nvq

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-04494

The Gabelli Asset Fund

(Exact name of registrant as specified in charter)

One Corporate Center
Rye, New York 10580-1422

(Address of principal executive offices) (Zip code)

Bruce N. Alpert
Gabelli Funds, LLC
One Corporate Center
Rye, New York 10580-1422

(Name and address of agent for service)

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

Date of fiscal year end: December 31

Date of reporting period: March 31, 2011

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q 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 the Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Item 1. Schedule of Investments.

The Schedule(s) of Investments is attached herewith.

The Gabelli Asset Fund

First Quarter Report — March 31, 2011

Morningstar^{^®}rated The Gabelli Asset Fund Class AAA Shares 5 stars overall and 5 stars for the three, five and ten year
periods ended March 31, 2011 among 1,757, 1,757, 1,471, and 816 Large Blend funds, respectively.



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

To Our Shareholders,

During the first quarter of 2011, The Gabelli Asset Fund’s (the “Fund”) (Class AAA) total return was 6.8% compared with the Standard & Poor’s (“S&P”) 500 Index of 5.9%.

Enclosed is the portfolio of investments as of March 31, 2011.

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

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

Comparative Results

Average Annual Returns through March 31, 2011 (a) (Unaudited)


																			Since
																			Inception
	Quarter			1 Year			5 Year			10 Year			20 Year			25 Year			(3/3/86)
Gabelli Asset Fund Class AAA		6.81	%		22.86	%		6.48	%		7.47	%		11.27	%		12.40	%		12.55	%
S&P 500 Index		5.92			15.65			2.62			3.29			8.72			9.61			9.82	(e)
Dow Jones Industrial Average		7.07			16.49			4.85			4.74			10.05			10.84			11.09	(e)
Nasdaq Composite Index		5.05			17.19			4.44			4.96			9.15			8.34			8.49	(e)
Class A		6.82			22.87			6.47			7.47			11.27			12.40			12.55
With sales charge (b)		0.68			15.81			5.22			6.84			11.27			12.40			12.27
Class B		6.58			21.91			5.63			6.88			10.96			12.15			12.30
With contingent deferred sales charge (c)		1.58			16.91			5.31			6.88			10.96			12.15			12.30
Class C		6.61			21.94			5.69			6.89			10.97			12.15			12.31
With contingent deferred sales charge (d)		5.61			20.94			5.69			6.89			10.97			12.15			12.31
Class I		6.87			23.15			6.65			7.56			11.32			12.43			12.59

In the current prospectus dated April 29, 2011, the expense ratios for Class AAA, A, B, C, and I Shares are 1.38%, 1.38%, 2.13%, 2.13%, and 1.13%, respectively. Class AAA and Class I Shares do not have a sales charge. The maximum sales charge for Class A, B, and C Shares is 5.75%, 5.00%, and 1.00%, respectively.

(a)		*Returns represent past performance and do not guarantee future results.* Total returns and average annual returns reflect changes in share price, reinvestment of distributions, and are net of expenses. Investment returns and the principal value of an investment will fluctuate. When shares are redeemed, they may be worth more or less than their original cost. Current performance may be lower or higher than the performance data presented. Performance returns for periods of less than one year are not annualized. Visit www.gabelli.com for performance information as of the most recent month end. Investors should carefully consider the investment objectives, risks, charges, and expenses of the Fund before investing. The prospectus contains information about these and other matters and should be read carefully before investing. The S&P 500 Index, Dow Jones Industrial Average and the Nasdaq Composite Index are unmanaged indicators of stock market performance. Dividends are considered reinvested. You cannot invest directly in an index. The Class AAA Shares net asset value per share are used to calculate performance for the periods prior to the issuance of Class A Shares, Class B Shares, and Class C Shares on December 31, 2003 and Class I Shares on January 11, 2008. The actual performance of the Class B Shares and Class C Shares would have been lower due to the additional expenses associated with these classes of shares. The actual performance of the Class I Shares would have been higher due to lower expenses related to this class of shares.

(b)		Performance results include the effect of the maximum 5.75% sales charge at the beginning of the period.

(c)		Assuming payment of the maximum contingent deferred sales charge (CDSC). The maximum CDSC for Class B Shares is 5% and is reduced to 0% after six years.

(d)		Assuming payment of the 1% maximum CDSC imposed on redemptions made within one year of purchase.

(e)		S&P 500 Index, Dow Jones Industrial Average and Nasdaq Composite Index since inception performance are as of February 28, 1986.

The Gabelli Asset Fund
Schedule of Investments — March 31, 2011 (Unaudited)


			Market
Shares			Value
		COMMON STOCKS — 98.0%
		Aerospace — 1.1%
	5,000	Lockheed Martin Corp.	$	402,000
	12,000	Northrop Grumman Corp.		752,520
	2,100,000	Rolls-Royce Group plc†		20,853,113
	131,000	The Boeing Co.		9,684,830

				31,692,463

		Agriculture — 0.9%
	490,000	Archer-Daniels-Midland Co.		17,644,900
	92,058	Monsanto Co.		6,652,111
	9,000	Potash Corp of Saskatchewan Inc.		530,370
	29,000	The Mosaic Co.		2,283,750

				27,111,131

		Automotive — 1.3%
	288,000	Ford Motor Co.†		4,294,080
	409,000	Navistar International Corp.†		28,355,970
	101,250	PACCAR Inc.		5,300,438
	3,400	Volkswagen AG		521,839

				38,472,327

		Automotive: Parts and Accessories — 3.5%
	191,000	BorgWarner Inc.†		15,220,790
	230,000	CLARCOR Inc.		10,333,900
	340,000	Dana Holding Corp.†		5,912,600
	40,000	Federal-Mogul Corp.†		996,000
	512,000	Genuine Parts Co.		27,463,680
	394,000	Johnson Controls Inc.		16,378,580
	174,000	Midas Inc.†		1,334,580
	200,000	Modine Manufacturing Co.†		3,228,000
	190,000	O’Reilly Automotive Inc.†		10,917,400
	260,000	Standard Motor Products Inc.		3,595,800
	143,000	Superior Industries International Inc.		3,666,520
	50,000	Tenneco Inc.†		2,122,500

				101,170,350

		Aviation: Parts and Services — 2.3%
	1,114,775	BBA Aviation plc		3,633,891
	480,000	Curtiss-Wright Corp.		16,867,200
	600,000	GenCorp Inc.†		3,588,000
	110,000	Kaman Corp.		3,872,000
	275,000	Precision Castparts Corp.		40,474,500

				68,435,591

		Broadcasting — 1.4%
	324,500	CBS Corp., Cl. A, Voting		8,151,440
	20,000	Cogeco Inc.		855,905
	26,666	Corus Entertainment Inc., Cl. B, OTC		571,452
	13,334	Corus Entertainment Inc., Cl. B, Toronto		284,147
	106,000	Fisher Communications Inc.†		3,294,480
	843	Granite Broadcasting Corp.† (a)		0
	224,000	Liberty Media Corp. — Capital, Cl. A†		16,502,080
	61,000	Liberty Media Corp. — Starz, Cl. A†		4,733,600
	210,000	LIN TV Corp., Cl. A†		1,245,300
	12,000	Naspers Ltd., Cl. N		645,676
	400,000	Television Broadcasts Ltd.		2,350,052
	160,000	Tokyo Broadcasting System Holdings Inc.		1,881,221

				40,515,353

		Business Services — 1.6%
	28,000	ACCO Brands Corp.†		267,120
	37,450	Ascent Media Corp., Cl. A†		1,829,432
	171,000	Clear Channel Outdoor Holdings Inc., Cl. A†		2,488,050
	190,000	Ecolab Inc.		9,693,800
	15,000	Edenred†		452,687
	20,000	Equinix Inc.†		1,822,000
	61,000	Landauer Inc.		3,752,720
	300,487	Live Nation Entertainment Inc.†		3,004,870
	12,000	Macquarie Infrastructure Co. LLC†		286,320
	27,000	MasterCard Inc., Cl. A		6,796,440
	93,000	Monster Worldwide Inc.†		1,478,700
	82,000	The Brink’s Co.		2,715,020
	765,000	The Interpublic Group of Companies Inc.		9,616,050
	18,000	Visa Inc., Cl. A		1,325,160

				45,528,369

		Cable and Satellite — 7.4%
	1,880,000	Cablevision Systems Corp., Cl. A		65,066,800
	188,000	Comcast Corp., Cl. A		4,647,360
	182,000	Comcast Corp., Cl. A, Special		4,226,040
	1,035,002	DIRECTV, Cl. A†		48,438,094
	370,000	DISH Network Corp., Cl. A†		9,013,200
	51,000	EchoStar Corp., Cl. A†		1,930,350
	1,000	Jupiter Telecommunications Co. Ltd.		982,207
	227,000	Liberty Global Inc., Cl. A†		9,400,070
	225,000	Liberty Global Inc., Cl. C†		8,997,750
	1,077,000	Rogers Communications Inc., Cl. B, New York		39,202,800
	50,000	Rogers Communications Inc., Cl. B, Toronto		1,817,432
	220,000	Scripps Networks Interactive Inc., Cl. A		11,019,800
	150,000	Shaw Communications Inc., Cl. B, New York		3,160,500
	120,000	Shaw Communications Inc., Cl. B, Non-Voting, Toronto		2,529,964
	58,000	Time Warner Cable Inc.		4,137,720

				214,570,087

See accompanying notes to schedule of investments.

The Gabelli Asset Fund
Schedule of Investments (Continued) — March 31, 2011 (Unaudited)


			Market
Shares			Value
		COMMON STOCKS (Continued)
		Closed-End Funds — 0.0%
	79,920	Royce Value Trust Inc.	$	1,229,969

		Communications Equipment — 1.2%
	520,000	Corning Inc.		10,727,600
	413,000	Thomas & Betts Corp.†		24,561,110

				35,288,710

		Computer Hardware — 0.0%
	3,000	International Business Machines Corp.		489,210
	5,000	Wincor Nixdorf AG		404,821

				894,031

		Computer Software and Services — 1.1%
	100,001	AOL Inc.†		1,953,020
	220,000	Diebold Inc.		7,801,200
	44,000	eBay Inc.†		1,365,760
	98,250	Fidelity National Information Services Inc.		3,211,793
	25,000	Internap Network Services Corp.†		164,250
	3,000	NaviSite Inc.†		16,470
	80,000	NCR Corp.†		1,507,200
	112,000	Rockwell Automation Inc.		10,600,800
	350,000	Yahoo! Inc.†		5,827,500

				32,447,993

		Consumer Products — 4.9%
	49,000	Alberto-Culver Co.		1,826,230
	35,000	Altria Group Inc.		911,050
	82,000	Avon Products Inc.		2,217,280
	11,000	Christian Dior SA		1,548,468
	220,000	Church & Dwight Co. Inc.		17,454,800
	25,000	Clorox Co.		1,751,750
	350,000	Eastman Kodak Co.†		1,130,500
	322,500	Energizer Holdings Inc.†		22,949,100
	171,000	Fortune Brands Inc.		10,583,190
	3,400	Givaudan SA†		3,418,508
	35,000	Harley-Davidson Inc.		1,487,150
	73,000	Kimberly-Clark Corp.		4,764,710
	20,000	Mattel Inc.		498,600
	21,500	National Presto Industries Inc.		2,422,620
	25,000	Philip Morris International Inc.		1,640,750
	50,000	Reckitt Benckiser Group plc		2,568,339
	125,000	Sally Beauty Holdings Inc.†		1,751,250
	50,000	Svenska Cellulosa AB, Cl. B		804,829
	1,080,000	Swedish Match AB		35,915,018
	10,000	Syratech Corp.†		254
	1,500	The Estee Lauder Companies Inc., Cl. A		144,540
	435,000	The Procter & Gamble Co.		26,796,000
	35,000	Wolverine World Wide Inc.		1,304,800

				143,889,736

		Consumer Services — 1.1%
	170,000	IAC/InterActiveCorp.†		5,251,300
	430,000	Liberty Media Corp. — Interactive, Cl. A†		6,897,200
	962,000	Rollins Inc.		19,528,600
	11,000	TiVo Inc.†		96,360

				31,773,460

		Diversified Industrial — 6.0%
	13,000	Acuity Brands Inc.		760,370
	5,000	Anixter International Inc.		349,450
	75,403	Contax Participacoes SA, ADR		212,636
	400,000	Cooper Industries plc		25,960,000
	428,100	Crane Co.		20,732,883
	99,000	Gardner Denver Inc.		7,724,970
	120,000	Greif Inc., Cl. A		7,849,200
	265,043	Greif Inc., Cl. B		16,326,649
	435,000	Honeywell International Inc.		25,973,850
	25,000	Ingersoll-Rand plc		1,207,750
	604,000	ITT Corp.		36,270,200
	95,000	Jardine Strategic Holdings Ltd.		2,536,500
	239,000	Katy Industries Inc.†		136,230
	310,000	Magnetek Inc.†		682,000
	240,000	Myers Industries Inc.		2,383,200
	52,000	Pentair Inc.		1,965,080
	110,033	Smiths Group plc		2,289,412
	30,000	Sulzer AG		4,520,414
	160,000	Textron Inc.		4,382,400
	110,000	Trinity Industries Inc.		4,033,700
	179,000	Tyco International Ltd.		8,013,830
	4,000	Waters Corp.†		347,600

				174,658,324

		Electronics — 1.2%
	45,000	Chemring Group plc		499,190
	98,000	Intel Corp.		1,976,660
	8,500	Kyocera Corp., ADR		857,225
	375,000	LSI Corp.†		2,550,000
	1,500	Mettler-Toledo International Inc.†		258,000
	24,000	Molex Inc., Cl. A		496,560
	32,000	Samsung Electronics Co. Ltd., GDR (b)(c)		13,635,200
	50,000	Sony Corp., ADR		1,591,500
	77,000	TE Connectivity Ltd.		2,681,140
	303,000	Texas Instruments Inc.		10,471,680

				35,017,155

		Energy and Utilities — 8.5%
	11,000	Anadarko Petroleum Corp.		901,120
	208,000	BP plc, ADR		9,181,120
	29,000	CH Energy Group Inc.		1,465,660
	324,000	Chevron Corp.		34,807,320
	340,000	ConocoPhillips		27,152,400

See accompanying notes to schedule of investments.

The Gabelli Asset Fund
Schedule of Investments (Continued) — March 31, 2011 (Unaudited)


			Market
Shares			Value
		COMMON STOCKS (Continued)
		Energy and Utilities (Continued)
	232,000	CONSOL Energy Inc.	$	12,442,160
	25,000	Constellation Energy Group Inc.		778,250
	122,000	Devon Energy Corp.		11,195,940
	9,000	Diamond Offshore Drilling Inc.		699,300
	25,000	DPL Inc.		685,250
	90,000	Duke Energy Corp.		1,633,500
	20,000	Edison International		731,800
	480,000	El Paso Corp.		8,640,000
	240,000	El Paso Electric Co.†		7,296,000
	95,000	EOG Resources Inc.		11,258,450
	319,000	Exxon Mobil Corp.		26,837,470
	70,000	FirstEnergy Corp.		2,596,300
	130,000	GenOn Energy Inc., Escrow† (a)		0
	90,000	Great Plains Energy Inc.		1,801,800
	205,000	Halliburton Co.		10,217,200
	232,000	National Fuel Gas Co.		17,168,000
	29,000	NextEra Energy Inc.		1,598,480
	160,000	Northeast Utilities		5,536,000
	25,000	NSTAR		1,156,750
	12,000	Occidental Petroleum Corp.		1,253,880
	45,000	Oceaneering International Inc.†		4,025,250
	47,000	Petroleo Brasileiro SA, ADR		1,900,210
	100,000	Progress Energy Inc., CVO†		14,500
	235,000	Rowan Companies Inc.†		10,382,300
	48,000	Royal Dutch Shell plc, Cl. A, ADR		3,497,280
	129,100	SJW Corp.		2,988,665
	255,000	Southwest Gas Corp.		9,937,350
	245,000	Spectra Energy Corp.		6,659,100
	50,000	Talisman Energy Inc.		1,235,000
	100,000	The AES Corp.†		1,300,000
	53,000	Transocean Ltd.†		4,131,350
	200,000	Weatherford International Ltd.†		4,520,000

				247,625,155

		Entertainment — 4.1%
	8,010	Chestnut Hill Ventures† (a)		364,856
	270,000	Discovery Communications Inc., Cl. A†		10,773,000
	265,000	Discovery Communications Inc., Cl. C†		9,330,650
	39,000	DreamWorks Animation SKG Inc., Cl. A†		1,089,270
	752,000	Grupo Televisa SA, ADR†		18,446,560
	512,500	Madison Square Garden Inc., Cl. A†		13,832,375
	1,600	Nintendo Co. Ltd.		432,219
	80,000	Rank Group plc		191,735
	20,000	Regal Entertainment Group, Cl. A		270,000
	560,001	Time Warner Inc.		19,992,036
	515,000	Viacom Inc., Cl. A		27,444,350
	15,000	Viacom Inc., Cl. B		697,800
	560,000	Vivendi		15,991,610
	38,000	World Wrestling Entertainment Inc., Cl. A		477,660

				119,334,121

		Environmental Services — 1.2%
	557,000	Republic Services Inc.		16,732,280
	500,000	Waste Management Inc.		18,670,000

				35,402,280

		Equipment and Supplies — 7.3%
	963,500	AMETEK Inc.		42,268,745
	6,000	Amphenol Corp., Cl. A		326,340
	100,000	CIRCOR International Inc.		4,702,000
	144,000	Crown Holdings Inc.†		5,555,520
	175,000	CTS Corp.		1,890,000
	8,000	Danaher Corp.		415,200
	390,000	Donaldson Co. Inc.		23,903,100
	239,000	Flowserve Corp.		30,783,200
	190,000	Gerber Scientific Inc.†		1,778,400
	235,000	GrafTech International Ltd.†		4,848,050
	762,000	IDEX Corp.		33,261,300
	151,000	Interpump Group SpA†		1,280,767
	389,000	Lufkin Industries Inc.		36,359,830
	70,000	Met-Pro Corp.		833,000
	20,000	Sealed Air Corp.		533,200
	2,000	SL Industries Inc.†		36,620
	100,000	Tenaris SA, ADR		4,946,000
	100,000	The Manitowoc Co. Inc.		2,188,000
	100,000	The Weir Group plc		2,776,886
	29,000	Valmont Industries Inc.		3,026,730
	320,000	Watts Water Technologies Inc., Cl. A		12,220,800

				213,933,688

		Financial Services — 7.2%
	16,014	Alleghany Corp.†		5,300,314
	75,000	AllianceBernstein Holding LP		1,635,000
	683,000	American Express Co.		30,871,600
	7,000	Ameriprise Financial Inc.		427,560
	32,000	Argo Group International Holdings Ltd.		1,057,280
	118,000	Artio Global Investors Inc.		1,906,880
	115,000	Bank of America Corp.		1,532,950
	211	Berkshire Hathaway Inc., Cl. A†		26,438,300
	71,000	BKF Capital Group Inc.†		76,680
	20,000	Calamos Asset Management Inc., Cl. A		331,800
	400,000	Citigroup Inc.†		1,768,000
	76,000	Commerzbank AG, ADR†		594,320
	204,500	Deutsche Bank AG		12,079,815
	27,000	Fortress Investment Group LLC, Cl. A†		153,360
	30,000	GAM Holding AG†		569,951
	125,000	H&R Block Inc.		2,092,500
	24,000	HSBC Holdings plc, ADR		1,243,200
	50,000	Interactive Brokers Group Inc., Cl. A		794,500
	450,000	Janus Capital Group Inc.		5,611,500
	262,000	JPMorgan Chase & Co.		12,078,200
	56,000	Kinnevik Investment AB, Cl. A		1,304,203
	65,000	Kinnevik Investment AB, Cl. B		1,514,837

See accompanying notes to schedule of investments.

The Gabelli Asset Fund
Schedule of Investments (Continued) — March 31, 2011 (Unaudited)


			Market
Shares			Value
		COMMON STOCKS (Continued)
		Financial Services (Continued)
	75,000	KKR & Co. LP	$	1,230,750
	330,000	Legg Mason Inc.		11,909,700
	75,000	Leucadia National Corp.		2,815,500
	62,000	Loews Corp.		2,671,580
	48,800	M&T Bank Corp.		4,317,336
	150,000	Marsh & McLennan Companies Inc.		4,471,500
	150,000	NewAlliance Bancshares Inc.		2,226,000
	70,000	Northern Trust Corp.		3,552,500
	113,000	PNC Financial Services Group Inc.		7,117,870
	500,000	Popular Inc.†		1,455,000
	44,000	Royal Bank of Canada		2,726,680
	139,200	State Street Corp.		6,255,648
	20,000	SunTrust Banks Inc.		576,800
	50,000	T. Rowe Price Group Inc.		3,321,000
	526,000	The Bank of New York Mellon Corp.		15,711,620
	49,000	The Blackstone Group LP		876,120
	11,000	The Goldman Sachs Group Inc.		1,743,170
	5,000	The Travelers Companies Inc.		297,400
	70,866	Tree.com Inc.†		418,109
	19,000	Unitrin Inc.		586,720
	8,500	Value Line Inc.		125,800
	180,000	Waddell & Reed Financial Inc., Cl. A		7,309,800
	646,000	Wells Fargo & Co.		20,478,200

				211,577,553

		Food and Beverage — 10.6%
	345,000	Brown-Forman Corp., Cl. A		23,411,700
	85,000	Brown-Forman Corp., Cl. B		5,805,500
	80,000	Campbell Soup Co.		2,648,800
	400,000	China Mengniu Dairy Co. Ltd.		1,059,323
	80,000	Coca-Cola Enterprises Inc.		2,184,000
	16,500	Coca-Cola Hellenic Bottling Co. SA, ADR		447,645
	210,000	Constellation Brands Inc., Cl. A†		4,258,800
	225,000	Corn Products International Inc.		11,659,500
	323,000	Danone		21,100,146
	585,000	Davide Campari — Milano SpA		3,957,924
	130,000	Dean Foods Co.†		1,300,000
	331,000	Diageo plc, ADR		25,228,820
	2,000	Diamond Foods Inc.		111,600
	190,000	Dr Pepper Snapple Group Inc.		7,060,400
	70,000	Farmer Brothers Co.		848,400
	275,000	Flowers Foods Inc.		7,488,250
	70,000	Fomento Economico Mexicano SAB de CV, ADR		4,109,000
	589,000	General Mills Inc.		21,527,950
	52,000	Green Mountain Coffee Roasters Inc.†		3,359,720
	800,000	Grupo Bimbo SAB de CV, Cl. A		6,782,995
	72,000	H.J. Heinz Co.		3,515,040
	95,000	Heineken NV		5,190,790
	200,000	ITO EN Ltd.		3,484,011
	50,000	Kellogg Co.		2,699,000
	82,000	Kerry Group plc, Cl. A		3,056,319
	450,000	Kikkoman Corp.		4,241,404
	285,229	Kraft Foods Inc., Cl. A		8,944,781
	32,000	LVMH Moet Hennessy Louis Vuitton SA		5,065,616
	15,000	MEIJI Holdings Co. Ltd.		603,210
	245,000	Morinaga Milk Industry Co. Ltd.		874,790
	93,000	Nestlé SA		5,330,920
	200,000	NISSIN FOODS HOLDINGS CO. LTD.		7,049,772
	200,000	Parmalat SpA		670,049
	24,000	Peet’s Coffee & Tea Inc.†		1,154,160
	239,274	PepsiCo Inc.		15,411,639
	94,000	Pernod-Ricard SA		8,778,946
	146,000	Ralcorp Holdings Inc.†		9,990,780
	86,430	Remy Cointreau SA		6,509,014
	978,016	Sara Lee Corp.		17,281,543
	326,000	The Coca-Cola Co.		21,630,100
	32,000	The Hain Celestial Group Inc.†		1,032,960
	42,000	The Hershey Co.		2,282,700
	20,000	The J.M. Smucker Co.		1,427,800
	400,000	Tingyi (Cayman Islands) Holding Corp.		978,074
	164,800	Tootsie Roll Industries Inc.		4,673,728
	165,000	Tyson Foods Inc., Cl. A		3,166,350
	440,000	YAKULT HONSHA Co. Ltd.		11,245,973

				310,639,942

		Health Care — 3.8%
	40,000	Abbott Laboratories		1,962,000
	15,000	Alere Inc.†		587,100
	50,000	Allergan Inc.		3,551,000
	44,000	Amgen Inc.†		2,351,800
	70,000	AngioDynamics Inc.†		1,058,400
	10,000	ArthroCare Corp.†		333,400
	75,000	Baxter International Inc.		4,032,750
	151,000	Beckman Coulter Inc.		12,543,570
	41,000	Becton, Dickinson and Co.		3,264,420
	200	Bio-Rad Laboratories Inc., Cl. A†		24,028
	51,000	Biogen Idec Inc.†		3,742,890
	220,000	Boston Scientific Corp.†		1,581,800
	212,000	Bristol-Myers Squibb Co.		5,603,160
	10,000	Cephalon Inc.†		757,800
	18,000	Cepheid Inc.†		504,360
	67,000	Chemed Corp.		4,462,870
	32,000	CONMED Corp.†		840,960
	50,000	Covidien plc		2,597,000
	10,000	DENTSPLY International Inc.		369,900
	55,000	Eli Lilly & Co.		1,934,350
	44,000	Exactech Inc.†		772,200
	80,000	Genzyme Corp.†		6,092,000
	38,000	Henry Schein Inc.†		2,666,460

See accompanying notes to schedule of investments.

The Gabelli Asset Fund
Schedule of Investments (Continued) — March 31, 2011 (Unaudited)


			Market
Shares			Value
		COMMON STOCKS (Continued)
		Health Care (Continued)
	147,000	Johnson & Johnson	$	8,709,750
	16,000	Laboratory Corp. of America Holdings†		1,474,080
	80,000	Life Technologies Corp.†		4,193,600
	98,000	Mead Johnson Nutrition Co.		5,677,140
	65,000	Medco Health Solutions Inc.†		3,650,400
	100,000	Merck & Co. Inc.		3,301,000
	11,000	Nobel Biocare Holding AG†		228,024
	125,000	Pain Therapeutics Inc.†		1,195,000
	70,000	Patterson Companies Inc.		2,253,300
	175,000	Pfizer Inc.		3,554,250
	25,000	Quidel Corp.†		299,000
	15,000	Roche Holding AG, ADR		539,250
	2,000	Stryker Corp.		121,600
	2,000	Techne Corp.		143,200
	430,000	Tenet Healthcare Corp.†		3,203,500
	50,000	UnitedHealth Group Inc.		2,260,000
	88,000	Watson Pharmaceuticals Inc.†		4,928,880
	34,000	William Demant Holding A/S†		2,944,271
	30,000	Wright Medical Group Inc.†		510,300
	3,000	Young Innovations Inc.		94,200
	13,000	Zimmer Holdings Inc.†		786,890

				111,701,853

		Hotels and Gaming — 2.0%
	15,000	Accor SA		673,982
	24,000	Churchill Downs Inc.		996,000
	350,000	Gaylord Entertainment Co.†		12,138,000
	450,000	Genting Singapore plc†		731,852
	10,000	Home Inns & Hotels Management Inc., ADR†		395,700
	14,422	Host Hotels & Resorts Inc.		253,971
	20,000	Hyatt Hotels Corp., Cl. A†		860,800
	147,000	International Game Technology		2,385,810
	60,000	Interval Leisure Group Inc.†		981,000
	2,600,000	Ladbrokes plc		5,526,500
	124,000	Las Vegas Sands Corp.†		5,235,280
	4,200,000	Mandarin Oriental International Ltd.		8,778,000
	135,000	MGM Resorts International†		1,775,250
	55,000	Orient-Express Hotels Ltd., Cl. A†		680,350
	110,000	Pinnacle Entertainment Inc.†		1,498,200
	98,000	Starwood Hotels & Resorts Worldwide Inc.		5,695,760
	1,800,000	The Hongkong & Shanghai Hotels Ltd.		3,299,844
	187,000	Universal Entertainment Corp.†		5,487,701
	18,000	Wyndham Worldwide Corp.		572,580
	15,000	Wynn Resorts Ltd.		1,908,750

				59,875,330

		Machinery — 4.2%
	160,000	Bucyrus International Inc.		14,632,000
	135,000	Caterpillar Inc.		15,032,250
	400,000	CNH Global NV†		19,420,000
	745,500	Deere & Co.		72,231,495
	22,000	Mueller Water Products Inc., Cl. A		98,560
	22,000	Zebra Technologies Corp., Cl. A†		863,280

				122,277,585

		Manufactured Housing and Recreational Vehicles — 0.1%
	185,000	All American Group Inc.†		42,180
	32,000	Cavco Industries Inc.†		1,445,120
	32,000	Nobility Homes Inc.†		294,400
	77,500	Skyline Corp.		1,553,875

				3,335,575

		Metals and Mining — 2.4%
	5,000	Agnico-Eagle Mines Ltd.		331,750
	220,000	Alcoa Inc.		3,883,000
	365,000	Barrick Gold Corp.		18,947,150
	178,000	Freeport-McMoRan Copper & Gold Inc.		9,887,900
	105,000	Ivanhoe Mines Ltd.†		2,883,300
	8,000	James River Coal Co.†		193,360
	50,000	Kinross Gold Corp.		787,500
	52,000	New Hope Corp. Ltd.		267,856
	550,000	Newmont Mining Corp.		30,019,000
	25,000	Peabody Energy Corp.		1,799,000

				68,999,816

		Publishing — 2.4%
	37,000	Belo Corp., Cl. A†		325,970
	550,000	Il Sole 24 Ore SpA†		1,028,882
	433,000	Media General Inc., Cl. A†		2,979,040
	70,000	Meredith Corp.		2,374,400
	3,160,000	News Corp., Cl. A		55,489,600
	22,000	News Corp., Cl. B		409,640
	155,000	The E.W. Scripps Co., Cl. A†		1,534,500
	170,000	The McGraw-Hill Companies Inc.		6,698,000
	27,000	The New York Times Co., Cl. A†		255,690

				71,095,722

		Real Estate — 0.4%
	11,000	Brookfield Asset Management Inc., Cl. A		357,060
	103,000	Griffin Land & Nurseries Inc.		3,314,540
	36,000	ProLogis		575,280
	250,000	The St. Joe Co.†		6,267,500

				10,514,380

See accompanying notes to schedule of investments.

The Gabelli Asset Fund
Schedule of Investments (Continued) — March 31, 2011 (Unaudited)


			Market
Shares			Value
		COMMON STOCKS (Continued)
		Retail — 2.3%
	110,000	Aaron’s Inc.†	$	2,789,600
	250,000	AutoNation Inc.†		8,842,500
	13,000	AutoZone Inc.†		3,556,280
	260,000	Coldwater Creek Inc.†		686,400
	125,000	Costco Wholesale Corp.		9,165,000
	377,000	CVS Caremark Corp.		12,938,640
	102,000	HSN Inc.†		3,267,060
	900,000	Lianhua Supermarket Holdings Ltd., Cl. H		3,575,216
	200,000	Macy’s Inc.		4,852,000
	90,000	Safeway Inc.		2,118,600
	20,000	The Cheesecake Factory Inc.†		601,800
	51,000	The Home Depot Inc.		1,890,060
	74,000	The Kroger Co.		1,773,780
	50,000	Wal-Mart Stores Inc.		2,602,500
	70,000	Walgreen Co.		2,809,800
	60,000	Whole Foods Market Inc.		3,954,000
	136,000	Winn-Dixie Stores Inc.†		971,040

				66,394,276

		Specialty Chemicals — 1.7%
	22,500	Airgas Inc.		1,494,450
	17,000	Ashland Inc.		981,920
	10,172	Chemtura Corp.†		174,958
	510,000	Ferro Corp.†		8,460,900
	110,000	General Chemical Group Inc.†		1,375
	136,000	H.B. Fuller Co.		2,921,280
	145,000	International Flavors & Fragrances Inc.		9,033,500
	40,000	Material Sciences Corp.†		288,400
	2,000	NewMarket Corp.		316,440
	590,000	Omnova Solutions Inc.†		4,643,300
	297,000	Sensient Technologies Corp.		10,644,480
	65,000	The Lubrizol Corp.		8,707,400
	70,000	Zep Inc.		1,218,700

				48,887,103

		Telecommunications — 3.2%
	7,000	AboveNet Inc.		454,020
	145,000	AT&T Inc.		4,437,000
	23,000	Brasil Telecom SA, ADR		621,230
	14,000	Brasil Telecom SA, Cl. C, ADR		150,360
	24,000	CenturyLink Inc.		997,200
	1,170,000	Cincinnati Bell Inc.†		3,135,600
	385,000	Deutsche Telekom AG, ADR		5,936,700
	27,000	France Telecom SA, ADR		607,770
	36,000	Hellenic Telecommunications Organization SA		402,029
	11,000	Hellenic Telecommunications Organization SA, ADR		60,170
	14,000	Loral Space & Communications Inc.†		1,085,700
	107,000	NII Holdings Inc.†		4,458,690
	235,000	Portugal Telecom SGPS SA		2,712,281
	120,000	Qwest Communications International Inc.†		819,600
	10,000	SAVVIS Inc.†		370,900
	745,000	Sprint Nextel Corp.†		3,456,800
	75,403	Tele Norte Leste Participacoes SA, ADR		1,321,815
	3,100,000	Telecom Italia SpA		4,766,730
	200,000	Telecom Italia SpA, ADR		3,076,000
	279,000	Telefonica SA, ADR		7,036,380
	40,000	Telefonos de Mexico SAB de CV, Cl. L, ADR		730,400
	585,000	Telephone & Data Systems Inc.		19,714,500
	500,000	Telephone & Data Systems Inc., Special		14,760,000
	82,000	tw telecom inc.†		1,574,400
	232,000	Verizon Communications Inc.		8,941,280
	40,000	VimpelCom Ltd., ADR		564,800

				92,192,355

		Transportation — 0.6%
	375,000	AMR Corp.†		2,422,500
	330,000	GATX Corp.		12,757,800
	2,000	Huntington Ingalls Industries Inc.†		83,000
	4,000	Kansas City Southern†		217,800
	39,100	Providence and Worcester Railroad Co.		653,948

				16,135,048

		Wireless Communications — 1.0%
	91,000	America Movil SAB de CV, Cl. L, ADR		5,287,100
	54,000	Millicom International Cellular SA		5,193,180
	2,700	NTT DoCoMo Inc.		4,745,612
	13,001	Tim Participacoes SA, ADR		567,494
	185,000	United States Cellular Corp.†		9,525,650
47 Vivo		Participacoes SA		1,886
	30,000	Vivo Participacoes SA, ADR		1,211,400
	79,075	Vodafone Group plc, ADR		2,273,406

				28,805,728

		TOTAL COMMON STOCKS		2,861,422,559

		WARRANTS — 0.0%
		Automotive: Parts and Accessories — 0.0%
	14,727	Federal-Mogul Corp., expire 12/27/14†		5,891

		Broadcasting — 0.0%
	2,109	Granite Broadcasting Corp., Ser. A, expire 06/04/12† (a)		0
	2,109	Granite Broadcasting Corp., Ser. B, expire 06/04/12† (a)		0

				0

See accompanying notes to schedule of investments.

The Gabelli Asset Fund
Schedule of Investments (Continued) — March 31, 2011 (Unaudited)


			Market
Shares			Value
		WARRANTS (Continued)
		Hotels and Gaming — 0.0%
	200,000	Indian Hotels Co. Ltd, expire 06/16/14† (b)	$	374,800

		TOTAL WARRANTS		380,691


Principal
Amount
		CONVERTIBLE CORPORATE BONDS — 0.0%
		Automotive: Parts and Accessories — 0.0%
$	1,000,000	Standard Motor Products Inc., Sub. Deb. Cv., 15.000%, 04/15/11 (a)		1,021,500

		CORPORATE BONDS — 0.0%
		Specialty Chemicals — 0.0%
	200,000	Chemtura Corp., Escrow, Zero Coupon, 11/17/20† (a)		0

		U.S. GOVERNMENT OBLIGATIONS — 2.0%
	58,341,000	U.S. Treasury Bills, 0.118% to 0.200%††, 04/28/11 to 09/22/11		58,324,215

		TOTAL INVESTMENTS — 100.0% (Cost $1,455,754,690)	$	2,921,148,965

		Aggregate tax cost	$	1,471,901,663

		Gross unrealized appreciation	$	1,511,178,566
		Gross unrealized depreciation		(61,931,264	)

		Net unrealized appreciation/depreciation	$	1,449,247,302


(a)		Security fair valued under procedures established by the Board of Trustees. The procedures may include reviewing available financial information about the company and reviewing valuation of comparable securities and other factors on a regular basis. At March 31, 2011, the market value of fair valued securities amounted to $1,386,356 or 0.05% of total investments.

(b)		Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2011, the market value of Rule 144A securities amounted to $14,010,000 or 0.48% of total investments.

(c)		Illiquid security.

†		Non-income producing security.

††		Represents annualized yield at date of purchase.

ADR		American Depositary Receipt

CVO		Contingent Value Obligation

GDR		Global Depositary Receipt

See accompanying notes to schedule of investments.

The Gabelli Asset Fund

Notes to Schedule of Investments (Unaudited)

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

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

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

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

The Gabelli Asset Fund

Notes to Schedule of Investments (Continued) (Unaudited)

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

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

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

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

A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of the Fund’s investments in securities by inputs used to value the Fund’s investments as of March 31, 2011 is as follows:


	Valuation Inputs
	Level 1		Level 2 Other Significant		Level 3 Significant		Total Market Value
	Quoted Prices		Observable Inputs		Unobservable Inputs		at 3/31/11
INVESTMENTS IN SECURITIES:
ASSETS (Market Value):
Common Stocks:
Broadcasting	$	40,515,353		—	$	0	$	40,515,353
Consumer Products		143,889,482	$	254		—		143,889,736
Energy and Utilities		247,625,155		—		0		247,625,155
Entertainment		118,969,265		—		364,856		119,334,121
Other Industries (a)		2,310,058,194		—		—		2,310,058,194

Total Common Stocks		2,861,057,449		254		364,856		2,861,422,559

Warrants:
Automotive: Parts and Accessories		5,891		—		—		5,891
Broadcasting		—		—		0		0
Hotels and Gaming		—		374,800		—		374,800

Total Warrants		5,891		374,800		0		380,691

Convertible Corporate Bonds		—		1,021,500		—		1,021,500
Corporate Bonds		—		—		0		0
U.S. Government Obligations		—		58,324,215		—		58,324,215

TOTAL INVESTMENTS IN SECURITIES — ASSETS	$	2,861,063,340	$	59,720,769	$	364,856	$	2,921,148,965


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

The Fund did not have significant transfers between Level 1 and Level 2 during the period ended March 31, 2011.

The Gabelli Asset Fund
Notes to Schedule of Investments (Continued) (Unaudited)

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


																					Net change
																					in unrealized
																					appreciation/
																					depreciation
																					during the
																					period on
								Change in													Level 3
	Balance		Accrued		Realized			unrealized							Transfers		Transfers		Balance		investments
	as of		discounts/		gain/			appreciation/							into		out of		as of		held at
	12/31/10		(premiums)		(loss)			depreciation		Purchases		Sales			Level 3†		Level 3†		3/31/11		3/31/11

INVESTMENTS IN SECURITIES:
ASSETS (Market Value):
Common Stocks:
Broadcasting	$	0	$	—	$	—		$	—	$	—	$	—		$	—	$	—	$	0	$	—
Energy and Utilities		0		—		—			—		—		—			—		—		0		—
Entertainment		364,856		—		—			—		—		—			—		—		364,856		—

Total Common Stocks		364,856		—		—			—		—		—			—		—		364,856		—

Warrants:
Broadcasting		0		—		—			—		—		—			—		—		0		—
Energy and Utilities		79		—		(149,058	)		148,979		—		(0	)		—		—		—		—
Total Warrants		79		—		(149,058	)		148,979		—		(0	)		—		—		0		—
Corporate Bonds		0		—		—			—		—		—			—		—		0		—

TOTAL INVESTMENTS IN SECURITIES	$	364,935	$	—	$	(149,058	)	$	148,979	$	—	$	(0	)	$	—	$	—	$	364,856	$	—


†		The Fund’s policy is to recognize transfers into and transfers out of Level 3 as of the beginning of the reporting period.

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

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

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

The Gabelli Asset Fund
Notes to Schedule of Investments (Continued) (Unaudited)

Restricted and Illiquid Securities. The Fund may invest up to 10% of its net assets in securities for which the markets are illiquid. Illiquid securities include securities the disposition of which is subject to substantial legal or contractual restrictions. The sale of illiquid securities often requires more time and results in higher brokerage charges or dealer discounts and other selling expenses than does the sale of securities eligible for trading on national securities exchanges or in the over-the-counter markets. Restricted securities may sell at a price lower than similar securities that are not subject to restrictions on resale. Securities freely saleable among qualified institutional investors under special rules adopted by the SEC may be treated as liquid if they satisfy liquidity standards established by the Board. The continued liquidity of such securities is not as well assured as that of publicly traded securities, and accordingly the Board will monitor their liquidity. For the restricted and illiquid securities the Fund held as of March 31, 2011, refer to the Schedule of Investments.

Derivative Financial Instruments. The Fund may engage in various portfolio investment strategies by investing in a number of derivative financial instruments for the purposes of increasing the income of the Fund or hedging against a specific transaction with respect to either the currency in which the transaction is denominated or another currency. Investing in certain derivative financial instruments, including participation in the options, futures, or swap markets, entails certain execution, liquidity, hedging, tax, and securities, interest, credit, or currency market risks. Losses may arise if the Adviser’s prediction of movements in the direction of the securities, foreign currency, and interest rate markets is inaccurate. Losses may also arise if the counterparty does not perform its duties under a contract, or that, in the event of default, the Fund may be delayed in or prevented from obtaining payments or other contractual remedies owed to it under derivative contracts. The creditworthiness of the counterparties is closely monitored in order to minimize these risks. Participation in derivative transactions involves investment risks, transaction costs, and potential losses to which the Fund would not be subject absent the use of these strategies. The consequences of these risks, transaction costs, and losses may have a negative impact on the Fund’s ability to pay distributions.

The Fund’s derivative contracts held at March 31, 2011, if any, are not accounted for as hedging instruments under GAAP.

Swap Agreements. The Fund may enter into equity contract for difference swap transactions for the purpose of increasing the income of the Fund. The use of swaps is a highly specialized activity that involves investment techniques and risks different from those associated with ordinary portfolio security transactions. In an equity contract for difference swap, a set of future cash flows is exchanged between two counterparties. One of these cash flow streams will typically be based on a reference interest rate combined with the performance of a notional value of shares of a stock. The other will be based on the performance of the shares of a stock. Depending on the general state of short-term interest rates and the returns on the Fund’s portfolio securities at the time a swap transaction reaches its scheduled termination date, there is a risk that the Fund will not be able to obtain a replacement transaction or that the terms of the replacement will not be as favorable as on the expiring transaction. During the period ended March 31, 2011, the Fund held no investments in equity contract for difference swap agreements.

The Gabelli Asset Fund
Notes to Schedule of Investments (Continued) (Unaudited)

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

The use of forward foreign exchange contracts does not eliminate fluctuations in the underlying prices of the Fund’s portfolio securities, but it does establish a rate of exchange that can be achieved in the future. Although forward foreign exchange contracts limit the risk of loss due to a decline in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency increase. In addition, the Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts. During the period ended March 31, 2011, the Fund held no investments in forward foreign exchange contracts.

Tax Information. The Fund intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended.

Gabelli/GAMCO Funds and Your Personal Privacy

Who are we?

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

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

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

•

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

•

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

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

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

What do we do to protect your personal information?

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

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

Board of Trustees


Mario J. Gabelli, CFA		Anthony R. Pustorino
Chairman and Chief		Certified Public Accountant,
Executive Officer		Professor Emeritus
GAMCO Investors, Inc.		Pace University

Anthony J. Colavita		Werner J. Roeder, MD
President		Medical Director
Anthony J. Colavita, P.C.		Lawrence Hospital

James P. Conn		Anthonie C. van Ekris
Former Chief Investment Officer		Chairman
Financial Security Assurance		BALMAC International, Inc.
Holdings Ltd.
		Salvatore J. Zizza
John D. Gabelli		Chairman
Senior Vice President		Zizza & Co., Ltd.
Gabelli & Company, Inc.

Kuni Nakamura
President
Advanced Polymer, Inc.

Officers


Bruce N. Alpert		Peter D. Goldstein
President and Secretary		Chief Compliance Officer

Agnes Mullady
Treasurer

Distributor
Gabelli & Company, Inc.

Custodian, Transfer Agent, and Dividend Agent
State Street Bank and Trust Company

Legal Counsel
Skadden, Arps, Slate, Meagher & Flom LLP

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

GAB405Q111SR

The Gabelli Asset Fund

Morningstar^{^®}rated The Gabelli Asset Fund Class AAA Shares 5 stars overall and 5 stars for the three, five and ten year periods ended March 31, 2011 among 1,757, 1,757, 1,471, and 816 Large Blend funds, respectively.

FIRST QUARTER REPORT MARCH 31, 2011

Item 2. 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 last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits.

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

SIGNATURES

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

(Registrant) The Gabelli Asset Fund


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

Date 5/31/11

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


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

Date 5/31/11

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

Date 5/31/11


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