Gabelli Asset Fund (GABAX) N-CSRS Certified semi-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: June 30, 2011

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

Semiannual Report — June 30, 2011

Morningstar^® rated The Gabelli Asset Fund Class AAA Shares 5 stars overall and 5 stars for the five and ten year periods and 4 stars for the three year period ended June 30, 2011 among 1,675, 1,434, 813, and 1,675 Large Blend funds, respectively.

Mario J. Gabelli, CFA Kevin V. Dreyer Chris J. Marangi

To Our Shareholders,

For the six months ended June 30, 2011, the net asset value (“NAV”) per Class AAA Share of The Gabelli Asset Fund (the “Fund”) increased 7.19% compared with the Standard & Poor’s (“S&P”) 500 Index increase of 6.02%.

Enclosed are the portfolio of investments and financial statements as of June 30, 2011.

Comparative Results

Average Annual Returns through June 30, 2011 (a) (Unaudited)
	Six Months			1 Year			5 Year			10 Year			20 Year			25 Year			Since Inception (3/3/86)
Gabelli Asset Fund Class AAA		7.19	%		35.77	%		6.36	%		6.75	%		11.29	%		12.09	%		12.44	%
S&P 500 Index		6.02			30.69			2.94			2.72			8.73			9.37			9.72	(e)
Dow Jones Industrial Average		8.54			30.29			4.94			4.20			10.09			10.68			11.03	(e)
Nasdaq Composite Index		5.01			32.87			5.96			3.28			9.20			7.99			8.39	(e)
Class A		7.21			35.79			6.36			6.75			11.29			12.09			12.43
With sales charge (b)		1.05			27.98			5.11			6.12			10.96			11.82			12.16
Class B		6.79			34.76			5.52			6.14			10.98			11.84			12.18
With contingent deferred sales charge (c)		1.79			29.76			5.20			6.14			10.98			11.84			12.18
Class C		6.82			34.79			5.58			6.16			10.98			11.84			12.19
With contingent deferred sales charge (d)		5.82			33.79			5.58			6.16			10.98			11.84			12.19
Class I		7.32			36.11			6.54			6.84			11.34			12.13			12.47

In the current prospectus dated April 29, 2011, the expense ratios for Class AAA, A, B, C, and I Shares are 1.38%, 1.38%, 2.13%, 2.13%, and 1.13%, respectively. See page 14 for the expense ratios six months ended June 30, 2011. 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. The Fund imposes a 2% redemption fee on shares sold or exchanged within seven days or less after the date of purchase. 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 these 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, except for the NASDAQ Composite Index. You cannot invest directly in an index. The Class AAA Shares NAV 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 gradually reduced to 0% after six years.

(d) Assuming payment of the 1% maximum CDSC 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.

Summary of Portfolio Holdings (Unaudited)

The following table presents portfolio holdings as a percent of net assets as of June 30, 2011:

The Gabelli Asset Fund

Food and Beverage	11.3%
Energy and Utilities	7.9%
Cable and Satellite	7.8%
Equipment and Supplies	6.9%
Financial Services	6.8%
Diversified Industrial	6.0%
Consumer Products	4.9%
Entertainment	4.0%
Automotive: Parts and Accessories	3.6%
Health Care	3.6%
Machinery	3.6%
U.S. Government Obligations	3.2%
Telecommunications	3.1%
Retail	2.4%
Aviation: Parts and Services	2.4%
Metals and Mining	2.3%
Publishing	2.3%
Hotels and Gaming	2.0%
Specialty Chemicals	2.0%
Business Services	1.7%
Broadcasting	1.5%

Environmental Services	1.2%
Consumer Services	1.2%
Aerospace	1.2%
Automotive	1.1%
Computer Software and Services	1.1%
Communications Equipment	1.1%
Electronics	1.1%
Wireless Communications	0.9%
Agriculture	0.8%
Transportation	0.5%
Real Estate	0.3%
Semiconductors	0.1%
Manufactured Housing and Recreational Vehicles	0.1%
Closed-End Funds	0.0%
Real Estate Investment Trusts	0.0%
Computer Hardware	0.0%
Other Assets and Liabilities (Net)	0.0%
	100.0%

The Fund files a complete schedule of portfolio holdings with the Securities and Exchange Commission (“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 March 31, 2011. 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 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.

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. ^©2011 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.

2

The Gabelli Asset Fund

Disclosure of Fund Expenses (Unaudited)

For the Six Month Period from January 1, 2011 through June 30, 2011

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.

	Beginning Account Value 01/01/11		Ending Account Value 06/30/11		Annualized Expense Ratio			Expenses Paid During Period*
The Gabelli Asset Fund
Actual Fund Return
Class AAA	$	1,000.00	$	1,071.90		1.36	%	$	6.99
Class A	$	1,000.00	$	1,072.10		1.36	%	$	6.99
Class B	$	1,000.00	$	1,067.90		2.11	%	$	10.82
Class C	$	1,000.00	$	1,068.20		2.11	%	$	10.82
Class I	$	1,000.00	$	1,073.20		1.11	%	$	5.71
Hypothetical 5% Return
Class AAA	$	1,000.00	$	1,018.05		1.36	%	$	6.80
Class A	$	1,000.00	$	1,018.05		1.36	%	$	6.80
Class B	$	1,000.00	$	1,014.33		2.11	%	$	10.54
Class C	$	1,000.00	$	1,014.33		2.11	%	$	10.54
Class I	$	1,000.00	$	1,019.29		1.11	%	$	5.56

* 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 (181 days), then divided by 365.

3

The Gabelli Asset Fund

Schedule of Investments — June 30, 2011 (Unaudited)

Shares			Cost		Market Value
		COMMON STOCKS — 96.8%
		Aerospace — 1.2%
	5,000	Lockheed Martin Corp.	$	147,750	$	404,850
	11,000	Northrop Grumman Corp.		491,769		762,850
	2,100,000	Rolls-Royce Holdings plc†		15,537,619		21,739,129
	201,600,000	Rolls-Royce Holdings plc, Cl. C†		330,763		323,559
	153,000	The Boeing Co.		7,889,766		11,311,290
				24,397,667		34,541,678
		Agriculture — 0.8%
	490,000	Archer-Daniels-Midland Co.		6,445,610		14,773,500
	92,058	Monsanto Co.		1,406,815		6,677,887
	9,000	Potash Corp of Saskatchewan Inc.		41,185		512,910
	29,000	The Mosaic Co.		500,160		1,964,170
				8,393,770		23,928,467
		Automotive — 1.1%
	70,000	Fiat Industrial SpA†		980,210		903,449
	288,000	Ford Motor Co.†		3,595,881		3,971,520
	420,000	Navistar International Corp.†		8,250,945		23,713,200
	101,250	PACCAR Inc.		522,021		5,172,863
	3,400	Volkswagen AG		137,862		624,699
				13,486,919		34,385,731
		Automotive: Parts and Accessories — 3.6%
	191,000	BorgWarner Inc.†		1,966,149		15,430,890
	5,000	Brembo SpA		66,128		71,275
	230,000	CLARCOR Inc.		1,647,194		10,874,400
	340,000	Dana Holding Corp.†		2,296,152		6,222,000
	55,000	Federal-Mogul Corp.†		1,064,266		1,255,650
	570,000	Genuine Parts Co.		16,245,980		31,008,000
	2,000	HUGHES Telematics Inc.†		5,897		4,600
	394,000	Johnson Controls Inc.		3,527,331		16,414,040
	174,000	Midas Inc.†		2,283,829		1,099,680
	220,000	Modine Manufacturing Co.†		3,910,683		3,381,400
	190,000	O’Reilly Automotive Inc.†		4,685,384		12,446,900
	260,000	Standard Motor Products Inc.		2,733,037		3,959,800
	143,000	Superior Industries International Inc.		2,907,346		3,161,730
	84,000	Tenneco Inc.†		1,739,589		3,701,880
				45,078,965		109,032,245
		Aviation: Parts and Services — 2.4%
	1,114,775	BBA Aviation plc		2,737,779		3,891,434
	480,000	Curtiss-Wright Corp.		3,268,726		15,537,600
	600,000	GenCorp Inc.†		2,151,726		3,852,000

Shares			Cost		Market Value
	110,000	Kaman Corp.	$	1,534,270	$	3,901,700
	274,000	Precision Castparts Corp.		3,066,721		45,114,100
				12,759,222		72,296,834
		Broadcasting — 1.5%
	322,500	CBS Corp., Cl. A, Voting		3,454,520		9,278,325
	19,000	CBS Corp., Cl. B, Non-Voting		482,818		541,310
	20,000	Cogeco Inc.		381,659		893,981
	26,666	Corus Entertainment Inc., Cl. B, OTC		43,320		563,466
	13,334	Corus Entertainment Inc., Cl. B, Toronto		21,662		284,114
	105,000	Fisher Communications Inc.†		3,688,472		3,131,100
	843	Granite Broadcasting Corp.† (a)		69,109		0
	222,000	Liberty Media Corp. - Capital, Cl. A†		1,070,457		19,036,500
	63,000	Liberty Media Corp. - Starz, Cl. A†		890,779		4,740,120
	198,000	LIN TV Corp., Cl. A†		1,961,883		964,260
	12,000	Naspers Ltd., Cl. N		472,418		677,837
	400,000	Television Broadcasts Ltd.		1,815,551		2,642,096
	160,000	Tokyo Broadcasting System Holdings Inc.		3,676,933		1,925,843
				18,029,581		44,678,952
		Business Services — 1.7%
	28,000	ACCO Brands Corp.†		139,023		219,800
	38,000	Ascent Media Corp., Cl. A†		673,653		2,012,860
	181,000	Clear Channel Outdoor Holdings Inc., Cl. A†		2,221,834		2,298,700
	190,000	Ecolab Inc.		1,778,939		10,712,200
	15,000	Edenred		273,621		457,670
	22,000	Equinix Inc.†		1,819,998		2,222,440
	61,000	Landauer Inc.		377,119		3,756,990
	359,987	Live Nation Entertainment Inc.†		3,853,575		4,129,051
	18,000	Macquarie Infrastructure Co. LLC		419,889		496,800
	27,500	MasterCard Inc., Cl. A		2,223,363		8,286,850
	91,000	Monster Worldwide Inc.†		2,040,441		1,334,060
	162,000	The Brink’s Co.		4,724,337		4,832,460
	765,000	The Interpublic Group of Companies Inc.		6,653,671		9,562,500
	18,000	Visa Inc., Cl. A		950,776		1,516,680
				28,150,239		51,839,061
		Cable and Satellite — 7.8%
	1,866,000	Cablevision Systems Corp., Cl. A		4,012,365		67,567,860
	194,000	Comcast Corp., Cl. A		2,950,760		4,915,960

See accompanying notes to financial statements.

4

The Gabelli Asset Fund

Schedule of Investments (Continued) — June 30, 2011 (Unaudited)

Shares			Cost		Market Value
		COMMON STOCKS (Continued)
		Cable and Satellite (Continued)
	274,000	Comcast Corp., Cl. A, Special	$	5,331,956	$	6,639,020
	4,000	DigitalGlobe Inc.†		104,615		101,640
	1,047,002	DIRECTV, Cl. A†		12,481,292		53,208,642
	399,000	DISH Network Corp., Cl. A†		8,998,355		12,237,330
	77,000	EchoStar Corp., Cl. A†		2,479,096		2,805,110
	1,000	Jupiter Telecommunications Co. Ltd.		980,489		1,117,943
	227,000	Liberty Global Inc., Cl. A†		2,777,701		10,224,080
	228,000	Liberty Global Inc., Cl. C†		2,780,902		9,735,600
	1,077,000	Rogers Communications Inc., Cl. B, New York		5,914,882		42,563,040
	50,000	Rogers Communications Inc., Cl. B, Toronto		229,821		1,979,885
	244,000	Scripps Networks Interactive Inc., Cl. A		7,804,400		11,926,720
	150,000	Shaw Communications Inc., Cl. B, New York		292,208		3,424,500
	120,000	Shaw Communications Inc., Cl. B, Non-Voting, Toronto		164,952		2,736,067
	55,000	Time Warner Cable Inc.		2,375,071		4,292,200
				59,678,865		235,475,597
		Closed-End Funds — 0.0%
	79,920	Royce Value Trust Inc.		975,443		1,192,406
		Communications Equipment — 1.1%
	520,000	Corning Inc.		3,735,156		9,438,000
	430,000	Thomas & Betts Corp.†		9,854,140		23,155,500
				13,589,296		32,593,500
		Computer Hardware — 0.0%
	5,000	Wincor Nixdorf AG		302,584		361,343
		Computer Software and Services — 1.1%
	35,000	ADPT Corp.†		103,687		106,050
	100,001	AOL Inc.†		2,333,905		1,986,020
	245,000	Diebold Inc.		8,457,460		7,597,450
	53,000	eBay Inc.†		1,599,309		1,710,310
	98,250	Fidelity National Information Services Inc.		2,155,793		3,025,118
	500	Google Inc., Cl. A†		270,283		253,190
	79,000	Internap Network Services Corp.†		582,043		580,650
	75,000	NCR Corp.†		1,101,112		1,416,750
	109,000	Rockwell Automation Inc.		3,995,301		9,456,840
	30,000	SRA International Inc., Cl. A†		930,960		927,600
	378,000	Yahoo! Inc.†		9,531,939		5,685,120
				31,061,792		32,745,098
		Consumer Products — 4.9%
	35,000	Altria Group Inc.		525,685		924,350
	83,000	Avon Products Inc.		2,490,751		2,324,000

Shares			Cost		Market Value
	22,000	Brunswick Corp.	$	579,521	$	448,800
	11,000	Christian Dior SA		307,335		1,730,764
	440,000	Church & Dwight Co. Inc.		1,425,276		17,837,600
	25,000	Clorox Co.		1,389,061		1,686,000
	345,000	Eastman Kodak Co.†		2,485,990		1,235,100
	326,000	Energizer Holdings Inc.†		9,086,199		23,589,360
	214,000	Fortune Brands Inc.		8,313,552		13,646,780
	3,400	Givaudan SA†		1,182,809		3,597,146
	35,000	Harley-Davidson Inc.		88,156		1,433,950
	73,000	Kimberly-Clark Corp.		4,424,240		4,858,880
	20,000	Mattel Inc.		361,000		549,800
	20,000	National Presto Industries Inc.		629,446		2,029,800
	25,000	Philip Morris International Inc.		950,939		1,669,250
	50,000	Reckitt Benckiser Group plc		1,570,345		2,760,524
	125,000	Sally Beauty Holdings Inc.†		1,001,483		2,137,500
	50,000	Svenska Cellulosa AB, Cl. B		709,301		703,930
	1,080,000	Swedish Match AB		12,045,067		36,215,139
	10,000	Syratech Corp.†		2,000		254
	1,500	The Estee Lauder Companies Inc., Cl. A		112,739		157,785
	406,000	The Procter & Gamble Co.		13,732,417		25,809,420
	35,000	Wolverine World Wide Inc.		325,537		1,461,250
				63,738,849		146,807,382
		Consumer Services — 1.2%
	170,000	IAC/InterActiveCorp.†		1,873,123		6,488,900
	511,000	Liberty Media Corp. - Interactive, Cl. A†		3,990,283		8,569,470
	962,000	Rollins Inc.		3,345,858		19,605,560
	28,000	TiVo Inc.†		274,598		288,120
	70,866	Tree.com Inc.†		509,902		362,834
				9,993,764		35,314,884
		Diversified Industrial — 6.0%
	13,000	Acuity Brands Inc.		153,426		725,140
	5,000	Anixter International Inc.		45,044		326,700
	75,403	Contax Participacoes SA, ADR†		30,974		210,374
	400,000	Cooper Industries plc		8,969,390		23,868,000
	428,100	Crane Co.		7,060,266		21,152,421
	99,000	Gardner Denver Inc.		814,013		8,320,950
	119,000	Greif Inc., Cl. A		1,049,978		7,738,570
	266,043	Greif Inc., Cl. B		14,440,973		16,029,091
	438,000	Honeywell International Inc.		14,040,050		26,100,420
	25,000	Ingersoll-Rand plc		484,296		1,135,250
	633,000	ITT Corp.		12,526,372		37,302,690
	100,000	Jardine Strategic Holdings Ltd.		2,170,620		3,060,000
	230,000	Katy Industries Inc.†		1,211,215		21,275
	310,000	Magnetek Inc.†		1,116,061		564,200
	240,000	Myers Industries Inc.		1,460,520		2,467,200
	7,000	Nortek Inc.†		307,450		252,595

See accompanying notes to financial statements.

5

The Gabelli Asset Fund

Schedule of Investments (Continued) — June 30, 2011 (Unaudited)

Shares			Cost		Market Value
		COMMON STOCKS (Continued)
		Diversified Industrial (Continued)
	52,000	Pentair Inc.	$	762,065	$	2,098,720
	230,033	Smiths Group plc		4,594,444		4,434,006
	29,500	Sulzer AG		2,772,121		4,800,000
	160,000	Textron Inc.		1,241,296		3,777,600
	120,000	Trinity Industries Inc.		1,257,602		4,185,600
	211,000	Tyco International Ltd.		8,893,862		10,429,730
	4,000	Waters Corp.†		287,836		382,960
				85,689,874		179,383,492
		Electronics — 1.1%
	45,000	Chemring Group plc		117,293		462,227
	98,000	Intel Corp.		2,094,373		2,171,680
	8,500	Kyocera Corp., ADR		269,501		870,570
	375,000	LSI Corp.†		2,388,881		2,670,000
	1,500	Mettler-Toledo International Inc.†		212,220		253,005
	24,000	Molex Inc., Cl. A		655,086		515,520
	30,000	Samsung Electronics Co. Ltd., GDR (b)(c)		5,668,233		11,628,000
	47,000	Sony Corp., ADR		1,482,953		1,240,330
	72,000	TE Connectivity Ltd.		2,185,170		2,646,720
	303,000	Texas Instruments Inc.		7,982,715		9,947,490
				23,056,425		32,405,542
		Energy and Utilities — 7.9%
	11,000	Anadarko Petroleum Corp.		652,895		844,360
	208,000	BP plc, ADR		5,428,295		9,212,320
	29,000	CH Energy Group Inc.		1,214,873		1,544,540
	323,000	Chevron Corp.		12,412,640		33,217,320
	340,000	ConocoPhillips		9,732,763		25,564,600
	248,000	CONSOL Energy Inc.		9,613,024		12,023,040
	25,000	Constellation Energy Group Inc.		551,389		949,000
	122,000	Devon Energy Corp.		1,673,036		9,614,820
	9,000	Diamond Offshore Drilling Inc.		755,382		633,690
	25,000	DPL Inc.		571,010		754,000
	90,000	Duke Energy Corp.		1,022,606		1,694,700
	20,000	Edison International		340,000		775,000
	475,000	El Paso Corp.		4,128,733		9,595,000
	240,000	El Paso Electric Co.		3,007,363		7,752,000
	94,000	EOG Resources Inc.		430,496		9,827,700
	319,000	Exxon Mobil Corp.		7,591,950		25,960,220
	70,000	FirstEnergy Corp.		1,346,415		3,090,500
	130,000	GenOn Energy Inc., Escrow† (a)		0		0
	89,000	Great Plains Energy Inc.		2,104,942		1,844,970
	205,000	Halliburton Co.		6,436,153		10,455,000
	235,500	National Fuel Gas Co.		11,915,519		17,144,400
	29,000	NextEra Energy Inc.		1,382,210		1,666,340
	130,000	Northeast Utilities		2,352,320		4,572,100
	25,000	NSTAR		793,474		1,149,500

Shares			Cost		Market Value
	12,000	Occidental Petroleum Corp.	$	941,505	$	1,248,480
	90,000	Oceaneering International Inc.		1,944,964		3,645,000
	43,000	Petroleo Brasileiro SA, ADR		1,607,097		1,455,980
	100,000	Progress Energy Inc., CVO†		52,000		10,000
	235,000	Rowan Companies Inc.†		8,664,401		9,120,350
	48,000	Royal Dutch Shell plc, Cl. A, ADR		2,857,612		3,414,240
	129,100	SJW Corp.		2,122,183		3,129,384
	255,000	Southwest Gas Corp.		4,493,970		9,845,550
	245,000	Spectra Energy Corp.		5,632,832		6,715,450
	50,000	Talisman Energy Inc.		1,014,455		1,024,500
	100,000	The AES Corp.†		397,000		1,274,000
	12,000	The Empire District Electric Co.		227,159		231,120
	67,000	Transocean Ltd.		5,014,711		4,325,520
	229,000	Weatherford International Ltd.†		4,652,719		4,293,750
				125,080,096		239,618,444
		Entertainment — 4.0%
	8,010	Chestnut Hill Ventures† (a)		218,000		525,258
	255,000	Discovery Communications Inc., Cl. A†		2,945,761		10,444,800
	250,300	Discovery Communications Inc., Cl. C†		2,025,437		9,148,465
	60,000	DreamWorks Animation SKG Inc., Cl. A†		1,477,816		1,206,000
	5,000	Electronic Arts Inc.†		116,106		118,000
	784,000	Grupo Televisa SA, ADR		8,752,987		19,286,400
	1,600	Nintendo Co. Ltd.		496,491		299,509
	80,000	Rank Group plc		206,625		191,953
	20,000	Regal Entertainment Group, Cl. A		271,025		247,000
	516,000	The Madison Square Garden Co., Cl. A†		2,039,912		14,205,480
	543,001	Time Warner Inc.		14,476,638		19,748,947
	515,000	Viacom Inc., Cl. A		15,234,637		29,602,200
	20,000	Viacom Inc., Cl. B		771,712		1,020,000
	555,000	Vivendi		11,012,804		15,432,764
	35,000	World Wrestling Entertainment Inc., Cl. A		296,737		333,550
				60,342,688		121,810,326
		Environmental Services — 1.2%
	583,000	Republic Services Inc.		6,700,194		17,985,550
	500,000	Waste Management Inc.		10,415,537		18,635,000
				17,115,731		36,620,550
		Equipment and Supplies — 6.9%
	960,500	AMETEK Inc.		2,495,517		43,126,450
	6,000	Amphenol Corp., Cl. A		23,162		323,940
	100,000	CIRCOR International Inc.		982,474		4,283,000
	144,000	Crown Holdings Inc.†		649,195		5,590,080
	180,000	CTS Corp.		1,062,935		1,740,600
	8,000	Danaher Corp.		70,641		423,920
	390,000	Donaldson Co. Inc.		2,250,340		23,665,200
	238,000	Flowserve Corp.		3,182,360		26,153,820

See accompanying notes to financial statements.

6

The Gabelli Asset Fund

Schedule of Investments (Continued) — June 30, 2011 (Unaudited)

Shares			Cost		Market Value
		COMMON STOCKS (Continued)
		Equipment and Supplies (Continued)
	200,000	Gerber Scientific Inc.†	$	1,909,449	$	2,226,000
	230,000	GrafTech International Ltd.†		2,011,244		4,662,100
	762,000	IDEX Corp.		2,863,178		34,937,700
	151,000	Interpump Group SpA		614,802		1,291,946
	388,000	Lufkin Industries Inc.		1,755,832		33,387,400
	70,000	Met-Pro Corp.		380,521		796,600
	20,000	Sealed Air Corp.		168,679		475,800
	2,000	SL Industries Inc.†		5,719		47,100
	100,000	Tenaris SA, ADR		4,489,103		4,573,000
	100,000	The Manitowoc Co. Inc.		240,518		1,684,000
	100,000	The Weir Group plc		420,789		3,413,741
	29,000	Valmont Industries Inc.		232,196		2,795,310
	320,000	Watts Water Technologies Inc., Cl. A		3,746,489		11,331,200
				29,555,143		206,928,907
		Financial Services — 6.8%
	15,900	Alleghany Corp.†		2,543,397		5,296,449
	75,000	AllianceBernstein Holding LP		1,934,652		1,458,000
	707,000	American Express Co.		20,729,677		36,551,900
	7,000	Ameriprise Financial Inc.		221,427		403,760
	32,000	Argo Group International Holdings Ltd.		1,152,402		951,040
	132,000	Artio Global Investors Inc.		3,077,979		1,491,600
	115,000	Bank of America Corp.		1,305,048		1,260,400
	211	Berkshire Hathaway Inc., Cl. A†		809,023		24,498,155
	71,000	BKF Capital Group Inc.†		413,961		95,495
	20,000	Calamos Asset Management Inc., Cl. A		228,324		290,400
	40,000	Citigroup Inc.		1,834,161		1,665,600
	60,000	Commerzbank AG, ADR		850,550		260,400
	199,300	Deutsche Bank AG		8,808,900		11,806,532
	165,000	First Niagara Financial Group Inc.		2,158,142		2,178,000
	40,000	Fortress Investment Group LLC, Cl. A†		280,224		192,800
	30,000	GAM Holding AG†		541,977		492,418
	129,000	H&R Block Inc.		2,076,987		2,069,160
	25,000	HSBC Holdings plc, ADR		1,364,054		1,240,500
	50,000	Interactive Brokers Group Inc., Cl. A		925,077		782,500
	450,000	Janus Capital Group Inc.		6,042,263		4,248,000
	275,000	JPMorgan Chase & Co.		10,531,262		11,258,500
	62,000	Kinnevik Investment AB, Cl. A		1,082,429		1,391,893
	83,000	Kinnevik Investment AB, Cl. B		1,507,974		1,843,657
	75,000	KKR & Co. LP		725,864		1,224,000
	330,000	Legg Mason Inc.		7,310,744		10,810,800
	75,000	Leucadia National Corp.		655,691		2,557,500
	67,000	Loews Corp.		2,966,834		2,820,030
	48,800	M&T Bank Corp.		3,609,287		4,291,960

Shares			Cost		Market Value
	150,000	Marsh & McLennan Companies Inc.	$	4,406,024	$	4,678,500
	70,000	Northern Trust Corp.		3,662,610		3,217,200
	153,000	PNC Financial Services Group Inc.		8,685,939		9,120,330
	350,000	Popular Inc.†		1,037,600		966,000
	44,000	Royal Bank of Canada		2,336,128		2,509,320
	139,200	State Street Corp.		3,223,963		6,276,528
	20,000	SunTrust Banks Inc.		424,879		516,000
	50,000	T. Rowe Price Group Inc.		850,990		3,017,000
	9,000	TD Ameritrade Holding Corp.		172,030		175,590
	526,000	The Bank of New York Mellon Corp.		16,017,373		13,476,120
	47,000	The Blackstone Group LP		822,632		778,320
	11,000	The Goldman Sachs Group Inc.		1,655,058		1,463,990
	5,000	The Travelers Companies Inc.		198,991		291,900
	19,000	Unitrin Inc.		498,464		563,730
	8,500	Value Line Inc.		136,515		113,985
	180,000	Waddell & Reed Financial Inc., Cl. A		3,903,823		6,543,000
	646,000	Wells Fargo & Co.		19,478,984		18,126,760
				153,200,313		205,265,722
		Food and Beverage — 11.3%
	345,000	Brown-Forman Corp., Cl. A		6,015,904		24,840,000
	85,000	Brown-Forman Corp., Cl. B		1,986,156		6,348,650
	80,000	Campbell Soup Co.		2,189,885		2,764,000
	400,000	China Mengniu Dairy Co. Ltd.		1,191,136		1,346,749
	80,000	Coca-Cola Enterprises Inc.		1,626,706		2,334,400
	16,500	Coca-Cola Hellenic Bottling Co. SA, ADR†		231,193		441,540
	210,000	Constellation Brands Inc., Cl. A†		2,907,661		4,372,200
	220,000	Corn Products International Inc.		2,673,947		12,161,600
	323,000	Danone		15,485,446		24,099,234
	600,000	Davide Campari - Milano SpA		3,016,181		4,933,438
	130,000	Dean Foods Co.†		1,833,485		1,595,100
	333,000	Diageo plc, ADR		13,077,303		27,262,710
	2,000	Diamond Foods Inc.		46,909		152,680
	199,000	Dr Pepper Snapple Group Inc.		4,732,688		8,344,070
	73,000	Farmer Brothers Co.		976,894		740,220
	412,500	Flowers Foods Inc.		1,236,013		9,091,500
	70,000	Fomento Economico Mexicano SAB de CV, ADR		2,406,448		4,654,300
	589,000	General Mills Inc.		10,330,879		21,922,580
	51,500	Green Mountain Coffee Roasters Inc.†		1,329,095		4,596,890
	3,200,000	Grupo Bimbo SAB de CV, Cl. A		1,620,465		7,414,784
	72,000	H.J. Heinz Co.		2,596,822		3,836,160
	99,000	Heineken NV		4,744,338		5,953,667
	200,000	ITO EN Ltd.		4,508,907		3,535,184
	50,000	Kellogg Co.		1,344,429		2,766,000
	82,000	Kerry Group plc, Cl. A		971,184		3,406,856

See accompanying notes to financial statements.

7

The Gabelli Asset Fund

Schedule of Investments (Continued) — June 30, 2011 (Unaudited)

Shares			Cost		Market Value
		COMMON STOCKS (Continued)
		Food and Beverage (Continued)
	498,000	Kikkoman Corp.	$	5,753,685	$	5,227,129
	290,229	Kraft Foods Inc., Cl. A		8,639,540		10,224,768
	32,000	LVMH Moet Hennessy Louis Vuitton SA		1,117,034		5,758,868
	15,000	MEIJI Holdings Co. Ltd.		678,410		630,706
	245,000	Morinaga Milk Industry Co. Ltd.		909,693		1,043,848
	93,000	Nestlé SA		2,032,499		5,779,661
	200,000	NISSIN FOODS HOLDINGS CO. LTD.		6,899,621		7,271,598
	200,000	Parmalat SpA†		569,900		752,342
	24,000	Peet’s Coffee & Tea Inc.†		943,373		1,384,800
	237,000	PepsiCo Inc.		8,130,289		16,691,911
	94,000	Pernod-Ricard SA		8,492,663		9,265,321
	146,000	Ralcorp Holdings Inc.†		2,404,670		12,640,680
	86,430	Remy Cointreau SA		5,079,553		7,274,569
	1,004,016	Sara Lee Corp.		15,044,026		19,066,264
	331,000	The Coca-Cola Co.		13,888,439		22,272,990
	32,000	The Hain Celestial Group Inc.†		532,819		1,067,520
	33,000	The Hershey Co.		909,605		1,876,050
	20,000	The J.M. Smucker Co.		547,733		1,528,800
	600,000	Tingyi (Cayman Islands) Holding Corp.		1,488,465		1,854,351
	164,800	Tootsie Roll Industries Inc.		1,820,002		4,822,048
	160,000	Tyson Foods Inc., Cl. A		2,249,108		3,107,200
	444,000	YAKULT HONSHA Co. Ltd.		11,946,720		12,806,260
				189,157,921		341,262,196
		Health Care — 3.6%
	40,000	Abbott Laboratories		1,948,913		2,104,800
	15,000	Alere Inc.†		255,011		549,300
	50,000	Allergan Inc.		2,338,454		4,162,500
	44,000	Amgen Inc.†		203,194		2,567,400
	70,000	AngioDynamics Inc.†		934,504		996,100
	10,000	ArthroCare Corp.†		235,827		334,700
	75,000	Baxter International Inc.		3,881,678		4,476,750
	39,000	Becton, Dickinson and Co.		3,115,666		3,360,630
	200	Bio-Rad Laboratories Inc., Cl. A†		22,634		23,872
	50,500	Biogen Idec Inc.†		806,992		5,399,460
	250,000	Boston Scientific Corp.†		2,106,882		1,727,500
	212,000	Bristol-Myers Squibb Co.		5,621,279		6,139,520
	25,000	Cephalon Inc.†		1,769,494		1,997,500
	18,000	Cepheid Inc.†		204,402		623,520
	67,000	Chemed Corp.		1,081,042		4,389,840
	32,000	CONMED Corp.†		640,430		911,360
	44,000	Covidien plc		1,724,056		2,342,120
	10,000	DENTSPLY International Inc.		190,509		380,800
	55,000	Eli Lilly & Co.		2,124,731		2,064,150

Shares			Cost		Market Value
	44,000	Exactech Inc.†	$	671,660	$	792,440
	5,000	Gilead Sciences Inc.†		203,905		207,050
	38,000	Henry Schein Inc.†		1,049,459		2,720,420
	147,000	Johnson & Johnson		6,486,001		9,778,440
	16,000	Laboratory Corp. of America Holdings†		1,125,965		1,548,640
	80,000	Life Technologies Corp.†		2,096,308		4,165,600
	108,000	Mead Johnson Nutrition Co.		5,150,136		7,295,400
	65,000	Medco Health Solutions Inc.†		1,170,835		3,673,800
	100,000	Merck & Co. Inc.		2,445,196		3,529,000
	11,000	Nobel Biocare Holding AG†		306,084		224,252
	20,000	Owens & Minor Inc.		665,680		689,800
	115,000	Pain Therapeutics Inc.†		667,613		445,050
	70,000	Patterson Companies Inc.		1,825,412		2,302,300
	175,000	Pfizer Inc.		3,045,050		3,605,000
	40,000	Quidel Corp.†		543,987		606,000
	30,000	Roche Holding AG, ADR		1,089,048		1,258,800
	80,000	Smith & Nephew plc		887,600		853,837
	2,000	Stryker Corp.		65,440		117,380
	2,000	Techne Corp.		135,973		166,740
	750,000	Tenet Healthcare Corp.†		4,772,191		4,680,000
	50,000	UnitedHealth Group Inc.		1,524,774		2,579,000
	90,000	Watson Pharmaceuticals Inc.†		3,358,954		6,185,700
	34,000	William Demant Holding A/S†		1,594,066		3,068,554
	100,000	Wright Medical Group Inc.†		1,567,862		1,500,000
	3,000	Young Innovations Inc.		78,887		85,560
	13,000	Zimmer Holdings Inc.†		662,619		821,600
				72,396,403		107,452,185
		Hotels and Gaming — 2.0%
	15,000	Accor SA		508,153		670,734
	24,000	Churchill Downs Inc.		910,628		1,081,920
	380,000	Gaylord Entertainment Co.†		9,961,132		11,400,000
	500,000	Genting Singapore plc†		713,517		785,639
	10,000	Home Inns & Hotels Management Inc., ADR†		159,080		380,400
	14,422	Host Hotels & Resorts Inc.		290,636		244,453
	26,000	Hyatt Hotels Corp., Cl. A†		1,156,617		1,061,320
	151,000	International Game Technology		3,315,193		2,654,580
	60,000	Interval Leisure Group Inc.†		561,535		821,400
	2,600,000	Ladbrokes plc		14,749,785		6,359,478
	140,000	Las Vegas Sands Corp.†		1,685,029		5,909,400
	4,200,000	Mandarin Oriental International Ltd.		8,011,029		8,778,000
	110,000	MGM Resorts International†		732,555		1,453,100
	55,000	Orient-Express Hotels Ltd., Cl. A†		1,018,175		591,250
	110,000	Pinnacle Entertainment Inc.†		763,074		1,639,000
	98,000	Starwood Hotels & Resorts Worldwide Inc.		1,921,712		5,491,920
	1,800,000	The Hongkong & Shanghai Hotels Ltd.		2,339,548		3,007,055

See accompanying notes to financial statements.

8

The Gabelli Asset Fund

Schedule of Investments (Continued) — June 30, 2011 (Unaudited)

Shares			Cost		Market Value
		COMMON STOCKS (Continued)
		Hotels and Gaming (Continued)
	16,000	The Marcus Corp.	$	177,498	$	158,080
	187,000	Universal Entertainment Corp.		3,870,031		6,213,589
	18,000	Wyndham Worldwide Corp.		470,825		605,700
	15,000	Wynn Resorts Ltd.		389,245		2,153,100
				53,704,997		61,460,118
		Machinery — 3.6%
	162,900	Bucyrus International Inc.		14,795,652		14,931,414
	135,000	Caterpillar Inc.		893,289		14,372,100
	400,000	CNH Global NV†		12,185,748		15,460,000
	743,000	Deere & Co.		5,942,527		61,260,350
	22,000	Mueller Water Products Inc., Cl. A		183,302		87,560
	30,000	Zebra Technologies Corp., Cl. A†		1,148,831		1,265,100
				35,149,349		107,376,524
		Manufactured Housing and Recreational Vehicles — 0.1%
	185,000	All American Group Inc.†		567,608		37,000
	32,000	Cavco Industries Inc.†		605,460		1,440,000
	32,000	Nobility Homes Inc.†		582,094		256,000
	77,500	Skyline Corp.		2,742,649		1,356,250
				4,497,811		3,089,250
		Metals and Mining — 2.3%
	5,000	Agnico-Eagle Mines Ltd.		236,238		315,650
	220,000	Alcoa Inc.		3,421,195		3,489,200
	368,000	Barrick Gold Corp.		6,891,098		16,666,720
	178,000	Freeport-McMoRan Copper & Gold Inc.		2,869,862		9,416,200
	105,000	Ivanhoe Mines Ltd.†		878,845		2,656,500
	8,000	James River Coal Co.†		58,140		166,560
	50,000	Kinross Gold Corp.		359,224		790,000
	52,000	New Hope Corp. Ltd.		70,252		291,132
	639,000	Newmont Mining Corp.		16,432,052		34,486,830
	25,000	Peabody Energy Corp.		973,215		1,472,750
				32,190,121		69,751,542
		Publishing — 2.3%
	34,000	Belo Corp., Cl. A†		176,514		256,020
	490,000	Il Sole 24 Ore SpA†		3,333,096		830,665
	420,000	Media General Inc., Cl. A†		4,076,882		1,604,400
	70,000	Meredith Corp.		1,508,272		2,179,100
	3,036,000	News Corp., Cl. A		24,194,580		53,737,200
	22,000	News Corp., Cl. B		212,046		397,760
	155,000	The E.W. Scripps Co., Cl. A†		1,276,082		1,498,850
	170,000	The McGraw-Hill Companies Inc.		1,505,331		7,124,700
	27,000	The New York Times Co., Cl. A†		248,035		235,440
				36,530,838		67,864,135
		Real Estate — 0.3%
	11,000	Brookfield Asset Management Inc., Cl. A		294,496		364,870

Shares			Cost		Market Value
	103,000	Griffin Land & Nurseries Inc.	$	1,479,146	$	3,346,470
	250,000	The St. Joe Co.†		1,870,114		5,210,000
				3,643,756		8,921,340
		Real Estate Investment Trusts — 0.0%
	16,070	Prologis Inc.		983,331		575,963
		Retail — 2.4%
	110,000	Aaron’s Inc.†		583,437		3,108,600
	250,000	AutoNation Inc.†		2,405,853		9,152,500
	12,500	AutoZone Inc.†		1,113,899		3,685,625
	250,000	Coldwater Creek Inc.†		1,495,030		350,000
	125,000	Costco Wholesale Corp.		6,453,676		10,155,000
	453,000	CVS Caremark Corp.		15,603,634		17,023,740
	123,000	HSN Inc.†		2,371,269		4,049,160
	1,800,000	Lianhua Supermarket Holdings Ltd., Cl. H		4,560,886		4,117,352
	200,000	Macy’s Inc.		3,263,628		5,848,000
	95,000	Safeway Inc.		2,298,527		2,220,150
	35,000	The Cheesecake Factory Inc.†		1,026,575		1,097,950
	51,000	The Home Depot Inc.		1,586,243		1,847,220
	70,000	The Kroger Co.		423,375		1,736,000
	44,000	Wal-Mart Stores Inc.		2,225,443		2,338,160
	45,000	Walgreen Co.		1,523,145		1,910,700
	60,000	Whole Foods Market Inc.		1,436,727		3,807,000
	135,000	Winn-Dixie Stores Inc.†		2,049,614		1,140,750
				50,420,961		73,587,907
		Semiconductors — 0.1%
	160,000	National Semiconductor Corp.		3,907,980		3,937,600
	5,000	Varian Semiconductor Equipment Associates Inc.†		307,450		307,200
				4,215,430		4,244,800
		Specialty Chemicals — 2.0%
	7,000	Air Products & Chemicals Inc.		636,874		669,060
	50,500	Airgas Inc.		3,306,582		3,537,020
	17,000	Ashland Inc.		284,580		1,098,540
	21,772	Chemtura Corp.†		323,976		396,250
	12,000	E. I. du Pont de Nemours and Co.		635,249		648,600
	510,000	Ferro Corp.†		6,866,557		6,854,400
	110,000	General Chemical Group Inc.†		365,584		1,485
	136,000	H.B. Fuller Co.		1,271,302		3,321,120
	145,000	International Flavors & Fragrances Inc.		6,723,874		9,314,800
	40,000	Material Sciences Corp.†		266,497		290,000
	2,000	NewMarket Corp.		215,642		341,420
	590,000	Omnova Solutions Inc.†		1,637,428		4,106,400
	7,500	Praxair Inc.		769,652		812,925
	120,000	Rhodia SA		5,492,100		5,443,313
	297,000	Sensient Technologies Corp.		5,726,600		11,009,790

See accompanying notes to financial statements.

9

The Gabelli Asset Fund

Schedule of Investments (Continued) — June 30, 2011 (Unaudited)

Shares			Cost		Market Value
		COMMON STOCKS (Continued)
		Specialty Chemicals (Continued)
	82,000	The Lubrizol Corp.	$	10,977,301	$	11,010,140
	72,000	Zep Inc.		766,904		1,360,800
				46,266,702		60,216,063
		Telecommunications — 3.1%
	7,000	AboveNet Inc.		358,228		493,220
	145,000	AT&T Inc.		3,508,517		4,554,450
	23,000	Brasil Telecom SA, ADR		706,205		659,180
	14,000	Brasil Telecom SA, Cl. C, ADR		210,888		150,920
	40,000	CenturyLink Inc.		584,996		1,617,200
	1,170,000	Cincinnati Bell Inc.†		5,148,815		3,884,400
	380,000	Deutsche Telekom AG, ADR		6,396,716		5,939,400
	27,000	France Telecom SA, ADR		481,981		574,830
	36,000	Hellenic Telecommunications Organization SA		735,003		335,683
	11,000	Hellenic Telecommunications Organization SA, ADR		88,308		51,590
	64,500	Loral Space & Communications Inc.†		4,537,703		4,480,815
	117,000	NII Holdings Inc.†		4,827,819		4,958,460
	235,000	Portugal Telecom SGPS SA		2,379,092		2,329,962
	19,000	SAVVIS Inc.†		660,298		751,070
	745,000	Sprint Nextel Corp.†		2,683,431		4,015,550
	75,403	Tele Norte Leste Participacoes SA, ADR		1,001,480		1,171,763
	3,100,000	Telecom Italia SpA		1,732,489		4,313,423
	200,000	Telecom Italia SpA, ADR		1,395,966		2,780,000
	73	Telecomunicacoes de Sao Paulo SA		656		1,937
	46,500	Telecomunicacoes de Sao Paulo SA, Preference, ADR		911,624		1,381,050
	279,000	Telefonica SA, ADR		3,334,921		6,832,710
	40,000	Telefonos de Mexico SAB de CV, Cl. L, ADR		101,330		660,000
	585,000	Telephone & Data Systems Inc.		12,232,605		18,181,800
	495,000	Telephone & Data Systems Inc., Special		10,070,967		13,330,350
	80,000	tw telecom inc.†		1,409,770		1,642,400
	232,000	Verizon Communications Inc.		7,007,962		8,637,360
	40,000	VimpelCom Ltd., ADR		593,825		510,400
				73,101,595		94,239,923
		Transportation — 0.5%
	375,000	AMR Corp.†		3,299,274		2,025,000
	330,000	GATX Corp.		8,374,749		12,249,600
	2,000	Huntington Ingalls Industries Inc.†		53,019		69,000
	4,000	Kansas City Southern†		7,317		237,320
	39,100	Providence and Worcester Railroad Co.		616,606		554,829
				12,350,965		15,135,749

Shares			Cost		Market Value
		Wireless Communications — 0.9%
	91,000	America Movil SAB de CV, Cl. L, ADR	$	566,974	$	4,903,080
	54,000	Millicom International Cellular SA, SDR		4,912,683		5,634,604
	2,700	NTT DoCoMo Inc.		3,867,175		4,795,975
	13,001	Tim Participacoes SA, ADR		157,722		639,779
	185,000	United States Cellular Corp.†		8,925,694		8,957,700
	116,075	Vodafone Group plc, ADR		3,057,588		3,101,524
				21,487,836		28,032,662
		TOTAL COMMON STOCKS		1,459,775,242		2,920,436,518
		RIGHTS — 0.0%
		Health Care — 0.0%
	80,000	Sanofi, CVR, expire 12/31/20†		160,800		192,800
		WARRANTS — 0.0%
		Automotive: Parts and Accessories — 0.0%
	14,727	Federal-Mogul Corp., expire 12/27/14†		411,720		5,964
		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
		Hotels and Gaming — 0.0%
	200,000	Indian Hotels Co. Ltd, expire 06/16/14† (c)		298,980		345,200
		TOTAL WARRANTS		710,700		351,164
Principal Amount
		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 — 3.2%
	94,640,000	U.S. Treasury Bills, 0.005% to 0.150%††, 07/14/11 to 12/22/11		94,619,254		94,627,912
		TOTAL INVESTMENTS — 100.0%	$	1,555,265,996		3,015,608,394
		Other Assets and Liabilities (Net) — 0.0%				826,579
		NET ASSETS — 100.0%			$	3,016,434,973

(a) Security fair valued under procedures established by the Board of Trustees. The procedures may include reviewing available financial

See accompanying notes to financial statements.

10

The Gabelli Asset Fund

Schedule of Investments (Continued) — June 30, 2011 (Unaudited)

information about the company and reviewing valuation of comparable securities and other factors on a regular basis. At June 30, 2011, the market value of fair valued securities amounted to $525,258 or 0.02% of net assets.

(b) Illiquid security.

(c) 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 June 30, 2011, the market value of Rule 144A securities amounted to $11,973,200 or 0.40% of net assets.

† Non-income producing security.

†† Represents annualized yield at date of purchase.

ADR American Depositary Receipt

CVO Contingent Value Obligation

CVR Contingent Value Right

GDR Global Depositary Receipt

SDR Swedish Depositary Receipt

See accompanying notes to financial statements.

11

The Gabelli Asset Fund

Statement of Assets and Liabilities

June 30, 2011 (Unaudited)

Assets:
Investments, at value (cost $1,555,265,996)	$	3,015,608,394
Foreign currency, at value (cost $31,597)		31,536
Cash		5,001
Receivable for Fund shares sold		4,078,471
Receivable for investments sold		186,461
Dividends receivable		3,932,551
Prepaid expenses		92,135
Total Assets		3,023,934,549
Liabilities:
Payable for investments purchased		2,015,238
Payable for Fund shares redeemed		1,515,183
Payable for investment advisory fees		2,393,785
Payable for distribution fees		602,475
Payable for accounting fees		7,500
Payable for shareholder services fees		511,710
Other accrued expenses		453,685
Total Liabilities		7,499,576
Net Assets (applicable to 57,533,554 shares outstanding)	$	3,016,434,973
Net Assets Consist of:
Paid-in capital	$	1,528,113,932
Accumulated net investment income		5,287,223
Accumulated net realized gain on investments and foreign currency transactions		22,666,405
Net unrealized appreciation on investments		1,460,342,398
Net unrealized appreciation on foreign currency translations		25,015
Net Assets	$	3,016,434,973
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 ($2,835,250,144 ÷ 54,051,643 shares outstanding)		$52.45
Class A:
Net Asset Value and redemption price per share ($62,932,810 ÷ 1,206,527 shares outstanding)		$52.16
Maximum offering price per share (NAV÷ 0.9425, based on maximum sales charge of 5.75% of the offering price)		$55.34
Class B:
Net Asset Value and offering price per share ($6,305 ÷ 124.87 shares outstanding)		$50.49	(a)
Class C:
Net Asset Value and offering price per share ($34,410,754 ÷ 677,804 shares outstanding)		$50.77	(a)
Class I:
Net Asset Value, offering, and redemption price per share ($83,834,960 ÷ 1,597,455 shares outstanding)		$52.48

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

Statement of Operations

For the Six Months Ended June 30, 2011 (Unaudited)

Investment Income:
Dividends (net of foreign withholding taxes of $833,265)	$	25,371,777
Interest		83,926
Total Investment Income		25,455,703
Expenses:
Investment advisory fees		14,237,319
Distribution fees – Class AAA		3,397,419
Distribution fees – Class A		54,929
Distribution fees – Class B		15
Distribution fees – Class C		129,168
Shareholder services fees		912,995
Shareholder communications expenses		206,663
Custodian fees		191,996
Legal and audit fees		115,255
Registration expenses		50,717
Trustees’ fees		47,618
Accounting fees		22,500
Interest expense		4
Miscellaneous expenses		83,148
Total Expenses		19,449,746
Less:
Advisory fee reduction on unsupervised assets (See Note 3)		(10,042	)
Custodian fee credits		(93	)
Total Reductions and Credits		(10,135	)
Net Expenses		19,439,611
Net Investment Income		6,016,092
Net Realized and Change in Unrealized Gain/(Loss) on Investments and Foreign Currency:
Net realized gain on investments		39,359,527
Net realized loss on foreign currency transactions		(35,566	)
Net realized gain on investments and foreign currency transactions		39,323,961
Net change in unrealized appreciation on investments		149,590,531
Net change in unrealized appreciation on foreign currency translations		15,147
Net change in unrealized appreciation on investments and foreign currency translations		149,605,678
Net Realized and Change in Unrealized Gain/(Loss) on Investments and Foreign Currency		188,929,639
Net Increase in Net Assets Resulting from Operations	$	194,945,731

See accompanying notes to financial statements.

12

The Gabelli Asset Fund

Statement of Changes in Net Assets

	Six Months Ended June 30, 2011 (Unaudited)		Year Ended December 31, 2010
Operations:
Net investment income	$	6,016,092	$	7,915,686
Net realized gain on investments and foreign currency transactions		39,323,961		42,454,263
Net change in unrealized appreciation on investments and foreign currency translations		149,605,678		436,777,256
Net Increase in Net Assets Resulting from Operations		194,945,731		487,147,205
Distributions to Shareholders:
Net investment income
Class AAA		—		(7,601,812	)
Class A		—		(79,054	)
Class I		—		(195,336	)
		—		(7,876,202	)
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	)
Shares of Beneficial Interest Transactions:
Class AAA		76,516,313		17,849,088
Class A		37,079,943		6,693,080
Class B		4,664		—
Class C		15,680,896		6,078,908
Class I		41,637,360		26,561,505
Net Increase in Net Assets from Shares of Beneficial Interest Transactions		170,919,176		57,182,581
Redemption Fees		2,747		2,170
Net Increase in Net Assets		365,867,654		514,374,794
Net Assets:
Beginning of period		2,650,567,319		2,136,192,525
End of period (including undistributed net investment income of $5,287,223 and $0, respectively)	$	3,016,434,973	$	2,650,567,319

See accompanying notes to financial statements.

13

The Gabelli Asset Fund

Financial Highlights

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

			Income (Loss) from Investment Operations									Distributions																			Ratio to Average Net Assets/ Supplemental Data
Period Ended December 31	Net Asset Value, Beginning of Period		Net Investment Income (Loss) (a)			Net Realized and Unrealized Gain (Loss) on Investments			Total from Investment Operations			Net Investment Income			Net Realized Gain on Investments			Total Distributions			Redemption Fees (a)			Net Asset Value, End of Period		Total Return†			Net Assets, End of Period (in 000’s)		Net Investment Income (Loss)			Operating Expenses			Portfolio Turnover Rate
Class AAA
2011(b)	$	48.93	$	0.11		$	3.41		$	3.52			—			—			—		$	0.00	(c)	$	52.45		7.2	%	$	2,835,250		0.42	%(d)		1.36	%(d)		4	%
2010		40.21		0.15			9.13			9.28		$	(0.15	)	$	(0.41	)	$	(0.56	)		0.00	(c)		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	(c)		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	(c)		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	(c)		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	(c)		47.38		21.8			2,516,088		0.67			1.36			7
Class A
2011(b)	$	48.65	$	0.13		$	3.38		$	3.51			—			—			—		$	0.00	(c)	$	52.16		7.2	%	$	62,933		0.53	%(d)		1.36	%(d)		4	%
2010		40.01		0.15			9.07			9.22		$	(0.17	)	$	(0.41	)	$	(0.58	)		(0.00	)(c)		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	)(c)		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	(c)		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	(c)		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	(c)		47.21		21.9			4,806		0.71			1.35			7
Class B
2011(b)	$	47.28	$	(0.01	)	$	3.22		$	3.21			—			—			—			—		$	50.49		6.8	%	$	6		(0.04	)%(d)		2.11	%(d)		4	%
2010		39.04		(0.17	)		8.82			8.65			—		$	(0.41	)	$	(0.41	)	$	(0.00	)(c)		47.28		22.2			2		(0.41	)		2.13			7
2009		30.14		0.02			8.88			8.90			—			—			—			(0.00	)(c)		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	(c)		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	(c)		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	(c)		46.72		20.9			1		0.41			2.11			7
Class C
2011(b)	$	47.53	$	(0.06	)	$	3.30		$	3.24			—			—			—		$	0.00	(c)	$	50.77		6.8	%	$	34,411		(0.24	)%(d)		2.11	%(d)		4	%
2010		39.25		(0.17	)		8.86			8.69			—		$	(0.41	)	$	(0.41	)		(0.00	)(c)		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	(c)		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	(c)		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	(c)		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	(c)		46.58		20.9			3,348		(0.07	)		2.11			7
Class I
2011(b)	$	48.90	$	0.20		$	3.38		$	3.58			—			—			—		$	0.00	(c)	$	52.48		7.3	%	$	83,835		0.79	%(d)		1.11	%(d)		4	%
2010		40.18		0.27			9.11			9.38		$	(0.25	)	$	(0.41	)	$	(0.66	)		(0.00	)(c)		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	)(c)		40.18		30.9			6,080		0.99			1.15			7
2008(e)		47.26		0.33			(16.25	)		(15.92	)		(0.34	)		(0.03	)		(0.37	)		0.00	(c)		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) For the six months ended June 30, 2011, unaudited.

(c) Amount represents less than $0.005 per share.

(d) Annualized.

(e) From the commencement of offering Class I Shares on January 11, 2008 through December 31, 2008.

See accompanying notes to financial statements.

14

The Gabelli Asset Fund

Notes to Financial Statements (Unaudited)

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.

15

The Gabelli Asset Fund

Notes to Financial Statements (Continued) (Unaudited)

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 the 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 June 30, 2011 is as follows:

	Valuation Inputs
	Level 1 Quoted Prices		Level 2 Other Significant Observable Inputs			Level 3 Significant Unobservable Inputs		Total Market Value at 6/30/11
INVESTMENTS IN SECURITIES:
ASSETS (Market Value):					��
Common Stocks:
Aerospace	$	34,218,119	$	323,559			—	$	34,541,678
Broadcasting		44,678,952		—		$	0		44,678,952
Consumer Products		146,807,128		254			—		146,807,382
Energy and Utilities		239,608,444		10,000			0		239,618,444
Entertainment		121,285,068		—			525,258		121,810,326
Other Industries (a)		2,332,979,736		—			—		2,332,979,736
Total Common Stocks		2,919,577,447		333,813			525,258		2,920,436,518
Rights (a)		192,800		—			—		192,800
Warrants:
Automotive: Parts and Accessories		5,964		—			—		5,964
Broadcasting		—		—			0		0
Hotels and Gaming		—		345,200			—		345,200
Total Warrants		5,964		345,200			0		351,164
Corporate Bonds		—		—			0		0
U.S. Government Obligations		—		94,627,912			—		94,627,912
TOTAL INVESTMENTS IN SECURITIES – ASSETS	$	2,919,776,211	$	95,306,925		$	525,258	$	3,015,608,394

(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 six months ended June 30, 2011.

16

The Gabelli Asset Fund

Notes to Financial Statements (Continued) (Unaudited)

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

	Balance as of 12/31/10		Accrued discounts/ (premiums)		Realized gain/ (loss)		Change in unrealized appreciation/ depreciation†		Purchases		Sales			Transfers into Level 3††		Transfers out of Level 3††		Balance as of 6/30/11		Net change in unrealized appreciation/ depreciation during the period on Level 3 investments held at 6/30/11†
INVESTMENTS IN SECURITIES:
ASSETS (Market Value):
Common Stocks:
Broadcasting	$	0	$	—	$	—	$	—	$	—	$	—		$	—	$	—	$	0	$	—
Energy and Utilities		0		—		—		—		—		—			—		—		0		—
Entertainment		364,856		—		—		160,402		—		—			—		—		525,258		160,402
Total Common Stocks		364,856		—		—		160,402		—		—			—		—		525,258		160,402
Warrants:
Broadcasting		0		—		—		—		—		—			—		—		0		—
Energy and Utilities		79		—		0		148,979		—		(149,058	)		—		—		—		—
Total Warrants		79		—		0		148,979		—		(149,058	)		—		—		0		—
Corporate Bonds		0		—		—		—		—		—			—		—		0		—
TOTAL INVESTMENTS IN SECURITIES	$	364,935	$	—	$	0	$	309,381	$	—	$	(149,058	)	$	—	$	—	$	525,258	$	160,402

† 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). The 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. 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.

In May 2011, the FASB issued Accounting Standards Update (“ASU”) No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and International Financial Reporting Standards (“IFRS”).” ASU 2011-04 includes common requirements for measurement of and disclosure about fair value between U.S. GAAP and IFRS. ASU 2011-04 will require reporting entities to disclose the following information for fair value measurements categorized within Level 3 of the fair value hierarchy: quantitative information about the unobservable inputs used in the fair value measurement, the valuation processes used by the reporting entity, and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, ASU 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers into and out of Level 1 and Level 2 fair value measurements. The new and revised disclosures are

17

The Gabelli Asset Fund

Notes to Financial Statements (Continued) (Unaudited)

effective for interim and annual reporting periods beginning after December 15, 2011. At this time, management is evaluating the implications of ASU No. 2011-04 and its impact on the 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 purposes 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, 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 June 30, 2011, if any, are not accounted for as hedging instruments under GAAP and are disclosed in the Schedule of Investments together with the related counterparty.

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 received or paid 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 six months ended June 30, 2011, 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.

18

The Gabelli Asset Fund

Notes to Financial Statements (Continued) (Unaudited)

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 six months ended June 30, 2011, the Fund held no investments in forward foreign exchange contracts.

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 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. For the restricted and illiquid securities the Fund held as of June 30, 2011, refer to the Schedule of Investments.

19

The Gabelli Asset Fund

Notes to Financial Statements (Continued) (Unaudited)

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.

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 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 U.S. 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. 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.

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

Distributions paid from:
Ordinary income	$	7,876,202
Net long-term capital gains		22,080,960
Total distributions paid	$	29,957,162

20

The Gabelli Asset Fund

Notes to Financial Statements (Continued) (Unaudited)

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.

Under the recently enacted Regulated Investment Company Modernization Act of 2010, the Fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.

The following summarizes the tax cost of investments and the related net unrealized appreciation at June 30, 2011:

	Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation			Net Unrealized Appreciation
Investments	$	1,571,591,844	$	1,515,411,891	$	(71,395,341	)	$	1,444,016,550

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 six months ended June 30, 2011, the Fund did not incur any interest or penalties. As of June 30, 2011, 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, 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 six months ended June 30, 2011, 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 $10,042.

21

The Gabelli Asset Fund

Notes to Financial Statements (Continued) (Unaudited)

The Fund pays each Trustee who is not considered an affiliated person an annual retainer of $18,000 plus $2,000 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 $2,000. 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 six months ended June 30, 2011, other than short-term securities and U.S. Government obligations, aggregated $216,059,118 and $104,705,471, respectively.

6.  Transactions with Affiliates.  During the six months ended June 30, 2011, the Fund paid brokerage commissions on security trades of $183,328 to Gabelli & Co. Additionally, Gabelli & Co. informed the Fund that it retained $44,195 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 six months ended June 30, 2011, the Fund paid or accrued $22,500 to the Adviser in connection with the cost of computing the Fund’s NAV.

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. During the six months period ended June 30, 2011, there were no borrowings under the line of credit.

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 without a sales charge, solely to certain institutions, directly through Gabelli & Co., or brokers that have entered into selling agreements specifically with respect to Class I Shares. 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

22

The Gabelli Asset Fund

Notes to Financial Statements (Continued) (Unaudited)

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 six months ended June 30, 2011 and the year ended December 31, 2010 amounted to $2,747 and $2,170, 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.

Transactions in shares of beneficial interest were as follows:

	Six Months Ended June 30, 2011 (Unaudited)						Year Ended December 31, 2010
	Shares			Amount			Shares			Amount
Class AAA
Shares sold		5,066,954		$	259,111,615			6,816,431		$	302,566,955
Shares issued upon reinvestment of distributions		77			3,788			557,615			27,345,434
Shares redeemed		(3,570,224	)		(182,599,090	)		(7,240,198	)		(312,063,301	)
Net increase		1,496,807		$	76,516,313			133,848		$	17,849,088
Class A
Shares sold		827,387		$	42,123,770			245,328		$	10,824,049
Shares issued upon reinvestment of distributions		—			—			4,981			242,870
Shares redeemed		(99,339	)		(5,043,827	)		(102,166	)		(4,373,839	)
Net increase		728,048		$	37,079,943			148,143		$	6,693,080
Class B
Shares sold		92		$	4,664			—		$	—
Net increase		92		$	4,664			—		$	—
Class C
Shares sold		359,554		$	17,881,739			197,241		$	8,582,504
Shares issued upon reinvestment of distributions		6			254			2,373			113,056
Shares redeemed		(44,453	)		(2,201,097	)		(64,070	)		(2,616,652	)
Net increase		315,107		$	15,680,896			135,544		$	6,078,908

23

The Gabelli Asset Fund

Notes to Financial Statements (Continued) (Unaudited)

Transactions in shares of beneficial interest were as follows (continued):

	Six Months Ended June 30, 2011 (Unaudited)						Year Ended December 31, 2010
	Shares			Amount			Shares			Amount
Class I
Shares sold		909,463		$	46,779,594			851,707		$	35,319,699
Shares issued upon reinvestment of distributions		—			—			9,005			441,335
Shares redeemed		(99,958	)		(5,142,234	)		(224,093	)		(9,199,529	)
Net increase		809,505		$	41,637,360			636,619		$	26,561,505

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.

10.  Other Matters.  On April 24, 2008, the Adviser entered into a settlement with the SEC to resolve an inquiry regarding prior frequent trading 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. Under the terms of the settlement, the Adviser, without admitting or denying the SEC’s findings and allegations, paid $16 million (which included a $5 million civil monetary penalty). On the same day, the SEC filed a civil action in the U.S. District Court for the Southern District of New York 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, who also is an officer of the Global Growth Fund and other funds in the Gabelli/GAMCO complex, including this Fund, denies the allegations and is continuing in his positions with the Adviser and the funds. The settlement by the Adviser did not have, and the resolution of the action against the officer is not expected to have, a material adverse impact on the Adviser or its ability to fulfill its obligations under the Advisory Agreement.

11.  Subsequent Events.  Effective August 1, 2011, G.distributors, LLC, an affiliate of the Adviser and the Fund, succeeded Gabelli & Co. as distributor of the Fund’s shares.

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

We have separated the portfolio managers’ commentary from the financial statements and investment portfolio due to corporate governance regulations stipulated by the Sarbanes-Oxley Act of 2002. We have done this to ensure that the content of the portfolio managers’ commentary is unrestricted. The financial statements and investment portfolio are mailed separately from the commentary. Both the commentary and the financial statements, including the portfolio of investments, will be available on our website at www.gabelli.com.

24

The Gabelli Asset Fund

Board Consideration and Re-Approval of Investment Advisory Agreement (Unaudited)

At its meeting on February 15, 2011, the Board of Trustees (“Board”) of the Fund approved the continuation of the investment advisory agreement with the Adviser for the Fund on the basis of the recommendation by the trustees who are not “interested persons” of the Fund (the “Independent Board Members”). The following paragraphs summarize the material information and factors considered by the Independent Board Members as well as their conclusions relative to such factors.

Nature, Extent, and Quality of Services.  The Independent Board Members considered information regarding the portfolio manager, the depth of the analyst pool available to the Adviser and the portfolio manager, the scope of administrative, shareholder, and other services supervised or provided by the Adviser, and the absence of significant service problems reported to the Board. The Independent Board Members noted the experience, length of service, and reputation of the portfolio manager.

Investment Performance.  The Independent Board Members reviewed the short, medium, and long-term performance of the Fund against a peer group of multi-cap core and multi-cap value large funds chosen by Lipper as being comparable. The Independent Board Members noted that the Fund’s performance was in the third quartile of the funds in its category for the one year period, and in the top third for the three and five year periods.

Profitability.  The Independent Board Members reviewed summary data regarding the profitability of the Fund to the Adviser both with an administrative overhead charge and without such a charge. The Independent Board Members also noted that a large portion of the Fund’s portfolio transactions were executed by an affiliated broker and that the affiliated broker received distribution fees and minor amounts of sales commissions.

Economies of Scale.  The Independent Board Members discussed the major elements of the Adviser’s cost structure and the relationship of those elements to potential economies of scale.

Sharing of Economies of Scale.  The Independent Board Members noted that the investment advisory fee schedule for the Fund does not take into account any potential economies of scale that may develop or any losses or diminished profitability to the Adviser in prior years.

Service and Cost Comparisons.  The Independent Board Members compared the expense ratios of the investment advisory fee, other expenses, and total expenses of the Fund with similar expense ratios of the peer group of multi-cap and core value funds and noted that the advisory fee includes substantially all administrative services of the Fund as well as investment advisory services of the Adviser. The Independent Board Members noted that the Fund’s expense ratios and the Fund’s size were above average within this group. The Independent Board Members also noted that the advisory fee structure was the same as that in effect for most of the Gabelli funds. The Independent Board Members were presented with, but did not consider to be material to their decision, various information comparing the advisory fees with the fees for other types of accounts managed by affiliates of the Adviser.

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Conclusions.  The Independent Board Members concluded that the Fund enjoyed highly experienced portfolio management services, good ancillary services, and a good performance record. The Independent Board Members also concluded that the Fund’s expense ratios and the profitability to the Adviser of managing the Fund were reasonable in light of the Fund’s performance and that economies of scale were not a significant factor in their thinking at this time. The Independent Board Members did not view the potential profitability of ancillary services as material to their decision. On the basis of the foregoing and without assigning particular weight to any single conclusion, the Independent Board Members determined to recommend continuation of the investment advisory agreement to the full Board.

Based on a consideration of all these factors in their totality, the Board, including all of the Independent Board Members, determined that the Fund’s advisory fee was fair and reasonable with respect to the quality of services provided and in light of the other factors described above that the Board deemed relevant. Accordingly, the Board determined to approve the continuation of the Fund’s Advisory Agreement. The Board based its decision on evaluations of all these factors as a whole and did not consider any one factor as all important or controlling.

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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 Fund 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 J. Colavita President Anthony J. Colavita, P.C. James P. Conn Former Chief Investment Officer Financial Security Assurance Holdings Ltd. John D. Gabelli Senior Vice President Gabelli & Company, Inc. Kuni Nakamura President Advanced Polymer, Inc.	Anthony R. Pustorino Certified Public Accountant, Professor Emeritus Pace University Werner J. Roeder, MD Medical Director Lawrence Hospital Anthonie C. van Ekris Chairman BALMAC International, Inc. Salvatore J. Zizza Chairman Zizza & Co., Ltd.
Officers
Bruce N. Alpert President and Secretary Agnes Mullady Treasurer	Peter D. Goldstein Chief Compliance Officer
Distributor
Gabelli & Company, Inc.*
Custodian, Transfer Agent, and Dividend Agent
State Street Bank and Trust Company
Legal Counsel
Skadden, Arps, Slate, Meagher & Flom LLP

* Effective August 1, 2011, the Distributors of the Fund changed to G.distributors, LLC.

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.

GAB405Q211SR

The

Gabelli Asset

Fund

Morningstar^® rated The Gabelli Asset Fund Class AAA Shares 5 stars overall and 5 stars for the five and ten year periods and 4 stars for the three year period ended June 30, 2011 among 1,675, 1,434, 813, and 1,675 Large Blend funds, respectively.

SEMIANNUAL REPORT

JUNE 30, 2011

Item 2. Code of Ethics.

Not applicable.

Item 3. Audit Committee Financial Expert.

Not applicable.

Item 4. Principal Accountant Fees and Services.

Not applicable.

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) Not applicable.

(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     9/7/11

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     9/7/11

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

Date     9/7/11

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