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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: March 31, 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 April 30, 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: 176
----------------------
Form 13F Information Table Value Total: $1,879,514
----------------------
(thousands)
List of Other Included Managers: NONE
Page 1 of 9 03/31/2007
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 16,035 406,672 SH SOLE 394,225 12,447
------------------------------------------------------------------------------------------------------------------------------------
ACUITY BRANDS INC COMMON 00508Y102 7,404 136,000 SH SOLE 136,000 0
------------------------------------------------------------------------------------------------------------------------------------
AEP INDUSTRIES INC COMMON 001031103 3,930 91,400 SH SOLE 91,400 0
------------------------------------------------------------------------------------------------------------------------------------
AES CORP. (THE) COMMON 00130H105 3,770 175,200 SH SOLE 175,200 0
------------------------------------------------------------------------------------------------------------------------------------
AK STEEL HOLDING CORP COMMON 001547108 24,515 1,048,100 SH SOLE 1,048,100 0
------------------------------------------------------------------------------------------------------------------------------------
ALBEMARLE CORP COMMON 012653101 9,583 231,800 SH SOLE 231,800 0
------------------------------------------------------------------------------------------------------------------------------------
ALON USA ENERGY INC COMMON 020520102 3,703 102,300 SH SOLE 102,300 0
------------------------------------------------------------------------------------------------------------------------------------
ALTRIA GROUP INC COMMON 02209S103 13,814 157,322 SH SOLE 156,875 447
------------------------------------------------------------------------------------------------------------------------------------
AMERIGROUP CORP COMMON 03073T102 17,872 587,900 SH SOLE 587,900 0
------------------------------------------------------------------------------------------------------------------------------------
AMN HEALTHCARE SERVICES
INC COMMON 001744101 3,511 155,200 SH SOLE 155,200 0
------------------------------------------------------------------------------------------------------------------------------------
AMPCO-PITTSBURGH CORP COMMON 032037103 3,429 118,700 SH SOLE 118,700 0
------------------------------------------------------------------------------------------------------------------------------------
AMR CORP/DE COMMON 001765106 4,300 141,200 SH SOLE 140,200 1,000
------------------------------------------------------------------------------------------------------------------------------------
ANIXTER INTL INC COMMON 035290105 7,497 113,700 SH SOLE 113,700 0
------------------------------------------------------------------------------------------------------------------------------------
ANNTAYLOR STORES CORP COMMON 036115103 8,966 231,200 SH SOLE 231,200 0
------------------------------------------------------------------------------------------------------------------------------------
ARCH CHEMICALS INC COMMON 03937R102 3,103 99,400 SH SOLE 99,400 0
------------------------------------------------------------------------------------------------------------------------------------
ARCHER-DANIELS-MIDLAND CO COMMON 039483102 3,050 83,100 SH SOLE 83,100 0
------------------------------------------------------------------------------------------------------------------------------------
ARKANSAS BEST CORP COMMON 040790107 2,599 73,100 SH SOLE 73,100 0
------------------------------------------------------------------------------------------------------------------------------------
ASSURANT INC COMMON 04621X108 6,237 116,300 SH SOLE 116,300 0
------------------------------------------------------------------------------------------------------------------------------------
BANK OF AMERICA CORP COMMON 060505104 4,648 91,097 SH SOLE 79,700 11,397
------------------------------------------------------------------------------------------------------------------------------------
BARCLAYS PLC/ENGLAND
-ADR ADR 06738E204 4,441 78,000 SH SOLE 78,000 0
------------------------------------------------------------------------------------------------------------------------------------
BB&T CORP COMMON 054937107 3,958 96,500 SH SOLE 96,500 0
------------------------------------------------------------------------------------------------------------------------------------
Page 2 of 9 03/31/2007
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 40,970 764,500 SH SOLE 764,500 0
------------------------------------------------------------------------------------------------------------------------------------
BENCHMARK ELECTRONICS INC COMMON 08160H101 4,692 227,100 SH SOLE 227,100 0
------------------------------------------------------------------------------------------------------------------------------------
BIG LOTS INC COMMON 089302103 34,993 1,118,700 SH SOLE 1,118,700 0
------------------------------------------------------------------------------------------------------------------------------------
BLOCKBUSTER INC COMMON 093679108 21,342 3,313,900 SH SOLE 3,313,900 0
------------------------------------------------------------------------------------------------------------------------------------
BP PLC -ADS ADR 055622104 3,989 61,600 SH SOLE 61,300 300
------------------------------------------------------------------------------------------------------------------------------------
BRISTOL MYERS SQUIBB COMMON 110122108 4,641 167,200 SH SOLE 166,400 800
------------------------------------------------------------------------------------------------------------------------------------
BRITISH AIRWAYS PLC -ADR ADR 110419306 19,429 201,300 SH SOLE 201,300 0
------------------------------------------------------------------------------------------------------------------------------------
BROWN SHOE CO INC COMMON 115736100 17,451 415,500 SH SOLE 415,500 0
------------------------------------------------------------------------------------------------------------------------------------
CARMAX INC COMMON 143130102 25,325 1,032,000 SH SOLE 1,032,000 0
------------------------------------------------------------------------------------------------------------------------------------
CASUAL MALE RETAIL GRP
INC COMMON 148711104 3,944 333,400 SH SOLE 333,400 0
------------------------------------------------------------------------------------------------------------------------------------
CELADON GROUP INC COMMON 150838100 3,058 183,100 SH SOLE 183,100 0
------------------------------------------------------------------------------------------------------------------------------------
CENVEO INC COMMON 15670S105 26,776 1,101,900 SH SOLE 1,101,900 0
------------------------------------------------------------------------------------------------------------------------------------
CF INDUSTRIES HOLDINGS
INC COMMON 125269100 28,041 727,400 SH SOLE 727,400 0
------------------------------------------------------------------------------------------------------------------------------------
CHAPARRAL STEEL CO COMMON 159423102 30,981 532,600 SH SOLE 532,600 0
------------------------------------------------------------------------------------------------------------------------------------
CHARLOTTE RUSSE HOLDING
INC COMMON 161048103 20,908 724,200 SH SOLE 724,200 0
------------------------------------------------------------------------------------------------------------------------------------
CHEVRONTEXACO CORP COMMON 166764100 1,151 15,557 SH SOLE 0 15,557
------------------------------------------------------------------------------------------------------------------------------------
CHILDRENS PLACE RETAIL
STRS COMMON 168905107 5,325 95,500 SH SOLE 95,500 0
------------------------------------------------------------------------------------------------------------------------------------
CHUNGHWA TELECOM CO -ADR ADR 17133Q205 4,263 214,000 SH SOLE 214,000 0
------------------------------------------------------------------------------------------------------------------------------------
CINCINNATI FINANCIAL CORP COMMON 172062101 3,935 92,800 SH SOLE 92,800 0
------------------------------------------------------------------------------------------------------------------------------------
CITIGROUP INC COMMON 172967101 13,067 254,525 SH SOLE 254,525 0
------------------------------------------------------------------------------------------------------------------------------------
CLEAN HARBORS INC COMMON 184496107 22,651 500,900 SH SOLE 500,900 0
------------------------------------------------------------------------------------------------------------------------------------
Page 3 of 9 03/31/2007
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 2,680 55,825 SH SOLE 55,825 0
------------------------------------------------------------------------------------------------------------------------------------
COMMSCOPE INC COMMON 203372107 8,400 195,800 SH SOLE 195,800 0
------------------------------------------------------------------------------------------------------------------------------------
COMSYS IT PARTNERS INC COMMON 20581E104 19,709 990,400 SH SOLE 990,400 0
------------------------------------------------------------------------------------------------------------------------------------
CONTINENTAL AIRLS INC
-CL B CLASS B 210795308 22,962 631,000 SH SOLE 631,000 0
------------------------------------------------------------------------------------------------------------------------------------
CONVERGYS CORP COMMON 212485106 20,829 819,700 SH SOLE 819,700 0
------------------------------------------------------------------------------------------------------------------------------------
COPANO ENERGY LLC COMMON 217202100 23,057 336,700 SH SOLE 336,700 0
------------------------------------------------------------------------------------------------------------------------------------
CRAY INC COMMON 225223304 4,268 309,500 SH SOLE 309,500 0
------------------------------------------------------------------------------------------------------------------------------------
CROSSTEX ENERGY INC COMMON 22765Y104 3,255 113,200 SH SOLE 113,200 0
------------------------------------------------------------------------------------------------------------------------------------
CUMMINS INC COMMON 231021106 11,925 82,400 SH SOLE 82,400 0
------------------------------------------------------------------------------------------------------------------------------------
DAIMLERCHRYSLER AG ADR sedol -
2307389 5,817 71,100 SH SOLE 71,100 0
------------------------------------------------------------------------------------------------------------------------------------
DIAGEO PLC -ADR ADR 25243Q205 4,396 54,300 SH SOLE 54,300 0
------------------------------------------------------------------------------------------------------------------------------------
DICKS SPORTING GOODS INC COMMON 253393102 7,848 134,700 SH SOLE 134,700 0
------------------------------------------------------------------------------------------------------------------------------------
DILLARDS INC -CL A CLASS A 254067101 10,091 308,300 SH SOLE 308,300 0
------------------------------------------------------------------------------------------------------------------------------------
DOLLAR TREE STORES INC COMMON 256747106 7,522 196,700 SH SOLE 196,700 0
------------------------------------------------------------------------------------------------------------------------------------
DONNELLEY (R R) & SONS CO COMMON 257867101 4,336 118,500 SH SOLE 118,500 0
------------------------------------------------------------------------------------------------------------------------------------
DOW CHEMICAL COMMON 260543103 4,838 105,500 SH SOLE 105,500 0
------------------------------------------------------------------------------------------------------------------------------------
DSW INC COMMON 23334L102 4,436 105,100 SH SOLE 105,100 0
------------------------------------------------------------------------------------------------------------------------------------
DU PONT (E I) DE NEMOURS COMMON 263534109 14,060 284,450 SH SOLE 284,450 0
------------------------------------------------------------------------------------------------------------------------------------
EMC INSURANCE GROUP INC COMMON 268664109 2,874 111,400 SH SOLE 111,400 0
------------------------------------------------------------------------------------------------------------------------------------
EMCOR GROUP INC COMMON 29084Q100 6,901 117,000 SH SOLE 117,000 0
------------------------------------------------------------------------------------------------------------------------------------
ENERGIZER HOLDINGS INC COMMON 29266R108 7,594 89,000 SH SOLE 89,000 0
------------------------------------------------------------------------------------------------------------------------------------
Page 4 of 9 03/31/2007
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 4,123 63,600 SH SOLE 63,600 0
------------------------------------------------------------------------------------------------------------------------------------
ENTERPRISE PRODS PRTNER
-LP COMMON 293792107 4,652 146,300 SH SOLE 146,300 0
------------------------------------------------------------------------------------------------------------------------------------
EXXON MOBIL CORPORATION COMMON 30231G102 394 5,228 SH SOLE 0 5,228
------------------------------------------------------------------------------------------------------------------------------------
FIDELITY NATIONAL
FINANCIAL COMMON 31620R105 4,363 181,700 SH SOLE 181,700 0
------------------------------------------------------------------------------------------------------------------------------------
FMC TECHNOLOGIES INC COMMON 30249U101 3,593 51,500 SH SOLE 51,500 0
------------------------------------------------------------------------------------------------------------------------------------
FRONTIER OIL CORP COMMON 35914P105 3,319 101,700 SH SOLE 101,700 0
------------------------------------------------------------------------------------------------------------------------------------
FTD GROUP INC COMMON 30267U108 19,823 1,199,200 SH SOLE 1,199,200 0
------------------------------------------------------------------------------------------------------------------------------------
GENERAL CABLE CORP/DE COMMON 369300108 25,417 475,700 SH SOLE 475,700 0
------------------------------------------------------------------------------------------------------------------------------------
GENERAL ELECTRIC CO. COMMON 369604103 7,297 206,377 SH SOLE 205,150 1,227
------------------------------------------------------------------------------------------------------------------------------------
GENERAL MOTORS CORP COMMON 370442105 13,050 425,918 SH SOLE 425,550 368
------------------------------------------------------------------------------------------------------------------------------------
GENTEK INC COMMON 37245X203 4,186 122,900 SH SOLE 122,900 0
------------------------------------------------------------------------------------------------------------------------------------
GEO GROUP INC COMMON 36159R103 23,594 520,600 SH SOLE 520,600 0
------------------------------------------------------------------------------------------------------------------------------------
GERBER SCIENTIFIC INC COMMON 373730100 2,685 253,100 SH SOLE 253,100 0
------------------------------------------------------------------------------------------------------------------------------------
GLAXOSMITHKLINE PLC -ADR ADR 37733W105 4,404 79,700 SH SOLE 79,700 0
------------------------------------------------------------------------------------------------------------------------------------
GOLDMAN SACHS GROUP INC COMMON 38141G104 20,208 97,800 SH SOLE 97,800 0
------------------------------------------------------------------------------------------------------------------------------------
GRANITE CONSTRUCTION INC COMMON 387328107 6,289 113,800 SH SOLE 113,800 0
------------------------------------------------------------------------------------------------------------------------------------
GREIF INC -CL A CLASS A 397624107 21,166 190,500 SH SOLE 190,500 0
------------------------------------------------------------------------------------------------------------------------------------
GYMBOREE CORP COMMON 403777105 4,271 106,600 SH SOLE 106,600 0
------------------------------------------------------------------------------------------------------------------------------------
HARLEYSVILLE GROUP INC COMMON 412824104 3,473 106,900 SH SOLE 106,900 0
------------------------------------------------------------------------------------------------------------------------------------
HEINZ (H J) CO COMMON 423074103 4,401 93,400 SH SOLE 93,400 0
------------------------------------------------------------------------------------------------------------------------------------
HENNESSY ADVISORS INC COMMON 425885100 42,562 2,745,931 SH SOLE 0 2,745,931
------------------------------------------------------------------------------------------------------------------------------------
Page 5 of 9 03/31/2007
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 27,266 459,800 SH SOLE 459,800 0
------------------------------------------------------------------------------------------------------------------------------------
HORIZON LINES INC COMMON 44044K101 23,653 720,700 SH SOLE 720,700 0
------------------------------------------------------------------------------------------------------------------------------------
HSBC HOLDINGS PLC -ADR ADR 404280406 4,039 46,000 SH SOLE 46,000 0
------------------------------------------------------------------------------------------------------------------------------------
IDEARC INC COMMON 451663108 317 9,023 SH SOLE 8,359 664
------------------------------------------------------------------------------------------------------------------------------------
INFINEON TECHNOLOGIES
AG-ADR ADR 45662N103 22,589 1,450,800 SH SOLE 1,450,800 0
------------------------------------------------------------------------------------------------------------------------------------
INGLES MARKETS INC -CL A CLASS A 457030104 24,961 611,200 SH SOLE 611,200 0
------------------------------------------------------------------------------------------------------------------------------------
INNOSPEC INC ADR 45768S105 24,831 430,800 SH SOLE 430,800 0
------------------------------------------------------------------------------------------------------------------------------------
INTERSTATE HOTELS &
RESORTS COMMON 46088S106 2,368 375,260 SH SOLE 375,200 60
------------------------------------------------------------------------------------------------------------------------------------
INTL PAPER CO COMMON 460146103 4,583 125,900 SH SOLE 125,600 300
------------------------------------------------------------------------------------------------------------------------------------
J P MORGAN CHASE & CO COMMON 46625H100 12,280 253,815 SH SOLE 253,525 290
------------------------------------------------------------------------------------------------------------------------------------
JACK IN THE BOX INC COMMON 466367109 31,827 460,400 SH SOLE 460,400 0
------------------------------------------------------------------------------------------------------------------------------------
KIMBERLY-CLARK CORP COMMON 494368103 4,323 63,126 SH SOLE 62,000 1,126
------------------------------------------------------------------------------------------------------------------------------------
KRAFT FOODS INC COMMON 50075N104 3,783 119,484 SH SOLE 119,400 84
------------------------------------------------------------------------------------------------------------------------------------
LAN AIRLINES SA -ADR ADR 501723100 24,032 348,800 SH SOLE 348,800 0
------------------------------------------------------------------------------------------------------------------------------------
LEAR CORP COMMON 521865105 22,647 620,300 SH SOLE 620,300 0
------------------------------------------------------------------------------------------------------------------------------------
LILLY (ELI) & CO COMMON 532457108 4,130 76,900 SH SOLE 76,900 0
------------------------------------------------------------------------------------------------------------------------------------
LINCOLN ELECTRIC HLDGS
INC COMMON 533900106 3,496 58,700 SH SOLE 58,700 0
------------------------------------------------------------------------------------------------------------------------------------
LORAL SPACE &
COMMUNICATIONS COMMON 543881106 23,379 459,500 SH SOLE 459,500 0
------------------------------------------------------------------------------------------------------------------------------------
LYONDELL CHEMICAL CO COMMON 552078107 5,002 166,900 SH SOLE 166,900 0
------------------------------------------------------------------------------------------------------------------------------------
M & F WORLDWIDE CORP COMMON 552541104 32,432 681,200 SH SOLE 681,200 0
------------------------------------------------------------------------------------------------------------------------------------
MANITOWOC CO COMMON 563571108 22,725 357,700 SH SOLE 357,700 0
------------------------------------------------------------------------------------------------------------------------------------
Page 6 of 9 03/31/2007
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
------------------------------------------------------------------------------------------------------------------------------------
MARATHON OIL CORP COMMON 565849106 3,914 39,600 SH SOLE 39,600 0
------------------------------------------------------------------------------------------------------------------------------------
MARKWEST HYDROCARBON INC COMMON 570762104 27,485 443,300 SH SOLE 443,300 0
------------------------------------------------------------------------------------------------------------------------------------
MASCO CORP COMMON 574599106 3,970 144,900 SH SOLE 144,900 0
------------------------------------------------------------------------------------------------------------------------------------
MATRIX SERVICE COMPANY COMMON 576853105 6,118 302,400 SH SOLE 302,400 0
------------------------------------------------------------------------------------------------------------------------------------
MATTEL INC COMMON 577081102 5,216 189,200 SH SOLE 189,200 0
------------------------------------------------------------------------------------------------------------------------------------
MEADOWBROOK INS GROUP INC COMMON 58319P108 3,664 333,400 SH SOLE 333,400 0
------------------------------------------------------------------------------------------------------------------------------------
MEADWESTVACO CORP COMMON 583334107 4,348 141,000 SH SOLE 141,000 0
------------------------------------------------------------------------------------------------------------------------------------
MENS WEARHOUSE INC COMMON 587118100 7,716 164,000 SH SOLE 164,000 0
------------------------------------------------------------------------------------------------------------------------------------
MENTOR GRAPHICS CORP COMMON 587200106 4,462 273,100 SH SOLE 273,100 0
------------------------------------------------------------------------------------------------------------------------------------
MERCK & CO COMMON 589331107 13,450 304,497 SH SOLE 304,000 497
------------------------------------------------------------------------------------------------------------------------------------
NATCO GROUP INC COMMON 63227W203 3,320 97,300 SH SOLE 97,300 0
------------------------------------------------------------------------------------------------------------------------------------
NATIONAL BEVERAGE CORP COMMON 635017106 3,762 214,500 SH SOLE 214,500 0
------------------------------------------------------------------------------------------------------------------------------------
NATIONAL CITY CORP COMMON 635405103 4,366 117,200 SH SOLE 117,200 0
------------------------------------------------------------------------------------------------------------------------------------
NEWELL RUBBERMAID INC COMMON 651229106 4,465 143,600 SH SOLE 143,600 0
------------------------------------------------------------------------------------------------------------------------------------
ODYSSEY RE HOLDINGS CORP COMMON 67612W108 20,956 533,100 SH SOLE 533,100 0
------------------------------------------------------------------------------------------------------------------------------------
OGE ENERGY CORP COMMON 670837103 10,395 267,920 SH SOLE 267,300 620
------------------------------------------------------------------------------------------------------------------------------------
OLD DOMINION FREIGHT COMMON 679580100 2,872 99,700 SH SOLE 99,700 0
------------------------------------------------------------------------------------------------------------------------------------
P G & E CORP COMMON 69331C108 290 6,005 SH SOLE 0 6,005
------------------------------------------------------------------------------------------------------------------------------------
P.A.M. TRANSPORTATION
SVCS COMMON 693149106 2,334 113,200 SH SOLE 113,200 0
------------------------------------------------------------------------------------------------------------------------------------
PACTIV CORP COMMON 695257105 7,450 220,800 SH SOLE 220,800 0
------------------------------------------------------------------------------------------------------------------------------------
PETROCHINA CO LTD -ADR ADR 71646E100 3,782 32,300 SH SOLE 32,300 0
------------------------------------------------------------------------------------------------------------------------------------
Page 7 of 9 03/31/2007
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
------------------------------------------------------------------------------------------------------------------------------------
PFIZER INC COMMON 717081103 12,625 499,782 SH SOLE 497,550 2,232
------------------------------------------------------------------------------------------------------------------------------------
PHILLIPS-VAN HEUSEN CORP COMMON 718592108 8,879 151,000 SH SOLE 151,000 0
------------------------------------------------------------------------------------------------------------------------------------
PNC FINANCIAL SVCS GROUP
INC COMMON 693475105 4,239 58,900 SH SOLE 58,900 0
------------------------------------------------------------------------------------------------------------------------------------
PPG INDUSTRIES INC COMMON 693506107 4,458 63,400 SH SOLE 63,400 0
------------------------------------------------------------------------------------------------------------------------------------
PRICELINE.COM INC COMMON 741503403 8,916 167,400 SH SOLE 167,400 0
------------------------------------------------------------------------------------------------------------------------------------
PSS WORLD MEDICAL INC COMMON 69366A100 6,847 323,900 SH SOLE 323,900 0
------------------------------------------------------------------------------------------------------------------------------------
PUBLIC MEDIA WORKS INC COMMON 744425109 3 10,000 SH SOLE 0 10,000
------------------------------------------------------------------------------------------------------------------------------------
QUANTA SERVICES INC COMMON 74762E102 25,182 998,500 SH SOLE 998,500 0
------------------------------------------------------------------------------------------------------------------------------------
QWEST COMMUNICATION INTL
INC COMMON 749121109 4,034 448,722 SH SOLE 448,000 722
------------------------------------------------------------------------------------------------------------------------------------
REGIONS FINL CORP COMMON 7591EP100 4,043 114,300 SH SOLE 114,300 0
------------------------------------------------------------------------------------------------------------------------------------
REYNOLDS AMERICAN INC COMMON 761713106 4,007 64,200 SH SOLE 64,200 0
------------------------------------------------------------------------------------------------------------------------------------
RITE AID CORP COMMON 767754104 20,348 3,526,600 SH SOLE 3,526,600 0
------------------------------------------------------------------------------------------------------------------------------------
ROBBINS & MYERS INC COMMON 770196103 18,779 503,600 SH SOLE 503,600 0
------------------------------------------------------------------------------------------------------------------------------------
ROCK-TENN CO COMMON 772739207 21,062 634,400 SH SOLE 634,400 0
------------------------------------------------------------------------------------------------------------------------------------
ROYAL DUTCH SHELL PLC
-ADR ADR 780259206 3,898 58,800 SH SOLE 58,800 0
------------------------------------------------------------------------------------------------------------------------------------
RYDER SYSTEM INC COMMON 783549108 3,143 63,700 SH SOLE 63,700 0
------------------------------------------------------------------------------------------------------------------------------------
SAFETY INSURANCE GROUP
INC COMMON 78648T100 2,740 68,300 SH SOLE 68,300 0
------------------------------------------------------------------------------------------------------------------------------------
SAIA INC COMMON 78709Y105 3,012 126,800 SH SOLE 126,800 0
------------------------------------------------------------------------------------------------------------------------------------
SASOL LTD -ADR ADR 803866300 3,788 114,600 SH SOLE 114,600 0
------------------------------------------------------------------------------------------------------------------------------------
SAUER-DANFOSS INC COMMON 804137107 18,782 624,000 SH SOLE 624,000 0
------------------------------------------------------------------------------------------------------------------------------------
SHERWIN-WILLIAMS CO COMMON 824348106 20,671 313,000 SH SOLE 313,000 0
------------------------------------------------------------------------------------------------------------------------------------
Page 8 of 9 03/31/2007
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
------------------------------------------------------------------------------------------------------------------------------------
SKECHERS U S A INC COMMON 830566105 20,310 605,000 SH SOLE 605,000 0
------------------------------------------------------------------------------------------------------------------------------------
SOUTHERN COPPER CORP COMMON 84265V105 5,396 75,300 SH SOLE 75,300 0
------------------------------------------------------------------------------------------------------------------------------------
SPARTAN STORES INC COMMON 846822104 24,857 927,500 SH SOLE 927,500 0
------------------------------------------------------------------------------------------------------------------------------------
STANDARD PARKING CORP COMMON 853790103 4,237 119,800 SH SOLE 119,800 0
------------------------------------------------------------------------------------------------------------------------------------
STATOIL ASA -ADR ADR 85771P102 4,043 149,300 SH SOLE 149,300 0
------------------------------------------------------------------------------------------------------------------------------------
STEEL DYNAMICS INC COMMON 858119100 24,322 563,000 SH SOLE 563,000 0
------------------------------------------------------------------------------------------------------------------------------------
SUN HEALTHCARE GROUP INC COMMON 866933401 21,558 1,745,600 SH SOLE 1,745,600 0
------------------------------------------------------------------------------------------------------------------------------------
SYSTEMAX INC COMMON 871851101 19,631 1,048,100 SH SOLE 1,048,100 0
------------------------------------------------------------------------------------------------------------------------------------
THE CHARLES SCHWAB CORP COMMON 808513105 185 10,100 SH SOLE 0 10,100
------------------------------------------------------------------------------------------------------------------------------------
U G I CORPORATION NEW COMMON 902681105 465 17,400 SH SOLE 0 17,400
------------------------------------------------------------------------------------------------------------------------------------
U S BANCORP COMMON 902973304 4,332 123,875 SH SOLE 123,800 75
------------------------------------------------------------------------------------------------------------------------------------
UNITED AUTO GROUP INC COMMON 909440109 5,355 263,800 SH SOLE 263,800 0
------------------------------------------------------------------------------------------------------------------------------------
UNIVERSAL TRUCKLOAD
SERVICES COMMON 91388P105 2,494 103,000 SH SOLE 103,000 0
------------------------------------------------------------------------------------------------------------------------------------
US AIRWAYS GROUP INC COMMON 90341W108 18,215 400,500 SH SOLE 400,500 0
------------------------------------------------------------------------------------------------------------------------------------
VERIZON COMMUNICATIONS COMMON 92343V104 14,373 379,038 SH SOLE 365,675 13,363
------------------------------------------------------------------------------------------------------------------------------------
VF CORP COMMON 918204108 6,915 83,700 SH SOLE 83,700 0
------------------------------------------------------------------------------------------------------------------------------------
VOLT INFO SCIENCES INC COMMON 928703107 15,677 598,600 SH SOLE 598,600 0
------------------------------------------------------------------------------------------------------------------------------------
VOLVO AB SWE -ADR ADR 928856400 24,767 294,600 SH SOLE 294,600 0
------------------------------------------------------------------------------------------------------------------------------------
WACHOVIA CORP COMMON 929903102 4,206 76,400 SH SOLE 76,400 0
------------------------------------------------------------------------------------------------------------------------------------
WASHINGTON MUTUAL INC COMMON 939322103 3,804 94,200 SH SOLE 94,200 0
------------------------------------------------------------------------------------------------------------------------------------
WATSON WYATT WORLDWIDE
INC COMMON 942712100 7,434 152,800 SH SOLE 152,800 0
------------------------------------------------------------------------------------------------------------------------------------
Page 9 of 9 03/31/2007
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
------------------------------------------------------------------------------------------------------------------------------------
WELLCARE HEALTH PLANS INC COMMON 94946T106 32,838 385,200 SH SOLE 385,200 0
------------------------------------------------------------------------------------------------------------------------------------
WELLS FARGO & CO COMMON 949746101 4,437 128,880 SH SOLE 118,500 10,380
------------------------------------------------------------------------------------------------------------------------------------
WEST PHARMACEUTICAL SVSC
INC COMMON 955306105 7,591 163,500 SH SOLE 163,500 0
------------------------------------------------------------------------------------------------------------------------------------
WESTAMERICA BANCORP COMMON 957090103 452 9,383 SH SOLE 0 9,383
------------------------------------------------------------------------------------------------------------------------------------
WEYERHAEUSER CO COMMON 962166104 4,649 62,200 SH SOLE 62,200 0
------------------------------------------------------------------------------------------------------------------------------------
WILD OATS MARKETS INC COMMON 96808B107 3,538 194,400 SH SOLE 194,400 0
------------------------------------------------------------------------------------------------------------------------------------
WIMM-BILL-DANN -ADR ADR 97263M109 7,084 88,700 SH SOLE 88,700 0
------------------------------------------------------------------------------------------------------------------------------------
WORLD FUEL SERVICES CORP COMMON 981475106 3,530 76,300 SH SOLE 76,300 0
------------------------------------------------------------------------------------------------------------------------------------
TOTAL 1,879,514
------------------------------------------------------------------------------------------------------------------------------------