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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, 2008
------------------
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 25, 2008
--------------------------------------------------------------------------------
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: 173
----------------------
Form 13F Information Table Value Total: $1,048,224
----------------------
(thousands)
List of Other Included Managers: NONE
Page 1 of 9 06/30/2008
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
------------------------------------------------------------------------------------------------------------------------------------
1-800-FLOWERS.COM COMMON 68243Q106 1,302 201,800 SH SOLE 201,800
------------------------------------------------------------------------------------------------------------------------------------
A T & T INC COMMON 00206R102 9,030 272,660 SH SOLE 272,660
------------------------------------------------------------------------------------------------------------------------------------
AEGON NV ADR 007924103 2,626 200,300 SH SOLE 200,300
------------------------------------------------------------------------------------------------------------------------------------
AETNA INC COMMON 00817Y108 7,810 192,700 SH SOLE 192,700
------------------------------------------------------------------------------------------------------------------------------------
AGCO CORP COMMON 001084102 9,240 176,300 SH SOLE 176,300
------------------------------------------------------------------------------------------------------------------------------------
AIRGAS INC COMMON 009363102 8,432 144,400 SH SOLE 144,400
------------------------------------------------------------------------------------------------------------------------------------
AK STEEL HOLDING CORP COMMON 001547108 14,538 210,700 SH SOLE 210,700
------------------------------------------------------------------------------------------------------------------------------------
ALLIANCE IMAGING INC COMMON 018606202 10,144 1,170,000 SH SOLE 1,170,000
------------------------------------------------------------------------------------------------------------------------------------
ALLIANT TECHSYSTEMS INC COMMON 018804104 7,179 70,600 SH SOLE 70,600
------------------------------------------------------------------------------------------------------------------------------------
ALLIED IRISH BANKS -ADR ADR 019228402 2,374 77,100 SH SOLE 77,100
------------------------------------------------------------------------------------------------------------------------------------
ALPHA NATURAL RESOURCES INC COMMON 02076X102 72,336 693,600 SH SOLE 693,600
------------------------------------------------------------------------------------------------------------------------------------
ALTRIA GROUP INC COMMON 02209S103 2,317 113,320 SH SOLE 113,320
------------------------------------------------------------------------------------------------------------------------------------
AMKOR TECHNOLOGY INC COMMON 031652100 1,411 135,500 SH SOLE 135,500
------------------------------------------------------------------------------------------------------------------------------------
ANIXTER INTL INC COMMON 035290105 5,509 92,600 SH SOLE 92,600
------------------------------------------------------------------------------------------------------------------------------------
AON CORP COMMON 037389103 11,517 250,700 SH SOLE 250,700
------------------------------------------------------------------------------------------------------------------------------------
ARCELOR MITTAL -ADR ADR 03938L104 3,012 30,400 SH SOLE 30,400
------------------------------------------------------------------------------------------------------------------------------------
ARCHER-DANIELS-MIDLAND CO COMMON 039483102 8,637 255,900 SH SOLE 255,900
------------------------------------------------------------------------------------------------------------------------------------
ARROW ELECTRONICS INC COMMON 042735100 5,680 184,900 SH SOLE 184,900
------------------------------------------------------------------------------------------------------------------------------------
ASSURANT INC COMMON 04621X108 11,292 171,200 SH SOLE 171,200
------------------------------------------------------------------------------------------------------------------------------------
ASTEC INDUSTRIES INC COMMON 046224101 1,343 41,800 SH SOLE 41,800
------------------------------------------------------------------------------------------------------------------------------------
AVNET INC COMMON 053807103 1,244 45,600 SH SOLE 45,600
------------------------------------------------------------------------------------------------------------------------------------
Page 2 of 9 06/30/2008
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
------------------------------------------------------------------------------------------------------------------------------------
AZZ INC COMMON 002474104 13,119 328,800 SH SOLE 328,800
------------------------------------------------------------------------------------------------------------------------------------
BANK of AMERICA CORP COMMON 060505104 3,761 155,630 SH SOLE 155,630
------------------------------------------------------------------------------------------------------------------------------------
BARCLAYS PLC RIGHTS ADR 06738E204 0 17,443 SH SOLE 17,443
------------------------------------------------------------------------------------------------------------------------------------
BARCLAYS PLC/ENGLAND -ADR ADR 06738E204 1,884 81,400 SH SOLE 81,400
------------------------------------------------------------------------------------------------------------------------------------
BARNES GROUP INC COMMON 067806109 6,569 284,500 SH SOLE 284,500
------------------------------------------------------------------------------------------------------------------------------------
BASF AG -ADR ADR 055262505 10,620 76,900 SH SOLE 76,900
------------------------------------------------------------------------------------------------------------------------------------
BB&T CORP COMMON 054937107 2,416 106,100 SH SOLE 106,100
------------------------------------------------------------------------------------------------------------------------------------
BP PLC -ADS ADR 055622104 3,249 46,700 SH SOLE 46,700
------------------------------------------------------------------------------------------------------------------------------------
BRISTOL MYERS SQUIBB COMMON 110122108 2,535 123,500 SH SOLE 123,500
------------------------------------------------------------------------------------------------------------------------------------
BRISTOW GROUP INC COMMON 110394103 9,997 202,000 SH SOLE 202,000
------------------------------------------------------------------------------------------------------------------------------------
BRUSH ENGINEERED MATERIALS COMMON 117421107 3,429 140,400 SH SOLE 140,400
------------------------------------------------------------------------------------------------------------------------------------
BT GROUP PLC -ADR ADR 05577E101 2,412 60,700 SH SOLE 60,700
------------------------------------------------------------------------------------------------------------------------------------
BUCKEYE TECHNOLOGIES INC COMMON 118255108 1,096 129,600 SH SOLE 129,600
------------------------------------------------------------------------------------------------------------------------------------
BUNGE LTD COMMON Sedol
2788713 9,660 89,700 SH SOLE 89,700
------------------------------------------------------------------------------------------------------------------------------------
CAL-MAINE FOODS INC COMMON 128030202 3,259 98,800 SH SOLE 98,800
------------------------------------------------------------------------------------------------------------------------------------
CARNIVAL CORP/PLC (USA) COMMON 143658300 2,538 77,000 SH SOLE 77,000
------------------------------------------------------------------------------------------------------------------------------------
CBIZ INC COMMON 124805102 9,879 1,242,600 SH SOLE 1,242,600
------------------------------------------------------------------------------------------------------------------------------------
CBS CORP COMMON 124857202 2,584 132,600 SH SOLE 132,600
------------------------------------------------------------------------------------------------------------------------------------
CELANESE CORP COMMON 150870103 2,443 53,500 SH SOLE 53,500
------------------------------------------------------------------------------------------------------------------------------------
CHART INDUSTRIES INC COMMON 16115Q308 3,346 68,800 SH SOLE 68,800
------------------------------------------------------------------------------------------------------------------------------------
CHICAGO BRIDGE & IRON CO ADR 167250109 8,490 213,200 SH SOLE 213,200
------------------------------------------------------------------------------------------------------------------------------------
Page 3 of 9 06/30/2008
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
------------------------------------------------------------------------------------------------------------------------------------
CHUNGHWA TELECOM CO -ADR ADR 17133Q304 4,283 168,809 SH SOLE 168,809
------------------------------------------------------------------------------------------------------------------------------------
CIGNA CORP COMMON 125509109 7,170 202,600 SH SOLE 202,600
------------------------------------------------------------------------------------------------------------------------------------
CIT GROUP INC COMMON 125581108 954 140,100 SH SOLE 140,100
------------------------------------------------------------------------------------------------------------------------------------
CITIGROUP INC COMMON 172967101 5,873 344,435 SH SOLE 344,435
------------------------------------------------------------------------------------------------------------------------------------
CNH GLOBAL NV ADR sedol
2534778 1,189 35,000 SH SOLE 35,000
------------------------------------------------------------------------------------------------------------------------------------
COCA-COLA FEMSA DE C V
-ADR ADR 191241108 13,528 239,900 SH SOLE 239,900
------------------------------------------------------------------------------------------------------------------------------------
CONSTELLATION ENERGY GRP
INC COMMON 210371100 8,850 107,800 SH SOLE 107,800
------------------------------------------------------------------------------------------------------------------------------------
CORN PRODUCTS INTL INC COMMON 219023108 8,039 163,700 SH SOLE 163,700
------------------------------------------------------------------------------------------------------------------------------------
COSTCO WHOLESALE CORP COMMON 22160K105 11,454 163,300 SH SOLE 163,300
------------------------------------------------------------------------------------------------------------------------------------
COUNTRYWIDE FINANCIAL CORP COMMON 222372104 1,503 353,700 SH SOLE 353,700
------------------------------------------------------------------------------------------------------------------------------------
CPI CORP COMMON 125902106 588 31,400 SH SOLE 31,400
------------------------------------------------------------------------------------------------------------------------------------
CUMMINS INC COMMON 231021106 2,254 34,400 SH SOLE 34,400
------------------------------------------------------------------------------------------------------------------------------------
DEUTSCHE TELEKOM AG -ADR ADR 251566105 2,629 160,600 SH SOLE 160,600
------------------------------------------------------------------------------------------------------------------------------------
DIAGEO PLC -ADR ADR 25243Q205 2,992 40,500 SH SOLE 40,500
------------------------------------------------------------------------------------------------------------------------------------
DICKS SPORTING GOODS INC COMMON 253393102 4,105 231,400 SH SOLE 231,400
------------------------------------------------------------------------------------------------------------------------------------
DOW CHEMICAL COMMON 260543103 2,807 80,400 SH SOLE 80,400
------------------------------------------------------------------------------------------------------------------------------------
DU PONT (E I) DE NEMOURS COMMON 263534109 9,777 228,595 SH SOLE 228,595
------------------------------------------------------------------------------------------------------------------------------------
DYNCORP INTL INC COMMON 26817C101 8,276 546,300 SH SOLE 546,300
------------------------------------------------------------------------------------------------------------------------------------
EMBARQ CORP COMMON 29078E105 3,318 70,200 SH SOLE 70,200
------------------------------------------------------------------------------------------------------------------------------------
EMERGENCY MEDICAL SVCS CORP COMMON 29100P102 1,055 46,600 SH SOLE 46,600
------------------------------------------------------------------------------------------------------------------------------------
EMS TECHNOLOGIES INC COMMON 26873N108 9,013 412,700 SH SOLE 412,700
------------------------------------------------------------------------------------------------------------------------------------
Page 4 of 9 06/30/2008
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
------------------------------------------------------------------------------------------------------------------------------------
ENBRIDGE INC ADR 29250N105 12,388 286,900 SH SOLE 286,900
------------------------------------------------------------------------------------------------------------------------------------
ENERSYS INC COMMON 29275Y102 14,086 411,500 SH SOLE 411,500
------------------------------------------------------------------------------------------------------------------------------------
ENI SPA -ADR ADR 26874R108 3,645 49,100 SH SOLE 49,100
------------------------------------------------------------------------------------------------------------------------------------
ENTERPRISE PRODS PRTNER
-LP COMMON 293792107 3,323 112,500 SH SOLE 112,500
------------------------------------------------------------------------------------------------------------------------------------
ESTERLINE TECHNOLOGIES CORP COMMON 297425100 7,133 144,800 SH SOLE 144,800
------------------------------------------------------------------------------------------------------------------------------------
EXPRESS SCRIPTS INC COMMON 302182100 9,747 155,400 SH SOLE 155,400
------------------------------------------------------------------------------------------------------------------------------------
FAIRFAX FINANCIAL HOLDINGS ADR 303901102 10,334 40,700 SH SOLE 40,700
------------------------------------------------------------------------------------------------------------------------------------
FIAT SPA -ADR ADR 315621888 1,027 62,600 SH SOLE 62,600
------------------------------------------------------------------------------------------------------------------------------------
FLOWSERVE CORP COMMON 34354P105 30,771 225,100 SH SOLE 225,100
------------------------------------------------------------------------------------------------------------------------------------
FRANCE TELECOM -ADR ADR 35177Q105 2,916 98,400 SH SOLE 98,400
------------------------------------------------------------------------------------------------------------------------------------
FRESH DEL MONTE PRODUCE INC ADR Sedol
2118707 7,743 328,500 SH SOLE 328,500
------------------------------------------------------------------------------------------------------------------------------------
GAMESTOP CORP COMMON 36467W109 1,923 47,600 SH SOLE 47,600
------------------------------------------------------------------------------------------------------------------------------------
GANNETT CO COMMON 364730101 2,128 98,200 SH SOLE 98,200
------------------------------------------------------------------------------------------------------------------------------------
GENERAL CABLE CORP/DE COMMON 369300108 1,460 24,000 SH SOLE 24,000
------------------------------------------------------------------------------------------------------------------------------------
GENERAL ELECTRIC CO. COMMON 369604103 4,560 173,270 SH SOLE 173,270
------------------------------------------------------------------------------------------------------------------------------------
GENERAL MOTORS CORP COMMON 370442105 4,578 397,025 SH SOLE 397,025
------------------------------------------------------------------------------------------------------------------------------------
GENESIS ENERGY -LP COMMON 371927104 1,035 56,100 SH SOLE 56,100
------------------------------------------------------------------------------------------------------------------------------------
GLAXOSMITHKLINE PLC -ADR ADR 37733W105 2,892 65,400 SH SOLE 65,400
------------------------------------------------------------------------------------------------------------------------------------
GOODRICH CORP COMMON 382388106 5,339 112,500 SH SOLE 112,500
------------------------------------------------------------------------------------------------------------------------------------
GRACE (W R) & CO COMMON 38388F108 6,025 256,500 SH SOLE 256,500
------------------------------------------------------------------------------------------------------------------------------------
HARDINGE INC COMMON 412324303 690 52,400 SH SOLE 52,400
------------------------------------------------------------------------------------------------------------------------------------
Page 5 of 9 06/30/2008
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
------------------------------------------------------------------------------------------------------------------------------------
HARSCO CORP COMMON 415864107 7,052 129,600 SH SOLE 129,600
------------------------------------------------------------------------------------------------------------------------------------
HEWITT ASSOCIATES INC COMMON 42822Q100 8,459 220,700 SH SOLE 220,700
------------------------------------------------------------------------------------------------------------------------------------
HOME DEPOT INC COMMON 437076102 2,866 119,710 SH SOLE 119,710
------------------------------------------------------------------------------------------------------------------------------------
HORIZON LINES INC COMMON 44044K101 559 56,200 SH SOLE 56,200
------------------------------------------------------------------------------------------------------------------------------------
HSBC HOLDINGS PLC -ADR ADR 404280406 3,152 41,100 SH SOLE 41,100
------------------------------------------------------------------------------------------------------------------------------------
HUDSON HIGHLAND GROUP INC COMMON 443792106 1,142 109,100 SH SOLE 109,100
------------------------------------------------------------------------------------------------------------------------------------
HUMANA INC COMMON 444859102 5,333 134,100 SH SOLE 134,100
------------------------------------------------------------------------------------------------------------------------------------
ICO INC COMMON 449293109 1,072 178,000 SH SOLE 178,000
------------------------------------------------------------------------------------------------------------------------------------
ING GROEP NV -ADR ADR 456837103 2,836 89,900 SH SOLE 89,900
------------------------------------------------------------------------------------------------------------------------------------
INNOSPEC INC ADR 45768S105 1,238 65,800 SH SOLE 65,800
------------------------------------------------------------------------------------------------------------------------------------
INTEGRATED ELECTRICAL SVCS COMMON 45811E301 1,051 61,100 SH SOLE 61,100
------------------------------------------------------------------------------------------------------------------------------------
J.P. MORGAN CHASE & COMPANY COMMON 46625H100 5,577 159,475 SH SOLE 159,475
------------------------------------------------------------------------------------------------------------------------------------
JACOBS ENGINEERING GROUP
INC COMMON 469814107 10,168 126,000 SH SOLE 126,000
------------------------------------------------------------------------------------------------------------------------------------
KAMAN CORP COMMON 483548103 1,334 58,600 SH SOLE 58,600
------------------------------------------------------------------------------------------------------------------------------------
KEYCORP COMMON 493267108 1,679 152,900 SH SOLE 152,900
------------------------------------------------------------------------------------------------------------------------------------
KOOKMIN BANK -ADR ADR 50049M109 2,826 48,300 SH SOLE 48,300
------------------------------------------------------------------------------------------------------------------------------------
L-3 COMMUNICATIONS HLDGS
INC COMMON 502424104 9,705 106,800 SH SOLE 106,800
------------------------------------------------------------------------------------------------------------------------------------
LG PHILIPS LCD CO LTD -ADR ADR 50186V102 8,598 460,300 SH SOLE 460,300
------------------------------------------------------------------------------------------------------------------------------------
LLOYDS TSB GROUP PLC -ADR ADR 539439109 2,240 90,800 SH SOLE 90,800
------------------------------------------------------------------------------------------------------------------------------------
LSB INDUSTRIES INC COMMON 502160104 10,987 554,900 SH SOLE 554,900
------------------------------------------------------------------------------------------------------------------------------------
LUBRIZOL CORP COMMON 549271104 5,240 113,100 SH SOLE 113,100
------------------------------------------------------------------------------------------------------------------------------------
Page 6 of 9 06/30/2008
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
------------------------------------------------------------------------------------------------------------------------------------
MARSHALL & ILSLEY CORP COMMON 571837103 1,879 122,600 SH SOLE 122,600
------------------------------------------------------------------------------------------------------------------------------------
MASCO CORP COMMON 574599106 2,482 157,800 SH SOLE 157,800
------------------------------------------------------------------------------------------------------------------------------------
MASSEY ENERGY CO COMMON 576206106 32,325 344,800 SH SOLE 344,800
------------------------------------------------------------------------------------------------------------------------------------
MATRIX SERVICE COMPANY COMMON 576853105 1,854 80,400 SH SOLE 80,400
------------------------------------------------------------------------------------------------------------------------------------
MATTEL INC COMMON 577081102 3,003 175,400 SH SOLE 175,400
------------------------------------------------------------------------------------------------------------------------------------
MCKESSON CORP COMMON 58155Q103 9,466 169,300 SH SOLE 169,300
------------------------------------------------------------------------------------------------------------------------------------
MEDCO HEALTH SOLUTIONS INC COMMON 58405U102 10,242 217,000 SH SOLE 217,000
------------------------------------------------------------------------------------------------------------------------------------
MERCK & CO., INC. COMMON 589331107 4,863 131,340 SH SOLE 131,340
------------------------------------------------------------------------------------------------------------------------------------
METHODE ELECTRONICS -CL A CLASS A 591520200 1,167 111,700 SH SOLE 111,700
------------------------------------------------------------------------------------------------------------------------------------
MFRI INC COMMON 552721102 1,110 70,000 SH SOLE 70,000
------------------------------------------------------------------------------------------------------------------------------------
MIVA INC COMMON 55311R108 301 284,300 SH SOLE 284,300
------------------------------------------------------------------------------------------------------------------------------------
MOLINA HEALTHCARE INC COMMON 60855R100 7,110 292,100 SH SOLE 292,100
------------------------------------------------------------------------------------------------------------------------------------
MWI VETERINARY SUPPLY COMMON 55402X105 9,211 278,200 SH SOLE 278,200
------------------------------------------------------------------------------------------------------------------------------------
NALCO HOLDING CO COMMON 62985Q101 5,429 256,700 SH SOLE 256,700
------------------------------------------------------------------------------------------------------------------------------------
NATIONAL CITY CORP COMMON 635405103 995 208,600 SH SOLE 208,600
------------------------------------------------------------------------------------------------------------------------------------
NEXSTAR BROADCASTING GROUP COMMON 65336K103 646 158,000 SH SOLE 158,000
------------------------------------------------------------------------------------------------------------------------------------
NORTHWEST NATURAL GAS CO COMMON 667655104 10,547 228,000 SH SOLE 228,000
------------------------------------------------------------------------------------------------------------------------------------
OIL STATES INTL INC COMMON 678026105 10,607 167,200 SH SOLE 167,200
------------------------------------------------------------------------------------------------------------------------------------
OSHKOSH TRUCK CORP COMMON 688239201 2,623 126,800 SH SOLE 126,800
------------------------------------------------------------------------------------------------------------------------------------
OWENS-ILLINOIS INC COMMON 690768403 20,145 483,200 SH SOLE 483,200
------------------------------------------------------------------------------------------------------------------------------------
PAREXEL INTERNATIONAL CORP COMMON 699462107 9,124 346,800 SH SOLE 346,800
------------------------------------------------------------------------------------------------------------------------------------
Page 7 of 9 06/30/2008
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
------------------------------------------------------------------------------------------------------------------------------------
PENFORD CORP COMMON 707051108 820 55,100 SH SOLE 55,100
------------------------------------------------------------------------------------------------------------------------------------
PEPSI BOTTLING GROUP INC COMMON 713409100 7,653 274,100 SH SOLE 274,100
------------------------------------------------------------------------------------------------------------------------------------
PEPSIAMERICAS INC COMMON 71343P200 6,785 343,000 SH SOLE 343,000
------------------------------------------------------------------------------------------------------------------------------------
PERINI CORP COMMON 713839108 919 27,800 SH SOLE 27,800
------------------------------------------------------------------------------------------------------------------------------------
PFIZER INC COMMON 717081103 8,162 470,290 SH SOLE 470,290
------------------------------------------------------------------------------------------------------------------------------------
PHILIP MORRIS INTERNATIONAL COMMON 718172109 5,624 113,320 SH SOLE 113,320
------------------------------------------------------------------------------------------------------------------------------------
PINNACLE AIRLINES CORP COMMON 723443107 332 105,000 SH SOLE 105,000
------------------------------------------------------------------------------------------------------------------------------------
PITNEY BOWES INC COMMON 724479100 3,182 93,300 SH SOLE 93,300
------------------------------------------------------------------------------------------------------------------------------------
PNC FINANCIAL SVCS GROUP
INC COMMON 693475105 3,055 53,500 SH SOLE 53,500
------------------------------------------------------------------------------------------------------------------------------------
PRICESMART INC COMMON 741511109 8,929 451,400 SH SOLE 451,400
------------------------------------------------------------------------------------------------------------------------------------
QWEST COMMUNICATION INTL
INC COMMON 749121109 1,943 494,500 SH SOLE 494,500
------------------------------------------------------------------------------------------------------------------------------------
REGIONS FINL CORP COMMON 7591EP100 1,575 144,400 SH SOLE 144,400
------------------------------------------------------------------------------------------------------------------------------------
REHABCARE GROUP INC COMMON 759148109 7,531 469,800 SH SOLE 469,800
------------------------------------------------------------------------------------------------------------------------------------
RELIANT ENERGY INC COMMON 75952B105 1,427 67,100 SH SOLE 67,100
------------------------------------------------------------------------------------------------------------------------------------
REYNOLDS AMERICAN INC COMMON 761713106 2,418 51,800 SH SOLE 51,800
------------------------------------------------------------------------------------------------------------------------------------
ROBBINS & MYERS INC COMMON 770196103 3,416 68,500 SH SOLE 68,500
------------------------------------------------------------------------------------------------------------------------------------
RWE AG VORMA -ADR ADR 74975E303 9,887 78,100 SH SOLE 78,100
------------------------------------------------------------------------------------------------------------------------------------
SASOL LTD -ADR ADR 803866300 4,344 73,700 SH SOLE 73,700
------------------------------------------------------------------------------------------------------------------------------------
SCHNITZER STEEL INDS -CL A CLASS A 806882106 12,663 110,500 SH SOLE 110,500
------------------------------------------------------------------------------------------------------------------------------------
SIEMENS AG -ADR ADR 826197501 8,722 79,200 SH SOLE 79,200
------------------------------------------------------------------------------------------------------------------------------------
SONY CORP -ADR ADR 835699307 8,840 202,100 SH SOLE 202,100
------------------------------------------------------------------------------------------------------------------------------------
Page 8 of 9 06/30/2008
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
------------------------------------------------------------------------------------------------------------------------------------
SOUTHERN COPPER CORP COMMON 84265V105 3,519 33,000 SH SOLE 33,000
------------------------------------------------------------------------------------------------------------------------------------
SPX CORP COMMON 784635104 10,934 83,000 SH SOLE 83,000
------------------------------------------------------------------------------------------------------------------------------------
STANLEY INC COMMON 854532108 11,517 343,600 SH SOLE 343,600
------------------------------------------------------------------------------------------------------------------------------------
STEEL DYNAMICS INC COMMON 858119100 16,417 420,200 SH SOLE 420,200
------------------------------------------------------------------------------------------------------------------------------------
SUN HEALTHCARE GROUP INC COMMON 866933401 8,239 615,300 SH SOLE 615,300
------------------------------------------------------------------------------------------------------------------------------------
TAIWAN SEMICONDUCTOR -ADR ADR 874039100 3,919 359,200 SH SOLE 359,200
------------------------------------------------------------------------------------------------------------------------------------
TELE NORTE LESTE -ADR ADR 879246106 11,284 453,000 SH SOLE 453,000
------------------------------------------------------------------------------------------------------------------------------------
TELEDYNE TECHNOLOGIES INC COMMON 879360105 10,631 217,900 SH SOLE 217,900
------------------------------------------------------------------------------------------------------------------------------------
TEREX CORP COMMON 880779103 1,125 21,900 SH SOLE 21,900
------------------------------------------------------------------------------------------------------------------------------------
TERRA INDUSTRIES INC COMMON 880915103 14,889 301,700 SH SOLE 301,700
------------------------------------------------------------------------------------------------------------------------------------
TOTAL SA -ADR ADR 89151E109 11,358 133,200 SH SOLE 133,200
------------------------------------------------------------------------------------------------------------------------------------
TRIUMPH GROUP INC COMMON 896818101 4,540 96,400 SH SOLE 96,400
------------------------------------------------------------------------------------------------------------------------------------
TUPPERWARE BRANDS CORP COMMON 899896104 7,556 220,800 SH SOLE 220,800
------------------------------------------------------------------------------------------------------------------------------------
TWIN DISC INC COMMON 901476101 1,107 52,900 SH SOLE 52,900
------------------------------------------------------------------------------------------------------------------------------------
U S BANCORP COMMON 902973304 2,959 106,100 SH SOLE 106,100
------------------------------------------------------------------------------------------------------------------------------------
ULTRAPAR PARTICIPACOES
-ADR ADR 90400P101 2,198 57,800 SH SOLE 57,800
------------------------------------------------------------------------------------------------------------------------------------
URS CORP COMMON 903236107 5,355 127,600 SH SOLE 127,600
------------------------------------------------------------------------------------------------------------------------------------
VERIZON COMMUNICATIONS COMMON 92343V104 8,996 259,230 SH SOLE 259,230
------------------------------------------------------------------------------------------------------------------------------------
VOLVO AB SWE -ADR ADR 928856400 1,122 92,000 SH SOLE 92,000
------------------------------------------------------------------------------------------------------------------------------------
VSE CORP COMMON 918284100 1,103 40,100 SH SOLE 40,100
------------------------------------------------------------------------------------------------------------------------------------
WACHOVIA CORP COMMON 929903102 1,379 88,800 SH SOLE 88,800
------------------------------------------------------------------------------------------------------------------------------------
Page 9 of 9 06/30/2008
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
------------------------------------------------------------------------------------------------------------------------------------
WARNACO GROUP INC COMMON 934390402 10,453 237,200 SH SOLE 237,200
------------------------------------------------------------------------------------------------------------------------------------
WASHINGTON MUTUAL INC COMMON 939322103 1,128 228,800 SH SOLE 228,800
------------------------------------------------------------------------------------------------------------------------------------
WELLCARE HEALTH PLANS INC COMMON 94946T106 3,217 89,000 SH SOLE 89,000
------------------------------------------------------------------------------------------------------------------------------------
WELLS FARGO & CO COMMON 949746101 2,738 115,300 SH SOLE 115,300
------------------------------------------------------------------------------------------------------------------------------------
WESTERN REFINING INC COMMON 959319104 407 34,400 SH SOLE 34,400
------------------------------------------------------------------------------------------------------------------------------------
TOTAL 1,048,224
------------------------------------------------------------------------------------------------------------------------------------