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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, 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 April 21, 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: $1,057,102
----------------------
(thousands)
List of Other Included Managers: NONE
Page 1 of 9 03/31/2008
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 1,860 218,600 SH SOLE 218,600
------------------------------------------------------------------------------------------------------------------------------------
A T & T INC COMMON 00206R102 10,585 276,380 SH SOLE 276,380
------------------------------------------------------------------------------------------------------------------------------------
AEGON NV ADR 007924103 2,932 200,300 SH SOLE 200,300
------------------------------------------------------------------------------------------------------------------------------------
AETNA INC COMMON 00817Y108 9,331 221,700 SH SOLE 221,700
------------------------------------------------------------------------------------------------------------------------------------
AGCO CORP COMMON 001084102 12,144 202,800 SH SOLE 202,800
------------------------------------------------------------------------------------------------------------------------------------
AIRGAS INC COMMON 009363102 5,497 120,900 SH SOLE 120,900
------------------------------------------------------------------------------------------------------------------------------------
AK STEEL HOLDING CORP COMMON 001547108 10,291 189,100 SH SOLE 189,100
------------------------------------------------------------------------------------------------------------------------------------
ALLIANCE IMAGING INC COMMON 018606202 11,574 1,345,800 SH SOLE 1,345,800
------------------------------------------------------------------------------------------------------------------------------------
ALLIANT TECHSYSTEMS INC COMMON 018804104 6,119 59,100 SH SOLE 59,100
------------------------------------------------------------------------------------------------------------------------------------
ALLIED IRISH BANKS -ADR ADR 019228402 3,329 77,100 SH SOLE 77,100
------------------------------------------------------------------------------------------------------------------------------------
ALPHA NATURAL RESOURCES INC COMMON 02076X102 30,569 703,700 SH SOLE 703,700
------------------------------------------------------------------------------------------------------------------------------------
ALTRIA GROUP INC COMMON 02209S103 3,076 138,545 SH SOLE 138,545
------------------------------------------------------------------------------------------------------------------------------------
AMKOR TECHNOLOGY INC COMMON 031652100 1,571 146,800 SH SOLE 146,800
------------------------------------------------------------------------------------------------------------------------------------
ANIXTER INTL INC COMMON 035290105 4,963 77,500 SH SOLE 77,500
------------------------------------------------------------------------------------------------------------------------------------
AON CORP COMMON 037389103 11,590 288,300 SH SOLE 288,300
------------------------------------------------------------------------------------------------------------------------------------
ARCELOR MITTAL -ADR ADR 03938L104 2,691 32,900 SH SOLE 32,900
------------------------------------------------------------------------------------------------------------------------------------
ARCHER-DANIELS-MIDLAND CO COMMON 039483102 12,113 294,300 SH SOLE 294,300
------------------------------------------------------------------------------------------------------------------------------------
ARROW ELECTRONICS INC COMMON 042735100 5,209 154,800 SH SOLE 154,800
------------------------------------------------------------------------------------------------------------------------------------
ASSURANT INC COMMON 04621X108 11,989 197,000 SH SOLE 197,000
------------------------------------------------------------------------------------------------------------------------------------
ASTEC INDUSTRIES INC COMMON 046224101 1,756 45,300 SH SOLE 45,300
------------------------------------------------------------------------------------------------------------------------------------
AVNET INC COMMON 053807103 1,617 49,400 SH SOLE 49,400
------------------------------------------------------------------------------------------------------------------------------------
Page 2 of 9 03/31/2008
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 13,456 378,200 SH SOLE 378,200
------------------------------------------------------------------------------------------------------------------------------------
BANK of AMERICA CORP COMMON 060505104 4,013 105,850 SH SOLE 105,850
------------------------------------------------------------------------------------------------------------------------------------
BARCLAYS PLC/ENGLAND -ADR ADR 06738E204 2,947 81,400 SH SOLE 81,400
------------------------------------------------------------------------------------------------------------------------------------
BARNES GROUP INC COMMON 067806109 5,809 253,100 SH SOLE 253,100
------------------------------------------------------------------------------------------------------------------------------------
BASF AG -ADR ADR 055262505 11,939 88,500 SH SOLE 88,500
------------------------------------------------------------------------------------------------------------------------------------
BB&T CORP COMMON 054937107 3,402 106,100 SH SOLE 106,100
------------------------------------------------------------------------------------------------------------------------------------
BP PLC -ADS ADR 055622104 2,832 46,700 SH SOLE 46,700
------------------------------------------------------------------------------------------------------------------------------------
BRISTOL MYERS SQUIBB COMMON 110122108 2,631 123,500 SH SOLE 123,500
------------------------------------------------------------------------------------------------------------------------------------
BRISTOW GROUP INC COMMON 110394103 12,473 232,400 SH SOLE 232,400
------------------------------------------------------------------------------------------------------------------------------------
BRUSH ENGINEERED MATERIALS COMMON 117421107 3,019 117,600 SH SOLE 117,600
------------------------------------------------------------------------------------------------------------------------------------
BT GROUP PLC -ADR ADR 05577E101 2,616 60,700 SH SOLE 60,700
------------------------------------------------------------------------------------------------------------------------------------
BUCKEYE TECHNOLOGIES INC COMMON 118255108 1,567 140,400 SH SOLE 140,400
------------------------------------------------------------------------------------------------------------------------------------
BUNGE LTD COMMON Sedol
2788713 8,966 103,200 SH SOLE 103,200
------------------------------------------------------------------------------------------------------------------------------------
CAL-MAINE FOODS INC COMMON 128030202 3,572 107,000 SH SOLE 107,000
------------------------------------------------------------------------------------------------------------------------------------
CARNIVAL CORP/PLC (USA) COMMON 143658300 3,117 77,000 SH SOLE 77,000
------------------------------------------------------------------------------------------------------------------------------------
CBIZ INC COMMON 124805102 11,606 1,429,300 SH SOLE 1,429,300
------------------------------------------------------------------------------------------------------------------------------------
CBS CORP COMMON 124857202 2,928 132,600 SH SOLE 132,600
------------------------------------------------------------------------------------------------------------------------------------
CELANESE CORP COMMON 150870103 2,261 57,900 SH SOLE 57,900
------------------------------------------------------------------------------------------------------------------------------------
CHART INDUSTRIES INC COMMON 16115Q308 2,521 74,500 SH SOLE 74,500
------------------------------------------------------------------------------------------------------------------------------------
CHICAGO BRIDGE & IRON CO ADR 167250109 9,622 245,200 SH SOLE 245,200
------------------------------------------------------------------------------------------------------------------------------------
CHUNGHWA TELECOM CO -ADR ADR 17133Q304 4,392 168,809 SH SOLE 168,809
------------------------------------------------------------------------------------------------------------------------------------
Page 3 of 9 03/31/2008
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
------------------------------------------------------------------------------------------------------------------------------------
CIGNA CORP COMMON 125509109 9,457 233,100 SH SOLE 233,100
------------------------------------------------------------------------------------------------------------------------------------
CIT GROUP INC COMMON 125581108 1,660 140,100 SH SOLE 140,100
------------------------------------------------------------------------------------------------------------------------------------
CITIGROUP INC COMMON 172967101 6,483 302,655 SH SOLE 302,655
------------------------------------------------------------------------------------------------------------------------------------
CNH GLOBAL NV ADR sedol
2534778 1,972 37,900 SH SOLE 37,900
------------------------------------------------------------------------------------------------------------------------------------
COCA-COLA FEMSA DE C V
-ADR ADR 191241108 15,541 275,900 SH SOLE 275,900
------------------------------------------------------------------------------------------------------------------------------------
CONSTELLATION ENERGY GRP
INC COMMON 210371100 10,945 124,000 SH SOLE 124,000
------------------------------------------------------------------------------------------------------------------------------------
CORN PRODUCTS INTL INC COMMON 219023108 5,088 137,000 SH SOLE 137,000
------------------------------------------------------------------------------------------------------------------------------------
COSTCO WHOLESALE CORP COMMON 22160K105 12,201 187,800 SH SOLE 187,800
------------------------------------------------------------------------------------------------------------------------------------
COUNTRYWIDE FINANCIAL CORP COMMON 222372104 1,945 353,700 SH SOLE 353,700
------------------------------------------------------------------------------------------------------------------------------------
CPI CORP COMMON 125902106 587 34,000 SH SOLE 34,000
------------------------------------------------------------------------------------------------------------------------------------
CUMMINS INC COMMON 231021106 1,746 37,300 SH SOLE 37,300
------------------------------------------------------------------------------------------------------------------------------------
DEUTSCHE TELEKOM AG -ADR ADR 251566105 2,663 160,600 SH SOLE 160,600
------------------------------------------------------------------------------------------------------------------------------------
DIAGEO PLC -ADR ADR 25243Q205 3,293 40,500 SH SOLE 40,500
------------------------------------------------------------------------------------------------------------------------------------
DICKS SPORTING GOODS INC COMMON 253393102 5,187 193,700 SH SOLE 193,700
------------------------------------------------------------------------------------------------------------------------------------
DOW CHEMICAL COMMON 260543103 2,963 80,400 SH SOLE 80,400
------------------------------------------------------------------------------------------------------------------------------------
DU PONT (E I) DE NEMOURS COMMON 263534109 10,792 230,805 SH SOLE 230,805
------------------------------------------------------------------------------------------------------------------------------------
DYNCORP INTL INC COMMON 26817C101 10,378 622,200 SH SOLE 622,200
------------------------------------------------------------------------------------------------------------------------------------
EMBARQ CORP COMMON 29078E105 2,815 70,200 SH SOLE 70,200
------------------------------------------------------------------------------------------------------------------------------------
EMERGENCY MEDICAL SVCS CORP COMMON 29100P102 1,247 50,500 SH SOLE 50,500
------------------------------------------------------------------------------------------------------------------------------------
EMS TECHNOLOGIES INC COMMON 26873N108 12,883 474,700 SH SOLE 474,700
------------------------------------------------------------------------------------------------------------------------------------
ENBRIDGE INC ADR 29250N105 13,583 330,000 SH SOLE 330,000
------------------------------------------------------------------------------------------------------------------------------------
Page 4 of 9 03/31/2008
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
------------------------------------------------------------------------------------------------------------------------------------
ENERSYS INC COMMON 29275Y102 11,321 473,300 SH SOLE 473,300
------------------------------------------------------------------------------------------------------------------------------------
ENI SPA -ADR ADR 26874R108 3,344 49,100 SH SOLE 49,100
------------------------------------------------------------------------------------------------------------------------------------
ENTERPRISE PRODS PRTNER
-LP COMMON 293792107 3,341 112,500 SH SOLE 112,500
------------------------------------------------------------------------------------------------------------------------------------
ESTERLINE TECHNOLOGIES CORP COMMON 297425100 6,105 121,200 SH SOLE 121,200
------------------------------------------------------------------------------------------------------------------------------------
EXPRESS SCRIPTS INC COMMON 302182100 11,494 178,700 SH SOLE 178,700
------------------------------------------------------------------------------------------------------------------------------------
FAIRFAX FINANCIAL HOLDINGS ADR 303901102 13,465 46,900 SH SOLE 46,900
------------------------------------------------------------------------------------------------------------------------------------
FIAT SPA -ADR ADR 315621888 1,585 67,900 SH SOLE 67,900
------------------------------------------------------------------------------------------------------------------------------------
FLOWSERVE CORP COMMON 34354P105 23,788 227,900 SH SOLE 227,900
------------------------------------------------------------------------------------------------------------------------------------
FRANCE TELECOM -ADR ADR 35177Q105 3,304 98,400 SH SOLE 98,400
------------------------------------------------------------------------------------------------------------------------------------
FRESH DEL MONTE PRODUCE INC ADR Sedol
2118707 13,756 377,900 SH SOLE 377,900
------------------------------------------------------------------------------------------------------------------------------------
GAMESTOP CORP COMMON 36467W109 2,668 51,600 SH SOLE 51,600
------------------------------------------------------------------------------------------------------------------------------------
GANNETT CO COMMON 364730101 2,853 98,200 SH SOLE 98,200
------------------------------------------------------------------------------------------------------------------------------------
GENERAL CABLE CORP/DE COMMON 369300108 1,536 26,000 SH SOLE 26,000
------------------------------------------------------------------------------------------------------------------------------------
GENERAL ELECTRIC CO. COMMON 369604103 6,226 168,220 SH SOLE 168,220
------------------------------------------------------------------------------------------------------------------------------------
GENERAL MOTORS CORP COMMON 370442105 6,614 347,185 SH SOLE 347,185
------------------------------------------------------------------------------------------------------------------------------------
GENESIS ENERGY -LP COMMON 371927104 1,145 60,800 SH SOLE 60,800
------------------------------------------------------------------------------------------------------------------------------------
GLAXOSMITHKLINE PLC -ADR ADR 37733W105 2,775 65,400 SH SOLE 65,400
------------------------------------------------------------------------------------------------------------------------------------
GOODRICH CORP COMMON 382388106 5,412 94,100 SH SOLE 94,100
------------------------------------------------------------------------------------------------------------------------------------
GRACE (W R) & CO COMMON 38388F108 4,899 214,700 SH SOLE 214,700
------------------------------------------------------------------------------------------------------------------------------------
HARDINGE INC COMMON 412324303 780 56,700 SH SOLE 56,700
------------------------------------------------------------------------------------------------------------------------------------
HARSCO CORP COMMON 415864107 6,009 108,500 SH SOLE 108,500
------------------------------------------------------------------------------------------------------------------------------------
Page 5 of 9 03/31/2008
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
------------------------------------------------------------------------------------------------------------------------------------
HEWITT ASSOCIATES INC COMMON 42822Q100 7,349 184,800 SH SOLE 184,800
------------------------------------------------------------------------------------------------------------------------------------
HOME DEPOT INC COMMON 437076102 3,348 119,710 SH SOLE 119,710
------------------------------------------------------------------------------------------------------------------------------------
HORIZON LINES INC COMMON 44044K101 1,131 60,800 SH SOLE 60,800
------------------------------------------------------------------------------------------------------------------------------------
HSBC HOLDINGS PLC -ADR ADR 404280406 3,383 41,100 SH SOLE 41,100
------------------------------------------------------------------------------------------------------------------------------------
HUDSON HIGHLAND GROUP INC COMMON 443792106 1,001 118,200 SH SOLE 118,200
------------------------------------------------------------------------------------------------------------------------------------
HUMANA INC COMMON 444859102 6,917 154,200 SH SOLE 154,200
------------------------------------------------------------------------------------------------------------------------------------
ICO INC COMMON 449293109 1,339 192,900 SH SOLE 192,900
------------------------------------------------------------------------------------------------------------------------------------
ING GROEP NV -ADR ADR 456837103 3,360 89,900 SH SOLE 89,900
------------------------------------------------------------------------------------------------------------------------------------
INNOSPEC INC ADR 45768S105 1,509 71,200 SH SOLE 71,200
------------------------------------------------------------------------------------------------------------------------------------
INTEGRATED ELECTRICAL SVCS COMMON 45811E301 1,040 66,200 SH SOLE 66,200
------------------------------------------------------------------------------------------------------------------------------------
IOMEGA CORP COMMON 462030305 1,432 401,100 SH SOLE 401,100
------------------------------------------------------------------------------------------------------------------------------------
J.P. MORGAN CHASE & COMPANY COMMON 46625H100 6,777 157,780 SH SOLE 157,780
------------------------------------------------------------------------------------------------------------------------------------
JACOBS ENGINEERING GROUP
INC COMMON 469814107 10,663 144,900 SH SOLE 144,900
------------------------------------------------------------------------------------------------------------------------------------
KAMAN CORP COMMON 483548103 1,796 63,500 SH SOLE 63,500
------------------------------------------------------------------------------------------------------------------------------------
KEYCORP COMMON 493267108 3,356 152,900 SH SOLE 152,900
------------------------------------------------------------------------------------------------------------------------------------
KOOKMIN BANK -ADR ADR 50049M109 2,707 48,300 SH SOLE 48,300
------------------------------------------------------------------------------------------------------------------------------------
L-3 COMMUNICATIONS HLDGS
INC COMMON 502424104 13,427 122,800 SH SOLE 122,800
------------------------------------------------------------------------------------------------------------------------------------
LG PHILIPS LCD CO LTD -ADR ADR 50186V102 11,824 529,500 SH SOLE 529,500
------------------------------------------------------------------------------------------------------------------------------------
LLOYDS TSB GROUP PLC -ADR ADR 539439109 3,260 90,800 SH SOLE 90,800
------------------------------------------------------------------------------------------------------------------------------------
LSB INDUSTRIES INC COMMON 502160104 9,316 632,000 SH SOLE 632,000
------------------------------------------------------------------------------------------------------------------------------------
LUBRIZOL CORP COMMON 549271104 5,251 94,600 SH SOLE 94,600
------------------------------------------------------------------------------------------------------------------------------------
Page 6 of 9 03/31/2008
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 2,844 122,600 SH SOLE 122,600
------------------------------------------------------------------------------------------------------------------------------------
MASCO CORP COMMON 574599106 3,129 157,800 SH SOLE 157,800
------------------------------------------------------------------------------------------------------------------------------------
MASSEY ENERGY CO COMMON 576206106 14,476 396,600 SH SOLE 396,600
------------------------------------------------------------------------------------------------------------------------------------
MATRIX SERVICE COMPANY COMMON 576853105 1,496 87,100 SH SOLE 87,100
------------------------------------------------------------------------------------------------------------------------------------
MATTEL INC COMMON 577081102 3,490 175,400 SH SOLE 175,400
------------------------------------------------------------------------------------------------------------------------------------
MCKESSON CORP COMMON 58155Q103 10,202 194,800 SH SOLE 194,800
------------------------------------------------------------------------------------------------------------------------------------
MEDCO HEALTH SOLUTIONS INC COMMON 58405U102 10,930 249,600 SH SOLE 249,600
------------------------------------------------------------------------------------------------------------------------------------
MERCK & CO., INC. COMMON 589331107 4,831 127,300 SH SOLE 127,300
------------------------------------------------------------------------------------------------------------------------------------
METHODE ELECTRONICS -CL A CLASS A 591520200 1,416 121,100 SH SOLE 121,100
------------------------------------------------------------------------------------------------------------------------------------
MFRI INC COMMON 552721102 1,219 75,800 SH SOLE 75,800
------------------------------------------------------------------------------------------------------------------------------------
MIVA INC COMMON 55311R108 515 308,000 SH SOLE 308,000
------------------------------------------------------------------------------------------------------------------------------------
MOLINA HEALTHCARE INC COMMON 60855R100 8,205 336,000 SH SOLE 336,000
------------------------------------------------------------------------------------------------------------------------------------
MWI VETERINARY SUPPLY COMMON 55402X105 11,283 320,000 SH SOLE 320,000
------------------------------------------------------------------------------------------------------------------------------------
NALCO HOLDING CO COMMON 62985Q101 4,545 214,900 SH SOLE 214,900
------------------------------------------------------------------------------------------------------------------------------------
NATIONAL CITY CORP COMMON 635405103 2,076 208,600 SH SOLE 208,600
------------------------------------------------------------------------------------------------------------------------------------
NEXSTAR BROADCASTING GROUP COMMON 65336K103 1,010 171,200 SH SOLE 171,200
------------------------------------------------------------------------------------------------------------------------------------
NORTHWEST NATURAL GAS CO COMMON 667655104 11,390 262,200 SH SOLE 262,200
------------------------------------------------------------------------------------------------------------------------------------
OIL STATES INTL INC COMMON 678026105 6,273 140,000 SH SOLE 140,000
------------------------------------------------------------------------------------------------------------------------------------
OSHKOSH TRUCK CORP COMMON 688239201 3,849 106,100 SH SOLE 106,100
------------------------------------------------------------------------------------------------------------------------------------
OWENS-ILLINOIS INC COMMON 690768403 27,984 495,900 SH SOLE 495,900
------------------------------------------------------------------------------------------------------------------------------------
PAREXEL INTERNATIONAL CORP COMMON 699462107 7,579 290,400 SH SOLE 290,400
------------------------------------------------------------------------------------------------------------------------------------
Page 7 of 9 03/31/2008
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 1,295 59,600 SH SOLE 59,600
------------------------------------------------------------------------------------------------------------------------------------
PEPSI BOTTLING GROUP INC COMMON 713409100 10,692 315,300 SH SOLE 315,300
------------------------------------------------------------------------------------------------------------------------------------
PEPSIAMERICAS INC COMMON 71343P200 10,072 394,500 SH SOLE 394,500
------------------------------------------------------------------------------------------------------------------------------------
PERINI CORP COMMON 713839108 1,091 30,100 SH SOLE 30,100
------------------------------------------------------------------------------------------------------------------------------------
PFIZER INC COMMON 717081103 9,566 457,030 SH SOLE 457,030
------------------------------------------------------------------------------------------------------------------------------------
PHILIP MORRIS INTERNATIONAL COMMON 718172109 7,008 138,545 SH SOLE 138,545
------------------------------------------------------------------------------------------------------------------------------------
PINNACLE AIRLINES CORP COMMON 723443107 993 113,800 SH SOLE 113,800
------------------------------------------------------------------------------------------------------------------------------------
PITNEY BOWES INC COMMON 724479100 3,267 93,300 SH SOLE 93,300
------------------------------------------------------------------------------------------------------------------------------------
PNC FINANCIAL SVCS GROUP
INC COMMON 693475105 3,508 53,500 SH SOLE 53,500
------------------------------------------------------------------------------------------------------------------------------------
PRICESMART INC COMMON 741511109 14,243 514,000 SH SOLE 514,000
------------------------------------------------------------------------------------------------------------------------------------
QWEST COMMUNICATION INTL
INC COMMON 749121109 2,240 494,500 SH SOLE 494,500
------------------------------------------------------------------------------------------------------------------------------------
REGIONS FINL CORP COMMON 7591EP100 2,852 144,400 SH SOLE 144,400
------------------------------------------------------------------------------------------------------------------------------------
REHABCARE GROUP INC COMMON 759148109 8,106 540,400 SH SOLE 540,400
------------------------------------------------------------------------------------------------------------------------------------
RELIANT ENERGY INC COMMON 75952B105 1,717 72,600 SH SOLE 72,600
------------------------------------------------------------------------------------------------------------------------------------
REYNOLDS AMERICAN INC COMMON 761713106 3,058 51,800 SH SOLE 51,800
------------------------------------------------------------------------------------------------------------------------------------
ROBBINS & MYERS INC COMMON 770196103 2,423 74,200 SH SOLE 74,200
------------------------------------------------------------------------------------------------------------------------------------
RWE AG VORMA -ADR ADR 74975E303 11,017 89,900 SH SOLE 89,900
------------------------------------------------------------------------------------------------------------------------------------
SASOL LTD -ADR ADR 803866300 3,566 73,700 SH SOLE 73,700
------------------------------------------------------------------------------------------------------------------------------------
SCHNITZER STEEL INDS
-CL A CLASS A 806882106 6,569 92,500 SH SOLE 92,500
------------------------------------------------------------------------------------------------------------------------------------
SIEMENS AG -ADR ADR 826197501 9,924 91,100 SH SOLE 91,100
------------------------------------------------------------------------------------------------------------------------------------
SONY CORP -ADR ADR 835699307 9,316 232,500 SH SOLE 232,500
------------------------------------------------------------------------------------------------------------------------------------
Page 8 of 9 03/31/2008
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 3,426 33,000 SH SOLE 33,000
------------------------------------------------------------------------------------------------------------------------------------
SPX CORP COMMON 784635104 7,291 69,500 SH SOLE 69,500
------------------------------------------------------------------------------------------------------------------------------------
STANLEY INC COMMON 854532108 11,643 395,200 SH SOLE 395,200
------------------------------------------------------------------------------------------------------------------------------------
STEEL DYNAMICS INC COMMON 858119100 15,972 483,400 SH SOLE 483,400
------------------------------------------------------------------------------------------------------------------------------------
SUN HEALTHCARE GROUP INC COMMON 866933401 9,299 707,700 SH SOLE 707,700
------------------------------------------------------------------------------------------------------------------------------------
TAIWAN SEMICONDUCTOR -ADR ADR 874039100 3,689 359,200 SH SOLE 359,200
------------------------------------------------------------------------------------------------------------------------------------
TELE NORTE LESTE -ADR ADR 879246106 13,830 521,100 SH SOLE 521,100
------------------------------------------------------------------------------------------------------------------------------------
TELEDYNE TECHNOLOGIES INC COMMON 879360105 11,778 250,600 SH SOLE 250,600
------------------------------------------------------------------------------------------------------------------------------------
TEREX CORP COMMON 880779103 1,488 23,800 SH SOLE 23,800
------------------------------------------------------------------------------------------------------------------------------------
TERRA INDUSTRIES INC COMMON 880915103 9,590 269,900 SH SOLE 269,900
------------------------------------------------------------------------------------------------------------------------------------
TOTAL SA -ADR ADR 89151E109 11,338 153,200 SH SOLE 153,200
------------------------------------------------------------------------------------------------------------------------------------
TRIUMPH GROUP INC COMMON 896818101 4,594 80,700 SH SOLE 80,700
------------------------------------------------------------------------------------------------------------------------------------
TUPPERWARE BRANDS CORP COMMON 899896104 7,152 184,900 SH SOLE 184,900
------------------------------------------------------------------------------------------------------------------------------------
TWIN DISC INC COMMON 901476101 906 57,300 SH SOLE 57,300
------------------------------------------------------------------------------------------------------------------------------------
U S BANCORP COMMON 902973304 3,433 106,100 SH SOLE 106,100
------------------------------------------------------------------------------------------------------------------------------------
ULTRAPAR PARTICIPACOES
-ADR ADR 90400P101 2,158 62,600 SH SOLE 62,600
------------------------------------------------------------------------------------------------------------------------------------
URS CORP COMMON 903236107 3,491 106,800 SH SOLE 106,800
------------------------------------------------------------------------------------------------------------------------------------
VERIZON COMMUNICATIONS COMMON 92343V104 9,467 259,715 SH SOLE 259,715
------------------------------------------------------------------------------------------------------------------------------------
VOLVO AB SWE -ADR ADR 928856400 1,504 99,600 SH SOLE 99,600
------------------------------------------------------------------------------------------------------------------------------------
VSE CORP COMMON 918284100 1,225 43,400 SH SOLE 43,400
------------------------------------------------------------------------------------------------------------------------------------
WACHOVIA CORP COMMON 929903102 2,398 88,800 SH SOLE 88,800
------------------------------------------------------------------------------------------------------------------------------------
Page 9 of 9 03/31/2008
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 8,326 211,100 SH SOLE 211,100
------------------------------------------------------------------------------------------------------------------------------------
WASHINGTON MUTUAL INC COMMON 939322103 2,357 228,800 SH SOLE 228,800
------------------------------------------------------------------------------------------------------------------------------------
WELLCARE HEALTH PLANS INC COMMON 94946T106 3,093 79,400 SH SOLE 79,400
------------------------------------------------------------------------------------------------------------------------------------
WELLS FARGO & CO COMMON 949746101 3,355 115,300 SH SOLE 115,300
------------------------------------------------------------------------------------------------------------------------------------
WESTERN REFINING INC COMMON 959319104 501 37,200 SH SOLE 37,200
------------------------------------------------------------------------------------------------------------------------------------
TOTAL 1,057,102
------------------------------------------------------------------------------------------------------------------------------------