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 811-09377
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The Gabelli Blue Chip Value Fund
---------------------------------------------------------
(Exact name of registrant as specified in charter)
One Corporate Center
Rye, New York 10580-1422
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(Address of principal executive offices) (Zip code)
Bruce N. Alpert
Gabelli Funds, LLC
One Corporate Center
Rye, New York 10580-1422
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(Name and address of agent for service)
registrant's telephone number, including area code: 1-800-422-3554
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Date of fiscal year end: December 31
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Date of reporting period: December 31, 2006
-----------------
Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 100 F Street, NE,
Washington, DC 20549. The OMB has reviewed this collection of information under
the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
The Report to Shareholders is attached herewith.
THE GABELLI BLUE CHIP VALUE FUND
ANNUAL REPORT
DECEMBER 31, 2006
TO OUR SHAREHOLDERS,
The Sarbanes-Oxley Act requires a Fund's principal executive and financial
officers to certify the entire contents of the semi-annual and annual
shareholder reports in a filing with the Securities and Exchange Commission on
Form N-CSR. This certification would cover the portfolio manager's commentary
and subjective opinions if they are attached to or a part of the financial
statements. Many of these comments and opinions would be difficult or impossible
to certify.
Because we do not want our portfolio managers to eliminate their opinions
and/or restrict their commentary to historical facts, we have separated their
commentary from the financial statements and investment portfolio and have sent
it to you separately. Both the commentary and the financial statements,
including the portfolio of investments, will be available on our website at
www.gabelli.com/funds.
Enclosed are the audited financial statements and the investment portfolio
as of December 31, 2006 with a description of factors that affected the
performance during the past year.
PERFORMANCE DISCUSSION (UNAUDITED)
For the full year 2006 the Fund (Class AAA) rose 17.50%, outpacing the S&P
500 Index return of 15.78% but trailing the Lipper Large Cap Value Fund average
of 17.96%.
2006 was the fifth year of economic expansion and began with expectations
of strong business spending and a softening housing market. The Federal Reserve
raised their key rate four times in the first six months of the year, with notes
that accompanied their meetings indicating that they were increasingly
comfortable that a slowing housing market would subdue the economy and curtail
inflation. By June, when they paused for the first time in 17 straight meetings
since they first began raising rates in June of 2004, it was clear that the
housing market was slowing dramatically with new orders coming to a halt and
contracts being cancelled.
The deceleration in the economy in the second half of the year was
confined to the housing and automobile industries and to their related suppliers
and manufacturers. While this is a considerable part of the economy, it did not
spill over into other areas because we also had low unemployment, continued job
growth, low inflation, and, in the second part of the year, a fall in energy
prices. So consumers and businesses remained optimistic in their planning and
spending. As the year ended, economic reports were skewed to the too strong
side, although this is likely distorted a little by the record setting warm
weather that we have had in December, the warmest December since 1957.
For the year, the top three performing sectors were the telecommunications
sector, up 34.1%, energy, up 23.2%, and utilities, with a gain of 20.5%. The
worst performer for the year was the health care sector, with a gain of 7.4%. It
is certainly the sign of broad strength that the three worst performing sectors
for the year: health care, technology and industrials, had gains of 7.4%, 8.0%,
and 12.0%.
For the year, stocks which we owned that performed very well, appreciating
over 30%, included Alliance Bernstein (1.31% of net assets as of December 31,
2006), AES (1.56%), Merrill Lynch (1.26%), Exxon Mobil (1.87%), Heinz (0.49%),
AMR (3.26%), News Corp. (2.54%), Verizon (1.84%), and Chevron (1.60%). As it was
such a good year in the market, not surprisingly one of our worst performing
stocks was Capital One (1.42%), the banking and credit card company, which
declined 11%. Other stocks in our Fund which fell in price less than 10%
included Hershey (1.32%), Chesapeake Energy (0.99%), Dow Chemical (1.78%), and
Ingersoll-Rand (1.34%).
Sincerely yours,
/s/ Bruce N. Alpert
Bruce N. Alpert
President
January 23, 2007
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN THE GABELLI
BLUE CHIP VALUE FUND AND THE S&P 500 INDEX
[GRAPHIC OMITTED]
PLOT POINTS FOLLOW:
Gabelli Blue Chip
Value Fund Class AAA S&P 500 Index
8/26/99 $10,000 $10,000
12/31/99 11,778 10,834
12/31/00 13,083 9,848
12/31/01 11,543 8,678
12/31/02 7,890 6,761
12/31/03 11,361 8,700
12/31/04 12,767 9,645
12/31/05 13,621 10,119
12/31/06 16,004 11,716
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.
COMPARATIVE RESULTS
- --------------------------------------------------------------------------------
AVERAGE ANNUAL RETURNS THROUGH DECEMBER 31, 2006 (A)
----------------------------------------------------
Since
Inception
Quarter 1 Year 3 Year 5 Year (8/26/99)
- -----------------------------------------------------------------------------------------------------------------
GABELLI BLUE CHIP VALUE FUND CLASS AAA............. 7.13% 17.50% 12.10% 6.75% 6.61%
S&P 500 Index...................................... 6.69 15.78 10.43 6.18 2.18
Lipper Large Cap Value Average..................... 7.02 17.96 11.93 7.85 5.52
Class A............................................ 7.17 17.52 12.21 6.81 6.65
1.01(b) 10.76(b) 10.02(b) 5.56(b) 5.80(b)
Class B............................................ 6.91 16.68 11.35 6.32 6.31
1.91(c) 11.68(c) 10.53(c) 6.01(c) 6.13(c)
Class C............................................ 6.91 16.60 11.32 6.31 6.30
5.91(d) 15.60(d) 11.32 6.31 6.30
Class I............................................ 7.14 17.74 12.37 6.90 6.71
(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 DISTRIBUTIONS AND ARE NET OF EXPENSES. INVESTMENT RETURNS
AND THE PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE. WHEN SHARES ARE
REDEEMED, THEY MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
PERFORMANCE RETURNS FOR PERIODS LESS THAN ONE YEAR ARE NOT ANNUALIZED.
CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE PERFORMANCE DATA
PRESENTED. VISIT WWW.GABELLI.COM FOR PERFORMANCE INFORMATION AS OF THE MOST
RECENT MONTH END. INVESTORS SHOULD CAREFULLY CONSIDER THE INVESTMENT
OBJECTIVES, RISKS, CHARGES, AND EXPENSES OF THE FUND BEFORE INVESTING. THE
PROSPECTUS CONTAINS MORE INFORMATION ABOUT THIS AND OTHER MATTERS AND
SHOULD BE READ CAREFULLY BEFORE INVESTING. THE S&P 500 INDEX IS AN
UNMANAGED INDICATOR OF STOCK MARKET PERFORMANCE, WHILE THE LIPPER LARGE-CAP
VALUE AVERAGE REFLECTS THE AVERAGE PERFORMANCE OF MUTUAL FUNDS CLASSIFIED
IN THIS PARTICULAR CATEGORY. DIVIDENDS ARE CONSIDERED REINVESTED. YOU
CANNOT INVEST DIRECTLY IN AN INDEX.
THE CLASS AAA SHARES' NET ASSET VALUES ARE USED TO CALCULATE PERFORMANCE
FOR THE PERIODS PRIOR TO THE ISSUANCE OF CLASS A SHARES, CLASS B SHARES,
AND CLASS C SHARES ON DECEMBER 31, 2003, AND THE CLASS I SHARES ON JULY 1,
2004.THE ACTUAL 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 ACTUAL PERFORMANCE FOR THE CLASS I SHARES WOULD HAVE
BEEN HIGHER DUE TO THE LOWER EXPENSES RELATED TO THIS CLASS OF SHARES.
(b) INCLUDES THE EFFECT OF THE MAXIMUM 5.75% SALES CHARGE AT THE BEGINNING OF
THE PERIOD.
(c) PERFORMANCE RESULTS INCLUDE THE DEFERRED SALES CHARGES FOR THE CLASS B
SHARES UPON REDEMPTION AT THE END OF THE QUARTER, ONE YEAR, THREE YEAR,
FIVE YEAR, AND SINCE INCEPTION PERIODS OF 5%, 5%, 3%, 2%, AND 0%,
RESPECTIVELY, OF THE FUND'S NAV AT THE TIME OF PURCHASE OR SALE, WHICHEVER
IS LOWER. CLASS B SHARES ARE NOT AVAILABLE FOR NEW PURCHASES.
(d) PERFORMANCE RESULTS INCLUDE THE DEFERRED SALES CHARGES FOR THE CLASS C
SHARES UPON REDEMPTION AT THE END OF THE QUARTER AND ONE YEAR PERIODS OF 1%
OF THE FUND'S NAV AT THE TIME OF PURCHASE OR SALE, WHICHEVER IS LOWER.
- --------------------------------------------------------------------------------
2
THE GABELLI BLUE CHIP VALUE FUND
DISCLOSURE OF FUND EXPENSES (UNAUDITED)
For the Six Month Period from July 1, 2006 through December 31, 2006
EXPENSE TABLE
- --------------------------------------------------------------------------------
We believe it is important for you to understand the impact of fees and expenses
regarding your investment. All mutual funds have operating expenses. As a
shareholder of a fund, you incur ongoing costs, which include costs for
portfolio management, administrative services, and shareholder reports (like
this one), among others. Operating expenses, which are deducted from a fund's
gross income, directly reduce the investment return of a fund. When a fund's
expenses are expressed as a percentage of its average net assets, this figure is
known as the expense ratio. The following examples are intended to help you
understand the ongoing costs (in dollars) of investing in your Fund and to
compare these costs with those of other mutual funds. The examples are based on
an investment of $1,000 made at the beginning of the period shown and held for
the entire period.
The Expense Table below illustrates your Fund's costs in two ways:
ACTUAL FUND RETURN: This section provides information about actual account
values and actual expenses. You may use this section to help you to estimate the
actual expenses that you paid over the period after any fee waivers and expense
reimbursements. The "Ending Account Value" shown is derived from the Fund's
ACTUAL return during the past six months, and the "Expenses Paid During Period"
shows the dollar amount that would have been paid by an investor who started
with $1,000 in the Fund. You may use this information, together with the amount
you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
given for your Fund under the heading "Expenses Paid During Period" to estimate
the expenses you paid during this period.
HYPOTHETICAL 5% RETURN: This section provides information about hypothetical
account values and hypothetical expenses based on the Fund's actual expense
ratio. It assumes a hypothetical annualized return of 5% before expenses during
the period shown. In this case - because the hypothetical return used is NOT the
Fund's actual return - the results do not apply to your investment and you
cannot use the hypothetical account value and expense to estimate the actual
ending account balance or expenses you paid for the period. This example is
useful in making comparisons of the ongoing costs of investing in the Fund and
other funds. To do so, compare this 5% hypothetical example with the 5%
hypothetical examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs such as sales
charges (loads), redemption fees, or exchange fees, if any, which are described
in the Prospectus. If these costs were applied to your account, your costs would
be higher. Therefore, the 5% hypothetical return is useful in comparing ongoing
costs only, and will not help you determine the relative total costs of owning
different funds. The Annualized Expense Ratio represents the actual expenses for
the last six months and may be different from the expense ratio in the Financial
Highlights which is for the year ended December 31, 2006.
Beginning Ending Annualized Expenses
Account Value Account Value Expense Paid During
07/01/06 12/31/06 Ratio Period*
- --------------------------------------------------------------------------------
GABELLI BLUE CHIP VALUE FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class AAA $1,000.00 $1,115.70 1.76% $ 9.39
Class A $1,000.00 $1,115.20 1.77% $ 9.44
Class B $1,000.00 $1,111.50 2.52% $13.41
Class C $1,000.00 $1,111.60 2.50% $13.31
Class I $1,000.00 $1,117.20 1.51% $ 8.06
HYPOTHETICAL 5% RETURN
Class AAA $1,000.00 $1,016.33 1.76% $ 8.94
Class A $1,000.00 $1,016.28 1.77% $ 9.00
Class B $1,000.00 $1,012.50 2.52% $12.78
Class C $1,000.00 $1,012.60 2.50% $12.68
Class I $1,000.00 $1,017.59 1.51% $ 7.68
* Expenses are equal to the Fund's annualized expense ratio for the last six
months multiplied by the average account value over the period, multiplied by
the number of days in the most recent fiscal half-year, then divided by 365.
3
SUMMARY OF PORTFOLIO HOLDINGS (UNAUDITED)
The following table presents portfolio holdings as a percent of total net assets
as of December 31, 2006:
GABELLI BLUE CHIP VALUE FUND
Financial Services ........................... 12.9%
Energy and Utilities ......................... 12.4%
Health Care .................................. 8.6%
Banking ...................................... 8.2%
Diversified Industrial ....................... 6.6%
Specialty Chemicals........................... 6.5%
Entertainment................................. 6.1%
Building and Construction..................... 4.7%
Retail........................................ 4.5%
Electronics .................................. 4.1%
Insurance .................................... 3.8%
Food and Beverage ............................ 3.5%
Transportation ............................... 3.3%
Computer Software and Services................ 2.4%
Business Services ............................ 2.4%
Paper and Forest Products .................... 2.2%
Metals and Mining ............................ 2.0%
Telecommunications............................ 1.8%
U.S. Government Obligations .................. 1.6%
Energy and Utilities: Electric ............... 1.6%
Aerospace .................................... 1.0%
Publishing.................................... 0.1%
Other Assets and Liabilities (Net)............ (0.3)%
--------
100.0%
========
THE FUND FILES A COMPLETE SCHEDULE OF PORTFOLIO HOLDINGS WITH THE SECURITIES AND
EXCHANGE COMMISSION (THE "SEC") FOR THE FIRST AND THIRD QUARTERS OF EACH FISCAL
YEAR ON FORM N-Q, THE LAST OF WHICH WAS FILED FOR THE QUARTER ENDED SEPTEMBER
30, 2006. SHAREHOLDERS MAY OBTAIN THIS INFORMATION AT WWW.GABELLI.COM OR BY
CALLING THE FUND AT 800-GABELLI (800-422-3554). THE FUND'S FORM N-Q IS AVAILABLE
ON THE SEC'S WEBSITE AT WWW.SEC.GOV AND MAY ALSO BE REVIEWED AND COPIED AT THE
SEC'S PUBLIC REFERENCE ROOM IN WASHINGTON, DC. INFORMATION ON THE OPERATION OF
THE PUBLIC REFERENCE ROOM MAY BE OBTAINED BY CALLING 1-800-SEC-0330.
PROXY VOTING
The Fund files Form N-PX with its complete proxy voting record for the 12 months
ended June 30th, no later than August 31st of each year. A description of the
Fund's proxy voting policies, procedures, and how the Fund voted proxies
relating to portfolio securities is available without charge, upon request, by
(i) calling 800-GABELLI (800-422-3554); (ii) writing to The Gabelli Funds at One
Corporate Center, Rye, NY 10580-1422; or (iii) visiting the SEC's website at
www.sec.gov.
- --------------------------------------------------------------------------------
2006 TAX NOTICE TO SHAREHOLDERS (UNAUDITED)
For the fiscal year ended December 31, 2006, the Fund paid to shareholders
ordinary income dividends (comprised of net investment income) totaling
$0.035, $0.043, and $0.071 per share for Class AAA, Class A, and Class I,
respectively. For the year ended December 31, 2006, 100% of the distribution
qualifies for the dividend received deduction available to corporations, and
100% of the ordinary income distribution was qualified dividend income.
- --------------------------------------------------------------------------------
4
THE GABELLI BLUE CHIP VALUE FUND
SCHEDULE OF INVESTMENTS -- DECEMBER 31, 2006
- --------------------------------------------------------------------------------
MARKET
SHARES COST VALUE
------ ------ --------
COMMON STOCKS -- 98.7%
AEROSPACE -- 1.0%
4,000 Boeing Co. .......... $ 297,515 $ 355,360
----------- -----------
BANKING -- 8.2%
16,000 Bank of America Corp. 687,759 854,240
18,000 Citigroup Inc........ 838,925 1,002,600
10,000 Commerce Bancorp Inc. 329,564 352,700
16,600 JPMorgan Chase & Co. 576,344 801,780
----------- -----------
2,432,592 3,011,320
----------- -----------
BUILDING AND CONSTRUCTION -- 4.7%
4,500 Centex Corp.......... 219,678 253,215
20,000 D.R. Horton Inc...... 448,265 529,800
6,000 Pulte Homes Inc...... 183,635 198,720
9,000 Ryland Group Inc..... 411,736 491,580
8,000 Toll Brothers Inc.+.. 200,220 257,840
----------- -----------
1,463,534 1,731,155
----------- -----------
BUSINESS SERVICES -- 2.4%
28,000 Deluxe Corp.......... 578,199 705,600
8,000 The Western Union Co. 154,161 179,360
----------- -----------
732,360 884,960
----------- -----------
COMPUTER SOFTWARE AND SERVICES -- 2.4%
20,000 Microsoft Corp....... 529,562 597,200
12,000 Yahoo! Inc.+ ........ 306,749 306,480
----------- -----------
836,311 903,680
----------- -----------
DIVERSIFIED INDUSTRIAL -- 6.6%
33,000 General Electric Co. 1,084,157 1,227,930
16,000 Honeywell International
Inc. .............. 449,255 723,840
12,600 Ingersoll-Rand Co.
Ltd., Cl. A ....... 379,634 493,038
----------- -----------
1,913,046 2,444,808
----------- -----------
ELECTRONICS -- 4.1%
37,500 Applied Materials Inc. 596,950 691,875
28,300 Texas Instruments Inc. 586,771 815,040
----------- -----------
1,183,721 1,506,915
----------- -----------
MARKET
SHARES COST VALUE
------ ------ --------
ENERGY AND UTILITIES -- 12.4%
12,500 Chesapeake Energy
Corp. ............. 359,843 363,125
8,000 Chevron Corp......... 460,615 588,240
10,550 ConocoPhillips....... 319,023 759,072
30,800 El Paso Corp......... 309,392 470,624
9,000 Exxon Mobil Corp..... 357,510 689,670
3,000 GlobalSantaFe Corp... 125,313 176,340
25,000 Halliburton Co....... 506,062 776,250
6,000 Nabors Industries
Ltd.+ 174,520 178,680
2,000 Noble Corp........... 128,660 152,300
10,000 Weatherford
International Ltd.+ 443,414 417,900
----------- -----------
3,184,352 4,572,201
----------- -----------
ENERGY AND UTILITIES: ELECTRIC -- 1.6%
26,100 The AES Corp.+....... $ 157,602 $ 575,244
----------- -----------
ENTERTAINMENT -- 6.1%
42,000 News Corp., Cl. B ... 745,077 934,920
45,400 Time Warner Inc. .... 718,299 988,812
9,500 Univision
Communications Inc.,
Cl. A+ ........... 246,390 336,490
----------- -----------
1,709,766 2,260,222
----------- -----------
FINANCIAL SERVICES -- 12.9%
6,000 AllianceBernstein
Holding LP 397,441 482,400
7,200 American Express Co.. 294,171 436,824
6,600 Capital One Financial
Corp. 521,727 507,012
8,000 First Data Corp...... 180,971 204,160
16,000 H&R Block Inc........ 350,812 368,640
3,000 MBIA Inc............. 182,137 219,180
5,000 Merrill Lynch & Co.
Inc. 266,079 465,500
3,900 State Street Corp.... 183,190 263,016
8,000 Wachovia Corp........ 442,920 455,600
18,000 Wells Fargo & Co..... 559,848 640,080
8,500 Zions Bancorporation 625,021 700,740
----------- -----------
4,004,317 4,743,152
----------- -----------
FOOD AND BEVERAGE -- 3.5%
8,000 Groupe Danone, ADR .. 192,810 260,800
4,000 H.J. Heinz Co. ...... 150,040 180,040
9,800 The Hershey Co. ..... 515,244 488,040
7,000 Wm. Wrigley Jr. Co. 330,798 362,040
----------- -----------
1,188,892 1,290,920
----------- -----------
HEALTH CARE -- 8.6%
6,000 Aetna Inc............ 241,585 259,080
8,000 Barr Pharmaceuticals
Inc.+ 405,472 400,960
12,000 Bristol-Myers Squibb
Co. ............... 254,188 315,840
21,100 Pfizer Inc. ......... 552,725 546,490
17,700 Sanofi-Aventis, ADR 747,239 817,209
6,000 Teva Pharmaceutical
Industries Ltd., ADR 195,938 186,480
12,600 Wyeth ............... 535,659 641,592
----------- -----------
2,932,806 3,167,651
----------- -----------
INSURANCE -- 3.8%
10,000 American International
Group Inc. ......... 537,569 716,600
3,000 Hartford Financial
Services Group Inc. 165,309 279,930
7,561 The St. Paul Travelers
Companies Inc. ..... 267,723 405,950
----------- -----------
970,601 1,402,480
----------- -----------
See accompanying notes to financial statements.
5
THE GABELLI BLUE CHIP VALUE FUND
SCHEDULE OF INVESTMENTS (CONTINUED) -- DECEMBER 31, 2006
- --------------------------------------------------------------------------------
MARKET
SHARES COST VALUE
------ ------ --------
COMMON STOCKS (CONTINUED)
METALS AND MINING -- 2.0%
24,900 Alcoa Inc. .......... $ 683,129 $ 747,249
----------- -----------
PAPER AND FOREST PRODUCTS -- 2.2%
24,000 International Paper
Co. ............... 792,086 818,400
----------- -----------
PUBLISHING -- 0.1%
910 Idearc Inc.+ ........ 23,766 26,072
----------- -----------
RETAIL -- 4.5%
20,000 Federated Department
Stores Inc. ....... 728,558 762,600
10,000 The Home Depot Inc. 409,261 401,600
12,400 Tiffany & Co. ....... 379,816 486,576
----------- -----------
1,517,635 1,650,776
----------- -----------
SPECIALTY CHEMICALS -- 6.5%
28,000 E.I. du Pont de
Nemours & Co. ..... 1,263,286 1,363,880
15,000 Lyondell Chemical Co. 379,430 383,550
16,400 The Dow Chemical Co. 653,465 655,016
----------- -----------
2,296,181 2,402,446
----------- -----------
TELECOMMUNICATIONS -- 1.8%
18,200 Verizon Communications
Inc. .............. 570,395 677,768
----------- -----------
TRANSPORTATION -- 3.3%
39,700 AMR Corp.+........... 972,171 1,200,131
----------- -----------
TOTAL COMMON STOCKS.. 29,862,778 36,372,910
----------- -----------
PRINCIPAL MARKET
AMOUNT COST VALUE
--------- ---- --------
U.S. GOVERNMENT OBLIGATIONS -- 1.6%
$595,000 U.S. Treasury Bills,
4.485% to 4.942%++,
01/04/07 to 03/22/07 $ 592,717 $ 592,696
----------- -----------
TOTAL
INVESTMENTS -- 100.3% $30,455,495 36,965,606
===========
OTHER ASSETS AND LIABILITIES (NET) -- (0.3)% (107,379)
-----------
NET ASSETS -- 100.0%................ $36,858,227
===========
- ----------------
+ Non-income producing security.
++ Represents annualized yield at date of purchase.
ADR American Depository Receipt
See accompanying notes to financial statements.
6
THE GABELLI BLUE CHIP VALUE FUND
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 2006
- --------------------------------------------------------------------------------
ASSETS:
Investments, at value (cost $30,455,495)............ $36,965,606
Receivable for Fund shares sold .................... 52,741
Dividends receivable ............................... 29,126
Prepaid expense .................................... 3,608
-----------
TOTAL ASSETS ....................................... 37,051,081
-----------
LIABILITIES:
Payable to custodian ............................... 81,969
Payable for investment advisory fees ............... 31,325
Payable for shareholder communications
expenses ......................................... 25,236
Payable for legal and audit fees ................... 20,516
Payable for Fund shares redeemed ................... 13,423
Payable for distribution fees ...................... 7,841
Other accrued expenses ............................. 12,544
-----------
TOTAL LIABILITIES .................................. 192,854
-----------
NET ASSETS applicable to 2,494,651
shares outstanding ............................... $36,858,227
===========
NET ASSETS CONSIST OF:
Paid-in capital, each class at $0.001 par value $33,387,020
Accumulated net investment income .................. 29,340
Accumulated net realized loss on investments (3,068,244)
Net unrealized appreciation on investments 6,510,111
-----------
NET ASSETS.......................................... $36,858,227
===========
SHARES OF BENEFICIAL INTEREST:
CLASS AAA:
Net Asset Value, offering and redemption
price per share ($36,753,605 / 2,487,565
shares outstanding; unlimited number of
shares authorized) ............................... $14.77
======
CLASS A:
Net Asset Value and redemption
price per share ($88,204 / 5,959
shares outstanding; unlimited number of
shares authorized) ............................... $14.80
======
Maximum offering price per share
(NAV / .9425, based on maximum sales
charge of 5.75% of the offering price)............ $15.70
======
CLASS B:
Net Asset Value and offering price per share
($9,628 / 661.5 shares outstanding;
unlimited number of shares authorized)............ $14.55(a)
======
CLASS C:
Net Asset Value and offering price per share
($5,432 / 373.5 shares outstanding;
unlimited number of shares authorized) $14.54(a)
======
CLASS I:
Net Asset Value, offering and redemption price
per share ($1,358 / 91.75 shares outstanding;
unlimited number of shares authorized)............ $14.80
======
- ------------------
(a) Redemption price varies based on the length of time held.
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2006
- --------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends (net of foreign taxes of $2,988).......... $ 725,863
Interest ........................................... 18,541
----------
TOTAL INVESTMENT INCOME ............................ 744,404
----------
EXPENSES:
Investment advisory fees ........................... 363,107
Distribution fees - Class AAA ..................... 90,565
Distribution fees - Class A ........................ 171
Distribution fees - Class B ........................ 75
Distribution fees - Class C ........................ 77
Shareholder services fees .......................... 50,317
Shareholder communications expenses ................ 42,415
Registration expenses .............................. 31,761
Legal and audit fees ............................... 27,975
Trustees' fees ..................................... 23,000
Custodian fees ..................................... 11,693
Interest expense ................................... 3,147
Miscellaneous expenses ............................. 15,373
----------
NET EXPENSES ....................................... 659,676
----------
NET INVESTMENT INCOME............................... 84,728
----------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS:
Net realized gain on investments ................... 4,941,373
Net change in unrealized appreciation/
depreciation on investments....................... 835,826
----------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS ................................... 5,777,199
----------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS .................................. $5,861,927
==========
See accompanying notes to financial statements.
7
THE GABELLI BLUE CHIP VALUE FUND
STATEMENT OF CHANGES IN NET ASSETS
YEAR ENDED YEAR ENDED
DECEMBER 31, 2006 DECEMBER 31, 2005
----------------- -----------------
OPERATIONS:
Net investment income (loss) ................................................. $ 84,728 $ (28,522)
Net realized gain on investments ............................................. 4,941,373 3,374,488
Net change in unrealized appreciation/depreciation on investments ............ 835,826 (945,908)
----------- -----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 5,861,927 2,400,058
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class AAA .................................................................. (86,851) --
Class A .................................................................... (256) --
Class I .................................................................... (6) --
----------- -----------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS........................................... (87,113) --
----------- -----------
SHARES OF BENEFICIAL INTEREST TRANSACTIONS:
Class AAA .................................................................. (5,672,342) (4,185,294)
Class A .................................................................... 35,483 40,244
Class B .................................................................... 7,304 --
Class C .................................................................... (1,838) 4,678
Class I .................................................................... 6 --
----------- -----------
NET DECREASE IN NET ASSETS FROM SHARES
OF BENEFICIAL INTEREST TRANSACTIONS......................................... (5,631,387) (4,140,372)
----------- -----------
REDEMPTION FEES .............................................................. 1,508 1,630
----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS ........................................ 144,935 (1,738,684)
NET ASSETS:
Beginning of period........................................................... 36,713,292 38,451,976
----------- -----------
End of period (including undistributed net investment income of
$29,340 and $0, respectively) .............................................. $36,858,227 $36,713,292
=========== ===========
See accompanying notes to financial statements.
8
THE GABELLI BLUE CHIP VALUE FUND
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
1. ORGANIZATION. The Gabelli Blue Chip Value Fund (the "Fund") was organized on
May 13, 1999 as a Delaware statutory trust. The Fund is a diversified open-end
management investment company registered under the Investment Company Act of
1940, as amended (the "1940 Act"). The Fund commenced operations on August 26,
1999. The Fund's primary objective is long-term growth of capital.
2. SIGNIFICANT ACCOUNTING POLICIES. The preparation of financial statements in
accordance with United States ("U.S.") 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 significant accounting
policies followed by the Fund in the preparation of its financial statements.
SECURITY VALUATION. Portfolio securities listed or traded on a nationally
recognized securities exchange or traded in the U.S. over-the-counter market for
which market quotations are readily available are valued at the last quoted sale
price or a market's official closing price as of the close of business on the
day the securities are being valued. If there were no sales that day, the
security is valued at the average of the closing bid and asked prices or, if
there were no asked prices quoted on that day, then the security is valued at
the closing bid price on that day. If no bid or asked prices are quoted on such
day, the security is valued at the most recently available price or, if the
Board of Trustees (the "Board") so determines, by such other method as the Board
shall determine in good faith to reflect its fair market value. Portfolio
securities traded on more than one national securities exchange or market are
valued according to the broadest and most representative market, as determined
by Gabelli Funds, LLC (the "Adviser").
Portfolio securities primarily traded on a foreign market are generally valued
at the preceding closing values of such securities on the relevant market, but
may be fair valued pursuant to procedures established by the Board if market
conditions change significantly after the close of the foreign market but prior
to the close of business on the day the securities are being valued. Debt
instruments with remaining maturities of 60 days or less that are not credit
impaired are valued at amortized cost, unless the Board determines such amount
does not reflect the securities' fair value, in which case these securities will
be fair valued as determined by the Board. Debt instruments having a maturity
greater than 60 days for which market quotations are readily available are
valued at the average of the latest bid and asked prices. If there were no asked
prices quoted on such day, the security is valued using the closing bid price.
Futures contracts are valued at the closing settlement price of the exchange or
board of trade on which the applicable contract is traded.
Securities and assets for which market quotations are not readily available are
fair valued as determined by the Board. Fair valuation methodologies and
procedures may include, but are not limited to: analysis and review of available
financial and non-financial information about the company; comparisons to the
valuation and changes in valuation of similar securities, including a comparison
of foreign securities to the equivalent U.S. dollar value ADR securities at the
close of the U.S. exchange; and evaluation of any other information that could
be indicative of the value of the security.
In September 2006, the Financial Accounting Standards Board (the "FASB") issued
Statement of Financial Accounting Standards ("SFAS") 157, Fair Value
Measurements, which clarifies the definition of fair value and requires
companies to expand their disclosure about the use of fair value to measure
assets and liabilities in interim and annual periods subsequent to initial
recognition. Adoption of SFAS 157 requires the use of the price that would be
received to sell an asset or paid to transfer a liability in an orderly
transaction between market participants at the measurement date. SFAS 157 is
effective for financial statements issued for fiscal years beginning after
November 15, 2007, and interim periods within those fiscal years.
9
THE GABELLI BLUE CHIP VALUE FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
At this time, management is in the process of reviewing the requirements of SFAS
157 against its current valuation policies to determine future applicability.
REPURCHASE AGREEMENTS. The Fund may enter into repurchase agreements with
primary government securities dealers recognized by the Federal Reserve Board,
with member banks of the Federal Reserve System, or with other brokers or
dealers that meet credit guidelines established by the Adviser and reviewed by
the Board. Under the terms of a typical repurchase agreement, the Fund takes
possession of an underlying debt obligation subject to an obligation of the
seller to repurchase, and the Fund to resell, the obligation at an agreed-upon
price and time, thereby determining the yield during the Fund's holding period.
The Fund will always receive and maintain securities as collateral whose market
value, including accrued interest, will be at least equal to 102% of the dollar
amount invested by the Fund in each agreement. The Fund will make payment for
such securities only upon physical delivery or upon evidence of book entry
transfer of the collateral to the account of the custodian. To the extent that
any repurchase transaction exceeds one business day, the value of the collateral
is marked-to-market on a daily basis to maintain the adequacy of the collateral.
If the seller defaults and the value of the collateral declines or if bankruptcy
proceedings are commenced with respect to the seller of the security,
realization of the collateral by the Fund may be delayed or limited. At December
31, 2006, there were no open repurchase agreements.
FOREIGN SECURITIES. The Fund may directly purchase securities of foreign
issuers. Investing in securities of foreign issuers involves special risks not
typically associated with investing in securities of U.S. issuers. The risks
include possible revaluation of currencies, the ability to repatriate funds,
less complete financial information about companies, and possible future adverse
political and economic developments. Moreover, securities of many foreign
issuers and their markets may be less liquid and their prices more volatile than
those of securities of comparable U.S. issuers.
FOREIGN TAXES. The Fund may be subject to foreign taxes on income, gains on
investments, or currency repatriation, a portion of which may be recoverable.
The Fund will accrue such taxes and recoveries as applicable, based upon its
current interpretation of tax rules and regulations that exist in the markets in
which it invests.
SECURITIES TRANSACTIONS AND INVESTMENT INCOME. Securities transactions are
accounted for on the trade date with realized gain or loss on investments
determined by using the identified cost method. Interest income (including
amortization of premium and accretion of discount) is recorded on the accrual
basis. Premiums and discounts on debt securities are amortized using the
effective yield to maturity method. Dividend income is recorded on the
ex-dividend date except for certain dividends which are recorded as soon as the
Fund is informed of the dividend.
DETERMINATION OF NET ASSET VALUE AND CALCULATION OF EXPENSES. Certain
administrative expenses are common to, and allocated among, various affiliated
funds. Such allocations are made on the basis of each Fund's average net assets
or other criteria directly affecting the expenses as determined by the Adviser
pursuant to procedures established by the Board.
In calculating the net asset value ("NAV") per share of each class, investment
income, realized and unrealized gains and losses, redemption fees, and expenses
other than class specific expenses, are allocated daily to each class of shares
based upon the proportion of net assets of each class at the beginning of each
day. Distribution expenses are borne solely by the class incurring the expense.
CUSTODIAN FEE CREDITS AND INTEREST EXPENSE. When cash balances are maintained in
the custody account, the Fund receives credits which are used to offset
custodian fees. The gross expenses paid under the custody arrangement are
included in custodian fees in the Statement of Operations with the corresponding
expense
10
THE GABELLI BLUE CHIP VALUE FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
offset, if any, shown as "custodian fee credits". When cash balances are
overdrawn, the Fund is charged an overdraft fee of 2.00% above the Federal Funds
rate on outstanding balances. This amount, if any, would be shown as "interest
expense" in the Statement of Operations.
DISTRIBUTIONS TO SHAREHOLDERS. Distributions to shareholders are recorded on the
ex-dividend date. Distributions to shareholders are based on income and capital
gains as determined in accordance with Federal income tax regulations, which may
differ from income and capital gains as determined under U.S. generally accepted
accounting principles. These differences are primarily due to differing
treatments of income and gains on various investment securities held by the
Fund, timing differences, and differing characterizations of distributions made
by the Fund. These book/tax differences are either temporary or permanent in
nature. To the extent these differences are permanent, adjustments are made to
the appropriate capital accounts in the period when the differences arise. These
reclassifications have no impact on the NAV of the Fund. For the fiscal year
ended December 31, 2006, reclassifications were made to increase accumulated net
investment income by $31,725 and to decrease accumulated net realized loss on
investments by $1, with an offsetting adjustment to additional paid-in capital.
The tax character of distributions of $87,113 paid during the fiscal year ended
December 31, 2006 was ordinary income. No distributions were paid during the
fiscal year ended December 31, 2005.
PROVISION FOR INCOME TAXES. The Fund intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code of
1986, as amended (the "Code"). It is the policy of the Fund to comply with the
requirements of the Code applicable to regulated investment companies and to
distribute substantially all of its net investment company taxable income and
net capital gains. Therefore, no provision for Federal income taxes is required.
At December 31, 2006, the difference between book basis and tax basis unrealized
appreciation was primarily due to deferral of losses from wash sales for tax
purposes and basis adjustments on investments in partnerships.
As of December 31, 2006, the components of accumulated earnings/(losses) on a
tax basis were as follows:
Accumulated capital loss carryforward................ $(2,888,786)
Net unrealized appreciation on investments .......... 6,359,993
-----------
Total ............................................... $ 3,471,207
===========
At December 31, 2006, the Fund had net capital loss carryforwards for Federal
income tax purposes of $2,888,786, which are available to reduce future required
distributions of net capital gains to shareholders through 2010. For the fiscal
year ended December 31, 2006, the Fund utilized capital loss carryforwards of
$4,585,623.
The following summarizes the tax cost of investments and the related unrealized
appreciation/(depreciation) at December 31, 2006:
GROSS GROSS
UNREALIZED UNREALIZED NET UNREALIZED
COST APPRECIATION DEPRECIATION APPRECIATION
---- ------------ ------------ --------------
Investments............. $30,605,613 $6,635,041 $(275,048) $6,359,993
In July 2006, the FASB issued Interpretation No. 48, "Accounting for Uncertainty
in Income Taxes, an Interpretation of FASB Statement No. 109" ("the
Interpretation"). The Interpretation establishes for all entities, including
pass-through entities such as the Fund, a minimum threshold for financial
statement recognition of the benefit of positions taken in filing tax returns
(including whether an entity is taxable in a particular jurisdiction), and
requires certain expanded tax disclosures. The Interpretation is required to be
implemented for a calendar-year open-end fund no later than its June 29, 2007
NAV, and is to be applied to all open tax years as of the date of effectiveness.
Management has begun to evaluate the application of the Interpretation to the
Fund, and is not in a position at this time to estimate the significance of its
impact, if any, on the Fund's financial statements.
11
THE GABELLI BLUE CHIP VALUE FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
3. INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS. The Fund has entered
into an investment advisory agreement (the "Advisory Agreement") with the
Adviser which provides that the Fund will pay the Adviser a fee, computed daily
and paid monthly, at the annual rate of 1.00% of the value of its average daily
net assets. In accordance with the Advisory Agreement, the Adviser provides a
continuous investment program for the Fund's portfolio, oversees the
administration of all aspects of the Fund's business and affairs, and pays the
compensation of all Officers and Trustees of the Fund who are affiliated persons
of the Adviser. The Adviser contractually agreed to reimburse expenses of the
Fund to the extent necessary to maintain the annualized total operating expenses
of the Fund (exclusive of brokerage fees, interest, taxes, and extraordinary
expenses) at 2.00%, 2.00%, 2.75%, 2.75%, and 1.75%, respectively, of Class AAA,
Class A, Class B, Class C, and Class I Shares' average daily net assets. The
Fund is 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 fell below those percentages of average daily
net assets for those respective share classes. There have been no expense
reimbursements by the Adviser in fiscal years ended December 31, 2004, 2005, or
2006.
The Fund pays each Trustee that is not considered to be an affiliated person an
annual retainer of $3,000 plus $500 for each Board meeting attended and they are
reimbursed for any out of pocket expenses incurred in attending meetings. All
Board committee members receive $500 per meeting. Trustees who are directors or
employees of the Adviser or an affiliated company receive no compensation or
expense reimbursement from the Fund.
4. DISTRIBUTION PLAN. The Fund's Board has adopted a distribution plan (the
"Plan") for each class of shares (other than Class I) pursuant to Rule 12b-1
under the 1940 Act. Gabelli & Company, Inc. ("Gabelli & Company"), an affiliate
of the Adviser, serves as distributor of the Fund. Under the Class AAA, Class A,
Class B, and Class C Share Plans, payments are authorized to Gabelli & Company
at annual rates of 0.25%, 0.25%, 1.00%, and 1.00%, respectively, of the average
daily net assets of those classes, the annual limitations under each Plan. Such
payments are accrued daily and paid monthly.
5. PORTFOLIO SECURITIES. Purchases and proceeds from the sales of securities for
the fiscal year ended December 31, 2006, other than short-term securities,
aggregated $15,844,527 and $21,804,784, respectively.
6. TRANSACTIONS WITH AFFILIATES. During the fiscal year ended December 31, 2006,
the Fund paid brokerage commissions of $36,087 to Gabelli & Company.
The cost of calculating the Fund's NAV per share is a Fund expense pursuant to
the Advisory Agreement between the Fund and the Adviser. A reimbursement was not
sought by the Adviser during the fiscal year ended December 31, 2006.
7. SHARES OF BENEFICIAL INTEREST. The Fund currently offers five classes of
shares - Class AAA Shares, Class A Shares, Class B Shares, Class C Shares, and
Class I Shares. Class AAA Shares are offered only to investors who acquire them
directly from Gabelli & Company, or through selected broker/dealers, or the
transfer agent without a sales charge. Class A Shares are subject to a maximum
front-end sales charge of 5.75%. Class B Shares are subject to a contingent
deferred sales charge ("CDSC") upon redemption within six years of purchase and
automatically convert to Class A Shares approximately eight years after the
original purchase. The applicable CDSC is equal to a declining percentage of the
lesser of the NAV per share at the date of the original purchase or at the date
of redemption, based on the length of time held. Class C Shares are subject
12
THE GABELLI BLUE CHIP VALUE FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
to a 1.00% CDSC for one year after purchase. Class B Shares are available only
through exchange of Class B Shares of other funds distributed by Gabelli &
Company. Class I Shares are offered to institutional investors that acquire the
Fund directly through Gabelli & Company.
The Fund imposes a redemption fee of 2.00% on Class AAA Shares, Class A Shares,
Class B Shares, Class C Shares, and Class I Shares that are redeemed or
exchanged on or before the seventh day after the date of a purchase. (Prior to
June 15, 2005, the Fund imposed a redemption fee on shares that were redeemed or
exchanged on or before the sixtieth day after the date of a purchase.) The
redemption fee is deducted from the proceeds otherwise payable to the redeeming
shareholders and is retained by the Fund. The redemption fees retained by the
Fund during the fiscal years ended December 31, 2006 and December 31, 2005
amounted to $1,508 and $1,630, respectively.
The redemption fee does not apply to shares purchased through programs that the
Adviser determined to have appropriate short-term trading policies in place.
Additionally, certain recordkeepers for qualified and non-qualified retirement
plans that could not collect the redemption fee at the participant level due to
systems limitations have received an extension to implement such systems.
Transactions in shares of beneficial interest were as follows:
YEAR ENDED YEAR ENDED
DECEMBER 31, 2006 DECEMBER 31, 2005
----------------- -----------------
SHARES AMOUNT SHARES AMOUNT
-------- ------------ -------- -----------
CLASS AAA CLASS AAA
-------------------------- -------------------------
Shares sold....................................... 314,516 $ 4,249,514 416,116 $ 5,039,417
Shares issued upon reinvestment of distributions.. 5,643 83,963 -- --
Shares redeemed................................... (741,752) (10,005,819) (762,810) (9,224,711)
-------- ------------ -------- -----------
Net decrease.................................... (421,593) $ (5,672,342) (346,694) $(4,185,294)
======== ============ ======== ===========
CLASS A CLASS A
-------------------------- -------------------------
Shares sold....................................... 2,602 $ 35,248 3,246 $ 40,244
Shares issued upon reinvestment of distributions.. 16 235 -- --
-------- ------------ -------- -----------
Net increase.................................... 2,618 $ 35,483 3,246 $ 40,244
======== ============ ======== ===========
CLASS B CLASS B
-------------------------- -------------------------
Shares sold....................................... 567 $ 7,304 -- --
-------- ------------ -------- -----------
Net increase.................................... 567 $ 7,304 -- --
======== ============ ======== ===========
CLASS C CLASS C
-------------------------- -------------------------
Shares sold....................................... 151 $ 2,000 398 $ 4,678
Shares redeemed................................... (271) (3,838) -- --
-------- ------------ -------- -----------
Net increase (decrease)......................... (120) $ (1,838) 398 $ 4,678
======== ============ ======== ===========
CLASS I CLASS I
-------------------------- -------------------------
Shares sold....................................... 0* $ 6 -- --
-------- ------------ -------- -----------
Net increase.................................... 0* $ 6 -- --
======== ============ ======== ===========
- --------------------
* Shares rounded to less than 1.0 shares.
13
THE GABELLI BLUE CHIP VALUE FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
8. INDEMNIFICATIONS. The Fund enters into contracts that contain a variety of
indemnifications. The Fund's maximum exposure under these arrangements is
unknown. However, the Fund has not had prior claims or losses pursuant to these
contracts and expects the risk of loss to be remote.
9. OTHER MATTERS. The Adviser and/or affiliates received subpoenas from the
Attorney General of the State of New York and the SEC requesting information on
mutual fund share trading practices involving certain funds managed by the
Adviser. GAMCO Investors, Inc. ("GAMCO"), the Adviser's parent company,
responded to these requests for documents and testimony. In June 2006, GAMCO
began discussions with the SEC regarding a possible resolution of their inquiry.
In February 2007, the Adviser made an offer of settlement to the staff of the
SEC for communication to the Commission for its consideration to resolve this
matter. This offer of settlement is subject to agreement regarding the specific
language of the SEC's administrative order and other settlement documents. On a
separate matter, in September 2005, the Adviser was informed by the staff of the
SEC that the staff may recommend to the Commission that an administrative remedy
and a monetary penalty be sought from the Adviser in connection with the actions
of two of seven closed-end funds managed by the Adviser relating to Section
19(a) and Rule 19a-1 of the 1940 Act. These provisions require registered
investment companies to provide written statements to shareholders when a
dividend is made from a source other than net investment income. While the two
closed-end funds sent annual statements and provided other materials containing
this information, the funds did not send written statements to shareholders with
each distribution in 2002 and 2003. The Adviser believes that all of the funds
are now in compliance. The Adviser believes that these matters would have no
effect on the Fund or any material adverse effect on the Adviser or its ability
to manage the Fund.
14
THE GABELLI BLUE CHIP VALUE FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Selected data for a share of beneficial interest outstanding throughout each
period:
INCOME FROM INVESTMENT OPERATIONS DISTRIBUTIONS
------------------------------------- -------------------------
Net
Net Asset Net Realized and Total
Period Value, Investment Unrealized from Net
Ended Beginning Income Gain/(Loss) on Investment Investment Total
December 31 of Period (Loss)(a) Investments Operations Income Distributions
- ----------- --------- --------- ----------- ---------- ------ -------------
CLASS AAA
2006 $12.60 $ 0.03 $ 2.18 $ 2.21 $(0.04) $(0.04)
2005 11.81 (0.01) 0.80 0.79 -- --
2004 10.54 0.03 1.27 1.30 (0.03) (0.03)
2003 7.32 (0.01) 3.23 3.22 -- --
2002 10.71 (0.03) (3.36) (3.39) -- --
CLASS A(d)
2006 $12.63 $ 0.04 $ 2.17 $ 2.21 $(0.04) $(0.04)
2005 11.82 (0.01) 0.82 0.81 -- --
2004 10.54 0.04 1.28 1.32 (0.04) (0.04)
CLASS B(d)
2006 $12.47 $(0.07) $ 2.15 $ 2.08 -- --
2005 11.76 (0.09) 0.80 0.71 -- --
2004 10.54 (0.04) 1.26 1.22 -- --
CLASS C(d)
2006 $12.47 $(0.06) $ 2.13 $ 2.07 -- --
2005 11.76 (0.09) 0.80 0.71 -- --
2004 10.54 (0.08) 1.30 1.22 -- --
CLASS I
2006 $12.63 $ 0.06 $ 2.18 $ 2.24 $(0.07) $(0.07)
2005 11.79 0.03 0.81 0.84 -- --
2004(e) 11.01 0.05 0.80 0.85 (0.07) (0.07)
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA
-----------------------------------------------
Net Asset Net Assets Net
Period Value, End of Investment Portfolio
Ended Redemption End of Total Period Income Operating Turnover
December 31 Fees(a) Period Return+ (in 000's) (Loss) Expenses(b) Rate
- ----------- ------- ------ ------- ---------- ------ ----------- ----
CLASS AAA
2006 $0.00(c) $14.77 17.5% $36,754 0.23% 1.82% 44%
2005 0.00(c) 12.60 6.7 36,663 (0.08) 1.89 37
2004 0.00(c) 11.81 12.4 38,448 0.25 1.89 26
2003 -- 10.54 44.0 48,503 (0.12) 1.86 140
2002 -- 7.32 (31.7) 23,912 (0.40) 1.94 94
CLASS A(d)
2006 $0.00(c) $14.80 17.5% $ 88 0.27% 1.82% 44%
2005 0.00(c) 12.63 6.9 42 (0.07) 1.89 37
2004 0.00(c) 11.82 12.5 1 0.38 1.89 26
CLASS B(d)
2006 $0.00(c) $14.55 16.7% $ 10 (0.53)% 2.57% 44%
2005 0.00(c) 12.47 6.0 1 (0.71) 2.64 37
2004 0.00(c) 11.76 11.6 1 (0.38) 2.64 26
CLASS C(d)
2006 $0.00(c) $14.54 16.6% $ 5 (0.48)% 2.57% 44%
2005 0.00(c) 12.47 6.0 6 (0.72) 2.64 37
2004 0.00(c) 11.76 11.6 1 (0.71) 2.64 26
CLASS I
2006 $0.00(c) $14.80 17.7% $ 1 0.46% 1.57% 44%
2005 0.00(c) 12.63 7.1 1 0.28 1.64 37
2004(e) 0.00(c) 11.79 7.7 1 0.81(f) 1.59(f) 26
- ----------------------
+ Total return represents aggregate total return of a hypothetical $1,000
investment at the beginning of the period and sold at the end of the period
including reinvestment of distributions and does not reflect applicable
sales charges. Total return for the period of less than one year is not
annualized.
(a) Per share data is calculated using the average shares outstanding method.
(b) The Fund incurred interest expense during the fiscal years ended December
31, 2006 and December 31, 2004. If interest expense had not been incurred,
the ratio of operating expenses to average net assets would have been 1.81%
and 1.87% (Class AAA and Class A) 2.56%, and 2.62% (Class B and Class C),
and 1.56% and 1.62% (Class I). Interest expense in 2005 was immaterial.
(c) Amount represents less than $0.005 per share.
(d) Class A, Class B, and Class C Shares were outstanding within the period
December 23, 2003 through December 31, 2003. Financial Highlights are not
presented for Class A, Class B, and Class C Shares as the information for
this period is not considered meaningful.
(e) From the commencement of offering Class I Shares on June 30, 2004.
(f) Annualized.
See accompanying notes to financial statements.
15
THE GABELLI BLUE CHIP VALUE FUND
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
- --------------------------------------------------------------------------------
To the Shareholders and Board of Trustees of
The Gabelli Blue Chip Value Fund
We have audited the accompanying statement of assets and liabilities of The
Gabelli Blue Chip Value Fund (the "Fund"), including the schedule of
investments, as of December 31, 2006, and the related statement of operations
for the year then ended, the statements of changes in net assets for each of the
two years in the period then ended, and the financial highlights for each of the
periods indicated therein. These financial statements and financial highlights
are the responsibility of the Fund's management. Our responsibility is to
express an opinion on these financial statements and financial highlights based
on our audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. We were
not engaged to perform an audit of the Fund's internal control over financial
reporting. Our audits included consideration of internal control over financial
reporting as a basis for designing audit procedures that are appropriate in the
circumstances, but not for the purpose of expressing an opinion on the
effectiveness of the Fund's internal control over financial reporting.
Accordingly, we express no such opinion. An audit also includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements and financial highlights, assessing the accounting principles used
and significant estimates made by management, and evaluating the overall
financial statement presentation. Our procedures included confirmation of
securities owned as of December 31, 2006, by correspondence with the Fund's
custodian. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of The
Gabelli Blue Chip Value Fund at December 31, 2006, the results of its operations
for the year then ended, the changes in its net assets for each of the two years
in the period then ended, and the financial highlights for each of the periods
indicated therein, in conformity with U.S. generally accepted accounting
principles.
/s/ Ernst & Young LLP
Philadelphia, Pennsylvania
February 16, 2007
16
THE GABELLI BLUE CHIP VALUE FUND
ADDITIONAL FUND INFORMATION (UNAUDITED)
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The business and affairs of the Fund are managed under the direction of the
Fund's Board of Trustees. Information pertaining to the Trustees and officers of
the Fund is set forth below. The Fund's Statement of Additional Information
includes additional information about the Fund's Trustees and is available,
without charge, upon request, by calling 800-GABELLI (800-422-3554) or by
writing to The Gabelli Blue Chip Value Fund at One Corporate Center, Rye, NY
10580-1422.
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 4
- ---------------- ------------- --------------- ---------------------- -----------------
INTERESTED TRUSTEES 3:
- ---------------------
MARIO J. GABELLI Since 1999 24 Chairman of the Board and Chief Executive Director of Morgan Group
Trustee Officer of GAMCO Investors, Inc. and Holdings, Inc. (transportation
Age: 64 of Gabelli Funds, LLC and GAMCO Asset services); Chairman of the
Management Inc.; Director/Trustee or Board of Lynch Interactive
Chief Investment Officer of other registered Corporation (multimedia and
investment companies in the Gabelli Funds communication services
complex; Chairman and Chief Executive company)
Officer of GGCP, Inc.
INDEPENDENT TRUSTEES 5:
- ----------------------
ANTHONY J. COLAVITA Since 1999 34 Partner in the law firm of --
Trustee Anthony J. Colavita, P.C.
Age: 71
VINCENT D. ENRIGHT Since 1999 13 Former Senior Vice President and Chief Financial --
Trustee Officer of KeySpan Energy Corporation
Age: 63 (public utility) (1994-1998)
MARY E. HAUCK Since 2000 3 Retired Senior Manager of the Gabelli O'Connor --
Trustee Fixed Income Mutual Funds Management
Age: 64 Company
WERNER J. ROEDER, MD Since 1999 23 Medical Director of Lawrence Hospital and --
Trustee practicing private physician
Age: 66
OFFICERS:
- --------
BRUCE N. ALPERT Since 2003 -- Executive Vice President and Chief Operating Officer --
President of Gabelli Funds, LLC since 1988 and an officer of
Age: 55 all of the registered investment companies in the
Gabelli Funds complex. Director and President
of Gabelli Advisers, Inc. since 1998
JAMES E. MCKEE Since 1999 -- Vice President, General Counsel and Secretary of GAMCO --
Secretary Investors, Inc. since 1999 and GAMCO Asset Management
Age: 43 Inc. since 1993; Secretary of all of the registered
investment companies in the Gabelli Funds complex
AGNES MULLADY Since 2006 -- Treasurer of all of the registered investment companies in --
Treasurer the Gabelli Funds complex; Senior Vice President of U.S. Trust
Age: 48 Company, N.A. and Treasurer and Chief Financial Officer of
Excelsior Funds from 2004 through 2005; Chief Financial Officer
of AMIC Distribution Partners from 2002 through 2004; Controller
of Reserve Management Corporation and Reserve Partners, Inc.
and Treasurer of Reserve Funds from 2000 through 2002
PETER D. GOLDSTEIN Since 2004 -- Director of Regulatory Affairs at GAMCO Investors, Inc. --
Chief Compliance Officer since 2004; Chief Compliance Officer of all of the
Age: 53 registered investment companies in the Gabelli Funds
complex; Vice President of Goldman Sachs Asset
Management from 2000 through 2004
- -------------------
1 Address: One Corporate Center, Rye, NY 10580-1422, unless otherwise noted.
2 Each Trustee will hold office for an indefinite term until the earliest of
(i) the next meeting of shareholders, if any, called for the purpose of
considering the election or re-election of such Trustee and until the
election and qualification of his or her successor, if any, elected at such
meeting, or (ii) the date a Trustee resigns or retires, or a Trustee is
removed by the Board of Trustees or shareholders, in accordance with the
Fund's By-Laws and Agreement and Declaration of Trust. Each officer will
hold office for an indefinite term until the date he or she resigns or
retires or until his or her successor is elected and qualified.
3 "Interested person" of the Fund as defined in the 1940 Act. Mr. Gabelli is
considered an "interested person" because of his affiliation with Gabelli
Funds, LLC which acts as the Fund's investment adviser.
4 This column includes only directorships of companies required to report to
the SEC under the Securities Exchange Act of 1934, as amended (i.e. public
companies) or other investment companies registered under the 1940 Act.
5 Trustees who are not interested persons are considered "Independent"
Trustees.
17
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GABELLI FUNDS AND YOUR PERSONAL PRIVACY
================================================================================
WHO ARE WE?
The Gabelli/GAMCO and Westwood 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 and Gabelli Advisers,
Inc., which are affiliated with GAMCO Investors, Inc. GAMCO Investors, Inc.
is a publicly held company that has subsidiaries that provide investment
advisory or brokerage services for a variety of clients.
WHAT KIND OF NON-PUBLIC INFORMATION DO WE COLLECT ABOUT YOU IF YOU BECOME A
SHAREHOLDER?
If you apply to open an account directly with us, you will be giving us
some non-public information about yourself. The non-public information we
collect about you is:
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. 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.
- --------------------------------------------------------------------------------
GABELLI FAMILY OF FUNDS
VALUE _______________________________________
GABELLI ASSET FUND
Seeks to invest primarily in a diversified portfolio of common stocks selling at
significant discounts to their private market value. The Fund's primary
objective is growth of capital. (MULTICLASS)
PORTFOLIO MANAGER: MARIO J. GABELLI, CFA
GABELLI BLUE CHIP VALUE FUND
Seeks long term growth of capital through investment primarily in the common
stocks of established companies which are temporarily out of favor. The fund's
objective is to identify a catalyst or sequence of events that will return the
company to a higher value.
(MULTICLASS) PORTFOLIO MANAGER: BARBARA MARCIN, CFA
WESTWOOD EQUITY FUND
Seeks to invest primarily in the common stock of well-seasoned companies that
have recently reported positive earnings surprises and are trading below
Westwood's proprietary growth rate estimates. The Fund's primary objective is
capital appreciation.
(MULTICLASS) PORTFOLIO MANAGER: SUSAN M. BYRNE
FOCUSED VALUE _______________________________
GABELLI VALUE FUND
Seeks to invest in securities of companies believed to be undervalued. The
Fund's primary objective is long-term capital appreciation. (MULTICLASS)
PORTFOLIO MANAGER: MARIO J. GABELLI, CFA
SMALL CAP VALUE _____________________________
GABELLI SMALL CAP FUND
Seeks to invest primarily in common stock of smaller companies (market
capitalizations at the time of investment of $2 billion or less) believed to
have rapid revenue and earnings growth potential. The Fund's primary objective
is capital appreciation.
(MULTICLASS) PORTFOLIO MANAGER: MARIO J. GABELLI, CFA
WESTWOOD SMALLCAP EQUITY FUND
Seeks to invest primarily in smaller capitalization equity securities - market
caps of $2.5 billion or less. The Fund's primary objective is long-term capital
appreciation. (MULTICLASS) TEAM MANAGED
GABELLI WOODLAND SMALL CAP VALUE FUND
Seeks to invest primarily in the common stocks of smaller companies (market
capitalizations generally less than $3.0 billion) believed to be undervalued
with shareholder oriented management teams that are employing strategies to grow
the company's value. The Fund's primary objective is capital appreciation.
(MULTICLASS) PORTFOLIO MANAGER: ELIZABETH M. LILLY, CFA
GROWTH ______________________________________
GAMCO GROWTH FUND
Seeks to invest primarily in large cap stocks believed to have favorable, yet
undervalued, prospects for earnings growth. The Fund's primary objective is
capital appreciation. (MULTICLASS) PORTFOLIO MANAGER: HOWARD F. WARD, CFA
GAMCO INTERNATIONAL GROWTH FUND
Seeks to invest in the equity securities of foreign issuers with long-term
capital appreciation potential. The Fund offers investors global
diversification. (MULTICLASS) PORTFOLIO MANAGER: CAESAR BRYAN
AGGRESSIVE GROWTH ___________________________
GAMCO GLOBAL GROWTH FUND
Seeks capital appreciation through a disciplined investment program focusing on
the globalization and interactivity of the world's marketplace. The Fund invests
in companies at the forefront of accelerated growth. The Fund's primary
objective is capital appreciation. (MULTICLASS) TEAM MANAGED
MICRO-CAP ___________________________________
WESTWOOD MIGHTY MITES(SM) FUND
Seeks to invest in micro-cap companies that have market capitalizations of $300
million or less. The Fund's primary objective is long-term capital appreciation.
(MULTICLASS) TEAM MANAGED
EQUITY INCOME _______________________________
GABELLI EQUITY INCOME FUND
Seeks to invest primarily in equity securities with above market average yields.
The Fund pays monthly dividends and seeks a high level of total return with an
emphasis on income. (MULTICLASS) PORTFOLIO MANAGER: MARIO J. GABELLI, CFA
WESTWOOD BALANCED FUND
Seeks to invest in a balanced and diversified portfolio of stocks and bonds. The
Fund's primary objective is both capital appreciation and current income.
(MULTICLASS) CO-PORTFOLIO MANAGERS: SUSAN M. BYRNE
MARK FREEMAN, CFA
WESTWOOD INCOME FUND
Seeks to provide a high level of current income as well as long-term capital
appreciation by investing in income producing equity and fixed income
securities. (MULTICLASS) TEAM MANAGED
SPECIALTY EQUITY ____________________________
GAMCO GLOBAL CONVERTIBLE SECURITIES FUND
Seeks to invest principally in bonds and preferred stocks which are convertible
into common stock of foreign and domestic companies. The Fund's primary
objective is total return through a combination of current income and capital
appreciation. (MULTICLASS) TEAM MANAGED
GAMCO GLOBAL OPPORTUNITY FUND
Seeks to invest in common stock of companies which have rapid growth in revenues
and earnings and potential for above average capital appreciation or are
undervalued. The Fund's primary objective is capital appreciation.
(MULTICLASS) TEAM MANAGED
SECTOR ______________________________________
GAMCO GLOBAL TELECOMMUNICATIONS FUND
Seeks to invest in telecommunications companies throughout the world - targeting
undervalued companies with strong earnings and cash flow dynamics. The Fund's
primary objective is capital appreciation. (MULTICLASS) TEAM MANAGED
GAMCO GOLD FUND
Seeks to invest in a global portfolio of equity securities of gold mining and
related companies. The Fund's objective is long-term capital appreciation.
Investment in gold stocks is considered speculative and is affected by a variety
of world-wide economic, financial, and political factors. (MULTICLASS)
PORTFOLIO MANAGER: CAESAR BRYAN
GABELLI UTILITIES FUND
Seeks to provide a high level of total return through a combination of capital
appreciation and current income. (MULTICLASS) TEAM MANAGED
MERGER AND ARBITRAGE ________________________
GABELLI ABC FUND
Seeks to invest in securities with attractive opportunities for appreciation or
investment income. The Fund's primary objective is total return in various
market conditions without excessive risk of capital loss.
(NO-LOAD) PORTFOLIO MANAGER: MARIO J. GABELLI, CFA
CONTRARIAN___________________________________
GAMCO MATHERS FUND
Seeks long-term capital appreciation in various market conditions without
excessive risk of capital loss. (NO-LOAD)
PORTFOLIO MANAGER: HENRY VAN DER EB, CFA
COMSTOCK CAPITAL VALUE FUND
Seeks capital appreciation and current income. The Fund may use either long or
short positions to achieve its objective.
(MULTICLASS) PORTFOLIO MANAGER: MARTIN WEINER, CFA
COMSTOCK STRATEGY FUND
The Fund emphasizes investments in debt securities, which maximize total return
in light of credit risk, interest rate risk, and the risk associated with the
length of maturity of debt instruments. (MULTICLASS)
PORTFOLIO MANAGER: MARTIN WEINER, CFA
FIXED INCOME ________________________________
WESTWOOD INTERMEDIATE BOND FUND
Seeks to invest in a diversified portfolio of bonds with various maturities. The
Fund's primary objective is total return.
(MULTICLASS) PORTFOLIO MANAGER: MARK FREEMAN, CFA
CASH MANAGEMENT-MONEY MARKET ________________
GABELLI U.S. TREASURY MONEY MARKET FUND
Seeks to invest exclusively in short-term U.S. Treasury securities. The Fund's
primary objective is to provide high current income consistent with the
preservation of principal and liquidity. (NO-LOAD)
PORTFOLIO MANAGER: JUDITH A. RANERI
AN INVESTMENT IN THE ABOVE MONEY MARKET FUND IS NEITHER INSURED NOR GUARANTEED
BY THE FEDERAL DEPOSIT INSURANCE CORPORATION OR ANY GOVERNMENT AGENCY. ALTHOUGH
THE FUND SEEKS TO PRESERVE THE VALUE OF YOUR INVESTMENT AT $1.00 PER SHARE, IT
IS POSSIBLE TO LOSE MONEY BY INVESTING IN THE FUND.
THE FUNDS MAY INVEST IN FOREIGN SECURITIES WHICH INVOLVE RISKS NOT ORDINARILY
ASSOCIATED WITH INVESTMENTS IN DOMESTIC ISSUES, INCLUDING CURRENCY FLUCTUATION,
ECONOMIC, AND POLITICAL RISKS.
TO RECEIVE A PROSPECTUS, CALL 800-GABELLI (422-3554). INVESTORS SHOULD CAREFULLY
CONSIDER THE INVESTMENT OBJECTIVES, RISKS, CHARGES, AND EXPENSES OF THE FUND
BEFORE INVESTING. THE PROSPECTUS CONTAINS MORE INFORMATION
ABOUT THIS AND OTHER MATTERS AND SHOULD BE READ CAREFULLY BEFORE INVESTING.
THE GABELLI BLUE CHIP VALUE FUND
One Corporate Center
Rye, New York 10580-1422
800-GABELLI
800-422-3554
FAX: 914-921-5118
WEBSITE: WWW.GABELLI.COM
E-MAIL: INFO@GABELLI.COM
Net Asset Value per share available daily by calling
800-GABELLI after 6:00 P.M.
BOARD OF TRUSTEES
Mario J. Gabelli, CFA Mary E. Hauck
CHAIRMAN AND CHIEF FORMER SENIOR PORTFOLIO MANAGER
EXECUTIVE OFFICER GABELLI-O'CONNOR FIXED INCOME
GAMCO INVESTORS, INC. MUTUAL FUND MANAGEMENT CO.
Anthony J. Colavita Werner J. Roeder, MD
ATTORNEY-AT-LAW MEDICAL DIRECTOR
ANTHONY J. COLAVITA, P.C. LAWRENCE HOSPITAL
Vincent D. Enright
FORMER SENIOR VICE PRESIDENT
AND CHIEF FINANCIAL OFFICER
KEYSPAN ENERGY CORP.
OFFICERS AND PORTFOLIO MANAGER
Barbara G. Marcin, CFA Bruce N. Alpert
PORTFOLIO MANAGER PRESIDENT
James E. McKee Agnes Mullady
SECRETARY TREASURER
Peter D. Goldstein
CHIEF COMPLIANCE OFFICER
DISTRIBUTOR
Gabelli & Company, Inc.
CUSTODIAN, TRANSFER AGENT, AND DIVIDEND AGENT
State Street Bank and Trust Company
LEGAL COUNSEL
Skadden, Arps, Slate, Meagher & Flom LLP
- --------------------------------------------------------------------------------
This report is submitted for the general information of the shareholders of The
Gabelli Blue Chip Value Fund. It is not authorized for distribution to
prospective investors unless preceded or accompanied by an effective prospectus.
- --------------------------------------------------------------------------------
GAB402Q406SR
[GRAPHIC OMITTED] E P
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MANAGEMENT S V
CASH FLOW
RESEARCH
THE
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BLUE CHIP
VALUE
FUND
[LOGO OMITTED]
ANNUAL REPORT
DECEMBER 31, 2006
ITEM 2. CODE OF ETHICS.
(a) The registrant, as of the end of the period covered by this report, has
adopted a code of ethics that applies to the registrant's principal
executive officer, principal financial officer, principal accounting
officer or controller, or persons performing similar functions,
regardless of whether these individuals are employed by the registrant
or a third party.
(c) There have been no amendments, during the period covered by this
report, to a provision of the code of ethics that applies to the
registrant's principal executive officer, principal financial officer,
principal accounting officer or controller, or persons performing
similar functions, regardless of whether these individuals are employed
by the registrant or a third party, and that relates to any element of
the code of ethics description.
(d) The registrant has not granted any waivers, including an implicit
waiver, from a provision of the code of ethics that applies to the
registrant's principal executive officer, principal financial officer,
principal accounting officer or controller, or persons performing
similar functions, regardless of whether these individuals are employed
by the registrant or a third party, that relates to one or more of the
items set forth in paragraph (b) of this item's instructions.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
As of the end of the period covered by the report, the registrant's Board of
Trustees has determined that Vincent D. Enright is qualified to serve as an
audit committee financial expert serving on its audit committee and that he is
"independent," as defined by Item 3 of Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
AUDIT FEES
(a) The aggregate fees billed for each of the last two fiscal years for
professional services rendered by the principal accountant for the
audit of the registrant's annual financial statements or services that
are normally provided by the accountant in connection with statutory
and regulatory filings or engagements for those fiscal years are
$21,900 for 2005 and $22,900 for 2006.
AUDIT-RELATED FEES
(b) The aggregate fees billed in each of the last two fiscal years for
assurance and related services by the principal accountant that are
reasonably related to the performance of the audit of the registrant's
financial statements and are not reported under paragraph (a) of this
Item are $0 for 2005 and $0 for 2006.
TAX FEES
(c) The aggregate fees billed in each of the last two fiscal years for
professional services rendered by the principal accountant for tax
compliance, tax advice, and tax planning are $3,600 for 2005 and $0 for
2006. Tax fees represent tax compliance services provided in connection
with the review of the Registrant's tax returns.
ALL OTHER FEES
(d) The aggregate fees billed in each of the last two fiscal years for
products and services provided by the principal accountant, other than
the services reported in paragraphs (a) through (c) of this Item are $0
for 2005 and $0 for 2006.
(e)(1) Disclose the audit committee's pre-approval policies and procedures
described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
Pre-Approval Policies and Procedures. The Audit Committee ("Committee")
of the registrant is responsible for pre-approving (i) all audit and
permissible non-audit services to be provided by the independent
registered public accounting firm to the registrant and (ii) all
permissible non-audit services to be provided by the independent
registered public accounting firm to the Adviser, Gabelli Funds, LLC,
and any affiliate of Gabelli Funds, LLC ("Gabelli") that provides
services to the registrant (a "Covered Services Provider") if the
independent registered public accounting firm's engagement related
directly to the operations and financial reporting of the registrant.
The Committee may delegate its responsibility to pre-approve any such
audit and permissible non-audit services to the Chairperson of the
Committee, and the Chairperson must report to the Committee, at its
next regularly scheduled meeting after the Chairperson's pre-approval
of such services, his or her decision(s). The Committee may also
establish detailed pre-approval policies and procedures for
pre-approval of such services in accordance with applicable laws,
including the delegation of some or all of the Committee's pre-approval
responsibilities to the other persons (other than Gabelli or the
registrant's officers). Pre-approval by the Committee of any
permissible non-audit services is not required so long as: (i) the
permissible non-audit services were not recognized by the registrant at
the time of the engagement to be non-audit services; and (ii) such
services are promptly brought to the attention of the Committee and
approved by the Committee or Chairperson prior to the completion of the
audit.
(e)(2) The percentage of services described in each of paragraphs (b) through
(d) of this Item that were approved by the audit committee pursuant to
paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows:
(b) Not applicable
(c) 100%
(d) Not applicable
(f) The percentage of hours expended on the principal accountant's
engagement to audit the registrant's financial statements for the most
recent fiscal year that were attributed to work performed by persons
other than the principal accountant's full-time, permanent employees
was 0%.
(g) The aggregate non-audit fees billed by the registrant's accountant for
services rendered to the registrant, and rendered to the registrant's
investment adviser (not including any sub-adviser whose role is
primarily portfolio management and is subcontracted with or overseen by
another investment adviser), and any entity controlling, controlled by,
or under common control with the adviser that provides ongoing services
to the registrant for each of the last two fiscal years of the
registrant was $100,600 for 2005 and $73,050 for 2006.
(h) The registrant's audit committee of the board of directors has
considered whether the provision of non-audit services that were
rendered to the registrant's investment adviser (not including any
sub-adviser whose role is primarily portfolio management and is
subcontracted with or overseen by another investment adviser), and any
entity controlling, controlled by, or under common control with the
investment adviser that provides ongoing services to the registrant
that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule
2-01 of Regulation S-X is compatible with maintaining the principal
accountant's independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
Schedule of Investments in securities of unaffiliated issuers as of the close of
the reporting period is included as part of the report to shareholders filed
under Item 1 of this form.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which the shareholders
may recommend nominees to the registrant's Board of Trustees, where those
changes were implemented after the registrant last provided disclosure in
response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR
229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)),
or this Item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive and principal financial officers,
or persons performing similar functions, have concluded that the
registrant's disclosure controls and procedures (as defined in Rule
30a-3(c) under the Investment Company Act of 1940, as amended (the
"1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within
90 days of the filing date of the report that includes the disclosure
required by this paragraph, based on their evaluation of these controls
and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR
270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities
Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or
240.15d-15(b)).
(b) There were no changes in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17
CFR 270.30a-3(d)) that occurred during the registrant's second fiscal
quarter of the period covered by this report that has materially
affected, or is reasonably likely to materially affect, the
registrant's internal control over financial reporting.
ITEM 12. EXHIBITS.
(a)(1) Code of ethics, or any amendment thereto, that is the subject of
disclosure required by Item 2 is attached hereto.
(a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and
Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(a)(3) Not applicable.
(b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and
Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(registrant) The Gabelli Blue Chip Value Fund
------------------------------------------------------------------
By (Signature and Title)* /s/ Bruce N. Alpert
-------------------------------------------------------
Bruce N. Alpert, Principal Executive Officer
Date 03/01/2007
----------------------------------------------------------------------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ Bruce N. Alpert
-------------------------------------------------------
Bruce N. Alpert, Principal Executive Officer
Date 03/01/2007
----------------------------------------------------------------------------
By (Signature and Title)* /s/ Agnes Mullady
-------------------------------------------------------
Agnes Mullady,
Principal Financial Officer & Treasurer
Date 03/01/2007
----------------------------------------------------------------------------
* Print the name and title of each signing officer under his or her signature.