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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, 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 July 24, 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: 165
----------------------
Form 13F Information Table Value Total: $2,171,424
----------------------
(thousands)
List of Other Included Managers: NONE
Page 1 of 8 06/30/2006
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 12,076 432,971 SH SOLE 424,775 8,196
------------------------------------------------------------------------------------------------------------------------------------
AAR CORP COMMON 000361105 21,314 958,800 SH SOLE 958,800 0
------------------------------------------------------------------------------------------------------------------------------------
ACERGY S A -ADR ADR 00443E104 7,684 502,200 SH SOLE 502,200 0
------------------------------------------------------------------------------------------------------------------------------------
ADVANCE AUTO PARTS INC COMMON 00751Y106 3,153 109,100 SH SOLE 109,100 0
------------------------------------------------------------------------------------------------------------------------------------
AETNA INC COMMON 00817Y108 4,524 113,300 SH SOLE 113,300 0
------------------------------------------------------------------------------------------------------------------------------------
ALERIS INTERNATIONAL INC COMMON 014477103 32,200 702,300 SH SOLE 702,300 0
------------------------------------------------------------------------------------------------------------------------------------
ALLEGHENY TECHNOLOGIES
INC COMMON 01741R102 60,287 870,700 SH SOLE 870,700 0
------------------------------------------------------------------------------------------------------------------------------------
ALTRIA GROUP INC COMMON 02209S103 10,895 148,368 SH SOLE 147,925 443
------------------------------------------------------------------------------------------------------------------------------------
AMERCO COMMON 023586100 43,817 435,300 SH SOLE 435,300 0
------------------------------------------------------------------------------------------------------------------------------------
ANDERSONS INC COMMON 034164103 11,443 275,000 SH SOLE 275,000 0
------------------------------------------------------------------------------------------------------------------------------------
ASTEC INDUSTRIES INC COMMON 046224101 24,467 717,100 SH SOLE 717,100 0
------------------------------------------------------------------------------------------------------------------------------------
BADGER METER INC COMMON 056525108 6,215 230,200 SH SOLE 230,200 0
------------------------------------------------------------------------------------------------------------------------------------
BANCO BRADESCO SA -ADR ADR 059460303 22,836 734,500 SH SOLE 734,500 0
------------------------------------------------------------------------------------------------------------------------------------
BANCO ITAU HLDG FINCIERA
-ADR ADR 059602201 25,897 888,100 SH SOLE 888,100 0
------------------------------------------------------------------------------------------------------------------------------------
BANK of AMERICA CORP COMMON 060505104 4,107 85,387 SH SOLE 74,000 11,387
------------------------------------------------------------------------------------------------------------------------------------
BEACON ROOFING SUPPLY INC COMMON 073685109 25,811 1,172,700 SH SOLE 1,172,700 0
------------------------------------------------------------------------------------------------------------------------------------
BELLSOUTH CORP COMMON 079860102 4,592 126,838 SH SOLE 123,100 3,738
------------------------------------------------------------------------------------------------------------------------------------
BERKLEY (W R) CORP COMMON 084423102 24,403 715,000 SH SOLE 715,000 0
------------------------------------------------------------------------------------------------------------------------------------
BP PLC -ADS ADR 055622104 3,543 50,900 SH SOLE 50,600 300
------------------------------------------------------------------------------------------------------------------------------------
BRIGHTPOINT INC COMMON 109473405 19,711 1,460,040 SH SOLE 1,460,040 0
------------------------------------------------------------------------------------------------------------------------------------
BRISTOL MYERS SQUIBB COMMON 110122108 4,125 159,500 SH SOLE 158,700 800
------------------------------------------------------------------------------------------------------------------------------------
Page 2 of 8 06/30/2006
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
----------------------------------------------------------------------------------------------------------------------------------
BUILDING MATERIALS HLDG
CP COMMON 120113105 4,922 176,600 SH SOLE 176,600 0
------------------------------------------------------------------------------------------------------------------------------------
CB RICHARD ELLIS GROUP
INC COMMON 12497T101 21,665 870,100 SH SOLE 849,100 21,000
------------------------------------------------------------------------------------------------------------------------------------
CHEMED CORP COMMON 16359R103 6,124 112,300 SH SOLE 112,300 0
------------------------------------------------------------------------------------------------------------------------------------
CHEVRONTEXACO CORP COMMON 166764100 4,553 73,357 SH SOLE 57,800 15,557
------------------------------------------------------------------------------------------------------------------------------------
CHILDRENS PLACE RETAIL
STRS COMMON 168905107 5,909 98,400 SH SOLE 98,400 0
------------------------------------------------------------------------------------------------------------------------------------
CHUNGHWA TELECOM CO -ADR ADR 17133Q205 3,546 192,000 SH SOLE 192,000 0
------------------------------------------------------------------------------------------------------------------------------------
CIRCUIT CITY STORES INC COMMON 172737108 27,329 1,004,000 SH SOLE 1,004,000 0
------------------------------------------------------------------------------------------------------------------------------------
CITIGROUP INC COMMON 172967101 10,806 223,975 SH SOLE 223,975 0
------------------------------------------------------------------------------------------------------------------------------------
CLEAN HARBORS INC COMMON 184496107 8,509 211,100 SH SOLE 211,100 0
------------------------------------------------------------------------------------------------------------------------------------
CLEVELAND-CLIFFS INC COMMON 185896107 7,485 94,400 SH SOLE 94,400 0
------------------------------------------------------------------------------------------------------------------------------------
CMS ENERGY CORP COMMON 125896100 6,531 504,700 SH SOLE 504,700 0
------------------------------------------------------------------------------------------------------------------------------------
COCA-COLA COMPANY COMMON 191216100 3,123 72,600 SH SOLE 72,600 0
------------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL METALS COMMON 201723103 12,912 502,400 SH SOLE 502,400 0
------------------------------------------------------------------------------------------------------------------------------------
CONAGRA FOODS INC COMMON 205887102 3,732 168,800 SH SOLE 168,800 0
------------------------------------------------------------------------------------------------------------------------------------
CONN'S INC COMMON 208242107 15,850 597,000 SH SOLE 597,000 0
------------------------------------------------------------------------------------------------------------------------------------
DAIMLERCHRYSLER AG ADR sedol - 2307389 3,278 66,400 SH SOLE 66,400 0
------------------------------------------------------------------------------------------------------------------------------------
DENNYS CORP COMMON 24869P104 3,201 867,500 SH SOLE 867,500 0
------------------------------------------------------------------------------------------------------------------------------------
DIAGEO PLC -ADR ADR 25243Q205 3,850 57,000 SH SOLE 57,000 0
------------------------------------------------------------------------------------------------------------------------------------
DONNELLEY (R R) & SONS CO COMMON 257867101 3,166 99,100 SH SOLE 99,100 0
------------------------------------------------------------------------------------------------------------------------------------
DOW CHEMICAL COMMON 260543103 2,970 76,100 SH SOLE 76,100 0
------------------------------------------------------------------------------------------------------------------------------------
DRESS BARN INC COMMON 261570105 31,540 1,244,200 SH SOLE 1,244,200 0
------------------------------------------------------------------------------------------------------------------------------------
Page 3 of 8 06/30/2006
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
----------------------------------------------------------------------------------------------------------------------------------
DREW INDUSTRIES INC COMMON 26168L205 26,186 808,200 SH SOLE 808,200 0
------------------------------------------------------------------------------------------------------------------------------------
DU PONT (E I) DE NEMOURS COMMON 263534109 10,566 254,000 SH SOLE 254,000 0
------------------------------------------------------------------------------------------------------------------------------------
EMCOR GROUP INC COMMON 29084Q100 30,988 636,700 SH SOLE 636,700 0
------------------------------------------------------------------------------------------------------------------------------------
ESCALA GROUP INC COMMON 29605W107 5,170 1,104,700 SH SOLE 1,104,700 0
------------------------------------------------------------------------------------------------------------------------------------
EXPRESS SCRIPTS INC COMMON 302182100 29,327 408,800 SH SOLE 408,800 0
------------------------------------------------------------------------------------------------------------------------------------
EXXON MOBIL CORPORATION COMMON 30231G102 350 5,705 SH SOLE 0 5,705
------------------------------------------------------------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTG
CORP COMMON 313400301 3,056 53,600 SH SOLE 53,600 0
------------------------------------------------------------------------------------------------------------------------------------
FLOWSERVE CORP COMMON 34354P105 13,298 233,700 SH SOLE 233,700 0
------------------------------------------------------------------------------------------------------------------------------------
FORD MOTOR CO COMMON 345370860 2,881 415,746 SH SOLE 415,500 246
------------------------------------------------------------------------------------------------------------------------------------
FOSTER WHEELER LTD COMMON sedol B04MB31 25,000 578,700 SH SOLE 578,700 0
------------------------------------------------------------------------------------------------------------------------------------
FRONTIER OIL CORP COMMON 35914P105 59,085 1,823,600 SH SOLE 1,823,600 0
------------------------------------------------------------------------------------------------------------------------------------
GEHL CO COMMON 368483103 4,616 180,800 SH SOLE 180,800 0
------------------------------------------------------------------------------------------------------------------------------------
GENERAL CABLE CORP/DE COMMON 369300108 38,770 1,107,700 SH SOLE 1,107,700 0
------------------------------------------------------------------------------------------------------------------------------------
GENERAL ELECTRIC CO. COMMON 369604103 4,046 122,751 SH SOLE 121,525 1,226
------------------------------------------------------------------------------------------------------------------------------------
GENERAL MOTORS CORP COMMON 370442105 13,032 437,465 SH SOLE 437,100 365
------------------------------------------------------------------------------------------------------------------------------------
GENESCO INC COMMON 371532102 4,166 123,000 SH SOLE 123,000 0
------------------------------------------------------------------------------------------------------------------------------------
GIANT INDUSTRIES INC COMMON 374508109 28,184 423,500 SH SOLE 423,500 0
------------------------------------------------------------------------------------------------------------------------------------
GLAXOSMITHKLINE PLC -ADR ADR 37733W105 3,744 67,100 SH SOLE 67,100 0
------------------------------------------------------------------------------------------------------------------------------------
GOODYEAR TIRE & RUBBER CO COMMON 382550101 5,860 527,900 SH SOLE 527,900 0
------------------------------------------------------------------------------------------------------------------------------------
GREAT ATLANTIC & PAC TEA
CO COMMON 390064103 27,723 1,220,200 SH SOLE 1,220,200 0
------------------------------------------------------------------------------------------------------------------------------------
HEALTHCARE SERVICES GROUP COMMON 421906108 4,879 232,900 SH SOLE 232,900 0
------------------------------------------------------------------------------------------------------------------------------------
Page 4 of 8 06/30/2006
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
----------------------------------------------------------------------------------------------------------------------------------
HEINZ (H J) CO COMMON 423074103 4,073 98,800 SH SOLE 98,800 0
------------------------------------------------------------------------------------------------------------------------------------
HENNESSY ADVISORS INC COMMON 425885100 53,446 1,875,304 SH SOLE 0 1,875,304
------------------------------------------------------------------------------------------------------------------------------------
HOLLY CORP COMMON 435758305 58,563 1,215,000 SH SOLE 1,215,000 0
------------------------------------------------------------------------------------------------------------------------------------
HOVNANIAN ENTRPRS INC
-CL A CLASS A 442487203 2,178 72,400 SH SOLE 72,400 0
------------------------------------------------------------------------------------------------------------------------------------
HSBC HOLDINGS PLC -ADR ADR 404280406 3,737 42,300 SH SOLE 42,300 0
------------------------------------------------------------------------------------------------------------------------------------
HUMANA INC COMMON 444859102 15,380 286,400 SH SOLE 286,400 0
------------------------------------------------------------------------------------------------------------------------------------
ING GROEP NV -ADR ADR 456837103 3,936 100,100 SH SOLE 100,100 0
------------------------------------------------------------------------------------------------------------------------------------
INTL PAPER CO COMMON 460146103 3,256 100,800 SH SOLE 100,500 300
------------------------------------------------------------------------------------------------------------------------------------
IPSCO INC ADR 462622101 27,635 288,800 SH SOLE 288,800 0
------------------------------------------------------------------------------------------------------------------------------------
J P MORGAN CHASE & CO COMMON 46625H100 11,603 276,265 SH SOLE 275,975 290
------------------------------------------------------------------------------------------------------------------------------------
JABIL CIRCUIT INC COMMON 466313103 16,366 639,300 SH SOLE 639,300 0
------------------------------------------------------------------------------------------------------------------------------------
JACOBS ENGINEERING GROUP
INC COMMON 469814107 9,764 122,600 SH SOLE 122,600 0
------------------------------------------------------------------------------------------------------------------------------------
JLG INDUSTRIES INC COMMON 466210101 40,475 1,798,900 SH SOLE 1,798,900 0
------------------------------------------------------------------------------------------------------------------------------------
KB HOME COMMON 48666K109 2,916 63,600 SH SOLE 63,600 0
------------------------------------------------------------------------------------------------------------------------------------
KIMBERLY-CLARK CORP COMMON 494368103 3,673 59,526 SH SOLE 58,400 1,126
------------------------------------------------------------------------------------------------------------------------------------
KRAFT FOODS INC COMMON 50075N104 3,594 116,300 SH SOLE 116,300 0
------------------------------------------------------------------------------------------------------------------------------------
LABOR READY INC COMMON 505401208 7,194 317,600 SH SOLE 317,600 0
------------------------------------------------------------------------------------------------------------------------------------
LENNOX INTERNATIONAL INC COMMON 526107107 8,211 310,100 SH SOLE 310,100 0
------------------------------------------------------------------------------------------------------------------------------------
LILLY (ELI) & CO COMMON 532457108 3,515 63,600 SH SOLE 63,600 0
------------------------------------------------------------------------------------------------------------------------------------
LINCOLN NATIONAL CORP COMMON 534187109 3,714 65,800 SH SOLE 65,800 0
------------------------------------------------------------------------------------------------------------------------------------
LONGS DRUG STORES CORP COMMON 543162101 4,945 108,400 SH SOLE 108,400 0
------------------------------------------------------------------------------------------------------------------------------------
Page 5 of 8 06/30/2006
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
----------------------------------------------------------------------------------------------------------------------------------
LUBYS INC COMMON 549282101 4,066 389,800 SH SOLE 389,800 0
------------------------------------------------------------------------------------------------------------------------------------
LUFKIN INDUSTRIES INC COMMON 549764108 7,655 128,800 SH SOLE 128,800 0
------------------------------------------------------------------------------------------------------------------------------------
LYONDELL CHEMICAL CO COMMON 552078107 3,082 136,000 SH SOLE 136,000 0
------------------------------------------------------------------------------------------------------------------------------------
MANITOWOC CO COMMON 563571108 35,952 807,900 SH SOLE 807,900 0
------------------------------------------------------------------------------------------------------------------------------------
MARATHON OIL CORP COMMON 565849106 28,305 339,800 SH SOLE 339,800 0
------------------------------------------------------------------------------------------------------------------------------------
MATTEL INC COMMON 577081102 3,401 206,000 SH SOLE 206,000 0
------------------------------------------------------------------------------------------------------------------------------------
MCDERMOTT INTL INC COMMON 580037109 15,251 335,400 SH SOLE 335,400 0
------------------------------------------------------------------------------------------------------------------------------------
MEADWESTVACO CORP COMMON 583334107 3,366 120,500 SH SOLE 120,500 0
------------------------------------------------------------------------------------------------------------------------------------
MENS WEARHOUSE INC COMMON 587118100 4,097 135,200 SH SOLE 135,200 0
------------------------------------------------------------------------------------------------------------------------------------
MERCK & CO COMMON 589331107 12,629 346,664 SH SOLE 346,175 489
------------------------------------------------------------------------------------------------------------------------------------
MERITAGE HOMES CORP COMMON 59001A102 2,788 59,000 SH SOLE 59,000 0
------------------------------------------------------------------------------------------------------------------------------------
MULTI-FINELINE ELECTRON
INC COMMON 62541B101 8,450 254,600 SH SOLE 254,600 0
------------------------------------------------------------------------------------------------------------------------------------
NATIONAL CITY CORP COMMON 635405103 3,583 99,000 SH SOLE 99,000 0
------------------------------------------------------------------------------------------------------------------------------------
NORDSTROM INC COMMON 655664100 22,126 606,200 SH SOLE 606,200 0
------------------------------------------------------------------------------------------------------------------------------------
NS GROUP, INC. COMMON 628916108 7,755 140,800 SH SOLE 140,800 0
------------------------------------------------------------------------------------------------------------------------------------
OFFICE DEPOT INC COMMON 676220106 10,507 276,500 SH SOLE 276,500 0
------------------------------------------------------------------------------------------------------------------------------------
OIL STATES INTL INC COMMON 678026105 30,009 875,400 SH SOLE 875,400 0
------------------------------------------------------------------------------------------------------------------------------------
ON SEMICONDUCTOR CORP COMMON 682189105 20,535 3,492,400 SH SOLE 3,492,400 0
------------------------------------------------------------------------------------------------------------------------------------
P G & E CORP COMMON 69331C108 236 6,005 SH SOLE 0 6,005
------------------------------------------------------------------------------------------------------------------------------------
PALM INC COMMON 696643105 22,178 1,377,500 SH SOLE 1,377,500 0
------------------------------------------------------------------------------------------------------------------------------------
PANTRY INC COMMON 698657103 32,786 569,800 SH SOLE 569,800 0
------------------------------------------------------------------------------------------------------------------------------------
Page 6 of 8 06/30/2006
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
----------------------------------------------------------------------------------------------------------------------------------
PAPA JOHNS INTERNATIONAL
INC COMMON 698813102 24,402 735,000 SH SOLE 735,000 0
------------------------------------------------------------------------------------------------------------------------------------
PAR TECHNOLOGY CORP COMMON 698884103 3,033 237,500 SH SOLE 237,500 0
------------------------------------------------------------------------------------------------------------------------------------
PAYLESS SHOESOURCE INC COMMON 704379106 27,879 1,026,100 SH SOLE 1,026,100 0
------------------------------------------------------------------------------------------------------------------------------------
PETRO-CANADA ADR 71644E102 26,976 569,000 SH SOLE 569,000 0
------------------------------------------------------------------------------------------------------------------------------------
PFIZER INC COMMON 717081103 10,881 463,601 SH SOLE 461,275 2,326
------------------------------------------------------------------------------------------------------------------------------------
PHILLIPS-VAN HEUSEN CORP COMMON 718592108 5,377 140,900 SH SOLE 140,900 0
------------------------------------------------------------------------------------------------------------------------------------
PIONEER COS INC -CL A LASS A 723643300 5,783 212,000 SH SOLE 212,000 0
------------------------------------------------------------------------------------------------------------------------------------
PITNEY BOWES INC COMMON 724479100 3,358 81,300 SH SOLE 81,300 0
------------------------------------------------------------------------------------------------------------------------------------
PLAYTEX PRODUCTS INC COMMON 72813P100 18,936 1,815,500 SH SOLE 1,815,500 0
------------------------------------------------------------------------------------------------------------------------------------
PLEXUS CORP COMMON 729132100 35,089 1,025,700 SH SOLE 1,025,700 0
------------------------------------------------------------------------------------------------------------------------------------
PNC FINANCIAL SVCS GROUP
INC COMMON 693475105 3,733 53,200 SH SOLE 53,200 0
------------------------------------------------------------------------------------------------------------------------------------
PPG INDUSTRIES INC COMMON 693506107 3,848 58,300 SH SOLE 58,300 0
------------------------------------------------------------------------------------------------------------------------------------
QUANEX CORP COMMON 747620102 14,131 328,100 SH SOLE 328,100 0
------------------------------------------------------------------------------------------------------------------------------------
QUANTA SERVICES INC COMMON 74762E102 43,013 2,482,000 SH SOLE 2,482,000 0
------------------------------------------------------------------------------------------------------------------------------------
REGIONS FINL CORP COMMON 7591EP100 3,329 100,500 SH SOLE 100,500 0
------------------------------------------------------------------------------------------------------------------------------------
RELIANCE STEEL & ALUMINUM
CO COMMON 759509102 31,023 374,000 SH SOLE 374,000 0
------------------------------------------------------------------------------------------------------------------------------------
REYNOLDS AMERICAN INC COMMON 761713106 4,243 36,800 SH SOLE 36,800 0
------------------------------------------------------------------------------------------------------------------------------------
RIVIERA HOLDINGS CORP COMMON 769627100 3,915 193,800 SH SOLE 193,800 0
------------------------------------------------------------------------------------------------------------------------------------
RYERSON INC COMMON 78375P107 24,419 904,400 SH SOLE 904,400 0
------------------------------------------------------------------------------------------------------------------------------------
RYLAND GROUP INC COMMON 783764103 2,754 63,200 SH SOLE 63,200 0
------------------------------------------------------------------------------------------------------------------------------------
SARA LEE CORP COMMON 803111103 3,052 190,528 SH SOLE 189,300 1,228
------------------------------------------------------------------------------------------------------------------------------------
Page 7 of 8 06/30/2006
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
----------------------------------------------------------------------------------------------------------------------------------
SEABOARD CORP COMMON 811543107 3,584 2,800 SH SOLE 2,800 0
------------------------------------------------------------------------------------------------------------------------------------
SEARS HOLDINGS CORP COMMON 812350106 4,814 31,000 SH SOLE 31,000 0
------------------------------------------------------------------------------------------------------------------------------------
SHAW GROUP INC COMMON 820280105 15,621 561,900 SH SOLE 561,900 0
------------------------------------------------------------------------------------------------------------------------------------
SIERRA PACIFIC RESOURCES COMMON 826428104 7,659 547,100 SH SOLE 547,100 0
------------------------------------------------------------------------------------------------------------------------------------
SIX FLAGS INC COMMON 83001P109 13,315 2,369,200 SH SOLE 2,369,200 0
------------------------------------------------------------------------------------------------------------------------------------
SKYWEST INC COMMON 830879102 7,606 306,700 SH SOLE 306,700 0
------------------------------------------------------------------------------------------------------------------------------------
SPARTAN STORES INC COMMON 846822104 4,752 324,800 SH SOLE 324,800 0
------------------------------------------------------------------------------------------------------------------------------------
STANDARD PACIFIC CP COMMON 85375C101 2,768 107,700 SH SOLE 107,700 0
------------------------------------------------------------------------------------------------------------------------------------
SUNOCO INC COMMON 86764P109 19,013 274,400 SH SOLE 274,400 0
------------------------------------------------------------------------------------------------------------------------------------
SYKES ENTERPRISES INC COMMON 871237103 7,917 489,900 SH SOLE 489,900 0
------------------------------------------------------------------------------------------------------------------------------------
SYNAGRO TECHNOLOGIES INC COMMON 871562203 3,750 954,200 SH SOLE 954,200 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 3,060 146,900 SH SOLE 146,900 0
------------------------------------------------------------------------------------------------------------------------------------
TESORO PETROLEUM CORP COMMON 881609101 25,610 344,400 SH SOLE 344,400 0
------------------------------------------------------------------------------------------------------------------------------------
THE CHARLES SCHWAB CORP COMMON 808513105 161 10,100 SH SOLE 0 10,100
------------------------------------------------------------------------------------------------------------------------------------
TRAMMELL CROW CO COMMON 89288R106 6,725 191,200 SH SOLE 191,200 0
------------------------------------------------------------------------------------------------------------------------------------
TRANSMONTAIGNE INC COMMON 893934109 4,595 409,900 SH SOLE 409,900 0
------------------------------------------------------------------------------------------------------------------------------------
TRINITY INDUSTRIES COMMON 896522109 32,645 808,050 SH SOLE 808,050 0
------------------------------------------------------------------------------------------------------------------------------------
TRW AUTOMOTIVE HOLDINGS
CORP COMMON 87264S106 7,854 287,900 SH SOLE 287,900 0
------------------------------------------------------------------------------------------------------------------------------------
U G I CORPORATION NEW COMMON 902681105 414 16,800 SH SOLE 0 16,800
------------------------------------------------------------------------------------------------------------------------------------
Page 8 of 8 06/30/2006
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
----------------------------------------------------------------------------------------------------------------------------------
U S BANCORP COMMON 902973304 3,486 112,875 SH SOLE 112,800 75
------------------------------------------------------------------------------------------------------------------------------------
USG CORP COMMON 903293405 33,453 458,700 SH SOLE 458,700 0
------------------------------------------------------------------------------------------------------------------------------------
VALERO ENERGY CORP COMMON 91913Y100 35,528 534,100 SH SOLE 534,100 0
------------------------------------------------------------------------------------------------------------------------------------
VERIZON COMMUNICATIONS COMMON 92343V104 11,623 347,060 SH SOLE 333,700 13,360
------------------------------------------------------------------------------------------------------------------------------------
VODAFONE GROUP PLC -ADR ADR 92857W100 3,287 154,325 SH SOLE 150,500 3,825
------------------------------------------------------------------------------------------------------------------------------------
WABTEC CORP COMMON 929740108 32,396 866,200 SH SOLE 866,200 0
------------------------------------------------------------------------------------------------------------------------------------
WACHOVIA CORP COMMON 929903102 3,483 64,400 SH SOLE 64,400 0
------------------------------------------------------------------------------------------------------------------------------------
WALTER INDUSTRIES INC COMMON 93317Q105 9,991 173,300 SH SOLE 173,300 0
------------------------------------------------------------------------------------------------------------------------------------
WASHINGTON MUTUAL INC COMMON 939322103 3,728 81,800 SH SOLE 81,800 0
------------------------------------------------------------------------------------------------------------------------------------
WATSCO INC COMMON 942622200 22,074 369,000 SH SOLE 369,000 0
------------------------------------------------------------------------------------------------------------------------------------
WELLCARE HEALTH PLANS INC COMMON 94946T106 16,020 326,600 SH SOLE 326,600 0
------------------------------------------------------------------------------------------------------------------------------------
WELLS FARGO & CO COMMON 949746101 4,661 69,490 SH SOLE 54,300 15,190
------------------------------------------------------------------------------------------------------------------------------------
WESTAMERICA BANCORP COMMON 957090103 461 9,424 SH SOLE 0 9,424
------------------------------------------------------------------------------------------------------------------------------------
WESTERN DIGITAL CORP COMMON 958102105 29,174 1,472,700 SH SOLE 1,472,700 0
------------------------------------------------------------------------------------------------------------------------------------
WESTERN GAS RESOURCES INC COMMON 958259103 9,486 158,500 SH SOLE 158,500 0
------------------------------------------------------------------------------------------------------------------------------------
WEYERHAEUSER CO COMMON 962166104 3,193 51,300 SH SOLE 51,300 0
------------------------------------------------------------------------------------------------------------------------------------
WORLD AIR HOLDINGS INC COMMON 98142V104 3,256 379,000 SH SOLE 379,000 0
------------------------------------------------------------------------------------------------------------------------------------
XL CAPITAL LTD ADR G98255105 3,132 51,100 SH SOLE 51,100 0
------------------------------------------------------------------------------------------------------------------------------------
TOTAL 2,171,424
------------------------------------------------------------------------------------------------------------------------------------