-----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, Pf3+IS6/W3djWd6SKbWVdufjJdRHuK5mGON7TeMwsGl3J1qS3zqcamOmCQ4/9Tcx nsus/bS59k0SZMXgbWhYRA== 0000897069-06-001090.txt : 20060417 0000897069-06-001090.hdr.sgml : 20060417 20060417171359 ACCESSION NUMBER: 0000897069-06-001090 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20060331 FILED AS OF DATE: 20060417 DATE AS OF CHANGE: 20060417 EFFECTIVENESS DATE: 20060417 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: 06763033 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 cmw2142.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: March 31, 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: The Courtyard Square 750 Grant Avenue, Suite 100 Novato, CA 94945 Form 13F File Number: 028-06715 The institutional investment manager filing this report and the person by whom it is signed hereby represent that the person signing the report is authorized to submit it, that all information contained herein is true, correct and complete, and that it is understood that all required items, statements, schedules, lists, and tables, are considered integral parts of this form. Person Signing this Report on Behalf of Reporting Manager: Name: Teresa M. Nilsen Title: Executive Vice President and Chief Financial Officer Phone: (415) 899-1555 Signature, Place, and Date of Signing: /s/ Teresa M. Nilsen Novato, CA April 17, 2006 - -------------------------------------------------------------------------------- Teresa M. Nilsen City, State Date Report Type (Check only one): [X] 13F HOLDINGS REPORT. (Check here if all holdings of this reporting manager are reported in this report.) [ ] 13F NOTICE. (Check here if no holdings reported are in this report, and all holdings are reported by other reporting manager(s).) [ ] 13F COMBINATION REPORT. (Check here if a portion of the holdings for this reporting manager are reported in this report and a portion are reported by other reporting manager(s).) FORM 13F SUMMARY PAGE Report Summary: Number of Other Included Managers: 0 ---------------------- Form 13F Information Table Entry Total: 169 ---------------------- Form 13F Information Table Value Total: $2,195,396 ---------------------- (thousands) List of Other Included Managers: NONE Page 1 of 9 03/31/2006 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 11,775 435,483 SH SOLE 427,225 8,258 - ---------------------------------------------------------------------------------------------------------------------------------- AAR CORP COMMON 000361105 26,182 919,300 SH SOLE 919,300 0 - ---------------------------------------------------------------------------------------------------------------------------------- ADVANCE AUTO PARTS INC COMMON 00751Y106 4,347 104,400 SH SOLE 104,400 0 - ---------------------------------------------------------------------------------------------------------------------------------- AETNA INC COMMON 00817Y108 5,327 108,400 SH SOLE 108,400 0 - ---------------------------------------------------------------------------------------------------------------------------------- ALBERTSONS INC COMMON 013104104 3,843 149,700 SH SOLE 149,700 0 - ---------------------------------------------------------------------------------------------------------------------------------- ALERIS INTERNATIONAL INC COMMON 014477103 32,370 673,400 SH SOLE 673,400 0 - ---------------------------------------------------------------------------------------------------------------------------------- ALLEGHENY TECHNOLOGIES INC COMMON 01741R102 48,987 800,700 SH SOLE 800,700 0 - ---------------------------------------------------------------------------------------------------------------------------------- ALTRIA GROUP INC COMMON 02209S103 10,483 147,942 SH SOLE 147,500 442 - ---------------------------------------------------------------------------------------------------------------------------------- AMERCO COMMON 023586100 41,290 417,200 SH SOLE 417,200 0 - ---------------------------------------------------------------------------------------------------------------------------------- ANDERSONS INC COMMON 034164103 10,295 131,600 SH SOLE 131,600 0 - ---------------------------------------------------------------------------------------------------------------------------------- ASTEC INDUSTRIES INC COMMON 046224101 24,681 687,500 SH SOLE 687,500 0 - ---------------------------------------------------------------------------------------------------------------------------------- BADGER METER INC COMMON 056525108 6,273 110,100 SH SOLE 110,100 0 - ---------------------------------------------------------------------------------------------------------------------------------- BANCO BRADESCO SA ADR 059460303 25,288 704,200 SH SOLE 704,200 0 - ---------------------------------------------------------------------------------------------------------------------------------- BANCO ITAU HLDG FINCIERA ADR 059602201 25,352 851,600 SH SOLE 851,600 0 - ---------------------------------------------------------------------------------------------------------------------------------- BANK of AMERICA CORP COMMON 060505104 3,969 87,151 SH SOLE 75,600 11,551 - ---------------------------------------------------------------------------------------------------------------------------------- BEACON ROOFING SUPPLY INC COMMON 073685109 30,464 749,600 SH SOLE 749,600 0 - ---------------------------------------------------------------------------------------------------------------------------------- BELLSOUTH CORP COMMON 079860102 4,485 129,438 SH SOLE 125,700 3,738 - ---------------------------------------------------------------------------------------------------------------------------------- BERKLEY (W R) CORP COMMON 084423102 26,533 457,000 SH SOLE 457,000 0 - ---------------------------------------------------------------------------------------------------------------------------------- BP PLC -ADS ADR 055622104 4,011 58,188 SH SOLE 51,700 6,488 - ---------------------------------------------------------------------------------------------------------------------------------- BRIGHTPOINT INC COMMON 109473405 36,235 1,166,600 SH SOLE 1,166,600 0 - ---------------------------------------------------------------------------------------------------------------------------------- BRISTOL MYERS SQUIBB COMMON 110122108 4,007 162,800 SH SOLE 162,000 800 - ----------------------------------------------------------------------------------------------------------------------------------
Page 2 of 9 03/31/2006 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 - ---------------------------------------------------------------------------------------------------------------------------------- - ---------------------------------------------------------------------------------------------------------------------------------- BUILDING MATERIALS HLDG CP COMMON 120113105 5,239 146,800 SH SOLE 146,800 0 - ---------------------------------------------------------------------------------------------------------------------------------- BURLINGTON COAT FACTORY WRHS COMMON 121579106 4,745 104,400 SH SOLE 104,400 0 - ---------------------------------------------------------------------------------------------------------------------------------- CB RICHARD ELLIS GROUP INC COMMON 12497T101 20,651 255,900 SH SOLE 248,900 7,000 - ---------------------------------------------------------------------------------------------------------------------------------- CHEMED CORP COMMON 16359R103 6,373 107,400 SH SOLE 107,400 0 - ---------------------------------------------------------------------------------------------------------------------------------- CHEVRONTEXACO CORP COMMON 166764100 4,322 74,557 SH SOLE 59,000 15,557 - ---------------------------------------------------------------------------------------------------------------------------------- CHILDRENS PLACE RETAIL STRS COMMON 168905107 5,448 94,100 SH SOLE 94,100 0 - ---------------------------------------------------------------------------------------------------------------------------------- CHUNGHWA TELECOM CO ADR 17133Q205 3,840 196,000 SH SOLE 196,000 0 - ---------------------------------------------------------------------------------------------------------------------------------- CIRCUIT CITY STORES INC COMMON 172737108 23,567 962,700 SH SOLE 962,700 0 - ---------------------------------------------------------------------------------------------------------------------------------- CITIGROUP INC COMMON 172967101 10,473 221,750 SH SOLE 221,750 0 - ---------------------------------------------------------------------------------------------------------------------------------- CLEAN HARBORS INC COMMON 184496107 5,726 193,000 SH SOLE 193,000 0 - ---------------------------------------------------------------------------------------------------------------------------------- CLEVELAND-CLIFFS INC COMMON 185896107 6,839 78,500 SH SOLE 78,500 0 - ---------------------------------------------------------------------------------------------------------------------------------- CMS ENERGY CORP COMMON 125896100 5,434 419,600 SH SOLE 419,600 0 - ---------------------------------------------------------------------------------------------------------------------------------- COCA-COLA COMPANY COMMON 191216100 4,270 101,975 SH SOLE 101,975 0 - ---------------------------------------------------------------------------------------------------------------------------------- COMMERCIAL METALS COMMON 201723103 11,169 208,800 SH SOLE 208,800 0 - ---------------------------------------------------------------------------------------------------------------------------------- CONAGRA FOODS INC COMMON 205887102 3,700 172,400 SH SOLE 172,400 0 - ---------------------------------------------------------------------------------------------------------------------------------- CONN'S INC COMMON 208242107 19,553 572,400 SH SOLE 572,400 0 - ---------------------------------------------------------------------------------------------------------------------------------- DAIMLERCHRYSLER AG ADR sedol - 2307389 3,892 67,800 SH SOLE 67,800 0 - ---------------------------------------------------------------------------------------------------------------------------------- DENNYS CORP COMMON 24869P104 3,951 830,000 SH SOLE 830,000 0 - ---------------------------------------------------------------------------------------------------------------------------------- DIAGEO PLC ADR 25243Q205 3,692 58,200 SH SOLE 58,200 0 - ---------------------------------------------------------------------------------------------------------------------------------- DONNELLEY (R R) & SONS CO COMMON 257867101 3,311 101,200 SH SOLE 101,200 0 - ---------------------------------------------------------------------------------------------------------------------------------- DOW CHEMICAL COMMON 260543103 3,155 77,700 SH SOLE 77,700 0 - ----------------------------------------------------------------------------------------------------------------------------------
Page 3 of 9 03/31/2006 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 - ---------------------------------------------------------------------------------------------------------------------------------- - ---------------------------------------------------------------------------------------------------------------------------------- DRESS BARN INC COMMON 261570105 28,602 596,500 SH SOLE 596,500 0 - ---------------------------------------------------------------------------------------------------------------------------------- DREW INDUSTRIES INC COMMON 26168L205 27,548 774,900 SH SOLE 774,900 0 - ---------------------------------------------------------------------------------------------------------------------------------- DU PONT (E I) DE NEMOURS COMMON 263534109 10,351 245,225 SH SOLE 245,225 0 - ---------------------------------------------------------------------------------------------------------------------------------- EMCOR GROUP INC COMMON 29084Q100 30,317 610,500 SH SOLE 610,500 0 - ---------------------------------------------------------------------------------------------------------------------------------- EMERSON ELECTRIC COMMON 291011104 1,719 20,550 SH SOLE 0 20,550 - ---------------------------------------------------------------------------------------------------------------------------------- ESCALA GROUP INC COMMON 29605W107 27,740 1,059,200 SH SOLE 1,059,200 0 - ---------------------------------------------------------------------------------------------------------------------------------- EXPRESS SCRIPTS INC COMMON 302182100 32,954 374,900 SH SOLE 374,900 0 - ---------------------------------------------------------------------------------------------------------------------------------- EXXON MOBIL CORPORATION COMMON 30231G102 396 6,502 SH SOLE 0 6,502 - ---------------------------------------------------------------------------------------------------------------------------------- FEDERAL HOME LOAN MORTG CORP COMMON 313400301 3,337 54,700 SH SOLE 54,700 0 - ---------------------------------------------------------------------------------------------------------------------------------- FLOWSERVE CORP COMMON 34354P105 11,335 194,300 SH SOLE 194,300 0 - ---------------------------------------------------------------------------------------------------------------------------------- FORD MOTOR CO COMMON 345370860 3,379 424,446 SH SOLE 424,200 246 - ---------------------------------------------------------------------------------------------------------------------------------- FOSTER WHEELER LTD COMMON sedol B04MB31 26,252 554,900 SH SOLE 554,900 0 - ---------------------------------------------------------------------------------------------------------------------------------- FRONTIER OIL CORP COMMON 35914P105 50,483 850,600 SH SOLE 850,600 0 - ---------------------------------------------------------------------------------------------------------------------------------- GEHL CO COMMON 368483103 5,730 173,000 SH SOLE 173,000 0 - ---------------------------------------------------------------------------------------------------------------------------------- GENERAL CABLE CORP/DE COMMON 369300108 32,213 1,062,100 SH SOLE 1,062,100 0 - ---------------------------------------------------------------------------------------------------------------------------------- GENERAL ELECTRIC CO. COMMON 369604103 2,676 76,950 SH SOLE 75,725 1,225 - ---------------------------------------------------------------------------------------------------------------------------------- GENERAL MOTORS CORP COMMON 370442105 8,807 414,039 SH SOLE 413,675 364 - ---------------------------------------------------------------------------------------------------------------------------------- GENESCO INC COMMON 371532102 4,577 117,700 SH SOLE 117,700 0 - ---------------------------------------------------------------------------------------------------------------------------------- GIANT INDUSTRIES INC COMMON 374508109 28,240 406,100 SH SOLE 406,100 0 - ---------------------------------------------------------------------------------------------------------------------------------- GLAXOSMITHKLINE PLC ADR 37733W105 3,583 68,500 SH SOLE 68,500 0 - ---------------------------------------------------------------------------------------------------------------------------------- GOODYEAR TIRE & RUBBER CO COMMON 382550101 6,355 438,900 SH SOLE 438,900 0 - ----------------------------------------------------------------------------------------------------------------------------------
Page 4 of 9 03/31/2006 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 - ---------------------------------------------------------------------------------------------------------------------------------- - ---------------------------------------------------------------------------------------------------------------------------------- GREAT ATLANTIC & PAC TEA CO COMMON 390064103 32,150 920,400 SH SOLE 920,400 0 - ---------------------------------------------------------------------------------------------------------------------------------- HEALTHCARE SERVICES GROUP COMMON 421906108 4,759 222,800 SH SOLE 222,800 0 - ---------------------------------------------------------------------------------------------------------------------------------- HEINZ (H J) CO COMMON 423074103 3,826 100,900 SH SOLE 100,900 0 - ---------------------------------------------------------------------------------------------------------------------------------- HENNESSY ADVISORS INC COMMON 425885100 49,849 1,846,270 SH SOLE 0 1,846,270 - ---------------------------------------------------------------------------------------------------------------------------------- HOLLY CORP COMMON 435758305 41,952 566,000 SH SOLE 566,000 0 - ---------------------------------------------------------------------------------------------------------------------------------- HOVNANIAN ENTRPRS INC CLASS A 442487203 3,044 69,300 SH SOLE 69,300 0 - ---------------------------------------------------------------------------------------------------------------------------------- HSBC HOLDINGS PLC ADR 404280406 3,619 43,200 SH SOLE 43,200 0 - ---------------------------------------------------------------------------------------------------------------------------------- HUMANA INC COMMON 444859102 13,331 253,200 SH SOLE 253,200 0 - ---------------------------------------------------------------------------------------------------------------------------------- ING GROEP NV ADR 456837103 4,027 102,200 SH SOLE 102,200 0 - ---------------------------------------------------------------------------------------------------------------------------------- INTL PAPER CO COMMON 460146103 3,557 102,900 SH SOLE 102,600 300 - ---------------------------------------------------------------------------------------------------------------------------------- IPSCO INC ADR 462622101 29,343 281,900 SH SOLE 281,900 0 - ---------------------------------------------------------------------------------------------------------------------------------- J P MORGAN CHASE & CO COMMON 46625H100 11,661 280,040 SH SOLE 279,750 290 - ---------------------------------------------------------------------------------------------------------------------------------- JABIL CIRCUIT INC COMMON 466313103 26,273 613,000 SH SOLE 613,000 0 - ---------------------------------------------------------------------------------------------------------------------------------- JACOBS ENGINEERING GROUP INC COMMON 469814107 8,839 101,900 SH SOLE 101,900 0 - ---------------------------------------------------------------------------------------------------------------------------------- JLG INDUSTRIES INC COMMON 466210101 51,167 1,661,800 SH SOLE 1,661,800 0 - ---------------------------------------------------------------------------------------------------------------------------------- KB HOME COMMON 48666K109 3,957 60,900 SH SOLE 60,900 0 - ---------------------------------------------------------------------------------------------------------------------------------- KIMBERLY-CLARK CORP COMMON 494368103 3,510 60,726 SH SOLE 59,600 1,126 - ---------------------------------------------------------------------------------------------------------------------------------- KRAFT FOODS INC COMMON 50075N104 3,601 118,800 SH SOLE 118,800 0 - ---------------------------------------------------------------------------------------------------------------------------------- LABOR READY INC COMMON 505401208 6,323 264,000 SH SOLE 264,000 0 - ---------------------------------------------------------------------------------------------------------------------------------- LENNOX INTERNATIONAL INC COMMON 526107107 7,698 257,800 SH SOLE 257,800 0 - ---------------------------------------------------------------------------------------------------------------------------------- LILLY (ELI) & CO COMMON 532457108 3,595 65,000 SH SOLE 65,000 0 - ----------------------------------------------------------------------------------------------------------------------------------
Page 5 of 9 03/31/2006 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 - ---------------------------------------------------------------------------------------------------------------------------------- - ---------------------------------------------------------------------------------------------------------------------------------- LINCOLN NATIONAL CORP COMMON 534187109 3,663 67,100 SH SOLE 67,100 0 - ---------------------------------------------------------------------------------------------------------------------------------- LONGS DRUG STORES CORP COMMON 543162101 4,799 103,700 SH SOLE 103,700 0 - ---------------------------------------------------------------------------------------------------------------------------------- LUBYS INC COMMON 549282101 4,659 373,000 SH SOLE 373,000 0 - ---------------------------------------------------------------------------------------------------------------------------------- LUFKIN INDUSTRIES INC COMMON 549764108 6,830 123,200 SH SOLE 123,200 0 - ---------------------------------------------------------------------------------------------------------------------------------- LYONDELL CHEMICAL CO COMMON 552078107 2,764 138,900 SH SOLE 138,900 0 - ---------------------------------------------------------------------------------------------------------------------------------- MANITOWOC CO COMMON 563571108 35,302 387,300 SH SOLE 387,300 0 - ---------------------------------------------------------------------------------------------------------------------------------- MARATHON OIL CORP COMMON 565849106 24,816 325,800 SH SOLE 325,800 0 - ---------------------------------------------------------------------------------------------------------------------------------- MATTEL INC COMMON 577081102 3,813 210,300 SH SOLE 210,300 0 - ---------------------------------------------------------------------------------------------------------------------------------- MCDERMOTT INTL INC COMMON 580037109 10,122 185,900 SH SOLE 185,900 0 - ---------------------------------------------------------------------------------------------------------------------------------- MEADWESTVACO CORP COMMON 583334107 3,359 123,000 SH SOLE 123,000 0 - ---------------------------------------------------------------------------------------------------------------------------------- MENS WEARHOUSE INC COMMON 587118100 4,647 129,300 SH SOLE 129,300 0 - ---------------------------------------------------------------------------------------------------------------------------------- MERCK & CO COMMON 589331107 12,157 345,067 SH SOLE 344,375 692 - ---------------------------------------------------------------------------------------------------------------------------------- MERITAGE HOMES CORP COMMON 59001A102 3,100 56,400 SH SOLE 56,400 0 - ---------------------------------------------------------------------------------------------------------------------------------- MULTI-FINELINE ELECTRON INC COMMON 62541B101 14,248 243,600 SH SOLE 243,600 0 - ---------------------------------------------------------------------------------------------------------------------------------- NATIONAL CITY CORP COMMON 635405103 3,528 101,100 SH SOLE 101,100 0 - ---------------------------------------------------------------------------------------------------------------------------------- NORDSTROM INC COMMON 655664100 22,775 581,300 SH SOLE 581,300 0 - ---------------------------------------------------------------------------------------------------------------------------------- NS GROUP, INC. COMMON 628916108 6,200 134,700 SH SOLE 134,700 0 - ---------------------------------------------------------------------------------------------------------------------------------- OFFICE DEPOT INC COMMON 676220106 8,561 229,900 SH SOLE 229,900 0 - ---------------------------------------------------------------------------------------------------------------------------------- OIL STATES INTL INC COMMON 678026105 29,815 809,100 SH SOLE 809,100 0 - ---------------------------------------------------------------------------------------------------------------------------------- ON SEMICONDUCTOR CORP COMMON 682189105 24,311 3,348,600 SH SOLE 3,348,600 0 - ---------------------------------------------------------------------------------------------------------------------------------- P G & E CORP COMMON 69331C108 234 6,005 SH SOLE 0 6,005 - ----------------------------------------------------------------------------------------------------------------------------------
Page 6 of 9 03/31/2006 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 - ---------------------------------------------------------------------------------------------------------------------------------- - ---------------------------------------------------------------------------------------------------------------------------------- PALM INC COMMON 696643105 30,590 1,320,800 SH SOLE 1,320,800 0 - ---------------------------------------------------------------------------------------------------------------------------------- PANTRY INC COMMON 698657103 34,065 546,000 SH SOLE 546,000 0 - ---------------------------------------------------------------------------------------------------------------------------------- PAPA JOHNS INTERNATIONAL INC COMMON 698813102 23,124 704,800 SH SOLE 704,800 0 - ---------------------------------------------------------------------------------------------------------------------------------- PAR TECHNOLOGY CORP COMMON 698884103 4,031 227,250 SH SOLE 227,250 0 - ---------------------------------------------------------------------------------------------------------------------------------- PAYLESS SHOESOURCE INC COMMON 704379106 22,521 983,900 SH SOLE 983,900 0 - ---------------------------------------------------------------------------------------------------------------------------------- PETRO-CANADA ADR 71644E102 25,960 545,500 SH SOLE 545,500 0 - ---------------------------------------------------------------------------------------------------------------------------------- PFIZER INC COMMON 717081103 11,089 445,000 SH SOLE 442,900 2,100 - ---------------------------------------------------------------------------------------------------------------------------------- PHILLIPS-VAN HEUSEN CORP COMMON 718592108 5,151 134,800 SH SOLE 134,800 0 - ---------------------------------------------------------------------------------------------------------------------------------- PIONEER COS INC CLASS A 723643300 6,185 202,800 SH SOLE 202,800 0 - ---------------------------------------------------------------------------------------------------------------------------------- PITNEY BOWES INC COMMON 724479100 3,563 83,000 SH SOLE 83,000 0 - ---------------------------------------------------------------------------------------------------------------------------------- PLAYTEX PRODUCTS INC COMMON 72813P100 18,226 1,740,800 SH SOLE 1,740,800 0 - ---------------------------------------------------------------------------------------------------------------------------------- PLEXUS CORP COMMON 729132100 36,950 983,500 SH SOLE 983,500 0 - ---------------------------------------------------------------------------------------------------------------------------------- PNC FINANCIAL SVCS GROUP INC COMMON 693475105 3,655 54,300 SH SOLE 54,300 0 - ---------------------------------------------------------------------------------------------------------------------------------- PPG INDUSTRIES INC COMMON 693506107 3,769 59,500 SH SOLE 59,500 0 - ---------------------------------------------------------------------------------------------------------------------------------- QUANEX CORP COMMON 747620102 12,853 192,900 SH SOLE 192,900 0 - ---------------------------------------------------------------------------------------------------------------------------------- QUANTA SERVICES INC COMMON 74762E102 36,809 2,297,700 SH SOLE 2,297,700 0 - ---------------------------------------------------------------------------------------------------------------------------------- REGIONS FINL CORP COMMON 7591EP100 3,612 102,700 SH SOLE 102,700 0 - ---------------------------------------------------------------------------------------------------------------------------------- RELIANCE STEEL & ALUMINUM CO COMMON 759509102 33,680 358,600 SH SOLE 358,600 0 - ---------------------------------------------------------------------------------------------------------------------------------- REYNOLDS AMERICAN INC COMMON 761713106 3,956 37,500 SH SOLE 37,500 0 - ---------------------------------------------------------------------------------------------------------------------------------- RIVIERA HOLDINGS CORP COMMON 769627100 3,176 188,500 SH SOLE 188,500 0 - ---------------------------------------------------------------------------------------------------------------------------------- RYERSON INC COMMON 78375P107 23,204 867,100 SH SOLE 867,100 0 - ----------------------------------------------------------------------------------------------------------------------------------
Page 7 of 9 03/31/2006 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 - ---------------------------------------------------------------------------------------------------------------------------------- - ---------------------------------------------------------------------------------------------------------------------------------- RYLAND GROUP INC COMMON 783764103 4,199 60,500 SH SOLE 60,500 0 - ---------------------------------------------------------------------------------------------------------------------------------- SARA LEE CORP COMMON 803111103 3,478 194,528 SH SOLE 193,300 1,228 - ---------------------------------------------------------------------------------------------------------------------------------- SEABOARD CORP COMMON 811543107 4,304 2,700 SH SOLE 2,700 0 - ---------------------------------------------------------------------------------------------------------------------------------- SEARS HOLDINGS CORP COMMON 812350106 3,915 29,700 SH SOLE 29,700 0 - ---------------------------------------------------------------------------------------------------------------------------------- SHAW GROUP INC COMMON 820280105 15,030 494,400 SH SOLE 494,400 0 - ---------------------------------------------------------------------------------------------------------------------------------- SIERRA PACIFIC RESOURCES COMMON 826428104 6,281 454,800 SH SOLE 454,800 0 - ---------------------------------------------------------------------------------------------------------------------------------- SIX FLAGS INC COMMON 83001P109 23,126 2,271,700 SH SOLE 2,271,700 0 - ---------------------------------------------------------------------------------------------------------------------------------- SKYWEST INC COMMON 830879102 7,464 255,000 SH SOLE 255,000 0 - ---------------------------------------------------------------------------------------------------------------------------------- SPARTAN STORES INC COMMON 846822104 3,963 310,800 SH SOLE 310,800 0 - ---------------------------------------------------------------------------------------------------------------------------------- STANDARD PACIFIC CP COMMON 85375C101 3,463 103,000 SH SOLE 103,000 0 - ---------------------------------------------------------------------------------------------------------------------------------- STOLT OFFSHORE S A ADR 861567105 7,443 480,500 SH SOLE 480,500 0 - ---------------------------------------------------------------------------------------------------------------------------------- SUNOCO INC COMMON 86764P109 20,409 263,100 SH SOLE 263,100 0 - ---------------------------------------------------------------------------------------------------------------------------------- SYKES ENTERPRISES INC COMMON 871237103 6,646 468,700 SH SOLE 468,700 0 - ---------------------------------------------------------------------------------------------------------------------------------- SYNAGRO TECHNOLOGIES INC COMMON 871562203 4,565 913,000 SH SOLE 913,000 0 - ---------------------------------------------------------------------------------------------------------------------------------- TELEFONIA DE ARGENTINA CONT ADR 879991024 0 12,900 SH SOLE 12,900 0 - ---------------------------------------------------------------------------------------------------------------------------------- TELEFONICA DE ARGENTINA CONT ADR 879991016 0 12,900 SH SOLE 12,900 0 - ---------------------------------------------------------------------------------------------------------------------------------- TELEFONOS DE MEX ADR 879403780 3,372 150,000 SH SOLE 150,000 0 - ---------------------------------------------------------------------------------------------------------------------------------- TESORO PETROLEUM CORP COMMON 881609101 23,536 344,400 SH SOLE 344,400 0 - ---------------------------------------------------------------------------------------------------------------------------------- THE CHARLES SCHWAB CORP COMMON 808513105 174 10,100 SH SOLE 0 10,100 - ---------------------------------------------------------------------------------------------------------------------------------- TRAMMELL CROW CO COMMON 89288R106 6,522 182,900 SH SOLE 182,900 0 - ---------------------------------------------------------------------------------------------------------------------------------- TRANSMONTAIGNE INC COMMON 893934109 3,847 392,200 SH SOLE 392,200 0 - ----------------------------------------------------------------------------------------------------------------------------------
Page 8 of 9 03/31/2006 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 - ---------------------------------------------------------------------------------------------------------------------------------- - ---------------------------------------------------------------------------------------------------------------------------------- TRINITY INDUSTRIES COMMON 896522109 28,092 516,500 SH SOLE 516,500 0 - ---------------------------------------------------------------------------------------------------------------------------------- TRW AUTOMOTIVE HOLDINGS CORP COMMON 87264S106 5,578 239,400 SH SOLE 239,400 0 - ---------------------------------------------------------------------------------------------------------------------------------- U G I CORPORATION NEW COMMON 902681105 354 16,800 SH SOLE 0 16,800 - ---------------------------------------------------------------------------------------------------------------------------------- U S BANCORP COMMON 902973304 3,513 115,175 SH SOLE 115,100 75 - ---------------------------------------------------------------------------------------------------------------------------------- USG CORP COMMON 903293405 39,779 418,900 SH SOLE 418,900 0 - ---------------------------------------------------------------------------------------------------------------------------------- VALERO ENERGY CORP COMMON 91913Y100 31,642 529,300 SH SOLE 529,300 0 - ---------------------------------------------------------------------------------------------------------------------------------- VERIZON COMMUNICATIONS COMMON 92343V104 11,502 337,700 SH SOLE 324,275 13,425 - ---------------------------------------------------------------------------------------------------------------------------------- VODAFONE GROUP PLC ADR 92857W100 3,292 157,525 SH SOLE 153,700 3,825 - ---------------------------------------------------------------------------------------------------------------------------------- WABTEC CORP COMMON 929740108 27,078 830,600 SH SOLE 830,600 0 - ---------------------------------------------------------------------------------------------------------------------------------- WACHOVIA CORP COMMON 929903102 3,682 65,700 SH SOLE 65,700 0 - ---------------------------------------------------------------------------------------------------------------------------------- WALTER INDUSTRIES INC COMMON 93317Q105 9,600 144,100 SH SOLE 144,100 0 - ---------------------------------------------------------------------------------------------------------------------------------- WASHINGTON MUTUAL INC COMMON 939322103 3,559 83,500 SH SOLE 83,500 0 - ---------------------------------------------------------------------------------------------------------------------------------- WATSCO INC COMMON 942622200 25,137 353,800 SH SOLE 353,800 0 - ---------------------------------------------------------------------------------------------------------------------------------- WELLCARE HEALTH PLANS INC COMMON 94946T106 13,087 288,000 SH SOLE 288,000 0 - ---------------------------------------------------------------------------------------------------------------------------------- WELLS FARGO & CO COMMON 949746101 4,509 70,590 SH SOLE 55,400 15,190 - ---------------------------------------------------------------------------------------------------------------------------------- WESTAMERICA BANCORP COMMON 957090103 489 9,419 SH SOLE 0 9,419 - ---------------------------------------------------------------------------------------------------------------------------------- WESTERN DIGITAL CORP COMMON 958102105 27,424 1,411,400 SH SOLE 1,411,400 0 - ---------------------------------------------------------------------------------------------------------------------------------- WESTERN GAS RESOURCES INC COMMON 958259103 6,359 131,800 SH SOLE 131,800 0 - ---------------------------------------------------------------------------------------------------------------------------------- WEYERHAEUSER CO COMMON 962166104 3,788 52,300 SH SOLE 52,300 0 - ---------------------------------------------------------------------------------------------------------------------------------- WILLIAM LYON HOMES COMMON 552074106 4,200 43,900 SH SOLE 43,900 0 - ---------------------------------------------------------------------------------------------------------------------------------- WORLD AIR HOLDINGS INC COMMON 98142V104 3,561 362,600 SH SOLE 362,600 0 - ----------------------------------------------------------------------------------------------------------------------------------
Page 9 of 9 03/31/2006 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 - ---------------------------------------------------------------------------------------------------------------------------------- - ---------------------------------------------------------------------------------------------------------------------------------- XL CAPITAL LTD ADR G98255105 3,340 52,100 SH SOLE 52,100 0 - ---------------------------------------------------------------------------------------------------------------------------------- TOTAL 2,195,396 - ----------------------------------------------------------------------------------------------------------------------------------
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