UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 13F
FORM 13F COVER PAGE
Report for the Calendar Year or Quarter Ended: June 30, 2012
---------------------
Check here if Amendment [ ]; Amendment Number:
This Amendment (Check only one): [ ] is a restatement.
[ ] adds new holdings entries.
Institutional Investment Manager Filing this Report:
Name: Hennessy Advisors, Inc.
Address: 7250 Redwood Boulevard, Suite 200
Novato, CA 94945
Form 13F File Number: 028-06715
The institutional investment manager filing this report and the person by whom
it is signed hereby represent that the person signing the report is authorized
to submit it, that all information contained herein is true, correct and
complete, and that it is understood that all required items, statements,
schedules, lists, and tables, are considered integral parts of this form.
Person Signing this Report on Behalf of Reporting Manager:
Name: Teresa M. Nilsen
Title: Executive Vice President and Chief Financial Officer
Phone: (415) 899-1555
Signature, Place, and Date of Signing:
/s/ Teresa M. Nilsen Novato, CA July 23, 2012
-------------------------------------------------------------------------------
Teresa M. Nilsen City, State Date
Report Type (Check only one):
[X] 13F HOLDINGS REPORT. (Check here if all holdings of this reporting
manager are reported in this report.)
[ ] 13F NOTICE. (Check here if no holdings reported are in this report,
and all holdings are reported by other reporting manager(s).)
[ ] 13F COMBINATION REPORT. (Check here if a portion of the holdings for
this reporting manager are reported in this report and a portion are
reported by other reporting manager(s).)
FORM 13F SUMMARY PAGE
Report Summary:
Number of Other Included Managers: 0
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Form 13F Information Table Entry Total: 171
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Form 13F Information Table Value Total: $631,986
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(thousands)
List of Other Included Managers: NONE
FORM 13F INFORMATION TABLE
Name of Reporting Manager: Hennessy Advisors, Inc.
Value Shares/ Sh/ Put/ Invstmt Other Voting Authority
Name of Issuer Title of Class CUSIP (x1000) Prn Amt Prn Call Dscretn Managers Sole Shared None
----------------------------- --------------- ---------- ------- --------- ---- ---- ------- -------- --------- ------- -----
---------------------------- --------------- ---------- ------- --------- ---- ---- ------- -------- --------- ------- -----
ABBOTT LABORATORIES COM 002824100 2,643 41,000 SH SOLE 41,000
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
ADVANCE AUTO PARTS INC COM 00751Y106 1,528 22,400 SH SOLE 22,400
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
AETNA INC NEW COM 00817Y108 1,400 36,100 SH SOLE 36,100
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
ALLIANT ENERGY CORP COM 018802108 5,254 115,300 SH SOLE 115,300
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
ALTRIA GROUP INC COM 02209S103 2,709 78,400 SH SOLE 78,400
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
AMC NETWORKS INC CL A 00164V103 388 10,925 SH SOLE 10,925
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
AMERICAN VANGUARD CORP COM 030371108 7,248 272,600 SH SOLE 272,600
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
APOLLO GROUP INC CL A 037604105 1,335 36,900 SH SOLE 36,900
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
APPLIED MATLS INC COM 038222105 1,185 103,400 SH SOLE 103,400
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
ARCELORMITTAL SA NY REGISTRY SH 03938L104 1,698 111,200 SH SOLE 111,200
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
ARCTIC CAT INC COM 039670104 4,577 125,200 SH SOLE 125,200
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
AT&T INC COM 00206R102 9,329 261,600 SH SOLE 261,600
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
AUTOLIV INC COM 052800109 1,093 20,000 SH SOLE 20,000
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
AVON PRODS INC COM 054303102 2,062 127,200 SH SOLE 127,200
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
AXCELIS TECHNOLOGIES INC COM 054540109 13 11,050 SH SOLE 11,050
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
BANCO SANTANDER SA ADR 05964H105 2,045 311,800 SH SOLE 311,800
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
BCE INC COM NEW 05534B760 2,237 54,300 SH SOLE 54,300
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
BEST BUY INC COM 086516101 1,063 50,700 SH SOLE 50,700
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
BOEING CO COM 097023105 1,449 19,500 SH SOLE 19,500
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
BP PLC SPONSORED ADR 055622104 2,063 50,900 SH SOLE 50,900
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
BRISTOL MYERS SQUIBB CO COM 110122108 2,419 67,300 SH SOLE 67,300
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
CABLEVISION SYS CORP CL A NY CABLVS 12686C109 436 32,800 SH SOLE 32,800
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
CAMBREX CORP COM 132011107 5,901 627,100 SH SOLE 627,100
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
CAMPBELL SOUP CO COM 134429109 3,895 116,700 SH SOLE 116,700
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
CARIBOU COFFEE INC COM 142042209 3,123 241,900 SH SOLE 241,900
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
CARNIVAL CORP/PLC (USA) PAIRED CTF 143658300 2,546 74,300 SH SOLE 74,300
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
CASEYS GEN STORES INC COM 147528103 5,934 100,600 SH SOLE 100,600
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
CENTENE CORP COM 15135B101 2,811 93,200 SH SOLE 93,200
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
CENTERPOINT ENERGY INC COM 15189T107 4,682 226,500 SH SOLE 226,500
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
CENTURYLINK INC COM 156700106 2,393 60,600 SH SOLE 60,600
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
CHEVRON CORP NEW COM 166764100 7,601 72,050 SH SOLE 72,050
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
CHURCHILL DOWNS INC COM 171484108 4,415 75,096 SH SOLE 75,096
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
CIGNA CORPORATION COM 125509109 1,421 32,300 SH SOLE 32,300
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
CIMAREX ENERGY CO COM 171798101 921 16,700 SH SOLE 16,700
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
CINTAS CORP COM 172908105 4,320 111,900 SH SOLE 111,900
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
CLIFFS NATURAL RESOURCES COM 18683K101 887 18,000 SH SOLE 18,000
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
CMS ENERGY CORP COM 125896100 5,370 228,500 SH SOLE 228,500
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
CONAGRA FOODS INC COM 205887102 2,170 83,700 SH SOLE 83,700
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
CONOCOPHILLIPS COM 20825C104 1,732 31,000 SH SOLE 31,000
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
COST PLUS INC COM 221485105 5,995 272,500 SH SOLE 272,500
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
CVS CAREMARK CORPORATION COM 126650100 4,626 99,000 SH SOLE 99,000
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
DELL INC COM 24702R101 1,154 92,200 SH SOLE 92,200
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
DIAMOND OFFSHORE DRILLING COM 25271C102 1,307 22,100 SH SOLE 22,100
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
DIRECTV COM CL A 25490A101 1,523 31,200 SH SOLE 31,200
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
DISH NETWORK CORP CL A 25470M109 1,502 52,600 SH SOLE 52,600
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
DOLLAR GEN CORP COM 256677105 5,471 100,585 SH SOLE 100,585
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
DOMINOS PIZZA INC COM 25754A201 8,627 279,100 SH SOLE 279,100
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
DR PEPPER SNAPPLE GROUP INC COM 26138E109 5,224 119,400 SH SOLE 119,400
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
DU PONT E I DE NEMOURS & CO COM 263534109 8,357 165,250 SH SOLE 165,250
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
DXP ENTERPRISES INC COM NEW 233377407 4,755 114,600 SH SOLE 114,600
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
DYCOM INDS INC COM 267475101 3,417 183,600 SH SOLE 183,600
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
EASTMAN CHEM CO COM 277432100 1,466 29,100 SH SOLE 29,100
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
ELIZABETH ARDEN INC COM 28660G106 4,176 107,600 SH SOLE 107,600
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
EMERSON ELEC CO COM 291011104 2,124 45,600 SH SOLE 45,600
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
ENCANA CORP COM 292505104 2,697 129,500 SH SOLE 129,500
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
EXXON MOBIL CORP COM 30231G102 1,626 19,000 SH SOLE 19,000
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
FAMILY DLR STORES INC COM 307000109 5,398 81,200 SH SOLE 81,200
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
FOOT LOCKER INC COM 344849104 4,871 159,300 SH SOLE 159,300
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
FOREST LABS INC COM 345838106 1,606 45,900 SH SOLE 45,900
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
FREEPORT-MCMORAN COP&GOLD COM 35671D857 1,090 32,000 SH SOLE 32,000
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
FULLER H B CO COM 359694106 4,430 144,300 SH SOLE 144,300
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
GAP INC COM 364760108 1,847 67,500 SH SOLE 67,500
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
GENERAL DYNAMICS CORP COM 369550108 1,359 20,600 SH SOLE 20,600
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
GENERAL ELECTRIC CO COM 369604103 8,793 421,950 SH SOLE 421,950
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
GENERAL MLS INC COM 370334104 1,534 39,800 SH SOLE 39,800
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
GENESCO INC COM 371532102 8,938 148,600 SH SOLE 148,600
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
GENUINE PARTS CO COM 372460105 5,055 83,900 SH SOLE 83,900
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
GILEAD SCIENCES INC COM 375558103 1,938 37,800 SH SOLE 37,800
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
GLAXOSMITHKLINE PLC SPONSORED ADR 37733W105 2,274 49,900 SH SOLE 49,900
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
GRACE W R & CO COM 38388F108 3,922 77,750 SH SOLE 77,750
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
GROUP 1 AUTOMOTIVE INC COM 398905109 3,475 76,200 SH SOLE 76,200
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
HARRIS CORP DEL COM 413875105 1,318 31,500 SH SOLE 31,500
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
HCA HOLDINGS INC COM 40412C101 1,360 44,700 SH SOLE 44,700
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
HEINZ H J CO COM 423074103 2,306 42,400 SH SOLE 42,400
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
HEWLETT PACKARD CO COM 428236103 756 37,600 SH SOLE 37,600
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
HSBC HLDGS PLC SPON ADR NEW 404280406 2,498 56,600 SH SOLE 56,600
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
HSN INC COM 404303109 5,407 134,000 SH SOLE 134,000
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
HUMANA INC COM 444859102 1,526 19,700 SH SOLE 19,700
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
INNERWORKINGS INC COM 45773Y105 4,977 367,865 SH SOLE 367,865
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
INTEL CORP COM 458140100 9,769 366,550 SH SOLE 366,550
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
INTL BUSINESS MACHS COM 459200101 1,780 9,100 SH SOLE 9,100
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
INTL PAPER CO COM 460146103 2,047 70,800 SH SOLE 70,800
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
IPASS INC COM 46261V108 46 19,680 SH SOLE 19,680
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
JABIL CIRCUIT INC COM 466313103 4,871 239,600 SH SOLE 239,600
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
JOHNSON & JOHNSON COM 478160104 8,300 122,850 SH SOLE 122,850
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
JPMORGAN CHASE & CO. COM 46625H100 393 11,000 SH SOLE 11,000
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
KELLOGG CO COM 487836108 2,190 44,400 SH SOLE 44,400
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
KIMBERLY CLARK CORP COM 494368103 4,490 53,600 SH SOLE 53,600
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
KRAFT FOODS INC CL A 50075N104 5,019 129,950 SH SOLE 129,950
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
LA Z BOY INC COM 505336107 3,778 307,400 SH SOLE 307,400
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
LAM RESEARCH CORP COM 512807108 1,230 32,600 SH SOLE 32,600
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
LEAPFROG ENTERPRISES INC CL A 52186N106 6,405 624,300 SH SOLE 624,300
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
LILLY ELI & CO COM 532457108 4,154 96,800 SH SOLE 96,800
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
LIMITED BRANDS INC COM 532716107 1,565 36,800 SH SOLE 36,800
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
LITHIA MTRS INC CL A 536797103 3,999 173,500 SH SOLE 173,500
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
LKQ CORP COM 501889208 5,591 167,400 SH SOLE 167,400
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
LOCKHEED MARTIN CORP COM 539830109 4,093 47,000 SH SOLE 47,000
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
MACYS INC COM 55616P104 4,084 118,900 SH SOLE 118,900
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
MATTEL INC COM 577081102 4,448 137,100 SH SOLE 137,100
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
MCDONALDS CORP COM 580135101 859 9,700 SH SOLE 9,700
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
MENS WEARHOUSE INC COM 587118100 3,221 114,450 SH SOLE 114,450
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
MERCK & CO INC COM 58933Y105 8,471 202,900 SH SOLE 202,900
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
METROPOLITAN HEALTH NET COM 592142103 4,975 519,854 SH SOLE 519,854
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
MICROSOFT CORP COM 594918104 1,860 60,800 SH SOLE 60,800
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
MOLINA HEALTHCARE INC COM 60855R100 3,087 131,600 SH SOLE 131,600
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
MUELLER INDS INC COM 624756102 8,311 195,150 SH SOLE 195,150
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
NAVIGANT CONSULTING INC COM 63935N107 3,934 311,200 SH SOLE 311,200
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
NEENAH PAPER INC COM 640079109 4,580 171,605 SH SOLE 171,605
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
NETGEAR INC COM 64111Q104 3,544 102,700 SH SOLE 102,700
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
NEW JERSEY RES COM 646025106 4,549 104,300 SH SOLE 104,300
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
NEWMARKET CORP COM 651587107 4,722 21,800 SH SOLE 21,800
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
NEWMONT MINING CORP COM 651639106 1,402 28,900 SH SOLE 28,900
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
NISOURCE INC COM 65473P105 5,210 210,500 SH SOLE 210,500
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
NORDSTROM INC COM 655664100 1,575 31,700 SH SOLE 31,700
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
NORTHROP GRUMMAN CORP COM 666807102 2,405 37,700 SH SOLE 37,700
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
NUCOR CORP COM 670346105 2,020 53,300 SH SOLE 53,300
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
OLD DOMINION FGHT LINES INC COM 679580100 4,186 96,700 SH SOLE 96,700
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
ONEOK PARTNERS LP UNIT LTD PARTN 68268N103 9,326 173,500 SH SOLE 173,500
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
OXFORD INDS INC COM 691497309 3,788 84,750 SH SOLE 84,750
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
PAPA JOHNS INTL INC COM 698813102 5,095 107,100 SH SOLE 107,100
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
PEPSICO INC COM 713448108 2,473 35,000 SH SOLE 35,000
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
PETSMART INC COM 716768106 6,832 100,200 SH SOLE 100,200
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
PFIZER INC COM 717081103 8,565 372,400 SH SOLE 372,400
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
PHILIP MORRIS INTL INC COM 718172109 2,705 31,000 SH SOLE 31,000
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
PHILLIPS 66 COM 718546104 540 16,250 SH SOLE 16,250
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
PIER 1 IMPORTS INC COM 720279108 4,183 254,600 SH SOLE 254,600
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
PINNACLE WEST CAP CORP COM 723484101 5,345 103,300 SH SOLE 103,300
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
POOL CORPORATION COM 73278L105 4,949 122,309 SH SOLE 122,309
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
PRICESMART INC COM 741511109 4,476 66,300 SH SOLE 66,300
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
PRIMORIS SVCS CORP COM 74164F103 3,161 263,400 SH SOLE 263,400
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
PROCTER & GAMBLE CO COM 742718109 6,885 112,400 SH SOLE 112,400
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
PROGRESSIVE CORP OHIO COM 743315103 1,502 72,100 SH SOLE 72,100
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
RAYTHEON CO COM 755111507 4,357 77,000 SH SOLE 77,000
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
REPUBLIC SVCS INC COM 760759100 2,172 82,100 SH SOLE 82,100
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
REYNOLDS AMERICAN INC COM 761713106 2,472 55,100 SH SOLE 55,100
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
ROSS STORES INC COM 778296103 11,978 191,740 SH SOLE 191,740
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
ROYAL DUTCH SHELL PLC SPONSORED ADR 780259206 2,178 32,300 SH SOLE 32,300
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
SALLY BEAUTY HLDGS INC COM 79546E104 12,026 467,200 SH SOLE 467,200
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
SCANA CORP COM 80589M102 5,387 112,600 SH SOLE 112,600
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
SEAGATE TECHNOLOGY PLC SHS G7945M107 2,841 114,900 SH SOLE 114,900
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
SOUTHERN COPPER CORP COM 84265V105 2,013 63,900 SH SOLE 63,900
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
STANDARD MTR PRODS INC COM 853666105 2,636 187,200 SH SOLE 187,200
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
SUN LIFE FINL INC COM 866796105 2,468 113,400 SH SOLE 113,400
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
SUNOCO LOGISTICS PRTNRS LP COM UNITS LP 86764L108 5,285 145,700 SH SOLE 145,700
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
SUSSER HLDGS CORP COM 869233106 6,531 175,700 SH SOLE 175,700
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
SYSCO CORP COM 871829107 3,744 125,600 SH SOLE 125,600
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
TELEDYNE TECHNOLOGIES INC COM 879360105 5,407 87,700 SH SOLE 87,700
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
TESORO CORP COM 881609101 4,628 185,400 SH SOLE 185,400
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
TEXAS INSTRS INC COM 882508104 1,268 44,200 SH SOLE 44,200
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
THOMSON REUTERS CORP COM 884903105 2,270 79,800 SH SOLE 79,800
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
TIMKEN CO COM 887389104 1,332 29,100 SH SOLE 29,100
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
TJX COS INC COM 872540109 7,772 181,030 SH SOLE 181,030
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
TOTAL S A SPONSORED ADR 89151E109 1,973 43,900 SH SOLE 43,900
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
TOWERS WATSON & CO CL A 891894107 4,488 74,932 SH SOLE 74,932
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
TRACTOR SUPPLY CO COM 892356106 4,161 50,100 SH SOLE 50,100
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
TRANSOCEAN LTD REG SHS H8817H100 2,330 52,100 SH SOLE 52,100
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
TRAVELERS COMPANIES INC COM 89417E109 1,628 25,500 SH SOLE 25,500
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
TRIUMPH GROUP INC COM 896818101 8,863 157,500 SH SOLE 157,500
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
TRW AUTOMOTIVE HLDGS CORP COM 87264S106 981 26,700 SH SOLE 26,700
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
UIL HLDG CORP COM 902748102 5,085 141,800 SH SOLE 141,800
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
UNITED RENTALS INC COM 911363109 3,554 104,400 SH SOLE 104,400
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
UNITEDHEALTH GROUP INC COM 91324P102 1,802 30,800 SH SOLE 30,800
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
VERIZON COMMUNICATIONS INC COM 92343V104 9,095 204,650 SH SOLE 204,650
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
VOXX INTL CORP CL A 91829F104 3,071 329,500 SH SOLE 329,500
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
WALGREEN CO COM 931422109 1,035 35,000 SH SOLE 35,000
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
WAL-MART STORES INC COM 931142103 1,952 28,000 SH SOLE 28,000
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
WASTE MGMT INC COM 94106L109 2,251 67,400 SH SOLE 67,400
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
WELLCARE HEALTH PLANS INC COM 94946T106 3,694 69,700 SH SOLE 69,700
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
WESTAR ENERGY INC COM 95709T100 5,175 172,800 SH SOLE 172,800
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
WHOLE FOODS MKT INC COM 966837106 5,362 56,250 SH SOLE 56,250
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
WORLD FUEL SVCS CORP COM 981475106 4,712 123,900 SH SOLE 123,900
---------------------------- --------------- ---------- ------- --------- --- ---- ---------
TOTAL 631,986
---------------------------- -------