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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: September 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 October 14, 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: $872,887
----------------------
(thousands)
List of Other Included Managers: NONE
Page 1 of 9 09/30/2008
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
------------------------------------------------------------------------------------------------------------------------------------
A T & T INC COMMON 00206R102 7,407 265,310 SH SOLE 265,310
------------------------------------------------------------------------------------------------------------------------------------
AECOM TECHNOLOGY CORP COMMON 00766T100 1,007 41,200 SH SOLE 41,200
------------------------------------------------------------------------------------------------------------------------------------
AEGON NV ADR 007924103 1,705 194,200 SH SOLE 194,200
------------------------------------------------------------------------------------------------------------------------------------
AEROPOSTALE INC COMMON 007865108 7,944 247,400 SH SOLE 247,400
------------------------------------------------------------------------------------------------------------------------------------
AETNA INC COMMON 00817Y108 6,547 181,300 SH SOLE 181,300
------------------------------------------------------------------------------------------------------------------------------------
AGCO CORP COMMON 001084102 7,065 165,800 SH SOLE 165,800
------------------------------------------------------------------------------------------------------------------------------------
AIRGAS INC COMMON 009363102 1,137 22,900 SH SOLE 22,900
------------------------------------------------------------------------------------------------------------------------------------
AK STEEL HOLDING CORP COMMON 001547108 518 20,000 SH SOLE 20,000
------------------------------------------------------------------------------------------------------------------------------------
ALLIANCE IMAGING INC COMMON 018606202 11,357 1,105,890 SH SOLE 1,105,890
------------------------------------------------------------------------------------------------------------------------------------
ALLIED IRISH BANKS -ADR ADR 019228402 1,230 74,800 SH SOLE 74,800
------------------------------------------------------------------------------------------------------------------------------------
ALPHA NATURAL RESOURCES INC COMMON 02076X102 19,003 369,500 SH SOLE 369,500
------------------------------------------------------------------------------------------------------------------------------------
ALTRIA GROUP INC COMMON 02209S103 1,822 91,820 SH SOLE 91,820
------------------------------------------------------------------------------------------------------------------------------------
AMERICAN INTERNATIONAL
GROUP COMMON 026874107 100 30,110 SH SOLE 30,110
------------------------------------------------------------------------------------------------------------------------------------
AMERICA'S CAR-MART INC COMMON 03062T105 1,389 74,700 SH SOLE 74,700
------------------------------------------------------------------------------------------------------------------------------------
AON CORP COMMON 037389103 10,602 235,800 SH SOLE 235,800
------------------------------------------------------------------------------------------------------------------------------------
ARCELOR MITTAL -ADR ADR 03938L104 686 13,900 SH SOLE 13,900
------------------------------------------------------------------------------------------------------------------------------------
ARCHER-DANIELS-MIDLAND CO COMMON 039483102 5,274 240,700 SH SOLE 240,700
------------------------------------------------------------------------------------------------------------------------------------
ARVINMERITOR INC COMMON 043353101 6,819 522,900 SH SOLE 522,900
------------------------------------------------------------------------------------------------------------------------------------
ASSURANT INC COMMON 04621X108 8,861 161,100 SH SOLE 161,100
------------------------------------------------------------------------------------------------------------------------------------
AUTOZONE INC COMMON 053332102 7,733 62,700 SH SOLE 62,700
------------------------------------------------------------------------------------------------------------------------------------
AZZ INC COMMON 002474104 12,796 309,300 SH SOLE 309,300
------------------------------------------------------------------------------------------------------------------------------------
Page 2 of 9 09/30/2008
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
------------------------------------------------------------------------------------------------------------------------------------
BANK of AMERICA CORP COMMON 060505104 8,705 248,700 SH SOLE 248,700
------------------------------------------------------------------------------------------------------------------------------------
BARCLAYS PLC/ENGLAND -ADR ADR 06738E204 1,951 79,000 SH SOLE 79,000
------------------------------------------------------------------------------------------------------------------------------------
BASF AG -ADR ADR 055262505 6,917 144,700 SH SOLE 144,700
------------------------------------------------------------------------------------------------------------------------------------
BB&T CORP COMMON 054937107 3,890 102,900 SH SOLE 102,900
------------------------------------------------------------------------------------------------------------------------------------
BP PLC -ADS ADR 055622104 2,273 45,300 SH SOLE 45,300
------------------------------------------------------------------------------------------------------------------------------------
BRADY CORP COMMON 104674106 7,680 217,700 SH SOLE 217,700
------------------------------------------------------------------------------------------------------------------------------------
BRISTOL MYERS SQUIBB COMMON 110122108 2,496 119,700 SH SOLE 119,700
------------------------------------------------------------------------------------------------------------------------------------
BRISTOW GROUP INC COMMON 110394103 6,430 190,000 SH SOLE 190,000
------------------------------------------------------------------------------------------------------------------------------------
BT GROUP PLC -ADR ADR 05577E101 1,709 58,900 SH SOLE 58,900
------------------------------------------------------------------------------------------------------------------------------------
BUNGE LTD COMMON Sedol
2788713 5,332 84,400 SH SOLE 84,400
------------------------------------------------------------------------------------------------------------------------------------
CAL-MAINE FOODS INC COMMON 128030202 1,147 41,800 SH SOLE 41,800
------------------------------------------------------------------------------------------------------------------------------------
CARNIVAL CORP/PLC (USA) COMMON 143658300 2,641 74,700 SH SOLE 74,700
------------------------------------------------------------------------------------------------------------------------------------
CBIZ INC COMMON 124805102 9,877 1,168,900 SH SOLE 1,168,900
------------------------------------------------------------------------------------------------------------------------------------
CBS CORP COMMON 124857202 1,875 128,600 SH SOLE 128,600
------------------------------------------------------------------------------------------------------------------------------------
CELANESE CORP COMMON 150870103 837 30,000 SH SOLE 30,000
------------------------------------------------------------------------------------------------------------------------------------
CELESTICA INC ADR 15101Q108 1,023 158,800 SH SOLE 158,800
------------------------------------------------------------------------------------------------------------------------------------
CHICAGO BRIDGE & IRON CO ADR 167250109 3,858 200,500 SH SOLE 200,500
------------------------------------------------------------------------------------------------------------------------------------
CHUNGHWA TELECOM CO -ADR ADR 17133Q304 3,875 163,700 SH SOLE 163,700
------------------------------------------------------------------------------------------------------------------------------------
CIGNA CORP COMMON 125509109 6,477 190,600 SH SOLE 190,600
------------------------------------------------------------------------------------------------------------------------------------
CIT GROUP INC COMMON 125581108 945 135,800 SH SOLE 135,800
------------------------------------------------------------------------------------------------------------------------------------
CITIGROUP INC COMMON 172967101 7,486 364,985 SH SOLE 364,985
------------------------------------------------------------------------------------------------------------------------------------
Page 3 of 9 09/30/2008
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
------------------------------------------------------------------------------------------------------------------------------------
CLEAN HARBORS INC COMMON 184496107 1,270 18,800 SH SOLE 18,800
------------------------------------------------------------------------------------------------------------------------------------
COCA-COLA FEMSA DE C V
-ADR ADR 191241108 11,389 225,700 SH SOLE 225,700
------------------------------------------------------------------------------------------------------------------------------------
CONSTELLATION ENERGY GRP
INC COMMON 210371100 2,464 101,400 SH SOLE 101,400
------------------------------------------------------------------------------------------------------------------------------------
CORINTHIAN COLLEGES INC COMMON 218868107 7,340 489,300 SH SOLE 489,300
------------------------------------------------------------------------------------------------------------------------------------
COSTCO WHOLESALE CORP COMMON 22160K105 9,973 153,600 SH SOLE 153,600
------------------------------------------------------------------------------------------------------------------------------------
DEUTSCHE TELEKOM AG -ADR ADR 251566105 2,373 155,800 SH SOLE 155,800
------------------------------------------------------------------------------------------------------------------------------------
DIAGEO PLC -ADR ADR 25243Q205 2,706 39,300 SH SOLE 39,300
------------------------------------------------------------------------------------------------------------------------------------
DOW CHEMICAL COMMON 260543103 2,479 78,000 SH SOLE 78,000
------------------------------------------------------------------------------------------------------------------------------------
DU PONT (E I) DE NEMOURS COMMON 263534109 8,897 220,765 SH SOLE 220,765
------------------------------------------------------------------------------------------------------------------------------------
DYNCORP INTL INC COMMON 26817C101 7,157 427,000 SH SOLE 427,000
------------------------------------------------------------------------------------------------------------------------------------
EMBARQ CORP COMMON 29078E105 2,761 68,100 SH SOLE 68,100
------------------------------------------------------------------------------------------------------------------------------------
EMS TECHNOLOGIES INC COMMON 26873N108 8,661 388,200 SH SOLE 388,200
------------------------------------------------------------------------------------------------------------------------------------
ENBRIDGE INC ADR 29250N105 11,461 300,900 SH SOLE 300,900
------------------------------------------------------------------------------------------------------------------------------------
ENERSYS INC COMMON 29275Y102 8,400 426,200 SH SOLE 426,200
------------------------------------------------------------------------------------------------------------------------------------
ENGLOBAL CORP COMMON 293306106 1,247 94,000 SH SOLE 94,000
------------------------------------------------------------------------------------------------------------------------------------
ENI SPA -ADR ADR 26874R108 2,520 47,600 SH SOLE 47,600
------------------------------------------------------------------------------------------------------------------------------------
ENTERPRISE PRODS PRTNER
-LP COMMON 293792107 2,812 109,100 SH SOLE 109,100
------------------------------------------------------------------------------------------------------------------------------------
EXIDE TECHNOLOGIES COMMON 302051206 590 79,900 SH SOLE 79,900
------------------------------------------------------------------------------------------------------------------------------------
EXPRESS SCRIPTS INC COMMON 302182100 10,792 146,200 SH SOLE 146,200
------------------------------------------------------------------------------------------------------------------------------------
FAIRFAX FINANCIAL HOLDINGS ADR 303901102 12,582 38,300 SH SOLE 38,300
------------------------------------------------------------------------------------------------------------------------------------
FLOWERS FOODS INC COMMON 343498101 1,386 47,200 SH SOLE 47,200
------------------------------------------------------------------------------------------------------------------------------------
Page 4 of 9 09/30/2008
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
------------------------------------------------------------------------------------------------------------------------------------
FLOWSERVE CORP COMMON 34354P105 10,510 118,400 SH SOLE 118,400
------------------------------------------------------------------------------------------------------------------------------------
FLUOR CORP COMMON 343412102 802 14,400 SH SOLE 14,400
------------------------------------------------------------------------------------------------------------------------------------
FRANCE TELECOM -ADR ADR 35177Q105 2,672 95,400 SH SOLE 95,400
------------------------------------------------------------------------------------------------------------------------------------
FRESH DEL MONTE PRODUCE INC ADR Sedol
2118707 6,860 309,000 SH SOLE 309,000
------------------------------------------------------------------------------------------------------------------------------------
GANNETT CO COMMON 364730101 1,610 95,200 SH SOLE 95,200
------------------------------------------------------------------------------------------------------------------------------------
GENERAL ELECTRIC CO. COMMON 369604103 4,385 171,970 SH SOLE 171,970
------------------------------------------------------------------------------------------------------------------------------------
GENERAL MOTORS CORP COMMON 370442105 3,319 351,225 SH SOLE 351,225
------------------------------------------------------------------------------------------------------------------------------------
GENERAL STEEL HOLDINGS INC ADR 370853103 609 85,300 SH SOLE 85,300
------------------------------------------------------------------------------------------------------------------------------------
GERDAU AMERISTEEL CORP COMMON 37373P105 683 69,400 SH SOLE 69,400
------------------------------------------------------------------------------------------------------------------------------------
GLAXOSMITHKLINE PLC -ADR ADR 37733W105 2,755 63,400 SH SOLE 63,400
------------------------------------------------------------------------------------------------------------------------------------
GREIF INC -CL A CLASS A 397624107 7,579 115,500 SH SOLE 115,500
------------------------------------------------------------------------------------------------------------------------------------
GULF ISLAND FABRICATION INC COMMON 402307102 944 27,400 SH SOLE 27,400
------------------------------------------------------------------------------------------------------------------------------------
HACKETT GROUP INC COMMON 404609109 1,334 245,180 SH SOLE 245,180
------------------------------------------------------------------------------------------------------------------------------------
HANGER ORTHOPEDIC GRP COMMON 41043F208 1,417 81,200 SH SOLE 81,200
------------------------------------------------------------------------------------------------------------------------------------
HANOVER INSURANCE GROUP INC COMMON 410867105 7,324 160,900 SH SOLE 160,900
------------------------------------------------------------------------------------------------------------------------------------
HASBRO INC COMMON 418056107 9,097 262,000 SH SOLE 262,000
------------------------------------------------------------------------------------------------------------------------------------
HAWAIIAN ELECTRIC INDS COMMON 419870100 8,410 288,900 SH SOLE 288,900
------------------------------------------------------------------------------------------------------------------------------------
HESS CORP COMMON 42809H107 870 10,600 SH SOLE 10,600
------------------------------------------------------------------------------------------------------------------------------------
HOME DEPOT INC COMMON 437076102 3,501 135,210 SH SOLE 135,210
------------------------------------------------------------------------------------------------------------------------------------
HSBC HOLDINGS PLC -ADR ADR 404280406 3,225 39,900 SH SOLE 39,900
------------------------------------------------------------------------------------------------------------------------------------
HUB GROUP INC -CL A CLASS A 443320106 7,398 196,500 SH SOLE 196,500
------------------------------------------------------------------------------------------------------------------------------------
Page 5 of 9 09/30/2008
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
------------------------------------------------------------------------------------------------------------------------------------
HUMANA INC COMMON 444859102 5,195 126,100 SH SOLE 126,100
------------------------------------------------------------------------------------------------------------------------------------
ING GROEP NV -ADR ADR 456837103 1,866 87,200 SH SOLE 87,200
------------------------------------------------------------------------------------------------------------------------------------
INNOPHOS HOLDINGS INC COMMON 45774N108 1,022 41,900 SH SOLE 41,900
------------------------------------------------------------------------------------------------------------------------------------
INTEROIL CORP ADR 460951106 1,251 45,500 SH SOLE 45,500
------------------------------------------------------------------------------------------------------------------------------------
J.P. MORGAN CHASE & COMPANY COMMON 46625H100 7,288 156,065 SH SOLE 156,065
------------------------------------------------------------------------------------------------------------------------------------
JACOBS ENGINEERING GROUP
INC COMMON 469814107 6,436 118,500 SH SOLE 118,500
------------------------------------------------------------------------------------------------------------------------------------
KB FINANCIAL GROUP, INC. ADR 48241A105 2,138 46,800 SH SOLE 46,800
------------------------------------------------------------------------------------------------------------------------------------
KEYCORP COMMON 493267108 1,771 148,300 SH SOLE 148,300
------------------------------------------------------------------------------------------------------------------------------------
L-3 COMMUNICATIONS HLDGS
INC COMMON 502424104 9,881 100,500 SH SOLE 100,500
------------------------------------------------------------------------------------------------------------------------------------
LACLEDE GROUP INC COMMON 505597104 1,610 33,200 SH SOLE 33,200
------------------------------------------------------------------------------------------------------------------------------------
LAUDER (ESTEE) COS INC
-CL A CLASS A 518439104 8,036 161,000 SH SOLE 161,000
------------------------------------------------------------------------------------------------------------------------------------
LENNOX INTERNATIONAL INC COMMON 526107107 7,163 215,300 SH SOLE 215,300
------------------------------------------------------------------------------------------------------------------------------------
LG PHILIPS LCD CO LTD -ADR ADR 50186V102 5,499 433,000 SH SOLE 433,000
------------------------------------------------------------------------------------------------------------------------------------
LIFEPOINT HOSPITALS INC COMMON 53219L109 7,923 246,500 SH SOLE 246,500
------------------------------------------------------------------------------------------------------------------------------------
LLOYDS TSB GROUP PLC -ADR ADR 539439109 1,474 88,100 SH SOLE 88,100
------------------------------------------------------------------------------------------------------------------------------------
LSB INDUSTRIES INC COMMON 502160104 6,016 434,400 SH SOLE 434,400
------------------------------------------------------------------------------------------------------------------------------------
MANTECH INTL CORP COMMON 564563104 9,913 167,200 SH SOLE 167,200
------------------------------------------------------------------------------------------------------------------------------------
MARSHALL & ILSLEY CORP COMMON 571837103 2,396 118,900 SH SOLE 118,900
------------------------------------------------------------------------------------------------------------------------------------
MASCO CORP COMMON 574599106 2,745 153,000 SH SOLE 153,000
------------------------------------------------------------------------------------------------------------------------------------
MASSEY ENERGY CO COMMON 576206106 11,571 324,400 SH SOLE 324,400
------------------------------------------------------------------------------------------------------------------------------------
MATTEL INC COMMON 577081102 3,069 170,100 SH SOLE 170,100
------------------------------------------------------------------------------------------------------------------------------------
Page 6 of 9 09/30/2008
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
------------------------------------------------------------------------------------------------------------------------------------
MCKESSON CORP COMMON 58155Q103 8,572 159,300 SH SOLE 159,300
------------------------------------------------------------------------------------------------------------------------------------
MDU RESOURCES GROUP INC COMMON 552690109 1,114 38,400 SH SOLE 38,400
------------------------------------------------------------------------------------------------------------------------------------
MEDCO HEALTH SOLUTIONS INC COMMON 58405U102 9,185 204,100 SH SOLE 204,100
------------------------------------------------------------------------------------------------------------------------------------
MERCK & CO., INC. COMMON 589331107 4,122 130,600 SH SOLE 130,600
------------------------------------------------------------------------------------------------------------------------------------
METALICO INC COMMON 591176102 482 81,720 SH SOLE 81,720
------------------------------------------------------------------------------------------------------------------------------------
MOLINA HEALTHCARE INC COMMON 60855R100 8,519 274,800 SH SOLE 274,800
------------------------------------------------------------------------------------------------------------------------------------
MULTI-FINELINE ELECTRON INC COMMON 62541B101 716 48,400 SH SOLE 48,400
------------------------------------------------------------------------------------------------------------------------------------
MURPHY OIL CORP COMMON 626717102 879 13,700 SH SOLE 13,700
------------------------------------------------------------------------------------------------------------------------------------
MWI VETERINARY SUPPLY COMMON 55402X105 10,282 261,700 SH SOLE 261,700
------------------------------------------------------------------------------------------------------------------------------------
NATIONAL CITY CORP COMMON 635405103 354 202,300 SH SOLE 202,300
------------------------------------------------------------------------------------------------------------------------------------
NCI INC COMMON 62886K104 1,666 58,500 SH SOLE 58,500
------------------------------------------------------------------------------------------------------------------------------------
NORTHWEST NATURAL GAS CO COMMON 667655104 11,149 214,400 SH SOLE 214,400
------------------------------------------------------------------------------------------------------------------------------------
ODYSSEY RE HOLDINGS CORP COMMON 67612W108 8,935 204,000 SH SOLE 204,000
------------------------------------------------------------------------------------------------------------------------------------
OIL STATES INTL INC COMMON 678026105 746 21,100 SH SOLE 21,100
------------------------------------------------------------------------------------------------------------------------------------
OLYMPIC STEEL INC COMMON 68162K106 519 17,600 SH SOLE 17,600
------------------------------------------------------------------------------------------------------------------------------------
OTTER TAIL CORP COMMON 689648103 1,060 34,500 SH SOLE 34,500
------------------------------------------------------------------------------------------------------------------------------------
OVERSTOCK.COM INC COMMON 690370101 1,022 51,600 SH SOLE 51,600
------------------------------------------------------------------------------------------------------------------------------------
OWENS & MINOR INC COMMON 690732102 8,269 170,500 SH SOLE 170,500
------------------------------------------------------------------------------------------------------------------------------------
OWENS-ILLINOIS INC COMMON 690768403 6,888 234,300 SH SOLE 234,300
------------------------------------------------------------------------------------------------------------------------------------
PANERA BREAD CO COMMON 69840W108 7,381 145,000 SH SOLE 145,000
------------------------------------------------------------------------------------------------------------------------------------
PENTAIR INC COMMON 709631105 7,187 207,900 SH SOLE 207,900
------------------------------------------------------------------------------------------------------------------------------------
Page 7 of 9 09/30/2008
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
------------------------------------------------------------------------------------------------------------------------------------
PEPSI BOTTLING GROUP INC COMMON 713409100 7,520 257,800 SH SOLE 257,800
------------------------------------------------------------------------------------------------------------------------------------
PEPSIAMERICAS INC COMMON 71343P200 6,684 322,600 SH SOLE 322,600
------------------------------------------------------------------------------------------------------------------------------------
PFIZER INC COMMON 717081103 8,497 460,790 SH SOLE 460,790
------------------------------------------------------------------------------------------------------------------------------------
PHI INC COMMON 69336T205 1,230 33,300 SH SOLE 33,300
------------------------------------------------------------------------------------------------------------------------------------
PHILIP MORRIS INTERNATIONAL COMMON 718172109 4,417 91,820 SH SOLE 91,820
------------------------------------------------------------------------------------------------------------------------------------
PIEDMONT NATURAL GAS CO COMMON 720186105 7,888 246,800 SH SOLE 246,800
------------------------------------------------------------------------------------------------------------------------------------
PITNEY BOWES INC COMMON 724479100 3,010 90,500 SH SOLE 90,500
------------------------------------------------------------------------------------------------------------------------------------
PNC FINANCIAL SVCS GROUP
INC COMMON 693475105 3,877 51,900 SH SOLE 51,900
------------------------------------------------------------------------------------------------------------------------------------
PRICESMART INC COMMON 741511109 5,854 349,700 SH SOLE 349,700
------------------------------------------------------------------------------------------------------------------------------------
QWEST COMMUNICATION INTL
INC COMMON 749121109 1,549 479,600 SH SOLE 479,600
------------------------------------------------------------------------------------------------------------------------------------
RALCORP HOLDINGS INC COMMON 751028101 8,238 122,200 SH SOLE 122,200
------------------------------------------------------------------------------------------------------------------------------------
RAYMOND JAMES FINANCIAL
CORP COMMON 754730109 7,074 214,500 SH SOLE 214,500
------------------------------------------------------------------------------------------------------------------------------------
REGIONS FINL CORP COMMON 7591EP100 1,345 140,100 SH SOLE 140,100
------------------------------------------------------------------------------------------------------------------------------------
REHABCARE GROUP INC COMMON 759148109 8,042 444,300 SH SOLE 444,300
------------------------------------------------------------------------------------------------------------------------------------
RELIANCE STEEL & ALUMINUM
CO COMMON 759509102 661 17,400 SH SOLE 17,400
------------------------------------------------------------------------------------------------------------------------------------
RENT-A-CENTER INC COMMON 76009N100 7,595 340,900 SH SOLE 340,900
------------------------------------------------------------------------------------------------------------------------------------
REYNOLDS AMERICAN INC COMMON 761713106 2,441 50,200 SH SOLE 50,200
------------------------------------------------------------------------------------------------------------------------------------
ROSS STORES INC COMMON 778296103 8,065 219,100 SH SOLE 219,100
------------------------------------------------------------------------------------------------------------------------------------
RWE AG VORMA -ADR ADR 74975E303 7,067 73,500 SH SOLE 73,500
------------------------------------------------------------------------------------------------------------------------------------
RYDER SYSTEM INC COMMON 783549108 1,203 19,400 SH SOLE 19,400
------------------------------------------------------------------------------------------------------------------------------------
SALLY BEAUTY HOLDINGS INC COMMON 79546E104 7,070 822,100 SH SOLE 822,100
------------------------------------------------------------------------------------------------------------------------------------
Page 8 of 9 09/30/2008
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
------------------------------------------------------------------------------------------------------------------------------------
SASOL LTD -ADR ADR 803866300 3,038 71,500 SH SOLE 71,500
------------------------------------------------------------------------------------------------------------------------------------
SCHNITZER STEEL INDS -CL A CLASS A 806882106 459 11,700 SH SOLE 11,700
------------------------------------------------------------------------------------------------------------------------------------
SIEMENS AG -ADR ADR 826197501 6,995 74,500 SH SOLE 74,500
------------------------------------------------------------------------------------------------------------------------------------
SMITH (A O) CORP COMMON 831865209 7,211 184,000 SH SOLE 184,000
------------------------------------------------------------------------------------------------------------------------------------
SNAP-ON INC COMMON 833034101 7,393 140,400 SH SOLE 140,400
------------------------------------------------------------------------------------------------------------------------------------
SONY CORP -ADR ADR 835699307 5,868 190,100 SH SOLE 190,100
------------------------------------------------------------------------------------------------------------------------------------
SOUTHERN COPPER CORP COMMON 84265V105 1,830 95,900 SH SOLE 95,900
------------------------------------------------------------------------------------------------------------------------------------
SPX CORP COMMON 784635104 785 10,200 SH SOLE 10,200
------------------------------------------------------------------------------------------------------------------------------------
STANLEY INC COMMON 854532108 13,402 363,100 SH SOLE 363,100
------------------------------------------------------------------------------------------------------------------------------------
STATOILHYDRO ASA -ADR ADR 85771P102 852 35,800 SH SOLE 35,800
------------------------------------------------------------------------------------------------------------------------------------
STEEL DYNAMICS INC COMMON 858119100 7,342 429,600 SH SOLE 429,600
------------------------------------------------------------------------------------------------------------------------------------
STEPAN CO COMMON 858586100 1,599 29,300 SH SOLE 29,300
------------------------------------------------------------------------------------------------------------------------------------
STIFEL FINANCIAL CORP COMMON 860630102 8,029 160,900 SH SOLE 160,900
------------------------------------------------------------------------------------------------------------------------------------
STONERIDGE INC COMMON 86183P102 883 78,500 SH SOLE 78,500
------------------------------------------------------------------------------------------------------------------------------------
SUN HEALTHCARE GROUP INC COMMON 866933401 8,485 578,800 SH SOLE 578,800
------------------------------------------------------------------------------------------------------------------------------------
TAIWAN SEMICONDUCTOR -ADR ADR 874039100 3,280 350,100 SH SOLE 350,100
------------------------------------------------------------------------------------------------------------------------------------
TECO ENERGY INC COMMON 872375100 980 62,300 SH SOLE 62,300
------------------------------------------------------------------------------------------------------------------------------------
TELE NORTE LESTE -ADR ADR 879246106 7,440 426,100 SH SOLE 426,100
------------------------------------------------------------------------------------------------------------------------------------
TELEDYNE TECHNOLOGIES INC COMMON 879360105 19,612 343,100 SH SOLE 343,100
------------------------------------------------------------------------------------------------------------------------------------
TENET HEALTHCARE CORP COMMON 88033G100 7,274 1,310,700 SH SOLE 1,310,700
------------------------------------------------------------------------------------------------------------------------------------
TETRA TECH INC COMMON 88162G103 6,968 289,600 SH SOLE 289,600
------------------------------------------------------------------------------------------------------------------------------------
Page 9 of 9 09/30/2008
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
------------------------------------------------------------------------------------------------------------------------------------
TOTAL SA -ADR ADR 89151E109 7,603 125,300 SH SOLE 125,300
------------------------------------------------------------------------------------------------------------------------------------
U S BANCORP COMMON 902973304 3,706 102,900 SH SOLE 102,900
------------------------------------------------------------------------------------------------------------------------------------
UTSTARCOM INC COMMON 918076100 825 244,800 SH SOLE 244,800
------------------------------------------------------------------------------------------------------------------------------------
VECTREN CORP COMMON 92240G101 1,195 42,900 SH SOLE 42,900
------------------------------------------------------------------------------------------------------------------------------------
VERIZON COMMUNICATIONS COMMON 92343V104 8,071 251,510 SH SOLE 251,510
------------------------------------------------------------------------------------------------------------------------------------
WACHOVIA CORP COMMON 929903102 301 86,100 SH SOLE 86,100
------------------------------------------------------------------------------------------------------------------------------------
WELLS FARGO & CO COMMON 949746101 4,196 111,800 SH SOLE 111,800
------------------------------------------------------------------------------------------------------------------------------------
WESTERN DIGITAL CORP COMMON 958102105 827 38,800 SH SOLE 38,800
------------------------------------------------------------------------------------------------------------------------------------
WILLBROS GROUP INC ADR 969199108 811 30,600 SH SOLE 30,600
------------------------------------------------------------------------------------------------------------------------------------
TOTAL 872,887
------------------------------------------------------------------------------------------------------------------------------------