Gabelli Capital Series Funds N-CSR Certified annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number          811-07644                

                          Gabelli Capital Series Funds, Inc.                        

(Exact name of registrant as specified in charter)

One Corporate Center

                             Rye, New York 10580-1422                            

(Address of principal executive offices) (Zip code)

Bruce N. Alpert

Gabelli Funds, LLC

One Corporate Center

                             Rye, New York 10580-1422                            

(Name and address of agent for service)

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

Date of fiscal year end:  December 31

Date of reporting period:  December 31, 2014

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.

  ¢  Gabelli Capital Asset Fund Annual Report To Contractowners  

    Mario J. Gabelli, CFA Portfolio Manager   Objective: Growth of capital. Current income is a secondary objective   Portfolio: At least 80% common stocks and securities convertible into common stocks   Inception Date: May 1, 1995   Net Assets at December 31, 2014: $130,613,996 An Update from Fund Management   In 2014, stocks rose based on a combination of rising earnings and expanding valuations. Large cap stocks dominated the market’s performance, recapturing a significant amount of their relative underperformance since the bursting of the dot.com bubble in 2000.   Stocks rose modestly in the first quarter of 2014, despite the largely negative geopolitical and macroeconomic events that dominated the headlines. The second quarter offered its share of both positive and negative surprises, most pleasant of all being the gains of the Standard & Poors (“S&P”) 500, which rose over 5%. The third quarter saw a return of volatility to financial markets, starting with a July decline. This was short lived, however, as the S&P 500 hit an all time high on September 19.   There were many events on the global stage that influenced the markets – skirmishes in the Ukraine, ISIS’ reign of terror in the Middle East, and the spread of the Ebola virus added plenty of color to the investment mosaic. More recently, the 40%+ crash in oil prices has been brought into focus.   We are fundamentally bottom up stock pickers. We have chosen to focus on the companies in a subset of industries in which sustainable competitive advantages can be cultivated. Volatile and unpredictable crude prices, for example, are reasons we tend to avoid the energy sector and gravitate to less commoditized industries. Second, we are value investors. Our contribution to the body of work begun by Benjamin Graham and David Dodd has been the concept of Private Market Value (PMV) with a Catalyst^®; we seek businesses selling in the public markets at a substantial discount to their PMVs and for which we can identity one or more events that will narrow that discount. We tend to gravitate toward hard assets and cash flow and away from visions of grandeur that may or may not occur in the future.   Selected holdings that contributed positively to performance in 2014 were Time Warner Inc. (2.5% of net assets as of December 31, 2014), a media and entertainment company operating in three reporting segments: Networks, Film and TV Entertainment, and Publishing; CVS Health Corp. (1.9%), formerly CVS Caremark Corporation, a pharmacy healthcare provider in the United States with three business segments: Pharmacy Services, Retail Pharmacy, and Corporate; and Brown-Forman Corp. (2.6%), a diversified producer of fine quality consumer products that manufactures, bottles, imports, exports, markets, and sells a variety of alcoholic beverage brands. Brown-Forman counts Jack Daniel’s Tennessee Whiskey, Pepe Lopez Tequilas, and Woodford Reserve Bourbon among its more than 25 brand portfolio of wines and spirits.   Some of our weaker performing stocks were Rolls-Royce Holdings plc (1.8%), a UK based holding company providing power solutions for customers in civil and defense aerospace, marine, energy, and power markets through five business segments: Civil Aerospace, Defense Aerospace, Energy, Marine, and Power Systems; Viacom Inc. (3.7%), an entertainment content company that connects with audiences in over 160 countries and territories and creates compelling television programs, motion pictures, short form video, applications, games, consumer products, social media, and other entertainment content; and Diageo plc (3.2%), a worldwide leader in the premium drink business with a wide collection of brands including Johnny Walker, Crown Royal, J&B, and Ketel One vodkas.   We appreciate your confidence and trust.   The views expressed above are those of the Gabelli Capital Asset Fund’s portfolio manager as of December 31, 2014 and are subject to change without notice. They do not necessarily represent the current views of Gabelli Funds, LLC (the “Adviser”). The views expressed herein are based on current market conditions and are not intended to predict or guarantee the future performance of any Fund, any individual security, any market, or market segment. The composition of the Fund’s portfolio is subject to change. No recommendation is made with respect to any security discussed herein.

About information in this report:

• It is important to consider carefully the Fund’s investment objectives, risks, fees, and expenses before investing. All funds involve some risk, including possible loss of the principal amount invested.

  GABELLI CAPITAL ASSET FUND   1

  ¢  Gabelli Capital Asset Fund Annual Report To Contractowners

Top Ten Holdings (As of 12/31/2014) (Unaudited)

Company	Percentage of         Total Net Assets
Viacom Inc., Cl. A	3.7%
American Express Co.	3.7%
Diageo plc	3.2%
Honeywell International Inc.	3.2%
Brown-Forman Corp., Cl. A	2.6%
Grupo Televisa SAB	2.6%
Time Warner Inc.	2.5%
Cablevision Systems Corp., Cl. A	2.0%
Wells Fargo & Co.	2.0%
Rollins Inc.	2.0%

Sector Weightings (Percentage of Net Assets as of 12/31/2014) (Unaudited)

Average Annual Returns (For periods ended 12/31/2014) (Unaudited)

				Since Inception
	1 Year	5 Year	10 Year	(5/1/1995)
Gabelli Capital Asset Fund	0.56%	16.02%	8.64%	10.89%
S&P 500 Index	13.69	15.45	7.67	9.35
Russell 3000 Index	12.56	15.63	7.94	9.51

The S&P 500 Index is a market capitalization weighted index of 500 large capitalization stocks which are generally considered to be representative of U.S. stock market activity. The Russell 3000 Index is an unmanaged indicator which measures the performance of the 3000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the U.S. equity market. Index returns are provided for comparative purposes. Please note that the indices are unmanaged and not available for direct investment and its returns do not reflect the fees and expenses that have been deducted from the Fund.

About information in this report:

All performance data quoted is historical and the results represent past performance and neither guarantee nor predict future investment results. To obtain performance data current to the most recent month (availability within seven business days of the most recent month end), please call us at (800) 221-3253 or visit our website at www.GuardianLife.com. Current performance may be higher or lower than the performance quoted here. Investment returns and the principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost.

Total return figures are historical and assume the reinvestment of dividends and distributions and the deduction of all Fund expenses. The actual total returns for owners of variable annuity contracts or variable life insurance policies that provide for investment in the Fund will be lower to reflect separate account and contract/policy charges. The return figures shown do not reflect the deduction of taxes that a contract owner may pay on distributions or redemption of units.

2 GABELLI CAPITAL ASSET FUND

  ¢  Gabelli Capital Asset Fund Annual Report To Contractowners

Growth of a Hypothetical $10,000 Investment (Unaudited)

To give you a comparison, this chart shows you the performance of a hypothetical $10,000 investment made in the Fund and in the S&P 500 Index. Index returns do not include the fees and expenses of the Fund, but do include the reinvestment of dividends.

Past performance is not predictive of future results. The S&P 500 Index is an unmanaged indicator of stock market performance.

The Fund files a complete schedule of portfolio holdings with the Securities and Exchange Commission (the “SEC”) for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

Proxy Voting

The Fund files Form N-PX with its complete proxy voting record for the twelve months ended June 30, no later than August 31 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.

  GABELLI CAPITAL ASSET FUND   3

  ¢  Gabelli Capital Asset Fund Annual Report To Contractowners

Disclosure of Fund Expenses (Unaudited)

For the Six Month Period from July 1, 2014 through December 31, 2014

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 would be described in the Prospectus. If these costs were applied to your account, your costs would be higher. Therefore, the 5% hypothetical return is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. The “Annualized Expense Ratio” represents the actual expenses for the last six months and may be different from the expense ratio in the Financial Highlights which is for the year ended December 31, 2014.

	Beginning Account Value July 1, 2014	Ending Account Value December 31, 2014	Annualized Expense Ratio	Expenses Paid During Period*
Gabelli Capital Asset Fund
Actual Fund Return	$1,000.00	$966.00	1.17%	$5.80
Hypothetical 5% Return	$1,000.00	$1,019.31	1.17%	$5.96

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

4 GABELLI CAPITAL ASSET FUND

¢  Gabelli Capital Asset Fund

  Schedule of Investments                                                           

December 31, 2014
Shares		Cost		Market Value
Common Stocks — 99.9%
Aerospace and Defense — 9.3%
24,000	Curtiss-Wright Corp.	$	354,247	$	1,694,160
38,000	Exelis Inc.		526,930		666,140
93,000	GenCorp Inc.†		632,377		1,701,900
6,875	HEICO Corp.		65,152		415,250
41,500	Honeywell International Inc.		1,219,724		4,146,680
4,000	Precision Castparts Corp.		275,423		963,520
170,000	Rolls-Royce Holdings plc		1,293,223		2,305,174
2,000	The Boeing Co.		127,706		259,960
			4,494,782		12,152,784
Automobiles and Components — 0.8%
3,500	BorgWarner Inc.		37,600		192,325
10,000	Dana Holding Corp.		192,020		217,400
9,100	Standard Motor Products Inc.		43,477		346,892
12,000	Superior Industries International Inc.		224,209		237,480
			497,306		994,097
Building Products — 0.2%
25,000	Griffon Corp.		292,772		332,500
Commercial and Professional Services — 3.3%
77,000	Rollins Inc.		263,660		2,548,700
34,000	Waste Management Inc.		1,260,423		1,744,880
			1,524,083		4,293,580
Construction and Engineering — 0.6%
96,000	Furmanite Corp.†		346,662		750,720
Consumer Durables and Apparel — 0.9%
4,000	Cavco Industries Inc.†		113,920		317,080
13,000	Skyline Corp.†		62,375		52,650
40,000	Sony Corp., ADR		724,445		818,800
			900,740		1,188,530
Consumer Services — 2.2%
1,000	Ascent Capital Group Inc., Cl. A†		27,057		52,930
30,000	Boyd Gaming Corp.†		200,939		383,400
8,000	Canterbury Park Holding Corp.†		91,665		74,240
9,500	Churchill Downs Inc.		366,955		905,350
60,000	Dover Motorsports Inc.		254,365		156,600
9,000	International Game Technology		127,949		155,250
20,000	Las Vegas Sands Corp.		111,811		1,163,200
1,000	The Cheesecake Factory Inc.		34,814		50,310
			1,215,555		2,941,280
Consumer Staples — 11.9%
8,000	Archer Daniels Midland Co.		171,115		416,000
39,000	Brown-Forman Corp., Cl. A		681,788		3,422,640
1,000	Bunge Ltd.		50,230		90,910
25,500	CVS Health Corp.		782,294		2,455,905
60,000	Danone SA, ADR		645,034		781,020
37,000	Diageo plc, ADR		1,500,959		4,221,330

Shares		Cost		Market Value
12,000	Fomento Economico Mexicano SAB de CV, ADR†	$	395,224	$	1,056,360
12,000	Ingles Markets Inc., Cl. A		155,171		445,080
1,000	Mead Johnson Nutrition Co.		43,983		100,540
35,000	The Coca-Cola Co.		827,985		1,477,700
36,500	Tootsie Roll Industries Inc.		545,963		1,118,725
			5,799,746		15,586,210
Electrical Equipment — 2.4%
37,500	AMETEK Inc.		135,999		1,973,625
28,000	Capstone Turbine Corp.†		54,400		20,700
24,000	Franklin Electric Co. Inc.		123,540		900,720
2,000	Rockwell Automation Inc.		94,983		222,400
			408,922		3,117,445
Energy — 4.1%
2,000	Anadarko Petroleum Corp.		189,806		165,000
6,000	Cameron International Corp.†		207,340		299,700
5,500	Chevron Corp.		343,640		616,990
9,000	ConocoPhillips		189,016		621,540
8,000	Devon Energy Corp.		274,271		489,680
11,000	Exxon Mobil Corp.		419,480		1,016,950
100,000	RPC Inc.		496,057		1,304,000
70,000	Weatherford International plc†		961,347		801,500
			3,080,957		5,315,360
Financials — 12.4%
52,000	American Express Co.		1,376,716		4,838,080
4,000	Argo Group International Holdings Ltd.		103,338		221,880
16,000	BKF Capital Group Inc.†		65,957		23,200
55,000	Griffin Land & Nurseries Inc.		903,145		1,653,300
14,000	JPMorgan Chase & Co.		455,342		876,120
23,500	Legg Mason Inc.		729,826		1,254,195
4,000	Marsh & McLennan Companies Inc.		104,159		228,960
28,000	Morgan Stanley		795,166		1,086,400
3,600	Northern Trust Corp.		176,884		242,640
17,000	Ryman Hospitality Properties Inc.		407,480		896,580
8,000	State Street Corp.		402,007		628,000
41,000	The Bank of New York Mellon Corp.		1,133,543		1,663,370
47,000	Wells Fargo & Co.		1,400,538		2,576,540
			8,054,101		16,189,265
Health Care — 1.8%
52,000	Boston Scientific Corp.†		406,829		689,000
1,000	DENTSPLY International Inc.		21,925		53,270
7,800	Henry Schein Inc.†		357,390		1,061,970
1,000	Laboratory Corp. of America Holdings†		61,439		107,900
8,000	Patterson Companies Inc.		238,344		384,800
			1,085,927		2,296,940

See accompanying notes to financial statements.
	5

¢  Gabelli Capital Asset Fund

  Schedule of Investments (Continued)                            

December 31, 2014

Shares		Cost		Market Value
Common Stocks (Continued)
Information Technology — 4.7%
5,500	Blackhawk Network Holdings Inc., Cl. B†	$	137,535	$	207,295
36,000	Corning Inc.		396,920		825,480
86,000	CTS Corp.		756,982		1,533,380
38,000	Cypress Semiconductor Corp.		188,084		542,640
26,000	Diebold Inc.		786,023		900,640
4,000	EchoStar Corp., Cl. A†		85,763		210,000
12,000	Internap Corp.†		94,224		95,520
4,000	NCR Corp.†		44,308		116,560
24,000	Texas Instruments Inc.		478,590		1,283,160
9,000	Yahoo! Inc.†		140,929		454,590
			3,109,358		6,169,265
Machinery — 10.1%
15,500	CIRCOR International Inc.		481,140		934,340
4,000	CLARCOR Inc.		34,625		266,560
142,000	CNH Industrial NV		924,849		1,144,520
20,000	Crane Co.		508,973		1,174,000
8,000	Deere & Co.		240,510		707,760
12,000	Flowserve Corp.		174,564		717,960
15,000	Graco Inc.		887,923		1,202,700
22,000	IDEX Corp.		571,024		1,712,480
15,000	ITT Corp.		281,248		606,900
57,000	Navistar International Corp.†		1,588,325		1,908,360
10,000	The Eastern Co.		106,496		171,500
48,000	The L.S. Starrett Co., Cl. A		664,885		956,640
2,000	Watts Water Technologies Inc., Cl. A		32,206		126,880
40,000	Xylem Inc.		1,064,702		1,522,800
			7,561,470		13,153,400
Materials — 5.5%
21,000	Ampco-Pittsburgh Corp.		323,270		404,250
12,000	Chemtura Corp.†		269,518		296,760
62,000	Ferro Corp.†		161,493		803,520
45,000	Freeport-McMoRan Inc.		813,524		1,051,200
18,000	International Flavors & Fragrances Inc.		884,432		1,824,480
70,000	Myers Industries Inc.		804,903		1,232,000
62,000	Newmont Mining Corp.		2,293,272		1,171,800
6,500	Sensient Technologies Corp.		121,903		392,210
			5,672,315		7,176,220
Media — 20.7%
7,500	AMC Networks Inc., Cl. A†		132,842		478,275
125,000	Cablevision Systems Corp., Cl. A		960,657		2,580,000
40,000	CBS Corp., Cl. A, Voting		657,673		2,254,400
10,000	Cogeco Inc.		195,072		525,908
8,000	DIRECTV†		212,694		693,600
3,500	Discovery Communications Inc., Cl. A†		25,962		120,575
10,000	Discovery Communications Inc., Cl. C†		56,919		337,200
11,500	DISH Network Corp., Cl. A†		177,640		838,235

Shares		Cost		Market Value
100,000	Grupo Televisa SAB, ADR	$	1,553,390	$	3,406,000
85,000	Journal Communications Inc., Cl. A†		488,709		971,550
1,750	Liberty Broadband Corp., Cl. A†		11,466		87,657
2,250	Liberty Broadband Corp., Cl. C†		13,736		112,095
5,000	Liberty Global plc, Cl. A†		36,730		251,025
13,000	Liberty Global plc, Cl. C†		112,065		628,030
7,000	Liberty Media Corp., Cl. A†		34,397		246,890
8,000	Liberty Media Corp., Cl. C†		38,664		280,240
54,468	Media General Inc.		274,588		911,250
6,000	Meredith Corp.		181,672		325,920
6,000	Scripps Networks Interactive Inc., Cl. A		241,516		451,620
8,000	Sinclair Broadcast Group Inc., Cl. A		55,831		218,880
13,000	The Interpublic Group of Companies Inc.		248,327		270,010
27,500	The Madison Square Garden Co., Cl. A†		171,403		2,069,650
38,500	Time Warner Inc.		1,138,970		3,288,670
20,000	Twenty-First Century Fox Inc., Cl. A		159,632		768,100
64,500	Viacom Inc., Cl. A		2,775,841		4,869,750
			9,956,396		26,985,530
Retailing — 1.0%
40,000	Aaron’s Inc.†		220,730		1,222,800
24,000	J.C. Penney Co. Inc.†		209,828		155,520
			430,558		1,378,320
Telecommunication Services — 3.0%
12,000	Millicom International Cellular SA, SDR		1,008,525		896,665
10,000	Rogers Communications Inc., Cl. B		136,845		388,600
22,000	Telephone & Data Systems Inc.		623,768		555,500
45,000	United States Cellular Corp.†		1,765,535		1,792,350
12,000	Vivendi SA		389,993		300,432
			3,924,666		3,933,547
Trading Companies and Distributors — 2.0%
20,000	GATX Corp.		665,096		1,150,800
36,000	Kaman Corp.		420,431		1,443,240
			1,085,527		2,594,040
Transportation — 0.7%
37,000	Hertz Global Holdings Inc.†		874,459		922,780
Utilities — 2.3%
22,000	El Paso Electric Co.		197,624		881,320
20,000	GenOn Energy Inc., Escrow†		0		0

	See accompanying notes to financial statements.
6

¢  Gabelli Capital Asset Fund

  Schedule of Investments (Continued)                                     

December 31, 2014

Shares			Cost		Market Value
Common Stocks (Continued)
Utilities (Continued)
	30,500	National Fuel Gas Co.	$	1,666,859	$    2,120,665
				1,864,483	3,001,985
		Total Common Stocks		62,180,785	130,473,798
Rights — 0.0%
Media — 0.0%
	800	Liberty Broadband Corp., expire 01/09/15†		0	7,600

Principal   Amount		Cost		Market Value
U.S. Government Obligations — 0.1%
$190,000	U.S. Treasury Bills,
	0.070%††,
	06/18/15	$	189,938	$       189,930
TOTAL INVESTMENTS — 100.0%		$	62,370,723	130,671,328
Other Assets and Liabilities (Net) — 0.0%				(57,332)
NET ASSETS — 100.0%				$130,613,996

† Non-income producing security.

†† Represents annualized yield at date of purchase.

ADR American Depositary Receipt

SDR Swedish Depositary Receipt

See accompanying notes to financial statements.
	7

¢  Gabelli Capital Asset Fund

  Statement of Assets and Liabilities

December 31, 2014
ASSETS:
Investments, at value (cost $62,370,723)	$	130,671,328
Cash		2,591
Receivable for Fund shares sold		1,534
Dividends receivable		148,921
Prepaid expense		4,241
Total Assets		130,828,615
LIABILITIES:
Payable for Fund shares redeemed		39,105
Payable for investment management fees		110,844
Payable for accounting fees		11,250
Payable for payroll expenses		613
Payable for legal and audit fees		40,759
Other accrued expenses		12,048
Total Liabilities		214,619
Net Assets (applicable to 5,656,921 shares outstanding)	$	130,613,996
NET ASSETS CONSIST OF:
Paid-in capital	$	63,380,360
Accumulated distributions in excess of net realized gains on investments and foreign currency transactions		(1,066,256	)
Net unrealized appreciation on investments		68,300,605
Net unrealized depreciation on foreign currency translations		(713	)
Net Assets	$	130,613,996
Shares of Capital Stock, each at $0.001 par value; 500,000,000 shares authorized:
Net Asset Value, offering, and redemption price per share ($130,613,996 ÷ 5,656,921 shares outstanding)		$23.09

  Statement of Operations

For the Year Ended December 31, 2014
INVESTMENT INCOME:
Dividends (net of foreign withholding taxes of $8,887)	$	2,167,629
Interest		171
Total Investment Income		2,167,800
EXPENSES:
Management fees		1,393,738
Legal and audit fees		48,886
Accounting fees		45,000
Directors’ fees		36,500
Custodian fees		24,305
Shareholder communications expenses		14,442
Shareholder services fees		9,737
Payroll expenses		2,753
Interest expense		1,546
Miscellaneous expenses		22,248
Total Expenses		1,599,155
Net Investment Income		568,645
NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS, SECURITIES SOLD SHORT, AND FOREIGN CURRENCY:
Net realized gain on investments		10,717,467
Net realized gain on securities sold short		46,768
Net realized loss on foreign currency transactions		(80	)
Net realized gain on investments, securities sold short, and foreign currency transactions		10,764,155
Net change in unrealized appreciation/depreciation:
on investments		(10,613,408	)
on foreign currency translations		(713	)
Net change in unrealized appreciation/ depreciation on investments and foreign currency translations		(10,614,121	)
Net Realized and Unrealized Gain/(Loss) on Investments, Securities Sold Short, and Foreign Currency		150,034
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	718,679

See accompanying notes to financial statements.

8

¢  Gabelli Capital Asset Fund

  Statement of Changes in Net Assets

	Year Ended December 31, 2014				Year Ended December 31, 2013
OPERATIONS:
Net investment income		$	568,645			$	898,918
Net realized gain on investments, securities sold short, and foreign currency transactions			10,764,155				11,707,012
Net change in unrealized appreciation/depreciation on investments and foreign currency translations			(10,614,121	)			30,198,805
Net Increase in Net Assets Resulting from Operations			718,679				42,804,735
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income			(571,063	)			(898,064	)
Net realized gain			(10,607,875	)			(11,136,305	)
Return of capital			(30,655	)			(49,486	)
Total Distributions to Shareholders			(11,209,593	)			(12,083,855	)
CAPITAL SHARE TRANSACTIONS:
Net decrease in net assets from capital share transactions			(8,293,381	)			(967,873	)
Net Increase/(Decrease) in Net Assets			(18,784,295	)			29,753,007
NET ASSETS:
Beginning of year			149,398,291				119,645,284
End of year (including undistributed net investment income of $0 and $0, respectively)		$	130,613,996			$	149,398,291

See accompanying notes to financial statements.

9

¢  Gabelli Capital Asset Fund

  Financial Highlights                                                            

Selected data for a share of capital stock outstanding throughout each year:

	Year Ended December 31,
	2014			2013			2012			2011			2010
Operating Performance:
Net asset value, beginning of year	$	25.08		$	19.86		$	18.62		$	18.80			$14.53
Net investment income(a)		0.10			0.16			0.29			0.08			0.07
Net realized and unrealized gain/(loss) on investments		0.08			7.26			2.93			(0.13	)		4.27
Total from investment operations		0.18			7.42			3.22			(0.05	)		4.34
Distributions to Shareholders:
Net investment income		(0.12	)		(0.16	)		(0.31	)		(0.09	)		(0.07)
Net realized gain on investments		(2.04	)		(2.03	)		(1.67	)		(0.04	)		—
Return of capital		(0.01	)		(0.01	)		—			—			—
Total distributions		(2.17	)		(2.20	)		(1.98	)		(0.13	)		(0.07)
Net Asset Value, End of Year	$	23.09		$	25.08		$	19.86		$	18.62			$18.80
Total Return †		0.6	%		37.5	%		17.3	%		(0.3	)%		29.9%
Ratios to Average Net Assets and Supplemental Data:
Net assets, end of year (in 000’s)	$	130,614		$	149,398		$	119,645		$	116,479			$136,306
Ratio of net investment income to average net assets		0.41	%		0.67	%		1.43	%		0.44	%		0.43%
Ratio of operating expenses to average net assets		1.15	%		1.13	%		1.21	%		1.18	%		1.18%
Portfolio turnover rate		3	%		10	%		2	%		2	%		10%

  † Total return represents aggregate total return of a hypothetical $1,000 investment at the beginning of the year and sold at the end of the year including reinvestment of distributions.

(a) Per share data is calculated using the average shares outstanding method.

See accompanying notes to financial statements.

10

¢  Gabelli Capital Asset Fund

  Notes to Financial Statements                                      

December 31, 2014

1. Organization

The Gabelli Capital Asset Fund is a series of Gabelli Capital Series Funds, Inc. which was incorporated on April 8, 1993 in Maryland. 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. Current income is a secondary objective. The Fund commenced investment operations on May 1, 1995. Shares of the Fund are available to the public only through the purchase of certain variable annuity and variable life insurance contracts issued by The Guardian Insurance & Annuity Company, Inc. (“Guardian”) and other selected insurance companies.

2. Significant Accounting Policies

As an investment company, the Fund follows the investment company accounting and reporting guidance, which is part of U.S. generally accepted accounting principles (“GAAP”) that may require the use of management estimates and assumptions in the preparation of its financial statements. 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 Directors (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 American Depositary Receipt 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.

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:

Ÿ	Level 1 — quoted prices in active markets for identical securities;
Ÿ	Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and
Ÿ	Level 3 — significant unobservable inputs (including the Board’s determinations as to the fair value of investments).

11

¢  Gabelli Capital Asset Fund

  Notes to Financial Statements (Continued)                     

December 31, 2014

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 December 31, 2014 is as follows:

	Valuation Inputs
	Level 1   Quoted Prices		Level 2 Other Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total Market Value at 12/31/14
INVESTMENTS IN SECURITIES:
ASSETS (Market Value):
Common Stocks:
Utilities		—		—		$  0		—
Other Industries (a)		$130,473,798		—		—		$130,473,798
Total Common Stocks		130,473,798		—		0		130,473,798
Rights		7,600				—		7,600
U.S. Government Obligations		—		$189,930		—		189,930
TOTAL INVESTMENTS IN SECURITIES – ASSETS		$130,481,398		$189,930		$  0		$130,671,328

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

The Fund did not have material transfers among Level 1, Level 2, and Level 3 during the year ended December 31, 2014. The Fund’s policy is to recognize transfers among Levels as of the beginning of the reporting period.

Additional Information to Evaluate Qualitative Information

General. The Fund uses recognized industry pricing services – approved by the Board and unaffiliated with the Adviser – to value most of its securities, and uses broker quotes provided by market makers of securities not valued by these and other recognized pricing sources. Several different pricing feeds are received to value domestic equity securities, international equity securities, preferred equity securities, and fixed income securities. The data within these feeds is ultimately sourced from major stock exchanges and trading systems where these securities trade. The prices supplied by external sources are checked by obtaining quotations or actual transaction prices from market participants. If a price obtained from the pricing source is deemed unreliable, prices will be sought from another pricing service or from a broker/dealer that trades that security or similar securities.

Fair Valuation. Fair valued securities may be common and preferred equities, warrants, options, rights, and fixed income obligations. Where appropriate, Level 3 securities are those for which market quotations are not available, such as securities not traded for several days, or for which current bids are not available, or which are restricted as to transfer. Among the factors to be considered to fair value a security are recent prices of comparable securities that are publicly traded, reliable prices of securities not publicly traded, the use of valuation models, current analyst reports, valuing the income or cash flow of the issuer, or cost if the preceding factors do not apply. A significant change in the unobservable inputs could result in a lower or higher value in Level 3 securities. The circumstances of Level 3 securities are frequently monitored to determine if fair valuation measures continue to apply.

The Adviser reports quarterly to the Board the results of the application of fair valuation policies and procedures. These include back testing the prices realized in subsequent trades of these fair valued securities to fair values previously recognized.

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 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

12

¢  Gabelli Capital Asset Fund

  Notes to Financial Statements (Continued)                     

December 31, 2014

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.

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.

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.

Distributions to Shareholders

Distributions to shareholders are recorded on the ex-dividend date. Distributions to shareholders are based on income and capital gains as determined in accordance with federal income tax regulations, which may differ from income and capital gains as determined under GAAP. These differences are primarily due to differing treatments of income and gains on various investment securities and foreign currency transactions held by the Fund, timing differences, and differing characterizations of distributions made by the Fund. Distributions from net investment income for federal income tax purposes include net realized gains on foreign currency transactions. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, adjustments are made to the appropriate capital accounts in the period when the differences arise. Permanent differences were primarily due to recharacterization of distributions. These reclassifications have no impact on the net asset value (“NAV”) per share of the Fund. For the year ended December 31, 2014, reclassifications were made to decrease distributions in excess of net investment income by $2,418 and increase accumulated distributions in excess of net realized gains on investments and foreign currency transactions by $2,418.

The tax character of distributions paid during the years ended December 31, 2014 and 2013 was as follows:

	Year Ended December 31, 2014		Year Ended December 31, 2013
Distributions paid from:
Ordinary income (inclusive of short term capital gains)	$	630,014	$	984,514
Net long term capital gains		10,548,924		11,049,855
Return of capital		30,655		49,486
Total distributions paid	$	11,209,593	$	12,083,855

13

¢  Gabelli Capital Asset Fund

  Notes to Financial Statements (Continued)                     

December 31, 2014

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.

At December 31, 2014, the component of accumulated earnings/losses on a tax basis was $67,233,636 of net unrealized appreciation on investments.

Under the Regulated Investment Company Modernization Act of 2010, the Fund is permitted to carry forward for an unlimited period capital losses incurred. As a result of the rule, post-enactment capital losses that are carried forward will retain their character as either short term or long term capital losses.

At December 31, 2014, the difference between book basis and tax basis unrealized appreciation was primarily due to deferral of losses from wash sales for tax purposes.

The following summarizes the tax cost of investments and the related net unrealized appreciation at December 31, 2014:

	Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation			Net Unrealized Appreciation
Investments	$	63,436,979	$	70,132,108	$	(2,897,759	)	$	67,234,349

The Fund is required to evaluate tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Income tax and related interest and penalties would be recognized by the Fund as tax expense in the Statement of Operations if the tax positions were deemed not to meet the more-likely-than-not threshold. For the year ended December 31, 2014 the Fund did not incur any income tax, interest, or penalties. As of December 31, 2014, 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. The Fund’s federal and state tax returns for the prior three fiscal years remain open, subject to examination. On an ongoing basis, the Adviser will monitor the Fund’s tax positions to determine if adjustments to this conclusion are necessary.

3. Agreements with Affiliated Parties

Pursuant to a management agreement (the “Management Agreement”), the Fund will pay Guardian Investor Services Corporation (the “Manager”) a fee, computed daily and paid monthly, at the annual rate of 1.00% of the value of its average daily net assets. Pursuant to an Investment Advisory Agreement among the Fund, the Manager, and the Adviser, the Adviser, under the supervision of the Company’s Board and the Manager, manages the Fund’s assets in accordance with the Fund’s investment objectives and policies, makes investment decisions for the Fund, places purchase and sale orders on behalf of the Fund, provides investment research, and provides facilities and personnel required for the Fund’s administrative needs. The Adviser may delegate its administrative role and currently has done so to BNY Mellon Investment Servicing (US), Inc. (the “Sub-Administrator”). The Adviser will supervise the performance of administrative and professional services provided by others and pays the compensation of the Sub-Administrator and all Officers and Directors of the Company who are its affiliates. As compensation for its services and the related expenses borne by the Adviser, the Manager pays the Adviser a fee, computed daily and paid monthly, at the annual rate of 0.75% of the value of the Fund’s average daily net assets.

The Fund pays each Director who is not considered an affiliated person an annual retainer of $3,000 plus $1,000 for each Board meeting attended, and they are reimbursed for any out of pocket expenses incurred in attending meetings. All Board committee members receive $500 per meeting attended and the Chairman of the Audit Committee and the Lead Director each receive an annual fee of $1,000. A Director may receive a single meeting fee, allocated among the participating funds, for attending certain meetings held on behalf of multiple funds. Directors who are directors or employees of the Adviser or an affiliated company receive no compensation or expense reimbursement from the Fund.

14

¢  Gabelli Capital Asset Fund

  Notes to Financial Statements (Continued)                     

December 31, 2014

4. Portfolio Securities

Purchases and sales of securities during the year ended December 31, 2014, other than short term securities and U.S. Government obligations, aggregated $4,404,711 and $23,055,607, respectively.

5. Transactions with Affiliates

During the year ended December 31, 2014, the Fund paid brokerage commissions on security trades of $13,234 to G.research, Inc., an affiliate of the Adviser.

The cost of calculating the Fund’s NAV per share is a Fund expense pursuant to the Investment Advisory Agreement. During the year ended December 31, 2014, the Fund paid or accrued $45,000 to the Adviser in connection with the cost of computing the Fund’s NAV.

6. 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 rate plus 100 basis points or the sum of the federal funds rate plus 100 basis points at the time of borrowing. This amount, if any, would be included in “Interest expense” in the Statement of Operations. At December 31, 2014, there were no borrowings outstanding under the line of credit.

The average daily amount of borrowings outstanding under the line of credit during the year ended December 31, 2014 was $91,057 with a weighted average interest rate of 1.12%. The maximum amount borrowed at any time during the year ended December 31, 2014 was $1,302,000.

7. Capital Stock

Transactions in shares of capital stock were as follows:

	Year Ended December 31, 2014						Year Ended December 31, 2013
	Shares			Amount			Shares			Amount
Shares sold		165,751		$	4,127,619			375,374		$	8,787,578
Shares issued upon reinvestment of distributions		478,838			11,209,593			489,225			12,083,854
Shares redeemed		(944,539	)		(23,630,593	)		(932,863	)		(21,839,305	)
Net decrease		(299,950	)	$	(8,293,381	)		(68,264	)	$	(967,873	)

8. 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.

9. Subsequent Events

At its February 2015 Board of Directors meeting, the Board approved a motion to seek shareholder approval for Gabelli Funds, LLC (“Gabelli”) to become the Manager of the Fund. If approved by the Fund’s shareholders, Gabelli would continue to receive the same compensation it currently earns, 0.75% of the value of the Fund’s average daily net assets. In addition, the Board approved for shareholder vote, The Guardian Insurance & Annuity Company, Inc. (“Guardian”), entering into a shareholder services agreement with the Fund, whereby Guardian would provide various administrative services, including maintenance of books and records, reconciliations with respect to Fund purchase and redemption orders, and telephone support for contract owners, as well as provide advice to Gabelli with respect to relevant insurance laws, regulations, and related matters and IRS regulations with respect to variable contracts, for 0.25% of the Fund’s value of the average daily net assets.

15

¢  Gabelli Capital Asset Fund

  Notes to Financial Statements (Continued)                     

December 31, 2014

Management has evaluated the impact on the Fund of all other 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.

16

¢  Gabelli Capital Asset Fund

  Report of Independent Registered                                    Public Accounting Firm

To the Shareholders and Board of Directors of Gabelli Capital Series Funds, Inc.

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Gabelli Capital Asset Fund (the “Fund”), the sole series of Gabelli Capital Series Funds, Inc., as of December 31, 2014, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining,

on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2014, by correspondence with the Fund’s custodian. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Fund at December 31, 2014, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

New York, New York

February 25, 2015

17

¢  Gabelli Capital Asset Fund

  Additional Information (Unaudited)                               

The business and affairs of the Fund are managed under the direction of the Company’s Board of Directors. Information pertaining to the Directors and officers of the Fund is set forth below. The Fund’s Statement of Additional Information includes additional information about the Fund’s Directors and officers and is available without charge, upon request, by writing to Gabelli Capital Series Funds, Inc. at One Corporate Center, Rye, NY 10580-1422.

Name, Position(s)    Address1 and Age	Term of Office and Length of Time Served2	Number of Funds in Fund Complex Overseen by Director	Principal Occupation(s) During Past Five Years	Other Directorships Held by Director4
Interested Directors3
Mario J. Gabelli, CFA Director and Chief Investment Officer Age: 72	Since 1995	28	Chairman, Chief Executive Officer, and Chief Investment Officer–Value Portfolios of GAMCO Investors, Inc., and Chief Investment Officer–Value Portfolios of Gabelli Funds, LLC and GAMCO Asset Management Inc.; Director/Trustee or Chief Investment Officer of other registered investment companies in the Gabelli/GAMCO Fund Complex; Chief Executive Officer of GGCP, Inc.	Director of Morgan Group Holdings, Inc. (holding company); Chairman of the Board and Chief Executive Officer of LICT Corp. (multimedia and communication services); Director of CIBL, Inc. (broadcasting and wireless communications); Director of ICTC Group, Inc. (communications); Director of RLJ Acquisition Inc. (blank check company) (2011-2012)
Stuart Carlisle Director Age: 51	Since August 2014	1	2nd VP, Retirement Product Fund Management, The Guardian Life Insurance Company of America	—
Arthur V. Ferrara Director Age: 84	Since 1995	8	Former Chairman of the Board and Chief Executive Officer of The Guardian Life Insurance Company of America (1993 – 1995)	—
Independent Directors
Anthony J. Colavita Director Age: 79	Since 1995	37	President of the law firm of Anthony J. Colavita, P.C.	—
Mary E. Hauck Director Age: 72	Since August 2014	4	Retired Senior Manager of the Gabelli- O’Connor Fixed Income Mutual Funds Management Company	—
Anthony R. Pustorino Director Age: 89	Since 1995	13	Certified Public Accountant; Professor Emeritus, Pace University	Director of the LGL Group, Inc. (diversified manufacturing) (2002-2011)
Werner J. Roeder, MD Director Age: 74	Since 1995	23	Former Medical Director of Lawrence Hospital and practicing private physician	—
Anthonie C. van Ekris Director Age: 80	Since 1995	20	Chairman and Chief Executive Officer of BALMAC International, Inc. (commodities and futures trading)	—

18

¢  Gabelli Capital Asset Fund

Additional Information (Unaudited) (Continued)

Name, Position(s) Address1 and Age	Term of Office and Length of Time Served2	Principal Occupation(s) During Past Five Years
Officers
Bruce N. Alpert President Age: 63	Since 1995	Executive Vice President and Chief Operating Officer of Gabelli Funds, LLC since 1988; and an Officer of registered investment companies in the Gabelli/GAMCO Fund Complex; Director of Teton Advisors, Inc. 1998-2012; Chairman of Teton Advisors, Inc. 2008-2010; President of Teton Advisors, Inc. 1998-2008; Senior Vice President of GAMCO Investors, Inc. since 2008
Andrea R. Mango Secretary Age: 42	Since November 2013	Counsel of Gabelli Funds, LLC; Corporate Vice President within the Corporate Compliance Department of New York Life Insurance Company 2011-2013; Vice President and Counsel of Deutsche Bank 2006-2011
Agnes Mullady Treasurer Age: 56	Since 2006	President and Chief Operating Officer of the Open-End Fund Division of Gabelli Funds, LLC since September 2010; Senior Vice President of GAMCO Investors, Inc. since 2009; Vice President of Gabelli Funds, LLC since 2007; Officer of all of the registered investment companies in the Gabelli/GAMCO Fund Complex
Richard J. Walz Chief Compliance Officer Age: 55	Since November 2013	Chief Compliance Officer of the Gabelli/GAMCO Fund Complex; Chief Compliance Officer of AEGON USA Investment Management LLC 2011-2013; Chief Compliance Officer of Cutwater Asset Management 2004-2011

1. Address: One Corporate Center, Rye, NY 10580-1422, unless otherwise noted.

2. Each Director will hold office for an indefinite term until the earliest of (i) the next meeting of shareholders, if any, called for the purpose of considering the election or re-election of such Director and until the election and qualification of his or her successor, if any, elected at such meeting, or (ii) the date a Director resigns or retires, or a Director is removed by the Board of Directors or shareholders, in accordance with the Fund’s By-Laws and Articles of Incorporation. Each officer will hold office for an indefinite term until the date he or she resigns or retires or until his or her successor is elected and qualified.

3. “Interested person” of the Fund as defined in the 1940 Act. Mr. Gabelli is considered an “interested person” because of his affiliation with Gabelli Funds, LLC which acts as the Fund’s investment adviser. Mr. Ferrara and Mr. Carlisle are each considered an interested person because of their affiliation with The Guardian Life Insurance Company of America, which is the parent company of the Fund’s Manager.

4. This column includes only directorships of companies required to report to the SEC under the Securities Exchange Act of 1934, as amended, i.e., public companies, or other investment companies registered under the 1940 Act.

¢  Gabelli Capital Asset Fund

  2014 Tax Notice to Shareholders (Unaudited)

For the year ended December 31, 2014, the Fund paid to shareholders ordinary income distributions (comprised of net investment income and short term capital gains) totaling $0.121 per share, and long term capital gains totaling $10,548,924 or the maximum allowable. The distributions of long term capital gains have been designated as a capital gain dividend by the Fund’s Board of Directors. For the year ended December 31, 2014, 100% of the ordinary income distribution qualifies for the dividends received deduction available to corporations. The Fund designates 100% of the ordinary income distribution as qualified dividend income pursuant to the Jobs and Growth Tax Relief Reconciliation Act of 2003. The Fund designates 0.01% of the ordinary income distribution as qualified interest income pursuant to the Tax Relief, Unemployment Reauthorization, and Job Creation Act of 2010. The Fund designates 100% of the ordinary income distribution as qualified short term gain pursuant to the American Jobs Creation Act of 2004.

U.S. Government Income:

The percentage of the ordinary income distribution paid by the Fund during the year ended December 31, 2014 which was derived from U.S. Treasury securities was 0.01%. Such income is exempt from state and local tax in all states. However, many states, including New York and California, allow a tax exemption for a portion of the income earned only if a mutual fund has invested at least 50% of its assets at the end of each quarter of the Fund’s fiscal year in U.S. Government securities. The Fund did not meet this strict requirement in 2014. The percentage of U.S. Government securities held as of December 31, 2014 was 0.01%. Due to the diversity in state and local tax law, it is recommended that you consult your personal tax adviser as to the applicability of the information provided to your specific situation.

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

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Item 2. Code of Ethics.

(a)  The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party.

(c)  There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description.

(d)  The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions.

Item 3. Audit Committee Financial Expert.

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

Item 4. Principal Accountant Fees and Services.

Audit Fees

(a)  The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $31,400 for 2013 and $32,300 for 2014.

Audit-Related Fees

(b)  The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item are $0 for 2013 and $0 for 2014.

Tax Fees

(c)  The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning are $3,466 for 2013 and $3,577 for 2014. Tax fees represent tax compliance services provided in connection with the review of the Registrant’s tax returns and fees relate to Passive Foreign Investment Company identification database subscription fees, billed on an annual basis.

All Other Fees

(d)  The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 for 2013 and $0 for 2014.

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

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

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

(b) N/A

(c) 100%

(d) N/A

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

(g)  The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $33,520 for 2013 and $37,645 for 2014.

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

Item 5. Audit Committee of Listed registrants.

Not applicable.

Item 6. Investments.

(a) Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form.

(b) Not applicable.

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

Not applicable.

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

Not applicable.

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

Not applicable.

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

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

Item 11. Controls and Procedures.

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

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

Item 12. Exhibits.

(a)(1) Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto.

(a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

(a)(3) Not applicable.

(b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes- Oxley Act of 2002 are attached hereto.

(12.other) Not applicable.

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)                           Gabelli Capital Series  Funds, Inc.                                                 

By (Signature and Title)*    /s/ Bruce N. Alpert                                                                         

 Bruce N. Alpert, Principal Executive Officer

Date      3/06/2015                                                                                                                         

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

By (Signature and Title)*    /s/ Bruce N. Alpert                                                                         

 Bruce N. Alpert, Principal Executive Officer

Date      3/06/2015                                                                                                                         

By (Signature and Title)*    /s/ Agnes Mullady                                                                         

 Agnes Mullady, Principal Financial Officer and Treasurer

Date      3/06/2015                                                                                                                         

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