Gabelli Asset Fund (GABAX) N-CSR Certified annual shareholder report (management investment company)

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-04494

The Gabelli Asset Fund

(Exact name of registrant as specified in charter)

One Corporate Center
Rye, New York 10580-1422
(Address of principal executive offices) (Zip code)

Bruce N. Alpert
Gabelli Funds, LLC
One Corporate Center
Rye, New York 10580-1422
(Name and address of agent for service)

registrant’s telephone number, including area code: 1-800-422-3554

Date of fiscal year end: December 31

Date of reporting period: December 31, 2010

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Item 1. Reports to Stockholders.

The Report to Shareholders is attached herewith.

The Gabelli Asset Fund

Annual Report
December 31, 2010

Morningstar^® rated The Gabelli Asset Fund Class AAA Shares 5 stars overall and 4
stars for the three year period and 5 stars for the five and ten year periods ended December 31,
2010 among 1,753, 1,753, 1,457, and 802 Large Blend funds, respectively.

Mario J. Gabelli, CFA

Kevin V. Dreyer

Christopher Marangi

To Our Shareholders,

     The Sarbanes-Oxley Act requires a fund’s principal executive and financial officers to certify the entire contents of the semi-annual and annual shareholder reports in a filing with the Securities and Exchange Commission (“SEC”) on Form N-CSR. This certification would cover the portfolio managers’ commentary and subjective opinions if they are attached to or a part of the financial statements. Many of these comments and opinions would be difficult or impossible to certify.

     Because we do not want our portfolio managers to eliminate their opinions and/or restrict their commentary to historical facts, we have separated their commentary from the financial statements and investment portfolio and have sent it to you separately. Both the commentary and the financial statements, including the portfolio of investments, will be available on our website at www.gabelli.com/funds.

     Enclosed are the audited financial statements including the investment portfolio as of December 31, 2010 with a description of factors that affected the performance during the past year.

Performance Discussion (Unaudited)

     The Gabelli Asset Fund (the “Fund”) (Class AAA) net asset value (“NAV”) per share rose 23.1% in 2010, compared with the Standard & Poor’s (“S&P”) 500 Index of 15.1%.

     The first quarter of 2010 started the year off on relatively good footing with the S&P 500 Index up over 5%. By year end, the S&P 500 was up over 15%. Throughout the year, investors were rightfully concerned about sovereign debt issues in various European countries. The size and trend of our federal deficit led many investors to consider whether our country might eventually face these same debt issues.

Morningstar Rating™ is based on risk-adjusted returns. The Overall Morningstar Rating is derived from a weighted average of the performance figures associated with a fund’s three, five, and ten year (if applicable) Morningstar Rating metrics. For funds with at least a three year history, a Morningstar Rating is based on a risk-adjusted return measure (including the effects of sales charges, loads, and redemption fees) placing more emphasis on downward variations and rewarding consistent performance. That accounts for variations in a fund’s monthly performance. The top 10% of funds in each category receive 5 stars, the next 22.5% 4 stars, the next 35% 3 stars, the next 22.5% 2 stars, and the bottom 10% 1 star. (Each share class is counted as a fraction of one fund within this scale and rated separately, which may cause slight variations in the distribution percentages.) Morningstar Rating is for the AAA Share class only; other classes may have different performance characteristics. Ratings reflect relative performance. Results for certain periods were negative. ^©2010 Morningstar, Inc. All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

     During 2010, another concern causing some volatility in the stock market was the pace at which the U.S. economy was emerging from the Great Recession. As a reminder, the National Bureau of Economic Research, which is charged with deciding when recessions begin and end, stated in September 2010 that the Great Recession actually ended in June 2009, eighteen months after it began. Although the economy did begin to rebuild inventories in the second half of 2009 and corporate profits grew throughout 2010, the pace of recovery was still of concern. The unemployment rate, which is a lagging indicator, stayed stubbornly high, hovering between 9%-10% for most of the year.

     A selected holding that contributed positively to the Fund’s performance in 2010 was Deere & Co., the Fund’s largest holding (2.4% of net assets as of December 31, 2010). Deere manufactures, distributes, and finances a full line of equipment for use in agriculture, construction, forestry, and lawn care; manufactures engines and other powertrain components for Deere equipment and other manufacturers; and provides credit and other services to customers around the world. Other selected holdings that contributed positively to the Fund’s performance were AMETEK, Inc. (1.4%), a leading global manufacturer of electronic instruments and electromechanical devices, and Lufkin Industries Inc. (0.9%). Some of the Fund’s weaker performing stocks during the year were Archer-Daniels-Midland Co. (0.6%), one of the largest agricultural processors in the world, Deutsche Bank (0.4%), a leading global investment bank and YAKULT HONSHA Co. Ltd. (0.5%), a leading probiotics company headquartered in Tokyo, Japan.

     We appreciate your confidence and trust.

	Sincerely yours,
	Bruce N. Alpert
February 24, 2011	President

COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE
GABELLI ASSET FUND CLASS AAA SHARES AND THE S&P 500 INDEX (Unaudited)

Past performance is not predictive of future results. The performance tables and graph do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

2

Comparative Results

Average Annual Returns through December 31, 2010 (a) (Unaudited)

																						Since
																						Inception
	Quarter			1 Year			3 Year			5 Year			10 Year			15 Year			20 Year			(3/3/86)
Gabelli Asset Fund Class AAA		11.66	%		23.07	%		0.30	%		6.57	%		6.49	%		10.16	%		11.49	%		12.38	%
S&P 500 Index		10.76			15.08			(2.84	)		2.29			1.42			6.77			9.13			9.66	(e)
Dow Jones Industrial Average		8.01			14.04			(1.58	)		4.30			3.16			7.95			10.28			10.90	(e)
Nasdaq Composite Index		12.00			16.91			0.01			3.76			0.71			6.36			10.29			8.38	(e)
Class A		11.63			23.04			0.29			6.57			6.49			10.16			11.49			12.38
With sales charge (b)		5.21			15.97			(1.67	)		5.32			5.86			9.72			11.49			12.10
Class B		11.45			22.15			(0.48	)		5.75			5.92			9.77			11.19			12.14
With contingent deferred sales charge (c)		6.45			17.15			(1.48	)		5.43			5.92			9.77			11.19			12.14
Class C		11.43			22.14			(0.44	)		5.79			5.94			9.78			11.20			12.15
With contingent deferred sales charge (d)		10.43			21.14			(0.44	)		5.79			5.94			9.78			11.20			12.15
Class I		11.70			23.35			0.54			6.73			6.57			10.21			11.53			12.42

In the current prospectus, the expense ratios for Class AAA, A, B, C, and I Shares are 1.40%, 1.40%, 2.15%, 2.15%, and 1.15%, respectively. See page 16 for the expense ratios for the year ended December 31, 2010. Class AAA and Class I Shares do not have a sales charge. The maximum sales charge for Class A, B, and C Shares is 5.75%, 5.00%, and 1.00%, respectively.

(a)	Returns represent past performance and do not guarantee future results. Total returns and average annual returns reflect changes in share price, reinvestment of distributions, and are net of expenses. Investment returns and the principal value of an investment will fluctuate. When shares are redeemed, they may be worth more or less than their original cost. Current performance may be lower or higher than the performance data presented. Performance returns for periods of less than one year are not annualized. Visit www.gabelli.com for performance information as of the most recent month end. Investors should carefully consider the investment objectives, risks, charges, and expenses of the Fund before investing. The prospectus contains information about this and other matters and should be read carefully before investing. The S&P 500 Index, Dow Jones Industrial Average and the Nasdaq Composite Index are unmanaged indicators of stock market performance. Dividends are considered reinvested. You cannot invest directly in an index. The Class AAA Shares NAVs per share are used to calculate performance for the periods prior to the issuance of Class A Shares, Class B Shares, and Class C Shares on December 31, 2003 and Class I Shares on January 11, 2008. The actual performance of the Class B Shares and Class C Shares would have been lower due to the additional expenses associated with these classes of shares. The actual performance of the Class I Shares would have been higher due to lower expenses related to this class of shares.
(b)	Performance results include the effect of the maximum 5.75% sales charge at the beginning of the period.
(c)	Assuming payment of the maximum contingent deferred sales charge (CDSC). The maximum CDSC for Class B Shares is 5% and is reduced to 0% after six years.
(d)	Assuming payment of the maximum CDSC. A CDSC of 1% is imposed on redemptions made within one year of purchase.
(e)	S&P 500 Index, Dow Jones Industrial Average and Nasdaq Composite Index since inception performance are as of February 28, 1986.

3

The Gabelli Asset Fund
Disclosure of Fund Expenses (Unaudited)
For the Six Month Period from July 1, 2010 through December 31, 2010	Expense Table

We believe it is important for you to understand the impact of fees and expenses regarding your investment. All mutual funds have operating expenses. As a shareholder of a fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of a fund. When a fund’s expenses are expressed as a percentage of its average net assets, this figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your Fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.

The Expense Table below illustrates your Fund’s costs in two ways:

Actual Fund Return: This section provides information about actual account values and actual expenses. You may use this section to help you to estimate the actual expenses that you paid over the period after any fee waivers and expense reimbursements. The “Ending Account Value” shown is derived from the Fund’s actual return during the past six months, and the “Expenses Paid During Period” shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period.

To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your Fund under the heading “Expenses Paid During Period” to estimate the expenses you paid during this period.

Hypothetical 5% Return: This section provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio. It assumes a hypothetical annualized return of 5% before expenses during the period shown. In this case — because the hypothetical return used is not the Fund’s actual return — the results do not apply to your investment and you cannot use the hypothetical account value and expense to estimate the actual ending account balance or expenses you paid for the period. This example is useful in making comparisons of the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs such as sales charges (loads), redemption fees, or exchange fees, if any, which are described in the Prospectus. If these costs were applied to your account, your costs would be higher. Therefore, the 5% hypothetical return is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. The “Annualized Expense Ratio” represents the actual expenses for the last six months and may be different from the expense ratio in the Financial Highlights which is for the year ended December 31, 2010.

	Beginning		Ending		Annualized			Expenses
	Account Value		Account Value		Expense			Paid During
	07/01/10		12/31/10		Ratio			Period*
The Gabelli Asset Fund
Actual Fund Return
Class AAA	$	1,000.00	$	1,266.60		1.38	%	$	7.88
Class A	$	1,000.00	$	1,266.50		1.38	%	$	7.88
Class B	$	1,000.00	$	1,261.90		2.13	%	$	12.14
Class C	$	1,000.00	$	1,261.90		2.13	%	$	12.14
Class I	$	1,000.00	$	1,268.20		1.13	%	$	6.46
Hypothetical 5% Return
Class AAA	$	1,000.00	$	1,018.25		1.38	%	$	7.02
Class A	$	1,000.00	$	1,018.25		1.38	%	$	7.02
Class B	$	1,000.00	$	1,014.47		2.13	%	$	10.82
Class C	$	1,000.00	$	1,014.47		2.13	%	$	10.82
Class I	$	1,000.00	$	1,019.51		1.13	%	$	5.75

* Expenses are equal to the Fund’s annualized expense ratio for the last six months multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half year (184 days), then divided by 365.

4

Summary of Portfolio Holdings (Unaudited)

The following table presents portfolio holdings as a percent of total net assets as of December 31, 2010:

The Gabelli Asset Fund
Food and Beverage	11.8	%
Energy and Utilities	8.2	%
Cable and Satellite	7.4	%
Equipment and Supplies	7.1	%
Financial Services	7.1	%
Diversified Industrial	5.8	%
Consumer Products	5.1	%
Entertainment	4.4	%
Machinery	3.9	%
Automotive: Parts and Accessories	3.7	%
Health Care	3.4	%
Telecommunications	3.3	%
Metals and Mining	2.8	%
Aviation: Parts and Services	2.5	%
Publishing	2.3	%
Hotels and Gaming	2.2	%
Retail	2.1	%
Business Services	1.5	%
Specialty Chemicals	1.4	%
Electronics	1.4	%
Broadcasting	1.4	%
Environmental Services	1.3	%
Communications Equipment	1.3	%
Automotive	1.3	%
Aerospace	1.2	%
Consumer Services	1.2	%
U.S. Government Obligations	1.0	%
Computer Software and Services	1.0	%
Agriculture	0.9	%
Wireless Communications	0.9	%
Transportation	0.5	%
Real Estate	0.4	%
Manufactured Housing and Recreational Vehicles	0.1	%
Closed-end Funds	0.0	%
Computer Hardware	0.0	%
Other Assets and Liabilities (Net)	0.1	%
	100.0	%

The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q, the last of which was filed for the quarter ended September 30, 2010. Shareholders may obtain this information at www.gabelli.com or by calling the Fund at 800-GABELLI (800-422-3554). The Fund’s Form N-Q is available on the SEC’s website at www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

Proxy Voting

The Fund files Form N-PX with its complete proxy voting record for the twelve months ended June 30th, no later than August 31st of each year. A description of the Fund’s proxy voting policies, procedures, and how the Fund voted proxies relating to portfolio securities is available without charge, upon request, by (i) calling 800-GABELLI (800-422-3554); (ii) writing to The Gabelli Funds at One Corporate Center, Rye, NY 10580-1422; or (iii) visiting the SEC’s website at www.sec.gov.

5

The Gabelli Asset Fund

Schedule of Investments — December 31, 2010

					Market
Shares			Cost		Value
		COMMON STOCKS — 98.8%
		Aerospace — 1.2%
	110,000	Herley Industries Inc.†	$	1,634,717	$	1,905,200
	5,000	Lockheed Martin Corp.		147,750		349,550
	12,000	Northrop Grumman Corp.		589,097		777,360
	2,100,000	Rolls-Royce Group plc†		15,537,619		20,397,561
	134,400,000	Rolls-Royce Group plc., Cl. C†		212,110		209,542
	112,000	The Boeing Co.		4,974,032		7,309,120
				23,095,325		30,948,333
		Agriculture — 0.9%
	490,000	Archer-Daniels-Midland Co.		6,445,610		14,739,200
	92,058	Monsanto Co.		1,406,815		6,410,919
	3,000	Potash Corp. of Saskatchewan Inc.		41,185		464,490
	29,000	The Mosaic Co.		500,160		2,214,440
				8,393,770		23,829,049
		Automotive — 1.3%
	242,000	Ford Motor Co.†		2,861,621		4,063,180
	409,000	Navistar International Corp.†		7,571,010		23,685,190
	101,250	PACCAR Inc.		522,020		5,813,775
	3,400	Volkswagen AG		137,862		481,151
				11,092,513		34,043,296
		Automotive: Parts and Accessories — 3.6%
	195,000	BorgWarner Inc.†		2,002,824		14,110,200
	230,000	CLARCOR Inc.		1,647,194		9,864,700
	340,000	Dana Holding Corp.†		2,296,152		5,851,400
	40,000	Federal-Mogul Corp.†		696,942		826,000
	480,000	Genuine Parts Co.		11,539,085		24,643,200
	394,000	Johnson Controls Inc.		3,527,331		15,050,800
	174,000	Midas Inc.†		2,283,829		1,411,140
	200,000	Modine Manufacturing Co.†		3,564,025		3,100,000
	190,000	O’Reilly Automotive Inc.†		4,685,384		11,479,800
	260,000	Standard Motor Products Inc.		2,733,037		3,562,000
	141,000	Superior Industries International Inc.		2,875,228		2,992,020
	50,000	Tenneco Inc.†		319,198		2,058,000
				38,170,229		94,949,260
		Aviation: Parts and Services — 2.5%
	1,114,775	BBA Aviation plc		2,737,779		3,851,482
	480,000	Curtiss-Wright Corp.		3,268,726		15,936,000
	600,000	GenCorp Inc.†		2,151,726		3,102,000
	110,000	Kaman Corp.		1,534,269		3,197,700
	292,000	Precision Castparts Corp.		3,452,696		40,649,320
				13,145,196		66,736,502
		Broadcasting — 1.4%
	324,000	CBS Corp., Cl. A, Voting		3,489,315		6,165,720
	20,000	Cogeco Inc.		381,659		754,098
	26,666	Corus Entertainment Inc., Cl. B, OTC		43,320		595,985
	13,334	Corus Entertainment Inc., Cl. B, Toronto		21,662		297,041
	109,000	Fisher Communications Inc.†		3,908,472		2,376,200
	843	Granite Broadcasting Corp.† (a)		69,109		0
	225,000	Liberty Media Corp. — Capital, Cl. A†		722,438		14,076,000
	73,000	Liberty Media Corp. — Starz, Cl. A†		645,582		4,853,040
	235,000	LIN TV Corp., Cl. A†		2,444,839		1,245,500
	12,000	Naspers Ltd., Cl. N		472,418		706,702
	400,000	Television Broadcasts Ltd.		1,815,551		2,161,383
	180,000	Tokyo Broadcasting System Holdings Inc.		4,350,218		2,556,226
				18,364,583		35,787,895
		Business Services — 1.5%
	28,000	ACCO Brands Corp.†		139,023		238,560
	37,450	Ascent Media Corp., Cl. A†		648,128		1,451,562
	155,000	Clear Channel Outdoor Holdings Inc., Cl. A†		1,855,555		2,176,200
	190,000	Ecolab Inc.		1,778,939		9,579,800
	15,000	Edenred†		273,621		355,091
	15,000	Equinix Inc.†		1,217,601		1,218,900
	63,000	Landauer Inc.		389,968		3,778,110
	200,487	Live Nation Entertainment Inc.†		2,096,719		2,289,562
	27,000	MasterCard Inc., Cl. A		2,096,893		6,050,970
	97,000	Monster Worldwide Inc.†		2,190,013		2,292,110
	40,000	The Brink’s Co.		959,540		1,075,200
	765,000	The Interpublic Group of Companies Inc.†		6,653,671		8,124,300
	18,000	Visa Inc., Cl. A		950,776		1,266,840
				21,250,447		39,897,205
		Cable and Satellite — 7.4%
	1,880,000	Cablevision Systems Corp., Cl. A		3,978,805		63,619,200
	180,000	Comcast Corp., Cl. A		2,622,994		3,954,600
	52,000	Comcast Corp., Cl. A, Special		294,725		1,082,120
	1,035,002	DIRECTV, Cl. A†		11,822,819		41,327,630
	304,000	DISH Network Corp., Cl. A†		6,888,632		5,976,640
	40,000	EchoStar Corp., Cl. A†		1,169,394		998,800
	1,000	Jupiter Telecommunications Co. Ltd.		980,489		1,051,854
	253,000	Liberty Global Inc., Cl. A†		2,886,157		8,951,140
	253,000	Liberty Global Inc., Cl. C†		2,772,975		8,574,170

See accompanying notes to financial statements.

6

The Gabelli Asset Fund

Schedule of Investments (Continued) — December 31, 2010

					Market
Shares			Cost		Value
		COMMON STOCKS (Continued)
		Cable and Satellite (Continued)
	1,084,000	Rogers Communications Inc., Cl. B, New York	$	5,935,839	$	37,538,920
	50,000	Rogers Communications Inc., Cl. B, Toronto		229,821		1,739,918
	220,000	Scripps Networks Interactive Inc., Cl. A		6,664,792		11,385,000
	150,000	Shaw Communications Inc., Cl. B, Non-Voting, New York		292,208		3,207,000
	120,000	Shaw Communications Inc., Cl. B, Non-Voting, Toronto		164,952		2,576,687
	60,000	Time Warner Cable Inc.		2,574,661		3,961,800
				49,279,263		195,945,479
		Closed-End Funds — 0.0%
	79,920	Royce Value Trust Inc.		975,443		1,162,037
		Communications Equipment — 1.3%
	535,000	Corning Inc.		3,877,674		10,336,200
	600,000	Motorola Inc.†		5,227,745		5,442,000
	390,000	Thomas & Betts Corp.†		7,650,699		18,837,000
				16,756,118		34,615,200
		Computer Hardware — 0.0%
	5,000	Wincor Nixdorf AG		302,584		407,641
		Computer Software and Services — 1.0%
	110,001	AOL Inc.†		2,603,817		2,608,124
	190,000	Diebold Inc.		6,648,706		6,089,500
	77,750	Fidelity National Information Services Inc.		1,569,838		2,129,573
	100,000	NCR Corp.†		1,746,066		1,537,000
	112,000	Rockwell Automation Inc.		4,132,533		8,031,520
	300,000	Yahoo! Inc.†		8,249,995		4,989,000
				24,950,955		25,384,717
		Consumer Products — 5.1%
	49,000	Alberto-Culver Co.		1,097,704		1,814,960
	35,000	Altria Group Inc.		525,685		861,700
	78,000	Avon Products Inc.		2,346,710		2,266,680
	11,000	Christian Dior SA		307,335		1,571,366
	224,000	Church & Dwight Co. Inc.		1,452,510		15,460,480
	25,000	Clorox Co.		1,389,061		1,582,000
	360,000	Eastman Kodak Co.†		2,686,670		1,929,600
	286,000	Energizer Holdings Inc.†		6,318,025		20,849,400
	136,000	Fortune Brands Inc.		3,455,425		8,194,000
	3,400	Givaudan SA		1,182,809		3,669,091
	35,000	Harley-Davidson Inc.		88,156		1,213,450
	73,000	Kimberly-Clark Corp.		4,424,240		4,601,920
	24,000	Mattel Inc.		433,200		610,320
	24,000	National Presto Industries Inc.		763,030		3,120,240
	25,000	Philip Morris International Inc.		950,939		1,463,250
	50,000	Reckitt Benckiser Group plc		1,570,345		2,747,894
	125,000	Sally Beauty Holdings Inc.†		1,001,483		1,816,250
	50,000	Svenska Cellulosa AB, Cl. B		709,301		789,515
	1,080,000	Swedish Match AB		12,045,067		31,264,785
	10,000	Syratech Corp.†		2,000		7
	1,000	The Estee Lauder Companies Inc., Cl. A		70,902		80,700
	435,000	The Procter & Gamble Co.		14,703,629		27,983,550
	35,000	Wolverine World Wide Inc.		325,537		1,115,800
				57,849,763		135,006,958
		Consumer Services — 1.2%
	175,000	IAC/InterActiveCorp.†		1,901,881		5,022,500
	430,000	Liberty Media Corp. - Interactive, Cl. A†		2,558,178		6,781,100
	962,000	Rollins Inc.		3,345,858		18,999,500
				7,805,917		30,803,100
		Diversified Industrial — 5.8%
	13,000	Acuity Brands Inc.		153,426		749,710
	5,000	Anixter International Inc.		45,044		298,650
	75,403	Contax Participacoes SA, ADR		30,974		275,221
	410,000	Cooper Industries plc		9,164,540		23,898,900
	410,100	Crane Co.		6,317,211		16,842,807
	105,000	Gardner Denver Inc.		863,061		7,226,100
	123,224	Greif Inc., Cl. A		1,084,700		7,627,566
	263,343	Greif Inc., Cl. B		14,277,034		16,063,923
	435,000	Honeywell International Inc.		13,860,082		23,124,600
	25,000	Ingersoll-Rand plc		491,296		1,177,250
	575,000	ITT Corp.		9,116,823		29,963,250
	95,000	Jardine Strategic Holdings Ltd.		2,028,459		2,629,600
	240,000	Katy Industries Inc.†		1,301,715		288,000
	310,000	Magnetek Inc.†		1,116,061		418,500
	240,000	Myers Industries Inc.		1,460,520		2,337,600
	52,000	Pentair Inc.		762,065		1,898,520
	53,333	Smiths Group plc		880,170		1,035,229
	30,000	Sulzer AG		2,817,302		4,572,193
	160,000	Textron Inc.		1,241,296		3,782,400
	110,000	Trinity Industries Inc.		916,097		2,927,100
	166,000	Tyco International Ltd.		6,797,117		6,879,040
	4,000	Waters Corp.†		287,836		310,840
				75,012,829		154,326,999

See accompanying notes to financial statements.

7

The Gabelli Asset Fund

Schedule of Investments (Continued) — December 31, 2010

						Market
Shares				Cost		Value
			COMMON STOCKS (Continued)
		��	Electronics — 1.4%
	9,000		Chemring Group plc	$	117,293	$	407,484
	110,000		Intel Corp.		2,352,246		2,313,300
	8,500		Kyocera Corp., ADR		269,501		869,635
	375,000		LSI Corp.†		2,388,881		2,246,250
	1,000		Mettler-Toledo International Inc.†		136,323		151,210
	24,000		Molex Inc., Cl. A		655,086		452,880
	40,700		Samsung Electronics Co. Ltd., GDR (b)		7,659,136		17,171,330
	50,000		Sony Corp., ADR		1,556,873		1,785,500
	275,000		Texas Instruments Inc.		7,068,173		8,937,500
	80,000		Tyco Electronics Ltd.		2,388,391		2,832,000
					24,591,903		37,167,089
			Energy and Utilities — 8.2%
	130,000		Allegheny Energy Inc.		1,577,562		3,151,200
	11,000		Anadarko Petroleum Corp.		652,895		837,760
	200,000		BP plc, ADR		5,056,777		8,834,000
	29,000		CH Energy Group Inc.		1,214,873		1,417,810
	324,000		Chevron Corp.		12,433,695		29,565,000
	340,000		ConocoPhillips		9,732,763		23,154,000
	220,000		CONSOL Energy Inc.		8,179,112		10,722,800
	25,000		Constellation Energy Group Inc.		551,389		765,750
	122,000		Devon Energy Corp.		1,673,036		9,578,220
	6,000		Diamond Offshore Drilling Inc.		555,299		401,220
	25,000		DPL Inc.		571,010		642,750
	90,000		Duke Energy Corp.		1,022,606		1,602,900
	20,000		Edison International		340,000		772,000
	500,000		El Paso Corp.		4,324,186		6,880,000
	240,000		El Paso Electric Co.†		3,007,363		6,607,200
	95,000		EOG Resources Inc.		435,076		8,683,950
	319,000		Exxon Mobil Corp.		7,591,950		23,325,280
	130,000		GenOn Energy Inc., Escrow† (a)		0		0
	90,000		Great Plains Energy Inc.		2,148,682		1,745,100
	205,000		Halliburton Co.		6,436,153		8,370,150
	220,100		National Fuel Gas Co.		10,840,402		14,442,962
	30,000		NextEra Energy Inc.		1,408,935		1,559,700
	165,000		Northeast Utilities		3,106,532		5,260,200
	25,000		NSTAR		793,474		1,054,750
	12,000		Occidental Petroleum Corp.		941,505		1,177,200
	45,000		Oceaneering International Inc.†		1,944,964		3,313,350
	48,000		Petroleo Brasileiro SA, ADR		1,864,335		1,816,320
	100,000		Progress Energy Inc., CVO†		52,000		15,250
	235,000		Rowan Companies Inc.†		8,664,401		8,203,850
	48,000		Royal Dutch Shell plc, Cl. A, ADR		2,857,612		3,205,440
	129,100		SJW Corp.		2,122,183		3,417,277
	255,000		Southwest Gas Corp.		4,493,970		9,350,850
	245,000		Spectra Energy Corp.		5,632,832		6,122,550
	50,000		Talisman Energy Inc.		1,014,455		1,109,500
	100,000		The AES Corp.†		397,000		1,218,000
	53,000		Transocean Ltd.†		4,067,764		3,684,030
	185,000		Weatherford International Ltd.†		3,752,899		4,218,000
					121,459,690		216,226,319
			Entertainment — 4.4%
	8,010		Chestnut Hill Ventures† (a)		218,000		364,856
	310,000		Discovery Communications Inc., Cl. A†		3,107,759		12,927,000
	299,000		Discovery Communications Inc., Cl. C†		2,113,665		10,970,310
	34,000		DreamWorks Animation SKG Inc., Cl. A†		819,381		1,001,980
	750,000		Grupo Televisa SA, ADR†		7,957,615		19,447,500
	477,500		Madison Square Garden Inc., Cl. A†		1,050,501		12,309,950
	1,600		Nintendo Co. Ltd.		496,491		469,614
	80,000		Rank Group plc		206,625		157,655
	20,000		Regal Entertainment Group, Cl. A		283,108		234,800
	570,001		Time Warner Inc.		14,892,388		18,336,932
	515,000		Viacom Inc., Cl. A		15,234,637		23,617,900
	10,000		Viacom Inc., Cl. B		317,524		396,100
	560,000		Vivendi		11,211,804		15,116,326
	41,000		World Wrestling Entertainment Inc., Cl. A		383,678		583,840
					58,293,176		115,934,763
			Environmental Services — 1.3%
	557,000		Republic Services Inc.		5,904,883		16,632,020
	500,000		Waste Management Inc.		10,415,537		18,435,000
					16,320,420		35,067,020
			Equipment and Supplies — 7.1%
	978,000		AMETEK Inc.		2,537,859		38,386,500
	6,000		Amphenol Corp., Cl. A		23,162		316,680
	100,000		CIRCOR International Inc.		982,474		4,228,000
	145,000		Crown Holdings Inc.†		653,703		4,840,100
	175,000		CTS Corp.		1,009,883		1,935,500
	8,000		Danaher Corp.		70,641		377,360
	390,000		Donaldson Co. Inc.		2,250,340		22,729,200
	241,000		Flowserve Corp.		3,223,052		28,732,020
	190,000		Gerber Scientific Inc.†		1,799,449		1,495,300
	235,000		GrafTech International Ltd.†		2,090,619		4,662,400
	762,000		IDEX Corp.		2,863,178		29,809,440
	151,000		Interpump Group SpA†		614,802		1,149,152
	391,000		Lufkin Industries Inc.		1,769,749		24,394,490

See accompanying notes to financial statements.

8

The Gabelli Asset Fund

Schedule of Investments (Continued) — December 31, 2010

					Market
Shares			Cost		Value
		COMMON STOCKS (Continued)
		Equipment and Supplies (Continued)
	70,000	Met-Pro Corp.	$	380,521	$	826,700
	20,000	Sealed Air Corp.		168,679		509,000
	2,000	SL Industries Inc.†		5,719		34,900
	104,000	Tenaris SA, ADR		4,684,312		5,093,920
	100,000	The Manitowoc Co. Inc.		240,518		1,311,000
	100,000	The Weir Group plc		420,789		2,775,178
	29,000	Valmont Industries Inc.		232,196		2,573,170
	325,000	Watts Water Technologies Inc., Cl. A		3,816,271		11,891,750
				29,837,916		188,071,760
		Financial Services — 7.1%
	15,700	Alleghany Corp.†		2,561,640		4,810,009
	48,000	AllianceBernstein Holding LP		1,352,639		1,119,840
	667,000	American Express Co.		18,876,525		28,627,640
	14,000	Ameriprise Financial Inc.		417,729		805,700
	32,000	Argo Group International Holdings Ltd.		1,152,402		1,198,400
	105,000	Artio Global Investors Inc.		2,649,756		1,548,750
	150,000	Bank of America Corp.		1,761,991		2,001,000
	211	Berkshire Hathaway Inc., Cl. A†		809,023		25,414,950
	71,000	BKF Capital Group Inc.†		413,961		81,650
	20,000	Calamos Asset Management Inc., Cl. A		228,324		280,000
	400,000	Citigroup Inc.†		2,030,101		1,892,000
	76,000	Commerzbank AG, ADR†		1,173,814		559,360
	215,000	Deutsche Bank AG		9,527,630		11,190,750
	27,000	Fortress Investment Group LLC, Cl. A†		204,929		153,900
	117,000	H&R Block Inc.		1,902,798		1,393,470
	20,000	HSBC Holdings plc, ADR		1,083,752		1,020,800
	50,000	Interactive Brokers Group Inc., Cl. A		993,830		891,000
	450,000	Janus Capital Group Inc.		6,042,263		5,836,500
	160,000	JPMorgan Chase & Co.		5,426,547		6,787,200
	56,000	Kinnevik Investment AB, Cl. A		934,814		1,137,377
	65,000	Kinnevik Investment AB, Cl. B		1,122,773		1,324,036
	75,000	KKR & Co. LP		725,864		1,065,000
	330,000	Legg Mason Inc.		7,310,744		11,969,100
	75,000	Leucadia National Corp.		655,691		2,188,500
	61,000	Loews Corp.		2,713,779		2,373,510
	28,000	M&T Bank Corp.		1,759,865		2,437,400
	150,000	Marsh & McLennan Companies Inc.		4,406,024		4,101,000
	150,000	NewAlliance Bancshares Inc.		2,158,142		2,247,000
	45,000	Northern Trust Corp.		2,326,438		2,493,450
	45,000	PNC Financial Services Group Inc.		1,945,789		2,732,400
	750,137	Popular Inc.†		2,123,738		2,355,430
	36,000	Royal Bank of Canada		1,908,428		1,884,960
	100,000	State Street Corp.		1,350,485		4,634,000
	20,000	SunTrust Banks Inc.		424,879		590,200
	50,000	T. Rowe Price Group Inc.		850,990		3,227,000
	483,000	The Bank of New York Mellon Corp.		14,687,383		14,586,600
	49,000	The Blackstone Group LP		877,505		693,350
	10,000	The Goldman Sachs Group Inc.		1,488,945		1,681,600
	12,000	The Travelers Companies Inc.		477,578		668,520
	70,866	Tree.com Inc.†		509,902		668,975
	19,000	Unitrin Inc.		498,464		466,260
	8,500	Value Line Inc.		136,515		122,825
	180,000	Waddell & Reed Financial Inc., Cl. A		3,903,823		6,352,200
	642,000	Wells Fargo & Co.		19,350,465		19,895,580
				133,258,677		187,509,192
		Food and Beverage — 11.8%
	345,000	Brown-Forman Corp., Cl. A		6,015,904		23,980,950
	85,000	Brown-Forman Corp., Cl. B		1,986,156		5,917,700
	120,000	Campbell Soup Co.		3,270,218		4,170,000
	400,000	China Mengniu Dairy Co. Ltd.		1,191,136		1,060,107
	80,000	Coca-Cola Enterprises Inc.		1,626,706		2,002,400
	16,500	Coca-Cola Hellenic Bottling Co. SA, ADR		231,193		427,350
	395,000	Constellation Brands Inc., Cl. A†		5,348,427		8,749,250
	250,000	Corn Products International Inc.		3,045,769		11,500,000
	323,000	Danone		15,485,446		20,295,137
	560,000	Davide Campari - Milano SpA		2,738,267		3,644,382
	130,000	Dean Foods Co.†		2,163,947		1,149,200
	180,000	Del Monte Foods Co.		1,833,990		3,384,000
	316,000	Diageo plc, ADR		11,802,992		23,488,280
	2,000	Diamond Foods Inc.		46,909		106,360
	170,000	Dr Pepper Snapple Group Inc.		3,650,477		5,977,200
	70,000	Farmer Brothers Co.		943,094		1,246,000
	305,000	Flowers Foods Inc.		1,354,532		8,207,550
	70,000	Fomento Economico Mexicano SAB de CV, ADR		2,406,448		3,914,400
	589,000	General Mills Inc.		10,330,879		20,962,510

See accompanying notes to financial statements.

9

The Gabelli Asset Fund

Schedule of Investments (Continued) — December 31, 2010

					Market
Shares			Cost		Value
		COMMON STOCKS (Continued)
		Food and Beverage (Continued)
	51,000	Green Mountain Coffee Roasters Inc.†	$	1,308,475	$	1,675,860
	810,000	Grupo Bimbo SAB de CV, Cl. A		1,635,883		6,916,154
	107,000	H.J. Heinz Co.		3,907,783		5,292,220
	95,000	Heineken NV		4,504,518		4,657,771
	180,000	ITO EN Ltd.		4,164,672		2,992,979
	65,000	Kellogg Co.		1,736,200		3,320,200
	82,000	Kerry Group plc, Cl. A		971,184		2,730,667
	450,000	Kikkoman Corp.		5,314,589		5,043,725
	285,229	Kraft Foods Inc., Cl. A		8,481,528		8,987,566
	32,000	LVMH Moet Hennessy Louis Vuitton SA		1,117,034		5,263,988
	15,000	MEIJI Holdings Co. Ltd.		678,410		678,039
	245,000	Morinaga Milk Industry Co. Ltd.		909,693		1,038,059
	90,000	Nestlé SA		1,868,526		5,270,054
	200,000	NISSIN FOODS HOLDINGS CO. LTD.		6,899,621		7,168,370
	10,000	Peet’s Coffee & Tea Inc.†		360,952		417,400
	244,274	PepsiCo Inc.		8,241,138		15,958,421
	93,000	Pernod-Ricard SA		8,400,150		8,744,110
	148,000	Ralcorp Holdings Inc.†		2,413,831		9,621,480
	86,430	Remy Cointreau SA		5,079,553		6,115,575
	750,016	Sara Lee Corp.		10,644,227		13,132,780
	315,000	The Coca-Cola Co.		12,864,795		20,717,550
	32,000	The Hain Celestial Group Inc.†		532,819		865,920
	67,000	The Hershey Co.		1,589,183		3,159,050
	20,000	The J.M. Smucker Co.		547,733		1,313,000
	300,000	Tingyi (Cayman Islands) Holding Corp.		746,614		768,063
	160,000	Tootsie Roll Industries Inc.		1,820,002		4,635,200
	195,000	Tyson Foods Inc., Cl. A		2,816,874		3,357,900
	440,000	YAKULT HONSHA Co. Ltd.		11,840,921		12,675,945
				186,869,398		312,700,822
		Health Care — 3.4%
	40,000	Abbott Laboratories		1,948,913		1,916,400
	15,000	Alere Inc.†		255,011		549,000
	50,000	Allergan Inc.		2,338,454		3,433,500
	44,000	Amgen Inc.†		203,194		2,415,600
	70,000	AngioDynamics Inc.†		934,504		1,075,900
	10,000	ArthroCare Corp.†		235,827		310,600
	75,000	Baxter International Inc.		3,881,678		3,796,500
	102,000	Beckman Coulter Inc.		5,646,925		7,673,460
	13,000	Becton, Dickinson and Co.		997,162		1,098,760
	51,000	Biogen Idec Inc.†		810,124		3,419,550
	220,000	Boston Scientific Corp.†		1,977,408		1,665,400
	190,000	Bristol-Myers Squibb Co.		5,047,017		5,031,200
	10,000	Cephalon Inc.†		560,856		617,200
	15,000	Cepheid Inc.†		134,567		341,250
	67,000	Chemed Corp.		1,081,042		4,255,170
	32,000	CONMED Corp.†		640,430		845,760
	50,000	Covidien plc		1,943,051		2,283,000
	10,000	DENTSPLY International Inc.		190,509		341,700
	52,000	Eli Lilly & Co.		2,020,951		1,822,080
	44,000	Exactech Inc.†		671,660		828,080
	38,000	Henry Schein Inc.†		1,049,459		2,332,820
	136,000	Johnson & Johnson		5,801,895		8,411,600
	16,000	Laboratory Corp. of America Holdings†		1,125,964		1,406,720
	80,000	Life Technologies Corp.†		2,096,308		4,440,000
	74,000	Mead Johnson Nutrition Co.		3,148,864		4,606,500
	68,000	Medco Health Solutions Inc.†		1,216,929		4,166,360
	85,000	Merck & Co. Inc.		1,950,546		3,063,400
	10,000	Nobel Biocare Holding AG		285,863		188,556
	125,000	Pain Therapeutics Inc.†		730,303		843,750
	65,000	Patterson Companies Inc.		1,658,969		1,990,950
	175,000	Pfizer Inc.		3,045,050		3,064,250
	2,000	Stryker Corp.		65,440		107,400
	400,000	Tenet Healthcare Corp.†		2,343,312		2,676,000
	50,000	UnitedHealth Group Inc.		1,524,774		1,805,500
	88,000	Watson Pharmaceuticals Inc.†		3,230,655		4,545,200
	34,000	William Demant Holding A/S†		1,594,066		2,511,272
	20,000	Wright Medical Group Inc.†		351,052		310,600
	3,000	Young Innovations Inc.		78,887		96,030
	13,000	Zimmer Holdings Inc.†		662,619		697,840
				63,480,238		90,984,858
		Hotels and Gaming — 2.2%
	15,000	Accor SA		508,153		667,486
	24,000	Churchill Downs Inc.		910,628		1,041,600
	355,000	Gaylord Entertainment Co.†		9,145,538		12,758,700
	450,000	Genting Singapore plc†		622,648		767,912
	10,000	Home Inns & Hotels Management Inc., ADR†		159,080		409,600
	14,422	Host Hotels & Resorts Inc.		290,636		257,721
	150,000	International Game Technology		3,373,476		2,653,500
	60,000	Interval Leisure Group Inc.†		561,535		968,400
	2,300,000	Ladbrokes plc		14,105,899		4,399,905
	130,000	Las Vegas Sands Corp.†		1,045,073		5,973,500
	4,200,000	Mandarin Oriental International Ltd.		8,011,029		8,694,000

See accompanying notes to financial statements.

10

The Gabelli Asset Fund

Schedule of Investments (Continued) — December 31, 2010

					Market
Shares			Cost		Value
		COMMON STOCKS (Continued)
		Hotels and Gaming (Continued)
	200,000	MGM Resorts International†	$	1,201,606	$	2,970,000
	55,000	Orient-Express Hotels Ltd., Cl. A†		1,018,175		714,450
	110,000	Pinnacle Entertainment Inc.†		763,073		1,542,200
	98,000	Starwood Hotels & Resorts Worldwide Inc.		1,921,712		5,956,440
	1,250,000	The Hongkong & Shanghai Hotels Ltd.		1,344,950		2,142,085
	190,000	Universal Entertainment Corp.†		3,957,264		5,553,270
	18,000	Wyndham Worldwide Corp.		470,825		539,280
	15,000	Wynn Resorts Ltd.		389,245		1,557,600
				49,800,545		59,567,649
		Machinery — 3.9%
	150,000	Baldor Electric Co.		4,862,520		9,456,000
	135,000	Caterpillar Inc.		893,289		12,644,100
	400,000	CNH Global NV†		12,185,748		19,096,000
	755,000	Deere & Co.		6,196,590		62,702,750
	22,000	Mueller Water Products Inc., Cl. A		183,302		91,740
	7,000	Zebra Technologies Corp., Cl. A†		270,244		265,930
				24,591,693		104,256,520
		Manufactured Housing and Recreational Vehicles — 0.1%
	180,000	All American Group Inc.†		566,333		38,700
	32,000	Cavco Industries Inc.†		605,460		1,494,080
	31,000	Nobility Homes Inc.†		573,574		251,410
	79,000	Skyline Corp.		2,825,707		2,060,320
				4,571,074		3,844,510
		Metals and Mining — 2.8%
	5,000	Agnico-Eagle Mines Ltd.		236,238		383,500
	220,000	Alcoa Inc.		3,421,195		3,385,800
	365,000	Barrick Gold Corp.		6,733,535		19,410,700
	89,000	Freeport-McMoRan Copper & Gold Inc.		2,869,862		10,688,010
	95,000	Ivanhoe Mines Ltd.†		739,280		2,177,400
	8,000	James River Coal Co.†		58,140		202,640
	50,000	Kinross Gold Corp.		359,224		948,000
	52,000	New Hope Corp. Ltd.		70,252		257,950
	550,000	Newmont Mining Corp.		11,458,987		33,786,500
	25,000	Peabody Energy Corp.		973,215		1,599,500
				26,919,928		72,840,000
		Publishing — 2.3%
	37,000	Belo Corp., Cl. A†		216,729		261,960
	500,000	Il Sole 24 Ore SpA†		4,127,474		924,058
	400,000	Media General Inc., Cl. A†		4,133,937		2,312,000
	75,000	Meredith Corp.		1,600,688		2,598,750
	3,260,000	News Corp., Cl. A		25,811,884		47,465,600
	22,000	News Corp., Cl. B		212,046		361,240
	155,000	The E.W. Scripps Co., Cl. A†		1,276,082		1,573,250
	175,000	The McGraw-Hill Companies Inc.		1,542,706		6,371,750
	27,000	The New York Times Co., Cl. A†		248,035		264,600
				39,169,581		62,133,208
		Real Estate — 0.4%
	11,000	Brookfield Asset Management Inc., Cl. A		294,496		366,190
	103,000	Griffin Land & Nurseries Inc.		1,479,146		3,335,140
	36,000	ProLogis		983,331		519,840
	250,000	The St. Joe Co.†		1,870,114		5,462,500
				4,627,087		9,683,670
		Retail — 2.1%
	98,700	Aaron’s Inc.†		354,993		2,012,493
	250,000	AutoNation Inc.†		2,405,853		7,050,000
	13,000	AutoZone Inc.†		1,154,517		3,543,670
	260,000	Coldwater Creek Inc.†		1,511,908		824,200
	125,000	Costco Wholesale Corp.		6,453,676		9,026,250
	225,000	CVS Caremark Corp.		7,764,572		7,823,250
	100,000	HSN Inc.†		1,654,539		3,064,000
	400,000	Lianhua Supermarket Holdings Ltd., Cl. H		1,743,406		1,911,795
	200,000	Macy’s Inc.		3,263,628		5,060,000
	90,000	Safeway Inc.		2,182,464		2,024,100
	51,000	The Home Depot Inc.		1,586,243		1,788,060
	78,000	The Kroger Co.		468,475		1,744,080
	50,000	Wal-Mart Stores Inc.		2,501,213		2,696,500
	80,000	Walgreen Co.		2,861,078		3,116,800
	60,000	Whole Foods Market Inc.†		1,436,727		3,035,400
	145,000	Winn-Dixie Stores Inc.†		2,214,371		1,039,650
				39,557,663		55,760,248
		Specialty Chemicals — 1.4%
	20,000	Airgas Inc.		1,252,377		1,249,200
	17,000	Ashland Inc.		284,580		864,620
	3,012	Chemtura Corp.†		4,499		48,132
	520,000	Ferro Corp.†		6,990,113		7,612,800
	110,000	General Chemical Group Inc.†		365,584		2,200
	136,000	H.B. Fuller Co.		1,271,302		2,790,720
	135,000	International Flavors & Fragrances Inc.		6,153,045		7,504,650
	40,000	Material Sciences Corp.†		266,497		255,600
	2,000	NewMarket Corp.		215,642		246,740
	590,000	Omnova Solutions Inc.†		1,637,428		4,932,400
	297,000	Sensient Technologies Corp.		5,726,600		10,908,810
	70,000	Zep Inc.		732,324		1,391,600
				24,899,991		37,807,472

See accompanying notes to financial statements.

11

The Gabelli Asset Fund

Schedule of Investments (Continued) — December 31, 2010

					Market
Shares			Cost		Value
		COMMON STOCKS (Continued)
		Telecommunications — 3.3%
	5,000	AboveNet Inc.	$	235,403	$	292,300
	145,000	AT&T Inc.		3,508,517		4,260,100
	23,000	Brasil Telecom SA, ADR		706,205		504,390
	14,000	Brasil Telecom SA, Cl. C, ADR		210,888		125,720
	34,000	CenturyLink Inc.		488,070		1,569,780
	1,000,000	Cincinnati Bell Inc.†		4,647,570		2,800,000
	390,000	Deutsche Telekom AG, ADR		6,589,788		4,992,000
	27,000	France Telecom SA, ADR		481,981		569,160
	36,000	Hellenic Telecommunications Organization SA		735,003		294,897
	11,000	Hellenic Telecommunications Organization SA, ADR		88,308		44,000
	84,000	NII Holdings Inc.†		3,456,582		3,751,440
	235,000	Portugal Telecom SGPS SA		2,379,092		2,631,593
	150,000	Qwest Communications International Inc.		411,797		1,141,500
	750,000	Sprint Nextel Corp.†		2,703,264		3,172,500
	75,403	Tele Norte Leste Participacoes SA, ADR		1,001,480		1,108,424
	3,100,000	Telecom Italia SpA		1,732,489		4,005,853
	200,000	Telecom Italia SpA, ADR		1,395,966		2,588,000
	93,000	Telefonica SA, ADR		3,334,921		6,363,060
	40,000	Telefonos de Mexico SAB de CV, Cl. L, ADR		101,330		645,600
	585,000	Telephone & Data Systems Inc.		12,232,605		21,381,750
	500,000	Telephone & Data Systems Inc., Special		10,167,087		15,760,000
	63,300	tw telecom inc.†		1,115,694		1,079,265
	237,000	Verizon Communications Inc.		7,095,485		8,479,860
	40,000	VimpelCom Ltd., ADR		593,825		601,600
				65,413,350		88,162,792
		Transportation — 0.5%
	375,000	AMR Corp.†		3,299,274		2,921,250
	290,000	GATX Corp.		7,056,913		10,231,200
	4,000	Kansas City Southern†		7,317		191,440
	39,100	Providence and Worcester Railroad Co.		616,606		654,925
				10,980,110		13,998,815
		Wireless Communications — 0.9%
	93,000	America Movil SAB de CV, Cl. L, ADR		580,141		5,332,620
	13,000	Millicom International Cellular SA		1,033,513		1,242,800
	2,700	NTT DoCoMo Inc.		3,867,175		4,715,605
	13,001	Tim Participacoes SA, ADR		157,722		443,854
	185,000	United States Cellular Corp.†		8,925,694		9,238,900
	47	Vivo Participacoes SA		656		3,086
	30,000	Vivo Participacoes SA, ADR		911,624		977,700
	67,075	Vodafone Group plc, ADR		1,700,195		1,772,792
				17,176,720		23,727,357
		TOTAL COMMON STOCKS		1,308,264,095		2,619,287,735
		RIGHTS — 0.0%
		Metals and Mining — 0.0%
	95,000	Ivanhoe Mines Ltd., expire 01/26/11†		0		133,000
		WARRANTS — 0.0%
		Automotive: Parts and Accessories — 0.0%
	14,727	Federal-Mogul Corp., expire 12/27/14†		411,720		6,185
		Broadcasting — 0.0%
	2,109	Granite Broadcasting Corp., Ser. A, expire 06/04/12† (a)		0		0
	2,109	Granite Broadcasting Corp., Ser. B, expire 06/04/12† (a)		0		0
				0		0
		Energy and Utilities — 0.0%
	11,313	GenOn Energy Inc., expire 01/03/11† (a)		149,058		79
		Hotels and Gaming — 0.0%
	200,000	Indian Hotels Co. Ltd, expire 06/16/14† (b)		298,980		429,600
		TOTAL WARRANTS		859,758		435,864

See accompanying notes to financial statements.

12

The Gabelli Asset Fund

Schedule of Investments (Continued) — December 31, 2010

Principal					Market
Amount			Cost		Value
		CONVERTIBLE CORPORATE BONDS — 0.1%
		Automotive: Parts and Accessories — 0.1%
$	1,000,000	Standard Motor Products Inc., Sub. Deb. Cv., 15.000%, 04/15/11	$	992,175	$	1,010,000
		CORPORATE BONDS — 0.0%
		Specialty Chemicals — 0.0%
	200,000	Chemtura Corp., Escrow, Zero Coupon, 11/17/20† (a)		0		0
		U.S. GOVERNMENT OBLIGATIONS — 1.0%
	26,994,000	U.S. Treasury Bills, 0.090% to 0.200%††, 01/20/11 to 07/28/11		26,984,157		26,985,453
		TOTAL INVESTMENTS — 99.9%	$	1,337,100,185		2,647,852,052
		Other Assets and Liabilities (Net) — 0.1%				2,715,267
		NET ASSETS — 100.0%			$	2,650,567,319

(a)	Security fair valued under procedures established by the Board of Trustees. The procedures may include reviewing available financial information about the company and reviewing valuation of comparable securities and other factors on a regular basis. At December 31, 2010, the market value of fair valued securities amounted to $ 364,935 or 0.01% of net assets.
(b)	Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2010, the market value of Rule 144A securities amounted to $17,600,930 or 0.66% of net assets.
†	Non-income producing security.
††	Represents annualized yield at date of purchase.
ADR	American Depositary Receipt
CVO	Contingent Value Obligation
GDR	Global Depositary Receipt

See accompanying notes to financial statements.

13

The Gabelli Asset Fund

Statement of Assets and Liabilities
December 31, 2010

Assets:
Investments, at value (cost $1,337,100,185)	$	2,647,852,052
Foreign currency, at value (cost $7,482)		7,523
Cash		1,574
Receivable for Fund shares issued		5,679,121
Receivable for investments sold		1,455,136
Dividends and interest receivable		2,727,283
Prepaid expenses		121,701
Total Assets		2,657,844,390
Liabilities:
Payable for investments purchased		1,062,896
Payable for Fund shares redeemed		2,851,159
Payable for investment advisory fees		2,220,558
Payable for distribution fees		557,536
Payable for accounting fees		7,500
Other accrued expenses		577,422
Total Liabilities		7,277,071
Net Assets (applicable to 54,183,995 shares outstanding)	$	2,650,567,319
Net Assets Consist of:
Paid-in capital	$	1,357,192,009
Accumulated distributions in excess of net investment income		(728,869	)
Accumulated distributions in excess of net realized gain on investments and foreign currency transactions		(16,657,556	)
Net unrealized appreciation on investments		1,310,751,867
Net unrealized appreciation on foreign currency translations		9,868
Net Assets	$	2,650,567,319
Shares of Beneficial Interest each at $0.01 par value; unlimited number of shares authorized:
Class AAA:
Net Asset Value, offering, and redemption price per share ($2,571,513,551 ÷ 52,554,836 shares outstanding)	$	48.93
Class A:
Net Asset Value and redemption price per share ($23,280,028÷ 478,479 shares outstanding)	$	48.65
Maximum offering price per share (NAV ÷ 0.9425, based on maximum sales charge of 5.75% of the offering price)	$	51.62
Class B:
Net Asset Value and offering price per share ($1,571 ÷ 33.23 shares outstanding)	$	47.28	(a)
Class C:
Net Asset Value and offering price per share ($17,240,239 ÷ 362,697 shares outstanding)	$	47.53	(a)
Class I:
Net Asset Value, offering, and redemption price per share ($38,531,930 ÷ 787,950 shares outstanding)	$	48.90

(a)  Redemption price varies based on the length of time held.

Statement of Operations
For the Year Ended December 31, 2010

Investment Income:
Dividends (net of foreign withholding taxes of $1,044,728)	$	39,006,507
Interest		188,672
Total Investment Income		39,195,179
Expenses:
Investment advisory fees		22,689,163
Distribution fees — Class AAA		5,525,731
Distribution fees — Class A		39,014
Distribution fees — Class B		14
Distribution fees — Class C		109,528
Shareholder services fees		1,633,107
Shareholder communications expenses		362,977
Custodian fees		340,262
Legal and audit fees		144,636
Registration expenses		99,431
Trustees’ fees		98,834
Accounting fees		45,000
Interest expense		12,192
Tax expense		3,375
Miscellaneous expenses		185,248
Total Expenses		31,288,512
Less:
Advisory fee reduction on unsupervised assets (See Note 3)		(8,908	)
Custodian fee credits		(111	)
Total Reductions and Credits		(9,019	)
Net Expenses		31,279,493
Net Investment Income		7,915,686
Net Realized and Unrealized Gain/(Loss) on Investments and Foreign Currency:
Net realized gain on investments		42,531,216
Net realized loss on foreign currency transactions		(76,953	)
Net realized gain on investments and foreign currency transactions		42,454,263
Net change in unrealized appreciation:
on investments		436,769,739
on foreign currency translations		7,517
Net change in unrealized appreciation on investments and foreign currency translations		436,777,256
Net Realized and Unrealized Gain/(Loss) on Investments and Foreign Currency		479,231,519
Net Increase in Net Assets Resulting from Operations	$	487,147,205

See accompanying notes to financial statements.

14

The Gabelli Asset Fund

Statement of Changes in Net Assets

	Year Ended			Year Ended
	December 31, 2010			December 31, 2009
Operations:
Net investment income	$	7,915,686		$	13,408,213
Net realized gain/(loss) on investments and foreign currency transactions		42,454,263			(20,271,749	)
Net change in unrealized appreciation on investments and foreign currency translations		436,777,256			511,726,460
Net Increase in Net Assets Resulting from Operations		487,147,205			504,862,924
Distributions to Shareholders:
Net investment income
Class AAA		(7,601,812	)		(14,237,747	)
Class A		(79,054	)		(86,472	)
Class C		—			(10,336	)
Class I		(195,336	)		(43,171	)
		(7,876,202	)		(14,377,726	)
Net realized gain
Class AAA		(21,422,786	)		—
Class A		(192,856	)		—
Class B		(14	)		—
Class C		(144,746	)		—
Class I		(320,558	)		—
		(22,080,960	)		—
Total Distributions to Shareholders		(29,957,162	)		(14,377,726	)
Shares of Beneficial Interest Transactions:
Class AAA		17,849,088			(97,642,183	)
Class A		6,693,080			(1,797,851	)
Class B		—			(3,371	)
Class C		6,078,908			575,456
Class I		26,561,505			1,172,152
Net Increase/(Decrease) in Net Assets from Shares of Beneficial Interest Transactions		57,182,581			(97,695,797	)
Redemption Fees		2,170			8,063
Net Increase in Net Assets		514,374,794			392,797,464
Net Assets:
Beginning of period		2,136,192,525			1,743,395,061
End of period (including undistributed net investment income of $0 and $0, respectively)	$	2,650,567,319		$	2,136,192,525

See accompanying notes to financial statements.

15

The Gabelli Asset Fund
Financial Highlights

Selected data for a share of beneficial interest outstanding throughout each period:

			Income (Loss)																													Ratios to Average Net Assets/
			from Investment Operations									Distributions																				Supplemental Data
						Net
	Net Asset		Net			Realized and			Total						Net									Net Asset					Net Assets,			Net
Period	Value,		Investment			Unrealized			from			Net			Realized									Value,					End of			Investment						Portfolio
Ended	Beginning		Income			Gain (Loss) on			Investment			Investment			Gain on			Total			Redemption			End of		Total			Period			Income			Operating			Turnover
December 31	of Period		(Loss)(a)			Investments			Operations			Income			Investments			Distributions			Fees(a)(b)			Period		Return†			(in 000’s)			(Loss)			Expenses			Rate
Class AAA
2010	$	40.21	$	0.15		$	9.13		$	9.28		$	(0.15	)	$	(0.41	)	$	(0.56	)	$	0.00		$	48.93		23.1	%	$	2,571,513			0.35	%		1.38	%		7	%
2009		31.01		0.25			9.22			9.47			(0.27	)		—			(0.27	)		0.00			40.21		30.5			2,107,979			0.74			1.40			7
2008		49.81		0.22			(18.76	)		(18.54	)		(0.23	)		(0.03	)		(0.26	)		0.00			31.01		(37.2	)		1,721,697			0.52			1.38			14
2007		47.38		0.16			5.46			5.62			(0.15	)		(3.04	)		(3.19	)		0.00			49.81		11.8			2,953,454			0.31			1.36			9
2006		41.13		0.30			8.70			9.00			(0.31	)		(2.44	)		(2.75	)		0.00			47.38		21.8			2,516,088			0.67			1.36			7
Class A
2010	$	40.01	$	0.15		$	9.07		$	9.22		$	(0.17	)	$	(0.41	)	$	(0.58	)	$	(0.00	)	$	48.65		23.0	%	$	23,280			0.34	%		1.38	%		7	%
2009		30.85		0.25			9.17			9.42			(0.26	)		—			(0.26	)		(0.00	)		40.01		30.5			13,216			0.75			1.40			7
2008		49.59		0.23			(18.69	)		(18.46	)		(0.25	)		(0.03	)		(0.28	)		0.00			30.85		(37.2	)		11,522			0.55			1.38			14
2007		47.21		0.16			5.44			5.60			(0.18	)		(3.04	)		(3.22	)		0.00			49.59		11.8			12,497			0.30			1.36			9
2006		41.01		0.32			8.66			8.98			(0.34	)		(2.44	)		(2.78	)		0.00			47.21		21.9			4,806			0.71			1.35			7
Class B
2010	$	39.04	$	(0.17	)	$	8.82		$	8.65			—		$	(0.41	)	$	(0.41	)	$	(0.00	)	$	47.28		22.2	%	$	2			(0.41	)%		2.13	%		7	%
2009		30.14		0.02			8.88			8.90			—			—			—			(0.00	)		39.04		29.5			2			0.08			2.15			7
2008		48.80		(0.12	)		(18.29	)		(18.41	)	$	(0.22	)		(0.03	)		(0.25	)		0.00			30.14		(37.7	)		4			(0.32	)		2.13			14
2007		46.72		(0.26	)		5.38			5.12			—			(3.04	)		(3.04	)		0.00			48.80		10.9			2			(0.52	)		2.11			9
2006		40.64		0.18			8.34			8.52			—			(2.44	)		(2.44	)		0.00			46.72		20.9			1			0.41			2.11			7
Class C																															��
2010	$	39.25	$	(0.17	)	$	8.86		$	8.69			—		$	(0.41	)	$	(0.41	)	$	(0.00	)	$	47.53		22.1	%	$	17,240			(0.40	)%		2.13	%		7	%
2009		30.31		(0.01	)		9.00			8.99		$	(0.05	)		—			(0.05	)		0.00			39.25		29.6			8,916			(0.03	)		2.15			7
2008		48.68		(0.09	)		(18.25	)		(18.34	)		—			(0.03	)		(0.03	)		0.00			30.31		(37.7	)		6,419			(0.21	)		2.13			14
2007		46.58		(0.24	)		5.38			5.14			—			(3.04	)		(3.04	)		0.00			48.68		11.0			8,090			(0.47	)		2.11			9
2006		40.54		(0.03	)		8.54			8.51			(0.03	)		(2.44	)		(2.47	)		0.00			46.58		20.9			3,348			(0.07	)		2.11			7
Class I
2010	$	40.18	$	0.27		$	9.11		$	9.38		$	(0.25	)	$	(0.41	)	$	(0.66	)	$	(0.00	)	$	48.90		23.4	%	$	38,532			0.62	%		1.13	%		7	%
2009		30.97		0.33			9.24			9.57			(0.36	)		—			(0.36	)		(0.00	)		40.18		30.9			6,080			0.99			1.15			7
2008(c)		47.26		0.33			(16.25	)		(15.92	)		(0.34	)		(0.03	)		(0.37	)		0.00			30.97		(33.6	)		3,753			0.84	(d)		1.13	(d)		14

†	Total return represents aggregate total return of a hypothetical $1,000 investment at the beginning of the period and sold at the end of the period including reinvestment of distributions and does not reflect applicable sales charges. Total return for a period of less than one year is not annualized.
(a)	Per share amounts have been calculated using the average shares outstanding method.
(b)	Amount represents less than $0.005 per share.
(c)	From the commencement of offering Class I Shares on January 11, 2008 through December 31, 2008.
(d)	Annualized.

See accompanying notes to financial statements.

16

The Gabelli Asset Fund
Notes to Financial Statements

1. Organization. The Gabelli Asset Fund (the “Fund”) was organized on November 25, 1985 as a Massachusetts business trust. The Fund is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). The Fund’s primary objective is growth of capital. The Fund commenced investment operations on March 3, 1986.

2. Significant Accounting Policies. The Fund’s financial statements are prepared in accordance with U.S. generally accepted accounting principles (“GAAP”), which may require the use of management estimates and assumptions. Actual results could differ from those estimates. The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements.

Security Valuation. Portfolio securities listed or traded on a nationally recognized securities exchange or traded in the U.S. over-the-counter market for which market quotations are readily available are valued at the last quoted sale price or a market’s official closing price as of the close of business on the day the securities are being valued. If there were no sales that day, the security is valued at the average of the closing bid and asked prices or, if there were no asked prices quoted on that day, then the security is valued at the closing bid price on that day. If no bid or asked prices are quoted on such day, the security is valued at the most recently available price or, if the Board of Trustees (the “Board”) so determines, by such other method as the Board shall determine in good faith to reflect its fair market value. Portfolio securities traded on more than one national securities exchange or market are valued according to the broadest and most representative market, as determined by Gabelli Funds, LLC (the “Adviser”).

Portfolio securities primarily traded on a foreign market are generally valued at the preceding closing values of such securities on the relevant market, but may be fair valued pursuant to procedures established by the Board if market conditions change significantly after the close of the foreign market but prior to the close of business on the day the securities are being valued. Debt instruments with remaining maturities of sixty days or less that are not credit impaired are valued at amortized cost, unless the Board determines such amount does not reflect the securities’ fair value, in which case these securities will be fair valued as determined by the Board. Debt instruments having a maturity greater than sixty days for which market quotations are readily available are valued at the average of the latest bid and asked prices. If there were no asked prices quoted on such day, the security is valued using the closing bid price. U.S. government obligations with maturities greater than sixty days are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, and reference data. Certain securities are valued principally using dealer quotations.

Securities and assets for which market quotations are not readily available are fair valued as determined by the Board. Fair valuation methodologies and procedures may include, but are not limited to: analysis and review of available financial and non-financial information about the company; comparisons with the valuation and changes in valuation of similar securities, including a comparison of foreign securities with the equivalent U.S. dollar value ADR securities at the close of the U.S. exchange; and evaluation of any other information that could be indicative of the value of the security.

17

The Gabelli Asset Fund
Notes to Financial Statements (Continued)

The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:

• Level 1 — quoted prices in active markets for identical securities;

• Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and

• Level 3 — significant unobservable inputs (including the Fund’s determinations as to the fair value of investments).

A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of the Fund’s investments in securities by inputs used to value the Fund’s investments as of December 31, 2010 is as follows:

	Valuation Inputs
	Level 1		Level 2 Other Significant		Level 3 Significant		Total Market Value
	Quoted Prices		Observable Inputs		Unobservable Inputs		at 12/31/10
INVESTMENTS IN SECURITIES:
ASSETS (Market Value):
Common Stocks:
Aerospace	$	30,738,791	$	209,542		—	$	30,948,333
Broadcasting		35,787,895		—	$	0		35,787,895
Consumer Products		135,006,951		7		—		135,006,958
Energy and Utilities		216,211,069		15,250		0		216,226,319
Entertainment		115,569,907		—		364,856		115,934,763
Other Industries (a)		2,085,383,467		—		—		2,085,383,467
Total Common Stocks		2,618,698,080		224,799		364,856		2,619,287,735
Rights		133,000		—		—		133,000
Warrants:
Broadcasting		—		—		0		0
Energy and Utilities		—		—		79		79
Other Industries (a)		435,785		—		—		435,785
Total Warrants		435,785		—		79		435,864
Convertible Corporate Bonds		—		1,010,000		—		1,010,000
Corporate Bonds		—		—		0		0
U.S. Government Obligations		—		26,985,453		—		26,985,453
TOTAL INVESTMENTS IN SECURITIES — ASSETS	$	2,619,266,865	$	28,220,252	$	364,935	$	2,647,852,052

(a) Please refer to the Schedule of Investments for the industry classifications of these portfolio holdings.

The Fund did not have significant transfers between Level 1 and Level 2 during the year ended December 31, 2010.

18

The Gabelli Asset Fund
Notes to Financial Statements (Continued)

The following table reconciles Level 3 investments for which significant unobservable inputs were used to determine fair value:

																				Net change
																				in unrealized
																				appreciation/
																				depreciation
																				during the
																				period on
								Change in												Level 3
	Balance		Accrued		Realized			unrealized			Net			Transfers		Transfers		Balance		investments
	as of		discounts/		gain/			appreciation/			purchases/			into		out of		as of		held at
	12/31/09		(premiums)		(loss)			depreciation†			(sales)			Level 3††		Level 3††		12/31/10		12/31/10†
INVESTMENTS IN SECURITIES:
ASSETS (Market Value):
Common Stocks:
Broadcasting	$	—	$	—	$	—		$	—		$	—		$	0	$	—	$	0	$	—
Energy and Utilities		0		—		—			—			—			—		—		0		—
Entertainment		270,177		—		—			94,679			—			—		—		364,856		94,679
Equipment and Supplies		0		—		(32,625	)		32,625			(0	)		—		—		—		—
Wireless Communications		0		—		—			—			(0	)		—		—		—		—
Total Common Stocks		270,177		—		(32,625	)		127,304			(0	)		—		—		364,856		94,679
Warrants:
Broadcasting		—		—		—			(4	)		—			4		—		0		(4	)
Energy and Utilities		—		—		—			(5,351	)		—			5,430		—		79		(5,351	)
Total Warrants		—		—		—			(5,355	)		—			5,434		—		79		(5,355	)
Corporate Bonds		—		—		—			—			0			—		—		0		—
TOTAL INVESTMENTS IN SECURITIES	$	270,177	$	—	$	(32,625	)	$	121,949		$	(0	)	$	5,434	$	—	$	364,935	$	89,324

†	Net change in unrealized appreciation/depreciation on investments is included in the related amounts in the Statement of Operations.
††	The Fund’s policy is to recognize transfers into and transfers out of Level 3 as of the beginning of the reporting period.

In January 2010, the Financial Accounting Standards Board (“FASB”) issued amended guidance to improve disclosure about fair value measurements which requires additional disclosures about transfers between Levels 1 and 2 and separate disclosures about purchases, sales, issuances, and settlements in the reconciliation of fair value measurements using significant unobservable inputs (Level 3). FASB also clarified existing disclosure requirements relating to the levels of disaggregation of fair value measurement and inputs and valuation techniques used to measure fair value. The amended guidance is effective for financial statements for fiscal years beginning after December 15, 2009 and interim periods within those fiscal years. Management has adopted the amended guidance and determined that there was no material impact to the Fund’s financial statements except for additional disclosures made in the notes. Disclosures about purchases, sales, issuances, and settlements in the rollforward of activity in Level 3 fair value measurements are effective for fiscal years beginning after December 15, 2010 and for interim periods within those fiscal years. Management is currently evaluating the impact of the additional disclosure requirements on the Fund’s financial statements.

Derivative Financial Instruments. The Fund may engage in various portfolio investment strategies by investing in a number of derivative financial instruments for the purpose of increasing the income of the Fund or hedging against a specific transaction with respect to either the currency in which the transaction is denominated or another currency. Investing in certain derivative financial instruments, including participation in the options, futures, or swap markets, entails certain execution, liquidity, hedging, tax, and securities, interest,

19

The Gabelli Asset Fund
Notes to Financial Statements (Continued)

credit, or currency market risks. Losses may arise if the Adviser’s prediction of movements in the direction of the securities, foreign currency, and interest rate markets is inaccurate. Losses may also arise if the counterparty does not perform its duties under a contract, or that, in the event of default, the Fund may be delayed in or prevented from obtaining payments or other contractual remedies owed to it under derivative contracts. The creditworthiness of the counterparties is closely monitored in order to minimize these risks. Participation in derivative transactions involves investment risks, transaction costs, and potential losses to which the Fund would not be subject absent the use of these strategies. The consequences of these risks, transaction costs, and losses may have a negative impact on the Fund’s ability to pay distributions.

The Fund’s derivative contracts held at December 31, 2010, if any, are not accounted for as hedging instruments under GAAP.

     Swap Agreements. The Fund may enter into equity contract for difference swap transactions for the purpose of increasing the income of the Fund. The use of swaps is a highly specialized activity that involves investment techniques and risks different from those associated with ordinary portfolio security transactions. In an equity contract for difference swap, a set of future cash flows is exchanged between two counterparties. One of these cash flow streams will typically be based on a reference interest rate combined with the performance of a notional value of shares of a stock. The other will be based on the performance of the shares of a stock. Depending on the general state of short-term interest rates and the returns on the Fund’s portfolio securities at the time a swap transaction reaches its scheduled termination date, there is a risk that the Fund will not be able to obtain a replacement transaction or that the terms of the replacement will not be as favorable as on the expiring transaction.

Unrealized gains related to swaps are reported as an asset and unrealized losses are reported as a liability in the Statement of Assets and Liabilities. The change in value of swaps, including the accrual of periodic amounts of interest to be paid or received on swaps, is reported as unrealized gain or loss in the Statement of Operations. A realized gain or loss is recorded upon payment or receipt of a periodic payment or termination of swap agreements. During the year ended December 31, 2010, the Fund held no investments in equity contract for difference swap agreements.

     Forward Foreign Exchange Contracts. The Fund may engage in forward foreign exchange contracts for the purpose of hedging a specific transaction with respect to either the currency in which the transaction is denominated or another currency as deemed appropriate by the Adviser. Forward foreign exchange contracts are valued at the forward rate and are marked-to-market daily. The change in market value is included in unrealized appreciation/depreciation on foreign currency translations. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

The use of forward foreign exchange contracts does not eliminate fluctuations in the underlying prices of the Fund’s portfolio securities, but it does establish a rate of exchange that can be achieved in the future. Although forward foreign exchange contracts limit the risk of loss due to a decline in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency increase. In addition, the Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts. During the year ended December 31, 2010, the Fund held no investments in forward foreign exchange contracts.

20

The Gabelli Asset Fund
Notes to Financial Statements (Continued)

Foreign Currency Translations. The books and records of the Fund are maintained in U.S. dollars. Foreign currencies, investments, and other assets and liabilities are translated into U.S. dollars at the current exchange rates. Purchases and sales of investment securities, income, and expenses are translated at the exchange rate prevailing on the respective dates of such transactions. Unrealized gains and losses that result from changes in foreign exchange rates and/or changes in market prices of securities have been included in unrealized appreciation/depreciation on investments and foreign currency translations. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date on investment securities transactions, foreign currency transactions, and the difference between the amounts of interest and dividends recorded on the books of the Fund and the amounts actually received. The portion of foreign currency gains and losses related to fluctuation in exchange rates between the initial purchase trade date and subsequent sale trade date is included in realized gain/loss on investments.

Foreign Securities. The Fund may directly purchase securities of foreign issuers. Investing in securities of foreign issuers involves special risks not typically associated with investing in securities of U.S. issuers. The risks include possible revaluation of currencies, the inability to repatriate funds, less complete financial information about companies, and possible future adverse political and economic developments. Moreover, securities of many foreign issuers and their markets may be less liquid and their prices more volatile than those of securities of comparable U.S. issuers.

Foreign Taxes. The Fund may be subject to foreign taxes on income, gains on investments, or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.

Restricted and Illiquid Securities. The Fund may invest up to 10% of its net assets in securities for which the markets are illiquid. Illiquid securities include securities the disposition of which is subject to substantial legal or contractual restrictions.The sale of illiquid securities often requires more time and results in higher brokerage charges or dealer discounts and other selling expenses than does the sale of securities eligible for trading on national securities exchanges or in the over-the-counter markets. Restricted securities may sell at a price lower than similar securities that are not subject to restrictions on resale. Securities freely saleable among qualified institutional investors under special rules adopted by the SEC may be treated as liquid if they satisfy liquidity standards established by the Board. The continued liquidity of such securities is not as well assured as that of publicly traded securities, and accordingly the Board will monitor their liquidity. The Fund held no illiquid securities at December 31, 2010. For the restricted securities the Fund held as of December 31, 2010, refer to the Schedule of Investments.

Securities Transactions and Investment Income. Securities transactions are accounted for on the trade date with realized gain or loss on investments determined by using the identified cost method. Interest income (including amortization of premium and accretion of discount) is recorded on the accrual basis. Premiums and discounts on debt securities are amortized using the effective yield to maturity method. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities that are recorded as soon after the ex-dividend date as the Fund becomes aware of such dividends.

21

The Gabelli Asset Fund
Notes to Financial Statements (Continued)

Determination of Net Asset Value and Calculation of Expenses. Certain administrative expenses are common to, and allocated among, various affiliated funds. Such allocations are made on the basis of each fund’s average net assets or other criteria directly affecting the expenses as determined by the Adviser pursuant to procedures established by the Board.

In calculating the net asset value (“NAV”) per share of each class, investment income, realized and unrealized gains and losses, redemption fees, and expenses other than class specific expenses are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day. Distribution expenses are borne solely by the class incurring the expense.

Custodian Fee Credits and Interest Expense. When cash balances are maintained in the custody account, the Fund receives credits which are used to offset custodian fees. The gross expenses paid under the custody arrangement are included in custodian fees in the Statement of Operations with the corresponding expense offset, if any, shown as “Custodian fee credits.” When cash balances are overdrawn, the Fund is charged an overdraft fee equal to 2.00% above the federal funds rate on outstanding balances. This amount, if any, would be included in “interest expense” in the Statement of Operations.

Distributions to Shareholders. Distributions to shareholders are recorded on the ex-dividend date. Distributions to shareholders are based on income and capital gains as determined in accordance with federal income tax regulations, which may differ from income and capital gains as determined under GAAP. These differences are primarily due to differing treatments of income and gains on various investment securities and foreign currency transactions held by the Fund, timing differences, and differing characterizations of distributions made by the Fund. Distributions from net investment income for federal income tax purposes include net realized gains on foreign currency transactions. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, adjustments are made to the appropriate capital accounts in the period when the differences arise. Permanent differences were primarily due to the tax treatment of currency gains and losses, reclassifications of distributions from investments in real estate investment trusts, recharacterization of distributions, non-deductible tax expense, and reclassifications of capital gains on investments in passive foreign investment companies. These reclassifications have no impact on the NAV of the Fund, including the Fund’s use of the tax accounting practice known as equalization, the utilization of earnings and profits distributed to shareholders on redemption of shares as part of the dividends paid deduction for federal income tax purposes. For the year ended December 31, 2010, reclassifications were made to decrease accumulated distributions in excess of net investment income by $57,254 and increase accumulated distributions in excess of net realized gain on investments and foreign currency transactions by $60,804, with an offsetting adjustment to additional paid-in capital.

22

The Gabelli Asset Fund
Notes to Financial Statements (Continued)

The tax character of distributions paid during the years ended December 31, 2010 and December 31, 2009 was as follows:

	Year Ended		Year Ended
	December 31, 2010		December 31, 2009
Distributions paid from:
Ordinary income	$	7,876,202	$	14,377,726
Net long-term capital gains		22,080,960		—
Total distributions paid	$	29,957,162	$	14,377,726

Provision For Income Taxes. The Fund intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). It is the policy of the Fund to comply with the requirements of the Code applicable to regulated investment companies and to distribute substantially all of its net investment company taxable income and net capital gains. Therefore, no provision for federal income taxes is required.

On Form-1120 RIC, the Fund paid a $3,375 corporate tax expense due to undiscovered investments in passive foreign investment companies.

At December 31, 2010, the components of accumulated earnings/losses on a tax basis were as follows:

Undistributed long-term capital gain	$	217,922
Net unrealized appreciation on investments and foreign currency translations		1,293,157,388
Total	$	1,293,375,310

During the year ended December 31, 2010, the Fund utilized capital loss carryforwards of $19,016,670.

At December 31, 2010, the temporary difference between book basis and tax basis net unrealized appreciation on investments was primarily due to deferral of losses from wash sales for tax purposes, mark-to-market adjustments on investments in passive foreign investment companies, basis adjustments on investments in partnerships and real estate investment trusts, and return of capital on underlying investments.

The following summarizes the tax cost of investments and the related net unrealized appreciation at December 31, 2010:

			Gross		Gross
			Unrealized		Unrealized			Net Unrealized
	Cost		Appreciation		Depreciation			Appreciation
Investments	$	1,354,704,536	$	1,360,126,358	$	(66,978,842	)	$	1,293,147,516

The Fund is required to evaluate tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Income tax and related interest and penalties would be recognized by the Fund as tax expense in the Statement of Operations if the tax positions were deemed not to meet the more-likely-than-not threshold. For the year ended December 31, 2010, the Fund did not incur any interest or penalties. As of December 31, 2010, the Adviser has reviewed all open tax years and concluded that there was no impact to the Fund’s net assets or results of operations. Tax years ended December 31, 2007 through December 31,

23

The Gabelli Asset Fund
Notes to Financial Statements (Continued)

2010 remain subject to examination by the Internal Revenue Service and state taxing authorities. On an ongoing basis, the Adviser will monitor the Fund’s tax positions to determine if adjustments to this conclusion are necessary.

3. Investment Advisory Agreement and Other Transactions. The Fund has entered into an investment advisory agreement (the “Advisory Agreement”) with the Adviser which provides that the Fund will pay the Adviser a fee, computed daily and paid monthly, at the annual rate of 1.00% of the value of its average daily net assets. In accordance with the Advisory Agreement, the Adviser provides a continuous investment program for the Fund’s portfolio, oversees the administration of all aspects of the Fund’s business and affairs, and pays the compensation of all Officers and Trustees of the Fund who are affiliated persons of the Adviser.

There was a reduction in the advisory fee paid to the Adviser relating to certain portfolio holdings, i.e., unsupervised assets, of the Fund with respect to which the Adviser transferred dispositive and voting control to the Fund’s Proxy Voting Committee. During the year ended December 31, 2010, the Fund’s Proxy Voting Committee exercised control and discretion over all rights to vote or consent with respect to such securities, and the Adviser reduced its fee with respect to such securities by $8,908.

The Fund pays each Trustee who is not considered an affiliated person an annual retainer of $9,000 plus $1,000 for each Board meeting attended. Each Trustee is reimbursed by the Fund for any out of pocket expenses incurred in attending meetings. All Board committee members receive $500 per meeting attended and the Chairman of each committee and the Lead Trustee each receive an annual fee of $1,000. A Trustee may receive a single meeting fee, allocated among the participating funds, for participation in certain meetings held on behalf of multiple funds. Trustees who are directors or employees of the Adviser or an affiliated company receive no compensation or expense reimbursement from the Fund.

4. Distribution Plan. The Fund’s Board has adopted a distribution plan (the “Plan”) for each class of shares, except for Class I Shares, pursuant to Rule 12b-1 under the 1940 Act. Gabelli & Company, Inc. (“Gabelli & Co.”), an affiliate of the Adviser, serves as Distributor of the Fund. Under the Class AAA, Class A, Class B, and Class C Share Plans, payments are authorized to Gabelli & Co. at annual rates of 0.25%, 0.25%, 1.00%, and 1.00%, respectively, of the average daily net assets of those classes, the annual limitations under each Plan. Such payments are accrued daily and paid monthly.

5. Portfolio Securities. Purchases and sales of securities for the year ended December 31, 2010, other than short-term securities and U.S. Government obligations, aggregated $180,054,188 and $165,690,588, respectively.

6. Transactions with Affiliates. During the year ended December 31, 2010, the Fund paid brokerage commissions on security trades of $344,298 to Gabelli & Co. Additionally, Gabelli & Co. informed the Fund that it retained $21,827 from investors representing commissions (sales charges and underwriting fees) on sales and redemptions of Fund shares.

The cost of calculating the Fund’s NAV per share is a Fund expense pursuant to the Advisory Agreement between the Fund and the Adviser. During the year ended December 31, 2010, the Fund paid or accrued $45,000 to the Adviser in connection with the cost of computing the Fund’s NAV.

24

The Gabelli Asset Fund
Notes to Financial Statements (Continued)

7. Line of Credit. The Fund participates in an unsecured line of credit of up to $75,000,000 under which it may borrow up to 10% of its net assets from the custodian for temporary borrowing purposes. Borrowings under this arrangement bear interest at the higher of the sum of the overnight LIBOR plus 125 basis points or the sum of the federal funds rate plus 125 basis points at the time of borrowing. This amount, if any, would be included in “interest expense” in the Statement of Operations. At December 31, 2010, there were no borrowings outstanding under the line of credit.

The average daily amount of borrowings outstanding under the line of credit during the year ended December 31, 2010 was $723,710 with a weighted average interest rate of 1.52%. The maximum amount borrowed at any time during the year ended December 31, 2010 was $6,908,000.

8. Shares of Beneficial Interest. The Fund offers five classes of shares — Class AAA Shares, Class A Shares, Class B Shares, Class C Shares, and Class I Shares. Class AAA Shares are offered without a sales charge only to investors who acquire them directly from Gabelli & Co., through selected broker/dealers, or the transfer agent. Class I Shares are offered through Gabelli & Co. and selected broker/dealers to foundations, endowments, institutions, and employee benefit plans without a sales charge. Class A Shares are subject to a maximum front-end sales charge of 5.75%. Class B Shares are subject to a contingent deferred sales charge (“CDSC”) upon redemption within six years of purchase and automatically convert to Class A Shares approximately eight years after the original purchase. The applicable Class B CDSC is equal to a percentage declining from 5% of the lesser of the NAV per share at the date of the original purchase or at the date of redemption, based on the length of time held. Class C Shares are subject to a 1.00% CDSC for one year after purchase. Class B Shares are available only through exchange of Class B Shares of other funds distributed by Gabelli & Co.

The Fund imposes a redemption fee of 2.00% on all classes of shares that are redeemed or exchanged on or before the seventh day after the date of a purchase.The redemption fee is deducted from the proceeds otherwise payable to the redeeming shareholders and is retained by the Fund as an increase in paid-in capital. The redemption fees retained by the Fund during the years ended December 31, 2010 and December 31, 2009 amounted to $2,170 and $8,063, respectively. The redemption fee does not apply to redemptions of shares where (i) the shares were purchased through automatic reinvestment of distributions, (ii) the redemption was initiated by the Fund, (iii) the shares were purchased through programs that collect the redemption fee at the program level and remit them to the Fund, or (iv) the shares were purchased through programs that the Adviser determines to have appropriate anti-short-term trading policies in place or as to which the Adviser has received assurances that look-through redemption fee procedures or effective anti-short-term trading policies and procedures are in place.

25

The Gabelli Asset Fund
Notes to Financial Statements (Continued)

Transactions in shares of beneficial interest were as follows:

	Year Ended						Year Ended
	December 31, 2010						December 31, 2009
	Shares			Amount			Shares			Amount
Class AAA
Shares sold		6,816,431		$	302,566,955			5,388,661		$	175,211,225
Shares issued upon reinvestment of distributions		557,615			27,345,434			329,931			13,406,277
Shares redeemed		(7,240,198	)		(312,063,301	)		(8,817,130	)		(286,259,685	)
Net increase/(decrease)		133,848		$	17,849,088			(3,098,538	)	$	(97,642,183	)
Class A
Shares sold		245,328		$	10,824,049			116,658		$	3,722,287
Shares issued upon reinvestment of distributions		4,981			242,870			1,973			79,782
Shares redeemed		(102,166	)		(4,373,839	)		(161,783	)		(5,599,920	)
Net increase/(decrease)		148,143		$	6,693,080			(43,152	)	$	(1,797,851	)
Class B
Shares redeemed		—			—			(94	)	$	(3,371	)
Net decrease		—			—			(94	)	$	(3,371	)
Class C
Shares sold		197,241		$	8,582,504			64,656		$	2,148,943
Shares issued upon reinvestment of distributions		2,373			113,056			242			9,591
Shares redeemed		(64,070	)		(2,616,652	)		(49,492	)		(1,583,078	)
Net increase		135,544		$	6,078,908			15,406		$	575,456
Class I
Shares sold		851,707		$	35,319,699			46,600		$	1,741,461
Shares issued upon reinvestment of distributions		9,005			441,335			1,063			43,170
Shares redeemed		(224,093	)		(9,199,529	)		(17,515	)		(612,479	)
Net increase		636,619		$	26,561,505			30,148		$	1,172,152

9. Indemnifications. The Fund enters into contracts that contain a variety of indemnifications. The Fund’s maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these contracts. Management has reviewed the Fund’s existing contracts and expects the risk of loss to be remote.

26

The Gabelli Asset Fund
Notes to Financial Statements (Continued)

10. Other Matters. On April 24, 2008, the Adviser entered into a settlement with the SEC to resolve an inquiry regarding prior frequent trading activity in shares of the GAMCO Global Growth Fund (the “Global Growth Fund”) by one investor who was banned from the Global Growth Fund in August 2002. In the administrative settlement order, the SEC found that the Adviser had willfully violated Section 206(2) of the 1940 Act, Section 17(d) of the 1940 Act and Rule 17d-1 thereunder, and had willfully aided and abetted and caused violations of Section 12(d)(1)(B)(i) of the 1940 Act. Under the terms of the settlement, the Adviser, while neither admitting nor denying the SEC’s findings and allegations, paid $16 million (which included a $5 million civil monetary penalty), approximately $12.8 million of which is in the process of being paid to shareholders of the Global Growth Fund in accordance with a plan developed by an independent distribution consultant and approved by the independent directors of the Global Growth Fund and acceptable to the staff of the SEC, and agreed to cease and desist from future violations of the above referenced federal securities laws and rule. The SEC order also noted the cooperation that the Adviser had given the staff of the SEC during its inquiry. The settlement did not have a material adverse impact on the Adviser or its ability to fulfill its obligations under the Advisory Agreement. On the same day, the SEC filed a civil action against the Executive Vice President and Chief Operating Officer of the Adviser, alleging violations of certain federal securities laws arising from the same matter. The officer is also an officer of the Fund, the Global Growth Fund, and other funds in the Gabelli/GAMCO fund complex. The officer denied the allegations and is continuing in his positions with the Adviser and the funds. The court dismissed certain claims and found that the SEC was not entitled to pursue various remedies against the officer while leaving one remedy in the event the SEC were able to prove violations of law. The court subsequently dismissed without prejudice the remaining remedy against the officer, which would allow the SEC to appeal the court’s rulings. On October 29, 2010 the SEC filed its appeal with the U.S. Court of Appeals for the Second Circuit regarding the lower court’s orders. The Adviser currently expects that any resolution of the action against the officer will not have a material adverse impact on the Fund or the Adviser or its ability to fulfill its obligations under the Advisory Agreement.

11. Subsequent Events. Management has evaluated the impact on the Fund of all subsequent events occurring through the date the financial statements were issued and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.

27

The Gabelli Asset Fund
Report of Independent Registered Public Accounting Firm

To the Board of Trustees and Shareholders of
The Gabelli Asset Fund:

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of The Gabelli Asset Fund (hereafter referred to as the “Fund”) at December 31, 2010, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2010 by correspondence with the custodian and broker, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
New York, New York
February 28, 2011

28

The Gabelli Asset Fund
Additional Fund Information (Unaudited)

The business and affairs of the Fund are managed under the direction of the Fund’s Board of Trustees. Information pertaining to the Trustees and officers of the Fund is set forth below. The Fund’s Statement of Additional Information includes additional information about the Fund’s Trustees and is available without charge, upon request, by calling 800-GABELLI (800-422-3554) or by writing to The Gabelli Asset Fund at One Corporate Center, Rye, NY 10580-1422.

	Term of	Number of
Name, Position(s)	Office and	Funds in Fund
Address1	Length of	Complex Overseen		Principal Occupation(s)	Other Directorships
and Age	Time Served2	by Trustee		During Past Five Years	Held by Trustee4
INTERESTED TRUSTEES 3:
Mario J. Gabelli Trustee and Chairman Age: 68	Since 1986		26	Chairman and Chief Executive Officer of GAMCO Investors, Inc. and Chief Investment Officer – Value Portfolios of Gabelli Funds, LLC and GAMCO Asset Management Inc.; Director/Trustee or Chief Investment Officer of other registered investment companies in the Gabelli/GAMCO Funds complex; Chief Executive Officer of GGCP, Inc.	Director of Morgan Group Holdings, Inc. (holding company); Chairman of the Board and Chief Executive Officer of LICT Corp. (multimedia and communication services company); Director of CIBL, Inc. (broadcasting and wireless communications)
John D. Gabelli Trustee Age: 66	Since 1999		10	Senior Vice President of Gabelli & Company, Inc.	—
INDEPENDENT TRUSTEES5:
Anthony J. Colavita Trustee Age: 75	Since 1989		34	President of the law firm of Anthony J. Colavita P.C.	—
James P. Conn Trustee Age: 72	Since 1992		18	Former Managing Director and Chief Investment Officer of Financial Security Assurance Holdings Ltd. (insurance holding company) (1992-1998)	Director of First Republic Bank (banking) through January 2008 and LaQuinta Corp. (hotels) through January 2006
Kuni Nakamura Trustee Age: 42	Since 2009		9	President of Advanced Polymer, Inc.	—
Anthony R. Pustorino Trustee Age: 85	Since 1986		13	Certified Public Accountant; Professor Emeritus, Pace University	Director of The LGL Group, Inc. (diversified manufacturing) (2002-2010)
Werner J. Roeder, MD Trustee Age: 70	Since 2001		22	Medical Director of Lawrence Hospital and practicing private physician	—
Anthonie C. van Ekris Trustee Age: 76	1986-1989 1992-present		20	Chairman of BALMAC International, Inc. (commodities and futures trading)	Director of Aurado Energy Inc. (oil and gas operations) through 2005
Salvatore J. Zizza Trustee Age: 65	1986-1996 2000-present		28	Chairman and Chief Executive Officer of Zizza & Co., Ltd. (private holding company) and Chief Executive Officer of General Employment Enterprises, Inc.	Director of Harbor BioSciences, Inc. (biotechnology) and Trans-Lux Corporation (business services); Chairman of each of BAM (manufacturing); Metropolitan Paper Recycling (recycling); Bergen Cove Realty Inc. (real estate); Bion Environmental Technologies (technology) (2005-2008); Director of Earl Scheib Inc. (automotive painting) through April 2009

29

The Gabelli Asset Fund
Additional Fund Information (Continued) (Unaudited)

	Term of
Name, Position(s)	Office and
Address1	Length of	Principal Occupation(s)
and Age	Time Served2	During Past Five Years
OFFICERS:
Bruce N. Alpert President and Secretary Age: 59	Since 1994	Executive Vice President and Chief Operating Officer of Gabelli Funds, LLC since 1988 and an officer of all of the registered investment companies in the Gabelli/GAMCO Funds complex. Director of Teton Advisors, Inc. since 1998; Chairman of Teton Advisors, Inc. 2008 to 2010; President of Teton Advisors, Inc. 1998 through 2008; Senior Vice President of GAMCO Investors, Inc. since 2008
Agnes Mullady Treasurer Age: 52	Since 2006	Senior Vice President of GAMCO Investors, Inc. since 2009; Vice President of Gabelli Funds, LLC since 2007; Officer of all of the registered investment companies in the Gabelli/GAMCO Funds complex
Peter D. Goldstein Chief Compliance Officer Age: 57	Since 2004	Director of Regulatory Affairs at GAMCO Investors, Inc. since 2004; Chief Compliance Officer of all of the registered investment companies in the Gabelli/GAMCO Funds complex

1	Address: One Corporate Center, Rye, NY 10580-1422, unless otherwise noted.
2	Each Trustee will hold office for an indefinite term until the earliest of (i) the next meeting of shareholders, if any, called for the purpose of considering the election or re-election of such Trustee and until the election and qualification of his or her successor, if any, elected at such meeting, or (ii) the date a Trustee resigns or retires, or a Trustee is removed by the Board of Trustees or shareholders, in accordance with the Fund’s By-Laws and Declaration of Trust. Each officer will hold office for an indefinite term until the date he or she resigns or retires or until his or her successor is elected and qualified.
3	“Interested person” of the Fund as defined in the 1940 Act. Messrs. Gabelli are each considered an “interested person” because of their affiliation with Gabelli Funds, LLC which acts as the Fund’s investment adviser. Mario J. Gabelli and John D. Gabelli are brothers.
4	This column includes only directorships of companies required to report to the SEC under the Securities Exchange Act of 1934, as amended, i.e., public companies, or other investment companies registered under the 1940 Act.
5	Trustees who are not interested persons are considered “Independent” Trustees.

2010 TAX NOTICE TO SHAREHOLDERS (Unaudited)

For the year ended December 31, 2010, the Fund paid to shareholders ordinary income distributions (comprised of net investment income) totaling $0.146, $0.169, and $0.251 per share for Class AAA, Class A, and Class I, respectively, and long-term capital gains totaling $22,080,960. The distributions of long-term capital gains have been designated as a capital gain dividend by the Fund’s Board of Trustees. For the year ended December 31, 2010, 100% of the ordinary income distribution qualifies for the dividends received deduction available to corporations. The Fund designates 100% of the ordinary income distribution as qualified dividend income pursuant to the Jobs and Growth Tax Relief Reconciliation Act of 2003. The Fund designates 0.47% of the ordinary income distributions as qualified interest income, pursuant to the Tax Relief, Unemployment Reauthorization, and Job Creation Act of 2010.

U.S. Government Income:

The percentage of the ordinary income distribution paid by the Fund during 2010 which was derived from U.S. Treasury securities was 0.04%. Such income is exempt from state and local tax in all states. However, many states, including New York and California, allow a tax exemption for a portion of the income earned only if a mutual fund has invested at least 50% of its assets at the end of each quarter of the Fund’s fiscal year in U.S. Government securities.The Gabelli Asset Fund did not meet this strict requirement in 2010. The percentage of U.S. Government securities held as of December 31, 2010 was 1.02%. Due to the diversity in state and local tax law, it is recommended that you consult your personal tax adviser as to the applicability of the information provided to your specific situation.

All designations are based on financial information available as of the date of this annual report and, accordingly, are subject to change. For each item, it is the intention of the Fund to designate the maximum amount permitted under the Internal Revenue Code and the regulations thereunder.

30

Gabelli/GAMCO Funds and Your Personal Privacy

Who are we?

The Gabelli/GAMCO Funds are investment companies registered with the Securities and Exchange Commission under the Investment Company Act of 1940. We are managed by Gabelli Funds, LLC, which is affiliated with GAMCO Investors, Inc. GAMCO Investors, Inc. is a publicly held company that has subsidiaries that provide investment advisory or brokerage services for a variety of clients.

What kind of non-public information do we collect about you if you become a shareholder?

If you apply to open an account directly with us, you will be giving us some non-public information about yourself. The non-public information we collect about you is:

• Information you give us on your application form. This could include your name, address, telephone number, social security number, bank account number, and other information.

• Information about your transactions with us, any transactions with our affiliates, and transactions with the entities we hire to provide services to you. This would include information about the shares that you buy or redeem. If we hire someone else to provide services—like a transfer agent—we will also have information about the transactions that you conduct through them.

What information do we disclose and to whom do we disclose it?

We do not disclose any non-public personal information about our customers or former customers to anyone other than our affiliates, our service providers who need to know such information, and as otherwise permitted by law. If you want to find out what the law permits, you can read the privacy rules adopted by the Securities and Exchange Commission. They are in volume 17 of the Code of Federal Regulations, Part 248. The Commission often posts information about its regulations on its website, www.sec.gov.

What do we do to protect your personal information?

We restrict access to non-public personal information about you to the people who need to know that information in order to provide services to you or the Fund and to ensure that we are complying with the laws governing the securities business. We maintain physical, electronic, and procedural safeguards to keep your personal information confidential.

The Gabelli Asset Fund
One Corporate Center
Rye, New York 10580-1422
800-GABELLI
800-422-3554
fax: 914-921-5118
website: www.gabelli.com
e-mail: info@gabelli.com
Net Asset Value per share available daily by calling
800-GABELLI after 7:00 P.M.

Board of Trustees
Mario J. Gabelli, CFA Chairman and Chief Executive Officer GAMCO Investors, Inc.	Anthony R. Pustorino Certified Public Accountant, Professor Emeritus Pace University
Anthony J. Colavita President Anthony J. Colavita, P.C.	Werner J. Roeder, MD Medical Director Lawrence Hospital
James P. Conn Former Chief Investment Officer Financial Security Assurance Holdings Ltd.	Anthonie C. van Ekris Chairman BALMAC International, Inc.
John D. Gabelli Senior Vice President Gabelli & Company, Inc.	Salvatore J. Zizza Chairman Zizza & Co., Ltd.
Kuni Nakamura President Advanced Polymer, Inc.
Officers
Bruce N. Alpert President and Secretary	Peter D. Goldstein Chief Compliance Officer
Agnes Mullady Treasurer

Distributor

Gabelli & Company, Inc.
Custodian, Transfer Agent, and Dividend Agent
State Street Bank and Trust Company
Legal Counsel
Skadden, Arps, Slate, Meagher & Flom LLP

This report is submitted for the general information of the shareholders of The Gabelli Asset Fund. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus.

GAB405Q410SR

The Gabelli Asset Fund

Morningstar^® rated The Gabelli Asset Fund Class AAA Shares 5 stars overall and 4 stars for the three year period and 5 stars for the five and ten year periods ended December 31, 2010 among 1,753, 1,753, 1,457, and 802 Large Blend funds, respectively

ANNUAL REPORT
DECEMBER 31, 2010

Item 2. Code of Ethics.

(a)	The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party.
(c)	There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description.
(d)	The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions.

Item 3. Audit Committee Financial Expert.

As of the end of the period covered by the report, the registrant’s Board of Trustees has determined that Anthony R. Pustorino is qualified to serve as an audit committee financial expert serving on its audit committee and that he is “independent,” as defined by Item 3 of Form N-CSR.

Item 4. Principal Accountant Fees and Services.

Audit Fees

(a) The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $43,400 for 2009 and $35,587 for 2010.

Audit-Related Fees

(b) The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item are $0 for 2009 and $0 for 2010.

Tax Fees

(c) The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning are $4,000 for 2009 and $3,625 for 2010. Tax fees represent tax compliance services provided in connection with the review of the Registrant’s tax returns.

All Other Fees

(d) The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 for 2009 and $0 for 2010.

(e) (1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.

Pre-Approval Policies and Procedures. The Audit Committee (“Committee”) of the registrant is responsible for pre-approving (i) all audit and permissible non-audit services to be provided by the independent registered public accounting firm to the registrant and (ii) all permissible non-audit services to be provided by the independent registered public accounting firm to the Adviser, Gabelli Funds, LLC, and any affiliate of Gabelli Funds, LLC (“Gabelli”) that provides services to the registrant (a “Covered Services Provider”) if the independent registered public accounting firm’s engagement related directly to the operations and financial reporting of the registrant. The Committee may delegate its responsibility to pre-approve any such audit and permissible non-audit services to the Chairperson of the Committee, and the Chairperson must report to the Committee, at its next regularly scheduled meeting after the Chairperson’s pre-approval of such services, his or her decision(s). The Committee may also establish detailed pre-approval policies and procedures for pre-approval of such services in accordance with applicable laws, including the delegation of some or all of the Committee’s pre-approval responsibilities to the other persons (other than Gabelli or the registrant’s officers). Pre-approval by the Committee of any permissible non-audit services is not required so long as: (i) the permissible non-audit services were not recognized by the registrant at the time of the engagement to be non-audit services; and (ii) such services are promptly brought to the attention of the Committee and approved by the Committee or Chairperson prior to the completion of the audit.

(e) (2) The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows:

(b) 100%

(c) 100%

(d) N/A

(f) The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was 0%.

(g) The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $0 for 2009 and $0 for 2010.

(h) The registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

Item 5. Audit Committee of Listed registrants.

Not applicable.

Item 6. Investments.

(a)	Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form.
(b)	Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s Board of Trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.

Item 11. Controls and Procedures.

(a)

The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

(b)

There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a)(1)	Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto.
(a)(2)	Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(a)(3)	Not applicable.
(b)	Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes- Oxley Act of 2002 are attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(registrant) The Gabelli Asset Fund

By (Signature and Title)* /s/ Bruce N. Alpert   Bruce N. Alpert, Principal Executive Officer

Date 3/9/11

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title)* /s/ Bruce N. Alpert   Bruce N. Alpert, Principal Executive Officer

Date 3/9/11

By (Signature and Title)* /s/ Agnes Mullady   Agnes Mullady, Principal Financial Officer and Treasurer

Date 3/9/11

* Print the name and title of each signing officer under his or her signature.