GABELLI ASSET FUND, N-30B-2, 1996-05-28

GABELLI ASSET FUND
N-30B-2, 1996-05-28

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<PAGE>

THE GABELLI ASSET FUND
One Corporate Center
Rye, New York 10580-1434
FIRST QUARTER REPORT
MARCH 31, 1996

TO OUR SHAREHOLDERS:

In the first quarter of 1996, the stock market shrugged off an
economy mired in snow, the GM strike, the ongoing budget stalemate in Washington
and rising long-term interest rates to post a solid advance. Flow of funds into
mutual funds and continued merger activity at record levels provided the fuel
for an ebullient U.S. stock market. Markets around the world marched in step.

INVESTMENT PERFORMANCE

During the first quarter ended March 31, 1996, the Fund's total
return was 6.6% compared to returns of 5.4%, 5.8%, and 5.1% over the same period
for the Standard & Poor's 500 Index (S&P 500), the Value Line Composite and
Russell 2000 Index, respectively. Each index is an unmanaged indicator of stock
market performance. For the 12 months ended March 31, 1996, the Fund gained
24.0%, including reinvested dividends, versus 32.1% for the S&P 500, 25.0% for
the Value Line Composite and 29.1% for the Russell 2000. For the five year
period ended March 31, 1996, the Fund's return averaged 14.6% annually, versus
average annual returns of 14.7%, 14.9% and 16.1% for the S&P 500, Value Line
Composite and Russell 2000 Index, respectively.

HAPPY 10TH BIRTHDAY! MORNINGSTAR RATES GABELLI ASSET FUND * * * * *

The Gabelli Asset Fund celebrated its tenth anniversary on March
3, 1996. As a result of the Fund's solid returns over the last ten years, it has
received Morningstar's highest rating -- five stars - both overall and for the
ten years ended March 31, 1996. It is rated four stars based on three and five
year returns. For the ten year period through March 31, 1996, the Fund achieved
a total return of 334.1%, which equates to an average annual return of 15.8%.
This compares favorably to average annual returns of 14.0% for the S&P 500,
11.3% for the Value Line Composite and 10.5% for the Russell 2000 over the same
period. More importantly, it compares favorably to our long-term hurdle rate of
enhancing our assets by ten percent "real", i.e., ten percent over the unfolding
inflation rate. As of March 31, 1996, the Fund's shareholders numbered 48,180
and total net assets were over $1.1 billion.

- -------------------
For the ten year, five year and three year periods, the Fund received
Morningstar rankings of five, four and four, stars, respectively, rated against
a total of 517, 970 and 1,469 equity funds, respectively. Morningstar
proprietary ratings reflect historical risk adjusted performance as of 3/31/96.
The ratings are subject to change every month. Morningstar ratings are
calculated from the Fund's three, five and ten-year average annual returns in
excess of 90-day T-bill returns with appropriate fee adjustments and a risk
factor that reflects fund performance below 90-day T-Bill returns. 10% of the
funds in an investment category receive five stars and the next 22.5% receive
four stars. Past performance is not a guarantee of future results.

<PAGE>

INVESTMENT RESULTS (a)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>

Quarter
---------------------------------------------------
1st 2nd 3rd 4th Year
--- --- --- --- ----

<S> <C> <C> <C> <C> <C>
1996: Net Asset Value ............ $27.44 -- -- -- --
Total Return ............... 6.6% -- -- -- --
- --------------------------------------------------------------------------------------------------------------
1995: Net Asset Value ............ $23.84 $25.10 $26.76 $25.75 $25.75
Total Return ............... 7.3% 5.3% 6.6% 3.7% 24.9%
- --------------------------------------------------------------------------------------------------------------
1994: Net Asset Value ............ $22.63 $22.36 $23.56 $22.21 $22.21
Total Return ............... (2.9)% (1.2)% 5.4% (1.2)% (0.1)%
- --------------------------------------------------------------------------------------------------------------
1993: Net Asset Value ............ $21.10 $22.10 $23.63 $23.30 $23.30
Total Return ............... 6.1% 4.7% 6.9% 2.5% 21.8%
- --------------------------------------------------------------------------------------------------------------
1992: Net Asset Value ............ $19.04 $18.91 $19.02 $19.88 $19.88
Total Return ............... 6.0% (0.7)% 0.6% 8.5% 14.9%
- --------------------------------------------------------------------------------------------------------------
1991: Net Asset Value ............ $17.36 $17.36 $17.90 $17.96 $17.96
Total Return ............... 11.1% 0.0% 3.1% 3.2% 18.1%
- --------------------------------------------------------------------------------------------------------------
1990: Net Asset Value ............ $16.48 $16.81 $15.21 $15.63 $15.63
Total Return ............... (4.5)% 2.0% (9.5)% 7.8% (5.0)%
- --------------------------------------------------------------------------------------------------------------
1989: Net Asset Value ............ $16.46 $18.01 $18.73 $17.26 $17.26
Total Return ............... 12.0% 9.4% 4.0% (1.0)% 26.2%
- --------------------------------------------------------------------------------------------------------------
1988: Net Asset Value ............ $13.49 $14.62 $14.94 $14.69 $14.69
Total Return ............... 14.4% 8.4% 2.2% 3.5% 31.1%
- --------------------------------------------------------------------------------------------------------------
1987: Net Asset Value ............ $12.97 $13.93 $14.66 $12.61 $12.61
Total Return ............... 19.6% 7.4% 5.2% (14.0)% 16.2%
- --------------------------------------------------------------------------------------------------------------
1986: Net Asset Value ............ $10.44 $11.21 $11.29 $11.28 $11.28
Total Return ............... 4.4%(b) 7.4% 0.7% (0.1)% 12.8%(b)
- --------------------------------------------------------------------------------------------------------------
</TABLE>

<TABLE>
- --------------------------------------------------
Average Annual Returns - March 31, 1996 (a)
- -------------------------------------------
<S> <C>
1 Year ................................... 24.0%
5 Year ................................... 14.6%
10 Year .................................. 15.8%
Life of Fund (b) ......................... 16.2%
- --------------------------------------------------
</TABLE>

<TABLE>
Dividend History
- -------------------------------------------------------------
<CAPTION>
Payment (ex) Date Rate Per Share Reinvestment Price
- ----------------- -------------- ------------------
<S> <C> <C>
December 29, 1995 $2.000 $25.75
December 30, 1994 $1.056 $22.21
December 31, 1993 $0.921 $23.30
December 31, 1992 $0.755 $19.88
December 31, 1991 $0.505 $17.96
December 31, 1990 $0.770 $15.63
December 29, 1989 $1.278 $17.26
December 30, 1988 $0.775 $14.69
January 4, 1988 $0.834 $12.07
March 9, 1987 $0.505 $12.71
<FN>

(a) Total returns and average annual returns reflect changes in share price and reinvestment of dividends and
are net of expenses. The net asset value of the Fund is reduced on the ex-dividend (payment) date by the
amount of the dividend paid. Of course, returns represent past performance and do not guarantee future
results. Investment returns and the principal value of an investment will fluctuate. When shares are redeemed
they may be worth more or less than their original cost. (b) From commencement of operations on March 3, 1986.
</TABLE>

- --------------------------------------------------------------------------------

<PAGE>

WHAT WE DO

We do what is described as bottom up research:
we read annual reports; we visit the competition; we talk to
customers; we go belly to belly with management. We structure
our portfolio by picking stocks.

In past reports, we have tried to articulate our [GRAPHIC OF
investment philosophy and methodology. The following graphic TRIANGLE]
further illustrates the interplay among the four components of
our valuation approach.

Our focus is on free cash flow; earnings before
interest, taxes, depreciation and amortization (EBITDA) minus
the capital expenditures necessary to grow the business. We believe free cash
flow is the best barometer of a business' value. Rising free cash flow often
foreshadows net earnings improvement. We also look at earnings per share trends.
Unlike Wall Street's ubiquitous earnings momentum players, we do not try to
forecast earnings with accounting precision and then trade stocks based on
quarterly expectations and realities. We simply try to position ourselves in
front of long-term earnings uptrends. In addition, we analyze on and off balance
sheet assets and liabilities such as plant and equipment, inventories,
receivables, and legal, environmental and health care issues. We want to know
everything and anything that will add to or detract from our private market
value (PMV) estimates. Finally, we look for a catalyst; something happening in
the company's industry or indigenous to the company itself that will surface
value. In the case of the independent telephone stocks, the catalyst is a
regulatory change. In the agricultural equipment business, it is the increasing
worldwide demand for American food and feed crops. In other instances, it may be
a change in management, sale or spin-off of a division or the development of a
profitable new business.

Once we identify stocks that qualify as fundamental and conceptual
bargains, we then become patient investors. This has been a proven long-term
method for preserving and enhancing wealth in the U.S. equities market. At the
margin, our new investments are focused on businesses that are well managed and
will benefit from sustainable long-term economic dynamics. These include macro
trends, such as globalization of the market in filmed entertainment and
telecommunications, and micro trends, such as increased focus on productivity
enhancing goods and services.

COMMENTARY

THE ECONOMY AND THE STOCK MARKET

In our year-end 1995 letter, we opined that modest economic
growth, decent corporate profits, low inflation, and higher long-term interest
rates would add up to a "decent, but much less inspiring stock market". With the
exception of the more than decent gains in equities in the first quarter, our
scenario appears to be on track. February's strong job report, while offset by
weaker than expected retail sales, still pointed to an economy that is moving
forward at a sustainable pace. Corporate profits are good, if not great, and
overall inflation remains subdued despite an anticipated (by us) increase in
food and fuel prices.

<PAGE>

Is this backdrop likely to continue? In the second half of 1996,
the effects of an election year will provide positive psychological
underpinnings to the consumer as candidates for both political parties paint a
rosy picture for the future of the U.S. But we believe the kindling inflationary
pressure on the economy will become more evident. Higher prices for agricultural
commodities, notably food crops and feed grains, along with the spike in fuel
prices added to spot shortages in other industrial commodities point to
inflation in the 3.5% range. Long-term interest rates are adjusting to this,
ultimately putting pressure on equities multiples. As October 1987 taught us,
stocks can only advance so far into a headwind of rising long-term interest
rates.

FINALLY, A TELECOMMUNICATIONS BILL

The long awaited, comprehensive telecommunications bill is finally
a reality. While it is not quite the detailed architectural drawing investors
might have preferred, it is a reasonably good blueprint of the
telecommunications/media industry of tomorrow. While Wall Street is still
sorting out all of the ramifications of the bill, industry participants have
been quick to respond. US WEST Media Group's (UMG - $20.625 - NYSE) ten billion
dollar acquisition of closely held Continental Cablevision underscores the
viability of extending telephone franchises via cable telephony. That's probably
good news for other cable television operators like Comcast Corporation (CMCSA -
$17.375 - NASDAQ), Cablevision Systems Corporation (CVC - $57.50 - ASE), and
Time Warner Inc. (TWX - $40.875 - NYSE). AT&T Corp.'s (T - $61.25 - NYSE) second
break-up foreshadows head-to-head competition with Regional Bell Operating
Companies (RBOCs) in the local loop. It also gives investors the opportunity to
take advantage of a great fundamental bargain in the form of Lucent
Technologies, AT&T's telecommunications equipment business being spun-off to
shareholders. We believe a combination of RBOCs, NYNEX Corporation (NYN -
$49.875 - NYSE) and Bell Atlantic Corp. (BEL - $62.125 - NYSE) being the most
likely, will be a "back door" entry into long distance. With television
broadcast company "footprints" being enlarged from 25% to 35% as part of the
Telecommunications Bill, we expect merger and acquisition activity to
accelerate. Indeed, we benefited from the takeover of Citicasters Inc. (CITI -
$29.25 - NASDAQ) by Jacor Communications Inc. (JCOR - $19.50 - NASDAQ). We like
both the prospective buyers (Walt Disney Company (DIS - $63.875 - NYSE) and
Westinghouse Electric Corp. (WX - $19.25 - NYSE)) and sellers (Liberty
Corporation (LC - $33.00 - NYSE), Osborne Communications Corporation (OSBN -
$11.125 - NYSE) and LIN Television Corporation (LNTV - $35.25 - NASDAQ)) in that
industry.

SEE THE WORLD

The rejuvenation of American industry, spawned by declining cost
of capital and enormous productivity gains, and the victory of global
capitalism, symbolized best by the crumbling of the Berlin Wall, are the
catalysts that positioned us to conquer new international economic frontiers.
With free market economies evolving in China and Eastern Europe, and rapidly
expanding middle classes in developing nations in Latin America and the Pacific
Rim, there will be 2.5 to 3 billion new consumers by the turn of the century.
How are these new consumers going to spend their money? If the past is a
prologue to the future -- and we can learn something by looking back at the
economic evolution of the great American middle-class -- they will: upgrade or,
perhaps more accurately, diversify their diets; buy communications services, if
made available; spend money on entertainment; and travel. American companies
will be instrumental in satisfying the needs and wants of this emerging
international middle-class.

<PAGE>

Let's start in agriculturally state-of-the-art Iowa. The American
grain farmer is the most productive in the world. If chicken and pork
consumption in China were to increase by one ounce per capita, and Iowa were to
provide all the grain used to fatten these Chinese chickens and hogs, on a gross
national product basis, it would rank among the richest countries in the world.
This hypothetical statistical analogy calls attention to the tremendous upside
potential for the American grain farmer and vendors to the farmer. Agricultural
equipment manufacturers like Deere & Company (DE - $41.75 - NYSE), and grain
transporters and processors like Archer-Daniels-Midland Co. (ADM - $18.375 -
NYSE) should profit handsomely as the American farmer helps put more meat on
tables across the globe.

What else will these new consumers spring for? Telephone calls to
friends and family. To compete on the global economic stage and to attract
foreign capital, developing countries need modern telecommunications systems.
Who will build and service them? AT&T and Northern Telecom Limited (NT - $47.75
- - NYSE) will play a big role in wiring the world. AirTouch Communications Inc.
(ATI - $31.125 - NYSE), which has done a terrific job winning joint venture
cellular telephone franchises on technical merit throughout Europe, will expand
into the Pacific Rim and Latin America. Motorola, Inc. (MOT - $53.00 - NYSE)
will build millions of handsets for new international wireless customers. Cable
& Wireless plc (CWP - $24.125 - NYSE) (51% owners of Hong Kong Telephone) will
be a gateway to China.

There is simply no place you can go in the world without American
filmed entertainment being a theatrical, cable television and broadcast staple.
The same goes for American music. As distribution channels for entertainment
software products expand both here (via the convergence of the computer,
telephone, and cable television industries) and overseas (the number of
satellite dishes in India has gone from 400,000 to 15 million in the last five
years), the value of entertainment software will continue to increase. Who wins?
Time Warner, Viacom Inc. (VIA - $41.00 - ASE, VIA'B - $42.125 - ASE), Seagram
Company Ltd. (VO - $32.375 - NYSE) (the new owner of MCA), and
Tele-Communications, Inc./Liberty Media Group (LBTYA - $26.375 - NASDAQ)
(Tele-Communications, Inc.'s (TCOMA - $18.5625 - NASDAQ) collection of
entertainment software and cable network investments).

Finally, the new international middle-class will be taking to the
friendly skies. Over the next five years, you might profit by investing in
international airline stocks. However, it will be less complicated and perhaps
just as lucrative investing in Boeing Co. (BA - $86.625 - NYSE), which will
build the foreign fleets to accommodate increasing air travel. Industry studies
indicate that in the next ten years, 7,000 new aircraft will be built. Boeing
will get the lion's share of these orders. Vendors to Boeing like Precision
Castparts Corp. (PCP - $40.00 - NYSE), SPS Technologies, Inc. (ST - $55.625 -
NYSE), AMETEK, Inc. (AME - $17.625 - NYSE) and Curtiss-Wright Corporation (CW -
$52.00 - NYSE) will also do quite well.

LET'S TALK STOCKS

The following are stock specifics on selected holdings of our
Fund's investments. Favorable EBITDA prospects do not necessarily translate into
higher stock prices, but they do express a positive trend which we believe will
develop over time.

American Express Company (AXP - $49.375 - NYSE), founded in 1850,
is a diversified travel and financial services company operating in 160
countries around the world. The company is best known for

<PAGE>

its American Express charge card and travel-related services. Another important
operation is Minneapolis-based American Express Financial Advisors, Inc.
(formerly IDS Financial Services) which sells financial products ranging from
mutual funds to annuities. Harvey Golub, Chairman and CEO, has refocused AXP on
its core "green" charge card and investment management businesses. The company
has significantly expanded the range of merchants who welcome its cards.
Management's objective is virtual parity with bankcard networks. An electronic
interactive service was introduced last year that enables cardmembers to make
travel arrangements, check the status of their accounts, pay their bills and
purchase catalogue merchandise. We believe the company has been repositioned to
enjoy double-digit earnings growth over the balance of this decade

Chris-craft Industries, Inc. (CCN - $41.75 - NYSE), through its 74% ownership
of BHC Communications, Inc. is primarily a ----------------------
television broadcaster. BHC owns and operates Chris-Craft Industries
independent TV stations in Los Angeles (KCOP) and ----------------------
Portland (KPTV). BHC also controls over 50% of
United Television, Inc., which operates an NBC 74%
affiliate, an ABC affiliate and three independent
stations. BHC has entered into a partnership ----------------------
agreement with Paramount Communications, Inc. to BHC Communications
launch a new fifth television network called ----------------------
United Paramount Television Network (UPN). CCN,
with over $1.5 billion in cash and marketable 56%
securities, is strongly positioned to expand its
operations. CCN is the eighth-largest TV station ----------------------
group owner in the U.S. and covers almost 20% of United Television
TV households. ----------------------

Deere & Company (DE - $41.75 - NYSE) is a leading manufacturer of farm equipment
including tractors, planting, harvesting and crop handling equipment. With corn,
soybeans and wheat selling at or near record levels, farm incomes in 1996 should
show substantial increases. In addition, greater overseas demand for U.S. wheat
should further boost farm income. With raw material costs under control, Deere's
near-term earnings should be impressive. Long-term prospects for farm equipment
manufacturers like Deere are enhanced as standards of living improve overseas,
in countries such as China, as evidenced by increased consumption of chicken and
pork

General Electric Company (GE - $77.875 - NYSE), having an equity market
valuation of $130 billion, is the largest U.S. company. Earlier this year, GE
passed Nippon Telegraph & Telephone Corporation to become the world's largest
industrial company as well. Operating segments include aircraft engines,
appliances, broadcasting (NBC), industrial products, plastic materials, power
generating turbines and a hugely successful financial services business. Under
Jack Welch's prodding, GE has recorded a series of impressive earnings gains
which are anticipated to continue into the next century.

Hilton Hotels Corporation (HLT - $94.00 - NYSE) is a major lodging and gaming
company. Throughout the United States, Hilton owns and manages approximately 23
hotels, manages 40 hotels owned by others and franchises the Hilton name to
hotel operators for 160 properties. Hilton's hotels include the Waldorf-Astoria
(New York) (owned), the Beverly Hilton (Los Angeles) (franchise), the Chicago
Hilton (franchise) and a 50% interest in Hilton Hawaiian Village. HLT's
international hotel business is operated under the Conrad name. (Hotels bearing
the "Hilton" name outside the U.S. are properties of the British

<PAGE>

company Ladbroke Group, PLC.) HLT operates gaming properties, primarily in
Nevada, including the Flamingo and the Las Vegas Hilton, two casino-hotels in
Reno and one in Laughlin. HLT's Nevada properties have over 11,000 rooms and
364,000 square feet of gaming space. Steve Bollenbach's joining the company has
sparked renewed interest in HLT as an emerging global growth company.

Pittway Corporation (PRY - $50.00 - ASE) has undergone significant changes over
the past few years, selling or spinning off businesses representing half its
sales volume and over 60% of its income. The company has two remaining core
businesses: manufacturing and distributing professional burglar and fire alarm
equipment, and publishing trade magazines and directories. Its Ademco Security
Group, approximately 75% of revenues, is growing rapidly. Penton Publishing
appears to be emerging from three years of difficult operating conditions, as
operating margins are now showing improvement. Pittway is also involved in real
estate and other promising ventures, including a 37% interest in Cylink (Pittway
owns 8.9 million shares), a leading manufacturer of encryption equipment, and a
4.5% equity interest in U.S. Satellite Broadcasting (Pittway owns 4.2 million
shares), a direct-to-the-home (DTH) satellite broadcast company.

Ralston Purina Group (RAL - $66.875 - NYSE), based in St. Louis, Missouri, is a
holding company for four separate business units: pet products (Ralston Purina,
the world's largest pet food producer), battery products (Eveready Battery, a
global leader in supplying portable power), soy protein products (Protein
Technologies International, a supplier of soy protein and fiber food
ingredients), and agricultural products (Ralston Purina International, a
worldwide supplier of formula animal feed). All are strong, stable, free cash
flow generators with leading market shares, either #1 or #2, in their respective
fields. By spinning off Ralcorp in April 1994 and selling Continental Banking
Corp. in July 1995, management demonstrated its focus on increasing shareholder
value. The company's shares trade at a greater than 20% discount to their
estimated 1996 PMV of almost $85, which we expect to increase to $130 per share
by the year 2000.

Tele-communications, Inc. (TCOMA - $18.5625 - NASDAQ), the largest cable TV
operator in the U.S., serving about 14 million subscribers, is guided by Dr.
John C. Malone - one of the most shareholder sensitive managers we have found.
Given that regulation has historically played a major role in the valuation of
cable properties, we believe that the recent passage of the Telecommunications
Act of 1996, combined with the current deregulatory climate in Congress, could
prove to be a significant catalyst for cable stocks. Strategically, TCOMA is a
well-positioned industry leader, from its telephony joint-venture with Sprint to
its innovative Internet access business, dubbed @ Home, to its 80% ownership of
Tele-Communications International.

Time Warner Inc. (TWX - $40.875 - NYSE), in a bold and brilliant tactic,
announced that it will acquire Turner Broadcasting Systems, Inc. for $7.5
billion. The acquisition would make TWX the largest diversified media and
publishing company in the world, adding a wealth of programming to a company
already rich in entertainment content. Time Warner is restructuring into two
general areas: copyright and creativity, which includes publishing, music and
filmed entertainment, and distribution, which is mostly cable. Under the aegis
of Gerald M. Levin, investors can expect significant returns over the rest of
the decade.

<PAGE>

Viacom Inc. (VIA - $41.00 - ASE; VIA'B - $42.125 - ASE), long a major provider
of entertainment "content", has evolved into one of the world's dominant media
companies. Following its recent acquisitions of Paramount Communications and
Blockbuster Entertainment, the company is now selling non-core assets to reduce
debt and is focusing on the global expansion of its media franchises. Viacom is
well-positioned in music (notably MTV) and cable networks such as Nickelodeon,
USA (50% interest) and the Sci-Fi Channel.

MINIMUM INITIAL INVESTMENT - $1,000

The Fund's minimum initial investment for both regular and
retirement accounts is $1,000. There are no subsequent investment minimums. No
initial minimum is required for those establishing an Automatic Investment Plan.

GABELLI U.S. TREASURY MONEY MARKET FUND

Shareholders of any of the Gabelli Funds may invest in The Gabelli
U.S. Treasury Money Market Fund with an initial investment of $3,000 or more.
The Fund provides checkwriting and exchange privileges. The Fund's expenses are
capped at .30% of average net assets, making it one of the most attractive U.S.
Treasury-only money market funds. With dividends that are exempt from state and
local income taxes in all states, the Fund is an excellent vehicle in which to
store idle cash. An investment in The Gabelli U.S. Treasury Money Market Fund is
neither insured nor guaranteed by the U.S. Government. There can be no assurance
that the Fund will maintain a stable $1 per share net asset value. Call us at
1-800-GABELLI (1-800-422-3554) for a prospectus which gives a more complete
description of the Fund, including management fees and expenses. Read it
carefully before you invest or send money.

INTERNET

You can now visit us on the Internet. Our home page at
http://www.gabelli.com contains information about Gabelli Funds, Inc., the
Gabelli Mutual Funds, quarterly reports, closing prices, IRAs, 401(k)s and other
current news. You can also send us e-mail at [email protected].

IN CONCLUSION

As investors entrusted with preserving and enhancing the value of
your assets, we react with mixed emotions to rapidly rising equities markets.
While we enjoy the tailwind provided by investor euphoria, we worry about what
will happen when the party winds down. Sooner or later, however, this historic
bull market will loose steam, either with a real correction/bear market, or more
likely and preferably, an extended period of returns in line with earnings
gains. In a more historical market environment, our conservative value oriented
approach to equities investing should demonstrate its virtues on an absolute and
relative basis.

<PAGE>

The Fund's daily net asset value is available in the financial
press and each evening after 6:00 PM (Eastern Time) by calling 1-800-GABELLI
(1-800-422-3554). The Fund's NASDAQ symbol is GABAX. Please call us during the
day for further information.

We thank you for your confidence in our investing abilities and
wish you a productive and financially rewarding 1996.

Sincerely,

/s/ Mario J. Gabelli
-----------------------------
MARIO J. GABELLI, CFA
Portfolio Manager and
Chief Investment Officer

April 19, 1996

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TOP TEN HOLDINGS
MARCH 31, 1996
--------------

Time Warner Inc. Deere & Company
American Express Company Ralston Purina Group
Pittway Corporation Viacom Inc.
Chris-Craft Industries, Inc. Hilton Hotels Corporation
General Electric Company American Brands, Inc.

-----------------------------------------------------------------

NOTE: The views expressed in this report reflect those of the portfolio manager,
only through the end of the period of this report as stated on the cover. The
manager's views are subject to change at any time based on market and other
conditions.

<PAGE>

<TABLE>
THE GABELLI ASSET FUND
PORTFOLIO OF INVESTMENTS -- MARCH 31, 1996 (UNAUDITED)
- ---------------------------------------------------------
<CAPTION>
MARKET
SHARES VALUE (c)
------- -----------
<S> <C> <C>
COMMON STOCKS -- 92.3%

AGRICULTURE -- 0.1%
80,000 Archer-Daniels-Midland Co. ... $ 1,470,000
-----------
AIRLINES -- 1.0%
125,000 AMR Corporation +............. 11,187,500
-----------
AUTOMOTIVE -- 1.4%
285,000 General Motors Corporation.... 15,176,250
24,000 Harley Davidson, Inc. ........ 933,000
-----------
16,109,250
-----------

AUTOMOTIVE: PARTS AND ACCESSORIES -- 4.8%
33,500 APS Holding Corporation, Class
A +......................... 577,875
30,000 Borg-Warner Automotive,
Inc. ....................... 997,500
200,000 Echlin Inc. .................. 7,250,000
150,000 Federal-Mogul Corporation..... 2,793,750
675,000 GenCorp Inc. ................. 8,437,500
245,000 Genuine Parts Company......... 11,025,000
205,000 Handy & Harman................ 3,356,875
105,000 Johnson Controls, Inc. ....... 7,835,625
135,000 Modine Manufacturing
Company..................... 3,577,500
39,875 Myers Industries, Inc. ....... 672,891
170,000 Quaker State Corporation...... 2,380,000
40,000 Republic Automotive Parts,
Inc. +...................... 610,000
115,000 Standard Motor Products,
Inc. ....................... 1,840,000
13,200 Superior Industries
International, Inc. ........ 330,000
105,000 UAP Inc., Class A............. 1,136,358
51,000 Wynn's International, Inc. ... 1,198,500
-----------
54,019,374
-----------

AVIATION: PARTS AND SERVICES -- 2.1%
75,000 Boeing Co. ................... 6,496,875
75,000 Coltec Industries Inc. +...... 909,375
100,000 Curtiss-Wright Corporation.... 5,200,000
85,000 General Motors Corporation,
Class H..................... 5,376,250
60,000 Hi-Shear Industries Inc. +.... 382,500
23,700 Hudson General Corporation.... 1,027,988
120,000 Precision Castparts Corp. .... 4,800,000
-----------
24,192,988
-----------

BROADCASTING -- 4.5%
3,000 BHC Communications, Inc.,
Class A..................... 280,500
397,206 Chris-Craft Industries,
Inc. ....................... 16,583,355
65,560 Chris-Craft Industries, Inc.,
Class B (a)................. 2,737,152
135,000 Citicasters Inc. ............. 3,948,750
300,000 Grupo Televisa S.A., GDR +.... 7,462,500
150,000 Havas, Sponsored ADR.......... 3,225,000
70,000 Liberty Corporation........... 2,310,000
53,000 LIN Television Corporation +.. 1,868,250

<CAPTION>
MARKET
SHARES VALUE (c)
------- -----------
<S> <C> <C>
18,000 Osborn Communications
Corporation +............... $ 200,250
30,000 Paxson Communications
Corporation, Class A +...... 480,000
420,000 Television Broadcasting Ltd.
ORD......................... 1,544,996
100,000 United Television, Inc. ...... 8,875,000
83,000 Westinghouse Electric
Corp. ...................... 1,597,750
-----------
51,113,503
-----------

BUSINESS SERVICES -- 1.9%
18,000 BBN Corporation +............. 456,750
50,000 Berlitz International, Inc.,
New +....................... 812,500
80,000 Honeywell, Inc. .............. 4,420,000
120,000 International Business
Machines Corporation........ 13,335,000
71,000 Landauer, Inc. ............... 1,464,375
70,000 Nashua Corporation............ 901,250
-----------
21,389,875
-----------

CABLE -- 3.5%
60,000 BET Holdings, Inc.,
Class A +................... 1,672,500
70,000 Cablevision Systems
Corporation, Class A +...... 4,025,000
60,000 Comcast Corporation, Class
A........................... 1,042,500
30,000 Comcast Corporation, Class A
Special..................... 530,625
396,000 International Family
Entertainment, Inc.,
Class B +................... 6,682,500
20,000 Shaw Cable Systems Ltd.,
Class B, Conv. ............. 137,559
40,000 Shaw Communications Inc.,
Class B, Conv. ............. 275,118
820,000 Tele-Communications, Inc.,
Class A +................... 15,221,250
287,500 Tele-Communications,
Inc./Liberty Media Group,
Class A +................... 7,582,813
60,000 United International Holdings,
Inc., Class A +............. 960,000
50,000 US WEST Media Group +......... 1,031,250
-----------
39,161,115
-----------
CLOSED-END FUNDS -- 0.1%
79,628 Royce Value Trust, Inc. ...... 975,443
-----------
CONSUMER PRODUCTS -- 9.2%
380,000 American Brands, Inc. ........ 16,102,500
400,000 Carter-Wallace, Inc. ......... 6,550,000
200,000 Church & Dwight Co., Inc. .... 4,175,000
10,000 Culbro Corporation +.......... 613,750
22,000 Duracell International
Inc. ....................... 1,091,750
92,000 Eastman Kodak Company......... 6,532,000
150,000 Fieldcrest Cannon, Inc. +..... 3,112,500
78,000 First Brands Corporation...... 2,184,000
240,000 General Electric Company...... 18,690,000
</TABLE>

<PAGE>

<TABLE>
THE GABELLI ASSET FUND
PORTFOLIO OF INVESTMENTS (CONTINUED) -- MARCH 31, 1996 (UNAUDITED)
- ------------------------------------------------------------------
<CAPTION>
MARKET
SHARES VALUE (c)
------- ------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
CONSUMER PRODUCTS (CONTINUED)
53,000 Gillette Company.............. $ 2,742,750
20,000 Libbey Inc. .................. 437,500
35,000 Outboard Marine Corp. ........ 669,375
35,000 Philips Electronics N.V., New
York........................ 1,273,125
60,000 Procter & Gamble Company...... 5,085,000
252,000 Ralston Purina Group.......... 16,852,500
90,000 Scotts Company, Class A +..... 1,597,500
100,000 Syratech Corporation +........ 2,575,000
125,000 Tambrands Inc. ............... 5,843,750
320,000 Whitman Corporation........... 7,760,000
------------
103,888,000
------------

CONSUMER SERVICES -- 0.4%
180,000 Rollins, Inc. ................ 4,207,500
------------

DIVERSIFIED INDUSTRIAL -- 3.0%
15,000 Anixter International
Inc. +...................... 253,125
50,000 GATX Corporation.............. 2,300,000
160,000 ITT Industries Inc. .......... 4,080,000
150,000 Katy Industries, Inc. ........ 2,043,750
6,500 Kyocera Corporation, ADR...... 874,250
385,000 Lamson & Sessions Co. +....... 3,561,250
100,000 Lawter International, Inc. ... 1,087,500
115,000 Minnesota Mining and
Manufacturing Company....... 7,460,625
80,000 National Service Industries,
Inc. ....................... 2,900,000
20,000 Tenneco Inc. ................. 1,117,500
60,000 Thomas Industries Inc. ....... 1,260,000
200,000 Trinity Industries, Inc. ..... 6,975,000
------------
33,913,000
------------

ELECTRONICS -- 0.1%
2,000 Hitachi, Ltd., ADR............ 195,250
10,000 Sony Corporation.............. 607,500
------------
802,750
------------

ENERGY -- 3.4%
55,000 Atlantic Richfield Company.... 6,545,000
35,000 British Petroleum Company
plc, ADR.................... 3,718,750
120,000 Burlington Resources Inc. .... 4,455,000
30,000 Chevron Corporation........... 1,683,750
170,000 Eastern Enterprises........... 6,035,000
60,000 Enron Oil & Gas Company....... 1,582,500
105,000 Exxon Corporation............. 8,570,625
20,000 Halliburton Company........... 1,137,500
100,000 Kaneb Services, Inc. +........ 250,000

<CAPTION>
MARKET
SHARES VALUE (c)
------- ------------
<S> <C> <C>
45,000 PacifiCorp.................... $ 939,375
80,000 Southwest Gas Corporation..... 1,380,000
30,000 Texaco Inc. .................. 2,580,000
------------
38,877,500
------------

ENTERTAINMENT -- 5.6%
55,000 Bay Meadows Operating
Company..................... 811,250
195,675 Gaylord Entertainment
Company, Class A............ 5,283,225
80,000 GC Companies, Inc. +.......... 3,040,000
40,000 GTECH Holdings Corporation
+........................... 1,240,000
20,000 PolyGram NV................... 1,205,000
32,000 Santa Anita Realty
Enterprises, Inc. .......... 488,000
110,000 THORN EMI plc, Sponsored
ADR......................... 2,809,400
700,000 Time Warner Inc. ............. 28,612,500
11,528 Todd-AO Corporation,
Class A..................... 158,510
120,000 Viacom Inc., Class A +........ 4,920,000
210,000 Viacom Inc., Class B +........ 8,846,250
91,438 Walt Disney Company........... 5,840,602
------------
63,254,737
------------

FINANCIAL SERVICES -- 5.9%
1 Al-Zar Ltd. + (a)............. 350
570,000 American Express Company...... 28,143,750
220 Berkshire Hathaway Inc. +..... 7,447,000
35,000 Commerzbank AG,
Sponsored ADR............... 1,618,750
140,000 Deutsche Bank AG, Sponsored
ADR......................... 7,192,500
60,000 H&R Block Inc. ............... 2,167,500
70,000 KeyCorp....................... 2,703,750
290,000 Lehman Brothers Holdings
Inc. ....................... 7,757,500
85,200 Midland Company............... 4,185,450
65,000 Salomon Inc. ................. 2,437,500
25,000 State Street Boston
Corporation................. 1,250,000
10,000 SunTrust Banks, Inc. ......... 700,000
11,941 Transamerica Corporation...... 894,082
8,000 Value Line, Inc. ............. 280,000
------------
66,778,132
------------
FOOD AND BEVERAGE -- 6.3%
71,000 Brown-Forman Corporation,
Class A..................... 2,857,750
60,000 Campbell Soup Company......... 3,652,500
74,263 Chock Full o'Nuts
Corporation................. 371,315
23,000 Coca-Cola Company............. 1,900,375
25,000 Coca-Cola Enterprises Inc. ... 771,875
17,000 CPC International Inc. ....... 1,179,375
47,000 Delchamps, Inc. .............. 998,750
</TABLE>

<PAGE>

FOOD AND BEVERAGE (CONTINUED)
100,000 Dole Food Company, Inc. ...... $ 3,850,000
4,500 Farmer Brothers Company....... 598,500
62,500 General Mills, Inc. .......... 3,648,437
37,500 Heinz Company (H.J.).......... 1,242,187
35,000 Hershey Foods Corporation..... 2,607,500
84,000 Kellogg Company............... 6,363,000
25,000 LVHM Moet Hennessy Louis
Vuitton, Sponsored ADR...... 1,256,250
220,000 PepsiCo, Inc. ................ 13,915,000
210,000 Quaker Oats Company........... 7,008,750
65,000 Ralcorp Holdings, Inc. +...... 1,665,625
20,000 Rykoff-Sexton, Inc. .......... 317,500
280,000 Seagram Company Ltd. ......... 9,065,000
41,140 Tootsie Roll Industries,
Inc. ....................... 1,501,610
120,000 Wrigley (Wm.) Jr. Company..... 7,035,000
------------
71,806,299
------------

HEALTH CARE -- 3.1%
15,000 Amgen Inc. +.................. 871,875
10,000 Biogen, Inc. +................ 595,000
20,000 BioWhittaker, Inc. +.......... 162,500
12,000 Chiron Corporation +.......... 1,179,000
100,000 Genentech, Inc. +............. 5,262,500
125,000 Johnson & Johnson............. 11,531,250
70,000 Mallinckrodt Group, Inc. ..... 2,633,750
89,999 Merck & Co., Inc. ............ 5,602,438
100,000 Pfizer Inc. .................. 6,700,000
------------
34,538,313
------------

HOTELS/CASINOS -- 2.6%
40,000 Circus Circus Enterprises,
Inc. +...................... 1,345,000
16,000 Harrah's Entertainment
Inc. +...................... 470,000
172,000 Hilton Hotels Corporation..... 16,168,000
100,000 ITT Corporation, New +........ 6,000,000
200,000 Ladbroke Group plc............ 593,731
110,000 Mirage Resorts,
Incorporated +.............. 4,826,250
------------
29,402,981
------------

INDUSTRIAL EQUIPMENT AND SUPPLIES -- 13.2%
347,000 AMETEK, Inc. ................. 6,115,875
50,000 AMP Incorporated.............. 2,068,750
25,000 Amphenol Corporation,
Class A +................... 584,375
226,000 AptarGroup, Inc. ............. 9,379,000
64,000 Caterpillar Inc. ............. 4,352,000
65,000 CLARCOR Inc. ................. 1,413,750

<CAPTION>
MARKET
SHARES VALUE (c)
--------- ------------
<S> <C> <C>
150,000 Crane Co. .................... $ 6,056,250
100,000 CTS Corporation............... 3,837,500
430,000 Deere & Company............... 17,952,500
249,300 Donaldson Company, Inc. ...... 6,855,750
150,000 Gerber Scientific, Inc. ...... 2,250,000
140,000 Greif Bros. Corporation,
Class A..................... 4,095,000
132,500 Guardsman Products, Inc. ..... 3,030,937
12,546 Hach Company.................. 207,009
354,000 IDEX Corporation.............. 13,761,750
80,000 Ingersoll-Rand Company........ 3,260,000
200,000 Kollmorgen Corporation........ 2,350,000
95,000 Lufkin Industries, Inc. ...... 1,733,750
60,000 Manitowoc Company, Inc. ...... 1,890,000
250,000 Mark IV Industries, Inc. ..... 5,500,000
255,000 Navistar International
Corporation +............... 2,645,625
165,000 Nortek, Inc. +................ 2,000,625
4,333 Nortek, Inc., Special
Common + (a)................ 47,663
10,000 PACCAR Inc. .................. 487,500
120,000 Pittway Corporation........... 6,000,000
272,000 Pittway Corporation,
Class A..................... 13,464,000
50,000 Sequa Corporation,
Class A +................... 1,706,250
80,200 Sequa Corporation,
Class B +................... 3,288,200
80,000 SPS Technologies, Inc. +...... 4,450,000
134,000 St. Joe Paper Company......... 7,738,500
100,000 TransPro Inc. ................ 812,500
20,000 Valmont Industries, Inc. ..... 600,000
217,000 Varity Corporation, New +..... 9,385,250
------------
149,320,309
------------

METALS AND MINING -- 0.9%
34,350 Barrick Gold Corporation...... 1,043,381
75,000 Echo Bay Mines Ltd. .......... 1,012,500
45,000 Homestake Mining Company...... 871,875
100,000 Horsham Corporation........... 1,462,500
33,000 Newmont Gold Company.......... 1,852,125
160,000 Pegasus Gold Inc. +........... 2,340,000
17,500 Placer Dome Inc. ............. 505,313
180,000 Royal Oak Mines Inc. +........ 753,750
------------
9,841,444
------------

PUBLISHING -- 3.2%
75,000 American Media Inc. +......... 271,875
8,000 Central Newspapers, Inc. ..... 285,000
5,000 E.W. Scripps Company,
Class A..................... 209,375
32,000 McClatchy Newspapers, Inc.,
Class A..................... 764,000
78,000 McGraw-Hill Companies, Inc. .. 6,766,500
385,000 Media General, Inc.,
Class A..................... 14,918,750
</TABLE>

<PAGE>

PUBLISHING (CONTINUED)
30,000 Meredith Corporation.......... $ 1,237,500
149,993 New York Times Company,
Class A..................... 4,349,797
15,000 News Corporation Limited,
ADS......................... 345,000
84,000 Reader's Digest Association,
Inc., Class B............... 3,622,500
304,500 Western Publishing Group,
Inc. +...................... 3,006,938
------------
35,777,235
------------

REAL ESTATE -- 0.2%
30,000 Castle & Cooke Inc. +......... 491,250
240,000 Catellus Development
Corporation +............... 1,860,000
------------
2,351,250
------------

RETAIL -- 1.8%
20,000 Aaron Rents, Inc., Class A.... 435,000
13,000 Aaron Rents, Inc., Class B.... 269,750
150,000 Burlington Coat Factory
Warehouse Corporation +..... 1,762,500
125,000 Earl Scheib, Inc. +........... 945,313
50,000 Fingerhut Companies, Inc. .... 643,750
70,000 Lillian Vernon Corporation.... 953,750
675,000 Neiman Marcus Group, Inc. +... 15,018,750
------------
20,028,813
------------

RETAIL: FOOD AND DRUG -- 0.6%
25,000 Albertson's, Inc. ............ 928,125
115,000 American Stores Company....... 3,795,000
50,000 Kroger Co. +.................. 2,025,000
10,000 Smith's Food & Drug Centers
Inc., Class B............... 240,000
------------
6,988,125
------------

SPECIALTY CHEMICAL -- 0.9%
50,000 E.I. du Pont de Nemours and
Company..................... 4,150,000
215,000 Ferro Corporation............. 6,100,625
------------
10,250,625
------------

TELECOMMUNICATIONS -- 9.1%
185,000 AT&T Corp. ................... 11,331,250
100,000 BC TELECOM Inc. .............. 1,861,634
295,000 BCE Inc. ..................... 10,435,625
22,500 BellSouth Corporation......... 832,500
15,000 British Telecommunications
plc, Sponsored ADR.......... 847,500

<CAPTION>
MARKET
SHARES VALUE (c)
------- ------------
<S> <C> <C>
100,000 Cable & Wireless plc,
Sponsored ADR............... $ 2,412,500
275,000 C-TEC Corporation +........... 10,243,750
46,500 C-TEC Corporation,
Class B +................... 1,708,875
55,000 Frontier Corporation.......... 1,732,500
280,000 GTE Corporation............... 12,285,000
35,000 Hong Kong Telecommunications
Ltd., Sponsored ADR......... 700,000
60,000 Koninklijke PTT Nederland
(KPN), ADR +................ 2,370,000
120,000 Lincoln Telecommunications
Company..................... 2,310,000
60,000 Motorola, Inc. ............... 3,180,000
25,000 Northern Telecom Limited...... 1,193,750
62,000 NYNEX Corporation............. 3,092,250
50,000 Pacific Telesis Group Inc. ... 1,381,250
100,000 SBC Communications Inc. ...... 5,262,500
28,000 Southern New England
Telecommunications
Corporation................. 1,127,000
335,000 Sprint Corporation............ 12,730,000
215,000 STET - Societa Finanziaria
Telefonica SpA, Sponsored
ADR......................... 5,993,125
1,500,000 Telecom Italia SpA, ORD....... 2,377,391
110,000 Telecomunicacoes Brasileiras
SA (Telebras), Sponsored
ADR......................... 5,472,500
1,521,945 Telecomunicacoes de Sao Paulo
SA (Telesp) +............... 258,832
16,000 Telefonica de Espana,
Sponsored ADR............... 760,000
18,000 Telefonos De Mexico SA,
Sponsored ADR............... 591,750
30,000 US WEST Communications
Group....................... 971,250
------------
103,462,732
------------

TRANSPORTATION -- 0.1%
12,500 Florida East Coast
Industries, Inc. ........... 1,092,187
------------

WIRELESS COMMUNICATIONS -- 3.3%
215,000 AirTouch Communications Inc.
+........................... 6,691,875
120,000 Allen Group Inc. ............. 2,325,000
18,500 Associated Group, Inc., Class
A +......................... 356,125
18,500 Associated Group, Inc., Class
B +......................... 353,813
260,000 Century Telephone
Enterprises, Inc. .......... 8,255,000
140,000 COMSAT Corporation, Series
1........................... 3,272,500
80,000 NEXTEL Communications, Inc.,
Class A +................... 1,510,000
2,500,000 Telecom Italia Mobile SpA +... 4,544,309
140,000 Telephone and Data Systems,
Inc. ....................... 6,475,000
</TABLE>

<PAGE>

WIRELESS COMMUNICATIONS (CONTINUED)
126,667 360() Communications
Company +................... $ 3,024,167
--------------
36,807,789
--------------
TOTAL COMMON STOCKS....................... 1,043,008,769
--------------

PREFERRED STOCKS -- 0.5%
CONSUMER PRODUCTS -- 0.2%
45,000 Fieldcrest Cannon, Inc.,
Series A, 6.00%, Conv. Pfd.,
144A(d)..................... 2,070,000
2,000 Kerr Group, Inc., Class B,
Series D, $1.70, Cumulative
Conv. Pfd. ................. 35,750
--------------
2,105,750
--------------

INDUSTRIAL EQUIPMENT AND SUPPLIES -- 0.1%
20,000 Sequa Corporation, $5.00,
Cumulative Conv. Pfd. ...... 1,330,000
--------------
METALS AND MINING -- 0.0%
10,000 Freeport-McMoRan Inc.,
Depository Shares, 7.00%
Cumulative Conv. Pfd. ...... 280,000
--------------

TELECOMMUNICATIONS -- 0.2%
35,000 Globalstar
Telecommunications,
6.50%, Conv. Pfd.,
144A(d)..................... 1,855,000
15,000 Sprint Corporation, 8.25%,
Conv. Pfd................... 581,250
--------------
2,436,250
--------------
TOTAL PREFERRED STOCKS.................... 6,152,000
--------------

<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE (c)
- ----------- --------------
<C> <S> <C>
CORPORATE BONDS -- 0.3%

AUTOMOTIVE PARTS AND ACCESSORIES -- 0.1%
$ 400,000 GenCorp Inc., Conv. Sub.
Deb., 8.00% due
08/01/2002................. $ 398,000
--------------

BROADCASTING -- 0.0%
FRF 593,750 Havas, Conv. Bond,
Payment-in-kind, 3.00% due
12/31/1997................. 145,494
--------------

ENTERTAINMENT -- 0.2%
$ 2,700,000 Viacom Inc., Ex. Sub. Deb.,
8.00% due 07/07/2006....... 2,592,000
--------------
TOTAL CORPORATE BONDS...................... 3,135,494
--------------

U.S. TREASURY BILLS -- 6.5%
73,819,000 4.67% to 5.25% ++ due
04/04/1996 - 05/09/1996.... 73,601,518
--------------

TOTAL INVESTMENTS
(COST $751,198,466)(b)............. 99.6% 1,125,897,781
OTHER ASSETS AND LIABILITIES (NET)... 0.4 4,565,550
----- --------------
NET ASSETS APPLICABLE TO 41,197,930
SHARES OF BENEFICIAL INTEREST
OUTSTANDING........................ 100.0% $1,130,463,331
===== ==============
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE......... $ 27.44
==============
<FN>

- ---------------

(a) Security fair valued by the Board of Trustees.

(b) Aggregate cost for Federal tax purposes was $751,937,798. Net unrealized
appreciation for Federal tax purposes was $373,959,983 (gross unrealized
appreciation was $384,556,452 and gross unrealized depreciation was
$10,596,469).

(c) Securities traded on a national securities exchange are valued at the last
sale price as of the close of business on the day the securities are being
valued. Securities for which no sale was reported on that day and over-
the-counter securities are valued at the mean between the last reported
bid and asked prices. U.S. Government obligations and other debt
instruments with 60 days or less to maturity are valued at amortized cost
which approximates market value. Short-term investments with greater than
60 days to maturity are valued at the highest independent bid price as
quoted by market makers.

(d) 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.

+ Non-income producing security.

++ Represents annualized yield at date of purchase.

ADR -- American Depositary Receipt
ADS -- American Depositary Share
FRF -- French Franc
GDR -- Global Depositary Receipt
ORD -- Ordinary Share
</TABLE>

<PAGE>

GABELLI FAMILY OF FUNDS
Distributed by Gabelli & Company, Inc.
One Corporate Center, Rye, NY 10580-1435

GABELLI ASSET FUND ______________________________
Invests in a diversified portfolio of companies selling below their private
market value. The Fund's primary objective is to seek growth of capital.
(no-load)
Portfolio Manager: Mario J. Gabelli, CFA

GABELLI GROWTH FUND ______________________________
Invests in a diversified portfolio of common stocks that have favorable, yet
undervalued, prospects for earnings growth. The Fund's primary objective
is to seek capital appreciation by employing an earnings-driven investment
approach. (no-load)
Portfolio Manager: Howard F. Ward, CFA

GABELLI VALUE FUND _______________________________
Invests in a concentrated portfolio of securities of companies which are
selling below their private market value. The Fund's primary objective is
long-term capital appreciation. $250 initial minimum for IRAs.
Portfolio Manager: Mario J. Gabelli, CFA
Max. Sales Charge: 5 1/2%

GABELLI SMALL CAP GROWTH FUND ____________________
Invests primarily in equity securities of smaller companies (companies with a
total market capitalization of less than $500 million) which are believed
likely to have rapid growth in revenues and earnings. The Fund's primary
objective is to seek capital appreciation.
Portfolio Manager: Mario J. Gabelli, CFA
Max. Sales Charge: 4 1/2%

GABELLI EQUITY INCOME FUND _______________________
Invests primarily in a portfolio of income producing equity securities. Pays
quarterly dividends. The Fund's primary objective is to seek a high level of
total return.
Portfolio Manager: Mario J. Gabelli, CFA
Max. Sales Charge: 4 1/2%

GABELLI/WESTWOOD FUNDS ___________________________
Three investment portfolios, designed to pursue a variety of investment
objectives: Equity Fund seeks capital appreciation, Balanced Fund seeks
income and growth, and Intermediate Bond Fund seeks current income.
(no-load)
Portfolio Managers: Susan Byrne & Pat Fraze

GABELLI GLOBAL SERIES ____________________________

GABELLI GLOBAL TELECOMMUNICATIONS FUND
Invests in telecommunications companies throughout the world. Targets
undervalued companies with strong earnings per share and cash flow dynamics.
The Fund's primary objective is to seek capital appreciation. (no-load)
Team Manager: Mario J. Gabelli, CFA

GABELLI GLOBAL CONVERTIBLE SECURITIES FUND
Invests principally in bonds and preferred stocks which are convertible into
common stock of foreign and domestic companies. The Fund's primary objective
is to seek a high level of total return through a combination of current
income and capital appreciation. (no-load)
Portfolio Manager: Hart Woodson

GABELLI GLOBAL INTERACTIVE COUCH POTATO[Registration Mark] FUND
Invests in companies involved in communications, creativity and copyright
throughout the world. The Fund will also invest in companies participating in
emerging technological advances in interactive services and products. The
Fund's primary objective is to seek capital appreciation. (no-load)
Portfolio Manager: Mario J. Gabelli, CFA

GABELLI GOLD FUND ________________________________
Invests in a global portfolio of equity securities of gold mining and related
companies. The Fund's primary objective is to seek capital appreciation.
Investment in gold stocks is considered speculative and is affected by a
variety of worldwide economic, financial and political factors. (no-load)
Portfolio Manager: Caesar Bryan

GABELLI INTERNATIONAL GROWTH FUND ________________
Invests in a diversified portfolio of equity securities of
companies outside of the U.S. Seeks to achieve international diversification
and capital appreciation, and to serve as a complement to a domestic
investment portfolio. (no-load)
Portfolio Manager: Caesar Bryan

The five funds above invest in foreign securities which involves risks not
ordinarily associated with investments in domestic issues, including currency
fluctuation, economic and political risks.

GABELLI U.S. TREASURY MONEY MARKET FUND __________
Invests 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. Features low expenses,
free checkwriting, telephone exchange and redemption privileges.
Portfolio Manager: Ronald Eaker

To request a prospectus, call 1-800-GABELLI (1-800-422-3554)
Or, visit our Internet homepage at: http://www.gabelli.com

The prospectus(es) contain more complete information, including fees and
expenses, and should be read carefully prior to investing.

<PAGE>

THE GABELLI ASSET FUND
One Corporate Center
Rye, New York 10580-1434
1-800-GABELLI
[1-800-422-3554]
FAX: 1-914-921-5118
http://www.gabelli.com
e-mail: [email protected]
(Net Asset Value may be obtained daily by calling
1-800-GABELLI after 6:00 P.M.)

BOARD OF TRUSTEES

Mario J. Gabelli, CFA Karl Otto Pohl
Chairman And Chief Former President
Investment Officer Deutsche Bundesbank
Gabelli Funds, Inc.

Felix J. Christiana Anthony R. Pustorino
Former Senior Certified Public Accountant
Vice President Professor, Pace University
Dollar Dry Dock Savings Bank

Anthony J. Colavita Anthonie C. van Ekris
Attorney-at-law Managing Director
Anthony J. Colavita, P.C. BALMAC International, Inc.

James P. Conn Salvatore J. Zizza
Managing Director and Chairman, Chief
Chief Investment Officer Executive Officer
Financial Security Assurance The Lehigh Group, Inc.
Holdings Ltd.

OFFICERS AND PORTFOLIO MANAGERS

Mario J. Gabelli, CFA Bruce N. Alpert
Portfolio Manager President And Treasurer

James E. McKee
Secretary

DISTRIBUTOR
Gabelli & Company, Inc.

CUSTODIAN, TRANSFER AGENT AND DIVIDEND AGENT
State Street Bank and Trust Company

LEGAL COUNSEL
Skadden, Arps, Slate, Meagher & Flom

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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.
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[PICTURE]

THE

GABELLI

ASSET

FUND

FIRST QUARTER REPORT
MARCH 31, 1996