Strong arguments are presented in favor of the simultaneous presence of two periodicities in the variability of the Wolf-Rayet star WR 40. The frequencies are nu(A) = 0.16/d and nu(B) = 0.40/d. Some uncertainties remain concerning the choice of the actual one-year alias. On the basis of a detailed statistical analysis, reliable evidence that the variability related to nu(B) could be coherent is also presented: this points out nu(B) as a possible fundamental frequency linked to the 'core' of WR 40. No firm conclusion could be drawn about nu(A), suggesting that it could be a recurrent quasi-periodicity or a second order periodicity (e.g., a beat frequency). The two frequencies are sometimes hidden by the white noise, or slightly correlated, random process that constitutes the third component of the variability of WR 40