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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, 2007
------------------
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 17, 2007
--------------------------------------------------------------------------------
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: 174
----------------------
Form 13F Information Table Value Total: $1,890,335
----------------------
(thousands)
List of Other Included Managers: NONE
Page 1 of 9 06/30/2007
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 14,536 350,272 SH SOLE 337,825 12,447
------------------------------------------------------------------------------------------------------------------------------------
ACUITY BRANDS INC COMMON 00508Y102 8,970 148,800 SH SOLE 148,800 0
------------------------------------------------------------------------------------------------------------------------------------
AEP INDUSTRIES INC COMMON 001031103 3,610 80,200 SH SOLE 80,200 0
------------------------------------------------------------------------------------------------------------------------------------
AES CORP. (THE) COMMON 00130H105 3,365 153,800 SH SOLE 153,800 0
------------------------------------------------------------------------------------------------------------------------------------
AK STEEL HOLDING CORP COMMON 001547108 36,552 978,100 SH SOLE 978,100 0
------------------------------------------------------------------------------------------------------------------------------------
ALBEMARLE CORP COMMON 012653101 9,771 253,600 SH SOLE 253,600 0
------------------------------------------------------------------------------------------------------------------------------------
ALON USA ENERGY INC COMMON 020520102 3,956 89,900 SH SOLE 89,900 0
------------------------------------------------------------------------------------------------------------------------------------
ALTRIA GROUP INC COMMON 02209S103 10,238 145,972 SH SOLE 145,525 447
------------------------------------------------------------------------------------------------------------------------------------
AMERIGROUP CORP COMMON 03073T102 13,059 548,700 SH SOLE 548,700 0
------------------------------------------------------------------------------------------------------------------------------------
AMN HEALTHCARE SERVICES
INC COMMON 001744101 2,999 136,300 SH SOLE 136,300 0
------------------------------------------------------------------------------------------------------------------------------------
AMPCO-PITTSBURGH CORP COMMON 032037103 4,177 104,200 SH SOLE 104,200 0
------------------------------------------------------------------------------------------------------------------------------------
AMR CORP/DE COMMON 001765106 3,244 124,100 SH SOLE 123,100 1,000
------------------------------------------------------------------------------------------------------------------------------------
ANIXTER INTL INC COMMON 035290105 9,356 124,400 SH SOLE 124,400 0
------------------------------------------------------------------------------------------------------------------------------------
ANNTAYLOR STORES CORP COMMON 036115103 8,306 234,500 SH SOLE 234,500 0
------------------------------------------------------------------------------------------------------------------------------------
ARCH CHEMICALS INC COMMON 03937R102 3,068 87,300 SH SOLE 87,300 0
------------------------------------------------------------------------------------------------------------------------------------
ARCHER-DANIELS-MIDLAND CO COMMON 039483102 2,416 73,000 SH SOLE 73,000 0
------------------------------------------------------------------------------------------------------------------------------------
ARKANSAS BEST CORP COMMON 040790107 2,502 64,200 SH SOLE 64,200 0
------------------------------------------------------------------------------------------------------------------------------------
ASSURANT INC COMMON 04621X108 7,495 127,200 SH SOLE 127,200 0
------------------------------------------------------------------------------------------------------------------------------------
BANK OF AMERICA CORP COMMON 060505104 4,038 82,601 SH SOLE 71,200 11,401
------------------------------------------------------------------------------------------------------------------------------------
BARCLAYS PLC/ENGLAND
-ADR ADR 06738E204 3,883 69,600 SH SOLE 69,600 0
------------------------------------------------------------------------------------------------------------------------------------
BB&T CORP COMMON 054937107 3,507 86,200 SH SOLE 86,200 0
------------------------------------------------------------------------------------------------------------------------------------
Page 2 of 9 06/30/2007
FORM 13F INFORMATION TABLE
Name of Reporting Manager: Hennessy Advisors, Inc.
Column
Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: 7: Column 8:
----------------------------------------------------------------------------------------------------------------------------------
Title Market
of CUSIP Value Shares or Other
Name of Issuer Class Number (x$1,000) Principal Amount Investment Discretion Mgrs. Voting Authority
----------------------------------------------------------------------------------------------------------------------------------
SH/ Put/ Shared Shared
PRN Call Sole Defined Other Sole Shared None
------------------------------------------------------------------------------------------------------------------------------------
BELDEN CDT INC COMMON 077454106 40,632 734,100 SH SOLE 734,100 0
------------------------------------------------------------------------------------------------------------------------------------
BENCHMARK ELECTRONICS INC COMMON 08160H101 5,619 248,400 SH SOLE 248,400 0
------------------------------------------------------------------------------------------------------------------------------------
BIG LOTS INC COMMON 089302103 32,159 1,093,100 SH SOLE 1,093,100 0
------------------------------------------------------------------------------------------------------------------------------------
BLOCKBUSTER INC COMMON 093679108 13,330 3,092,800 SH SOLE 3,092,800 0
------------------------------------------------------------------------------------------------------------------------------------
BP PLC -ADS ADR 055622104 3,968 55,000 SH SOLE 54,700 300
------------------------------------------------------------------------------------------------------------------------------------
BRISTOL MYERS SQUIBB COMMON 110122108 4,712 149,300 SH SOLE 148,500 800
------------------------------------------------------------------------------------------------------------------------------------
BRITISH AIRWAYS PLC -ADR ADR 110419306 15,614 187,900 SH SOLE 187,900 0
------------------------------------------------------------------------------------------------------------------------------------
BROWN SHOE CO INC COMMON 115736100 14,145 581,600 SH SOLE 581,600 0
------------------------------------------------------------------------------------------------------------------------------------
CARMAX INC COMMON 143130102 25,791 1,011,400 SH SOLE 1,011,400 0
------------------------------------------------------------------------------------------------------------------------------------
CASUAL MALE RETAIL GRP
INC COMMON 148711104 2,957 292,800 SH SOLE 292,800 0
------------------------------------------------------------------------------------------------------------------------------------
CELADON GROUP INC COMMON 150838100 2,555 160,700 SH SOLE 160,700 0
------------------------------------------------------------------------------------------------------------------------------------
CENVEO INC COMMON 15670S105 23,603 1,017,800 SH SOLE 1,017,800 0
------------------------------------------------------------------------------------------------------------------------------------
CF INDUSTRIES HOLDINGS
INC COMMON 125269100 40,659 678,900 SH SOLE 678,900 0
------------------------------------------------------------------------------------------------------------------------------------
CHAPARRAL STEEL CO COMMON 159423102 35,317 491,400 SH SOLE 491,400 0
------------------------------------------------------------------------------------------------------------------------------------
CHARLOTTE RUSSE HOLDING
INC COMMON 161048103 18,159 675,800 SH SOLE 675,800 0
------------------------------------------------------------------------------------------------------------------------------------
CHEVRONTEXACO CORP COMMON 166764100 1,311 15,557 SH SOLE 0 15,557
------------------------------------------------------------------------------------------------------------------------------------
CHILDRENS PLACE RETAIL
STRS COMMON 168905107 5,391 104,400 SH SOLE 104,400 0
------------------------------------------------------------------------------------------------------------------------------------
CHUNGHWA TELECOM CO -ADR ADR 17133Q205 3,604 191,100 SH SOLE 191,100 0
------------------------------------------------------------------------------------------------------------------------------------
CINCINNATI FINANCIAL CORP COMMON 172062101 3,594 82,800 SH SOLE 82,800 0
------------------------------------------------------------------------------------------------------------------------------------
CITIGROUP INC COMMON 172967101 11,749 229,075 SH SOLE 229,075 0
------------------------------------------------------------------------------------------------------------------------------------
CLEAN HARBORS INC COMMON 184496107 22,847 462,300 SH SOLE 462,300 0
------------------------------------------------------------------------------------------------------------------------------------
Page 3 of 9 06/30/2007
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
------------------------------------------------------------------------------------------------------------------------------------
COCA-COLA COMPANY COMMON 191216100 2,328 44,500 SH SOLE 44,500 0
------------------------------------------------------------------------------------------------------------------------------------
COMMSCOPE INC COMMON 203372107 12,499 214,200 SH SOLE 214,200 0
------------------------------------------------------------------------------------------------------------------------------------
COMSYS IT PARTNERS INC COMMON 20581E104 21,083 924,300 SH SOLE 924,300 0
------------------------------------------------------------------------------------------------------------------------------------
CONTINENTAL AIRLS INC
-CL B CLASS B 210795308 19,723 582,300 SH SOLE 582,300 0
------------------------------------------------------------------------------------------------------------------------------------
CONVERGYS CORP COMMON 212485106 18,544 765,000 SH SOLE 765,000 0
------------------------------------------------------------------------------------------------------------------------------------
COPANO ENERGY LLC COMMON 217202100 26,818 628,500 SH SOLE 628,500 0
------------------------------------------------------------------------------------------------------------------------------------
CRAY INC COMMON 225223304 2,074 271,800 SH SOLE 271,800 0
------------------------------------------------------------------------------------------------------------------------------------
CROSSTEX ENERGY INC COMMON 22765Y104 2,856 99,400 SH SOLE 99,400 0
------------------------------------------------------------------------------------------------------------------------------------
CUMMINS INC COMMON 231021106 16,932 167,300 SH SOLE 167,300 0
------------------------------------------------------------------------------------------------------------------------------------
DAIMLERCHRYSLER AG ADR sedol -
2307389 5,839 63,500 SH SOLE 63,500 0
------------------------------------------------------------------------------------------------------------------------------------
DIAGEO PLC -ADR ADR 25243Q205 4,041 48,500 SH SOLE 48,500 0
------------------------------------------------------------------------------------------------------------------------------------
DICKS SPORTING GOODS INC COMMON 253393102 8,568 147,300 SH SOLE 147,300 0
------------------------------------------------------------------------------------------------------------------------------------
DILLARDS INC -CL A CLASS A 254067101 11,199 311,700 SH SOLE 311,700 0
------------------------------------------------------------------------------------------------------------------------------------
DOLLAR TREE STORES INC COMMON 256747106 9,368 215,100 SH SOLE 215,100 0
------------------------------------------------------------------------------------------------------------------------------------
DONNELLEY (R R) & SONS CO COMMON 257867101 4,603 105,800 SH SOLE 105,800 0
------------------------------------------------------------------------------------------------------------------------------------
DOW CHEMICAL COMMON 260543103 4,166 94,200 SH SOLE 94,200 0
------------------------------------------------------------------------------------------------------------------------------------
DSW INC COMMON 23334L102 3,214 92,300 SH SOLE 92,300 0
------------------------------------------------------------------------------------------------------------------------------------
DU PONT (E I) DE NEMOURS COMMON 263534109 12,842 252,600 SH SOLE 252,600 0
------------------------------------------------------------------------------------------------------------------------------------
EMC INSURANCE GROUP INC COMMON 268664109 2,427 97,800 SH SOLE 97,800 0
------------------------------------------------------------------------------------------------------------------------------------
EMCOR GROUP INC COMMON 29084Q100 9,331 128,000 SH SOLE 128,000 0
------------------------------------------------------------------------------------------------------------------------------------
ENERGIZER HOLDINGS INC COMMON 29266R108 9,691 97,300 SH SOLE 97,300 0
------------------------------------------------------------------------------------------------------------------------------------
Page 4 of 9 06/30/2007
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
------------------------------------------------------------------------------------------------------------------------------------
ENI SPA -ADR ADR 26874R108 4,109 56,800 SH SOLE 56,800 0
------------------------------------------------------------------------------------------------------------------------------------
ENTERPRISE PRODS PRTNER
-LP COMMON 293792107 4,154 130,600 SH SOLE 130,600 0
------------------------------------------------------------------------------------------------------------------------------------
EXXON MOBIL CORPORATION COMMON 30231G102 439 5,235 SH SOLE 0 5,235
------------------------------------------------------------------------------------------------------------------------------------
FIDELITY NATIONAL
FINANCIAL COMMON 31620R105 3,844 162,200 SH SOLE 162,200 0
------------------------------------------------------------------------------------------------------------------------------------
FMC TECHNOLOGIES INC COMMON 30249U101 3,589 45,300 SH SOLE 45,300 0
------------------------------------------------------------------------------------------------------------------------------------
FRONTIER OIL CORP COMMON 35914P105 3,909 89,300 SH SOLE 89,300 0
------------------------------------------------------------------------------------------------------------------------------------
FTD GROUP INC COMMON 30267U108 20,604 1,119,200 SH SOLE 1,119,200 0
------------------------------------------------------------------------------------------------------------------------------------
GENERAL CABLE CORP/DE COMMON 369300108 33,625 443,900 SH SOLE 443,900 0
------------------------------------------------------------------------------------------------------------------------------------
GENERAL ELECTRIC CO. COMMON 369604103 7,515 196,327 SH SOLE 195,100 1,227
------------------------------------------------------------------------------------------------------------------------------------
GENERAL MOTORS CORP COMMON 370442105 14,067 372,144 SH SOLE 371,775 369
------------------------------------------------------------------------------------------------------------------------------------
GENTEK INC COMMON 37245X203 3,804 108,000 SH SOLE 108,000 0
------------------------------------------------------------------------------------------------------------------------------------
GEO GROUP INC COMMON 36159R103 28,279 971,800 SH SOLE 971,800 0
------------------------------------------------------------------------------------------------------------------------------------
GERBER SCIENTIFIC INC COMMON 373730100 2,582 222,200 SH SOLE 222,200 0
------------------------------------------------------------------------------------------------------------------------------------
GLAXOSMITHKLINE PLC -ADR ADR 37733W105 3,724 71,100 SH SOLE 71,100 0
------------------------------------------------------------------------------------------------------------------------------------
GOLDMAN SACHS GROUP INC COMMON 38141G104 19,789 91,300 SH SOLE 91,300 0
------------------------------------------------------------------------------------------------------------------------------------
GRANITE CONSTRUCTION INC COMMON 387328107 7,990 124,500 SH SOLE 124,500 0
------------------------------------------------------------------------------------------------------------------------------------
GREIF INC -CL A CLASS A 397624107 21,191 355,500 SH SOLE 355,500 0
------------------------------------------------------------------------------------------------------------------------------------
GYMBOREE CORP COMMON 403777105 3,689 93,600 SH SOLE 93,600 0
------------------------------------------------------------------------------------------------------------------------------------
HARLEYSVILLE GROUP INC COMMON 412824104 3,133 93,900 SH SOLE 93,900 0
------------------------------------------------------------------------------------------------------------------------------------
HEINZ (H J) CO COMMON 423074103 3,954 83,300 SH SOLE 83,300 0
------------------------------------------------------------------------------------------------------------------------------------
HENNESSY ADVISORS INC COMMON 425885100 34,956 2,688,898 SH SOLE 0 2,688,898
------------------------------------------------------------------------------------------------------------------------------------
Page 5 of 9 06/30/2007
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
------------------------------------------------------------------------------------------------------------------------------------
HOLLY CORP COMMON 435758305 31,553 425,300 SH SOLE 425,300 0
------------------------------------------------------------------------------------------------------------------------------------
HORIZON LINES INC COMMON 44044K101 22,034 672,600 SH SOLE 672,600 0
------------------------------------------------------------------------------------------------------------------------------------
HSBC HOLDINGS PLC -ADR ADR 404280406 3,772 41,100 SH SOLE 41,100 0
------------------------------------------------------------------------------------------------------------------------------------
INFINEON TECHNOLOGIES
AG-ADR ADR 45662N103 22,382 1,354,000 SH SOLE 1,354,000 0
------------------------------------------------------------------------------------------------------------------------------------
INGLES MARKETS INC -CL A CLASS A 457030104 19,650 570,400 SH SOLE 570,400 0
------------------------------------------------------------------------------------------------------------------------------------
INNOSPEC INC ADR 45768S105 23,808 402,100 SH SOLE 402,100 0
------------------------------------------------------------------------------------------------------------------------------------
INTERSTATE HOTELS &
RESORTS COMMON 46088S106 1,720 329,460 SH SOLE 329,400 60
------------------------------------------------------------------------------------------------------------------------------------
INTL PAPER CO COMMON 460146103 4,378 112,400 SH SOLE 112,100 300
------------------------------------------------------------------------------------------------------------------------------------
J P MORGAN CHASE & CO COMMON 46625H100 10,874 224,440 SH SOLE 224,150 290
------------------------------------------------------------------------------------------------------------------------------------
JACK IN THE BOX INC COMMON 466367109 31,817 448,500 SH SOLE 448,500 0
------------------------------------------------------------------------------------------------------------------------------------
KIMBERLY-CLARK CORP COMMON 494368103 3,781 56,526 SH SOLE 55,400 1,126
------------------------------------------------------------------------------------------------------------------------------------
KRAFT FOODS INC COMMON 50075N104 6,213 176,269 SH SOLE 176,185 84
------------------------------------------------------------------------------------------------------------------------------------
LAN AIRLINES SA -ADR ADR 501723100 27,391 325,500 SH SOLE 325,500 0
------------------------------------------------------------------------------------------------------------------------------------
LEAR CORP COMMON 521865105 20,615 578,900 SH SOLE 578,900 0
------------------------------------------------------------------------------------------------------------------------------------
LILLY (ELI) & CO COMMON 532457108 3,839 68,700 SH SOLE 68,700 0
------------------------------------------------------------------------------------------------------------------------------------
LINCOLN ELECTRIC HLDGS
INC COMMON 533900106 3,823 51,500 SH SOLE 51,500 0
------------------------------------------------------------------------------------------------------------------------------------
LORAL SPACE &
COMMUNICATIONS COMMON 543881106 21,131 428,800 SH SOLE 428,800 0
------------------------------------------------------------------------------------------------------------------------------------
LYONDELL CHEMICAL CO COMMON 552078107 5,531 149,000 SH SOLE 149,000 0
------------------------------------------------------------------------------------------------------------------------------------
M & F WORLDWIDE CORP COMMON 552541104 42,325 635,700 SH SOLE 635,700 0
------------------------------------------------------------------------------------------------------------------------------------
MANITOWOC CO COMMON 563571108 26,831 333,800 SH SOLE 333,800 0
------------------------------------------------------------------------------------------------------------------------------------
MARATHON OIL CORP COMMON 565849106 4,173 69,600 SH SOLE 69,600 0
------------------------------------------------------------------------------------------------------------------------------------
Page 6 of 9 06/30/2007
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
------------------------------------------------------------------------------------------------------------------------------------
MARKWEST HYDROCARBON INC COMMON 570762104 23,759 413,700 SH SOLE 413,700 0
------------------------------------------------------------------------------------------------------------------------------------
MASCO CORP COMMON 574599106 3,681 129,300 SH SOLE 129,300 0
------------------------------------------------------------------------------------------------------------------------------------
MATRIX SERVICE COMPANY COMMON 576853105 6,598 265,500 SH SOLE 265,500 0
------------------------------------------------------------------------------------------------------------------------------------
MATTEL INC COMMON 577081102 4,271 168,900 SH SOLE 168,900 0
------------------------------------------------------------------------------------------------------------------------------------
MEADOWBROOK INS GROUP INC COMMON 58319P108 3,209 292,800 SH SOLE 292,800 0
------------------------------------------------------------------------------------------------------------------------------------
MEADWESTVACO CORP COMMON 583334107 4,443 125,800 SH SOLE 125,800 0
------------------------------------------------------------------------------------------------------------------------------------
MENS WEARHOUSE INC COMMON 587118100 9,162 179,400 SH SOLE 179,400 0
------------------------------------------------------------------------------------------------------------------------------------
MENTOR GRAPHICS CORP COMMON 587200106 3,158 239,800 SH SOLE 239,800 0
------------------------------------------------------------------------------------------------------------------------------------
MERCK & CO COMMON 589331107 13,142 263,900 SH SOLE 263,400 500
------------------------------------------------------------------------------------------------------------------------------------
NATCO GROUP INC COMMON 63227W203 3,932 85,400 SH SOLE 85,400 0
------------------------------------------------------------------------------------------------------------------------------------
NATIONAL BEVERAGE CORP COMMON 635017106 2,601 226,000 SH SOLE 226,000 0
------------------------------------------------------------------------------------------------------------------------------------
NATIONAL CITY CORP COMMON 635405103 3,485 104,600 SH SOLE 104,600 0
------------------------------------------------------------------------------------------------------------------------------------
NEWELL RUBBERMAID INC COMMON 651229106 3,773 128,200 SH SOLE 128,200 0
------------------------------------------------------------------------------------------------------------------------------------
ODYSSEY RE HOLDINGS CORP COMMON 67612W108 21,342 497,600 SH SOLE 497,600 0
------------------------------------------------------------------------------------------------------------------------------------
OGE ENERGY CORP COMMON 670837103 9,988 272,520 SH SOLE 271,900 620
------------------------------------------------------------------------------------------------------------------------------------
OLD DOMINION FREIGHT COMMON 679580100 2,638 87,500 SH SOLE 87,500 0
------------------------------------------------------------------------------------------------------------------------------------
P G & E CORP COMMON 69331C108 272 6,005 SH SOLE 0 6,005
------------------------------------------------------------------------------------------------------------------------------------
P.A.M. TRANSPORTATION
SVCS COMMON 693149106 1,817 99,400 SH SOLE 99,400 0
------------------------------------------------------------------------------------------------------------------------------------
PACTIV CORP COMMON 695257105 7,701 241,500 SH SOLE 241,500 0
------------------------------------------------------------------------------------------------------------------------------------
PETROCHINA CO LTD -ADR ADR 71646E100 4,282 28,800 SH SOLE 28,800 0
------------------------------------------------------------------------------------------------------------------------------------
PFIZER INC COMMON 717081103 11,587 453,135 SH SOLE 450,900 2,235
------------------------------------------------------------------------------------------------------------------------------------
Page 7 of 9 06/30/2007
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
------------------------------------------------------------------------------------------------------------------------------------
PHILLIPS-VAN HEUSEN CORP COMMON 718592108 10,006 165,200 SH SOLE 165,200 0
------------------------------------------------------------------------------------------------------------------------------------
PNC FINANCIAL SVCS GROUP
INC COMMON 693475105 3,765 52,600 SH SOLE 52,600 0
------------------------------------------------------------------------------------------------------------------------------------
PPG INDUSTRIES INC COMMON 693506107 4,308 56,600 SH SOLE 56,600 0
------------------------------------------------------------------------------------------------------------------------------------
PRICELINE.COM INC COMMON 741503403 12,586 183,100 SH SOLE 183,100 0
------------------------------------------------------------------------------------------------------------------------------------
PSS WORLD MEDICAL INC COMMON 69366A100 6,454 354,200 SH SOLE 354,200 0
------------------------------------------------------------------------------------------------------------------------------------
QUANTA SERVICES INC COMMON 74762E102 28,578 931,800 SH SOLE 931,800 0
------------------------------------------------------------------------------------------------------------------------------------
QWEST COMMUNICATION INTL
INC COMMON 749121109 3,823 394,122 SH SOLE 393,400 722
------------------------------------------------------------------------------------------------------------------------------------
REGIONS FINL CORP COMMON 7591EP100 3,376 102,000 SH SOLE 102,000 0
------------------------------------------------------------------------------------------------------------------------------------
REYNOLDS AMERICAN INC COMMON 761713106 3,736 57,300 SH SOLE 57,300 0
------------------------------------------------------------------------------------------------------------------------------------
RITE AID CORP COMMON 767754104 20,998 3,291,300 SH SOLE 3,291,300 0
------------------------------------------------------------------------------------------------------------------------------------
ROBBINS & MYERS INC COMMON 770196103 24,971 470,000 SH SOLE 470,000 0
------------------------------------------------------------------------------------------------------------------------------------
ROCK-TENN CO COMMON 772739207 18,781 592,100 SH SOLE 592,100 0
------------------------------------------------------------------------------------------------------------------------------------
ROYAL DUTCH SHELL PLC
-ADR ADR 780259206 4,263 52,500 SH SOLE 52,500 0
------------------------------------------------------------------------------------------------------------------------------------
RYDER SYSTEM INC COMMON 783549108 3,007 55,900 SH SOLE 55,900 0
------------------------------------------------------------------------------------------------------------------------------------
SAFETY INSURANCE GROUP
INC COMMON 78648T100 2,484 60,000 SH SOLE 60,000 0
------------------------------------------------------------------------------------------------------------------------------------
SAIA INC COMMON 78709Y105 3,037 111,400 SH SOLE 111,400 0
------------------------------------------------------------------------------------------------------------------------------------
SASOL LTD -ADR ADR 803866300 3,840 102,300 SH SOLE 102,300 0
------------------------------------------------------------------------------------------------------------------------------------
SAUER-DANFOSS INC COMMON 804137107 17,329 582,300 SH SOLE 582,300 0
------------------------------------------------------------------------------------------------------------------------------------
SHERWIN-WILLIAMS CO COMMON 824348106 19,416 292,100 SH SOLE 292,100 0
------------------------------------------------------------------------------------------------------------------------------------
SKECHERS U S A INC COMMON 830566105 16,486 564,600 SH SOLE 564,600 0
------------------------------------------------------------------------------------------------------------------------------------
SOUTHERN COPPER CORP COMMON 84265V105 6,344 67,300 SH SOLE 67,300 0
------------------------------------------------------------------------------------------------------------------------------------
Page 8 of 9 06/30/2007
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
------------------------------------------------------------------------------------------------------------------------------------
SPARTAN STORES INC COMMON 846822104 28,487 865,600 SH SOLE 865,600 0
------------------------------------------------------------------------------------------------------------------------------------
STANDARD PARKING CORP COMMON 853790103 3,696 105,200 SH SOLE 105,200 0
------------------------------------------------------------------------------------------------------------------------------------
STATOIL ASA -ADR ADR 85771P102 4,134 133,300 SH SOLE 133,300 0
------------------------------------------------------------------------------------------------------------------------------------
STEEL DYNAMICS INC COMMON 858119100 22,024 525,500 SH SOLE 525,500 0
------------------------------------------------------------------------------------------------------------------------------------
SUN HEALTHCARE GROUP INC COMMON 866933401 23,606 1,629,100 SH SOLE 1,629,100 0
------------------------------------------------------------------------------------------------------------------------------------
SYSTEMAX INC COMMON 871851101 20,354 978,100 SH SOLE 978,100 0
------------------------------------------------------------------------------------------------------------------------------------
THE CHARLES SCHWAB CORP COMMON 808513105 207 10,100 SH SOLE 0 10,100
------------------------------------------------------------------------------------------------------------------------------------
U G I CORPORATION NEW COMMON 902681105 475 17,400 SH SOLE 0 17,400
------------------------------------------------------------------------------------------------------------------------------------
U S BANCORP COMMON 902973304 3,643 110,575 SH SOLE 110,500 75
------------------------------------------------------------------------------------------------------------------------------------
UNITED AUTO GROUP INC COMMON 909440109 6,142 288,500 SH SOLE 288,500 0
------------------------------------------------------------------------------------------------------------------------------------
UNIVERSAL TRUCKLOAD
SERVICES COMMON 91388P105 1,796 90,400 SH SOLE 90,400 0
------------------------------------------------------------------------------------------------------------------------------------
US AIRWAYS GROUP INC COMMON 90341W108 11,315 373,800 SH SOLE 373,800 0
------------------------------------------------------------------------------------------------------------------------------------
VERIZON COMMUNICATIONS COMMON 92343V104 13,769 334,438 SH SOLE 321,075 13,363
------------------------------------------------------------------------------------------------------------------------------------
VF CORP COMMON 918204108 8,389 91,600 SH SOLE 91,600 0
------------------------------------------------------------------------------------------------------------------------------------
VOLT INFO SCIENCES INC COMMON 928703107 10,301 558,600 SH SOLE 558,600 0
------------------------------------------------------------------------------------------------------------------------------------
VOLVO AB SWE -ADR ADR 928856400 27,343 1,374,700 SH SOLE 1,374,700 0
------------------------------------------------------------------------------------------------------------------------------------
WACHOVIA CORP COMMON 929903102 3,495 68,200 SH SOLE 68,200 0
------------------------------------------------------------------------------------------------------------------------------------
WASHINGTON MUTUAL INC COMMON 939322103 3,590 84,200 SH SOLE 84,100 100
------------------------------------------------------------------------------------------------------------------------------------
WATSON WYATT WORLDWIDE
INC COMMON 942712100 8,440 167,200 SH SOLE 167,200 0
------------------------------------------------------------------------------------------------------------------------------------
WELLCARE HEALTH PLANS INC COMMON 94946T106 34,104 376,800 SH SOLE 376,800 0
------------------------------------------------------------------------------------------------------------------------------------
WELLS FARGO & CO COMMON 949746101 4,090 116,280 SH SOLE 105,800 10,480
------------------------------------------------------------------------------------------------------------------------------------
Page 9 of 9 06/30/2007
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
------------------------------------------------------------------------------------------------------------------------------------
WEST PHARMACEUTICAL SVSC
INC COMMON 955306105 8,430 178,800 SH SOLE 178,800 0
------------------------------------------------------------------------------------------------------------------------------------
WESTAMERICA BANCORP COMMON 957090103 415 9,383 SH SOLE 0 9,383
------------------------------------------------------------------------------------------------------------------------------------
WEYERHAEUSER CO COMMON 962166104 4,381 55,500 SH SOLE 55,500 0
------------------------------------------------------------------------------------------------------------------------------------
WILD OATS MARKETS INC COMMON 96808B107 2,861 170,700 SH SOLE 170,700 0
------------------------------------------------------------------------------------------------------------------------------------
WIMM-BILL-DANN -ADR ADR 97263M109 8,102 77,900 SH SOLE 77,900 0
------------------------------------------------------------------------------------------------------------------------------------
WORLD FUEL SERVICES CORP COMMON 981475106 2,818 67,000 SH SOLE 67,000 0
------------------------------------------------------------------------------------------------------------------------------------
TOTAL 1,890,335
------------------------------------------------------------------------------------------------------------------------------------