---------------------------------------
                                         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:   September 30, 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                 October 9, 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:                  $678,710
                                                 ----------------------
                                                       (thousands)



List of Other Included Managers:  NONE







Page 1 of 10                                                          09/30/2009


                                                     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    1,734     23,500    SH       SOLE                        23,500
----------------------------------------------------------------------------------------------------------------------------------
99 CENTS ONLY STORES        COM       65440K106      562     41,800    SH       SOLE                        41,800
----------------------------------------------------------------------------------------------------------------------------------
A T & T INC                 COM       00206R102    5,761     213,280   SH       SOLE                       213,280
----------------------------------------------------------------------------------------------------------------------------------
AAON INC                    COM       000360206    4,504     224,300   SH       SOLE                       224,300
----------------------------------------------------------------------------------------------------------------------------------
AARON'S INC                 COM       002535201    5,130     194,300   SH       SOLE                       194,300
----------------------------------------------------------------------------------------------------------------------------------
ACETO CORP                  COM       004446100    3,118     470,950   SH       SOLE                       470,950
----------------------------------------------------------------------------------------------------------------------------------
AECOM TECHNOLOGY CORP       COM       00766T100    4,136     152,400   SH       SOLE                       152,400
----------------------------------------------------------------------------------------------------------------------------------
AEROPOSTALE INC             COM       007865108    5,542     127,500   SH       SOLE                       127,500
----------------------------------------------------------------------------------------------------------------------------------
ALCOA INC                   COM       013817101    6,014     458,360   SH       SOLE                       458,360
----------------------------------------------------------------------------------------------------------------------------------
ALLIANZ SE  -ADR            ADR       018805101    2,498     200,200   SH       SOLE                       200,200
----------------------------------------------------------------------------------------------------------------------------------
ALLSTATE CORP               COM       020002101    1,981      64,700   SH       SOLE                        64,700
----------------------------------------------------------------------------------------------------------------------------------
ALTRIA GROUP INC            COM       02209S103    2,075     116,500   SH       SOLE                       116,500
----------------------------------------------------------------------------------------------------------------------------------
AMER ITALIAN PASTA CO
-CL A                     CLASS A     027070101    5,697     209,600   SH       SOLE                       209,600
----------------------------------------------------------------------------------------------------------------------------------
AMERICAN EXPRESS COMPANY    COM       025816109    2,761      81,440   SH       SOLE                        81,440
----------------------------------------------------------------------------------------------------------------------------------
AMERICREDIT CORP            COM       03060R101    5,094     322,600   SH       SOLE                       322,600
----------------------------------------------------------------------------------------------------------------------------------
AMERISAFE INC               COM       03071H100    3,935     228,100   SH       SOLE                       228,100
----------------------------------------------------------------------------------------------------------------------------------
APAC CUSTOMER SERVICES INC  COM       00185E106      657     110,900   SH       SOLE                       110,900
----------------------------------------------------------------------------------------------------------------------------------
APPLIED SIGNAL TECHNOLOGY   COM       038237103    6,112     262,660   SH       SOLE                       262,660
----------------------------------------------------------------------------------------------------------------------------------
ARCELORMITTAL -ADR          ADR       03938L104    3,057      82,300   SH       SOLE                        82,300
----------------------------------------------------------------------------------------------------------------------------------
AU OPTRONICS CORP  -ADR     ADR       002255107    2,980     307,800   SH       SOLE                       307,800
----------------------------------------------------------------------------------------------------------------------------------
AUTOZONE INC                COM       053332102    4,913      33,600   SH       SOLE                        33,600
----------------------------------------------------------------------------------------------------------------------------------
AVON PRODUCTS               COM       054303102    1,844      54,300   SH       SOLE                        54,300
----------------------------------------------------------------------------------------------------------------------------------
BAKER (MICHAEL) CORP        COM       057149106    5,117     140,800   SH       SOLE                       140,800
----------------------------------------------------------------------------------------------------------------------------------




Page 2 of 10                                                          09/30/2009


                                                     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
----------------------------------------------------------------------------------------------------------------------------------
                                                                                                      
----------------------------------------------------------------------------------------------------------------------------------
BAKER HUGHES INC            COM       057224107    1,335     31,300   SH       SOLE                         31,300
----------------------------------------------------------------------------------------------------------------------------------
BALL CORP                   COM       058498106    5,353    108,800   SH       SOLE                        108,800
----------------------------------------------------------------------------------------------------------------------------------
BANK of AMERICA CORP        COM       060505104    2,992    176,810   SH       SOLE                        176,810
----------------------------------------------------------------------------------------------------------------------------------
BB&T CORP                   COM       054937107    1,632     59,900   SH       SOLE                         59,900
----------------------------------------------------------------------------------------------------------------------------------
BEACON ROOFING SUPPLY INC   COM       073685109    5,392    337,400   SH       SOLE                        337,400
----------------------------------------------------------------------------------------------------------------------------------
BEST BUY CO INC             COM       086516101    1,129     30,100   SH       SOLE                         30,100
----------------------------------------------------------------------------------------------------------------------------------
BIO REFERENCE LABS          COM       09057G602      619     18,000   SH       SOLE                         18,000
----------------------------------------------------------------------------------------------------------------------------------
BLACK BOX CORP              COM       091826107      391     15,600   SH       SOLE                         15,600
----------------------------------------------------------------------------------------------------------------------------------
BOEING CO                   COM       097023105    3,877     71,600   SH       SOLE                         71,600
----------------------------------------------------------------------------------------------------------------------------------
BOOTS&COOTS/INTL WELL
CONTRL                      COM       099469504       29     18,180   SH       SOLE                         18,180
----------------------------------------------------------------------------------------------------------------------------------
BP PLC  -ADS                ADR       055622104    2,140     40,200   SH       SOLE                         40,200
----------------------------------------------------------------------------------------------------------------------------------
BRISTOL MYERS SQUIBB        COM       110122108    1,853     82,300   SH       SOLE                         82,300
----------------------------------------------------------------------------------------------------------------------------------
BROADRIDGE FINANCIAL
SOLUTNS                     COM       11133T103    4,933    245,400   SH       SOLE                        245,400
----------------------------------------------------------------------------------------------------------------------------------
BWAY HOLDING CO             COM       12429T104      648     35,000   SH       SOLE                         35,000
----------------------------------------------------------------------------------------------------------------------------------
CACI INTL INC  -CL A      CLASS A     127190304    4,907    103,800   SH       SOLE                        103,800
----------------------------------------------------------------------------------------------------------------------------------
CALAVO GROWERS INC          COM       128246105      535     28,200   SH       SOLE                         28,200
----------------------------------------------------------------------------------------------------------------------------------
CAMERON INTERNATIONAL CORP  COM       13342B105    1,626     43,000   SH       SOLE                         43,000
----------------------------------------------------------------------------------------------------------------------------------
CANTEL MEDICAL CORP         COM       138098108    5,408    359,080   SH       SOLE                        359,080
----------------------------------------------------------------------------------------------------------------------------------
CARTER'S INC                COM       146229109   12,723    476,500   SH       SOLE                        476,500
----------------------------------------------------------------------------------------------------------------------------------
CATERPILLAR INC             COM       149123101    4,375     85,230   SH       SOLE                         85,230
----------------------------------------------------------------------------------------------------------------------------------
CBS CORP                    COM       124857202    2,850    236,500   SH       SOLE                        236,500
----------------------------------------------------------------------------------------------------------------------------------
CENTRAL GARDEN & PET CO     COM       153527205      644     58,900   SH       SOLE                         58,900
----------------------------------------------------------------------------------------------------------------------------------
CHEVRON CORP                COM       166764100    2,965     42,100   SH       SOLE                         42,100
----------------------------------------------------------------------------------------------------------------------------------





Page 3 of 10                                                          09/30/2009


                                                     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
----------------------------------------------------------------------------------------------------------------------------------
                                                                                                      
----------------------------------------------------------------------------------------------------------------------------------
CITIGROUP INC               COM       172967101      353      72,850  SH       SOLE                         72,850
----------------------------------------------------------------------------------------------------------------------------------
CNOOC LTD  -ADR             ADR       126132109    3,074      22,700  SH       SOLE                         22,700
----------------------------------------------------------------------------------------------------------------------------------
COACH INC                   COM       189754104    2,127      64,600  SH       SOLE                         64,600
----------------------------------------------------------------------------------------------------------------------------------
COCA-COLA BTLNG CONS        COM       191098102      416       8,600  SH       SOLE                          8,600
----------------------------------------------------------------------------------------------------------------------------------
COCA-COLA ENTERPRISES INC   COM       191219104    5,552     259,300  SH       SOLE                        259,300
----------------------------------------------------------------------------------------------------------------------------------
COMPUTER SCIENCES CORP      COM       205363104    5,719     108,500  SH       SOLE                        108,500
----------------------------------------------------------------------------------------------------------------------------------
CONOCOPHILLIPS              COM       20825C104    1,161      25,700  SH       SOLE                         25,700
----------------------------------------------------------------------------------------------------------------------------------
CONSOL ENERGY INC           COM       20854P109    1,525      33,800  SH       SOLE                         33,800
----------------------------------------------------------------------------------------------------------------------------------
CONTINUCARE CORP            COM       212172100       42      13,870  SH       SOLE                         13,870
----------------------------------------------------------------------------------------------------------------------------------
COOPER INDUSTRIES LTD       COM       G24140108    1,537      40,900  SH       SOLE                         40,900
----------------------------------------------------------------------------------------------------------------------------------
CORINTHIAN COLLEGES INC     COM       218868107    5,308     286,000  SH       SOLE                        286,000
----------------------------------------------------------------------------------------------------------------------------------
COTT CORP                   ADR       22163N106      817     111,100  SH       SOLE                        111,100
----------------------------------------------------------------------------------------------------------------------------------
CREDIT SUISSE GROUP  -ADR   ADR       225401108    3,923      70,500  SH       SOLE                         70,500
----------------------------------------------------------------------------------------------------------------------------------
CSG SYSTEMS INTL INC        COM       126349109    4,291     268,000  SH       SOLE                        268,000
----------------------------------------------------------------------------------------------------------------------------------
CUBIC CORP                  COM       229669106      632      16,000  SH       SOLE                         16,000
----------------------------------------------------------------------------------------------------------------------------------
CUMMINS INC                 COM       231021106    1,855      41,400  SH       SOLE                         41,400
----------------------------------------------------------------------------------------------------------------------------------
DAIMLER AG                  ADR       D1668R123    2,958      58,800  SH       SOLE                         58,800
----------------------------------------------------------------------------------------------------------------------------------
DARDEN RESTAURANTS INC      COM       237194105    5,225     153,100  SH       SOLE                        153,100
----------------------------------------------------------------------------------------------------------------------------------
DEL MONTE FOODS CO          COM       24522P103    5,429     468,800  SH       SOLE                        468,800
----------------------------------------------------------------------------------------------------------------------------------
DELL INC                    COM       24702R101    1,500      98,300  SH       SOLE                         98,300
----------------------------------------------------------------------------------------------------------------------------------
DENBURY RESOURCES INC       COM       247916208      937      61,900  SH       SOLE                         61,900
----------------------------------------------------------------------------------------------------------------------------------
DEUTSCHE TELEKOM AG  -ADR   ADR       251566105    1,628     119,200  SH       SOLE                        119,200
----------------------------------------------------------------------------------------------------------------------------------
DIAMOND OFFSHRE DRILLING
INC                         COM       25271C102    1,404      14,700  SH       SOLE                         14,700
----------------------------------------------------------------------------------------------------------------------------------




Page 4 of 10                                                          09/30/2009


                                                     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
----------------------------------------------------------------------------------------------------------------------------------
                                                                                                      
----------------------------------------------------------------------------------------------------------------------------------
DISH NETWORK CORP           COM       25470M109    1,807     93,800   SH       SOLE                         93,800
----------------------------------------------------------------------------------------------------------------------------------
DOLLAR THRIFTY AUTOMOTIVE
GP                          COM       256743105    1,431     58,200   SH       SOLE                         58,200
----------------------------------------------------------------------------------------------------------------------------------
DOLLAR TREE INC             COM       256746108   10,685    219,500   SH       SOLE                        219,500
----------------------------------------------------------------------------------------------------------------------------------
DONNELLEY (R R) & SONS CO   COM       257867101    3,095    145,600   SH       SOLE                        145,600
----------------------------------------------------------------------------------------------------------------------------------
DOW CHEMICAL                COM       260543103    2,398     92,000   SH       SOLE                         92,000
----------------------------------------------------------------------------------------------------------------------------------
DU PONT (E I) DE NEMOURS    COM       263534109    6,837    212,730   SH       SOLE                        212,730
----------------------------------------------------------------------------------------------------------------------------------
EMERGENCY MEDICAL SVCS CORP COM       29100P102   11,183    240,500   SH       SOLE                        240,500
----------------------------------------------------------------------------------------------------------------------------------
EMERSON ELECTRIC CO         COM       291011104    1,451     36,200   SH       SOLE                         36,200
----------------------------------------------------------------------------------------------------------------------------------
ENCORE CAPITAL GROUP INC    COM       292554102      624     46,400   SH       SOLE                         46,400
----------------------------------------------------------------------------------------------------------------------------------
ENI SPA  -ADR               ADR       26874R108    2,109     42,300   SH       SOLE                         42,300
----------------------------------------------------------------------------------------------------------------------------------
ENSCO INTERNATIONAL INC     COM       26874Q100    1,468     34,500   SH       SOLE                         34,500
----------------------------------------------------------------------------------------------------------------------------------
ENSIGN GROUP INC            COM       29358P101    3,951    281,630   SH       SOLE                        281,630
----------------------------------------------------------------------------------------------------------------------------------
ENTERPRISE PRODS PRTNER -LP COM       293792107    2,498     88,200   SH       SOLE                         88,200
----------------------------------------------------------------------------------------------------------------------------------
EOG RESOURCES INC           COM       26875P101    1,311     15,700   SH       SOLE                         15,700
----------------------------------------------------------------------------------------------------------------------------------
EVERCORE PARTNERS INC       COM       29977A105      847     29,000   SH       SOLE                         29,000
----------------------------------------------------------------------------------------------------------------------------------
EXXON MOBIL CORP            COM       30231G102    1,009     14,700   SH       SOLE                         14,700
----------------------------------------------------------------------------------------------------------------------------------
FAMILY DOLLAR STORES        COM       307000109    4,741    179,600   SH       SOLE                        179,600
----------------------------------------------------------------------------------------------------------------------------------
FGX INTERNATIONAL HLDNGS
LTD                         ADR       G3396L102    4,789    343,300   SH       SOLE                        343,300
----------------------------------------------------------------------------------------------------------------------------------
FIRST BANCORP P R           ADR       318672102    1,282    420,300   SH       SOLE                        420,300
----------------------------------------------------------------------------------------------------------------------------------
FIRST HORIZON NATIONAL CORP COM       320517105      599     45,309   SH       SOLE                         45,309
----------------------------------------------------------------------------------------------------------------------------------
FLUOR CORP                  COM       343412102    1,353     26,600   SH       SOLE                         26,600
----------------------------------------------------------------------------------------------------------------------------------
FORCE PROTECTION INC        COM       345203202      395     72,400   SH       SOLE                         72,400
----------------------------------------------------------------------------------------------------------------------------------
FOREST LABORATORIES -CL A  CLASS A     345838106   1,354     46,000   SH       SOLE                         46,000
----------------------------------------------------------------------------------------------------------------------------------




Page 5 of 10                                                          09/30/2009


                                                     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
----------------------------------------------------------------------------------------------------------------------------------
                                                                                                      
----------------------------------------------------------------------------------------------------------------------------------
FUQI INTERNATIONAL INC      ADR       36102A207      946     32,400   SH       SOLE                         32,400
----------------------------------------------------------------------------------------------------------------------------------
GAP INC                     COM       364760108    1,736     81,100   SH       SOLE                         81,100
----------------------------------------------------------------------------------------------------------------------------------
GENERAL DYNAMICS CORP       COM       369550108    1,667     25,800   SH       SOLE                         25,800
----------------------------------------------------------------------------------------------------------------------------------
GENERAL ELECTRIC CO         COM       369604103    3,942    240,070   SH       SOLE                        240,070
----------------------------------------------------------------------------------------------------------------------------------
GENTIVA HEALTH SERVICES INC COM       37247A102    4,002    160,000   SH       SOLE                        160,000
----------------------------------------------------------------------------------------------------------------------------------
GLOBAL CASH ACCESS
HOLDINGS                  CLASS A     378967103      578     79,100   SH       SOLE                         79,100
----------------------------------------------------------------------------------------------------------------------------------
GOODRICH CORP               COM       382388106    7,129    131,200   SH       SOLE                        131,200
----------------------------------------------------------------------------------------------------------------------------------
GRANITE CONSTRUCTION INC    COM       387328107    3,298    106,600   SH       SOLE                        106,600
----------------------------------------------------------------------------------------------------------------------------------
GYMBOREE CORP               COM       403777105    5,636    116,500   SH       SOLE                        116,500
----------------------------------------------------------------------------------------------------------------------------------
HALLIBURTON CO              COM       406216101    1,565     57,700   SH       SOLE                         57,700
----------------------------------------------------------------------------------------------------------------------------------
HARLEY-DAVIDSON INC         COM       412822108    2,422    105,300   SH       SOLE                        105,300
----------------------------------------------------------------------------------------------------------------------------------
HARTFORD FINANCIAL SERVICES COM       416515104    3,175    119,800   SH       SOLE                        119,800
----------------------------------------------------------------------------------------------------------------------------------
HESS CORP                   COM       42809H107      839     15,700   SH       SOLE                         15,700
----------------------------------------------------------------------------------------------------------------------------------
HHGREGG INC                 COM       42833L108      600     35,400   SH       SOLE                         35,400
----------------------------------------------------------------------------------------------------------------------------------
HOME DEPOT INC              COM       437076102    1,481     55,600   SH       SOLE                         55,600
----------------------------------------------------------------------------------------------------------------------------------
HONEYWELL INTERNATIONAL INC COM       438516106    1,337     36,000   SH       SOLE                         36,000
----------------------------------------------------------------------------------------------------------------------------------
HOT TOPIC INC               COM       441339108    3,810    508,660   SH       SOLE                        508,660
----------------------------------------------------------------------------------------------------------------------------------
HSBC HOLDINGS PLC  -ADR     ADR       404280406    1,881     32,800   SH       SOLE                         32,800
----------------------------------------------------------------------------------------------------------------------------------
INSITUFORM TECHNOLOGIES
-CL A                     CLASS A     457667103    4,591    239,870   SH       SOLE                        239,870
----------------------------------------------------------------------------------------------------------------------------------
INTL BUSINESS MACHINES CORP COM       459200101    1,256     10,500   SH       SOLE                         10,500
----------------------------------------------------------------------------------------------------------------------------------
INTL PAPER CO               COM       460146103    3,515    158,100   SH       SOLE                        158,100
----------------------------------------------------------------------------------------------------------------------------------
ISLE OF CAPRI CASINOS INC   COM       464592104      539     45,700   SH       SOLE                         45,700
----------------------------------------------------------------------------------------------------------------------------------
ITT CORP                    COM       450911102    1,340     25,700   SH       SOLE                         25,700
----------------------------------------------------------------------------------------------------------------------------------




Page 6 of 10                                                          09/30/2009


                                                     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
----------------------------------------------------------------------------------------------------------------------------------
                                                                                                      
----------------------------------------------------------------------------------------------------------------------------------
J & J SNACK FOODS CORP      COM       466032109      678     15,700   SH       SOLE                         15,700
----------------------------------------------------------------------------------------------------------------------------------
J.P. MORGAN CHASE & COMPANY COM       46625H100    1,608     36,700   SH       SOLE                         36,700
----------------------------------------------------------------------------------------------------------------------------------
JOHNSON & JOHNSON           COM       478160104      682     11,200   SH       SOLE                         11,200
----------------------------------------------------------------------------------------------------------------------------------
JOS A BANK CLOTHIERS INC    COM       480838101      889     19,860   SH       SOLE                         19,860
----------------------------------------------------------------------------------------------------------------------------------
KBR INC                     COM       48242W106    5,625    241,500   SH       SOLE                        241,500
----------------------------------------------------------------------------------------------------------------------------------
KIRKLAND'S INC              COM       497498105      869     61,000   SH       SOLE                         61,000
----------------------------------------------------------------------------------------------------------------------------------
KONINKLIJKE PHLPS ELC-ADR   ADR       500472303    2,641    108,400   SH       SOLE                        108,400
----------------------------------------------------------------------------------------------------------------------------------
KRAFT FOODS INC             COM       50075N104    2,429     92,450   SH       SOLE                         92,450
----------------------------------------------------------------------------------------------------------------------------------
LACLEDE GROUP INC           COM       505597104    3,216    100,000   SH       SOLE                        100,000
----------------------------------------------------------------------------------------------------------------------------------
LANCASTER COLONY CORP       COM       513847103    6,034    117,700   SH       SOLE                        117,700
----------------------------------------------------------------------------------------------------------------------------------
LILLY (ELI) & CO            COM       532457108      984     29,800   SH       SOLE                         29,800
----------------------------------------------------------------------------------------------------------------------------------
LIMITED BRANDS INC          COM       532716107    3,181    187,200   SH       SOLE                        187,200
----------------------------------------------------------------------------------------------------------------------------------
LINCOLN EDUCATIONAL
SERVICES                    COM       533535100      691     30,200   SH       SOLE                         30,200
----------------------------------------------------------------------------------------------------------------------------------
LINN ENERGY LLC             COM       536020100    5,688    248,400   SH       SOLE                        248,400
----------------------------------------------------------------------------------------------------------------------------------
LOCKHEED MARTIN CORP        COM       539830109    1,117     14,300   SH       SOLE                         14,300
----------------------------------------------------------------------------------------------------------------------------------
MACY'S INC                  COM       55616P104    3,713    203,000   SH       SOLE                        203,000
----------------------------------------------------------------------------------------------------------------------------------
MADDEN STEVEN LTD           COM       556269108      780     21,200   SH       SOLE                         21,200
----------------------------------------------------------------------------------------------------------------------------------
MANTECH INTL CORP           COM       564563104    4,069     86,400   SH       SOLE                         86,400
----------------------------------------------------------------------------------------------------------------------------------
MARATHON OIL CORP           COM       565849106    1,276     40,000   SH       SOLE                         40,000
----------------------------------------------------------------------------------------------------------------------------------
MARTEN TRANSPORT LTD        COM       573075108      452     26,500   SH       SOLE                         26,500
----------------------------------------------------------------------------------------------------------------------------------
MASCO CORP                  COM       574599106    2,218    171,700   SH       SOLE                        171,700
----------------------------------------------------------------------------------------------------------------------------------
MASTERCARD INC              COM       57636Q104    1,253      6,200   SH       SOLE                          6,200
----------------------------------------------------------------------------------------------------------------------------------
MCDONALD'S CORPORATION      COM       580135101      913     16,000   SH       SOLE                         16,000
----------------------------------------------------------------------------------------------------------------------------------




Page 7 of 10                                                          09/30/2009


                                                     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
----------------------------------------------------------------------------------------------------------------------------------
                                                                                                      
----------------------------------------------------------------------------------------------------------------------------------
MCGRAW-HILL COMPANIES       COM       580645109    1,292      51,400   SH      SOLE                        51,400
----------------------------------------------------------------------------------------------------------------------------------
MERCK & CO                  COM       589331107    6,713     212,250   SH      SOLE                       212,250
----------------------------------------------------------------------------------------------------------------------------------
MOBILE TELESYSTEMS-SP ADR   ADR       607409109    3,123      64,700   SH      SOLE                        64,700
----------------------------------------------------------------------------------------------------------------------------------
MONRO MUFFLER BRAKE INC     COM       610236101    5,837     183,600   SH      SOLE                       183,600
----------------------------------------------------------------------------------------------------------------------------------
MORGAN STANLEY              COM       617446448    3,434     111,200   SH      SOLE                       111,200
----------------------------------------------------------------------------------------------------------------------------------
MOSAIC CO                   COM       61945A107    1,120      23,300   SH      SOLE                        23,300
----------------------------------------------------------------------------------------------------------------------------------
MURPHY OIL CORP             COM       626717102    1,169      20,300   SH      SOLE                        20,300
----------------------------------------------------------------------------------------------------------------------------------
MYLAN INC                   COM       628530107    5,805     362,600   SH      SOLE                       362,600
----------------------------------------------------------------------------------------------------------------------------------
NASH FINCH CO               COM       631158102    2,852     104,300   SH      SOLE                       104,300
----------------------------------------------------------------------------------------------------------------------------------
NATIONAL PRESTO INDS INC    COM       637215104    5,955      68,840   SH      SOLE                        68,840
----------------------------------------------------------------------------------------------------------------------------------
NCI INC                     COM       62886K104    4,970     173,400   SH      SOLE                       173,400
----------------------------------------------------------------------------------------------------------------------------------
NELNET INC                  COM       64031N108    4,065     326,800   SH      SOLE                       326,800
----------------------------------------------------------------------------------------------------------------------------------
NETFLIX INC                 COM       64110L106    7,235     156,700   SH      SOLE                       156,700
----------------------------------------------------------------------------------------------------------------------------------
NEW JERSEY RESOURCES CORP   COM       646025106    4,321     119,000   SH      SOLE                       119,000
----------------------------------------------------------------------------------------------------------------------------------
NEWELL RUBBERMAID INC       COM       651229106    2,106     134,200   SH      SOLE                       134,200
----------------------------------------------------------------------------------------------------------------------------------
NEWMARKET CORP              COM       651587107    5,843      62,800   SH      SOLE                        62,800
----------------------------------------------------------------------------------------------------------------------------------
NOBLE CORP                  COM       H5833N103    1,465      38,600   SH      SOLE                        38,600
----------------------------------------------------------------------------------------------------------------------------------
NSTAR                       COM       67019E107    4,083     128,300   SH      SOLE                       128,300
----------------------------------------------------------------------------------------------------------------------------------
NUCOR CORP                  COM       670346105    1,218      25,900   SH      SOLE                        25,900
----------------------------------------------------------------------------------------------------------------------------------
NUSTAR ENERGY LP            COM       67058H102      570      11,000   SH      SOLE                        11,000
----------------------------------------------------------------------------------------------------------------------------------
OCCIDENTAL PETROLEUM CORP   COM       674599105    1,341      17,100   SH      SOLE                        17,100
----------------------------------------------------------------------------------------------------------------------------------
ODYSSEY RE HOLDINGS CORP    COM       67612W108    5,859      90,400   SH      SOLE                        90,400
----------------------------------------------------------------------------------------------------------------------------------




Page 8 of 10                                                          09/30/2009


                                                     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
----------------------------------------------------------------------------------------------------------------------------------
                                                                                                      
----------------------------------------------------------------------------------------------------------------------------------
OMNICOM GROUP               COM       681919106    1,507      40,800   SH      SOLE                        40,800
----------------------------------------------------------------------------------------------------------------------------------
OPENTV CORP                 COM       G67543101       34      24,870   SH      SOLE                        24,870
----------------------------------------------------------------------------------------------------------------------------------
O'REILLY AUTOMOTIVE INC     COM       686091109    5,070     140,300   SH      SOLE                       140,300
----------------------------------------------------------------------------------------------------------------------------------
P F CHANGS CHINA BISTRO INC COM       69333Y108      608      17,900   SH      SOLE                        17,900
----------------------------------------------------------------------------------------------------------------------------------
PANERA BREAD CO             COM       69840W108    4,928      89,600   SH      SOLE                        89,600
----------------------------------------------------------------------------------------------------------------------------------
PEET'S COFFEE & TEA INC     COM       705560100      648      22,940   SH      SOLE                        22,940
----------------------------------------------------------------------------------------------------------------------------------
PEP BOYS-MANNY MOE & JACK   COM       713278109      578      59,200   SH      SOLE                        59,200
----------------------------------------------------------------------------------------------------------------------------------
PFIZER INC                  COM       717081103    5,674     342,870   SH      SOLE                       342,870
----------------------------------------------------------------------------------------------------------------------------------
PIEDMONT NATURAL GAS CO     COM       720186105    3,541     147,900   SH      SOLE                       147,900
----------------------------------------------------------------------------------------------------------------------------------
PITNEY BOWES INC            COM       724479100    2,952     118,800   SH      SOLE                       118,800
----------------------------------------------------------------------------------------------------------------------------------
PLAINS ALL AMER PIPELNE-LP  COM       726503105    5,087     109,900   SH      SOLE                       109,900
----------------------------------------------------------------------------------------------------------------------------------
PRECISION CASTPARTS CORP    COM       740189105    1,722      16,900   SH      SOLE                        16,900
----------------------------------------------------------------------------------------------------------------------------------
PSS WORLD MEDICAL INC       COM       69366A100    5,431     248,800   SH      SOLE                       248,800
----------------------------------------------------------------------------------------------------------------------------------
REHABCARE GROUP INC         COM       759148109      540      24,900   SH      SOLE                        24,900
----------------------------------------------------------------------------------------------------------------------------------
REYNOLDS AMERICAN INC       COM       761713106    1,874      42,100   SH      SOLE                        42,100
----------------------------------------------------------------------------------------------------------------------------------
RIO TINTO PLC - SPON ADR    ADR       767204100    4,581      26,900   SH      SOLE                        26,900
----------------------------------------------------------------------------------------------------------------------------------
ROCK-TENN CO                COM       772739207    5,743     121,900   SH      SOLE                       121,900
----------------------------------------------------------------------------------------------------------------------------------
ROCKWELL COLLINS INC        COM       774341101    1,570      30,900   SH      SOLE                        30,900
----------------------------------------------------------------------------------------------------------------------------------
ROSS STORES INC             COM       778296103    5,398     113,000   SH      SOLE                       113,000
----------------------------------------------------------------------------------------------------------------------------------
SAIC INC                    COM       78390X101    4,217     240,400   SH      SOLE                       240,400
----------------------------------------------------------------------------------------------------------------------------------
SASOL LTD  -ADR             ADR       803866300    2,703      70,900   SH      SOLE                        70,900
----------------------------------------------------------------------------------------------------------------------------------
SCHLUMBERGER LTD            COM       806857108    1,395      23,400   SH      SOLE                        23,400
----------------------------------------------------------------------------------------------------------------------------------




Page 9 of 10                                                          09/30/2009


                                                     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
----------------------------------------------------------------------------------------------------------------------------------
                                                                                                      
----------------------------------------------------------------------------------------------------------------------------------
SCHWEITZER-MAUDUIT INTL INC COM       808541106    1,169      21,500   SH      SOLE                        21,500
----------------------------------------------------------------------------------------------------------------------------------
SCOTTS MIRACLE-GRO CO       COM       810186106    5,639     131,300   SH      SOLE                       131,300
----------------------------------------------------------------------------------------------------------------------------------
SOUTH JERSEY INDUSTRIES INC COM       838518108    4,148     117,500   SH      SOLE                       117,500
----------------------------------------------------------------------------------------------------------------------------------
SOUTHERN COPPER CORP        COM       84265V105    4,373     142,500   SH      SOLE                       142,500
----------------------------------------------------------------------------------------------------------------------------------
SPARTAN MOTORS INC          COM       846819100      269      52,300   SH      SOLE                        52,300
----------------------------------------------------------------------------------------------------------------------------------
STANLEY INC                 COM       854532108    3,326     129,300   SH      SOLE                       129,300
----------------------------------------------------------------------------------------------------------------------------------
STARWOOD HOTELS&RESORTS
WRLD                        COM       85590A401    3,597     108,900   SH      SOLE                       108,900
----------------------------------------------------------------------------------------------------------------------------------
STIFEL FINANCIAL CORP       COM       860630102    6,286     114,500   SH      SOLE                       114,500
----------------------------------------------------------------------------------------------------------------------------------
STURM RUGER & CO INC        COM       864159108      580      44,800   SH      SOLE                        44,800
----------------------------------------------------------------------------------------------------------------------------------
SUN LIFE FINANCIAL INC      ADR       866796105    2,646      84,700   SH      SOLE                        84,700
----------------------------------------------------------------------------------------------------------------------------------
SUNOCO LOGISTICS PRTNRS L P COM       86764L108      622      10,500   SH      SOLE                        10,500
----------------------------------------------------------------------------------------------------------------------------------
SUPERVALU INC               COM       868536103    2,330     154,700   SH      SOLE                       154,700
----------------------------------------------------------------------------------------------------------------------------------
SXC HEALTH SOLUTIONS CORP   COM       78505P100   12,774     273,000   SH      SOLE                       273,000
----------------------------------------------------------------------------------------------------------------------------------
TAIWAN SEMICONDUCTOR -ADR   ADR       874039100    2,865     261,400   SH      SOLE                       261,400
----------------------------------------------------------------------------------------------------------------------------------
TECH DATA CORP              COM       878237106    5,626     135,200   SH      SOLE                       135,200
----------------------------------------------------------------------------------------------------------------------------------
TETRA TECH INC              COM       88162G103   10,458     394,200   SH      SOLE                       394,200
----------------------------------------------------------------------------------------------------------------------------------
TEXAS INSTRUMENTS INC       COM       882508104    1,457      61,500   SH      SOLE                        61,500
----------------------------------------------------------------------------------------------------------------------------------
TEXAS ROADHOUSE INC         COM       882681109      544      51,200   SH      SOLE                        51,200
----------------------------------------------------------------------------------------------------------------------------------
TEXTRON INC                 COM       883203101    2,350     123,800   SH      SOLE                       123,800
----------------------------------------------------------------------------------------------------------------------------------
TJX COMPANIES INC           COM       872540109    1,464      39,400   SH      SOLE                        39,400
----------------------------------------------------------------------------------------------------------------------------------
TOTAL SA  -ADR              ADR       89151E109    2,187      36,900   SH      SOLE                        36,900
----------------------------------------------------------------------------------------------------------------------------------
TRACTOR SUPPLY CO           COM       892356106    5,413     111,800   SH      SOLE                       111,800
----------------------------------------------------------------------------------------------------------------------------------




Page 10 of 10                                                         09/30/2009


                                                     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
-----------------------------------------------------------------------------------------------------------------------------------
                                                                                                      
-----------------------------------------------------------------------------------------------------------------------------------
TREX CO INC                 COM       89531P105    5,178     284,500   SH      SOLE                       284,500
-----------------------------------------------------------------------------------------------------------------------------------
TUPPERWARE BRANDS CORP      COM       899896104    5,569     139,500   SH      SOLE                       139,500
-----------------------------------------------------------------------------------------------------------------------------------
U S BANCORP                 COM       902973304    1,323      60,500   SH      SOLE                        60,500
-----------------------------------------------------------------------------------------------------------------------------------
UNITED NATURAL FOODS INC    COM       911163103      536      22,400   SH      SOLE                        22,400
-----------------------------------------------------------------------------------------------------------------------------------
UNITED TECHNOLOGIES CORP    COM       913017109    1,462      24,000   SH      SOLE                        24,000
-----------------------------------------------------------------------------------------------------------------------------------
USA MOBILITY INC            COM       90341G103      594      46,100   SH      SOLE                        46,100
-----------------------------------------------------------------------------------------------------------------------------------
VERIZON COMMUNICATIONS      COM       92343V104    5,556     183,560   SH      SOLE                       183,560
-----------------------------------------------------------------------------------------------------------------------------------
VIASAT INC                  COM       92552V100    5,170     194,500   SH      SOLE                       194,500
-----------------------------------------------------------------------------------------------------------------------------------
VIMPELCOM-SP ADR            ADR       68370R109    3,891     208,100   SH      SOLE                       208,100
-----------------------------------------------------------------------------------------------------------------------------------
VIRGIN MEDIA INC            COM       92769L101    6,215     446,500   SH      SOLE                       446,500
-----------------------------------------------------------------------------------------------------------------------------------
VSE CORP                    COM       918284100    4,693     120,300   SH      SOLE                       120,300
-----------------------------------------------------------------------------------------------------------------------------------
WATSON PHARMACEUTICALS INC  COM       942683103    5,547     151,400   SH      SOLE                       151,400
-----------------------------------------------------------------------------------------------------------------------------------
WESTERN DIGITAL CORP        COM       958102105    2,053      56,200   SH      SOLE                        56,200
-----------------------------------------------------------------------------------------------------------------------------------
WET SEAL INC  -CL A       CLASS A     961840105       41      10,940   SH      SOLE                        10,940
-----------------------------------------------------------------------------------------------------------------------------------
WEYERHAEUSER CO             COM       962166104    1,811      49,400   SH      SOLE                        49,400
-----------------------------------------------------------------------------------------------------------------------------------
WORLD FUEL SERVICES CORP    COM       981475106   12,330     256,500   SH      SOLE                       256,500
-----------------------------------------------------------------------------------------------------------------------------------
ZEP INC                     COM       98944B108    3,941     242,500   SH      SOLE                       242,500
-----------------------------------------------------------------------------------------------------------------------------------
                     TOTAL                       678,710
-----------------------------------------------------------------------------------------------------------------------------------