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 811-04719 --------- The Gabelli Westwood Funds ---------------------------------------------------------- (Exact name of registrant as specified in charter) One Corporate Center Rye, NY 10580-1422 ---------------------------------------------------------- (Address of principal executive offices) (Zip code) Bruce N. Alpert Gabelli Funds, LLC One Corporate Center Rye, NY 10580-1422 ---------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: 800-422-3554 ------------ Date of fiscal year end: September 30, 2003 ------------------ Date of reporting period: September 30, 2003 ------------------ 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, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507. ITEM 1. REPORTS TO STOCKHOLDERS. THE GABELLI WESTWOOD FUNDS ================================================================================ ANNUAL REPORT SEPTEMBER 30, 2003 EQUITY FUND SMALLCAP EQUITY FUND BALANCED FUND REALTY FUND INTERMEDIATE BOND FUND MIGHTY MITES(SM) FUND TO OUR SHAREHOLDERS, In many of our Funds' June 30, 2003 shareholder reports, we noted a change in the way we provide the portfolio manager's commentary to shareholders of our Funds. Our shareholder reports have typically contained commentary on each portfolio manager's assessment of the stock market, individual stocks and how economic events affect their thinking in managing a specific Fund. We have always provided details about performance and presented returns, both good and bad, hopefully in a clear and concise fashion. These comments have been included as part of each Fund's quarterly, semi-annual, and annual financial statements. The Sarbanes-Oxley Act's new corporate governance regulations now require a Fund's principal executive and financial officers to certify the entire contents of the semi-annual and annual shareholder reports in a filing with the Securities and Exchange Commission on Form N-CSR. This certification covers the portfolio manager's commentary and subjective opinions if they are attached to or a part of the financial statements. Rather than ask our portfolio managers to eliminate their opinions and/or restrict their commentary to historical facts only, we separated their commentary from the financial statements and investment portfolio and sent it separately. We will continue to mail the portfolio manager's commentary separately from the investment portfolio to ensure that its content is complete and unrestricted. Our Annual Reports will be mailed separately and include the performance of the Fund with a description of the factors affecting the performance during the past year, along with the financial statements and the investment portfolio. Both the commentary and the financial statements, including the portfolio of investments, are also available on our website at www.gabelli.com/funds. We trust that you understand that our approach is an unintended consequence of the ever-increasing regulatory requirements affecting public companies generally. We hope the specific certification requirements of these new regulations will be modified as they relate to mutual funds, since investment companies have different corporate structures and objectives than other public companies. Sincerely yours, /S/ BRUCE N. ALPERT Bruce N. Alpert President Gabelli Advisers, Inc. October 17, 2003 EQUITY FUND During the third quarter ended September 30, 2003, large-cap stocks extended post-war second quarter gains. Fiscal year performance was nicely positive as a result of the equity markets closing with two consecutive quarters of gains for the first time in three years. Top Fund performers included Alcoa, Citigroup, Hewlett-Packard, IBM and Verizon. Leading the performance of the Standard & Poor's ("S&P") 500 Index was the information technology sector (semiconductors and equipment, software and services, hardware and equipment) -- up 60%. The consumer staples sector ranked last at 4.5% for the year. The health care sector was the weakest performer in the third quarter for the large-cap market, joining telecom services in producing negative returns. Pharmaceutical stocks were pressured by market concerns that Congress would approve a drug benefit bill that could negatively impact prices and profits if drugs were re-imported. A lower health care weighting enabled the Fund to outperform in this sector. The Fund's top contributing sector was financial services, as real estate investment trusts ("REITs") such as Simon Properties Group and ProLogis helped to pull performance ahead of the corresponding sector index. Strong share price performance and a relative overweight helped this sector make one of the largest contributions to performance. Top performing stocks in the Fund for the third quarter also included General Motors, International Paper and Starwood Hotels & Resorts. These five holdings have an above average dividend yield of 4.0%. - -------------------------------------------------------------------------------- AVERAGE ANNUAL RETURNS THROUGH SEPTEMBER 30, 2003 (A) ---------------------------------------------------- SINCE INCEPTION (B) 10 YEAR 5 YEAR 3 YEAR 1 YEAR ------------------- ------- ------ ------ ------ Equity Fund Class AAA ....... 11.11% 11.03% 3.50% (5.98)% 15.09% S&P 500 Index ............... 11.46% 10.04% 1.00% (10.13)% 24.37% Lipper Large-Cap Value Fund Average ....... 10.08% 8.52% 2.52% (4.01)% 22.59% (a) Returns represent past performance and do not guarantee future results. Total returns and average annual returns reflect changes in share price and reinvestment of dividends 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 S&P 500 Index is an unmanaged indicator of stock market performance, while the Lipper Average reflects the average performance of mutual funds classified in this particular category. Performance for periods less than one year is not annualized. See page 43 for further details about additional classes of shares. (b) From commencement of investment operations on January 2, 1987. - -------------------------------------------------------------------------------- 2 COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN THE EQUITY FUND CLASS AAA AND S&P 500 INDEX [GRAPHIC OMITTED] PLOT POINTS FOLLOW: - -------------------------------------------------------------------------------- Average Annual Total Return* - -------------------------------------------------------------------------------- Life of Fund 10 Year 5 Year 1 Year - -------------------------------------------------------------------------------- Class AAA 11.11% 11.03% 3.50% 15.09% Class A 10.65% 10.28% 2.42% 10.39% Class B 10.87% 10.63% 3.02% 9.86% Class C 10.87% 10.63% 3.07% 13.50% - -------------------------------------------------------------------------------- Westwood Equity Fund S&P 500 Index 1/2/87 10,000 10,000 9/87 13,165 13,599 9/88 11,779 11,893 9/89 15,322 15,785 9/90 13,699 14,305 9/91 16,396 18,766 9/92 17,078 20,841 9/93 20,508 23,553 9/94 22,383 24,421 9/95 28,169 31,684 9/96 35,740 38,116 9/97 49,893 53,515 9/98 49,194 58,383 9/99 58,920 74,610 9/00 70,286 84,511 9/01 59,820 62,023 9/02 50,763 49,327 9/03 58,423 61,348 * PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. The performance tables and graph do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Class A Shares, Class B Shares and Class C Shares are assumed to be issued on the inception date of the Fund and reflect applicable sales charges or redemption fees. See page 43 for further details. BALANCED FUND The Balanced Fund is designed to provide an investor exposure to equities with reduced overall risk through investment in short-to-intermediate fixed income securities. With that maturity proviso, strategies for the Equity and Intermediate Bond funds, which are discussed in this report, also apply to their respective components in the Balanced Fund. The Balanced Fund benefited from a greater commitment to equities than to fixed income during the fiscal year, and from reduced exposure to rising interest rates in longer maturity securities through its investment in short-to-intermediate rates. - -------------------------------------------------------------------------------- AVERAGE ANNUAL RETURNS THROUGH SEPTEMBER 30, 2003 (A) ----------------------------------------------------- SINCE INCEPTION (B) 10 YEAR 5 YEAR 3 YEAR 1 YEAR ------------------- ------- ------ ------ ------ Balanced Fund Class AAA ...... 10.26% 9.86% 4.89% (0.17)% 11.23% 60% S&P 500 Index & 40% Lehman Bros. Gov't./ Corporate Bond Index ...... 9.35% 8.80% 3.28% (2.24)% 17.23% Lehman Bros. Gov't./Corporate Bond Index ................ 7.83% 6.95% 6.69% 9.60% 6.51% S&P 500 Index ................ 10.37% 10.04% 1.00% (10.13)% 24.37% Lipper Balanced Fund Average .................... 8.13% 7.46% 3.02% (2.68)% 15.87% (a) Returns represent past performance and do not guarantee future results. Total returns and average annual returns reflect changes in share price and reinvestment of dividends 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 S&P 500 Index is an unmanaged indicators of stock market performance and the Lehman Government/Corporate Bond Index is a market value-weighted index that tracks the total return performance of fixed-rate, publicly placed, dollar-denominated obligations. The Lipper Average reflects the average performance of mutual funds classified in this particular category. Performance for periods less than one year is not annualized. See page 43 for further details about additional classes of shares. (b) From commencement of investment operations on October 1, 1991. - -------------------------------------------------------------------------------- 3 COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN THE BALANCED FUND CLASS AAA COMPOSITE OF 60% THE S&P 500 INDEX AND 40% THE LEHMAN BROTHERS GOVERNMENT/CORPORATE BOND INDEX [GRAPHIC OMITTED] PLOT POINTS FOLLOW: - -------------------------------------------------------------------------------- Average Annual Total Return* - -------------------------------------------------------------------------------- Life of Fund 10 Year 5 Year 1 Year - -------------------------------------------------------------------------------- Class AAA 10.26% 9.86% 4.89% 11.23% Class A 9.58% 9.11% 3.76% 6.56% Class B 9.88% 9.46% 4.31% 6.08% Class C 9.92% 9.51% 4.54% 9.64% - -------------------------------------------------------------------------------- Westwood Balanced 60% S&P 500 and 40% Fund Lehman Bros. Gov't./Corp. Bond Index 10/1/91 10,000 10,000 9/92 10,797 11,207 9/93 12,621 12,603 9/94 13,291 12,670 9/95 16,203 15,658 9/96 19,300 17,850 9/97 24,762 22,866 9/98 25,455 25,290 9/99 28,652 29,344 9/00 32,489 32,472 9/01 30,614 28,997 9/02 29,056 26,503 9/03 32,319 31,069 * PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. The performance tables and graph do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Class A Shares, Class B Shares and Class C Shares are assumed to be issued on the inception date of the Fund and reflect applicable sales charges or redemption fees. See page 43 for further details. INTERMEDIATE BOND FUND Across the maturity spectrum, Treasury yields ended the fiscal year below 5%. The yield curve was steeper than it had been twelve months earlier. Short-maturity yields followed Federal Funds lower to approximately 1.00% and yields for maturities of 5 years and greater rose on average 0.25% (25 basis points). Yields were subjected to a particularly volatile period in May through July as fears of deflation diminished after the June Federal Reserve meeting and reports of more favorable economic data. Treasury yields were also buffeted by the impact of mortgage-related events: record mortgage refinancing and headline risk associated with Freddie Mac. Corporate yield spreads tightened to Treasury yields over the year, as the longer maturity lowest rated securities were most favored by buyers. For the first time in nearly four years the high-grade debt market posted a negative return in the third quarter of 2003. Yields markedly increased in July on the expectation of strong and rapid economic growth. Yield levels moderated in August amidst the realization that expectations had overshot. In September, bonds rallied (yields declined) as the market reflected second thoughts about the velocity of economic growth pertaining to the U.S. labor market and slightly softer economic data. The strong September debt market performance did not fully offset the effects of July. Treasury rates were on average 31 basis points higher and the yield curve was 21 basis points steeper between the 2-year and 30-year Treasury yields. Mortgage securities were the only major high-grade fixed income sector to post positive returns. Corporate bonds, especially lower-rated securities, continued to outperform Government bonds and remained the top-performing sector for the year. Baa-rated corporates performed better than all higher rated cohorts and sectors except mortgage-backed securities ("MBS"). 4 Positioning on the shorter end of the Treasury yield curve was more advantageous in the third quarter; intermediate maturities outperformed both the 10-to-20 year and over-20 year segments. Among both governments and corporates, the 1-to-3 year segment performed best of all. The Fund continued to emphasize higher quality securities and lower exposure to rising interest rates relative to the bond market. Positive contributors to performance included: (1) an underweight in long maturity debt securities; (2) Fund duration (interest rate sensitivity) less than that of the index; (3) an underweight position in utilities, the worst performing credit sector; (4) an overweight in mortgage-backed securities. The primary detractor to performance was an underweight in lower quality Baa-rated corporate bonds, a segment that would typically not be represented based upon the investment disciplines of the Fund. Top performers for the quarter included mortgage-backed securities and short-intermediate corporate notes issued by GMAC, IBM Corp. and Neiman Marcus. The Neiman Marcus note and selected financial services debt (Bank of America, Goldman Sachs Group and REIT Archstone-Smith Trust) led fiscal year fixed income performance. - -------------------------------------------------------------------------------- AVERAGE ANNUAL RETURNS THROUGH SEPTEMBER 30, 2003 (A) ----------------------------------------------------- SINCE INCEPTION (B) 10 YEAR 5 YEAR 3 YEAR 1 YEAR ------------------- ------- ------ ------ ------ Intermediate Bond Fund Class AAA ................. 6.69% 5.84% 5.55% 8.04% 2.83% Lehman Bros. Gov't./ Corporate Bond Index ...... 7.83% 6.95% 6.69% 9.60% 6.51% Lipper Int. Investment Grade Debt Fund Avg. ...... 7.21% 6.13% 5.74% 8.03% 5.98% (a) Returns represent past performance and do not guarantee future results. Total returns and average annual returns reflect changes in share price and reinvestment of dividends 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 Lehman Government/Corporate Bond Index is a market value-weighted index that tracks the performance of fixed-rate, publicly placed, dollar-denominated obligations, while the Lipper Average reflects the average performance of mutual funds classified in this particular category. Performance for periods less than one year is not annualized. See page 43 for further details about additional classes of shares. (b) From commencement of investment operations on October 1, 1991. - -------------------------------------------------------------------------------- COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN THE INTERMEDIATE BOND FUND CLASS AAA AND THE LEHMAN BROTHERS GOVERNMENT/CORPORATE BOND INDEX [GRAPHIC OMITTED] PLOT POINTS FOLLOW: - -------------------------------------------------------------------------------- Average Annual Total Return* - -------------------------------------------------------------------------------- Life of Fund 10 Year 5 Year 1 Year - -------------------------------------------------------------------------------- Class AAA 6.69% 5.84% 5.55% 2.83% Class A 6.31% 5.39% 4.65% (1.31)% Class B 6.50% 5.61% 4.89% (1.95)% Class C 6.54% 5.66% 5.19% 1.29% - -------------------------------------------------------------------------------- Westwood Intermediate Lehman Bros. Bond Fund Gov't./Corp. Bond Index 10/1/91 10,000 10,000 9/92 11,186 11,323 9/93 12,331 12,620 9/94 11,658 12,098 9/95 12,956 13,834 9/96 13,540 14,467 9/97 15,084 15,856 9/98 16,623 17,886 9/99 16,229 17,596 9/00 17,268 18,782 9/01 19,456 21,256 9/02 21,188 23,214 9/03 21,788 24,725 * PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. The performance tables and graph do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Class A Shares, Class B Shares and Class C Shares are assumed to be issued on the inception date of the Fund and reflect applicable sales charges or redemption fees. See page 43 for further details. 5 SMALLCAP EQUITY FUND Small cap stocks outperformed all asset classes in the closing quarter of the fiscal year. In the small cap indexes, lowest quality stocks fared best, with technology and biotech stocks driving performance. Transportation stocks did well as investors bet on an economic recovery accompanied by a positive impact on corporate earnings. The only sector that did not post a positive return was "other energy," which was pressured by weakness in commodity prices. During the fiscal year, the rally in equities was focused on low quality companies -- those with high exposure to the market (beta), no earnings and no dividends -- a strategy that is contrary to the investment disciplines that Westwood follows. The top detractor to Fund quarterly performance was technology. Within this sector, companies having low share prices, micro-market capitalizations and generating no earnings were the top performers. The Fund did not benefit from the continued rally in low quality names. The top-contributing sector to the performance of the Fund was materials & processing. Holdings such as Ceradyne Inc., Griffon Corp. and Scotts Co. posted double digit returns during the quarter. Within other sectors of the Fund, consumer discretionary holdings Hot Topic Inc. and Pacific Sunwear of California, Inc. turned in strong performance, Avid Technology and International Rectifier topped technology and Bradley Pharmaceuticals and Kos Pharmaceuticals led health care. - -------------------------------------------------------------------------------- AVERAGE ANNUAL RETURNS THROUGH SEPTEMBER 30, 2003 (A) ----------------------------------------------------- SINCE INCEPTION (B) 5 YEAR 3 YEAR 1 YEAR ------------------- ------ ------ ------ SmallCap Equity Fund Class AAA ....................... 3.97% 1.53% (19.35)% 9.21% Russell 2000 Index ................ 7.11% 7.46% (0.82)% 36.50% Russell 2000 Growth Index ......... 2.87% 2.75% (12.67)% 41.72% Lipper Small-Cap Growth Average .................. 6.91% 6.80% (12.55)% 34.06% (a) Returns represent past performance and do not guarantee future results. Total returns and average annual returns reflect changes in share price and reinvestment of dividends 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 Russell 2000 and Russell 2000 Growth Indices are unmanaged indicators of stock market performance, while the Lipper Average reflects the average performance of mutual funds classified in this particular category. Performance for periods less than one year is not annualized. See page 43 for further details about additional classes of shares. (b) From commencement of investment operations on April 15, 1997. - -------------------------------------------------------------------------------- 6 COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN THE SMALLCAP EQUITY FUND CLASS AAA, THE RUSSELL 2000 INDEX AND THE RUSSELL 2000 GROWTH INDEX [GRAPHIC OMITTED] PLOT POINTS FOLLOW: - -------------------------------------------------------------------------------- Average Annual Total Return* - -------------------------------------------------------------------------------- Life of Fund 5 Year 3 Year 1 Year - -------------------------------------------------------------------------------- Class AAA 3.97% 1.53% (19.35)% 9.21% Class A 3.22% 0.64% (20.43)% 4.60% Class B 3.67% 0.83% (20.48)% 4.84% Class C 3.91% 1.45% (19.44)% 8.40% - -------------------------------------------------------------------------------- Westwood SmallCap Russell 2000 Russell 2000 Equity Fund Index Growth Index 4/15/97 10,000 10,000 10,000 9/30/97 14,480 13,410 13,942 9/30/98 11,917 10,862 10,480 9/30/99 18,941 12,933 13,900 9/30/00 24,500 15,958 18,024 9/30/01 13,923 12,573 10,348 9/30/02 11,771 11,404 8,469 9/30/03 12,855 15,566 12,002 * PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. The performance tables and graph do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Class A Shares, Class B Shares and Class C Shares are assumed to be issued on the inception date of the Fund and reflect applicable sales charges or redemption fees. See page 43 for further details. THE REALTY FUND The National Association of REITs ("NAREIT") Composite REIT Index edged out the S&P 500 Index over the fiscal year and during the closing third quarter. An improving economy, higher interest rates and a change in tax law that favors dividends from non-REITs all failed to dampen the demand for real estate stocks. REIT dividend yields remain attractively above bond yields, dividend payments are well covered, most property groups are either stabilizing or beginning to show positive earnings growth again and demand for real assets remains high. Top contributors to Fund performance included Equity Residential from the residential sector, regional mall REITs General Growth Properties and Simon Property Group, shopping center REIT Ramco-Gershenson Properties, health care REIT Health Care Property Investors and diversified REIT Vornado Realty. All REIT property groups were in positive territory for the third quarter with public storage and apartments leading the way. Multi-family fundamentals have begun to stabilize after a period of decline, and there is optimism that higher interest rates will benefit apartments by making the housing market less affordable. Solid earnings visibility drove another strong quarter for the retail sector. The office property sector was the worst performing major property type as disappointing job growth pushed out expectations for a recovery in office demand. 7 - -------------------------------------------------------------------------------- AVERAGE ANNUAL RETURNS THROUGH SEPTEMBER 30, 2003 (A) ----------------------------------------------------- SINCE INCEPTION (B) 5 YEAR 3 YEAR 1 YEAR ------------------- ------ ------ ------ Realty Fund Class AAA .................. 7.58% 11.61% 13.72% 22.82% NAREIT Composite REIT Index ............ 6.65% 11.50% 16.42% 26.51% Lipper Real Estate Fund Average ........ 6.49% 11.76% 13.40% 25.78% Russell 2000 Index ..................... 2.51% 7.46% (0.82)% 36.50% (a) Returns represent past performance and do not guarantee future results. Total returns and average annual returns reflect changes in share price and reinvestment of dividends 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 NAREIT Composite REIT and Russell 2000 Indices are unmanaged indicators of stock market performance, while the Lipper Average reflects the average performance of mutual funds classified in this particular category. Performance for periods less than one year is not annualized. See page 43 for further details about additional classes of shares. (b) From commencement of investment operations on September 30, 1997. - -------------------------------------------------------------------------------- COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN THE REALTY FUND CLASS AAA, THE RUSSELL 2000 INDEX AND THE NATIONAL ASSOCIATION OF REITS COMPOSITE REIT INDEX [GRAPHIC OMITTED] PLOT POINTS FOLLOW: - -------------------------------------------------------------------------------- Average Annual Total Return* - -------------------------------------------------------------------------------- Life of Fund 5 Year 3 Year 1 Year - -------------------------------------------------------------------------------- Class AAA 7.58% 11.61% 13.72% 22.82% Class A 6.75% 10.59% 11.97% 17.64% Class B 7.30% 11.17% 12.72% 17.99% Class C 7.54% 11.57% 13.64% 22.04% - -------------------------------------------------------------------------------- Realty Fund Russell 2000 Index NARIT Composite REIT Index 9/30/97 10,000 10,000 10,000 9/30/98 8,950 8,100 8,540 9/30/99 8,442 9,645 7,902 9/30/00 10,542 11,901 9,437 9/30/01 11,742 9,377 10,728 9/30/02 12,624 8,505 11,772 9/30/03 15,505 11,609 14,893 * PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. The performance tables and graph do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Class A Shares, Class B Shares and Class C Shares are assumed to be issued on the inception date of the Fund and reflect applicable sales charges or redemption fees. See page 43 for further details. 8 MIGHTY MITES FUND In general, the portfolio's media investments disappointed. Although advertising spending trended higher, it was not as robust as some anticipated. When media giant Viacom warned of an earnings shortfall due to softer than expected local ad sales, small group broadcasters sold off sharply. The fact that Congress and the courts are challenging Federal Communications Commission ("FCC") rule changes that would have likely led to further consolidation in broadcasting and newspaper publishing industries has also put pressure on the stocks of companies perceived to be potential takeover targets. Collectively, our utilities investments also underperformed. In large part this is due to investors moving out of more defensive sectors as the economic outlook improved. The big blackout of August 14 may have had a negative impact as well. However, the blackout may prove a blessing in that it will force Congress to do something about antiquated regulations governing the utilities industry. The Public Utilities Holding Company Act ("PUHCA") of 1935, which was passed to halt the growth of the large power company trusts of the 1920s, has inhibited consolidation in the utilities industry. As aforementioned, although stocks in more economically sensitive sectors tended to outperform in the second half of fiscal 2003, there wasn't a distinct industry theme in our investment scorecard. Crown Media Holdings, Interpore, Resource Bankshares, Weider Nutrition and Tyler Technologies were among our best performers. TransPro, Material Sciences, NUI Corp. and Fisher Communications and were among our biggest disappointments. - -------------------------------------------------------------------------------- AVERAGE ANNUAL RETURNS THROUGH SEPTEMBER 30, 2003 (A) ----------------------------------------------------- SINCE INCEPTION (B) 5 YEAR 3 YEAR 1 YEAR ------------------- ------ ------ ------ Mighty Mites Fund Class AAA ....... 12.98% 14.77% 6.45% 19.75% Russell 2000 Index ................ 1.79% 7.46% (0.82)% 36.50% Lipper Small-Cap Value Average .... 5.74% 12.85% 11.08% 30.08% (a) Returns represent past performance and do not guarantee future results. Total returns and average annual returns reflect changes in share price and reinvestment of dividends 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 Russell 2000 Index is an unmanaged indicator of stock market performance, while the Lipper Average reflects the average performance of mutual funds classified in this particular category. Performance for periods less than one year is not annualized. See page 43 for further details about additional classes of shares. (b) From commencement of investment operations on May 11, 1998. - -------------------------------------------------------------------------------- 9 COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN THE MIGHTY MITES FUND CLASS AAA AND THE RUSSELL 2000 INDEX [GRAPHIC OMITTED] PLOT POINTS FOLLOW: - -------------------------------------------------------------------------------- Average Annual Total Return* - -------------------------------------------------------------------------------- Life of Fund 5 Year 3 Year 1 Year - -------------------------------------------------------------------------------- Class AAA 12.98% 14.77% 6.45% 19.75% Class A 12.02% 13.73% 4.85% 14.84% Class B 12.51% 14.14% 5.29% 14.81% Class C 12.64% 14.40% 5.89% 18.12% - -------------------------------------------------------------------------------- Mighty Mites Fund (Class AAA) Russell 2000 Index 5/11/98 10,000 10,000 9/30/98 9,700 7,570 9/30/99 13,018 9,014 9/30/00 16,010 11,122 9/30/01 15,567 8,763 9/30/02 16,129 7,948 9/30/03 19,329 10,849 * PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. The performance tables and graph do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Class A Shares, Class B Shares and Class C Shares are assumed to be issued on the inception date of the Fund and reflect applicable sales charges or redemption fees. See page 43 for further details. - -------------------------------------------------------------------------------- NASDAQ SYMBOLS TABLE - ----------------------------------------------------------------------------------- GABELLI WESTWOOD FUND NASDAQ SYMBOLS GABELLI WESTWOOD FUND NASDAQ SYMBOLS - --------------------- -------------- --------------------- -------------- Equity - Class AAA WESWX Intermediate Bond - Class AAA WEIBX Equity - Class A WEECX SmallCap Equity - Class AAA WESCX Balanced - Class AAA WEBAX Realty - Class AAA WESRX Balanced - Class A WEBCX Mighty Mites(SM) - Class AAA WEMMX Balanced - Class B WBCBX Balanced - Class C WBCCX - -------------------------------------------------------------------------------- 10 THE GABELLI WESTWOOD EQUITY FUND PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2003 - -------------------------------------------------------------------------------- SHARES COST VALUE ------ ---- ----- COMMON STOCKS -- 99.1% AEROSPACE -- 4.7% 157,300 Boeing Co. ...........$ 6,531,226 $ 5,400,109 113,900 Lockheed Martin Corp. 6,152,562 5,256,485 ------------ ------------ 12,683,788 10,656,594 ------------ ------------ AUTOMOTIVE -- 2.5% 136,400 General Motors Corp. . 6,356,780 5,582,852 ------------ ------------ AVIATION: PARTS AND SERVICES -- 2.6% 74,600 United Technologies Corp. .............. 4,476,729 5,765,088 ------------ ------------ BROADCASTING -- 2.0% 115,300 Clear Channel Communications Inc. . 4,521,021 4,415,990 ------------ ------------ CABLE -- 1.3% 102,100 Comcast Corp., Cl. A, Special+ .... 2,865,730 3,016,034 ------------ ------------ COMPUTER HARDWARE -- 6.2% 128,900 Apple Computer Inc.+ . 2,603,331 2,659,207 281,887 Hewlett-Packard Co. .. 4,927,722 5,457,332 64,900 International Business Machines Corp. ...... 5,528,865 5,732,617 ------------ ------------ 13,059,918 13,849,156 ------------ ------------ CONSUMER PRODUCTS -- 5.0% 127,600 Altria Group Inc. .... 5,753,997 5,588,880 62,200 Procter & Gamble Co. . 5,527,685 5,773,404 ------------ ------------ 11,281,682 11,362,284 ------------ ------------ DIVERSIFIED INDUSTRIAL -- 3.7% 31,500 Eaton Corp. .......... 2,855,035 2,791,530 182,000 General Electric Co. . 5,134,117 5,425,420 ------------ ------------ 7,989,152 8,216,950 ------------ ------------ ENERGY AND UTILITIES: INTEGRATED -- 6.6% 120,800 Burlington Resources Inc. ............... 6,346,507 5,822,560 69,600 Kinder Morgan Energy Partners LP ........ 2,777,736 2,978,880 135,360 Progress Energy Inc. . 5,824,193 6,018,106 ------------ ------------ 14,948,436 14,819,546 ------------ ------------ ENERGY AND UTILITIES: NATURAL GAS -- 3.9% 88,303 Apache Corp. ......... 3,935,942 6,122,930 74,100 Nabors Industries Ltd.+ .............. 2,757,020 2,760,966 ------------ ------------ 6,692,962 8,883,896 ------------ ------------ ENERGY AND UTILITIES: OIL -- 7.8% 78,000 ChevronTexaco Corp. .. 7,033,698 5,573,100 165,900 Exxon Mobil Corp. .... 6,644,793 6,071,940 99,700 Murphy Oil Corp. ..... 4,204,344 5,857,375 ------------ ------------ 17,882,835 17,502,415 ------------ ------------ ENERGY AND UTILITIES: WATER -- 1.2% 109,700 Philadelphia Suburban Corp. .............. 2,611,368 2,641,576 ------------ ------------ FINANCIAL SERVICES -- 13.0% 126,400 American Express Co. . 4,630,920 5,695,584 72,900 Bank of America Corp. 3,227,432 5,689,116 83,000 Bear Stearns Companies Inc. ..... 5,213,301 6,208,400 127,133 Citigroup Inc. ....... 5,252,740 5,785,823 156,000 Prudential Financial Inc. ............... 4,940,115 5,828,160 ------------ ------------ 23,264,508 29,207,083 ------------ ------------ SHARES COST VALUE ------ ---- ----- FINANCIAL SERVICES: BANKS -- 8.9% 146,200 Bank One Corp. .......$ 6,047,876 $ 5,650,630 107,300 KeyCorp .............. 2,570,035 2,743,661 65,300 M&T Bank Corp. ....... 5,238,928 5,700,690 152,800 Washington Mutual Inc. ............... 5,548,268 6,015,736 ------------ ------------ 19,405,107 20,110,717 ------------ ------------ FOOD AND BEVERAGE -- 3.6% 242,100 ConAgra Foods Inc. ... 5,702,468 5,142,204 88,400 Heinz (H.J.) Co. ..... 3,085,340 3,030,352 ------------ ------------ 8,787,808 8,172,556 ------------ ------------ HEALTH CARE -- 7.5% 111,300 Merck & Co. Inc. ..... 4,989,917 5,634,006 181,100 Pfizer Inc. .......... 5,392,639 5,501,818 124,800 Wyeth ................ 4,512,180 5,753,280 ------------ ------------ 14,894,736 16,889,104 ------------ ------------ HOTELS AND GAMING -- 1.3% 87,000 Starwood Hotels & Resorts Worldwide Inc. ...... 2,001,050 3,027,600 ------------ ------------ METALS AND MINING -- 2.4% 202,600 Alcoa Inc. ........... 5,836,182 5,300,016 ------------ ------------ PAPER AND FOREST PRODUCTS -- 2.6% 71,600 International Paper Co. .......... 2,766,685 2,793,832 72,700 Rayonier Inc. ........ 2,902,130 2,951,620 ------------ ------------ 5,668,815 5,745,452 ------------ ------------ REAL ESTATE INVESTMENT TRUSTS -- 2.0% 50,000 ProLogis ............. 1,244,490 1,512,500 68,400 Simon Property Group Inc. ......... 2,444,834 2,980,872 ------------ ------------ 3,689,324 4,493,372 ------------ ------------ SPECIALTY CHEMICALS -- 2.3% 126,800 E.I. du Pont de Nemours and Co. .... 5,829,927 5,073,268 ------------ ------------ TELECOMMUNICATIONS -- 5.5% 107,900 BellSouth Corp. ...... 2,931,279 2,555,072 82,500 Harris Corp. ......... 2,763,128 2,952,675 122,000 SBC Communications Inc. ............... 3,082,144 2,714,500 127,904 Verizon Communications Inc. ............... 5,420,576 4,149,206 ------------ ------------ 14,197,127 12,371,453 ------------ ------------ TRANSPORTATION -- 2.5% 97,100 Union Pacific Corp. .. 5,433,566 5,648,307 ------------ ------------ TOTAL COMMON STOCKS .. 214,378,551 222,751,309 ------------ ------------ PRINCIPAL AMOUNT --------- U.S. GOVERNMENT OBLIGATIONS -- 0.8% U.S. TREASURY BILLS -- 0.8% $1,750,000 U.S. Treasury Bill, 0.830%++, 11/13/03 .. 1,748,314 1,748,314 ------------ ------------ TOTAL INVESTMENTS -- 99.9% ..............$216,126,865 224,499,623 ============ OTHER ASSETS AND LIABILITIES (NET) -- 0.1% ...... 261,448 ------------ NET ASSETS -- 100.0% ............. $224,761,071 ============ - ---------------- + Non-income producing security. ++ Represents annualized yield at date of purchase. See accompanying notes to financial statements. 11 THE GABELLI WESTWOOD BALANCED FUND PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2003 - -------------------------------------------------------------------------------- SHARES COST VALUE ------ ---- ----- COMMON STOCKS -- 55.6% AEROSPACE -- 2.5% 56,700 Boeing Co. ...........$ 2,085,705 $ 1,946,511 43,400 Lockheed Martin Corp. 2,306,438 2,002,910 ------------ ------------ 4,392,143 3,949,421 ------------ ------------ AUTOMOTIVE -- 1.3% 51,100 General Motors Corp. . 2,108,288 2,091,523 ------------ ------------ AVIATION: PARTS AND SERVICES -- 1.3% 27,300 United Technologies Corp. .............. 1,477,474 2,109,744 ------------ ------------ BROADCASTING -- 1.4% 55,701 Clear Channel Communications Inc. . 2,194,641 2,133,348 ------------ ------------ CABLE -- 0.7% 39,600 Comcast Corp., Cl. A+ 1,111,178 1,169,784 ------------ ------------ COMPUTER HARDWARE -- 3.4% 49,200 Apple Computer Inc.+ . 907,681 1,014,996 110,488 Hewlett-Packard Co. .. 1,900,444 2,139,048 24,500 International Business Machines Corp. ...... 1,850,501 2,164,085 ------------ ------------ 4,658,626 5,318,129 ------------ ------------ CONSUMER PRODUCTS -- 2.8% 50,000 Altria Group Inc. .... 2,234,783 2,190,000 24,900 Procter & Gamble Co. . 2,209,282 2,311,218 ------------ ------------ 4,444,065 4,501,218 ------------ ------------ DIVERSIFIED INDUSTRIAL -- 1.3% 69,500 General Electric Co. . 1,861,276 2,071,795 ------------ ------------ ENERGY AND UTILITIES: INTEGRATED -- 4.3% 47,200 Burlington Resources Inc. ............... 2,476,711 2,275,040 51,600 Kinder Morgan Energy Partners LP ........ 2,055,291 2,208,480 51,449 Progress Energy Inc. . 2,157,527 2,287,422 ------------ ------------ 6,689,529 6,770,942 ------------ ------------ ENERGY AND UTILITIES: NATURAL GAS -- 2.1% 33,340 Apache Corp. ......... 1,527,233 2,311,795 27,300 Nabors Industries Ltd. 1,014,431 1,017,198 ------------ ------------ 2,541,664 3,328,993 ------------ ------------ ENERGY AND UTILITIES: OIL -- 4.5% 33,900 ChevronTexaco Corp. .. 2,785,468 2,422,155 68,800 Exxon Mobil Corp. .... 2,550,992 2,518,080 37,900 Murphy Oil Corp. ..... 1,603,200 2,226,625 ------------ ------------ 6,939,660 7,166,860 ------------ ------------ FINANCIAL SERVICES -- 7.1% 49,100 American Express Co. . 1,784,328 2,212,446 27,500 Bank of America Corp. 1,400,764 2,146,100 31,100 Bear Stearns Companies Inc. ...... 1,941,895 2,326,280 50,433 Citigroup Inc. ....... 1,881,878 2,295,206 60,200 Prudential Financial Inc. ...... 1,908,638 2,249,072 ------------ ------------ 8,917,503 11,229,104 ------------ ------------ FINANCIAL SERVICES: BANKS -- 4.9% 55,200 Bank One Corp. ....... 2,232,473 2,133,480 40,500 KeyCorp .............. 972,170 1,035,585 25,600 M&T Bank Corp. ....... 2,055,483 2,234,880 58,300 Washington Mutual Inc. ............... 1,901,714 2,295,271 ------------ ------------ 7,161,840 7,699,216 ------------ ------------ SHARES COST VALUE ------ ---- ----- FOOD AND BEVERAGE -- 2.7% 96,900 ConAgra Foods Inc. ...$ 2,285,207 $ 2,058,156 65,100 Heinz (H.J.) Co. ..... 2,259,986 2,231,628 ------------ ------------ 4,545,193 4,289,784 ------------ ------------ HEALTH CARE -- 4.2% 43,000 Merck & Co. Inc. ..... 1,886,178 2,176,660 70,100 Pfizer Inc. .......... 2,021,534 2,129,638 49,800 Wyeth ................ 1,754,553 2,295,780 ------------ ------------ 5,662,265 6,602,078 ------------ ------------ HOTELS AND GAMING -- 0.7% 32,100 Starwood Hotels & Resorts Worldwide Inc. ...... 738,981 1,117,080 ------------ ------------ METALS AND MINING -- 1.3% 78,700 Alcoa Inc. ........... 2,134,436 2,058,792 ------------ ------------ PAPER AND FOREST PRODUCTS -- 2.0% 53,100 International Paper Co. .......... 2,024,843 2,071,962 27,400 Rayonier Inc. ........ 1,093,786 1,112,440 ------------ ------------ 3,118,629 3,184,402 ------------ ------------ REAL ESTATE INVESTMENT TRUSTS -- 1.4% 37,300 ProLogis ............. 914,540 1,128,325 25,000 Simon Property Group Inc. ......... 892,185 1,089,500 ------------ ------------ 1,806,725 2,217,825 ------------ ------------ SPECIALTY CHEMICALS -- 1.4% 53,600 E.I. du Pont de Nemours and Co. ..... 2,415,357 2,144,536 ------------ ------------ TELECOMMUNICATIONS -- 3.0% 42,000 BellSouth Corp. ...... 1,143,080 994,560 31,300 Harris Corp. ......... 1,091,485 1,120,227 47,400 SBC Communications Inc. ............... 1,209,574 1,054,650 48,238 Verizon Communications Inc. ............... 1,757,880 1,564,841 ------------ ------------ 5,202,019 4,734,278 ------------ ------------ TRANSPORTATION -- 1.3% 35,500 Union Pacific Corp. .. 2,012,721 2,065,035 ------------ ------------ TOTAL COMMON STOCKS .. 82,134,213 87,953,887 ------------ ------------ PRINCIPAL AMOUNT --------- ASSET BACKED SECURITIES -- 0.6% $ 825,000 GS Mortgage Securities Corp. II, 97-GL Cl. A2D, 6.940%, 07/13/30+ ... 833,497 920,131 ------------ ------------ PREFERRED STOCKS -- 4.2% FINANCIAL SERVICES -- 4.2% 43,500 Fannie Mae, 5.375% Pfd., Ser. I . 2,291,494 2,218,500 91,400 JP Morgan Chase Capital, 5.875% Pfd., Ser. XI ............. 2,279,640 2,168,008 84,400 Wells Fargo Capital Trust, 7.000% Pfd., Ser. IV ............. 2,284,813 2,245,040 ------------ ------------ 6,855,947 6,631,548 ------------ ------------ TOTAL PREFERRED STOCKS ............. 6,855,947 6,631,548 ------------ ------------ See accompanying notes to financial statements. 12 THE GABELLI WESTWOOD BALANCED FUND PORTFOLIO OF INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT COST VALUE ------ ---- ----- CORPORATE BONDS -- 11.0% COMPUTER HARDWARE -- 1.2% $ 750,000 Hewlett-Packard Co., 3.625%, 03/15/08 ....$ 747,925 $ 762,334 1,000,000 IBM Corp., 4.875%, 10/01/06 .... 1,020,384 1,076,911 ------------ ------------ 1,768,309 1,839,245 ------------ ------------ ENERGY AND UTILITIES: OIL -- 1.1% 920,000 Conoco Inc., 5.900%, 04/15/04 .... 912,372 942,739 750,000 Occidental Petroleum, 4.250%, 03/15/10 .... 758,949 763,701 ------------ ------------ 1,671,321 1,706,440 ------------ ------------ FINANCIAL SERVICES -- 4.8% 1,100,000 Bank of America Corp., 5.875%, 02/15/09 .... 1,094,032 1,225,731 1,225,000 Bear Stearns Co. Inc., 2.875%, 07/02/08 .... 1,214,321 1,195,806 825,000 Citigroup Inc., 6.750%, 12/01/05 .... 838,479 908,384 1,350,000 General Electric Capital Corp., 7.500%, 05/15/05 .... 1,353,455 1,481,404 1,275,000 General Motors Acceptance Corp., 5.750%, 11/10/03 .... 1,274,831 1,280,505 1,225,000 Goldman Sachs Group Inc., 6.650%, 05/15/09 .... 1,215,900 1,411,028 ------------ ------------ 6,991,018 7,502,858 ------------ ------------ REAL ESTATE INVESTMENT TRUSTS -- 1.1% 1,600,000 Archstone-Smith Trust, 7.200%, 03/01/13 .... 1,547,997 1,789,360 ------------ ------------ RETAIL -- 1.8% 1,275,000 Neiman Marcus Group Inc., 6.650%, 06/01/08 .... 1,274,206 1,421,880 1,250,000 Wal-Mart Stores, 6.875%, 08/10/09 .... 1,329,940 1,471,199 ------------ ------------ 2,604,146 2,893,079 ------------ ------------ TELECOMMUNICATIONS -- 1.0% 1,460,000 Verizon Communications, 6.460%, 04/15/08 .... 1,469,980 1,651,450 ------------ ------------ TOTAL CORPORATE BONDS .............. 16,052,771 17,382,432 ------------ ------------ FOREIGN GOVERNMENT BONDS -- 1.3% 1,000,000 Canadian Global Bond, 6.750%, 08/28/06 .... 1,031,046 1,127,578 1,000,000 Italy Global Bond, 2.500%, 03/31/06 .... 999,219 1,014,631 ------------ ------------ TOTAL FOREIGN GOVERNMENT BONDS .... 2,030,265 2,142,209 ------------ ------------ PRINCIPAL AMOUNT COST VALUE ------ ---- ----- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 9.9% FEDERAL HOME LOAN MORTGAGE CORP. -- 4.2% $1,500,000 6.375%, 11/15/03 ....$ 1,500,878 $ 1,509,675 1,600,000 5.500%, 07/15/06 .... 1,625,504 1,746,558 1,750,000 3.500%, 09/15/07 .... 1,786,751 1,801,695 750,000 3.250%, 02/25/08 .... 747,375 750,848 750,000 6.625%, 09/15/09 .... 868,912 874,459 ------------ ------------ 6,529,420 6,683,235 ------------ ------------ FEDERAL NATIONAL MORTGAGE ASSOCIATION -- 5.7% 1,450,000 3.000%, 06/15/04 .... 1,458,939 1,468,625 1,625,000 6.500%, 08/15/04 .... 1,623,381 1,699,838 1,250,000 7.125%, 03/15/07 .... 1,333,440 1,441,794 750,000 3.250%, 11/15/07 .... 780,457 762,442 256,005 6.000%, 05/01/11 .... 254,178 268,028 1,200,000 6.000%, 05/15/11 .... 1,204,605 1,358,028 900,000 6.000%, 01/18/12 .... 890,838 941,121 750,000 4.375%, 03/15/13 .... 796,414 753,852 197,598 7.000%, 11/01/14 .... 199,546 210,326 ------------ ------------ 8,541,798 8,904,054 ------------ ------------ TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS .. 15,071,218 15,587,289 ------------ ------------ U.S. GOVERNMENT OBLIGATIONS -- 16.5% U.S. TREASURY BILLS -- 4.1% 6,450,000 U.S. Treasury Bills, 0.830% to 0.948%++, 10/02/03 to 11/20/03 ............ 6,444,705 6,444,705 ------------ ------------ U.S. TREASURY NOTES -- 12.4% 2,150,000 2.250%, 07/31/04 .... 2,152,030 2,171,921 2,000,000 5.750%, 11/15/05 .... 2,060,737 2,176,564 1,200,000 4.625%, 05/15/06 .... 1,276,340 1,288,266 2,725,000 3.500%, 11/15/06 .... 2,730,126 2,848,159 1,300,000 6.125%, 08/15/07 .... 1,290,734 1,481,189 3,750,000 3.250%, 08/15/08 .... 3,781,500 3,829,395 2,500,000 5.750%, 08/15/10 .... 2,861,852 2,862,990 2,750,000 5.000%, 08/15/11 .... 2,795,719 3,008,888 ------------ ------------ 18,949,038 19,667,372 ------------ ------------ TOTAL U.S. GOVERNMENT OBLIGATIONS ......... 25,393,743 26,112,077 ------------ ------------ TOTAL INVESTMENTS -- 99.1% ..............$148,371,654 156,729,573 ============ OTHER ASSETS AND LIABILITIES (NET) -- 0.9% ................... 1,389,716 ------------ NET ASSETS -- 100.0% ..............$158,119,289 ============ - ---------------- + Non-income producing security. ++ Represents annualized yield at date of purchase. See accompanying notes to financial statements. 13 THE GABELLI WESTWOOD INTERMEDIATE BOND FUND PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2003 - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT COST VALUE --------- ---- ----- ASSET BACKED SECURITIES -- 2.0% $225,000 GS Mortgage Securities Corp. II, 97-GL Cl. A2D, 6.940%, 07/13/30+ ...$ 231,569 $ 250,945 ------------ ------------ CORPORATE BONDS -- 31.8% COMPUTER HARDWARE -- 4.7% 325,000 Hewlett-Packard Co., 3.625%, 03/15/08 .... 326,234 330,345 250,000 IBM Corp., 4.875%, 10/01/06 .... 259,517 269,228 ------------ ------------ 585,751 599,573 ------------ ------------ ENERGY AND UTILITIES: OIL -- 3.8% 125,000 BP Capital Markets plc, 4.000%, 04/29/05 .... 127,278 130,145 125,000 Conoco Inc., 5.900%, 04/15/04 .... 123,964 128,090 225,000 Occidental Petroleum, 4.250%, 03/15/10 .... 225,000 229,110 ------------ ------------ 476,242 487,345 ------------ ------------ FINANCIAL SERVICES -- 16.5% 300,000 Bank of America Corp., 5.875%, 02/15/09 .... 312,385 334,290 100,000 Bayerische Landesbank, 4.125%, 01/14/05 .... 101,212 103,287 275,000 Bear Stearns Co. Inc., 2.875%, 07/02/08 .... 272,327 268,446 120,000 Citigroup Inc., 6.750%, 12/01/05 .... 121,960 132,128 225,000 General Electric Capital Corp., 7.500%, 05/15/05 .... 226,440 246,901 140,000 General Motors Acceptance Corp., 5.750%, 11/10/03 .... 139,907 140,605 300,000 Goldman Sachs Group Inc., 6.650%, 05/15/09 .... 313,562 345,558 200,000 International Bank for Reconstruction & Development, 8.625%, 10/15/16+ ... 249,817 276,092 275,000 Toyota Motor Credit Corp., 2.875%, 08/01/08 .... 271,647 273,491 ------------ ------------ 2,009,257 2,120,798 ------------ ------------ REAL ESTATE INVESTMENT TRUSTS -- 1.3% 150,000 Archstone-Smith Trust, 7.200%, 03/01/13 .... 145,512 167,752 ------------ ------------ RETAIL -- 4.4% 300,000 Neiman Marcus Group Inc., 6.650%, 06/01/08 .... 318,985 334,560 200,000 Wal-Mart Stores, 6.875%, 08/10/09 .... 212,791 235,392 ------------ ------------ 531,776 569,952 ------------ ------------ PRINCIPAL AMOUNT COST VALUE --------- ---- ----- TELECOMMUNICATIONS -- 1.1% $125,000 Verizon Communications, 6.460%, 04/15/08 ....$ 126,818 $ 141,391 ------------ ------------ TOTAL CORPORATE BONDS 3,875,356 4,086,811 ------------ ------------ FOREIGN GOVERNMENT BONDS -- 4.1% 175,000 Canadian Global Bond, 6.750%, 08/28/06 .... 176,193 197,326 325,000 Italy Global Bond, 2.500%, 03/31/06 .... 325,635 329,755 ------------ ------------ TOTAL FOREIGN GOVERNMENT BONDS .... 501,828 527,081 ------------ ------------ U.S. GOVERNMENT AGENCY OBLIGATIONS -- 24.6% FEDERAL HOME LOAN MORTGAGE CORP. -- 7.0% 450,000 5.500%, 07/15/06 .... 465,731 491,220 250,000 3.250%, 02/25/08 .... 249,125 250,283 150,000 5.125%, 08/20/12 .... 149,028 152,349 ------------ ------------ 863,884 893,852 ------------ ------------ FEDERAL NATIONAL MORTGAGE ASSOCIATION -- 16.7% 325,000 3.000%, 06/15/04 .... 326,747 329,175 400,000 6.500%, 08/15/04 .... 410,232 418,422 350,000 3.250%, 11/15/07 .... 358,559 355,806 175,000 3.250%, 08/15/08 .... 176,202 176,326 36,809 6.000%, 05/01/11 .... 36,500 38,538 350,000 6.000%, 05/15/11 .... 376,233 396,091 150,000 6.000%, 01/18/12 .... 148,473 156,853 250,000 4.375%, 03/15/13 .... 247,901 251,284 25,734 7.000%, 11/01/14 .... 25,987 27,391 ------------ ------------ 2,106,834 2,149,886 ------------ ------------ GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 0.9% 28,279 GNMA, Pool #427798, 7.000%, 02/15/28 .... 28,763 30,137 29,822 GNMA, Pool #780977, 7.500%, 12/15/28 .... 29,303 31,957 56,507 GNMA, Pool #580871, 6.500%, 12/15/31 .... 56,743 59,401 ------------ ------------ 114,809 121,495 ------------ ------------ TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS .. 3,085,527 3,165,233 ------------ ------------ U.S. GOVERNMENT OBLIGATIONS -- 33.5% U.S. TREASURY BILLS -- 2.3% 300,000 U.S. Treasury Bills, 0.920%++, 10/09/03 .. 299,940 299,940 ------------ ------------ See accompanying notes to financial statements. 14 THE GABELLI WESTWOOD INTERMEDIATE BOND FUND PORTFOLIO OF INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT COST VALUE --------- ---- ----- U.S. GOVERNMENT OBLIGATIONS (CONTINUED) U.S. TREASURY BONDS -- 13.4% $400,000 7.250%, 05/15/16 ....$ 470,280 $ 511,563 250,000 7.125%, 02/15/23 .... 314,756 320,234 350,000 6.250%, 08/15/23 .... 407,707 409,268 415,000 6.125%, 11/15/27 .... 428,744 480,800 ------------ ------------ 1,621,487 1,721,865 ------------ ------------ U.S. TREASURY NOTES -- 17.8% 300,000 2.250%, 07/31/04 .... 301,866 303,059 200,000 5.750%, 11/15/05 .... 214,978 217,656 400,000 4.625%, 05/15/06 .... 422,589 429,422 250,000 3.500%, 11/15/06 .... 260,079 261,299 200,000 3.250%, 08/15/08 .... 198,062 204,234 400,000 5.750%, 08/15/10 .... 446,539 458,078 250,000 4.375%, 08/15/12 .... 255,601 260,752 150,000 4.250%, 08/15/13 .... 146,793 153,815 ------------ ------------ 2,246,507 2,288,315 ------------ ------------ TOTAL U.S. GOVERNMENT OBLIGATIONS ......... 4,167,934 4,310,120 ------------ ------------ SHARES COST VALUE ------ ---- ----- WARRANTS -- 0.0% ENERGY AND UTILITIES -- 0.0% 8 Forman Petroleum Corp., Series A, expire 01/14/07+ (a) $ 0 $ 0 25 Forman Petroleum Corp., Series B, expire 01/14/07+ (a) 0 1 25 Forman Petroleum Corp., Series C, expire 01/14/07+ (a) 0 0 25 Forman Petroleum Corp., Series D, expire 01/14/07+ (a) 0 0 ------------ ------------ 0 1 ------------ ------------ TOTAL WARRANTS ....... 0 1 ------------ ------------ TOTAL INVESTMENTS -- 96.0% ..............$ 11,862,214 12,340,191 ============ OTHER ASSETS AND LIABILITIES (NET) -- 4.0% ................... 519,803 ------------ NET ASSETS -- 100.0% ..............$ 12,859,994 ============ - ---------------- (a) Securities fair valued under procedures established by the Board of Trustees. + Non-income producing security. ++ Represents annualized yield at date of purchase. See accompanying notes to financial statements. 15 THE GABELLI WESTWOOD SMALLCAP EQUITY FUND PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2003 - -------------------------------------------------------------------------------- SHARES COST VALUE ------ ---- ----- COMMON STOCKS -- 98.7% BROADCASTING -- 3.4% 12,000 4Kids Entertainment Inc.+ ...............$ 270,721 $ 253,200 20,300 Radio One Inc., Cl. D+ .............. 308,794 291,508 ------------ ------------ 579,515 544,708 ------------ ------------ BUSINESS SERVICES -- 6.0% 14,900 Digital Insight Corp.+ .............. 302,176 296,510 16,400 Tetra Tech Inc.+ ..... 283,687 326,524 8,800 United Stationers Inc.+ ............... 337,984 331,584 ------------ ------------ 923,847 954,618 ------------ ------------ COMPUTER SOFTWARE AND SERVICES -- 13.1% 8,000 Anteon International Corp.+ .............. 195,348 244,800 4,900 Avid Technology Inc.+ 171,570 258,916 10,000 Digital River Inc.+ .. 220,988 273,500 10,900 Dot Hill Systems Corp.+ .............. 197,824 149,984 5,900 Kronos Inc.+ ......... 285,646 312,169 27,300 Per-Se Technologies Inc.+ ............... 418,164 436,800 21,200 SS&C Technologies Inc. ................ 393,536 423,788 ------------ ------------ 1,883,076 2,099,957 ------------ ------------ CONSUMER PRODUCTS -- 4.1% 7,100 K-Swiss Inc. ......... 220,298 255,529 8,600 Polo Ralph Lauren Corp. 190,200 230,652 3,100 Scotts Co., Cl. A+ ... 161,213 169,570 ------------ ------------ 571,711 655,751 ------------ ------------ DIVERSIFIED INDUSTRIAL -- 7.4% 4,300 Briggs & Stratton Corp. ............... 256,457 252,668 13,800 Ceradyne Inc.+ ....... 243,442 357,006 5,600 ESCO Technologies Inc.+ 263,427 253,512 18,100 Griffon Corp.+ ....... 337,774 325,076 ------------ ------------ 1,101,100 1,188,262 ------------ ------------ ELECTRONICS -- 11.6% 2,700 Cabot Microelectronics Corp.+ .............. 132,947 150,498 9,200 Cubic Corp. .......... 177,490 231,104 15,100 II-VI Inc.+ .......... 365,042 301,849 6,100 International Rectifier Corp.+ .... 132,044 228,384 9,100 Intersil Corp. ....... 176,156 216,580 7,800 Planar Systems Inc.+ . 185,635 167,310 12,600 Trimble Navigation Ltd.+ ............... 287,724 291,690 13,600 Zoran Corp.+ ......... 254,160 265,200 ------------ ------------ 1,711,198 1,852,615 ------------ ------------ ENERGY AND UTILITIES -- 5.9% 9,200 Evergreen Resources Inc.+ ............... 247,035 248,400 7,500 Houston Exploration Co.+ ................ 234,572 263,250 10,300 Quicksilver Resources Inc.+ ............... 234,837 251,629 11,130 Southern Union Co.+ .. 176,522 189,210 ------------ ------------ 892,966 952,489 ------------ ------------ FINANCIAL SERVICES -- 1.5% 15,900 First Niagara Financial Group Inc. .......... 202,835 240,090 ------------ ------------ FOOD AND BEVERAGE -- 3.6% 6,800 CBRL Group Inc. ...... 220,841 241,264 13,300 Rare Hospitality International Inc.+ . 277,106 331,303 ------------ ------------ 497,947 572,567 ------------ ------------ SHARES COST VALUE ------ ---- ----- HEALTH CARE -- 12.6% 4,800 AmSurg Corp.+ ........$ 157,368 $ 158,352 4,900 Inamed Corp.+ ........ 276,274 359,905 6,700 PacifiCare Health Systems Inc.+ ....... 342,990 326,960 6,300 ResMed Inc.+ ......... 211,701 277,074 11,500 Select Medical Corp.+ 331,476 331,200 14,300 Sola International Inc.+ ............... 257,873 228,800 13,300 Sybron Dental Specialties Inc.+ ... 295,818 333,431 ------------ ------------ 1,873,500 2,015,722 ------------ ------------ HEALTH CARE: PHARMACEUTICALS -- 8.4% 12,500 Bradley Pharmaceuticals Inc.+ ............... 212,638 340,625 8,400 Kos Pharmaceuticals Inc.+ ............... 231,035 288,960 16,300 NBTY Inc.+ ........... 407,097 380,605 5,900 Taro Pharmaceutical Industries Ltd.+ .... 310,712 332,524 ------------ ------------ 1,161,482 1,342,714 ------------ ------------ REAL ESTATE INVESTMENT TRUSTS -- 2.6% 10,200 Getty Realty Corp. ... 203,693 249,900 4,600 Macerich Co. ......... 153,140 173,650 ------------ ------------ 356,833 423,550 ------------ ------------ RETAIL -- 10.9% 9,200 Aeropostale Inc.+ .... 251,710 248,860 20,200 First Cash Financial Services Inc.+ ...... 428,256 404,606 12,050 Hot Topic Inc.+ ...... 186,530 271,607 12,050 Pacific Sunwear of California Inc.+ .... 189,174 248,953 11,100 The Sports Authority Inc.+ ..... 265,704 349,206 8,200 Tuesday Morning Corp.+ .............. 211,220 228,206 ------------ ------------ 1,532,594 1,751,438 ------------ ------------ SPECIALTY CHEMICALS -- 1.6% 6,800 Cytec Industries Inc.+ ............... 258,601 248,200 ------------ ------------ TELECOMMUNICATIONS -- 2.3% 4,200 J2 Global Communications Inc.+ ............... 107,113 158,886 6,500 UTStarcom Inc.+ ...... 222,754 206,765 ------------ ------------ 329,867 365,651 ------------ ------------ TRANSPORTATION -- 3.7% 8,000 Forward Air Corp.+ ... 238,074 221,200 24,100 SCS Transportation Inc.+ ............... 357,135 363,910 ------------ ------------ 595,209 585,110 ------------ ------------ TOTAL COMMON STOCKS .. 14,472,281 15,793,442 ------------ ------------ TOTAL INVESTMENTS -- 98.7% ...............$ 14,472,281 15,793,442 ============ OTHER ASSETS AND LIABILITIES (NET) -- 1.3% ................... 215,526 ------------ NET ASSETS -- 100.0% ............. $ 16,008,968 ============ - ------------------- + Non-income producing security. See accompanying notes to financial statements. 16 THE GABELLI WESTWOOD REALTY FUND PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2003 - -------------------------------------------------------------------------------- SHARES COST VALUE ------ ---- ----- COMMON STOCKS -- 92.6% APARTMENTS -- 15.0% 5,200 Apartment Investment & Management Co., Cl. A ...............$ 211,126 $ 204,672 17,782 Archstone-Smith Trust 437,635 469,089 3,000 Avalonbay Communities Inc. ................ 137,908 140,400 5,400 Camden Property Trust 190,114 207,522 11,800 Equity Residential ... 297,833 345,504 3,500 Home Properties of New York Inc. ........... 114,789 137,200 4,700 Mid-America Apartment Communities Inc. .... 117,996 141,846 6,900 Post Properties Inc. . 176,016 187,887 14,300 United Dominion Realty Trust Inc. ... 215,643 261,833 ------------ ------------ 1,899,060 2,095,953 ------------ ------------ COMMERCIAL OFFICE -- 1.4% 6,300 Prentiss Properties Trust ............... 180,715 195,300 ------------ ------------ DIVERSIFIED PROPERTY -- 12.8% 10,900 Catellus Development Corp.+ .............. 232,016 266,505 3,600 Colonial Properties Trust ............... 113,522 129,708 11,166 Duke Realty Corp. .... 281,779 326,047 6,200 Getty Realty Corp. ... 120,279 151,900 7,100 Lexington Corporate Properties Trust .... 115,888 136,036 7,800 Liberty Property Trust 237,814 288,444 4,100 Tejon Ranch Co.+ ..... 124,544 136,530 7,100 Vornado Realty Trust . 290,434 341,084 ------------ ------------ 1,516,276 1,776,254 ------------ ------------ FINANCIAL SERVICES -- 2.2% 8,600 American Financial Realty Trust ........ 107,500 121,260 7,400 Thornburg Mortgage Inc. 197,859 187,442 ------------ ------------ 305,359 308,702 ------------ ------------ HEALTH CARE -- 3.4% 7,400 Health Care Property Investors Inc. ...... 281,860 345,580 4,600 Universal Health Realty Income Trust ........ 119,196 124,890 ------------ ------------ 401,056 470,470 ------------ ------------ HOTELS -- 2.7% 3,300 Hospitality Properties Trust ............... 95,828 115,764 7,400 Starwood Hotels & Resorts Worldwide Inc. ...... 181,779 257,520 ------------ ------------ 277,607 373,284 ------------ ------------ INDUSTRIAL PROPERTY -- 7.5% 6,600 AMB Property Corp. ... 182,938 203,346 4,200 CenterPoint Properties Trust ............... 239,780 286,062 18,200 ProLogis ............. 435,330 550,550 ------------ ------------ 858,048 1,039,958 ------------ ------------ MANUFACTURED HOMES -- 1.7% 6,000 Manufactured Home Communities Inc. .... 182,154 235,080 ------------ ------------ SHARES COST VALUE ------ ---- ----- OFFICE PROPERTY -- 15.1% 5,700 Alexandria Real Estate Equities Inc. .......$ 237,249 $ 273,771 4,700 Arden Realty Inc. .... 115,048 131,224 7,000 Boston Properties Inc. ................ 271,997 304,290 5,300 Brandywine Realty Trust ............... 115,781 136,157 6,800 CarrAmerica Realty Corp. ............... 197,355 202,980 7,300 Corporate Office Properties Trust .... 102,799 135,123 6,800 Cousins Properties Inc. ................ 170,374 188,700 3,800 Crescent Real Estate Equities Co. ........ 64,459 55,100 12,584 Equity Office Properties Trust .... 333,086 346,438 5,500 Highwoods Properties Inc. ................ 125,974 131,230 5,200 Mack-Cali Realty Corp. ........ 161,467 203,840 ------------ ------------ 1,895,589 2,108,853 ------------ ------------ PAPER AND FOREST PRODUCTS -- 3.8% 12,800 Plum Creek Timber Co. Inc. ............ 290,151 325,632 5,100 Rayonier Inc. ........ 200,059 207,060 ------------ ------------ 490,210 532,692 ------------ ------------ PUBLIC STORAGE -- 3.4% 5,200 Public Storage Inc. .. 181,822 203,996 3,900 Shurgard Storage Centers Inc., Cl. A ......... 126,750 137,670 4,100 Sovran Self Storage Inc. ........ 115,724 135,915 ------------ ------------ 424,296 477,581 ------------ ------------ SHOPPING CENTERS -- 23.6% 2,900 CBL & Associates Properties Inc. ..... 105,112 144,710 4,500 Chelsea Property Group Inc. .......... 154,856 215,550 8,881 Developers Diversified Realty Corp. ........ 205,515 265,275 4,000 General Growth Properties Inc. ..... 172,922 286,800 8,150 Kimco Realty Corp. ... 264,233 333,906 3,700 Macerich Co. ......... 109,638 139,675 3,900 Mills Corp. .......... 114,459 153,465 4,900 Pan Pacific Retail Properties Inc. ..... 142,052 210,700 7,900 Ramco-Gershenson Properties Trust .... 148,241 201,055 9,000 Regency Centers Corp. 253,488 331,650 12,700 Simon Property Group Inc. .......... 414,891 553,466 5,800 Taubman Centers Inc. . 85,261 113,680 7,550 Weingarten Realty Investors ........... 256,961 339,750 ------------ ------------ 2,427,629 3,289,682 ------------ ------------ TOTAL COMMON STOCKS .. 10,857,999 12,903,809 ------------ ------------ TOTAL INVESTMENTS -- 92.6% ...............$ 10,857,999 12,903,809 ============ OTHER ASSETS AND LIABILITIES (NET) -- 7.4% ........ 1,035,436 ------------ NET ASSETS -- 100.0% ..............$ 13,939,245 ============ - ----------------- + Non-income producing security. See accompanying notes to financial statements. 17 THE GABELLI WESTWOOD MIGHTY MITES(SM) FUND PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 2003 - -------------------------------------------------------------------------------- SHARES COST VALUE ------ ---- ----- COMMON STOCKS -- 64.7% AUTOMOTIVE: PARTS AND ACCESSORIES -- 2.3% 23,000 Midas Inc.+ ..........$ 223,273 $ 302,680 50,000 Scheib (Earl) Inc.+ .. 248,140 135,500 10,000 Standard Motor Products Inc. ....... 133,843 101,000 159,000 TransPro Inc.+ ....... 730,359 651,900 ------------ ------------ 1,335,615 1,191,080 ------------ ------------ AVIATION: PARTS AND SERVICES -- 1.0% 5,000 Aviall Inc.+ ......... 50,845 61,900 1,000 Curtiss-Wright Corp., Cl. B ............... 43,050 71,600 45,800 Fairchild Corp., Cl. A+ .............. 218,599 226,710 12,000 Kaman Corp., Cl. A ... 155,265 155,520 ------------ ------------ 467,759 515,730 ------------ ------------ BROADCASTING -- 5.7% 60,000 Acme Communications Inc.+ ............... 364,898 453,000 32,500 Beasley Broadcast Group Inc., Cl. A+ .............. 339,866 449,150 36,000 Crown Media Holdings Inc., Cl. A+ .............. 201,517 294,480 20,000 Granite Broadcasting Corp.+ .............. 76,113 51,000 34,500 Gray Television Inc. . 368,821 402,960 2,000 Gray Television Inc., Cl. A .............. 32,100 23,200 90,000 Paxson Communications Corp.+ .............. 352,036 446,400 12,000 Salem Communications Corp., Cl. A+ .............. 239,404 232,680 30,000 Young Broadcasting Inc., Cl. A+ ........ 288,879 587,700 ------------ ------------ 2,263,634 2,940,570 ------------ ------------ BUILDING AND CONSTRUCTION -- 1.5% 50,000 Eagle Supply Group Inc.+ ......... 92,168 120,000 10,907 Homasote Co.+ ........ 85,994 87,801 5,000 Huttig Building Products Inc.+ ...... 17,126 13,550 5,000 Modtech Holdings Inc.+ ............... 36,150 39,700 2,400 Monarch Cement Co. ... 43,256 44,160 15,300 Skyline Corp. ........ 494,275 489,906 ------------ ------------ 768,969 795,117 ------------ ------------ BUSINESS SERVICES -- 2.7% 28,000 ANC Rental Corp.+ .... 840 28 61,100 Edgewater Technology Inc.+ .... 214,636 317,720 4,000 GP Strategies Corp.+ . 15,450 28,840 20,000 Information Resources Inc.+ ..... 78,500 92,000 100,000 Interep National Radio Sales Inc., Cl. A+ .............. 392,708 245,000 60,000 Key3Media Group Inc.+ 780 78 49,000 Nashua Corp.+ ........ 357,020 389,550 804 National Stock Yards Co.+ .......... 80,700 125,022 10,000 PubliCard Inc.+ ...... 14,435 450 4,000 Roto-Rooter Inc. ..... 144,027 142,200 1,000 StarTek Inc. ......... 17,895 32,000 ------------ ------------ 1,316,991 1,372,888 ------------ ------------ SHARES COST VALUE ------ ---- ----- CABLE -- 0.1% 90,000 Adelphia Communications Corp., Cl. A+ ..............$ 15,750 $ 28,350 1,000 Outdoor Channel Holdings Inc.+ ...... 24,825 28,000 ------------ ------------ 40,575 56,350 ------------ ------------ COMMUNICATIONS EQUIPMENT -- 0.1% 3,000 Andrew Corp.+ ........ 10,240 36,870 ------------ ------------ COMPUTER SOFTWARE AND SERVICES -- 3.7% 23,881 Gemplus International SA+ ................. 10,945 41,160 3,000 iVillage Inc.+ ....... 2,520 6,660 850,000 StorageNetworks Inc.+ 1,227,361 1,394,000 65,600 Tyler Technologies Inc.+ ............... 257,182 464,448 ------------ ------------ 1,498,008 1,906,268 ------------ ------------ CONSUMER PRODUCTS -- 4.6% 6,000 American Locker Group Inc.+ ......... 75,694 72,186 12,000 Del Laboratories Inc.+ ............... 236,963 339,000 17,000 Ducati Motor Holding SpA+ ........ 258,245 278,800 6,910 Levcor International Inc.+ ............... 25,442 19,002 3,000 Marine Products Corp. 6,913 44,160 35,000 Marzotto SpA ......... 275,627 284,500 7,500 National Presto Industries Inc. ..... 223,938 257,550 41,530 Syratech Corp.+(a) ... 10,383 33,224 23,100 Water Pik Technologies Inc.+ .. 196,444 231,000 275,000 Weider Nutrition International Inc.+ . 510,899 825,000 ------------ ------------ 1,820,548 2,384,422 ------------ ------------ CONSUMER SERVICES -- 0.0% 4,500 Collectors Universe Inc.+ ...... 15,809 16,425 ------------ ------------ DIVERSIFIED INDUSTRIAL -- 3.5% 7,000 Ampco-Pittsburgh Corp. ............... 84,475 83,930 250,000 GenTek Inc.+ ......... 2,350 1,125 97,400 Harbor Global Co. Ltd. ................ 467,143 869,295 40,000 Katy Industries Inc.+ 170,099 208,000 35,000 Lamson & Sessions Co.+ 154,961 193,200 2,000 Lindsay Manufacturing Co. ................. 39,765 40,200 35,000 Pinguely-Haulotte .... 187,156 191,569 7,750 RWC Inc.+ ............ 235,725 85,250 16,000 Tech/Ops Sevcon Inc. . 84,075 95,200 6,666 WHX Corp.+ ........... 31,489 15,398 ------------ ------------ 1,457,238 1,783,167 ------------ ------------ EDUCATIONAL SERVICES -- 0.3% 6,000 Concorde Career Colleges Inc.+ ...... 125,320 140,100 10,000 ProsoftTraining.com+ . 22,440 4,310 ------------ ------------ 147,760 144,410 ------------ ------------ ELECTRONICS -- 1.4% 21,000 CTS Corp. ............ 154,068 258,510 2,000 Fargo Electronics+ ... 11,283 25,200 4,000 George Risk Industries Inc.+ .... 10,660 15,800 See accompanying notes to financial statements. 18 THE GABELLI WESTWOOD MIGHTY MITES(SM) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 - -------------------------------------------------------------------------------- SHARES COST VALUE ------ ---- ----- COMMON STOCKS (CONTINUED) ELECTRONICS (CONTINUED) 5,600 Lab-Volt Systems Inc.+ .......$ 31,800 $ 45,920 7,000 Lowrance Electronics Inc.+ ............... 22,871 81,130 15,000 Zoran Corp.+ ......... 126,729 292,500 ------------ ------------ 357,411 719,060 ------------ ------------ ENERGY AND UTILITIES: ELECTRIC -- 2.5% 10,000 El Paso Electric Co.+ 83,914 115,500 24,600 Green Mountain Power Corp. ......... 517,311 554,730 10,000 Maine & Maritimes Corp. ............... 221,400 360,000 10,200 Unitil Corp. ......... 263,685 255,714 ------------ ------------ 1,086,310 1,285,944 ------------ ------------ ENERGY AND UTILITIES: INTEGRATED -- 1.3% 31,776 Aquila Inc.+ ......... 156,751 107,403 20,000 Florida Public Utilities Co. ....... 255,671 307,800 8,000 MGE Energy Inc. ...... 216,657 242,080 95,200 Progress Energy Inc., CVO+ .......... 10,472 18,088 ------------ ------------ 639,551 675,371 ------------ ------------ ENERGY AND UTILITIES: NATURAL GAS -- 4.4% 3,900 Cascade Natural Gas Corp. ........... 80,530 76,440 15,000 Chesapeake Utilities Corp. ............... 284,689 343,800 12,347 Corning Natural Gas Corp. ........... 226,292 185,205 16,700 Delta Natural Gas Co. Inc. ........ 339,592 384,267 24,000 NUI Corp. ............ 450,906 358,800 31,200 Petrocorp Inc.+ ...... 293,631 419,952 9,500 RGC Resources Inc. ... 188,011 217,312 8,000 South Jersey Industries Inc. ..... 231,269 302,800 ------------ ------------ 2,094,920 2,288,576 ------------ ------------ ENERGY AND UTILITIES: SERVICES -- 0.1% 2,500 Petroleum Geo-Services ASA, ADR+ ........... 15,320 2,600 5,000 RPC Inc. ............. 25,212 50,000 ------------ ------------ 40,532 52,600 ------------ ------------ ENERGY AND UTILITIES: WATER -- 1.7% 10,950 Artesian Resources Corp., Cl. A ............... 176,619 276,487 1,500 BIW Ltd. ............. 27,265 26,775 2,760 California Water Service Group ....... 61,330 71,236 1,000 Consolidated Water Co. Ltd. ...... 7,500 17,750 11,000 Middlesex Water Co. .. 251,396 269,610 2,400 SJW Corp. ............ 164,227 202,800 300 Torrington Water Co. . 12,375 38,738 ------------ ------------ 700,712 903,396 ------------ ------------ ENTERTAINMENT -- 2.4% 1,000 Brass Eagle Inc.+ .... 8,079 8,360 10,500 Canterbury Park Holding Corp. ....... 95,240 156,975 15,000 Dover Motorsports Inc. ................ 63,411 56,400 12,500 Fisher Communications Inc.+ ............... 568,502 589,375 41,000 Fox Kids Europe NV+ .. 327,667 248,282 SHARES COST VALUE ------ ---- ----- 45,000 GC Companies Inc.+ ...$ 67,956 $ 14,850 30,500 Integrity Media Inc.+ 190,557 111,325 4,000 LodgeNet Entertainment Corp.+ .............. 44,021 62,000 ------------ ------------ 1,365,433 1,247,567 ------------ ------------ ENVIRONMENTAL SERVICES -- 0.4% 16,500 Strategic Diagnostics Inc.+ ... 86,027 68,475 25,000 Trojan Technologies Inc.+ ............... 144,102 148,948 ------------ ------------ 230,129 217,423 ------------ ------------ EQUIPMENT AND SUPPLIES -- 3.3% 63,000 Baldwin Technology Co. Inc., Cl. A+ .............. 55,522 45,990 15,000 Capstone Turbine Corp.+ 27,450 28,350 91,000 Core Molding Technologies Inc.+ .. 204,485 274,820 5,000 Eastern Co. .......... 83,939 73,300 5,900 Fedders Corp. ........ 26,834 34,220 10,000 Gerber Scientific Inc.+ ............... 33,933 71,000 8,500 Gildemeister AG ...... 80,468 56,027 72,400 Maezawa Kyuso Industries Co., LTD. ........... 388,915 436,156 6,700 Mine Safety Appliances Co. ...... 250,177 365,954 9,500 O. I. Corporation+ ... 59,329 54,625 13,700 Raytech Corp.+ ....... 45,070 48,087 24,500 SL Industries Inc.+ .. 215,647 195,755 1,000 SRS Labs Inc.+ ....... 5,500 5,440 1,100 Watts Industries Inc., Cl. A ............... 16,825 19,382 ------------ ------------ 1,494,094 1,709,106 ------------ ------------ FINANCIAL SERVICES -- 7.4% 7,200 Berkshire Bancorp Inc. ................ 219,559 315,000 15,900 BKF Capital Group Inc.+ ......... 375,063 383,985 1,000 Commerzbank AG, ADR .. 14,170 14,440 11,000 Crazy Woman Creek Bancorp Inc. ........ 143,391 168,410 1,400 Danielson Holding Corp.+ .............. 7,050 1,918 5,500 Fidelity Southern Corp. ............... 44,340 74,470 25,000 Flushing Financial Corp. ............... 558,094 521,000 10 Guaranty Corp., Cl. A+ .............. 137,500 155,000 14,133 Hanmi Financial Corporation ......... 200,078 281,812 420,000 J Net Enterprises Inc.+ ............... 462,378 512,400 6,390 Parish National Bank of Bogalusa+ ........ 234,128 315,666 22,200 Resource Bankshares Corp. ............... 269,039 646,908 800 Sunwest Bank+ ........ 51,200 68,960 500 TIB Financial Corp. .. 7,780 9,145 15,000 Vail Banks Inc. ...... 150,095 220,215 4,850 Wilshire State Bank+ . 81,000 112,520 ------------ ------------ 2,954,865 3,801,849 ------------ ------------ FOOD AND BEVERAGE -- 1.2% 15,000 Boston Beer Co. Inc., Cl. A+ .............. 174,012 238,800 4,000 Genesee Corp., Cl. A . 19,980 21,000 30,100 Genesee Corp., Cl. B . 81,364 140,416 4,000 J & J Snack Foods Corp.+ ........ 111,849 139,200 See accompanying notes to financial statements. 19 THE GABELLI WESTWOOD MIGHTY MITES(SM) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 - -------------------------------------------------------------------------------- SHARES COST VALUE ------ ---- ----- COMMON STOCKS (CONTINUED) FOOD AND BEVERAGE (CONTINUED) 2,000 Lifeway Foods Inc.+ ..$ 29,126 $ 27,496 5,000 Poore Brothers Inc.+ . 12,688 24,000 2,300 Todhunter International Inc.+ . 23,658 23,518 ------------ ------------ 452,677 614,430 ------------ ------------ HEALTH CARE -- 5.0% 6,200 Arkopharma ........... 267,039 288,087 16,000 Boiron SA ............ 257,514 328,869 6,000 Bruker BioSciences Corp.+ .............. 21,990 26,400 20,000 Del Global Technologies Corp.+ . 47,776 37,400 13,000 Exactech Inc.+ ....... 198,380 212,550 22,000 Interpore International Inc.+ . 157,170 337,920 2,000 Lifecore Biomedical Inc.+ ............... 6,186 13,320 17,700 Neogen Corp.+ ........ 243,486 336,300 2,500 NMT Medical Inc.+ .... 7,858 10,925 6,000 NWH Inc. ............. 112,690 116,220 500 OraLabs Holding Corp.+ .............. 625 495 5,000 Orthofix International NV+ ... 137,424 183,000 15,000 Schick Technologies Inc.+ ............... 122,310 122,250 62,000 VitalWorks Inc.+ ..... 313,621 325,500 6,000 Women First HealthCare Inc.+ .... 4,875 8,100 8,100 Young Innovations Inc. ................ 218,297 259,281 ------------ ------------ 2,117,241 2,606,617 ------------ ------------ HOTELS AND GAMING -- 0.6% 9,000 Boca Resorts Inc., Cl. A+ .............. 120,840 116,640 12,000 Dover Downs Gaming & Entertainment Inc. .. 113,503 98,640 29 Fair Grounds Corp.+ .. 177,460 87,363 ------------ ------------ 411,803 302,643 ------------ ------------ METALS AND MINING -- 0.0% 615,000 Royal Oak Mines Inc.+ 2,314 3,998 ------------ ------------ PAPER AND FOREST PRODUCTS -- 0.3% 16,300 Packaging Dynamics Corp.+ .............. 120,625 140,359 ------------ ------------ PUBLISHING -- 2.3% 85,000 PRIMEDIA Inc.+ ....... 145,515 242,250 68,800 Thomas Nelson Inc. ... 635,175 950,128 ------------ ------------ 780,690 1,192,378 ------------ ------------ REAL ESTATE -- 0.9% 2,508 Biloxi Marsh Lands Corp. ......... 20,623 82,764 19,017 Calcasieu Real Estate & Oil Co. Inc.+ ....... 110,844 109,348 500 Consolidated-Tomoka Land Co. ............ 10,520 14,505 6,000 Griffin Land & Nurseries Inc.+ ..... 68,398 80,760 7,800 Gyrodyne Company of America Inc.+ ....... 126,990 167,700 2,508 Royalty Ll+ .......... 0 0 ------------ ------------ 337,375 455,077 ------------ ------------ SHARES COST VALUE ------ ---- ----- RETAIL -- 0.1% 4,000 CoolBrands International Inc.+ .$ 5,397 $ 47,219 ------------ ------------ SPECIALTY CHEMICALS -- 1.0% 12,080 General Chemical Group Inc.+ ......... 36,896 4,047 1,000 KMG Chemicals, Inc. .. 3,270 2,770 35,000 Material Sciences Corp.+ .............. 370,983 357,700 45,200 Omnova Solutions Inc.+ ............... 248,780 158,652 ------------ ------------ 659,929 523,169 ------------ ------------ TELECOMMUNICATIONS -- 2.4% 32,540 ATX Communications Inc.+ ............... 68,495 9,437 8,260 Community Service Communications Inc.+ ............... 94,240 135,877 27,896 D&E Communications Inc. ................ 318,101 395,565 80 Horizon Telecom Inc.+ 9,250 8,700 339 Horizon Telecom Inc., Cl. B+ (a) .......... 39,073 36,866 2,000 Lexcom Inc., Cl. B+ .. 106,355 113,500 6,876 New Ulm Telecom Inc. . 70,690 64,806 9,153 NTL Europe Inc.+ ..... 687 275 542 NTL Inc.+ ............ 11,344 25,539 3,300 Shenandoah Telecommunications Co. ................. 101,736 127,215 10,000 Stratos Lightwave Inc.+ ............... 38,124 52,300 1,000 SureWest Communications ...... 26,664 33,250 50,000 Sycamore Networks Inc.+ ............... 164,231 245,000 ------------ ------------ 1,048,990 1,248,330 ------------ ------------ TRANSPORTATION -- 0.3% 6,000 Old Dominion Freight Line Inc.+ .......... 77,525 174,540 ------------ ------------ WIRELESS COMMUNICATIONS -- 0.2% 20,000 Leap Wireless International Inc.+ . 7,200 560 10,000 Rural Cellular Corp., Cl. A+ .............. 8,700 100,000 ------------ ------------ 15,900 100,560 ------------ ------------ TOTAL COMMON STOCKS .............. 28,137,569 33,453,509 ------------ ------------ PREFERRED STOCKS -- 1.3% AUTOMOTIVE: PARTS AND ACCESSORIES -- 0.6% 22,000 Jungheinerich AG Pfd. 178,557 314,871 ------------ ------------ BROADCASTING -- 0.7% 532 Granite Broadcasting Corp., 12.750% Pfd. ........ 224,996 372,400 ------------ ------------ DIVERSIFIED INDUSTRIAL -- 0.0% 2,000 WHX Corp., $3.75 Cv. Pfd., Ser. B+ ............. 11,900 10,000 ------------ ------------ TOTAL PREFERRED STOCKS .............. 415,453 697,271 ------------ ------------ See accompanying notes to financial statements. 20 THE GABELLI WESTWOOD MIGHTY MITES(SM) FUND PORTFOLIO OF INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2003 - -------------------------------------------------------------------------------- SHARES COST VALUE ------ ---- ----- CONVERTIBLE PREFERRED STOCKS -- 1.3% BUSINESS SERVICES -- 1.2% 6,236 Interep National Radio Sales Inc., 4.000% Cv. Pfd., Ser. A+(a)(b) .......$ 624,000 $ 636,072 ------------ ------------ DIVERSIFIED INDUSTRIAL -- 0.1% 5,000 WHX Corp., 6.500% Cv. Pfd., Ser. A+ ............. 31,140 25,000 ------------ ------------ TOTAL CONVERTIBLE PREFERRED STOCKS .... 655,140 661,072 ------------ ------------ WARRANTS -- 0.0% BUILDING AND CONSTRUCTION -- 0.0% 400 Eagle Supply Group Inc., expire 03/15/04+ .... 450 112 ------------ ------------ BUSINESS SERVICES -- 0.0% 1,666 Avalon Digital Marketing Systems Inc., Warrants expire 11/11/11+ (a) 0 0 37,500 Interep National Radio Sales Inc.+ (a) 0 0 ------------ ------------ 0 0 ------------ ------------ TELECOMMUNICATIONS -- 0.0% 2,000 Microcell Telecommunications Inc., Warrants Expire 05/01/05+ ........... 1,000 2,342 3,333 Microcell Telecommunications Inc., Warrants Expire 05/01/08+ ........... 2,766 5,755 78 Motient Corp. Warrants Expire 05/01/04+ ........... 24 15 ------------ ------------ 3,790 8,112 ------------ ------------ TOTAL WARRANTS ....... 4,240 8,224 ------------ ------------ PRINCIPAL AMOUNT COST VALUE --------- ---- ----- U.S. GOVERNMENT OBLIGATIONS -- 33.6% U.S. TREASURY BILLS -- 33.6% $17,395,000 U.S. Treasury Bills, 0.857% to 1.101%++, 10/02/03 to 12/18/03 ............$ 17,370,548 $ 17,372,023 ------------ ------------ TOTAL U.S. GOVERNMENT OBLIGATIONS ......... 17,370,548 17,372,023 ------------ ------------ TOTAL INVESTMENTS -- 100.9% ..............$ 46,582,950 52,192,099 ============ OTHER ASSETS AND LIABILITIES (NET) -- (0.9)% .................. (459,659) ------------ NET ASSETS -- 100.0% ..............$ 51,732,440 ============ - ---------------- (a) Security fair valued under procedures established by the Board of Trustees. (b) This security is restricted as to resale, but is convertible into registered common stock, and has been fair valued under procedures established by the Board of Trustees since its purchase on May 3, 2002. A dividend was paid in kind on May 1, 2003 of 236 shares. + Non-income producing security. ++ Represents annualized yield at date of purchase. ADR - American Depository Receipt. See accompanying notes to financial statements. 21 THE GABELLI WESTWOOD FUNDS STATEMENT OF ASSETS AND LIABILITIES SEPTEMBER 30, 2003 - -------------------------------------------------------------------------------- EQUITY BALANCED INTERMEDIATE SMALLCAP REALTY MIGHTY FUND FUND BOND FUND EQUITY FUND FUND MITES(SM) FUND ------------ ------------ ----------- ------------ ----------- -------------- ASSETS: Investments, at value (Cost $216,126,865, $148,371,654, $11,862,214, $14,472,281, $10,857,999 and $46,582,950, respectively) .......$224,499,623 $156,729,573 $12,340,191 $ 15,793,442 $12,903,809 $52,192,099 Cash .................................... 1,241,842 1,146,919 393,808 2,003 967,505 -- Dividends and interest receivable ....... 295,921 727,707 139,557 5,204 61,362 29,263 Receivable for Fund shares sold ......... 229,441 523,902 15,322 44,437 25,148 26,942 Receivable for investments sold ......... -- -- -- 374,879 -- 52,684 Receivable from advisor ................. -- -- 13,221 10,993 5,635 -- ------------ ------------ ----------- ------------ ----------- ----------- TOTAL ASSETS ............................ 226,266,827 159,128,101 12,902,099 16,230,958 13,963,459 52,300,988 ------------ ------------ ----------- ------------ ----------- ----------- LIABILITIES: Dividends payable ....................... -- -- 2,627 -- -- -- Payable for Fund shares redeemed ........ 137,925 486,191 8,199 1,154 472 394,357 Payable for investments purchased ....... 965,287 292,110 -- 178,883 -- 84,125 Payable for investment advisory fees .... 187,794 98,896 -- -- -- 23,105 Payable for distribution fees ........... 47,778 34,569 2,778 3,666 2,839 11,200 Payable to custodian .................... 1,245 1,485 1,992 7,035 2,219 19,480 Other accrued expenses .................. 165,727 95,561 26,509 31,252 18,684 36,281 ------------ ------------ ----------- ------------ ----------- ----------- TOTAL LIABILITIES ....................... 1,505,756 1,008,812 42,105 221,990 24,214 568,548 ------------ ------------ ----------- ------------ ----------- ----------- NET ASSETS ..............................$224,761,071 $158,119,289 $12,859,994 $ 16,008,968 $13,939,245 $51,732,440 ============ ============ =========== ============ =========== =========== NET ASSETS CONSIST OF: Share of beneficial interest, at par value .........................$ 11,003 $ 2,804 $ 533 $ 433 $ 913 $ 2,745 Additional paid-in capital .............. 257,207,192 158,678,703 12,385,654 28,780,092 12,147,213 45,726,761 Accumulated (distributions in excess of) net investment income ................ 1,744,460 -- (581) -- -- (110) Accumulated net realized gain (loss) on investments ....................... (42,574,342) (8,920,137) (3,589) (14,092,718) (254,691) 393,341 Net unrealized appreciation on investments ....................... 8,372,758 8,357,919 477,977 1,321,161 2,045,810 5,609,703 ------------ ------------ ----------- ------------ ----------- ----------- TOTAL NET ASSETS ........................$224,761,071 $158,119,289 $12,859,994 $ 16,008,968 $13,939,245 $51,732,440 ============ ============ =========== ============ =========== =========== SHARES OF BENEFICIAL INTEREST: CLASS AAA: Shares of beneficial interest outstanding ($0.001 par value) ....... 27,723,683 14,499,782 1,076,725 1,922,558 1,173,179 3,807,032 ========== ========== ========= ========= ========= ========= NET ASSET VALUE, offering and redemption price per share ...................... $7.99 $10.51 $11.31 $8.18 $11.87 $13.42 ===== ====== ====== ===== ====== ====== CLASS A: Shares of beneficial interest outstanding ($0.001 par value) ....... 366,884 483,635 12,218 13,640 864 2,438 ======= ======= ====== ====== === ===== NET ASSET VALUE, offering and redemption price per share ...................... $7.97 $10.48 $11.31 $8.18 $12.00 $13.46 ===== ====== ====== ===== ====== ====== Maximum sales charge .................... 4.00% 4.00% 4.00% 4.00% 4.00% 4.00% ==== ==== ==== ==== ==== ==== Maximum offering price per share (NAV/0.96, based on maximum sales charge of 4.00% of the offering price at September 30, 2003) .................. $8.30 $10.92 $11.78 $8.52 $12.50 $14.02 ===== ====== ====== ===== ====== ====== CLASS B: Shares of beneficial interest outstanding ($0.001 par value) ....... 9,389 17,576 44,396 8,057 117 38,839 ===== ====== ====== ===== === ====== NET ASSET VALUE, offering and redemption price per share ...................... $7.92(a) $10.48(a) $11.30(a) $8.03(a) $12.04(a) $13.30(a) ===== ====== ====== ===== ====== ====== CLASS C: Shares of beneficial interest outstanding ($0.001 par value) ....... 16,376 43,453 4,083 13,653 347 7,429 ====== ====== ===== ====== === ===== NET ASSET VALUE and offering price per share ...................... $7.89(a) $10.49(a) $11.30(a) $8.15(a) $12.32(a) $13.25(a) ===== ====== ====== ===== ====== ====== - -------------------- (a) Redemption price varies based on length of time held. See accompanying notes to financial statements. 22 THE GABELLI WESTWOOD FUNDS STATEMENT OF OPERATIONS FOR THE YEAR ENDED SEPTEMBER 30, 2003 - -------------------------------------------------------------------------------- EQUITY BALANCED INTERMEDIATE SMALLCAP REALTY MIGHTY FUND FUND BOND FUND EQUITY FUND FUND MITES(SM) FUND ------------ ------------ ----------- ------------ ----------- -------------- INVESTMENT INCOME: Dividends ...............................$ 6,130,459 $ 2,815,904 $ -- $ 76,298 $ 590,310 $ 325,272 Interest ................................ 5,391 2,428,712 544,053 534 2,820 164,255 ------------ ----------- --------- ---------- ---------- ---------- TOTAL INVESTMENT INCOME ................. 6,135,850 5,244,616 544,053 76,832 593,130 489,527 ------------ ----------- --------- ---------- ---------- ---------- EXPENSES: Investment advisory fees ................ 2,304,676 1,190,968 88,243 162,251 114,033 378,993 Distribution fees -- Class AAA .......... 569,486 382,967 35,224 40,268 28,465 94,187 Distribution fees -- Class A ............ 12,005 25,661 335 383 37 98 Distribution fees -- Class B ............ 507 1,371 4,035 361 92 1,410 Distribution fees -- Class C ............ 2,214 3,396 1,183 52 6 639 Legal and audit fees .................... 68,594 53,885 23,199 25,591 16,178 25,864 Custodian fees .......................... 30,149 41,902 9,605 31,573 9,234 22,182 Shareholder services fees ............... 252,543 116,886 20,161 14,912 13,050 42,885 Registration fees ....................... 56,157 58,078 46,614 39,285 47,232 46,819 Shareholder report expenses ............. 59,029 32,093 1,980 4,252 1,224 5,823 Organizational expenses ................. -- -- -- -- -- 5,770 Trustee fees ............................ 8,969 5,635 551 557 318 1,341 Miscellaneous expenses .................. 54,116 49,199 4,321 4,685 4,035 5,440 ------------ ----------- --------- ---------- ---------- ---------- TOTAL EXPENSES .......................... 3,418,445 1,962,041 235,451 324,170 233,904 631,451 ------------ ----------- --------- ---------- ---------- ---------- LESS: Expense reimbursements ............... -- -- (75,762) (75,562) (56,347) (61,411) Custodian fee credits ................ (25,109) (41,812) (8,609) (4,730) (6,414) (105) ------------ ----------- --------- ---------- ---------- ---------- TOTAL REIMBURSEMENTS AND CREDITS ..... (25,109) (41,812) (84,371) (80,292) (62,761) (61,516) ------------ ----------- --------- ---------- ---------- ---------- TOTAL NET EXPENSES ................... 3,393,336 1,920,229 151,080 243,878 171,143 569,935 ------------ ----------- --------- ---------- ---------- ---------- NET INVESTMENT INCOME (LOSS) ............ 2,742,514 3,324,387 392,973 (167,046) 421,987 (80,408) ------------ ----------- --------- ---------- ---------- ---------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY: Net realized gain (loss) on investments . (17,118,232) (3,969,952) 353,776 (610,797) 45,727 658,859 Net change in unrealized appreciation (depreciation) on investments and foreign currency translations ........ 46,872,694 17,609,031 (389,189) 2,243,193 2,078,575 6,462,220 ------------ ----------- --------- ---------- ---------- ---------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY ................. 29,754,462 13,639,079 (35,413) 1,632,396 2,124,302 7,121,079 ------------ ----------- --------- ---------- ---------- ---------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS .........................$ 32,496,976 $16,963,466 $ 357,560 $1,465,350 $2,546,289 $7,040,671 ============ =========== ========= ========== ========== ========== See accompanying notes to financial statements. 23 THE GABELLI WESTWOOD FUNDS STATEMENT OF CHANGES IN NET ASSETS - -------------------------------------------------------------------------------- EQUITY FUND BALANCED FUND ----------- ------------- FOR THE YEAR ENDED SEPTEMBER 30, FOR THE YEAR ENDED SEPTEMBER 30, ------------------------------- -------------------------------- 2003 2002 2003 2002 ------------ ------------- ------------ ------------ OPERATIONS: Net investment income .................. $ 2,742,514 $ 2,365,572 $ 3,324,387 $ 3,757,320 Net realized loss on investment transactions ........................ (17,118,232) (20,399,167) (3,969,952) (2,930,183) Net change in unrealized appreciation (depreciation) on investments ...................... 46,872,694 (25,480,301) 17,609,031 (9,724,124) ------------ ------------- ------------ ------------ Net increase (decrease) in net assets resulting from operations ........... 32,496,976 (43,513,896) 16,963,466 (8,896,987) ------------ ------------- ------------ ------------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income Class AAA ........................... (2,602,620) (1,622,258) (3,238,083) (3,627,329) Class A ............................. (15,571) (6,951) (95,033) (127,602) Class B ............................. (278) (88) (2,167) (1,458) Class C ............................. (2,736) -- (5,249) (890) ------------ ------------- ------------ ------------ (2,621,205) (1,629,297) (3,340,532) (3,757,279) ------------ ------------- ------------ ------------ Net realized gain on investment transactions Class AAA ........................... -- -- -- (14,844) Class A ............................. -- -- -- (628) Class B ............................. -- -- -- -- Class C ............................. -- -- -- (1) ------------ ------------- ------------ ------------ -- -- -- (15,473) ------------ ------------- ------------ ------------ Total distributions to shareholders .... (2,621,205) (1,629,297) (3,340,532) (3,772,752) ------------ ------------- ------------ ------------ SHARES OF BENEFICIAL INTEREST TRANSACTIONS: Proceeds from shares issued Class AAA ........................... 46,407,699 89,564,032 38,772,298 43,867,479 Class A ............................. 1,345,854 388,034 935,819 700,362 Class B ............................. 51,042 93,096 92,381 229,297 Class C ............................. 863,444 38,238 706,432 388,035 ------------ ------------- ------------ ------------ 48,668,039 90,083,400 40,506,930 45,185,173 ------------ ------------- ------------ ------------ Proceeds from reinvestment of dividends Class AAA ........................... 2,264,442 1,467,945 3,005,116 3,390,910 Class A ............................. 14,299 6,481 78,353 102,741 Class B ............................. 278 88 1,924 1,292 Class C ............................. 2,735 -- 2,797 663 ------------ ------------- ------------ ------------ 2,281,754 1,474,514 3,088,190 3,495,606 ------------ ------------- ------------ ------------ Cost of shares redeemed Class AAA ........................... (87,748,936) (80,914,475) (53,401,600) (38,302,798) Class A ............................. (594,797) (328,729) (2,168,311) (1,094,222) Class B ............................. (33,717) (58,808) (31,726) (101,002) Class C ............................. (777,960) (4,210) (570,280) (100,000) ------------ ------------- ------------ ------------ (89,155,410) (81,306,222) (56,171,917) (39,598,022) ------------ ------------- ------------ ------------ Net increase (decrease) in net assets from shares of beneficial interest transactions ............... (38,205,617) 10,251,692 (12,576,797) 9,082,757 ------------ ------------- ------------ ------------ Net increase (decrease) in net assets ....................... (8,329,846) (34,891,501) 1,046,137 (3,586,982) NET ASSETS: Beginning of period .................... 233,090,917 267,982,418 157,073,152 160,660,134 ------------ ------------- ------------ ------------ End of period .......................... $224,761,071 $233,090,917 $158,119,289 $157,073,152 ============ ============= ============ ============ Undistributed net investment income .... $ 1,744,460 $ 1,623,151 -- $ 7,892 ============ ============= ============ ============ See accompanying notes to financial statements. 24 THE GABELLI WESTWOOD FUNDS STATEMENT OF CHANGES IN NET ASSETS (CONTINUED) - -------------------------------------------------------------------------------- INTERMEDIATE BOND FUND SMALLCAP EQUITY FUND ---------------------- -------------------- FOR THE YEAR ENDED SEPTEMBER 30, FOR THE YEAR ENDED SEPTEMBER 30, ------------------------------- -------------------------------- 2003 2002 2003 2002 ------------ ------------- ------------ ------------ OPERATIONS: Net investment income (loss) .................$ 392,973 $ 400,829 $ (167,046) $ (217,564) Net realized gain (loss) on investment transactions ................... 353,776 82,808 (610,797) (4,127,857) Net change in unrealized appreciation (depreciation) on investments ............. (389,189) 481,747 2,243,193 1,237,352 ------------ ------------ ------------ ------------ Net increase (decrease) in net assets resulting from operations ................. 357,560 965,384 1,465,350 (3,108,069) ------------ ------------ ------------ ------------ DISTRIBUTIONS TO SHAREHOLDERS: Net investment income Class AAA ................................. (380,496) (395,578) -- -- Class A ................................... (2,488) (2,234) -- -- Class B ................................... (7,806) (1,965) -- -- Class C ................................... (2,198) (1,052) -- -- ------------ ------------ ------------ ------------ Total distributions to shareholders .......... (392,988) (400,829) -- -- ------------ ------------ ------------ ------------ SHARES OF BENEFICIAL INTEREST TRANSACTIONS: Proceeds from shares issued Class AAA ................................. 41,063,328 19,846,018 18,908,564 16,704,882 Class A ................................... 170,010 3,178 33,727 72,096 Class B ................................... 848,694 288,731 32,037 8,326 Class C ................................... 1,308,262 138,031 115,731 1,174 ------------ ------------ ------------ ------------ 43,390,294 20,275,958 19,090,059 16,786,478 ------------ ------------ ------------ ------------ Proceeds from reinvestment of dividends Class AAA ................................. 328,481 354,460 -- -- Class A ................................... 2,255 2,162 -- -- Class B ................................... 4,411 1,797 -- -- Class C ................................... 1,852 941 -- -- ------------ ------------ ------------ ------------ 336,999 359,360 -- -- ------------ ------------ ------------ ------------ Cost of shares redeemed Class AAA ................................. (44,340,287) (13,736,361) (20,860,519) (19,160,802) Class A ................................... (93,540) (44,762) -- -- Class B ................................... (577,839) (93,936) -- (1,365) Class C ................................... (1,311,766) (89,343) -- (1,061) ------------ ------------ ------------ ------------ (46,323,432) (13,964,402) (20,860,519) (19,163,228) ------------ ------------ ------------ ------------ Net increase (decrease) in net assets from shares of beneficial interest transactions .............................. (2,596,139) 6,670,916 (1,770,460) (2,376,750) ------------ ------------ ------------ ------------ Net increase (decrease) in net assets ........ (2,631,567) 7,235,471 (305,110) (5,484,819) NET ASSETS: Beginning of period .......................... 15,491,561 8,256,090 16,314,078 21,798,897 ------------ ------------ ------------ ------------ End of period ................................$ 12,859,994 $ 15,491,561 $ 16,008,968 $ 16,314,078 ============ ============ ============ ============ See accompanying notes to financial statements. 25 THE GABELLI WESTWOOD FUNDS STATEMENT OF CHANGES IN NET ASSETS (CONTINUED) - -------------------------------------------------------------------------------- REALTY FUND MIGHTY MITES(SM) FUND ----------- --------------------- FOR THE YEAR ENDED SEPTEMBER 30, FOR THE YEAR ENDED SEPTEMBER 30, ------------------------------- -------------------------------- 2003 2002 2003 2002 ------------ ------------- ------------ ------------ OPERATIONS: Net investment income (loss) ..................$ 421,987 $ 266,666 $ (80,408) $ 71,970 Net realized gain (loss) on investment transactions ................... 45,727 (27,106) 658,859 239,684 Net change in unrealized appreciation (depreciation) on investments .............. 2,078,575 (237,735) 6,462,220 (379,983) ----------- ----------- ------------ ------------ Net increase (decrease) in net assets resulting from operations .................. 2,546,289 1,825 7,040,671 (68,329) ----------- ----------- ------------ ------------ DISTRIBUTIONS TO SHAREHOLDERS: Net investment income Class AAA .................................. (423,817) (283,561) (86,465) (166,142) Class A .................................... (143) (138) (97) -- Class B .................................... (405) (184) -- (14) Class C .................................... (34) (2) -- (317) ----------- ----------- ------------ ------------ (424,399) (283,885) (86,562) (166,473) ----------- ----------- ------------ ------------ Net realized gain on investment transactions Class AAA .................................. -- -- (118,037) -- Class A .................................... -- -- (82) -- Class B .................................... -- -- (17) -- Class C .................................... -- -- (257) -- ----------- ----------- ------------ ------------ -- -- (118,393) -- ----------- ----------- ------------ ------------ Total distributions to shareholders .......... (424,399) (283,885) (204,955) (166,473) ----------- ----------- ------------ ------------ SHARES OF BENEFICIAL INTEREST TRANSACTIONS: Proceeds from shares issued Class AAA .................................. 11,175,605 13,236,562 40,071,725 41,806,432 Class A .................................... 100,769 12,575 28,170 990 Class B .................................... 35,053 11,501 546,036 4,430 Class C .................................... 11,314 23,753 88,426 119,384 ----------- ----------- ------------ ------------ 11,322,741 13,284,391 40,734,357 41,931,236 ----------- ----------- ------------ ------------ Proceeds from reinvestment of dividends Class AAA .................................. 381,961 245,774 186,652 158,908 Class A .................................... 140 136 178 0 Class B .................................... 403 183 16 14 Class C .................................... 31 2 256 317 ----------- ----------- ------------ ------------ 382,535 246,095 187,102 159,239 ----------- ----------- ------------ ------------ Cost of shares redeemed Class AAA .................................. (8,875,621) (7,604,936) (27,082,367) (28,024,044) Class A .................................... (96,437) (12,701) -- (56,837) Class B .................................... (43,582) (1,410) (49,416) (4,901) Class C .................................... (7,289) (23,239) (60,346) (76,445) ----------- ----------- ------------ ------------ (9,022,929) (7,642,286) (27,192,129) (28,162,227) ----------- ----------- ------------ ------------ Net increase in net assets from shares of beneficial interest transactions ...................... 2,682,347 5,888,200 13,729,330 13,928,248 ----------- ----------- ------------ ------------ Net increase in net assets .................... 4,804,237 5,606,140 20,565,046 13,693,446 NET ASSETS: Beginning of period ........................... 9,135,008 3,528,868 31,167,394 17,473,948 ----------- ----------- ------------ ------------ End of period. ................................$13,939,245 $ 9,135,008 $ 51,732,440 $ 31,167,394 =========== =========== ============ ============ Undistributed net investment income ...........$ -- $ 2,205 $ -- $ 20,415 =========== =========== ============ ============ See accompanying notes to financial statements. 26 THE GABELLI WESTWOOD FUNDS NOTES TO FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- 1. ORGANIZATION. The Gabelli Westwood Funds (the "Trust") is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as a diversified, open-end management investment company and currently consists of six active separate investment portfolios: Equity Fund, Balanced Fund, Intermediate Bond Fund, SmallCap Equity Fund, Realty Fund and Mighty Mites Fund (collectively, the "Funds"), each with four classes of shares known as the Class AAA Shares, Class A Shares, Class B Shares and Class C Shares. Each class of shares outstanding bears the same voting, dividend, liquidation and other rights and conditions, except that the expenses incurred in the distribution and marketing of such shares are different for each class. 2. SIGNIFICANT ACCOUNTING POLICIES. The preparation of financial statements in accordance with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The following is a summary of the significant accounting policies followed by the Funds in the preparation of their financial statements. SECURITY VALUATION. Portfolio securities listed or traded on a nationally recognized securities exchange, quoted by the National Association of Securities Dealers Automated Quotations, Inc. ("Nasdaq") or traded in the U.S. over-the-counter market for which market quotations are readily available are valued at the last quoted sale or closing price on that exchange or market 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 so determines, by such other method as the Board of Trustees 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 foreign markets are generally valued at the preceding closing values of such securities on their respective exchanges. Securities and assets for which market quotations are not readily available are valued at their fair value as determined in good faith under procedures established by and under the general supervision of the Board of Trustees. Short term debt securities with remaining maturities of 60 days or less are valued at amortized cost, unless the Board of Trustees determine such does not reflect the securities fair value, in which case these securities will be valued at their fair value as determined by the Board of Trustees. Debt instruments having a maturity greater than 60 days for which market quotations are readily available are valued at the latest average of the bid and asked prices. If there were no asked prices quoted on such day, the security is valued using the closing bid price. Options are valued at the last sale price on the exchange on which they are listed. If no sales of such options have taken place that day, they will be valued at the mean between their closing bid and asked prices. ACCOUNTING FOR REAL ESTATE INVESTMENT TRUSTS. The Funds own shares of Real Estate Investment Trusts ("REITS") which report information on the source of their distributions annually. Distributions received from REITS during the year which are known to be a return of capital are recorded as a reduction to the cost of the individual REIT. FOREIGN CURRENCY TRANSLATION. The books and records of the Trust are maintained in United States (U.S.) dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars at the exchange rates prevailing at the end of the period, and 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, which result from changes in foreign exchange rates and/or changes in market prices of securities, have been included 27 THE GABELLI WESTWOOD FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) - -------------------------------------------------------------------------------- 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 Trust and the amounts actually received. The portion of foreign currency gains and losses related to fluctuation in exchange rates between the initial trade date and subsequent sale trade date is included in realized gain/(loss) on investments. SECURITIES TRANSACTIONS AND INVESTMENT INCOME. Securities transactions are accounted for on the trade date with realized gain or loss on investments determined by using the identified cost method. Interest income (including amortization of premium and accretion of discount) is recorded as earned. Dividend income is recorded on the ex-dividend date. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS. Dividends from net investment income are declared and paid annually for the Equity Fund, SmallCap Equity Fund and Mighty Mites Fund, and quarterly for the Balanced Fund and Realty Fund. The Intermediate Bond Fund declares dividends daily and pays those dividends monthly. Distributions of net realized gain on investments are normally declared and paid at least annually by each Fund. Dividends and distributions to shareholders are recorded on the ex-dividend date. Income distributions and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These differences are primarily due to differing treatments of income and gains on various investment securities held by the Funds, timing differences and differing characterization of distributions made by the Funds. For the year ended September 30, 2003, the following reclassifications were made to increase (decrease) such accounts with offsetting adjustments to additional paid-in-capital. These reclassifications related primarily to distributions from Real Estate Investment Trusts, net operating losses and nondeductible organizational costs. ACCUMULATED UNDISTRIBUTED ACCUMULATED REALIZED NET INVESTMENT INCOME (LOSS) GAIN (LOSS) ON INVESTMENTS ---------------------------- -------------------------- Equity Fund ....................... -- $ (461) Balanced Fund ..................... $ 8,253 -- Intermediate Bond Fund ............ (566) 566 SmallCap Equity Fund .............. 167,046 532 Realty Fund ....................... 207 -- Mighty Mites Fund ................. 146,445 (140,675) The tax character of distributions paid during the fiscal year ended September 30, 2003 were as follows: INTERMEDIATE SMALLCAP MIGHTY EQUITY BALANCED BOND EQUITY REALTY MITES(SM) FUND FUND FUND FUND FUND FUND ------ -------- ------------ -------- ------ --------- Distributions paid from: Ordinary income (inclusive of short term capital gains) ....................... $2,621,205 $3,340,532 $392,988 -- $424,399 $101,542 Net long term capital gains ............. -- -- -- -- -- 103,413 ---------- ---------- -------- -------- -------- -------- Total distributions paid ................ $2,621,205 $3,340,532 $392,988 -- $424,399 $204,955 ========== ========== ======== ======== ======== ======== 28 THE GABELLI WESTWOOD FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) - -------------------------------------------------------------------------------- PROVISION FOR INCOME TAXES. The Funds intend to continue to qualify as regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended. By so qualifying, the Funds will not be subject to federal income taxes to the extent that they distribute all of their taxable income for the fiscal year. As of September 30, 2003, the components of distributable accumulated earnings/(losses) on a tax basis were as follows: INTERMEDIATE SMALLCAP MIGHTY EQUITY BALANCED BOND EQUITY REALTY MITES(SM) FUND FUND FUND FUND FUND FUND ------------ ----------- -------- ------------ ---------- ---------- Undistributed ordinary income ..........$ 1,744,460 -- $ 2,046 -- -- $ 196,000 Currently distributable long-term capital gain ............... -- -- -- -- -- 246,373 Capital loss carryforward .............. (27,349,500) $(4,979,695) -- $(13,690,665) $ (202,901) -- Unrealized appreciation/(depreciation) . 6,822,662 7,607,561 460,773 1,286,561 1,994,021 5,560,670 ------------ ----------- -------- ------------ ---------- ---------- Total accumulated income/(loss) ........$(18,782,378) $ 2,627,866 $462,819 $(12,404,104) $1,791,120 $6,003,043 ============ =========== ======== ============ ========== ========== The difference between book and tax-basis unrealized appreciation/(depreciation) is attributable primarily to the tax basis deferral of losses on wash sales. DETERMINATION OF NET ASSET VALUE AND CALCULATION OF EXPENSES. Expenses directly attributable to a Fund are charged to that Fund. Other expenses are allocated proportionately among each Fund within the Trust in relation to the net assets of each Fund or on another reasonable basis. In calculating net asset value per share of each class, investment income, realized and unrealized gains and losses 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 solely borne by the class incurring the expense. CONCENTRATION RISK. The Realty Fund invests a substantial portion of its assets in REITS; therefore it may be more affected by economic developments in the real estate industry than would a general equity fund. 3. INVESTMENT ADVISORY AGREEMENTS. The Funds have entered into an investment advisory agreement (the "Advisory Agreement") with the Adviser which provides that the Funds will pay the Adviser a fee, computed daily and paid monthly, at the annual rate of 1.00% for the Equity Fund, SmallCap Equity Fund, Realty Fund and Mighty Mites Fund, 0.75% for the Balanced Fund, and 0.60% for the Intermediate Bond Fund, of each Fund's average daily net assets. The Adviser has contractually agreed to waive its investment advisory fee and/or reimburse expenses to the Intermediate Bond Fund, SmallCap Equity Fund, Realty Fund and Mighty Mites Fund in the event annual expenses of such Funds exceed certain prescribed limits. Such fee waiver/reimbursement arrangement will continue until at least September 30, 2004. For the year ended September 30, 2003, the Adviser was entitled to fees of $2,304,676, $162,251, $114,033, $378,993, $1,190,968 and $88,243 for the Equity, SmallCap Equity, Realty, Mighty Mites, Balanced and Intermediate Bond Funds, respectively. For the year ended September 30, 2003, the Adviser waived fees or reimbursed expenses in the amounts of $75,562, $56,347, $61,411 and $75,762 for the SmallCap Equity, Realty, Mighty Mites and Intermediate Bond Funds, respectively. The Intermediate Bond Fund, SmallCap Equity Fund, Realty Fund and Mighty Mites Fund are obliged to repay the Adviser for a period of two fiscal years following the fiscal year in which the Adviser reimbursed the Fund only to the extent that the operating expenses of the Fund fall below the applicable expense limitation for Class AAA of 1.00%, 1.50%, 1.50% and 1.50%, respectively and for Class A of 1.10%, 1.75%, 1.75% and 1.75%, respectively, and for Class B and C of 1.75%, 2.25%, 2.25% and 2.25%, respectively of average daily net assets, the annual limitation under the plan. As of September 30, 2003 the cumulative unreimbursed amounts which may be recovered by the Adviser within the next two fiscal years are $139,437, $121,580, $117,935 and $137,700 for the Intermediate Bond, SmallCap Equity, Realty and Mighty Mites Funds, respectively. 29 THE GABELLI WESTWOOD FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) - -------------------------------------------------------------------------------- The Funds, with the exception of the Mighty Mites Fund, have also entered into a sub-advisory agreement with Westwood Management Corp. (the "Sub-Adviser") whereby the Adviser pays the Sub-Adviser the greater of $150,000 per year on an aggregate basis for the Funds or a fee of 35% of net revenues to the Adviser from the Funds. For the year ended September 30, 2003, the Adviser paid to the Sub-Adviser fees of $682,634, $48,058, $33,776, $470,345 and $43,562 for the Equity, SmallCap Equity, Realty, Balanced and Intermediate Bond Funds, respectively. 4. DISTRIBUTION PLANS. The Funds have adopted distribution plans pursuant to Rule 12b-1 under the 1940 Act. Gabelli & Company, Inc. ("Gabelli & Company"), an affiliate of the Adviser, serves as distributor of the Funds. The Class AAA Share Plan authorizes payment by the Funds to Gabelli & Company in connection with the distribution of its Class AAA shares at an annual rate of 0.25% of the average daily net assets of those Funds each fiscal year. Such payments are accrued daily and paid monthly. Under the Class A Share Plan, payments are authorized to Gabelli & Company in connection with the distribution of its Class A shares at an annual rate of 0.50% and for the Intermediate Bond Fund at an annual rate of 0.35% of the average daily net assets of those Funds each fiscal year. Such payments are accrued daily and paid monthly. Under the Class B Share Plan, payments are authorized to Gabelli & Company in connection with the distribution and service of its Class B Shares at an annual rate of 1.00% of the average daily net assets of those Funds each fiscal year. Such payments are accrued daily and paid monthly. Under the Class C Share Plan, payments are authorized to Gabelli & Company in connection with the distribution and service of its Class C Shares at an annual rate of 1.00% of the average daily net assets of those Funds each fiscal year. Such payments are accrued daily and paid monthly. 5. ORGANIZATIONAL EXPENSES. The organizational expenses of the Funds are being amortized on a straight-line basis over a period of 60 months from the commencement of the respective Fund's investment operations. 6. PORTFOLIO SECURITIES. Purchases and sales of securities for the year ended September 30, 2003, other than short term securities, are as follows: PURCHASES SALES PURCHASES SALES (EXCLUDING U.S. (EXCLUDING U.S. OF U.S. OF U.S. GOVERNMENT) GOVERNMENT) GOVERNMENT GOVERNMENT SECURITIES SECURITIES SECURITIES SECURITIES ------------ ------------- ---------- ---------- Equity Fund ................. $112,888,816 $143,424,396 -- -- Balanced Fund ............... 60,740,968 74,031,319 $21,873,115 $17,911,866 Intermediate Bond Fund ...... 2,447,245 1,093,330 6,420,433 8,539,756 SmallCap Equity Fund ........ 52,231,885 53,279,576 -- -- Realty Fund ................. 5,726,253 3,423,398 -- -- Mighty Mites Fund ........... 14,479,500 3,328,473 -- -- 30 THE GABELLI WESTWOOD FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) - -------------------------------------------------------------------------------- 7. TRANSACTIONS WITH AFFILIATES. During the year ended September 30, 2003, the Mighty Mites Fund paid brokerage commissions of $33,129 to Gabelli & Company. Gabelli & Company has informed the Trust that it received commissions (sales charges and underwriting fees) from investors on sales or redemptions of Fund shares in the amount of $3,020. The cost of calculating each Fund's net asset value per share is a Fund expense pursuant to the Investment Advisory Agreement between each Fund and Gabelli Advisers, Inc. (the "Adviser"). During the year ended September 30, 2003, the Gabelli Westwood Equity Fund and the Gabelli Westwood Balanced Fund reimbursed the Adviser $34,800 each in connection with the cost of computing such Fund's net asset value. 8. FEDERAL INCOME TAX INFORMATION. The Equity Fund has capital loss carryforwards for Federal income tax purposes of $5,455,742 and $21,893,758 available through September 2010 and 2011, respectively. The Balanced Fund has capital loss carryforwards for Federal income tax purposes of $1,323,084 and $3,656,611 available through September 2010 and 2011, respectively. The Intermediate Bond Fund utilized capital loss carryforwards of $355,159 during the fiscal year 2003. The SmallCap Equity Fund has capital loss carryforwards for Federal income tax purposes of $8,845,179 and $4,845,486 available through September 2010 and 2011, respectively. The Realty Fund has capital loss carryforwards for Federal income tax purposes of $3,953, $185,550 and $13,398 available through September 2007, 2008 and 2011, respectively. These loss carryforwards are available to reduce distributions of net capital gains to shareholders. Under the current tax law, capital losses related to securities and foreign currency realized after October 31 and prior to the Fund's fiscal year end may be deferred as occurring on the first day of the following year. For the fiscal year ended September 30, 2003 the Funds elected to defer capital losses as follows: DEFERRED LOSS ------------- Equity Fund ..................... $13,674,745 Balanced Fund ................... 3,197,287 Intermediate Bond Fund .......... -- SmallCap Equity Fund ............ 367,452 Realty Fund ..................... -- Mighty Mites Fund ............... -- 9. FOR FEDERAL TAX PURPOSES: INTERMEDIATE SMALLCAP MIGHTY EQUITY BALANCED BOND EQUITY REALTY MITES(SM) FUND FUND FUND FUND FUND FUND ----------- ------------ ----------- ----------- ----------- ----------- Aggregate cost ......................... $217,676,961 $149,118,411 $11,879,418 $14,506,882 $10,909,788 $46,631,983 ============ ============ =========== =========== =========== =========== Gross unrealized appreciation .......... $ 16,835,379 $ 10,275,463 $ 484,609 $ 1,532,618 $ 2,048,766 $ 7,141,703 Gross unrealized depreciation .......... (10,012,717) (2,664,301) (23,836) (246,057) (54,745) (1,581,587) ----------- ------------ ----------- ----------- ----------- ----------- Net unrealized appreciation ............ $ 6,822,662 $ 7,611,162 $ 460,773 $ 1,286,561 $ 1,994,021 $ 5,560,116 ============ ============ =========== =========== =========== =========== 10. CONTINGENCY. On October 7, 2003, the Funds' Adviser received a subpoena from the Attorney General of the State of New York requesting information on mutual fund shares trading practices. The Adviser is in the process of responding to the subpoena. The Funds do not believe that this matter will have a material adverse effect on the Funds' financial position or results of the operations. 31 THE GABELLI WESTWOOD FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) - -------------------------------------------------------------------------------- 11. SHARES OF BENEFICIAL INTEREST. Transactions in shares of beneficial interest were as follows: EQUITY FUND BALANCED FUND INTERMEDIATE BOND FUND -------------------------- ------------------------- ------------------------ YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, 2003 2002 2003 2002 2003 2002 ----------- ---------- ---------- ---------- ---------- ---------- CLASS AAA Shares sold ....................... 6,208,684 10,290,139 3,823,778 4,099,924 3,647,441 1,825,733 Shares issued upon reinvestment of dividends ...... 302,329 164,016 293,563 320,307 29,158 32,739 Shares redeemed ...................(11,724,255) (9,466,722) (5,264,486) (3,595,497) (3,941,459) (1,269,002) ----------- ---------- ---------- ---------- ---------- ---------- Net increase (decrease) in Class AAA shares ............. (5,213,242) 987,433 (1,147,145) 824,734 (264,860) 589,470 =========== ========== ========== ========== ========== ========== CLASS A Shares sold ....................... 186,265 44,412 91,710 68,122 15,245 282 Shares issued upon reinvestment of dividends ................... 1,914 726 7,686 9,744 200 200 Shares redeemed ................... (80,023) (39,327) (214,898) (102,674) (8,177) (4,100) ----------- ---------- ---------- ---------- ---------- ---------- Net increase (decrease) in Class A shares ............... 108,156 5,811 (115,502) (24,808) 7,268 (3,618) =========== ========== ========== ========== ========== ========== CLASS B Shares sold ....................... 6,566 12,326 8,962 21,585 75,176 26,399 Shares issued upon reinvestment of dividends ................... 37 10 187 124 392 164 Shares redeemed ................... (4,803) (8,001) (3,310) (10,183) (51,400) (8,490) ----------- ---------- ---------- ---------- ---------- ---------- Net increase in Class B shares . 1,800 4,335 5,839 11,526 24,168 18,073 =========== ========== ========== ========== ========== ========== CLASS C Shares sold ....................... 113,403 4,706 69,360 39,173 118,109 12,812 Shares issued upon reinvestment of dividends ................... 368 -- 271 63 164 87 Shares redeemed ................... (102,101) (488) (55,678) (10,395) (118,596) (8,493) ----------- ---------- ---------- ---------- ---------- ---------- Net increase (decrease) in Class C shares ............... 11,670 4,218 13,953 28,841 (323) 4,406 =========== ========== ========== ========== ========== ========== SMALLCAP EQUITY FUND REALTY FUND MIGHTY MITES(SM) FUND -------------------------- ------------------------- ------------------------ CLASS AAA Shares sold ....................... 2,500,124 1,649,382 1,060,132 1,255,344 3,248,232 3,521,822 Shares issued upon reinvestment of dividends ................... -- -- 36,193 23,688 16,344 13,915 Shares redeemed ................... (2,741,991) (1,942,293) (832,671) (730,706) (2,213,063) (2,364,307) ----------- ---------- ---------- ---------- ---------- ---------- Net increase (decrease) in Class AAA shares .............. (241,867) (292,911) 263,654 548,326 1,051,513 1,171,430 =========== ========== ========== ========== ========== ========== CLASS A Shares sold ....................... 4,227 9,413 9,846 1,168 2,344 79 Shares issued upon reinvestment of dividends ................... -- -- 12 13 15 -- Shares redeemed ................... -- -- (9,323) (1,158) -- (4,280) ----------- ---------- ---------- ---------- ---------- ---------- Net increase (decrease) in Class A shares ............. 4,227 9,413 535 23 2,359 (4,201) =========== ========== ========== ========== ========== ========== CLASS B Shares sold ....................... 3,889 832 3,525 1,059 42,229 386 Shares issued upon reinvestment of dividends ................... -- -- 40 18 1 1 Shares redeemed ................... -- (135) (4,384) (141) (3,737) (418) ----------- ---------- ---------- ---------- ---------- ---------- Net increase (decrease) in Class B shares .............. 3,889 697 (819) 936 38,493 (31) =========== ========== ========== ========== ========== ========== CLASS C Shares sold ....................... 13,643 121 1,076 2,351 7,086 10,065 Shares issued upon reinvestment of dividends ................... -- -- 3 1 23 28 Shares redeemed ................... -- (111) (742) (2,342) (5,007) (6,509) ----------- ---------- ---------- ---------- ---------- ---------- Net increase in Class C shares . 13,643 10 337 10 2,102 3,584 =========== ========== ========== ========== ========== ========== 32 THE GABELLI WESTWOOD FUNDS FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- Selected data for a share of beneficial interest outstanding throughout each period: OPERATING PERFORMANCE DISTRIBUTIONS TO SHAREHOLDERS --------------------------------------- ----------------------------------------- NET REALIZED NET ASSET NET AND TOTAL NET NET VALUE, INVESTMENT UNREALIZED GAIN FROM NET REALIZED ASSET VALUE, PERIOD ENDED BEGINNING INCOME (LOSS) ON INVESTMENT INVESTMENT GAIN ON TOTAL END OF TOTAL SEPTEMBER 30 OF PERIOD (LOSS)(B) INVESTMENTS OPERATIONS INCOME INVESTMENTS DISTRIBUTIONS PERIOD RETURN+ - ------------ --------- ---------- --------------- ---------- ---------- ----------- ------------- ----------- ------- EQUITY FUND CLASS AAA 2003 $ 7.02 $ 0.09 $ 0.96 $ 1.05 $(0.08) -- $(0.08) $ 7.99 15.1% 2002 8.32 0.07 (1.32) (1.25) (0.05) -- (0.05) 7.02 (15.1) 2001 11.12 0.04 (1.52) (1.48) (0.01) $(1.31) (1.32) 8.32 (14.9) 2000 10.46 (0.00)(c) 1.86 1.86 (0.02) (1.18) (1.20) 11.12 19.3 1999 8.99 0.04 1.72 1.76 (0.06) (0.23) (0.29) 10.46 19.8 CLASS A 2003 $ 6.99 $ 0.07 $ 0.97 $ 1.04 $(0.06) -- $(0.06) $ 7.97 15.0% 2002 8.29 0.05 (1.32) (1.27) (0.03) -- (0.03) 6.99 (15.4) 2001 11.10 0.02 (1.52) (1.50) -- $(1.31) (1.31) 8.29 (15.1) 2000 10.46 (0.03) 1.85 1.82 -- (1.18) (1.18) 11.10 19.0 1999 8.97 0.02 1.73 1.75 (0.03) (0.23) (0.26) 10.46 19.5 CLASS B 2003 $ 6.97 $ 0.04 $ 0.95 $ 0.99 $(0.04) -- $(0.04) $ 7.92 14.3% 2002 8.29 0.02 (1.32) (1.30) (0.02) -- (0.02) 6.97 (15.7) 2001 (d) 9.65 (0.01) (1.35) (1.36) -- -- -- 8.29 (14.1) CLASS C 2003 $ 6.98 $ 0.04 $ 0.96 $ 1.00 $(0.09) -- $(0.09) $ 7.89 14.4% 2002 8.28 0.01 (1.31) (1.30) -- -- -- 6.98 (15.7) 2001 (e) 10.25 (0.01) (1.96) (1.97) -- -- -- 8.28 (19.2) RATIOS TO AVERAGE NET ASSETS AND SUPPLEMENTAL DATA -------------------------------------------------- NET NET ASSETS, INVESTMENT EXPENSES END OF INCOME (LOSS) NET OF WAIVERS PORTFOLIO PERIOD ENDED PERIOD TO AVERAGE TO AVERAGE TURNOVER SEPTEMBER 30 (IN 000'S) NET ASSETS NET ASSETS(A) RATE - ------------ ----------- ------------ -------------- --------- EQUITY FUND CLASS AAA 2003 $221,635 1.19% 1.48% 50% 2002 231,197 0.84 1.46 84 2001 265,855 0.45 1.43 87 2000 204,094 (0.00) 1.48 91 1999 155,036 0.38 1.49 67 CLASS A 2003 $ 2,923 0.94% 1.73% 50% 2002 1,808 0.59 1.71 84 2001 2,096 0.20 1.68 87 2000 2,133 (0.25) 1.73 91 1999 2,222 0.13 1.74 67 CLASS B 2003 $ 74 0.44% 2.23% 50% 2002 53 0.09 2.21 84 2001 (d) 27 (0.30)(f) 2.18(f) 87 CLASS C 2003 $ 129 0.44% 2.23% 50% 2002 33 0.09 2.21 84 2001 (e) 4 (0.30)(f) 2.18(f) 87 - -------------------------- + 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 dividends. Total return for the period of less than one year is not annualized. (a) The ratios do not include a reduction of expenses for custodian fee credits on cash balances maintained with the custodian. Including such custodian fee credits, the expense ratios would be 1.47% (Class AAA), 1.72% (Class A) and 2.22% (Class B and Class C) for the period ended September 30, 2003, 1.43% (Class AAA), 1.68% (Class A) and 2.18% (Class B and Class C) for 2002, 1.42% (Class AAA), 1.67% (Class A) and 2.17% (Class B and Class C) for 2001, 1.47% (Class AAA) and 1.72% (Class A) for 2000 and 1.44% (Class AAA) and 1.69% (Class A) for 1999. (b) Per share amounts have been calculated using the monthly average shares outstanding method for fiscal 2000, 2001, 2002 and 2003. (c) Amount represents less than $0.005 per share. (d) From March 27, 2001 through September 30, 2001, the period through which Class B Shares were continuously outstanding. (e) From February 13, 2001 through September 30, 2001, the period through which Class C Shares were continuously outstanding. (f) Annualized. See accompanying notes to financial statements. 33 THE GABELLI WESTWOOD FUNDS FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- Selected data for a share of beneficial interest outstanding throughout each period: OPERATING PERFORMANCE DISTRIBUTIONS TO SHAREHOLDERS --------------------------------------- ----------------------------------------- NET REALIZED NET ASSET NET AND TOTAL NET NET VALUE, INVESTMENT UNREALIZED GAIN FROM NET REALIZED ASSET VALUE, PERIOD ENDED BEGINNING INCOME (LOSS) ON INVESTMENT INVESTMENT GAIN ON TOTAL END OF TOTAL SEPTEMBER 30 OF PERIOD (LOSS)(B) INVESTMENTS OPERATIONS INCOME INVESTMENTS DISTRIBUTIONS PERIOD RETURN+ - ------------ --------- ---------- --------------- ---------- ---------- ----------- ------------- ----------- ------- BALANCED FUND CLASS AAA 2003 $ 9.65 $0.21 $ 0.87 $ 1.08 $(0.22) -- $(0.22) $10.51 11.2% 2002 10.40 0.24 (0.75) (0.51) (0.24) --(c) (0.24) 9.65 (5.1) 2001 12.40 0.26 (0.90) (0.64) (0.26) $(1.10) (1.36) 10.40 (5.8) 2000 11.98 0.27 1.23 1.50 (0.27) (0.81) (1.08) 12.40 13.4 1999 10.98 0.25 1.12 1.37 (0.25) (0.12) (0.37) 11.98 12.6 CLASS A 2003 $ 9.62 0.19 $ 0.86 $ 1.05 $(0.19) -- $(0.19) $10.48 11.0% 2002 10.37 0.21 (0.75) (0.54) (0.21) --(c) (0.21) 9.62 (5.4) 2001 12.36 0.23 (0.89) (0.66) (0.23) $(1.10) (1.33) 10.37 (6.0) 2000 11.95 0.24 1.22 1.46 (0.24) (0.81) (1.05) 12.36 13.1 1999 10.96 0.22 1.11 1.33 (0.22) (0.12) (0.34) 11.95 12.2 CLASS B 2003 $ 9.63 $0.14 $ 0.86 $ 1.00 $(0.15) -- $(0.15) $10.48 10.4% 2002 10.40 0.17 (0.77) (0.60) (0.17) --(c) (0.17) 9.63 (5.9) 2001 (d) 11.35 0.08 (0.95) (0.87) (0.08) -- (0.08) 10.40 (7.7) CLASS C 2003 $ 9.62 $0.14 $ 0.87 $ 1.01 $(0.14) -- $(0.14) $10.49 10.5% 2002 10.40 0.19 (0.79) (0.60) (0.18) --(c) (0.18) 9.62 (5.9) 2001 (e) 10.17 0.00(c) 0.23(g) 0.23 -- -- -- 10.40 2.3 RATIOS TO AVERAGE NET ASSETS AND SUPPLEMENTAL DATA -------------------------------------------------- NET NET ASSETS, INVESTMENT EXPENSES END OF INCOME (LOSS) NET OF WAIVERS PORTFOLIO PERIOD ENDED PERIOD TO AVERAGE TO AVERAGE TURNOVER SEPTEMBER 30 (IN 000'S) NET ASSETS NET ASSETS(A) RATE - ------------ ----------- ------------ -------------- --------- BALANCED FUND CLASS AAA 2003 $152,409 2.10% 1.23% 56% 2002 150,915 2.25 1.22 78 2001 154,179 2.23 1.17 81 2000 139,350 2.21 1.19 65 1999 160,352 2.06 1.20 86 CLASS A 2003 $ 5,070 1.85% 1.48% 56% 2002 5,761 2.00 1.47 78 2001 6,472 1.98 1.42 81 2000 7,720 1.96 1.44 65 1999 9,374 1.81 1.45 86 CLASS B 2003 $ 184 1.35% 1.98% 56% 2002 113 1.50 1.97 78 2001 (d) 2 1.48(f) 1.92(f) 81 CLASS C 2003 $ 456 1.35% 1.98% 56% 2002 284 1.50 1.97 78 2001 (e) 7 1.48(f) 1.92(f) 81 - -------------------------- + 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 dividends. Total return for the period of less than one year is not annualized. (a) The ratios do not include a reduction of expenses for custodian fee credits on cash balances maintained with the custodian. Including such custodian fee credits, the expense ratios would be 1.20% (Class AAA), 1.45% (Class A) and 1.95% (Class B and Class C) for the period ended September 30, 2003, 1.17% (Class AAA), 1.42% (Class A) and 1.92% (Class B and Class C) for 2002, 1.15% (Class AAA), 1.40% (Class A) and 1.90% (Class B and Class C) for 2001, 1.17% (Class AAA) and 1.42% (Class A) for 2000 and 1.15% (Class AAA) and 1.40% (Class A) for 1999. (b) Per share amounts have been calculated using the monthly average shares outstanding method for fiscal 2000, 2001, 2002 and 2003. (c) Amount represents less than $.005 per share. (d) From March 27, 2001 through September 30, 2001, the period through which Class B Shares were continuously outstanding. (e) From September 25, 2001 through September 30, 2001, the period through which Class C Shares were continuously outstanding. (f) Annualized. (g) In prior reports, Net Realized and Unrealized Gain (Loss) on Investments was incorrectly calculated as $(0.29) per share. See accompanying notes to financial statements. 34 THE GABELLI WESTWOOD FUNDS FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- Selected data for a share of beneficial interest outstanding throughout each period: OPERATING PERFORMANCE DISTRIBUTIONS TO SHAREHOLDERS --------------------------------------- ----------------------------------------- NET REALIZED NET ASSET NET AND TOTAL NET NET VALUE, INVESTMENT UNREALIZED GAIN FROM NET REALIZED ASSET VALUE, PERIOD ENDED BEGINNING INCOME (LOSS) ON INVESTMENT INVESTMENT GAIN ON TOTAL END OF TOTAL SEPTEMBER 30 OF PERIOD (LOSS)(B) INVESTMENTS OPERATIONS INCOME INVESTMENTS DISTRIBUTIONS PERIOD RETURN+ - ------------ --------- ---------- --------------- ---------- ---------- ----------- ------------- ----------- ------- INTERMEDIATE BOND FUND CLASS AAA 2003 $11.30 $ 0.31 $(0.00)(c) $ 0.31 $(0.30) -- $(0.30) $11.31 2.8% 2002 10.82 0.45 0.48 0.93 (0.45) -- (0.45) 11.30 8.9 2001 10.08 0.51 0.74 1.25 (0.51) -- (0.51) 10.82 12.7 2000 9.99 0.51 0.09 0.60 (0.51) -- (0.51) 10.08 6.4 1999 10.74 0.50 (0.75) (0.25) (0.50) -- (0.50) 9.99 (2.4) CLASS A 2003 $11.30 $ 0.30 $ 0.01 $ 0.31 $(0.30) -- $(0.30) $11.31 2.8% 2002 10.82 0.44 0.48 0.92 (0.44) -- (0.44) 11.30 8.8 2001 (e) 10.55 0.09 0.27 0.36 (0.09) -- (0.09) 10.82 3.4 CLASS B 2003 $11.29 $ 0.23 $(0.00)(c) $ 0.23 $(0.22) -- $(0.22) $11.30 2.1% 2002 10.82 0.37 0.47 0.84 (0.37) -- (0.37) 11.29 8.0 2001 (d) 10.53 0.22 0.29 0.51 (0.22) -- (0.22) 10.82 4.9 CLASS C (g) 2003 $11.29 $ 0.22 $ 0.01 $ 0.23 $(0.22) -- $(0.22) $11.30 2.1% 2002 (h) 10.84 0.35 0.45 0.80 (0.35) -- (0.35) 11.29 7.6 RATIOS TO AVERAGE NET ASSETS AND SUPPLEMENTAL DATA ----------------------------------------------------------- NET EXPENSES EXPENSES NET ASSETS, INVESTMENT NET OF BEFORE END OF INCOME (LOSS) WAIVERS/ WAIVERS/ PORTFOLIO PERIOD ENDED PERIOD TO AVERAGE REIMBURSE- REIMBURSE- TURNOVER SEPTEMBER 30 (IN 000'S) NET ASSETS MENTS (A) MENTS (B) RATE - ------------ ----------- ------------ ---------- ---------- --------- INTERMEDIATE BOND FUND CLASS AAA 2003 $12,174 2.70% 1.06% 1.57% 73% 2002 15,157 4.06 1.05 1.69 46 2001 8,140 4.90 1.07 2.02 77 2000 6,451 5.16 1.06 1.94 67 1999 6,214 4.82 1.05 1.63 108 CLASS A 2003 $ 138 2.60% 1.16% 1.67% 73% 2002 56 3.96 1.15 1.79 46 2001 (e) 93 4.80(f) 1.17(f) 2.12(f) 77 CLASS B 2003 $ 502 1.95% 1.81% 2.32% 73% 2002 229 3.31 1.80 2.44 46 2001 (d) 23 4.15(f) 1.82(f) 2.77(f) 77 CLASS C (g) 2003 $ 46 1.95% 1.81% 2.32% 73% 2002 (h) 50 3.31(f) 1.80(f) 2.44(f) 46 - -------------------------- + 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 dividends. Total return for the period of less than one year is not annualized. (a) The ratios do not include a reduction of expenses for custodian fee credits on cash balances maintained with the custodian. Including such custodian fee credits, the expense ratios for the Intermediate Bond Fund Class AAA, Intermediate Bond Fund Class A, Intermediate Bond Fund Class B and Intermediate Bond Fund Class C, would be 1.00%, 1.10 %, 1.75% and 1.75%, respectively, for each period. (b) During the period, certain fees were voluntarily reduced and/or reimbursed. If such fee reductions and/or reimbursements had not occurred, the ratio would have been as shown. (c) Per share amounts have been calculated using the monthly average shares method for fiscal 2001, 2002 and 2003. (d) From March 27, 2001 through September 30, 2001, the period through which Class B Shares were continuously outstanding. (e) From July 26, 2001 through September 30, 2001, the period through which Class A Shares were continuously outstanding. (f) Annualized. (g) Class C Shares were outstanding for the periods December 15, 2000 through December 18, 2000, March 21, 2001 through March 26, 2001 and July 18, 2001 through July 24, 2001. Financial Highlights are not presented for Class C Shares for the fiscal year 2001 as the information is not considered meaningful. (h) From October 22, 2001 through September 30, 2002, the period through which Class C Shares were continuously outstanding. See accompanying notes to financial statements. 35 THE GABELLI WESTWOOD FUNDS FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- Selected data for a share of beneficial interest outstanding throughout each period: OPERATING PERFORMANCE DISTRIBUTIONS TO SHAREHOLDERS --------------------------------------- --------------------------------------------------- NET REALIZED IN EXCESS NET ASSET NET AND TOTAL NET OF NET VALUE, INVESTMENT UNREALIZED GAIN FROM NET REALIZED REALIZED PERIOD ENDED BEGINNING INCOME (LOSS) ON INVESTMENT INVESTMENT GAIN ON GAIN ON TOTAL SEPTEMBER 30 OF PERIOD (LOSS)(B) INVESTMENTS OPERATIONS INCOME INVESTMENTS INVESTMENTS DISTRIBUTIONS - ------------ --------- ---------- --------------- ---------- ---------- ----------- ----------- ------------- SMALLCAP EQUITY FUND CLASS AAA 2003 $ 7.49 $(0.08) $ 0.77 $ 0.69 -- -- -- -- 2002 8.86 (0.09) (1.28) (1.37) -- -- -- -- 2001 22.10 (0.16) (8.12) (8.28) -- (4.53) $(0.43)(e) $(4.96) 2000 17.77 (0.27) 5.39 5.12 -- (0.79) -- (0.79) 1999 11.18 (0.12) 6.71 6.59 -- -- -- -- CLASS A 2003 $ 7.51 $(0.10) $ 0.77 $ 0.67 -- -- -- -- 2002 (g) 9.91 (0.09) (2.31) (2.40) -- -- -- -- CLASS B 2003 $ 7.41 $(0.13) $ 0.75 $ 0.62 -- -- -- -- 2002 8.83 (0.16) (1.26) (1.42) -- -- -- -- 2001 (d) 10.41 (0.10) (1.48) (1.58) -- -- -- -- CLASS C 2003 $ 7.47 $(0.10) $ 0.78 $ 0.68 -- -- -- -- 2002 (g) 9.91 (0.11) (2.33) (2.44) -- -- -- -- RATIOS TO AVERAGE NET ASSETS AND SUPPLEMENTAL DATA ----------------------------------------------------------- NET EXPENSES EXPENSES NET NET ASSETS, INVESTMENT NET OF BEFORE ASSET VALUE, END OF INCOME (LOSS) WAIVERS/ WAIVERS/ PORTFOLIO PERIOD ENDED END OF TOTAL PERIOD TO AVERAGE REIMBURSE- REIMBURSE- TURNOVER SEPTEMBER 30 PERIOD RETURN+ (IN 000'S) NET ASSETS MENTS (A) MENTS (B) RATE - ------------ ----------- ------- ----------- ------------ ---------- ---------- --------- SMALLCAP EQUITY FUND CLASS AAA 2003 $ 8.18 9.2% $15,721 (1.03)% 1.53% 1.99% 329% 2002 7.49 (15.5) 16,212 (0.98) 1.56 1.76 202 2001 8.86 (43.2) 21,768 (1.27) 1.59 1.74 184 2000 22.10 29.4 34,911 (1.39) 1.58 1.63 218 1999 17.77 58.9 20,361 (0.88) 1.62 1.72 178 CLASS A 2003 $ 8.18 8.9% $ 112 (1.28)% 1.78% 2.24% 329% 2002 (g) 7.51 (24.2) 71 (1.23)(f) 1.80(f) 2.01(f) 202 CLASS B 2003 $ 8.03 8.4% $ 65 (1.78)% 2.28% 2.74% 329% 2002 7.41 (16.1) 31 (1.73) 2.30 2.51 202 2001 (d) 8.83 (15.2) 31 (2.02)(f) 2.34(f) 2.49(f) 184 CLASS C 2003 $ 8.15 9.1% $ 111 (1.78)% 2.28% 2.74% 329% 2002 (g) 7.47 (24.6) -- (1.73)(f) 2.30(f) 2.51(f) 202 - -------------------------- + 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 dividends. Total return for the period of less than one year is not annualized. (a) The ratios do not include a reduction of expenses for custodian fee credits on cash balances maintained with the custodian. Including such custodian fee credits, the expense ratios for the SmallCap Equity Fund Class AAA, SmallCap Equity Fund Class A, SmallCap Equity Fund Class B, and SmallCap Equity Fund Class C would be 1.50%, 1.75%, 2.25% and 2.25%, respectively, for each period. (b) During the period, certain fees were voluntarily reduced and/or reimbursed. If such fee reductions and/or reimbursements had not occurred, the ratio would have been as shown. (c) Per share amounts have been calculated using the monthly average shares method for fiscal 2001, 2002 and 2003. (d) From March 27, 2001 through September 30, 2001, the period through which Class B Shares were continuously outstanding. (e) Return of Capital. (f) Annualized. (g) From November 26, 2001 to September 30, 2002, the period through which Class A Shares and Class C Shares were continuously outstanding. See accompanying notes to financial statements. 36 THE GABELLI WESTWOOD FUNDS FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- Selected data for a share of beneficial interest outstanding throughout each period: OPERATING PERFORMANCE DISTRIBUTIONS TO SHAREHOLDERS --------------------------------------- --------------------------------------------------- NET REALIZED IN EXCESS NET ASSET NET AND TOTAL NET OF NET VALUE, INVESTMENT UNREALIZED GAIN FROM NET REALIZED REALIZED PERIOD ENDED BEGINNING INCOME (LOSS) ON INVESTMENT INVESTMENT GAIN ON GAIN ON TOTAL SEPTEMBER 30 OF PERIOD (LOSS)(B) INVESTMENTS OPERATIONS INCOME INVESTMENTS INVESTMENTS DISTRIBUTIONS - ------------ --------- ---------- --------------- ---------- ---------- ----------- ----------- ------------- REALTY FUND CLASS AAA 2003 $10.03 $ 0.38 $ 1.85 $ 2.23 $(0.39) -- -- $(0.39) 2002 9.76 0.43 0.31 0.74 (0.47) -- -- (0.47) 2001 9.10 0.40 0.62 1.02 (0.36) -- -- (0.36) 2000 7.61 0.38 1.46 1.84 (0.35) -- -- (0.35) 1999 8.43 0.22 (0.81) (0.59) (0.23) -- -- (0.23) CLASS A 2003 $10.04 $ 0.38 $ 1.85 $ 2.23 $(0.27) -- -- $(0.27) 2002 9.76 0.41 0.30 0.71 (0.43) -- -- (0.43) 2001 (e) 9.24 0.02 0.70 0.72 (0.20) -- -- (0.20) CLASS B 2003 $10.07 $ 0.27 $ 1.91 $ 2.18 $(0.21) -- -- $(0.21) 2002 (f) 9.90 0.36 0.22 0.58 (0.41) -- -- (0.41) CLASS C 2003 $10.26 $ 0.32 $ 1.99 $ 2.31 $(0.25) -- -- $(0.25) 2002 (f) 9.90 0.09 0.49 0.58 (0.22) -- -- (0.22) RATIOS TO AVERAGE NET ASSETS AND SUPPLEMENTAL DATA ----------------------------------------------------------- NET EXPENSES EXPENSES NET NET ASSETS, INVESTMENT NET OF BEFORE ASSET VALUE, END OF INCOME (LOSS) WAIVERS/ WAIVERS/ PORTFOLIO PERIOD ENDED END OF TOTAL PERIOD TO AVERAGE REIMBURSE- REIMBURSE- TURNOVER SEPTEMBER 30 PERIOD RETURN+ (IN 000'S) NET ASSETS MENTS (A) MENTS (B) RATE - ------------ ----------- ------- ----------- ------------ ---------- ---------- --------- REALTY FUND CLASS AAA 2003 $11.87 22.8% $13,923 3.70% 1.56% 2.05% 33% 2002 10.03 7.5 9,122 4.42 1.59 2.61 47 2001 9.76 11.4 3,526 4.27 1.64 4.51 64 2000 9.10 24.9 2,845 4.52 1.73 4.14 74 1999 7.61 (5.7) 1,784 4.32 1.60 3.68 55 CLASS A 2003 $12.00 22.6% $ 10 3.45% 1.81% 2.30% 33% 2002 10.04 7.2 3 4.17 1.84 2.86 47 2001 (e) 9.76 7.8 3 4.02(c) 1.90(c) 4.77(c) 64 CLASS B 2003 $12.04 22.0% $ 2 2.95% 2.31% 2.80% 33% 2002 (f) 10.07 5.8 10 3.67(c) 2.34(c) 3.36(c) 47 CLASS C 2003 $12.32 22.8% $ 4 2.95% 2.31% 2.80% 33% 2002 (f) 10.26 5.8 0.1 3.67(c) 2.34(c) 3.36(c) 47 - ------------------------- + 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 dividends. Total return for the period of less than one year is not annualized. (a) The ratios do not include a reduction of expenses for custodian fee credits on cash balances maintained with the custodian. Including such custodian fee credits, the expense ratios for the Realty Fund Class AAA, Realty Fund Class A, Realty Fund Class B and Realty Fund Class C would be 1.50%, 1.75%, 2.25% and 2.25%, respectively, for each period. (b) During the period, certain fees were voluntarily reduced and/or reimbursed. If such fee reductions and/or reimbursements had not occurred, the ratio would have been as shown. (c) Annualized. (d) Per share amounts have been calculated using the monthly average shares outstanding method for fiscal 2001, 2002 and 2003. (e) From May 9, 2001 through September 30, 2001, the period through which Class A Shares were continuously outstanding. (f) From November 26, 2001 through September 30, 2002, the period through which Class B and C Shares were continuously outstanding. See accompanying notes to financial statements. 37 THE GABELLI WESTWOOD FUNDS FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- Selected data for a share of beneficial interest outstanding throughout each period: OPERATING PERFORMANCE DISTRIBUTIONS TO SHAREHOLDERS --------------------------------------- -------------------------------------- NET REALIZED NET ASSET NET AND TOTAL NET NET VALUE, INVESTMENT UNREALIZED GAIN FROM NET REALIZED ASSET VALUE, PERIOD ENDED BEGINNING INCOME (LOSS) ON INVESTMENT INVESTMENT GAIN ON TOTAL END OF TOTAL SEPTEMBER 30 OF PERIOD (LOSS)(B) INVESTMENTS OPERATIONS INCOME INVESTMENTS DISTRIBUTIONS PERIOD RETURN+ - ------------ --------- ---------- --------------- ---------- ---------- ----------- ------------- ----------- ------- MIGHTY MITES(SM) FUND CLASS AAA 2003 $11.29 $(0.03) $ 2.25 $ 2.22 $(0.04) $(0.05) $(0.09) $13.42 19.8% 2002 10.99 0.03 0.37 0.40 (0.10) -- (0.10) 11.29 3.6 2001 14.00 0.12 (0.59) (0.47) (0.08) (2.46) (2.54) 10.99 (2.8) 2000 12.91 0.05 2.76 2.81 (0.10) (1.62) (1.72) 14.00 23.0 1999 9.70 0.10 3.20 3.30 (0.09) -- (0.09) 12.91 34.2 CLASS A 2003 $11.36 $(0.05) $ 2.26 $ 2.21 $(0.06) $(0.05) $(0.11) $13.46 19.7% 2002 (i) 10.97 (0.01) 0.40 0.39 -- -- -- 11.36 3.6 2001 14.00 0.09 (0.59) (0.50) (0.07) (2.46) (2.53) 10.97 (3.1) 2000 (d) 13.48 0.00(e) 0.52 0.52 -- -- -- 14.00 3.9 CLASS B 2003 $11.24 $(0.11) $ 2.22 $ 2.11 -- $(0.05) $(0.05) $13.30 18.9% 2002 10.96 (0.02) 0.34 0.32 $(0.04) -- (0.04) 11.24 2.9 2001 (g) 11.92 0.00(e) (0.96) (0.96) -- -- -- 10.96 (8.1) CLASS C 2003 $11.19 $(0.12) $ 2.23 $ 2.11 -- $(0.05) $(0.05) $13.25 19.0% 2002 10.98 (0.06) 0.37 0.31 $(0.10) -- (0.10) 11.19 2.8 2001 (h) 12.25 0.00(e) (1.27) (1.27) -- -- -- 10.98 (10.4) RATIOS TO AVERAGE NET ASSETS AND SUPPLEMENTAL DATA ----------------------------------------------------------- NET EXPENSES EXPENSES NET ASSETS, INVESTMENT NET OF BEFORE END OF INCOME (LOSS) WAIVERS/ WAIVERS/ PORTFOLIO PERIOD ENDED PERIOD TO AVERAGE REIMBURSE- REIMBURSE- TURNOVER SEPTEMBER 30 (IN 000'S) NET ASSETS MENTS (A) MENTS (B) RATE - ------------ ----------- ------------ ---------- ---------- --------- MIGHTY MITES(SM) FUND CLASS AAA 2003 $51,138 (0.21)% 1.50% 1.66% 14% 2002 31,103 0.27 1.50 1.78 18 2001 17,404 0.98 1.52 2.20 66 2000 15,165 0.38 1.50 2.01 66 1999 10,205 0.94 1.01 2.32 88 CLASS A 2003 $ 33 (0.46)% 1.75% 1.91% 14% 2002 (i) 1 0.02 1.75 2.03 18 2001 47 0.73 1.77 2.45 66 2000 (d) 49 0.13(c) 1.75(c) 2.26(c) 66 CLASS B 2003 $ 517 (0.96)% 2.25% 2.41% 14% 2002 4 (0.48) 2.25 2.53 18 2001 (g) 4 0.23(c) 2.27(c) 2.95(c) 66 CLASS C 2003 $ 99 (0.96)% 2.25% 2.41% 14% 2002 59 (0.48) 2.25 2.53 18 2001 (h) 19 0.23(c) 2.27(c) 2.95(c) 66 - -------------------------- + 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 dividends. Total return for the period of less than one year is not annualized. (a) The ratios do not include a reduction of expenses for custodian fee credits on cash balances maintained with the custodian. Including such custodian fee credits, the expense ratios for the Mighty Mites Fund Class AAA, Mighty Mites Fund Class A, Mighty Mites Fund Class B, and Mighty Mites Fund Class C would be 1.50%, 1.75%, 2.25%, and 2.25%, respectively, for each period. (b) During the period, certain fees were voluntarily reduced and/or reimbursed. If such fee reductions and/or reimbursements had not occurred, the ratio would have been as shown. (c) Annualized. (d) Period from June 15, 2000 (offering date of Class A) to September 30, 2000. (e) Amount represents less than $0.005 per share. (f) Per share amounts have been calculated using the monthly average shares outstanding method for fiscal 2000, 2001, 2002 and 2003. (g) From June 6, 2001 through September 30, 2001, the period through which Class B Shares were continuously outstanding. (h) From August 3, 2001 through September 30, 2001, the period through which Class C Shares were continuously outstanding. (i) From November 26, 2001 through September 30, 2002, the period through which Class A Shares were continuously outstanding. From October 1, 2001 through November 25, 2001, no Class A Shares were outstanding. See accompanying notes to financial statements. 38 REPORT OF INDEPENDENT AUDITORS To the Shareholders and Board of Trustees of The Gabelli Westwood Funds: In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights, after the restatement described in the footnotes to the Gabelli Westwood Balanced Fund -- Class C financial highlights, present fairly, in all material respects, the financial position of The Gabelli Westwood Equity Fund, The Gabelli Westwood Balanced Fund, The Gabelli Westwood Intermediate Bond Fund, The Gabelli Westwood SmallCap Equity Fund, The Gabelli Westwood Realty Fund, and The Gabelli Westwood Mighty Mites Fund (constituting The Gabelli Westwood Funds, hereafter referred to as the "Funds") at September 30, 2003, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Funds' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2003 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PRICEWATERHOUSECOOPERS LLP NEW YORK, NEW YORK NOVEMBER 18, 2003 - -------------------------------------------------------------------------------- 2003 TAX NOTICE TO SHAREHOLDERS (UNAUDITED) U.S. GOVERNMENT INCOME: The percentage of the ordinary income dividend paid by the Equity Fund, Balanced Fund, Intermediate Bond Fund, SmallCap Equity Fund, Realty Fund and Mighty Mites Fund (collectively, the "Funds") during fiscal 2003 which was derived from U.S. Treasury securities was 0.09%, 10.95%, 33.07%, 0%, 0% and 100%, respectively. 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 Funds did not meet this strict requirement in 2003. Due to the diversity in state and local tax law, it is recommended that you consult your personal tax advisor for the applicability of the information provided as to your specific situation. THE GABELLI WESTWOOD EQUITY FUND 100% of the ordinary income dividend qualifies for the dividend received deduction available to corporations. THE GABELLI WESTWOOD BALANCED FUND 100% of the ordinary income dividend qualifies for the dividend received deduction available to corporations. THE GABELLI WESTWOOD INTERMEDIATE BOND FUND; THE GABELLI WESTWOOD REALTY FUND None of the ordinary income dividend qualifies for the dividend received deduction available to corporations. THE GABELLI MIGHTY MITES(SM) FUND 5.98% of the ordinary income dividend qualifies for the dividend received deduction available to corporations.The Fund paid to shareholders, on December 19, 2002, a long-term capital gain totaling $0.0428 per share. Qualified dividend income of as much as $6,130,459, $2,815,904, $76,298, $590,310 and $325,272 was received by the Equity Fund, Balanced Fund, SmallCap Equity Fund, Realty Fund and Mighty Mites Fund, respectively, through September 30, 2003. The Funds intend to designate the maximum amount of dividends that qualified for the reduced tax rate pursuant to the Jobs and Growth Tax Relief Reconciliation Act of 2003. - -------------------------------------------------------------------------------- 39 THE GABELLI WESTWOOD FUNDS ADDITIONAL FUND INFORMATION - -------------------------------------------------------------------------------- The business and affairs of the Trust are managed under the direction of the Trust's Board of Trustees. Information pertaining to the Trustees and officers of the Trust is set forth below. The Trust's Statement of Additional Information includes additional information about The Gabelli Westwood Funds Trustees and is available, without charge, upon request, by calling 1-800-GABELLI (1-800-422-3554) or by writing to The Gabelli Westwood Funds at One Corporate Center, Rye, NY 10580. TERM OF NUMBER OF NAME, POSITION(S) OFFICE AND FUNDS IN FUND ADDRESS 1 LENGTH OF COMPLEX OVERSEEN PRINCIPAL OCCUPATION(S) OTHER DIRECTORSHIPS AND AGE TIME SERVED 2 BY TRUSTEE DURING PAST FIVE YEARS HELD BY TRUSTEE 3 - ----------------- ------------- ---------------- ---------------------- -------------------- INTERESTED TRUSTEES 4: SUSAN M. BYRNE Since 1987 6 President and Chief Executive Officer of -- President and Chief Westwood Management Corporation Investment Officer since 1983 and Chairman and Chief Executive Age: 57 Officer of Westwood Holdings Group KARL OTTO POHL Since 1994 32 Member of the Shareholder Committee of Director of Gabelli Asset Trustee Sal Oppenheim Jr. & Cie (private investment Management Inc. (investment Age: 73 bank); Former President of the management); Chairman, Incentive Deutsche Bundesbank and Chairman of its Capital and Incentive Asset Central Bank Council (1980-1991) Management (Zurich); Director at Sal Oppenheim Jr. & Cie, Zurich NON-INTERESTED TRUSTEES: ANTHONY J. COLAVITA Since 1994 34 President and Attorney at Law in the law -- Trustee firm of Anthony J. Colavita, P.C. Age: 67 JAMES P. CONN Since 1994 11 Former Managing Director and Chief Director of LaQuinta Trustee Investment Officer of Financial Security Corp. (hotels) and Age: 65 Assurance Holdings Ltd. (1992-1998) First Republic Bank WERNER J. ROEDER, M.D. Since 1994 26 Vice President/Medical Affairs, Lawrence -- Trustee Hospital Center and practicing private Age: 63 physician OFFICERS: BRUCE N. ALPERT Since 1994 -- Director and President of Gabelli Advisers, -- Vice President Inc. Executive Vice President and Chief and Treasurer Operating Officer of Gabelli Funds, LLC since Age: 51 1988 and an officer of all mutual funds advised by Gabelli Funds, LLC and its affiliates PATRICIA R. FRAZE Since 1990 -- Executive Vice President of Westwood -- Vice President Management Corporation and former fixed Age: 60 income analyst and portfolio manager JAMES E. MCKEE Since 1995 -- Vice President, General Counsel and Secretary -- Secretary of Gabelli Asset Management Inc. since 1999 Age: 40 and GAMCO Investors, Inc. since 1993; Secretary of all mutual funds advised by Gabelli Advisers, Inc. and Gabelli Funds, LLC - ---------------------- 1 Address: One Corporate Center, Rye, NY 10580-1422, unless otherwise noted. Ms. Byrne's address is 300 Crescent Court, Suite 1300, Dallas, TX 75201. 2 Each Trustee will hold office for an indefinite term until the earliest of (i) the next meeting of shareholders if any, called for the purpose of considering the election or re-election of such Trustee and until the election and qualification of his or her successor, if any, elected at such meeting, or (ii) the date a Trustee resigns or retires, or a Trustee is removed by the Board of Trustees or shareholders, in accordance with the Company's Amended By-Laws and Amended and Restated Declaration of Trust. 3 This column includes only directorships of companies required to report to the SEC under the Securities and Exchange Act of 1934 (i.e. public companies) or other investment companies registered under the 1940 Act. 4 "Interested person" of the Company as defined in the Investment Company Act of 1940. Mr. Otto Pohl is considered an "interested person" because of his affiliation with the parent company of the Funds' investment adviser. Ms. Byrne is considered an "interested person" because of her affiliation with the Funds' investment sub-adviser. 40 - -------------------------------------------------------------------------------- GABELLI FUNDS AND YOUR PERSONAL PRIVACY - -------------------------------------------------------------------------------- WHO ARE WE? The Gabelli 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, Gabelli Advisers, Inc. and Gabelli Fixed Income, LLC, which are affiliated with Gabelli Asset Management Inc. Gabelli Asset Management 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 GABELLI CUSTOMER? 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: o 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. o 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, and the deposits and withdrawals that you make. 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 web site, 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 WESTWOOD FUNDS ========================== EQUITY FUND SMALLCAP EQUITY FUND BALANCED FUND REALTY FUND INTERMEDIATE BOND FUND MIGHTY MITES(SM) FUND CLASS AAA SHARES CLASS A SHARES ---------------------------------------------------- ------------------------------------------------------ Average Annual Returns -- September 30, 2003 (a)(e) Average Annual Returns -- September 30, 2003 (a)(b)(e) Since Since 1 Year 5 Year 10 Year Inception 1 Year 5 Year 10 Year Inception ------------------------------------- -------------------------------------------- Equity ............. 15.09% 3.50% 11.03% 11.11% 10.39% 2.42% 10.28% 10.65% Balanced ........... 11.23 4.89 9.86 10.26 6.56 3.76 9.11 9.58 Intermediate Bond .. 2.83 5.55 5.84 6.69 (1.31) 4.65 5.39 6.31 SmallCap Equity .... 9.21 1.53 -- 3.97 4.60 0.64 -- 3.22 Realty ............. 22.82 11.61 -- 7.58 17.64 10.59 -- 6.75 Mighty Mites(SM) ... 19.75 14.77 -- 12.98 14.84 13.73 -- 12.02 CLASS B SHARES CLASS C SHARES ------------------------------------------------------ ------------------------------------------------------ Average Annual Returns -- September 30, 2003 (a)(c)(e) Average Annual Returns -- September 30, 2003 (a)(d)(e) Since Since 1 Year 5 Year 10 Year Inception 1 Year 5 Year 10 Year Inception ------------------------------------- --------------------------------------------- Equity ............. 9.86% 3.02% 10.63% 10.87% 13.50% 3.07% 10.63% 10.87% Balanced ........... 6.08 4.31 9.46 9.88 9.64 4.54 9.51 9.92 Intermediate Bond .. (1.95) 4.89 5.61 6.50 1.29 5.19 5.66 6.54 SmallCap Equity .... 4.84 0.83 -- 3.67 8.40 1.45 -- 3.91 Realty ............. 17.99 11.17 -- 7.30 22.04 11.57 -- 7.54 Mighty Mites(SM) ... 14.81 14.14 -- 12.51 18.12 14.40 -- 12.64 (a) Total returns and average annual returns reflect changes in share price and reinvestment of dividends and are net of expenses. The net asset value of the Fund is reduced on the ex-dividend (payment) date by the amount of the dividend paid. Of course, returns represent past performance and do not guarantee future results. 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. (b) Includes the effect of the maximum 4.0% sales charge at the beginning of the period. (c) Includes the effect of the applicable contingent deferred sales charge upon redemption of Class B Shares within 72 months. (d) Includes the effect of the applicable contingent deferred sales charge upon redemption of Class C Shares within 24 months. (e) The performance of the Class AAA Shares is used to calculate performance for the periods prior to the issuance of Class A Shares, Class B Shares and Class C Shares. The performance for the Class B Shares and Class C Shares would have been lower due to the additional expenses associated with these Classes of shares. The inception dates for the Class AAA Shares and the initial issuance dates for the Class A Shares, Class B Shares and Class C Shares after which shares remained continuously outstanding are listed below. Class AAA Shares Class A Shares Class B Shares Class C Shares ---------------- -------------- -------------- -------------- Equity ........................ 01/02/87 01/28/94 03/27/01 02/13/01 Balanced ...................... 10/01/91 04/06/93 03/27/01 09/25/01 Intermediate Bond ............. 10/01/91 07/26/01 03/27/01 10/22/01 SmallCap Equity ............... 04/15/97 11/26/01 03/27/01 11/26/01 Realty ........................ 09/30/97 05/09/01 11/26/01 11/26/01 Mighty Mites(SM) .............. 05/11/98 11/26/01 06/06/01 08/03/01 43 THE GABELLI WESTWOOD FUNDS ========================== One Corporate Center Rye, New York 10580-1422 GENERAL AND ACCOUNT INFORMATION: 800-GABELLI [800-422-3554] fax: 914-921-5118 website: www.gabelli.com e-mail: info@gabelli.com Board of Trustees SUSAN M. BYRNE JAMES P. CONN CHAIRMAN AND CEO FORMER CHIEF INVESTMENT OFFICER WESTWOOD HOLDINGS FINANCIAL SECURITY ASSURANCE GROUP HOLDINGS LTD. KARL OTTO POHL WERNER J. ROEDER, MD FORMER PRESIDENT VICE PRESIDENT/MEDICAL AFFAIRS DEUTCHE BUNDESBANK LAWRENCE HOSPITAL CENTER ANTHONY J. COLAVITA ATTORNEY-AT-LAW ANTHONY J. COLAVITA, P.C. Officers SUSAN M. BYRNE BRUCE N. ALPERT PRESIDENT AND CHIEF VICE PRESIDENT AND TREASURER INVESTMENT OFFICER JAMES E. MCKEE PATRICIA R. FRAZE SECRETARY VICE PRESIDENT INVESTMENT ADVISER Gabelli Advisers, Inc. INVESTMENT SUB-ADVISER Westwood Management Corporation DISTRIBUTOR Gabelli & Company, Inc. CUSTODIAN The Bank of New York LEGAL COUNSEL Paul, Hastings, Janofsky & Walker LLP - -------------------------------------------------------------------------------- This report is submitted for the information of the shareholders of The Gabelli Westwood Funds. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. - -------------------------------------------------------------------------------- GABWWQ303SR THE GABELLI WESTWOOD FUNDS EQUITY FUND BALANCED FUND INTERMEDIATE BOND FUND SMALLCAP EQUITY FUND REALTY FUND MIGHTY MITES(SM) FUND ANNUAL REPORT SEPTEMBER 30, 2003 ITEM 2. CODE OF ETHICS. (a) The registrant, as of the end of the period covered by this report, has adopted a code of conduct 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. (b) There have been no amendments, during the period covered by this report, to a provision of the code of conduct 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 conduct description. (c) The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of conduct 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. (a) As of the end of the period covered by the report, the registrant's board of directors has determined that James P. Conn is qualified to serve as an audit committee financial expert serving on its audit committee and that he is "independent." ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable. ITEM 6. [RESERVED] ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable. ITEM 9. 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 Exchange Act (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 last fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 10. EXHIBITS. (a)(1) Code of conduct, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto. (a)(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. (b) Certifications pursuant to 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 Westwood Funds ------------------------------------------------------------------- By (Signature and Title)* /s/ Bruce N. Alpert ----------------------------------------------------- Bruce N. Alpert, Principal Executive Officer & Principal Financial Officer Date 12/5/2003 ------------------------------------------------------------------------- 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 & Principal Financial Officer Date 12/5/2003 ------------------------------------------------------------------------- * Print the name and title of each signing officer under his or her signature.