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, 2009

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:             Kensington Investment Group, Inc.
Address:          4 Orinda Way, Suite 200-C
                  Orinda, CA  945563


Form 13F File Number: 028-07458


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:            Cynthia M. Yee
Title:           Executive Vice President
Phone:           800-253-2949


Signature, Place, and Date of Signing:

 /s/ Cynthia M. Yee                         Orinda, CA                 07/13/09
- -----------------------------           ------------------             -------
[Signature]                                 [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:                       0
                                                  -----------------------

Form 13F Information Table Value Total:              $ 0 (x 1000)
                                                  -----------------------


List of Other Included Managers:

           NONE