------------------------------------------------------------------ WATSCO INC COMMON 942622200 16,725 363,500 SH SOLE 363,500 0 - ------------------------------------------------------------------------------------------------------------------------------------
Page 9 of 9 09/30/2006 FORM 13F INFORMATION TABLE Name of Reporting Manager: Hennessy Advisors, Inc.
Column Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: 7: Column 8: - ---------------------------------------------------------------------------------------------------------------------------------- Title Market of CUSIP Value Shares or Other Name of Issuer Class Number (x$1,000) Principal Amount Investment Discretion Mgrs. Voting Authority - ---------------------------------------------------------------------------------------------------------------------------------- SH/ Put/ Shared Shared PRN Call Sole Defined Other Sole Shared None - ---------------------------------------------------------------------------------------------------------------------------------- WELLCARE HEALTH PLANS INC COMMON 94946T106 11,230 198,300 SH SOLE 198,300 0 - ------------------------------------------------------------------------------------------------------------------------------------ WELLS FARGO & CO COMMON 949746101 5,792 160,080 SH SOLE 129,700 30,380 - ------------------------------------------------------------------------------------------------------------------------------------ WESTAMERICA BANCORP COMMON 957090103 474 9,378 SH SOLE 0 9,378 - ------------------------------------------------------------------------------------------------------------------------------------ WESTERN DIGITAL CORP COMMON 958102105 20,051 1,107,800 SH SOLE 1,107,800 0 - ------------------------------------------------------------------------------------------------------------------------------------ WEYERHAEUSER CO COMMON 962166104 3,772 61,300 SH SOLE 61,300 0 - ------------------------------------------------------------------------------------------------------------------------------------ WILD OATS MARKETS INC COMMON 96808B107 4,368 270,300 SH SOLE 270,300 0 - ------------------------------------------------------------------------------------------------------------------------------------ WIMM-BILL-DANN -ADR ADR 97263M109 5,489 123,300 SH SOLE 123,300 0 - ------------------------------------------------------------------------------------------------------------------------------------ WORLD FUEL SERVICES CORP COMMON 981475106 4,292 106,100 SH SOLE 106,100 0 - ------------------------------------------------------------------------------------------------------------------------------------ XL CAPITAL LTD ADR sedol 4,191 61,000 SH SOLE 61,000 0 - 2283401 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL 2,044,444 - ------------------------------------------------------------------------------------------------------------------------------------
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