---------------------------------------
OMB Number: 3235-0006
Expires: December 31, 2009
Estimated average burden
hours per response ............. 22.6
---------------------------------------
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, 2009
------------------
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, 2009
--------------------------------------------------------------------------------
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: 221
----------------------
Form 13F Information Table Value Total: $570,669
----------------------
(thousands)
List of Other Included Managers: NONE
Page 1 of 10 03/31/2009
FORM 13F INFORMATION TABLE
Name of Reporting Manager: Hennessy Advisors, Inc.
Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: Column 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
------------------------------------------------------------------------------------------------------------------------------------
3M CO COM 88579Y101 1,203 24,200 SH SOLE 24,200
------------------------------------------------------------------------------------------------------------------------------------
A T & T INC COM 00206R102 5,882 233,410 SH SOLE 233,410
------------------------------------------------------------------------------------------------------------------------------------
AAON INC COM 000360206 4,717 260,300 SH SOLE 260,300
------------------------------------------------------------------------------------------------------------------------------------
AARON RENTS INC COM 002535201 5,439 204,000 SH SOLE 204,000
------------------------------------------------------------------------------------------------------------------------------------
ACETO CORP COM 004446100 3,268 546,150 SH SOLE 546,150
------------------------------------------------------------------------------------------------------------------------------------
AECOM TECHNOLOGY CORP COM 00766T100 5,479 210,100 SH SOLE 210,100
------------------------------------------------------------------------------------------------------------------------------------
AEROPOSTALE INC COM 007865108 6,138 231,100 SH SOLE 231,100
------------------------------------------------------------------------------------------------------------------------------------
AIRGAS INC COM 009363102 632 18,700 SH SOLE 18,700
------------------------------------------------------------------------------------------------------------------------------------
AK STEEL HOLDING CORP COM 001547108 115 16,100 SH SOLE 16,100
------------------------------------------------------------------------------------------------------------------------------------
ALCOA INC COM 013817101 3,465 472,060 SH SOLE 472,060
------------------------------------------------------------------------------------------------------------------------------------
ALLIANZ SE -ADR ADR 018805101 1,452 173,700 SH SOLE 173,700
------------------------------------------------------------------------------------------------------------------------------------
ALLSTATE CORP COM 020002101 1,074 56,100 SH SOLE 56,100
------------------------------------------------------------------------------------------------------------------------------------
ALTRIA GROUP INC COM 02209S103 1,620 101,100 SH SOLE 101,100
------------------------------------------------------------------------------------------------------------------------------------
AMER ITALIAN PASTA CO -CL A CLASS A 027070101 8,459 243,000 SH SOLE 243,000
------------------------------------------------------------------------------------------------------------------------------------
AMERICAN EXPRESS COMPANY COM 025816109 981 71,940 SH SOLE 71,940
------------------------------------------------------------------------------------------------------------------------------------
AMERICAN INTERNATIONAL
GROUP COM 026874107 30 30,110 SH SOLE 30,110
------------------------------------------------------------------------------------------------------------------------------------
AMERICA'S CAR-MART INC COM 03062T105 826 60,800 SH SOLE 60,800
------------------------------------------------------------------------------------------------------------------------------------
AMERISAFE INC COM 03071H100 4,060 265,000 SH SOLE 265,000
------------------------------------------------------------------------------------------------------------------------------------
APPLIED SIGNAL TECHNOLOGY COM 038237103 6,153 304,360 SH SOLE 304,360
------------------------------------------------------------------------------------------------------------------------------------
ARCELORMITTAL -ADR ADR 03938L104 1,655 82,600 SH SOLE 82,600
------------------------------------------------------------------------------------------------------------------------------------
ARVINMERITOR INC COM 043353101 386 488,400 SH SOLE 488,400
------------------------------------------------------------------------------------------------------------------------------------
AU OPTRONICS CORP -ADR ADR 002255107 2,176 259,300 SH SOLE 259,300
------------------------------------------------------------------------------------------------------------------------------------
AUTOZONE INC COM 053332102 15,855 97,500 SH SOLE 97,500
------------------------------------------------------------------------------------------------------------------------------------
Page 2 of 10 03/31/2009
FORM 13F INFORMATION TABLE
Name of Reporting Manager: Hennessy Advisors, Inc.
Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: Column 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
------------------------------------------------------------------------------------------------------------------------------------
AVON PRODUCTS COM 054303102 1,079 56,100 SH SOLE 56,100
------------------------------------------------------------------------------------------------------------------------------------
BAKER (MICHAEL) CORP COM 057149106 3,827 147,200 SH SOLE 147,200
------------------------------------------------------------------------------------------------------------------------------------
BAKER HUGHES INC COM 057224107 922 32,300 SH SOLE 32,300
------------------------------------------------------------------------------------------------------------------------------------
BANK of AMERICA CORP COM 060505104 1,823 267,360 SH SOLE 267,360
------------------------------------------------------------------------------------------------------------------------------------
BB&T CORP COM 054937107 880 52,000 SH SOLE 52,000
------------------------------------------------------------------------------------------------------------------------------------
BEACON ROOFING SUPPLY INC COM 073685109 5,241 391,400 SH SOLE 391,400
------------------------------------------------------------------------------------------------------------------------------------
BEST BUY CO INC COM 086516101 1,177 31,000 SH SOLE 31,000
------------------------------------------------------------------------------------------------------------------------------------
BOEING CO COM 097023105 1,576 44,300 SH SOLE 44,300
------------------------------------------------------------------------------------------------------------------------------------
BOOTS&COOTS/INTL WELL
CONTRL COM 099469504 21 18,180 SH SOLE 18,180
------------------------------------------------------------------------------------------------------------------------------------
BP PLC -ADS ADR 055622104 1,395 34,800 SH SOLE 34,800
------------------------------------------------------------------------------------------------------------------------------------
BRADY CORP COM 104674106 3,584 203,300 SH SOLE 203,300
------------------------------------------------------------------------------------------------------------------------------------
BRISTOL MYERS SQUIBB COM 110122108 1,565 71,400 SH SOLE 71,400
------------------------------------------------------------------------------------------------------------------------------------
CACI INTL INC -CL A CLASS A 127190304 4,397 120,500 SH SOLE 120,500
------------------------------------------------------------------------------------------------------------------------------------
CAL-MAINE FOODS INC COM 128030202 757 33,800 SH SOLE 33,800
------------------------------------------------------------------------------------------------------------------------------------
CAMERON INTERNATIONAL CORP COM 13342B105 974 44,400 SH SOLE 44,400
------------------------------------------------------------------------------------------------------------------------------------
CANTEL MEDICAL CORP COM 138098108 4,805 372,980 SH SOLE 372,980
------------------------------------------------------------------------------------------------------------------------------------
CARTER'S INC COM 146229109 5,301 281,800 SH SOLE 281,800
------------------------------------------------------------------------------------------------------------------------------------
CATERPILLAR INC COM 149123101 1,595 57,030 SH SOLE 57,030
------------------------------------------------------------------------------------------------------------------------------------
CBS CORP COM 124857202 788 205,200 SH SOLE 205,200
------------------------------------------------------------------------------------------------------------------------------------
CELANESE CORP COM 150870103 326 24,400 SH SOLE 24,400
------------------------------------------------------------------------------------------------------------------------------------
CELESTICA INC ADR 15101Q108 460 129,300 SH SOLE 129,300
------------------------------------------------------------------------------------------------------------------------------------
CHEVRON CORP COM 166764100 1,042 15,500 SH SOLE 15,500
------------------------------------------------------------------------------------------------------------------------------------
CITIGROUP INC COM 172967101 506 199,905 SH SOLE 199,905
------------------------------------------------------------------------------------------------------------------------------------
Page 3 of 10 03/31/2009
FORM 13F INFORMATION TABLE
Name of Reporting Manager: Hennessy Advisors, Inc.
Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: Column 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 COM 184496107 734 15,300 SH SOLE 15,300
------------------------------------------------------------------------------------------------------------------------------------
CNOOC LTD -ADR ADR 126132109 1,982 19,700 SH SOLE 19,700
------------------------------------------------------------------------------------------------------------------------------------
COACH INC COM 189754104 1,114 66,700 SH SOLE 66,700
------------------------------------------------------------------------------------------------------------------------------------
CONOCOPHILLIPS COM 20825C104 1,038 26,500 SH SOLE 26,500
------------------------------------------------------------------------------------------------------------------------------------
CONSOL ENERGY INC COM 20854P109 881 34,900 SH SOLE 34,900
------------------------------------------------------------------------------------------------------------------------------------
CONTINUCARE CORP COM 212172100 29 13,870 SH SOLE 13,870
------------------------------------------------------------------------------------------------------------------------------------
COOPER INDUSTRIES LTD COM G24182100 1,094 42,300 SH SOLE 42,300
------------------------------------------------------------------------------------------------------------------------------------
CORINTHIAN COLLEGES INC COM 218868107 15,344 788,900 SH SOLE 788,900
------------------------------------------------------------------------------------------------------------------------------------
CREDIT SUISSE GROUP -ADR ADR 225401108 1,866 61,200 SH SOLE 61,200
------------------------------------------------------------------------------------------------------------------------------------
CSG SYSTEMS INTL INC COM 126349109 4,435 310,600 SH SOLE 310,600
------------------------------------------------------------------------------------------------------------------------------------
CUMMINS INC COM 231021106 1,087 42,700 SH SOLE 42,700
------------------------------------------------------------------------------------------------------------------------------------
DAIMLER AG ADR D1668R123 1,303 51,000 SH SOLE 51,000
------------------------------------------------------------------------------------------------------------------------------------
DELL INC COM 24702R101 962 101,500 SH SOLE 101,500
------------------------------------------------------------------------------------------------------------------------------------
DENBURY RESOURCES INC COM 247916208 950 63,900 SH SOLE 63,900
------------------------------------------------------------------------------------------------------------------------------------
DEUTSCHE TELEKOM AG -ADR ADR 251566105 1,278 103,500 SH SOLE 103,500
------------------------------------------------------------------------------------------------------------------------------------
DIAMOND OFFSHRE DRILLING
INC COM 25271C102 955 15,200 SH SOLE 15,200
------------------------------------------------------------------------------------------------------------------------------------
DISH NETWORK CORP COM 25470M109 1,077 96,900 SH SOLE 96,900
------------------------------------------------------------------------------------------------------------------------------------
DOLLAR TREE INC COM 256746108 5,796 130,100 SH SOLE 130,100
------------------------------------------------------------------------------------------------------------------------------------
DONNELLEY (R R) & SONS CO COM 257867101 926 126,300 SH SOLE 126,300
------------------------------------------------------------------------------------------------------------------------------------
DOW CHEMICAL COM 260543103 673 79,800 SH SOLE 79,800
------------------------------------------------------------------------------------------------------------------------------------
DU PONT (E I) DE NEMOURS COM 263534109 4,830 216,315 SH SOLE 216,315
------------------------------------------------------------------------------------------------------------------------------------
EMERGENCY MEDICAL SVCS CORP COM 29100P102 4,649 148,100 SH SOLE 148,100
------------------------------------------------------------------------------------------------------------------------------------
EMERSON ELECTRIC CO COM 291011104 1,069 37,400 SH SOLE 37,400
------------------------------------------------------------------------------------------------------------------------------------
Page 4 of 10 03/31/2009
FORM 13F INFORMATION TABLE
Name of Reporting Manager: Hennessy Advisors, Inc.
Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: Column 7: Column 8:
------------------------------------------------------------------------------------------------------------------------------------
Title Market
of CUSIP Value Shares or Other
Name of Issuer Class Number (x$1,000) Principal Amount Investment Discretion Mgrs. Voting Authority
------------------------------------------------------------------------------------------------------------------------------------
SH/ Put/ Shared Shared
PRN Call Sole Defined Other Sole Shared None
------------------------------------------------------------------------------------------------------------------------------------
ENBRIDGE INC ADR 29250N105 726 25,200 SH SOLE 25,200
------------------------------------------------------------------------------------------------------------------------------------
ENERSYS INC COM 29275Y102 385 31,800 SH SOLE 31,800
------------------------------------------------------------------------------------------------------------------------------------
ENGLOBAL CORP COM 293306106 347 76,500 SH SOLE 76,500
------------------------------------------------------------------------------------------------------------------------------------
ENI SPA -ADR ADR 26874R108 1,406 36,700 SH SOLE 36,700
------------------------------------------------------------------------------------------------------------------------------------
ENSCO INTERNATIONAL INC COM 26874Q100 942 35,700 SH SOLE 35,700
------------------------------------------------------------------------------------------------------------------------------------
ENSIGN GROUP INC COM 29358P101 5,052 326,630 SH SOLE 326,630
------------------------------------------------------------------------------------------------------------------------------------
ENTERPRISE PRODS PRTNER -LP COM 293792107 1,702 76,500 SH SOLE 76,500
------------------------------------------------------------------------------------------------------------------------------------
EOG RESOURCES INC COM 26875P101 887 16,200 SH SOLE 16,200
------------------------------------------------------------------------------------------------------------------------------------
EXIDE TECHNOLOGIES COM 302051206 195 65,000 SH SOLE 65,000
------------------------------------------------------------------------------------------------------------------------------------
EXXON MOBIL CORP COM 30231G102 1,035 15,200 SH SOLE 15,200
------------------------------------------------------------------------------------------------------------------------------------
FAMILY DOLLAR STORES COM 307000109 6,948 208,200 SH SOLE 208,200
------------------------------------------------------------------------------------------------------------------------------------
FGX INTERNATIONAL HLDNGS
LTD ADR G3396L102 4,597 395,600 SH SOLE 395,600
------------------------------------------------------------------------------------------------------------------------------------
FIRST BANCORP P R ADR 318672102 2,078 487,900 SH SOLE 487,900
------------------------------------------------------------------------------------------------------------------------------------
FLOWERS FOODS INC COM 343498101 902 38,400 SH SOLE 38,400
------------------------------------------------------------------------------------------------------------------------------------
FLUOR CORP COM 343412102 1,351 39,100 SH SOLE 39,100
------------------------------------------------------------------------------------------------------------------------------------
FOREST LABORATORIES -CL A CLASS A 345838106 1,043 47,500 SH SOLE 47,500
------------------------------------------------------------------------------------------------------------------------------------
GAP INC COM 364760108 1,087 83,700 SH SOLE 83,700
------------------------------------------------------------------------------------------------------------------------------------
GENERAL DYNAMICS CORP COM 369550108 1,106 26,600 SH SOLE 26,600
------------------------------------------------------------------------------------------------------------------------------------
GENERAL ELECTRIC CO COM 369604103 3,558 351,920 SH SOLE 351,920
------------------------------------------------------------------------------------------------------------------------------------
GENERAL MOTORS CORP COM 370442105 194 100,240 SH SOLE 100,240
------------------------------------------------------------------------------------------------------------------------------------
GENERAL STEEL HOLDINGS INC ADR 370853103 183 69,400 SH SOLE 69,400
------------------------------------------------------------------------------------------------------------------------------------
GENTIVA HEALTH SERVICES INC COM 37247A102 2,823 185,700 SH SOLE 185,700
------------------------------------------------------------------------------------------------------------------------------------
GERDAU AMERISTEEL CORP COM 37373P105 173 56,500 SH SOLE 56,500
------------------------------------------------------------------------------------------------------------------------------------
Page 5 of 10 03/31/2009
FORM 13F INFORMATION TABLE
Name of Reporting Manager: Hennessy Advisors, Inc.
Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: Column 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
------------------------------------------------------------------------------------------------------------------------------------
GOODRICH CORP COM 382388106 1,019 26,900 SH SOLE 26,900
------------------------------------------------------------------------------------------------------------------------------------
GRANITE CONSTRUCTION INC COM 387328107 4,629 123,500 SH SOLE 123,500
------------------------------------------------------------------------------------------------------------------------------------
GREIF INC -CL A CLASS A 397624107 3,592 107,900 SH SOLE 107,900
------------------------------------------------------------------------------------------------------------------------------------
GULF ISLAND FABRICATION INC COM 402307102 179 22,300 SH SOLE 22,300
------------------------------------------------------------------------------------------------------------------------------------
HACKETT GROUP INC COM 404609109 383 189,800 SH SOLE 189,800
------------------------------------------------------------------------------------------------------------------------------------
HALLIBURTON CO COM 406216101 920 59,500 SH SOLE 59,500
------------------------------------------------------------------------------------------------------------------------------------
HANGER ORTHOPEDIC GRP COM 41043F208 876 66,100 SH SOLE 66,100
------------------------------------------------------------------------------------------------------------------------------------
HANOVER INSURANCE GROUP INC COM 410867105 4,329 150,200 SH SOLE 150,200
------------------------------------------------------------------------------------------------------------------------------------
HARLEY-DAVIDSON INC COM 412822108 1,224 91,400 SH SOLE 91,400
------------------------------------------------------------------------------------------------------------------------------------
HARTFORD FINANCIAL SERVICES COM 416515104 816 104,000 SH SOLE 104,000
------------------------------------------------------------------------------------------------------------------------------------
HASBRO INC COM 418056107 6,019 240,100 SH SOLE 240,100
------------------------------------------------------------------------------------------------------------------------------------
HAWAIIAN ELECTRIC INDS COM 419870100 3,707 269,800 SH SOLE 269,800
------------------------------------------------------------------------------------------------------------------------------------
HESS CORP COM 42809H107 1,344 24,800 SH SOLE 24,800
------------------------------------------------------------------------------------------------------------------------------------
HOME DEPOT INC COM 437076102 1,202 51,000 SH SOLE 51,000
------------------------------------------------------------------------------------------------------------------------------------
HONEYWELL INTERNATIONAL INC COM 438516106 1,036 37,200 SH SOLE 37,200
------------------------------------------------------------------------------------------------------------------------------------
HOT TOPIC INC COM 441339108 6,591 589,660 SH SOLE 589,660
------------------------------------------------------------------------------------------------------------------------------------
HSBC HOLDINGS PLC -ADR ADR 404280406 804 28,500 SH SOLE 28,500
------------------------------------------------------------------------------------------------------------------------------------
HUB GROUP INC -CL A CLASS A 443320106 3,120 183,500 SH SOLE 183,500
------------------------------------------------------------------------------------------------------------------------------------
INNOPHOS HOLDINGS INC COM 45774N108 385 34,100 SH SOLE 34,100
------------------------------------------------------------------------------------------------------------------------------------
INSITUFORM TECHNOLOGIES
-CL A CLASS A 457667103 4,359 278,170 SH SOLE 278,170
------------------------------------------------------------------------------------------------------------------------------------
INTEROIL CORP ADR 460951106 1,039 37,100 SH SOLE 37,100
------------------------------------------------------------------------------------------------------------------------------------
INTL BUSINESS MACHINES CORP COM 459200101 1,046 10,800 SH SOLE 10,800
------------------------------------------------------------------------------------------------------------------------------------
INTL PAPER CO COM 460146103 965 137,100 SH SOLE 137,100
------------------------------------------------------------------------------------------------------------------------------------
Page 6 of 10 03/31/2009
FORM 13F INFORMATION TABLE
Name of Reporting Manager: Hennessy Advisors, Inc.
Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: Column 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
------------------------------------------------------------------------------------------------------------------------------------
ITT CORP COM 450911102 1,023 26,600 SH SOLE 26,600
------------------------------------------------------------------------------------------------------------------------------------
J.P. MORGAN CHASE & COMPANY COM 46625H100 2,651 99,745 SH SOLE 99,745
------------------------------------------------------------------------------------------------------------------------------------
KONINKLIJKE PHLPS ELC -ADR ADR 500472303 1,398 94,000 SH SOLE 94,000
------------------------------------------------------------------------------------------------------------------------------------
KRAFT FOODS INC COM 50075N104 1,042 46,750 SH SOLE 46,750
------------------------------------------------------------------------------------------------------------------------------------
LACLEDE GROUP INC COM 505597104 5,566 142,800 SH SOLE 142,800
------------------------------------------------------------------------------------------------------------------------------------
LAUDER (ESTEE) COS INC
-CL A CLASS A 518439104 3,707 150,400 SH SOLE 150,400
------------------------------------------------------------------------------------------------------------------------------------
LENNOX INTERNATIONAL INC COM 526107107 5,321 201,100 SH SOLE 201,100
------------------------------------------------------------------------------------------------------------------------------------
LIFEPOINT HOSPITALS INC COM 53219L109 4,802 230,200 SH SOLE 230,200
------------------------------------------------------------------------------------------------------------------------------------
LILLY (ELI) & CO COM 532457108 1,029 30,800 SH SOLE 30,800
------------------------------------------------------------------------------------------------------------------------------------
LIMITED BRANDS INC COM 532716107 1,413 162,400 SH SOLE 162,400
------------------------------------------------------------------------------------------------------------------------------------
LOCKHEED MARTIN CORP COM 539830109 1,022 14,800 SH SOLE 14,800
------------------------------------------------------------------------------------------------------------------------------------
MACY'S INC COM 55616P104 1,567 176,100 SH SOLE 176,100
------------------------------------------------------------------------------------------------------------------------------------
MANTECH INTL CORP COM 564563104 10,597 252,900 SH SOLE 252,900
------------------------------------------------------------------------------------------------------------------------------------
MARATHON OIL CORP COM 565849106 1,086 41,300 SH SOLE 41,300
------------------------------------------------------------------------------------------------------------------------------------
MASCO CORP COM 574599106 1,040 149,000 SH SOLE 149,000
------------------------------------------------------------------------------------------------------------------------------------
MASTERCARD INC COM 57636Q104 1,072 6,400 SH SOLE 6,400
------------------------------------------------------------------------------------------------------------------------------------
MCGRAW-HILL COMPANIES COM 580645109 1,212 53,000 SH SOLE 53,000
------------------------------------------------------------------------------------------------------------------------------------
MDU RESOURCES GROUP INC COM 552690109 505 31,300 SH SOLE 31,300
------------------------------------------------------------------------------------------------------------------------------------
MERCK & CO COM 589331107 6,304 235,650 SH SOLE 235,650
------------------------------------------------------------------------------------------------------------------------------------
METALICO INC COM 591176102 106 62,200 SH SOLE 62,200
------------------------------------------------------------------------------------------------------------------------------------
MOBILE TELESYSTEMS OJS -ADR ADR 607409109 1,679 56,100 SH SOLE 56,100
------------------------------------------------------------------------------------------------------------------------------------
MONRO MUFFLER BRAKE INC COM 610236101 5,827 213,200 SH SOLE 213,200
------------------------------------------------------------------------------------------------------------------------------------
MORGAN STANLEY COM 617446448 2,197 96,500 SH SOLE 96,500
------------------------------------------------------------------------------------------------------------------------------------
Page 7 of 10 03/31/2009
FORM 13F INFORMATION TABLE
Name of Reporting Manager: Hennessy Advisors, Inc.
Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: Column 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
------------------------------------------------------------------------------------------------------------------------------------
MOSAIC CO COM 61945A107 1,012 24,100 SH SOLE 24,100
------------------------------------------------------------------------------------------------------------------------------------
MULTI-FINELINE ELECTRON INC COM 62541B101 663 39,400 SH SOLE 39,400
------------------------------------------------------------------------------------------------------------------------------------
MURPHY OIL CORP COM 626717102 1,437 32,100 SH SOLE 32,100
------------------------------------------------------------------------------------------------------------------------------------
NASH FINCH CO COM 631158102 3,399 121,000 SH SOLE 121,000
------------------------------------------------------------------------------------------------------------------------------------
NATIONAL PRESTO INDS INC COM 637215104 4,335 70,940 SH SOLE 70,940
------------------------------------------------------------------------------------------------------------------------------------
NCI INC COM 62886K104 5,928 228,000 SH SOLE 228,000
------------------------------------------------------------------------------------------------------------------------------------
NELNET INC COM 64031N108 3,346 378,500 SH SOLE 378,500
------------------------------------------------------------------------------------------------------------------------------------
NETFLIX INC COM 64110L106 7,794 181,600 SH SOLE 181,600
------------------------------------------------------------------------------------------------------------------------------------
NEW JERSEY RESOURCES CORP COM 646025106 4,686 137,900 SH SOLE 137,900
------------------------------------------------------------------------------------------------------------------------------------
NEWELL RUBBERMAID INC COM 651229106 743 116,400 SH SOLE 116,400
------------------------------------------------------------------------------------------------------------------------------------
NOBLE CORP COM H5833N103 959 39,800 SH SOLE 39,800
------------------------------------------------------------------------------------------------------------------------------------
NSTAR COM 67019E107 4,744 148,800 SH SOLE 148,800
------------------------------------------------------------------------------------------------------------------------------------
NUCOR CORP COM 670346105 1,023 26,800 SH SOLE 26,800
------------------------------------------------------------------------------------------------------------------------------------
OCCIDENTAL PETROLEUM CORP COM 674599105 985 17,700 SH SOLE 17,700
------------------------------------------------------------------------------------------------------------------------------------
ODYSSEY RE HOLDINGS CORP COM 67612W108 11,205 295,400 SH SOLE 295,400
------------------------------------------------------------------------------------------------------------------------------------
OIL STATES INTL INC COM 678026105 231 17,200 SH SOLE 17,200
------------------------------------------------------------------------------------------------------------------------------------
OLYMPIC STEEL INC COM 68162K106 218 14,400 SH SOLE 14,400
------------------------------------------------------------------------------------------------------------------------------------
OMNICOM GROUP COM 681919106 985 42,100 SH SOLE 42,100
------------------------------------------------------------------------------------------------------------------------------------
OPENTV CORP COM G67543101 31 24,870 SH SOLE 24,870
------------------------------------------------------------------------------------------------------------------------------------
OTTER TAIL CORP COM 689648103 620 28,100 SH SOLE 28,100
------------------------------------------------------------------------------------------------------------------------------------
OVERSTOCK.COM INC COM 690370101 384 42,000 SH SOLE 42,000
------------------------------------------------------------------------------------------------------------------------------------
OWENS & MINOR INC COM 690732102 5,274 159,200 SH SOLE 159,200
------------------------------------------------------------------------------------------------------------------------------------
Page 8 of 10 03/31/2009
FORM 13F INFORMATION TABLE
Name of Reporting Manager: Hennessy Advisors, Inc.
Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: Column 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
------------------------------------------------------------------------------------------------------------------------------------
PANERA BREAD CO COM 69840W108 13,377 239,300 SH SOLE 239,300
------------------------------------------------------------------------------------------------------------------------------------
PENTAIR INC COM 709631105 4,206 194,100 SH SOLE 194,100
------------------------------------------------------------------------------------------------------------------------------------
PFIZER INC COM 717081103 5,290 388,430 SH SOLE 388,430
------------------------------------------------------------------------------------------------------------------------------------
PHI INC COM 69336T205 270 27,100 SH SOLE 27,100
------------------------------------------------------------------------------------------------------------------------------------
PIEDMONT NATURAL GAS CO COM 720186105 10,403 401,800 SH SOLE 401,800
------------------------------------------------------------------------------------------------------------------------------------
PITNEY BOWES INC COM 724479100 2,578 110,400 SH SOLE 110,400
------------------------------------------------------------------------------------------------------------------------------------
PRECISION CASTPARTS CORP COM 740189105 1,042 17,400 SH SOLE 17,400
------------------------------------------------------------------------------------------------------------------------------------
PSS WORLD MEDICAL INC COM 69366A100 4,141 288,600 SH SOLE 288,600
------------------------------------------------------------------------------------------------------------------------------------
RALCORP HOLDINGS INC COM 751028101 6,148 114,100 SH SOLE 114,100
------------------------------------------------------------------------------------------------------------------------------------
RAYMOND JAMES FINANCIAL
CORP COM 754730109 3,946 200,300 SH SOLE 200,300
------------------------------------------------------------------------------------------------------------------------------------
RELIANCE STEEL & ALUMINUM
CO COM 759509102 371 14,100 SH SOLE 14,100
------------------------------------------------------------------------------------------------------------------------------------
RENT-A-CENTER INC COM 76009N100 6,165 318,300 SH SOLE 318,300
------------------------------------------------------------------------------------------------------------------------------------
REYNOLDS AMERICAN INC COM 761713106 1,308 36,500 SH SOLE 36,500
------------------------------------------------------------------------------------------------------------------------------------
RIO TINTO GROUP (GBR) -ADR ADR 767204100 3,137 23,400 SH SOLE 23,400
------------------------------------------------------------------------------------------------------------------------------------
ROCKWELL COLLINS INC COM 774341101 1,041 31,900 SH SOLE 31,900
------------------------------------------------------------------------------------------------------------------------------------
ROSS STORES INC COM 778296103 7,345 204,700 SH SOLE 204,700
------------------------------------------------------------------------------------------------------------------------------------
RYDER SYSTEM INC COM 783549108 447 15,800 SH SOLE 15,800
------------------------------------------------------------------------------------------------------------------------------------
SAIC INC COM 78390X101 5,209 279,000 SH SOLE 279,000
------------------------------------------------------------------------------------------------------------------------------------
SALLY BEAUTY HOLDINGS INC COM 79546E104 4,361 767,800 SH SOLE 767,800
------------------------------------------------------------------------------------------------------------------------------------
SASOL LTD -ADR ADR 803866300 1,780 61,500 SH SOLE 61,500
------------------------------------------------------------------------------------------------------------------------------------
SCHLUMBERGER LTD COM 806857108 979 24,100 SH SOLE 24,100
------------------------------------------------------------------------------------------------------------------------------------
SCHNITZER STEEL INDS -CL A CLASS A 806882106 298 9,500 SH SOLE 9,500
------------------------------------------------------------------------------------------------------------------------------------
Page 9 of 10 03/31/2009
FORM 13F INFORMATION TABLE
Name of Reporting Manager: Hennessy Advisors, Inc.
Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: Column 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
------------------------------------------------------------------------------------------------------------------------------------
SMITH (A O) CORP COM 831865209 4,326 171,800 SH SOLE 171,800
------------------------------------------------------------------------------------------------------------------------------------
SNAP-ON INC COM 833034101 3,291 131,100 SH SOLE 131,100
------------------------------------------------------------------------------------------------------------------------------------
SOUTH JERSEY INDUSTRIES INC COM 838518108 4,767 136,200 SH SOLE 136,200
------------------------------------------------------------------------------------------------------------------------------------
SOUTHERN COPPER CORP COM 84265V105 2,153 123,600 SH SOLE 123,600
------------------------------------------------------------------------------------------------------------------------------------
SPX CORP COM 784635104 390 8,300 SH SOLE 8,300
------------------------------------------------------------------------------------------------------------------------------------
STANLEY INC COM 854532108 4,634 182,500 SH SOLE 182,500
------------------------------------------------------------------------------------------------------------------------------------
STARWOOD HOTELS&RESORTS
WRLD COM 85590A401 1,200 94,500 SH SOLE 94,500
------------------------------------------------------------------------------------------------------------------------------------
STATOILHYDRO ASA -ADR ADR 85771P102 509 29,200 SH SOLE 29,200
------------------------------------------------------------------------------------------------------------------------------------
STEEL DYNAMICS INC COM 858119100 246 27,900 SH SOLE 27,900
------------------------------------------------------------------------------------------------------------------------------------
STEPAN CO COM 858586100 652 23,900 SH SOLE 23,900
------------------------------------------------------------------------------------------------------------------------------------
STIFEL FINANCIAL CORP COM 860630102 11,629 268,500 SH SOLE 268,500
------------------------------------------------------------------------------------------------------------------------------------
STONERIDGE INC COM 86183P102 135 63,900 SH SOLE 63,900
------------------------------------------------------------------------------------------------------------------------------------
SUN LIFE FINANCIAL INC ADR 866796105 1,313 73,500 SH SOLE 73,500
------------------------------------------------------------------------------------------------------------------------------------
SUPERVALU INC COM 868536103 1,916 134,200 SH SOLE 134,200
------------------------------------------------------------------------------------------------------------------------------------
SXC HEALTH SOLUTIONS CORP ADR 78505P100 6,264 290,800 SH SOLE 290,800
------------------------------------------------------------------------------------------------------------------------------------
TAIWAN SEMICONDUCTOR -ADR ADR 874039100 2,020 225,700 SH SOLE 225,700
------------------------------------------------------------------------------------------------------------------------------------
TECO ENERGY INC COM 872375100 565 50,700 SH SOLE 50,700
------------------------------------------------------------------------------------------------------------------------------------
TELEDYNE TECHNOLOGIES INC COM 879360105 3,442 129,000 SH SOLE 129,000
------------------------------------------------------------------------------------------------------------------------------------
TENET HEALTHCARE CORP COM 88033G100 1,420 1,224,100 SH SOLE 1,224,100
------------------------------------------------------------------------------------------------------------------------------------
TETRA TECH INC COM 88162G103 10,094 495,300 SH SOLE 495,300
------------------------------------------------------------------------------------------------------------------------------------
TEXAS INSTRUMENTS INC COM 882508104 1,048 63,500 SH SOLE 63,500
------------------------------------------------------------------------------------------------------------------------------------
TEXTRON INC COM 883203101 616 107,400 SH SOLE 107,400
------------------------------------------------------------------------------------------------------------------------------------
Page 10 of 10 03/31/2009
FORM 13F INFORMATION TABLE
Name of Reporting Manager: Hennessy Advisors, Inc.
Column 1: Column 2: Column 3: Column 4: Column 5: Column 6: Column 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
------------------------------------------------------------------------------------------------------------------------------------
TJX COMPANIES INC COM 872540109 1,041 40,600 SH SOLE 40,600
------------------------------------------------------------------------------------------------------------------------------------
TOTAL SA -ADR ADR 89151E109 1,570 32,000 SH SOLE 32,000
------------------------------------------------------------------------------------------------------------------------------------
TREX CO INC COM 89531P105 2,518 330,000 SH SOLE 330,000
------------------------------------------------------------------------------------------------------------------------------------
U S BANCORP COM 902973304 767 52,500 SH SOLE 52,500
------------------------------------------------------------------------------------------------------------------------------------
UNITED TECHNOLOGIES CORP COM 913017109 1,062 24,700 SH SOLE 24,700
------------------------------------------------------------------------------------------------------------------------------------
UTSTARCOM INC COM 918076100 157 199,200 SH SOLE 199,200
------------------------------------------------------------------------------------------------------------------------------------
VECTREN CORP COM 92240G101 736 34,900 SH SOLE 34,900
------------------------------------------------------------------------------------------------------------------------------------
VERIZON COMMUNICATIONS COM 92343V104 6,412 212,330 SH SOLE 212,330
------------------------------------------------------------------------------------------------------------------------------------
VIASAT INC COM 92552V100 4,691 225,300 SH SOLE 225,300
------------------------------------------------------------------------------------------------------------------------------------
VIMPEL COMMUN OJS -ADR ADR 68370R109 1,181 180,600 SH SOLE 180,600
------------------------------------------------------------------------------------------------------------------------------------
VSE CORP COM 918284100 3,706 138,800 SH SOLE 138,800
------------------------------------------------------------------------------------------------------------------------------------
WESTERN DIGITAL CORP COM 958102105 1,733 89,600 SH SOLE 89,600
------------------------------------------------------------------------------------------------------------------------------------
WET SEAL INC -CL A CLASS A 961840105 32 10,940 SH SOLE 10,940
------------------------------------------------------------------------------------------------------------------------------------
WEYERHAEUSER CO COM 962166104 1,183 42,900 SH SOLE 42,900
------------------------------------------------------------------------------------------------------------------------------------
WILLBROS GROUP INC COM 969203108 242 24,900 SH SOLE 24,900
------------------------------------------------------------------------------------------------------------------------------------
WORLD FUEL SERVICES CORP COM 981475106 4,640 146,700 SH SOLE 146,700
------------------------------------------------------------------------------------------------------------------------------------
ZEP INC COM 98944B108 2,876 281,100 SH SOLE 281,100
------------------------------------------------------------------------------------------------------------------------------------
TOTAL 570,669
------------------------------------------------------------------------------------------------------------------------------------