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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: December 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 January 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: 183
----------------------
Form 13F Information Table Value Total: $627,508
----------------------
(thousands)
List of Other Included Managers: NONE
Page 1 of 9 12/31/2008
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
------------------------------------------------------------------------------------------------------------------------------------
A T & T INC COM 00206R102 6,860 240,710 SH SOLE 240,710
------------------------------------------------------------------------------------------------------------------------------------
AECOM TECHNOLOGY CORP COM 00766T100 1,119 36,400 SH SOLE 36,400
------------------------------------------------------------------------------------------------------------------------------------
AEROPOSTALE INC COM 007865108 3,848 239,000 SH SOLE 239,000
------------------------------------------------------------------------------------------------------------------------------------
AETNA INC COM 00817Y108 4,637 162,700 SH SOLE 162,700
------------------------------------------------------------------------------------------------------------------------------------
AGCO CORP COM 001084102 3,510 148,800 SH SOLE 148,800
------------------------------------------------------------------------------------------------------------------------------------
AIRGAS INC COM 009363102 791 20,300 SH SOLE 20,300
------------------------------------------------------------------------------------------------------------------------------------
AK STEEL HOLDING CORP COM 001547108 163 17,500 SH SOLE 17,500
------------------------------------------------------------------------------------------------------------------------------------
ALCOA INC COM 013817101 4,047 359,370 SH SOLE 359,370
------------------------------------------------------------------------------------------------------------------------------------
ALLIANCE IMAGING INC COM 018606202 7,870 987,500 SH SOLE 987,500
------------------------------------------------------------------------------------------------------------------------------------
ALLIANZ SE -ADR ADR 018805101 1,995 184,200 SH SOLE 184,200
------------------------------------------------------------------------------------------------------------------------------------
ALLSTATE CORP COM 020002101 1,949 59,500 SH SOLE 59,500
------------------------------------------------------------------------------------------------------------------------------------
ALPHA NATURAL RESOURCES INC COM 02076X102 5,367 331,500 SH SOLE 331,500
------------------------------------------------------------------------------------------------------------------------------------
ALTRIA GROUP INC COM 02209S103 1,690 112,200 SH SOLE 112,200
------------------------------------------------------------------------------------------------------------------------------------
AMERICAN INTERNATIONAL
GROUP COM 026874107 47 30,110 SH SOLE 30,110
------------------------------------------------------------------------------------------------------------------------------------
AMERICA'S CAR-MART INC COM 03062T105 913 66,100 SH SOLE 66,100
------------------------------------------------------------------------------------------------------------------------------------
AON CORP COM 037389103 9,666 211,600 SH SOLE 211,600
------------------------------------------------------------------------------------------------------------------------------------
ARCELORMITTAL -ADR ADR 03938L104 2,164 88,000 SH SOLE 88,000
------------------------------------------------------------------------------------------------------------------------------------
ARCHER-DANIELS-MIDLAND CO COM 039483102 6,227 216,000 SH SOLE 216,000
------------------------------------------------------------------------------------------------------------------------------------
ARVINMERITOR INC COM 043353101 1,440 505,100 SH SOLE 505,100
------------------------------------------------------------------------------------------------------------------------------------
ASSURANT INC COM 04621X108 4,335 144,500 SH SOLE 144,500
------------------------------------------------------------------------------------------------------------------------------------
AU OPTRONICS CORP -ADR ADR 002255107 2,111 274,900 SH SOLE 274,900
------------------------------------------------------------------------------------------------------------------------------------
Page 2 of 9 12/31/2008
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
------------------------------------------------------------------------------------------------------------------------------------
AUTOZONE INC COM 053332102 8,452 60,600 SH SOLE 60,600
------------------------------------------------------------------------------------------------------------------------------------
AZZ INC COM 002474104 6,965 277,500 SH SOLE 277,500
------------------------------------------------------------------------------------------------------------------------------------
BANK of AMERICA CORP COM 060505104 4,182 297,010 SH SOLE 297,010
------------------------------------------------------------------------------------------------------------------------------------
BASF AG -ADR ADR 055262505 5,102 129,800 SH SOLE 129,800
------------------------------------------------------------------------------------------------------------------------------------
BB&T CORP COM 054937107 1,513 55,100 SH SOLE 55,100
------------------------------------------------------------------------------------------------------------------------------------
BOOTS&COOTS/INTL WELL
CONTRL COM 099469504 21 18,180 SH SOLE 18,180
------------------------------------------------------------------------------------------------------------------------------------
BP PLC -ADS ADR 055622104 1,729 37,000 SH SOLE 37,000
------------------------------------------------------------------------------------------------------------------------------------
BRADY CORP COM 104674106 5,037 210,300 SH SOLE 210,300
------------------------------------------------------------------------------------------------------------------------------------
BRISTOL MYERS SQUIBB COM 110122108 1,762 75,800 SH SOLE 75,800
------------------------------------------------------------------------------------------------------------------------------------
BRISTOW GROUP INC COM 110394103 4,568 170,500 SH SOLE 170,500
------------------------------------------------------------------------------------------------------------------------------------
BUNGE LTD COM G16962105 3,919 75,700 SH SOLE 75,700
------------------------------------------------------------------------------------------------------------------------------------
CAL-MAINE FOODS INC COM 128030202 1,053 36,700 SH SOLE 36,700
------------------------------------------------------------------------------------------------------------------------------------
CATERPILLAR INC COM 149123101 997 22,310 SH SOLE 22,310
------------------------------------------------------------------------------------------------------------------------------------
CBIZ INC COM 124805102 9,072 1,048,800 SH SOLE 1,048,800
------------------------------------------------------------------------------------------------------------------------------------
CBS CORP COM 124857202 1,782 217,600 SH SOLE 217,600
------------------------------------------------------------------------------------------------------------------------------------
CELANESE CORP COM 150870103 329 26,500 SH SOLE 26,500
------------------------------------------------------------------------------------------------------------------------------------
CELESTICA INC ADR 15101Q108 648 140,500 SH SOLE 140,500
------------------------------------------------------------------------------------------------------------------------------------
CHICAGO BRIDGE & IRON CO ADR 167250109 1,808 179,900 SH SOLE 179,900
------------------------------------------------------------------------------------------------------------------------------------
CIGNA CORP COM 125509109 2,881 171,000 SH SOLE 171,000
------------------------------------------------------------------------------------------------------------------------------------
CITIGROUP INC COM 172967101 1,721 256,555 SH SOLE 256,555
------------------------------------------------------------------------------------------------------------------------------------
CLEAN HARBORS INC COM 184496107 1,059 16,700 SH SOLE 16,700
------------------------------------------------------------------------------------------------------------------------------------
Page 3 of 9 12/31/2008
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
------------------------------------------------------------------------------------------------------------------------------------
CNOOC LTD -ADR ADR 126132109 1,981 20,800 SH SOLE 20,800
------------------------------------------------------------------------------------------------------------------------------------
COCA-COLA FEMSA DE C V
-ADR ADR 191241108 8,811 202,500 SH SOLE 202,500
------------------------------------------------------------------------------------------------------------------------------------
CONSTELLATION ENERGY GRP
INC COM 210371100 2,283 91,000 SH SOLE 91,000
------------------------------------------------------------------------------------------------------------------------------------
CONTINUCARE CORP COM 212172100 29 13,870 SH SOLE 13,870
------------------------------------------------------------------------------------------------------------------------------------
CORINTHIAN COLLEGES INC COM 218868107 7,736 472,600 SH SOLE 472,600
------------------------------------------------------------------------------------------------------------------------------------
COSTCO WHOLESALE CORP COM 22160K105 7,235 137,800 SH SOLE 137,800
------------------------------------------------------------------------------------------------------------------------------------
CREDIT SUISSE GROUP -ADR ADR 225401108 1,834 64,900 SH SOLE 64,900
------------------------------------------------------------------------------------------------------------------------------------
DAIMLER AG ADR sedol -
2307389 US 2,071 54,100 SH SOLE 54,100
------------------------------------------------------------------------------------------------------------------------------------
DEUTSCHE TELEKOM AG -ADR ADR 251566105 1,678 109,700 SH SOLE 109,700
------------------------------------------------------------------------------------------------------------------------------------
DONNELLEY (R R) & SONS CO COM 257867101 1,818 133,900 SH SOLE 133,900
------------------------------------------------------------------------------------------------------------------------------------
DOW CHEMICAL COM 260543103 1,277 84,600 SH SOLE 84,600
------------------------------------------------------------------------------------------------------------------------------------
DU PONT (E I) DE NEMOURS COM 263534109 5,311 209,915 SH SOLE 209,915
------------------------------------------------------------------------------------------------------------------------------------
DYNCORP INTL INC COM 26817C101 5,812 383,100 SH SOLE 383,100
------------------------------------------------------------------------------------------------------------------------------------
EMS TECHNOLOGIES INC COM 26873N108 9,043 349,550 SH SOLE 349,550
------------------------------------------------------------------------------------------------------------------------------------
ENBRIDGE INC ADR 29250N105 8,751 269,500 SH SOLE 269,500
------------------------------------------------------------------------------------------------------------------------------------
ENERSYS INC COM 29275Y102 4,201 381,900 SH SOLE 381,900
------------------------------------------------------------------------------------------------------------------------------------
ENGLOBAL CORP COM 293306106 270 83,200 SH SOLE 83,200
------------------------------------------------------------------------------------------------------------------------------------
ENI SPA -ADR ADR 26874R108 1,865 39,000 SH SOLE 39,000
------------------------------------------------------------------------------------------------------------------------------------
ENTERPRISE PRODS PRTNER
-LP COM 293792107 1,681 81,100 SH SOLE 81,100
------------------------------------------------------------------------------------------------------------------------------------
EXIDE TECHNOLOGIES COM 302051206 374 70,700 SH SOLE 70,700
------------------------------------------------------------------------------------------------------------------------------------
EXPRESS SCRIPTS INC COM 302182100 7,213 131,200 SH SOLE 131,200
------------------------------------------------------------------------------------------------------------------------------------
Page 4 of 9 12/31/2008
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
------------------------------------------------------------------------------------------------------------------------------------
FAIRFAX FINANCIAL HOLDINGS ADR 303901102 10,781 34,400 SH SOLE 34,400
------------------------------------------------------------------------------------------------------------------------------------
FLOWERS FOODS INC COM 343498101 1,018 41,800 SH SOLE 41,800
------------------------------------------------------------------------------------------------------------------------------------
FLOWSERVE CORP COM 34354P105 5,469 106,200 SH SOLE 106,200
------------------------------------------------------------------------------------------------------------------------------------
FLUOR CORP COM 343412102 570 12,700 SH SOLE 12,700
------------------------------------------------------------------------------------------------------------------------------------
FRESH DEL MONTE PRODUCE INC ADR G36738105 6,217 277,300 SH SOLE 277,300
------------------------------------------------------------------------------------------------------------------------------------
GENERAL ELECTRIC CO COM 369604103 5,081 313,640 SH SOLE 313,640
------------------------------------------------------------------------------------------------------------------------------------
GENERAL MOTORS CORP COM 370442105 521 162,840 SH SOLE 162,840
------------------------------------------------------------------------------------------------------------------------------------
GENERAL STEEL HOLDINGS INC ADR 370853103 297 75,500 SH SOLE 75,500
------------------------------------------------------------------------------------------------------------------------------------
GERDAU AMERISTEEL CORP COM 37373P105 372 61,400 SH SOLE 61,400
------------------------------------------------------------------------------------------------------------------------------------
GREIF INC -CL A CLASS A 397624107 3,731 111,600 SH SOLE 111,600
------------------------------------------------------------------------------------------------------------------------------------
GULF ISLAND FABRICATION INC COM 402307102 349 24,200 SH SOLE 24,200
------------------------------------------------------------------------------------------------------------------------------------
HACKETT GROUP INC COM 404609109 603 206,400 SH SOLE 206,400
------------------------------------------------------------------------------------------------------------------------------------
HANGER ORTHOPEDIC GRP COM 41043F208 1,042 71,800 SH SOLE 71,800
------------------------------------------------------------------------------------------------------------------------------------
HANOVER INSURANCE GROUP INC COM 410867105 6,678 155,400 SH SOLE 155,400
------------------------------------------------------------------------------------------------------------------------------------
HARLEY-DAVIDSON INC COM 412822108 1,644 96,900 SH SOLE 96,900
------------------------------------------------------------------------------------------------------------------------------------
HARTFORD FINANCIAL SERVICES COM 416515104 1,809 110,200 SH SOLE 110,200
------------------------------------------------------------------------------------------------------------------------------------
HASBRO INC COM 418056107 7,293 250,000 SH SOLE 250,000
------------------------------------------------------------------------------------------------------------------------------------
HAWAIIAN ELECTRIC INDS COM 419870100 6,179 279,100 SH SOLE 279,100
------------------------------------------------------------------------------------------------------------------------------------
HESS CORP COM 42809H107 504 9,400 SH SOLE 9,400
------------------------------------------------------------------------------------------------------------------------------------
HOME DEPOT INC COM 437076102 1,715 74,480 SH SOLE 74,480
------------------------------------------------------------------------------------------------------------------------------------
HSBC HOLDINGS PLC -ADR ADR 404280406 1,470 30,200 SH SOLE 30,200
------------------------------------------------------------------------------------------------------------------------------------
Page 5 of 9 12/31/2008
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
------------------------------------------------------------------------------------------------------------------------------------
HUB GROUP INC -CL A CLASS A 443320106 5,035 189,800 SH SOLE 189,800
------------------------------------------------------------------------------------------------------------------------------------
HUMANA INC COM 444859102 4,220 113,200 SH SOLE 113,200
------------------------------------------------------------------------------------------------------------------------------------
INNOPHOS HOLDINGS INC COM 45774N108 735 37,100 SH SOLE 37,100
------------------------------------------------------------------------------------------------------------------------------------
INTEROIL CORP ADR 460951106 554 40,300 SH SOLE 40,300
------------------------------------------------------------------------------------------------------------------------------------
INTL PAPER CO COM 460146103 1,716 145,400 SH SOLE 145,400
------------------------------------------------------------------------------------------------------------------------------------
J.P. MORGAN CHASE & COMPANY COM 46625H100 3,148 99,835 SH SOLE 99,835
------------------------------------------------------------------------------------------------------------------------------------
JACOBS ENGINEERING GROUP
INC COM 469814107 5,113 106,300 SH SOLE 106,300
------------------------------------------------------------------------------------------------------------------------------------
KONINKLIJKE PHLPS ELC -ADR ADR 500472303 1,981 99,700 SH SOLE 99,700
------------------------------------------------------------------------------------------------------------------------------------
KRAFT FOODS INC COM 50075N104 1,110 41,350 SH SOLE 41,350
------------------------------------------------------------------------------------------------------------------------------------
L-3 COMMUNICATIONS HLDGS
INC COM 502424104 6,648 90,100 SH SOLE 90,100
------------------------------------------------------------------------------------------------------------------------------------
LACLEDE GROUP INC COM 505597104 1,372 29,300 SH SOLE 29,300
------------------------------------------------------------------------------------------------------------------------------------
LAUDER (ESTEE) COS INC
-CL A CLASS A 518439104 4,814 155,500 SH SOLE 155,500
------------------------------------------------------------------------------------------------------------------------------------
LENNOX INTERNATIONAL INC COM 526107107 6,716 208,000 SH SOLE 208,000
------------------------------------------------------------------------------------------------------------------------------------
LG PHILIPS LCD CO LTD -ADR ADR 50186V102 3,217 388,500 SH SOLE 388,500
------------------------------------------------------------------------------------------------------------------------------------
LIFEPOINT HOSPITALS INC COM 53219L109 5,438 238,100 SH SOLE 238,100
------------------------------------------------------------------------------------------------------------------------------------
LIMITED BRANDS INC COM 532716107 1,729 172,200 SH SOLE 172,200
------------------------------------------------------------------------------------------------------------------------------------
LSB INDUSTRIES INC COM 502160104 3,243 389,800 SH SOLE 389,800
------------------------------------------------------------------------------------------------------------------------------------
MACY'S INC COM 55616P104 1,933 186,800 SH SOLE 186,800
------------------------------------------------------------------------------------------------------------------------------------
MANTECH INTL CORP COM 564563104 8,632 159,300 SH SOLE 159,300
------------------------------------------------------------------------------------------------------------------------------------
MASCO CORP COM 574599106 1,759 158,000 SH SOLE 158,000
------------------------------------------------------------------------------------------------------------------------------------
MASSEY ENERGY CO COM 576206106 4,013 291,000 SH SOLE 291,000
------------------------------------------------------------------------------------------------------------------------------------
Page 6 of 9 12/31/2008
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
------------------------------------------------------------------------------------------------------------------------------------
MCKESSON CORP COM 58155Q103 5,535 142,900 SH SOLE 142,900
------------------------------------------------------------------------------------------------------------------------------------
MDU RESOURCES GROUP INC COM 552690109 734 34,000 SH SOLE 34,000
------------------------------------------------------------------------------------------------------------------------------------
MEDCO HEALTH SOLUTIONS INC COM 58405U102 7,674 183,100 SH SOLE 183,100
------------------------------------------------------------------------------------------------------------------------------------
MERCK & CO COM 589331107 6,197 203,850 SH SOLE 203,850
------------------------------------------------------------------------------------------------------------------------------------
METALICO INC COM 591176102 105 67,600 SH SOLE 67,600
------------------------------------------------------------------------------------------------------------------------------------
MOBILE TELESYSTEMS OJS
-ADR ADR 607409109 1,587 59,500 SH SOLE 59,500
------------------------------------------------------------------------------------------------------------------------------------
MOLINA HEALTHCARE INC COM 60855R100 4,341 246,500 SH SOLE 246,500
------------------------------------------------------------------------------------------------------------------------------------
MORGAN STANLEY COM 617446448 1,641 102,300 SH SOLE 102,300
------------------------------------------------------------------------------------------------------------------------------------
MULTI-FINELINE ELECTRON INC COM 62541B101 500 42,800 SH SOLE 42,800
------------------------------------------------------------------------------------------------------------------------------------
MURPHY OIL CORP COM 626717102 537 12,100 SH SOLE 12,100
------------------------------------------------------------------------------------------------------------------------------------
MWI VETERINARY SUPPLY COM 55402X105 6,330 234,800 SH SOLE 234,800
------------------------------------------------------------------------------------------------------------------------------------
NCI INC COM 62886K104 1,561 51,800 SH SOLE 51,800
------------------------------------------------------------------------------------------------------------------------------------
NEWELL RUBBERMAID INC COM 651229106 1,207 123,400 SH SOLE 123,400
------------------------------------------------------------------------------------------------------------------------------------
NORTHWEST NATURAL GAS CO COM 667655104 8,510 192,400 SH SOLE 192,400
------------------------------------------------------------------------------------------------------------------------------------
ODYSSEY RE HOLDINGS CORP COM 67612W108 10,217 197,200 SH SOLE 197,200
------------------------------------------------------------------------------------------------------------------------------------
OIL STATES INTL INC COM 678026105 350 18,700 SH SOLE 18,700
------------------------------------------------------------------------------------------------------------------------------------
OLYMPIC STEEL INC COM 68162K106 318 15,600 SH SOLE 15,600
------------------------------------------------------------------------------------------------------------------------------------
OPENTV CORP COM G67543101 31 24,870 SH SOLE 24,870
------------------------------------------------------------------------------------------------------------------------------------
OTTER TAIL CORP COM 689648103 712 30,500 SH SOLE 30,500
------------------------------------------------------------------------------------------------------------------------------------
OVERSTOCK.COM INC COM 690370101 493 45,700 SH SOLE 45,700
------------------------------------------------------------------------------------------------------------------------------------
OWENS & MINOR INC COM 690732102 6,201 164,700 SH SOLE 164,700
------------------------------------------------------------------------------------------------------------------------------------
Page 7 of 9 12/31/2008
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
------------------------------------------------------------------------------------------------------------------------------------
OWENS-ILLINOIS INC COM 690768403 5,745 210,200 SH SOLE 210,200
------------------------------------------------------------------------------------------------------------------------------------
PANERA BREAD CO COM 69840W108 7,314 140,000 SH SOLE 140,000
------------------------------------------------------------------------------------------------------------------------------------
PENTAIR INC COM 709631105 4,753 200,800 SH SOLE 200,800
------------------------------------------------------------------------------------------------------------------------------------
PEPSI BOTTLING GROUP INC COM 713409100 5,207 231,300 SH SOLE 231,300
------------------------------------------------------------------------------------------------------------------------------------
PEPSIAMERICAS INC COM 71343P200 5,894 289,500 SH SOLE 289,500
------------------------------------------------------------------------------------------------------------------------------------
PFIZER INC COM 717081103 7,100 400,930 SH SOLE 400,930
------------------------------------------------------------------------------------------------------------------------------------
PHI INC COM 69336T205 413 29,500 SH SOLE 29,500
------------------------------------------------------------------------------------------------------------------------------------
PHILIP MORRIS INTERNATIONAL COM 718172109 218 5,000 SH SOLE 5,000
------------------------------------------------------------------------------------------------------------------------------------
PIEDMONT NATURAL GAS CO COM 720186105 7,550 238,400 SH SOLE 238,400
------------------------------------------------------------------------------------------------------------------------------------
PITNEY BOWES INC COM 724479100 1,743 68,400 SH SOLE 68,400
------------------------------------------------------------------------------------------------------------------------------------
PRICESMART INC COM 741511109 6,483 313,800 SH SOLE 313,800
------------------------------------------------------------------------------------------------------------------------------------
RALCORP HOLDINGS INC COM 751028101 6,891 118,000 SH SOLE 118,000
------------------------------------------------------------------------------------------------------------------------------------
RAYMOND JAMES FINANCIAL
CORP COM 754730109 3,549 207,200 SH SOLE 207,200
------------------------------------------------------------------------------------------------------------------------------------
REHABCARE GROUP INC COM 759148109 6,011 396,500 SH SOLE 396,500
------------------------------------------------------------------------------------------------------------------------------------
RELIANCE STEEL & ALUMINUM
CO COM 759509102 307 15,400 SH SOLE 15,400
------------------------------------------------------------------------------------------------------------------------------------
RENT-A-CENTER INC COM 76009N100 5,812 329,300 SH SOLE 329,300
------------------------------------------------------------------------------------------------------------------------------------
REYNOLDS AMERICAN INC COM 761713106 1,560 38,700 SH SOLE 38,700
------------------------------------------------------------------------------------------------------------------------------------
RIO TINTO GROUP (GBR) -ADR ADR 767204100 2,205 24,800 SH SOLE 24,800
------------------------------------------------------------------------------------------------------------------------------------
ROSS STORES INC COM 778296103 6,294 211,700 SH SOLE 211,700
------------------------------------------------------------------------------------------------------------------------------------
RWE AG VORMA -ADR ADR 74975E303 6,007 65,900 SH SOLE 65,900
------------------------------------------------------------------------------------------------------------------------------------
Page 8 of 9 12/31/2008
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
------------------------------------------------------------------------------------------------------------------------------------
RYDER SYSTEM INC COM 783549108 667 17,200 SH SOLE 17,200
------------------------------------------------------------------------------------------------------------------------------------
SALLY BEAUTY HOLDINGS INC COM 79546E104 4,518 794,100 SH SOLE 794,100
------------------------------------------------------------------------------------------------------------------------------------
SASOL LTD -ADR ADR 803866300 1,978 65,200 SH SOLE 65,200
------------------------------------------------------------------------------------------------------------------------------------
SCHNITZER STEEL INDS -CL A CLASS A 806882106 388 10,300 SH SOLE 10,300
------------------------------------------------------------------------------------------------------------------------------------
SIEMENS AG -ADR ADR 826197501 5,068 66,900 SH SOLE 66,900
------------------------------------------------------------------------------------------------------------------------------------
SMITH (A O) CORP COM 831865209 5,246 177,700 SH SOLE 177,700
------------------------------------------------------------------------------------------------------------------------------------
SNAP-ON INC COM 833034101 5,340 135,600 SH SOLE 135,600
------------------------------------------------------------------------------------------------------------------------------------
SONY CORP -ADR ADR 835699307 3,731 170,600 SH SOLE 170,600
------------------------------------------------------------------------------------------------------------------------------------
SOUTHERN COPPER CORP COM 84265V105 2,105 131,100 SH SOLE 131,100
------------------------------------------------------------------------------------------------------------------------------------
SPX CORP COM 784635104 365 9,000 SH SOLE 9,000
------------------------------------------------------------------------------------------------------------------------------------
STANLEY INC COM 854532108 11,782 325,300 SH SOLE 325,300
------------------------------------------------------------------------------------------------------------------------------------
STARWOOD HOTELS&RESORTS
WRLD COM 85590A401 1,794 100,200 SH SOLE 100,200
------------------------------------------------------------------------------------------------------------------------------------
STATOILHYDRO ASA -ADR ADR 85771P102 528 31,700 SH SOLE 31,700
------------------------------------------------------------------------------------------------------------------------------------
STEEL DYNAMICS INC COM 858119100 4,304 385,000 SH SOLE 385,000
------------------------------------------------------------------------------------------------------------------------------------
STEPAN CO COM 858586100 1,222 26,000 SH SOLE 26,000
------------------------------------------------------------------------------------------------------------------------------------
STIFEL FINANCIAL CORP COM 860630102 7,125 155,400 SH SOLE 155,400
------------------------------------------------------------------------------------------------------------------------------------
STONERIDGE INC COM 86183P102 316 69,400 SH SOLE 69,400
------------------------------------------------------------------------------------------------------------------------------------
SUN HEALTHCARE GROUP INC COM 866933401 4,596 519,300 SH SOLE 519,300
------------------------------------------------------------------------------------------------------------------------------------
SUN LIFE FINANCIAL INC ADR 866796105 1,803 77,900 SH SOLE 77,900
------------------------------------------------------------------------------------------------------------------------------------
SUPERVALU INC COM 868536103 2,078 142,300 SH SOLE 142,300
------------------------------------------------------------------------------------------------------------------------------------
Page 9 of 9 12/31/2008
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
------------------------------------------------------------------------------------------------------------------------------------
TAIWAN SEMICONDUCTOR -ADR ADR 874039100 1,890 239,300 SH SOLE 239,300
------------------------------------------------------------------------------------------------------------------------------------
TECO ENERGY INC COM 872375100 680 55,100 SH SOLE 55,100
------------------------------------------------------------------------------------------------------------------------------------
TELE NORTE LESTE -ADR ADR 879246106 5,323 382,400 SH SOLE 382,400
------------------------------------------------------------------------------------------------------------------------------------
TELEDYNE TECHNOLOGIES INC COM 879360105 14,140 317,400 SH SOLE 317,400
------------------------------------------------------------------------------------------------------------------------------------
TENET HEALTHCARE CORP COM 88033G100 1,456 1,266,000 SH SOLE 1,266,000
------------------------------------------------------------------------------------------------------------------------------------
TETRA TECH INC COM 88162G103 6,755 279,700 SH SOLE 279,700
------------------------------------------------------------------------------------------------------------------------------------
TEXTRON INC COM 883203101 1,580 113,900 SH SOLE 113,900
------------------------------------------------------------------------------------------------------------------------------------
TOTAL SA -ADR ADR 89151E109 8,090 146,300 SH SOLE 146,300
------------------------------------------------------------------------------------------------------------------------------------
U S BANCORP COM 902973304 1,391 55,600 SH SOLE 55,600
------------------------------------------------------------------------------------------------------------------------------------
UTSTARCOM INC COM 918076100 401 216,600 SH SOLE 216,600
------------------------------------------------------------------------------------------------------------------------------------
VECTREN CORP COM 92240G101 950 38,000 SH SOLE 38,000
------------------------------------------------------------------------------------------------------------------------------------
VERIZON COMMUNICATIONS COM 92343V104 7,554 222,830 SH SOLE 222,830
------------------------------------------------------------------------------------------------------------------------------------
VIMPEL COMMUN OJS -ADR ADR 68370R109 1,371 191,500 SH SOLE 191,500
------------------------------------------------------------------------------------------------------------------------------------
WESTERN DIGITAL CORP COM 958102105 393 34,300 SH SOLE 34,300
------------------------------------------------------------------------------------------------------------------------------------
WET SEAL INC -CL A CLASS A 961840105 32 10,940 SH SOLE 10,940
------------------------------------------------------------------------------------------------------------------------------------
WEYERHAEUSER CO COM 962166104 1,390 45,400 SH SOLE 45,400
------------------------------------------------------------------------------------------------------------------------------------
WILLBROS GROUP INC ADR 969199108 229 27,000 SH SOLE 27,000
------------------------------------------------------------------------------------------------------------------------------------
TOTAL 627,508
------------------------------------------------------------------------------------------------------------------------------------