GABELLI ASSET FUND, N-30B-2, 1998-05-21

GABELLI ASSET FUND
N-30B-2, 1998-05-21

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One Corporate Center
Rye, New York 10580-1434
FIRST QUARTER REPORT
MARCH 31, 1998

* * * * *

MORNINGSTAR RATED THE GABELLI ASSET FUND 5 STARS OVERALL AND FOR THE FIVE
AND TEN YEAR PERIODS ENDED 3/31/98 AMONG 1363 AND 698 DOMESTIC EQUITY FUNDS,
RESPECTIVELY. THE FUND RECEIVED 4 STARS FOR THE THREE YEAR PERIOD ENDED 3/31/98
AMONG 2437 FUNDS.

TO OUR SHAREHOLDERS,

After a brief retreat in early January, stocks regained their momentum and
indices across the market capitalization spectrum closed the quarter at or near
record highs. The favorable economic backdrop for stocks - low inflation, low
interest rates and solid corporate earnings growth - continued to buoy the
market. However, the greatest driving force for the stock market continues to be
liquidity. Deals, restructurings and share repurchase programs proved to be
powerful factors underneath the market's strength. With the relatively
uninspiring returns available from traditional alternatives to owning stocks,
cash continued to flow into U.S. equity investments.

As evidenced by the Dow Jones Industrial Average's (DJIA) and Standard &
Poor's 500's (S&P 500) lead over smaller capitalization indices, big continued
to be most beautiful. However, small and mid-cap stocks delivered excellent
absolute returns.

INVESTMENT PERFORMANCE

For the first quarter ended March 31, 1998, The Gabelli Asset Fund's total
return was a solid 13.0%. The Standard & Poor's (S&P) 500, Value Line Composite
and Russell 2000 Index had returns of 13.9%, 11.6% and 10.1%, respectively, over
the same period. Each index is an unmanaged indicator of stock market
performance. The Fund was up 52.7% over the trailing twelve month period. The
S&P 500, Value Line Composite and Russell 2000 rose 48.0%, 43.0% and 42.0%,
respectively, over the same twelve month period.

For the ten year period ended March 31, 1998, the Fund's return averaged
17.5% annually, versus average annual returns of 18.9%, 15.5% and 14.9% for the
S&P 500, Value Line Composite and Russell 2000, respectively. Since inception on
March 3, 1986 through March 31, 1998, the Fund has a total return of 652.3%,
which equates to an average annual return of 18.2%.

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Past performance is no guarantee of future results. Morningstar proprietary
ratings reflect historical risk adjusted performance as of March 31, 1998 and
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. The top 10% of the funds in an
investment category receive five stars and the next 22.5% receive four stars.

<PAGE>
<TABLE>
INVESTMENT RESULTS (a)
- ----------------------------------------------------------------------------------------------------
<CAPTION>
-------------------QUARTER-------------------
1ST 2ND 3RD 4TH YEAR
--- --- --- --- ----
<S> <C> <C> <C> <C> <C>
1998: Net Asset Value ............. $36.00 -- -- -- --
Total Return ................ 13.0% -- -- -- --
- ----------------------------------------------------------------------------------------------------
1997: Net Asset Value ............. $27.00 $31.45 $34.99 $31.85 $31.85
Total Return ................ 2.2% 16.5% 11.3% 4.3% 38.1%
- ----------------------------------------------------------------------------------------------------
1996: Net Asset Value ............. $27.44 $28.09 $27.92 $26.42 $26.42
Total Return ................ 6.6% 2.4% (0.6)% 4.5% 13.4%
- ----------------------------------------------------------------------------------------------------
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>
<CAPTION>
- ----------------------------------------------
AVERAGE ANNUAL RETURNS - MARCH 31, 1998(a)

<TABLE>
<CAPTION>
- --------------------DIVIDEND HISTORY---------------------
PAYMENT (EX) DATE RATE PER SHARE REINVESTMENT PRICE
- ----------------- -------------- ------------------
<S> <C> <C>
December 30, 1997 $4.610 $31.73
December 31, 1996 $2.770 $26.42
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
</TABLE>

(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.
- --------------------------------------------------------------------------------

<PAGE>

WHAT WE DO [CHART]

The success of momentum investing in recent years and investors' desire for
instant gratification have combined to make value investing appear dull. At the
risk of being dull, we will once again describe the "boring" value approach that
has seen us through both good and bad markets over the last 12 years at The
Gabelli Asset Fund and for over 20 years at Gabelli Asset Management Company. In
past reports, we have tried to articulate our investment philosophy and
methodology. The accompanying graphic 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 the globalization of the market in filmed entertainment and
telecommunications, and micro trends, such as an increased focus on productivity
enhancing goods and services.

COMMENTARY

IT JUST KEEPS GOING, GOING AND GOING!

Despite being targeted by evil forces such as the Asian economic meltdown,
high profile earnings disappointments in the technology sector and
off-the-historical chart valuations, the stock market, like the "Energizer
Bunny", just keeps going, going and going. We clearly underestimated the
market's potential.

<PAGE>

The bad news is that based on almost any valuation benchmark, stocks are
currently in historically unprecedented territory and the margin of safety is
razor thin.

Granted, it would be hard to imagine a better economic scenario for stocks.
Economists are pegging inflation at 2.0% or lower and interest rates are low.
Despite selected earnings dislocations resulting from Asian economic weakness,
domestic corporate profits, on the whole, are meeting consensus expectations and
Wall Street economists are predicting even better earnings growth in 1999. On
the supply and demand front - remember that stocks go up in the short run when
there are more buyers than sellers - continued strong merger and acquisition
activity and substantial share repurchase programs are shrinking supply at a
time when demand for stocks keeps rising. Put it all together, and it is
understandable that stocks are advancing.

<TABLE>
- -----------------------------------------------------------------------------------------
FLOW OF FUNDS
($ Billions)

<CAPTION>
1993 1994 1995 1996 1997
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
SOURCES
- -------
U.S. Deals $234 $340 $ 511 $ 652 $ 919
Stock Buybacks 37 46 99 176 179
Equity Mutual Funds Net 130 119 128 222 232
Dividends 204 230 274 309 333
---- ---- ------ ------ ------
SOURCES: 605 735 1,012 1,359 1,663
---- ---- ------ ------ ------

USES
- ----
IPOs 103 62 82 115 118
U.S./International Equity Capital Flow
U.S. Purchases of Non-U.S. Equities 309 434 396 514 762
International Purchases of U.S. Equities 246 387 346 457 723
---- ---- ------ ------ ------
Net Flow: 63 47 50 57 39
---- ---- ------ ------ ------
USES: 166 109 132 172 157
---- ---- ------ ------ ------
NET FLOW OF FUNDS: $439 $626 $ 880 $1,187 $1,506
==== ==== ====== ====== ======

SOURCES: SECURITIES DATA CORP, INVESTMENT COMPANY INSTITUTE, BIRINYI ASSOCIATES.
- -----------------------------------------------------------------------------------------
</TABLE>

BEAR WATCH

Today, the two questions confronting equity investors are: What could
happen to disrupt this ideal economic environment for stocks? And, even if the
economic news continues to be good, isn't it already more than fully reflected
in stock prices? In our last report to you, we shared a laundry list of our
investment anxieties, which included problems in Asia spilling into Latin
American currencies and economies, wage inflation not matched by productivity
gains, oil prices rising significantly from today's low levels, a prospective
crisis in confidence if Treasury Secretary Rubin leaves and the possibility that
Federal Reserve Board Chairman Greenspan may step down at the end of his current
term, and last, but not least, high equity valuations and a low margin of
safety.

<PAGE>

We have many of the same worries today and our concern over equity
valuations has been heightened by the market's sharp rise in the first quarter.
As we have stated many times in the past, we believe valuations do matter and
that ultimately stocks will trade at rational relationships to their economic
value. We have to question whether even the best companies in this "best of all
possible worlds" for stocks should trade at 50+ times earnings and three to four
times annual earnings growth rates. We are sure value investors share this
concern. However, money continues to flow into arguably the most overvalued
sector of the market - the mega-cap growth stocks. It is somewhat of a reverse
panic. Investors are afraid not to own these stocks. Mr. Market remains at work.
It is increasingly difficult for us to find bargains in this environment.

One would think professional investors (ie: mutual fund managers) would be
exhibiting more restraint. Unfortunately, with mutual fund investors
increasingly focused on short term performance, portfolio managers holding cash
in a rising market have the life expectancy of fast dogs that chase cars. Many
are holding their noses, closing their eyes, crossing their fingers and making
investments that are difficult to justify on a fundamental basis. They may
continue to be rewarded for throwing in the valuation towel. But, at some point,
they and their shareholders will receive a painful reminder that the market will
not suffer fools indefinitely.

FINDING VALUE IN AN OVERVALUED STOCK MARKET

With the stock market at current levels, true investment bargains are
getting harder to come by. We do not have a philosophical problem keeping powder
dry when values become more scarce. The Fund's cash position has increased to
approximately 10% of assets at the end of the quarter. We believe the biggest
pocket of value contains strong franchises in consolidating industries. This
quarter, we have received premium bids on three portfolio holdings:

o Southern New England Telecommunications is being acquired by SBC
Communications

o 360[degrees] Communications is being purchased by Alltel, and

o Echlin is being pursued by SPX Corp.

When we review the portfolio, we see dozens of small and mid-sized
franchises in a range of industries that we believe would be attractive
acquisitions for larger companies looking to grow their businesses.

We also think we can continue to make good money on restructuring
candidates. This quarter, Whitman Corp. spun-off Hussmann International, its
commercial refrigeration business, and Midas Muffler to shareholders. The three
pieces are now trading well above Whitman's price prior to the spin-offs. ITT
Industries announced it is considering selling its auto parts business. If they
do sell, we think we will see a better appraisal for the company's much more
profitable pump and valve and defense electronics businesses. The Fund owns many
more companies whose parts, in our view, are worth

<PAGE>

considerably more than the current market value of the whole. We believe
corporate managements will continue to restructure their companies in ways that
make strategic and financial sense.

In addition, there are several industry groups that despite strong
performance over the last year or so, still seem quite reasonable to us. Looking
ahead, we think investors will more fully appreciate industries and companies in
which the cash flow and earnings picture is not clouded by uncertainties over
the impact of foreign operations and currency turmoil. True to our stock picking
discipline, we have been and will continue to be selective in these and other
industry groups - focusing, as always, on quality companies trading at a
discount to our appraisal of economic value.

PATIENCE REWARDED

In our 1997 Annual Report, we highlighted Seagram's and Viacom as
relatively large portfolio holdings that did not perform well in 1997 in what
was quite a good year for the Fund. We reviewed our assessment of the values,
talked about some of the positive events happening at each company and
reaffirmed our commitment to these loaded laggards.

Our patience has been rewarded with Seagram's stock gaining 18% and Viacom
stock climbing 30% in the first quarter of 1998. In the case of Seagram's, we
cannot isolate any single event responsible for the stock's excellent
performance this quarter. We think Wall Street finally did its homework and came
to the conclusion that the rather complex transaction with Home Shopping Network
and the purchase of the additional 50% of USA Network made good financial and
strategic sense.

The move in Viacom was quite literally "Titanic". This blockbuster will
certainly boost parent company Viacom's 1998 earnings. However, in our opinion,
the turnaround in the other Blockbuster (Blockbuster Entertainment, Viacom's
huge video rental business), will provide even greater benefits for the company
going forward. Especially important, the company continues to pare debt, with a
big paydown coming from the sale of Simon & Schuster's publishing operations.

QUIPS ON MANAGEMENT

Our Chief Investment Officer, Mario J. Gabelli, was recently interviewed by
a leading investor relations consulting firm to discuss how we, as securities
analysts, evaluate corporate managements. We would like to share with you
excerpts from this interview...

"Ideally, we like to own great companies with great management. Our second
choice is great companies with mediocre management. Occasionally, we will take a
chance on mediocre companies with talented new management that we believe can
dramatically improve the business. Our rational is simple - we believe a
princess who kisses a frog is more likely to turn into a frog than the frog is
to turn into a prince.

<PAGE>

We don't feel we ask too much from corporate managements. We want them to
have vision as to how the world is changing and a sensible plan to position
their companies to take advantage of change rather than be overwhelmed by it. We
want them to be focused on competitive issues in their industry and be proactive
rather than reactive in meeting challenges from their competitors. We expect
CEOs and CFOs, who in our opinion, should be joined at the hip, to know their
companies intimately. If I or another one of our analysts spots something
unusual in an annual report or 10-K, I expect management to be able to explain
it. We want management to be honest with us. We always ask them to detail their
company's strengths and weaknesses. When we hear a lot about the former and
virtually nothing about the latter, we tend to be a little suspicious. Finally,
and most importantly, we expect them to serve the interest of their companies'
real owners - the shareholders. Managements that build a wall around themselves
and their companies' values are betraying shareholders.

We are not for or against corporate managements. We are for shareholders -
our clients. We don't encourage managements to run their companies to maximize
short term returns and sacrifice long term value. In fact, we respect managers
that are willing to suffer through a few bad quarters for the greater long term
good of their companies. Unlike many Wall Street research teams, we don't ask
management to assess the value of their companies or to forecast future cash
flows and earnings. That's our job. We ask only that they do their jobs--build
the value of their businesses in a manner that benefits long term shareholders."

LET'S TALK STOCKS

The following are stock specifics on selected holdings of our Fund.
Favorable earnings 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 CO. (AXP - $91.8125 - NYSE) is a global travel, financial and
network services provider. Founded in 1850, the company operates in 160
countries around the world. Best known for its "green" charge card and its
travel-related services, American Express also offers financial planning,
brokerage services, mutual funds, insurance and other investment products.
Harvey Golub, Chairman and CEO, has refocused AXP on its core charge card and
investment management businesses. The company has significantly expanded the
range of merchants who welcome its cards. As evidenced by an increase in per
share earnings exceeding 16% in 1997, we believe that American Express has been
repositioned to enjoy double digit earnings growth over the balance of this
decade.

CABLEVISION SYSTEMS CORP. (CVC - $65.75 - ASE), based in Woodbury, NY, is a
major cable TV operator serving 2.9 million subscribers, including managed
systems. CVC's revenue per subscriber is the highest in the cable industry. CVC
has exercised its option to purchase ITT's 50% stake in MSG (Madison Square
Garden) Properties, including the NY Knicks and NY Rangers. Cablevision has also

<PAGE>

purchased Tele-Communications Inc.'s ten New York area cable properties with
roughly 820,000 subscribers by issuing over 12.2 million shares (a one-third
interest in the company) and assuming about $670 million of TCI's debt. The
company's new, vigorous activity includes the sale of a 40% stake in Rainbow
Sports to a News Corp./TCI joint venture with the proceeds used to pay down a
significant portion of MSG's debt. With its upgraded cable systems, CVC is
well-positioned to offer telephony, high speed data and enhanced video services.

CENTURY TELEPHONE ENTERPRISES INC. (CTL - $61.125 - NYSE), based in Monroe,
Louisiana, is the tenth largest local telephone company with over 500,000 access
lines in 14 states in the South and Midwest. Century Telephone is also the tenth
largest domestic cellular company. Through acquisitions, CTL has created
clusters of rural telephone and cellular companies within commuting distance of
metropolitan areas in states including Wisconsin, Michigan, Ohio, Louisiana and
Arkansas. With the $2.2 billion acquisition of Portland-based Pacific Telecom,
CTL is adding seven states, ten cellular markets and 640,000 access lines to its
business base. The acquired operations are expected to nearly double Century's
revenues. The company continues to build value through other ventures, primarily
its long distance and competitive local exchange carrier (CLEC) operations.

CHRIS-CRAFT INDUSTRIES INC. (CCN - $58.9375 - NYSE), through its 79% ownership
of BHC Communications (BHC - $141.125 - ASE), is primarily a television
broadcaster. BHC owns and operates UPN affiliated TV stations in New York
(WWOR), Los Angeles (KCOP) and Portland (KPTV). BHC also owns 59% of United
Television (UTVI - $108.375 - Nasdaq), which operates an NBC affiliate, an ABC
affiliate and four UPN affiliates. United Television has purchased WHSW in
Baltimore for $80 million and has an agreement to purchase WRBW, a UPN affiliate
in Orlando, for approximately $60 million. Chris-Craft's television stations
constitute one of the nation's largest television station groups, reaching
approximately 22% of U.S. households. The Chris-Craft complex is debt free and
strongly positioned to expand its operations with roughly $1.6 billion in cash
and marketable securities.

DEERE & CO. (DE - $61.9375 - NYSE) is the world's largest manufacturer of farm
equipment. The company's products include tractors and planting, harvesting and
crop handling equipment. With the U.S. government no longer restricting
plantings, acreage under cultivation is likely to be increased by the nation's
farmers. With weather accommodating, bountiful harvests are likely and farm
incomes should show substantial increases. Global demand for U.S. wheat and
other crops further increases farm incomes. Long term prospects for farm
equipment manufacturers like Deere are attractive as global incomes, diets and
standards of living improve, notwithstanding recent financial turmoil in
Southeast Asia. Deere also makes industrial equipment used in the construction
and forestry industries and a

<PAGE>

range of consumer products, including lawn and garden tractors and outdoor power
equipment. Overseas sales account for roughly one-quarter of Deere's revenues.

NEIMAN MARCUS GROUP INC. (NMG - $41.0625 - NYSE) operates 30 high-fashion Neiman
Marcus stores nationally and two Bergdorf Goodman stores in New York City. Total
selling space approximates 4.6 million square feet. NMG's NM Direct is a
state-of-the-art direct marketing operation. Harcourt General (H - $55.375 -
NYSE) is the company's major shareholder, holding 53% of the outstanding common
equity. Neiman Marcus is positioned to be an important participant in the trend
to higher-scale consumer spending. QUAKER OATS CO. (OAT - $57.25 - NYSE) is a
food and beverage company, featuring Quaker Oats grain-based products and
Gatorade drinks. Quaker is the dominant producer of hot cereals, rice cakes and
golden grain products, while maintaining a profitable #4 position in
ready-to-eat cereals. Gatorade is a global brand with worldwide sales of
approximately $1.5 billion. Since 1984, its sales have grown at an annual
average rate exceeding 20%. In the U.S., Gatorade maintains a dominant market
share of over 80%, despite intense competition from Coca-Cola and PepsiCo. The
unprofitable Snapple Beverages unit has been sold to Triarc Co.

TELE-COMMUNICATIONS INC./LIBERTY MEDIA GROUP (LBTYA - $34.375 - NASDAQ) owns a
collection of interests in some of the most powerful programming entities in the
world. Liberty Media is the second largest investor in Time Warner, the world's
largest media company. Liberty Media, News Corp. and Tele-Communications
International Inc. have created a global sports joint venture, Fox Sports, that
offers an integrated package of sports programming across network broadcast,
national cable, and regional cable channels. Liberty's 49%-owned Discovery
Communications is a major advertiser-supported basic cable network that includes
the flagship Discovery Channel, The Learning Channel and developing businesses
such as Discovery Europe and Animal Planet. We consider Liberty Media to be
ideally positioned to benefit from expanding distribution channels, including
direct broadcast satellite ventures like DirecTV and the Internet.

TIME WARNER INC. (TWX - $72.00 - NYSE), having completed its acquisition of
Turner Broadcasting, is the global leader in media and entertainment. The
combined companies have more than $24 billion in revenues and almost $5.4
billion in EBITDA. Together they control a host of powerful media brands, such
as CNN, Warner Brothers, HBO, Cinemax and Time and People magazines. Under the
leadership of Chairman Gerald Levin and Vice Chairman Ted Turner, Time Warner is
now focused on reducing its almost $12 billion in debt and simplifying its
capital structure.

UNITED TELEVISION INC. (UTVI - $108.375 - NASDAQ) is a television broadcasting
company which owns and operates five television stations: one ABC, one NBC and
three UPN affiliates. UTVI has purchased WHSW in Baltimore for $80 million. The
purchase of WRBW, a UPN affiliate in Orlando, for

<PAGE>

approximately $60 million is pending. UTVI stations will cover approximately
eight percent of the U.S. population. UTVI is a 59%-owned subsidiary of BHC
Communications (BHC - $141.125 - ASE). Strong advertising demand, prospects for
favorable regulatory changes in the industry and corporate cost controls will
increase EBITDA growth going forward. Our 1998 PMV is estimated at $140 per
share, $34 of which is cash. UTVI's PMV is expected to reach $163 by the year
2000.

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.

THE ROTH IRA

The Taxpayer Relief Act of 1997 included new tax incentives and more
opportunities to save for retirement and other major expenditures. The Roth IRA
is just one of these new opportunities now available at Gabelli Funds. Our
investor representatives are available at 1-800-GABELLI (1-800-422-3554) to
speak with you about establishing a new Roth IRA and to discuss your investment
choices.

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 0.30% 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 the
prospectus 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, IRAs, 401(k)s, quarterly reports, closing prices and other
current news. You can send us e-mail at [email protected].

<PAGE>

SHAREHOLDER OMBUDSMAN

As part of our ongoing program to improve shareholder service, we created
the position of Shareholder Ombudsman and named Susan Lhota to this post. She
will provide you with important updates and field any of your questions or
comments. She can be reached directly, either by e-mail at [email protected] or
by telephone at (914) 921-5132.

IN CONCLUSION

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
business day for further information.

The Gabelli Asset Fund has enjoyed another solid quarter in another year in
which we will strive to achieve our long term goal of generating a real rate of
return in excess of ten percent. We are concerned about equity valuations, but
believe the portfolio is positioned in industries and companies that still offer
good fundamental value. We think the portfolio will continue to benefit from
ongoing merger and acquisition and restructuring activity. We thank you for your
loyalty and as always, pledge our best efforts on your behalf.

Sincerely,

/s/ Mario J. Gabelli, CFA

MARIO J. GABELLI, CFA
Portfolio Manager and
Chief Investment Officer
April 30, 1998

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TOP TEN HOLDINGS
MARCH 31, 1998

Time Warner Inc. United Television Inc.
American Express Co. Deere & Co.
TCI/Liberty Media Group Neiman Marcus Group Inc.
Cablevision Systems Corp. Quaker Oats Co.
Chris-Craft Industries Inc. Century Telephone Enterprises
------------------------------------------------------------------

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>

THE GABELLI ASSET FUND
PORTFOLIO OF INVESTMENTS -- MARCH 31, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS--88.4%
AEROSPACE--0.4%
85,000 Boeing Co. ........................... $ 4,430,625
20,000 Fairchild Corp., Cl. A................ 431,250
15,000 Northrop Grumman Corp. ............... 1,611,563
--------------
6,473,438
--------------
AGRICULTURE--0.4%
180,000 Archer-Daniels-Midland Co. ........... 3,948,750
50,000 Monsanto Co. ......................... 2,600,000
--------------
6,548,750
--------------
AUTOMOTIVE--0.6%
140,000 General Motors Corp. ................. 9,441,250
--------------
AUTOMOTIVE: PARTS AND ACCESSORIES--4.9%
15,000 Borg-Warner Automotive Inc. .......... 961,875
135,000 Echlin Inc. .......................... 7,079,063
153,400 Federal-Mogul Corp. .................. 8,158,963
600,000 GenCorp Inc. ......................... 18,450,000
240,000 Genuine Parts Co. .................... 9,150,000
170,000 Handy & Harman........................ 5,981,875
122,000 Johnson Controls Inc. ................ 7,403,875
220,000 Modine Manufacturing Co. ............. 7,645,000
46,062 Myers Industries Inc. ................ 961,544
155,000 Quaker State Corp. ................... 2,915,938
150,000 Standard Motor Products Inc. ......... 2,878,125
20,000 Superior Industries International
Inc. ................................ 663,750
100,000 TransPro Inc. ........................ 787,500
200,000 UAP Inc., Cl. A....................... 2,566,626
90,000 Wynn's International Inc. ............ 2,047,500
--------------
77,651,634
--------------
AVIATION: PARTS AND SERVICES--1.4%
10,000 BE Aerospace Inc.+.................... 281,250
360,000 Coltec Industries Inc.+............... 9,000,000
182,000 Curtiss-Wright Corp. ................. 7,052,500
60,000 Hi-Shear Industries Inc. ............. 168,750
40,000 Hudson General Corp. ................. 1,890,000
72,000 Precision Castparts Corp. ............ 4,261,500
--------------
22,654,000
--------------
BROADCASTING--4.8%
80,000 CBS Corp. ............................ 2,715,000
413,156 Chris-Craft Industries Inc. .......... 24,350,361
69,552 Chris-Craft Industries Inc.,
Cl. B(b)............................. 4,099,207
3,000 Gray Communications Systems Inc. ..... 87,000
120,000 Gray Communications Systems Inc.,
Cl. B................................ 3,480,000
190,000 Grupo Televisa SA, GDR+............... 6,958,750
100,000 Liberty Corp. ........................ 5,100,000
115,000 Paxson Communications Corp., Cl. A+... 1,279,375
400,000 Television Broadcasting Ltd., ORD..... 1,053,080
247,500 United Television Inc. ............... 26,822,813
--------------
75,945,586
--------------
BUILDING AND CONSTRUCTION--0.3%
165,300 Nortek Inc.+.......................... 5,289,600
4,333 Nortek Inc., Special Common+(b)....... 138,656
--------------
5,428,256
--------------
BUSINESS SERVICES--1.1%
25,000 Avis Rent A Car Inc.+................. 810,938
50,000 Berlitz International Inc., New+...... 1,353,125

<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
150,000 Computer Sciences Corp.+.............. $ 8,250,000
10,000 Dollar Thrifty Automotive Group
Inc.+................................ 225,000
100,000 Ecolab Inc. .......................... 2,900,000
16,546 Hach Co. ............................. 153,051
16,546 Hach Co., Cl. A....................... 138,573
17,000 Hertz Corp. .......................... 782,000
68,000 Landauer Inc. ........................ 1,836,000
72,000 Nashua Corp.+......................... 1,048,500
--------------
17,497,187
--------------
CABLE--5.1%
56,125 Cable Michigan Inc. .................. 1,431,188
436,000 Cablevision Systems Corp., Cl. A+..... 28,667,000
40,000 Comcast Corp., Cl. A.................. 1,387,500
40,000 Shaw Communications Inc., Cl. B....... 597,352
30,000 Shaw Communications Inc., Cl. B,
Conv. ............................... 447,288
640,000 TCI Ventures Group.................... 11,239,999
522,556 Tele-Communications Inc., Cl. A
New+................................. 16,248,227
65,000 United International Holdings Inc.,
Cl. A+............................... 1,088,750
550,000 US WEST Media Group+.................. 19,112,500
--------------
80,219,804
--------------
CLOSED-END FUNDS--0.1%
84,000 Royce Value Trust Inc. ............... 1,433,250
--------------
COMMUNICATIONS EQUIPMENT--0.5%
110,000 Allen Telecom Inc.+................... 1,732,500
47,000 Motorola Inc. ........................ 2,849,375
45,000 Northern Telecom Ltd. ................ 2,908,125
--------------
7,490,000
--------------
CONSUMER PRODUCTS--4.3%
10,000 Avon Products Inc. ................... 780,000
550,000 Carter-Wallace Inc. .................. 10,003,125
2,000 Christian Dior SA..................... 265,785
220,000 Church & Dwight Co. Inc. ............. 6,655,000
44,000 Department 56 Inc.+................... 1,672,000
30,000 Eastman Kodak Co. .................... 1,946,250
65,000 First Brands Corp. ................... 1,620,938
260,000 Fortune Brands Inc. .................. 10,367,500
230,000 Gallaher Group plc, ADR+.............. 4,973,750
93,356 General Cigar Holdings Inc., Cl. B+... 1,429,514
45,000 Gillette Co. ......................... 5,340,938
40,000 Harley Davidson Inc. ................. 1,320,000
12,000 National Presto Industries Inc. ...... 516,750
45,000 Nine West Group Inc. ................. 1,108,125
170,000 Ralston Purina Group.................. 18,020,000
41,700 Syratech Corp.+....................... 1,480,350
--------------
67,500,025
--------------
CONSUMER SERVICES--1.1%
100,000 Loewen Group Inc. .................... 2,525,000
50,000 Midas Inc.+........................... 1,031,250
5,000 Republic Industries Inc.+............. 129,063
12,000 Response USA Inc.+.................... 69,750
220,000 Rollins Inc. ......................... 4,592,500
305,000 Ticketmaster Group Inc.+.............. 9,188,125
--------------
17,535,688
--------------
DIVERSIFIED INDUSTRIAL--3.7%
10,000 Anixter International Inc.+........... 184,375
212,000 Crane Co. ............................ 11,236,000
100,000 GATX Corp. ........................... 7,800,000
</TABLE>

<PAGE>
THE GABELLI ASSET FUND
PORTFOLIO OF INVESTMENTS (CONTINUED) -- MARCH 31, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
DIVERSIFIED INDUSTRIAL (CONTINUED)
22,000 General Electric Co. ................. $ 1,896,125
118,000 Honeywell Inc. ....................... 9,757,125
195,000 ITT Industries Inc. .................. 7,422,188
145,000 Katy Industries Inc. ................. 2,755,000
6,500 Kyocera Corp., ADR.................... 697,125
350,000 Lamson & Sessions Co.+................ 2,318,750
210,000 Lawter International Inc. ............ 2,336,250
68,000 National Service Industries Inc. ..... 3,999,250
2,000 Pentair Inc. ......................... 89,500
125,000 Thomas Industries Inc. ............... 2,781,250
80,000 Trinity Industries Inc. .............. 4,390,000
--------------
57,662,938
--------------
ELECTRONICS--0.1%
3,000 Hitachi Ltd., ADR..................... 220,500
10,000 Imation Corp.+........................ 185,000
10,000 Sony Corp., ADR....................... 850,625
--------------
1,256,125
--------------
ENERGY--3.5%
100,000 Atlantic Richfield Co. ............... 7,862,500
5,000 Barrett Resources Corp. .............. 174,688
50,000 British Petroleum Co. plc, ADR........ 4,303,125
25,000 Brown (Tom) Inc. ..................... 559,375
30,000 Chevron Corp. ........................ 2,409,375
150,000 Eastern Enterprises................... 6,450,000
60,000 Enron Oil & Gas Co. .................. 1,376,250
180,000 Exxon Corp. .......................... 12,172,500
40,000 Halliburton Co. ...................... 2,007,500
133,000 Pennzoil Co. ......................... 8,595,125
320,000 Southwest Gas Corp. .................. 6,680,000
55,000 Texaco Inc. .......................... 3,313,750
--------------
55,904,188
--------------
ENTERTAINMENT--9.0%
230,000 Ascent Entertainment Group Inc. ...... 2,371,875
135,000 BET Holdings Inc., Cl. A+............. 8,251,875
19,406 EMI Group plc, ORD.................... 161,130
100,000 EMI Group plc, Sponsored ADR.......... 1,700,000
125,000 GC Companies Inc.+.................... 6,539,063
130,000 Havas, Sponsored ADR.................. 2,713,750
20,000 PolyGram NV........................... 927,500
862,500 Tele-Communications Inc./Liberty
Media Group, Cl. A+.................. 29,648,438
615,000 Time Warner Inc. ..................... 44,280,000
11,000 Todd-AO Corp., Cl. A.................. 116,188
560,000 USA Networks Inc.+.................... 15,260,000
360,000 Viacom Inc., Cl. A+................... 19,125,000
200,000 Viacom Inc., Cl. B+................... 10,750,000
--------------
141,844,819
--------------
EQUIPMENT AND SUPPLIES--11.2%
45,000 Aeroquip-Vickers Inc. ................ 2,601,563
300,000 AMETEK Inc. .......................... 8,981,250
100,000 AMP Inc. ............................. 4,381,250
92,000 Amphenol Corp., Cl. A+................ 5,307,250
25,000 AptarGroup Inc. ...................... 1,501,563
95,000 Caterpillar Inc. ..................... 5,230,938
70,000 CLARCOR Inc. ......................... 2,327,500

<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
290,000 CTS Corp. ............................ $ 9,841,875
34,650 Culligan Water Technologies Inc.+..... 2,063,841
410,000 Deere & Co. .......................... 25,394,375
230,000 Donaldson Co. Inc. ................... 5,922,500
40,000 EG&G Inc. ............................ 1,162,500
10,000 Fedders Corp. ........................ 57,500
10,000 Flowserve Corp. ...................... 326,250
166,300 Gerber Scientific Inc. ............... 4,334,194
310,000 Hussmann International Inc. .......... 5,812,500
445,000 IDEX Corp. ........................... 16,186,875
100,000 Ingersoll-Rand Co. ................... 4,793,750
200,000 Kollmorgen Corp. ..................... 4,350,000
90,000 Lufkin Industries Inc. ............... 2,925,000
45,000 Manitowoc Co. Inc. ................... 1,738,125
155,000 Mark IV Industries Inc. .............. 3,526,250
5,000 Met-Pro Corp. ........................ 77,813
370,000 Navistar International Corp.+......... 12,950,000
20,000 PACCAR Inc. .......................... 1,191,250
145,500 Pittway Corp. ........................ 10,185,000
160,000 Pittway Corp., Cl. A.................. 11,520,000
61,000 Sequa Corp., Cl. A+................... 4,510,188
95,000 Sequa Corp., Cl. B+................... 7,493,125
170,000 SPS Technologies Inc.+................ 9,105,625
30,000 Valmont Industries Inc. .............. 727,500
--------------
176,527,350
--------------
FINANCIAL SERVICES--6.1%
300 Alleghany Corp.+...................... 102,000
1 Al-Zar Ltd.+(b)....................... 350
330,000 American Express Co. ................. 30,298,125
10,000 Argonaut Group Inc. .................. 361,250
220 Berkshire Hathaway Inc.+.............. 14,784,000
125,000 Block (H&R) Inc. ..................... 5,945,313
70,000 Commerzbank AG, Sponsored ADR......... 2,546,250
150,000 Deutsche Bank AG, Sponsored ADR....... 11,381,250
200,000 Lehman Brothers Holdings Inc. ........ 14,975,000
3,000 Leucadia National Corp. .............. 118,125
2,000 Mellon Bank Corp. .................... 127,000
86,000 Midland Co. .......................... 6,788,625
50,000 Paine Webber Group Inc. .............. 2,006,250
43,000 State Street Corp. ................... 2,926,688
20,000 SunTrust Banks Inc. .................. 1,507,500
11,941 Transamerica Corp. ................... 1,391,127
8,000 Value Line Inc. ...................... 343,000
--------------
95,601,853
--------------
FOOD AND BEVERAGE--6.3%
25,000 Bestfoods Inc. ....................... 2,921,875
76,300 Brown-Forman Corp., Cl. A............. 3,967,600
90,000 Chock Full o'Nuts Corp.+.............. 697,500
45,000 Coca-Cola Co. ........................ 3,484,688
13,250 Corn Products International Inc.+..... 475,344
4,500 Farmer Brothers Co. .................. 832,500
75,000 General Mills Inc. ................... 5,700,000
60,000 Heinz (H.J.) Co. ..................... 3,502,500
48,000 Hershey Foods Corp. .................. 3,438,000
1,000 Keebler Foods Co.+.................... 30,000
180,000 Kellogg Co. .......................... 7,762,500
30,000 LVHM Moet Hennessy Louis Vuitton,
Sponsored ADR........................ 1,275,000
205,000 PepsiCo Inc. ......................... 8,750,938
</TABLE>

<PAGE>
THE GABELLI ASSET FUND
PORTFOLIO OF INVESTMENTS (CONTINUED) -- MARCH 31, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS (CONTINUED)

FOOD AND BEVERAGE (CONTINUED)
390,000 Quaker Oats Co. ...................... $ 22,327,500
20,000 Ralcorp Holdings Inc.+................ 415,000
300,000 Seagram Co. Ltd. ..................... 11,456,250
64,801 Tootsie Roll Industries Inc. ......... 4,645,451
1,000 Vlasic Foods International Inc.+...... 25,563
550,000 Whitman Corp. ........................ 10,862,500
80,000 Wrigley (Wm.) Jr. Co. ................ 6,540,000
--------------
99,110,709
--------------
HEALTH CARE--2.1%
12,000 Amgen Inc. ........................... 730,500
18,000 Biogen Inc.+.......................... 867,375
40,000 Chiron Corp.+......................... 837,500
100,000 Genentech Inc.+....................... 7,043,750
5,000 Glaxo Wellcome plc.................... 270,625
25,000 IVAX Corp. ........................... 218,750
68,000 Johnson & Johnson..................... 4,985,250
55,000 Merck & Co. Inc. ..................... 7,060,625
105,000 Pfizer Inc. .......................... 10,467,188
12,500 SmithKline Beecham plc................ 782,031
--------------
33,263,594
--------------
HOTELS AND GAMING--1.9%
130,000 Circus Circus Enterprises Inc.+....... 2,730,000
152,000 Gaylord Entertainment Co., Cl. A...... 5,434,000
30,000 GTECH Holdings Corp.+................. 1,166,250
12,000 Harrah's Entertainment Inc.+.......... 294,750
285,000 Hilton Hotels Corp. .................. 9,084,375
203,389 Ladbroke Group plc.................... 1,138,031
185,000 Mirage Resorts Inc.+.................. 4,497,813
100,000 Starwood Hotels & Resorts Worldwide
Inc. ................................ 5,343,750
10,000 Trump Hotels & Casino Resorts Inc.+... 91,875
--------------
29,780,844
--------------
METALS AND MINING--0.2%
30,000 Barrick Gold Corp. ................... 648,750
100,000 Echo Bay Mines Ltd. .................. 231,250
45,000 Homestake Mining Co. ................. 489,375
33,000 Newmont Gold Co. ..................... 1,033,313
545,000 Pegasus Gold Inc.+.................... 227,793
22,500 Placer Dome Inc. ..................... 296,719
300,000 Royal Oak Mines Inc.+................. 356,250
20,000 TVX Gold Inc.+........................ 65,000
--------------
3,348,450
--------------
PAPER AND FOREST PRODUCTS--1.1%
180,000 Greif Bros. Corp., Cl. A.............. 6,975,000
312,000 St. Joe Corp. ........................ 10,491,000
--------------
17,466,000
--------------
PUBLISHING--2.7%
70,000 American Media Inc., Cl. A+........... 551,250
60,000 Dow Jones & Co. Inc. ................. 3,176,250
225,000 Golden Books Family Entertainment
Inc.+................................ 2,587,500
38,000 Harcourt General Inc. ................ 2,104,250
50,000 McClatchy Newspapers Inc., Cl. A...... 1,490,625
75,000 McGraw-Hill Companies Inc. ........... 5,704,688
327,000 Media General Inc., Cl. A............. 16,084,313
90,000 Meredith Corp. ....................... 3,791,250

<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
71,000 New York Times Co., Cl. A............. $ 4,970,000
15,000 News Corp. Ltd., ADR.................. 404,063
6,000 Scripps (E.W.) Co., Cl. A............. 331,875
1,650,000 Seat SpA+............................. 960,559
--------------
42,156,623
--------------
REAL ESTATE--0.6%
360,000 Catellus Development Corp.+........... 6,682,500
12,000 Florida East Coast Industries Inc. ... 1,333,500
61,000 Griffin Land & Nurseries Inc.+........ 915,000
1,000 Lennar Corp. ......................... 34,438
1,000 LNR Property Corp. ................... 26,750
--------------
8,992,188
--------------
RETAIL--2.7%
30,000 Albertson's Inc. ..................... 1,578,750
41,000 Aaron Rents Inc. ..................... 996,813
20,000 Aaron Rents Inc., Cl. A............... 448,750
190,000 Burlington Coat Factory Warehouse
Corp.+............................... 3,301,250
1,000 Coldwater Creek Inc.+................. 24,250
5,000 Dominick's Supermarkets Inc. ......... 227,500
50,000 Fingerhut Companies Inc. ............. 1,296,875
100,000 Giant Food Inc., Cl. A................ 3,862,500
75,000 Kroger Co.+........................... 3,464,063
150,000 Lillian Vernon Corp. ................. 2,615,625
575,000 Neiman Marcus Group Inc.+............. 23,610,938
200,000 Scheib (Earl) Inc.+................... 1,725,000
--------------
43,152,314
--------------
SPECIALTY CHEMICAL--0.7%
375,000 Ferro Corp. .......................... 11,015,625
--------------
TELECOMMUNICATIONS--7.1%
110,000 Aliant Communications Inc. ........... 3,740,000
160,000 AT&T Corp. ........................... 10,500,000
80,000 BC Telecom Inc. ...................... 3,109,291
200,000 BCE Inc. ............................. 8,350,000
18,000 BellSouth Corp. ...................... 1,216,125
130,000 Cable & Wireless plc, Sponsored ADR... 4,907,500
162,538 Citizens Utilities Co., Cl. B......... 1,716,805
113,000 Commonwealth Telephone Enterprises
Inc.+................................ 3,178,125
31,000 Commonwealth Telephone Enterprises
Inc., Cl. B+......................... 856,375
65,000 Frontier Corp. ....................... 2,116,563
50,000 Globalstar Telecommunications+........ 3,168,750
157,000 GTE Corp. ............................ 9,400,375
35,000 Hong Kong Telecommunications Ltd.,
Sponsored ADR........................ 732,813
212,000 RCN Corp. ............................ 10,626,500
200,000 Rogers Communications Inc., Cl. B+.... 1,161,123
16,000 SBC Communications Inc. .............. 698,000
180,000 Southern New England
Telecommunications Corp. ............ 13,016,250
105,000 Sprint Corp. ......................... 7,107,188
133,000 Telecom Italia SpA, ADS............... 10,565,188
500,000 Telecom Italia SpA, ORD............... 3,937,234
67,500 Telecomunicacoes Brasileiras SA
(Telebras), Sponsored ADR............ 8,762,344
14,000 Telefonica de Espana, Sponsored ADR... 1,851,500
10,000 Telefonos de Mexico SA, Cl. L, ADR.... 563,750
--------------
111,281,799
--------------
</TABLE>

<PAGE>
THE GABELLI ASSET FUND
PORTFOLIO OF INVESTMENTS (CONTINUED) -- MARCH 31, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------

<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS (CONTINUED)

TRANSPORTATION--0.8%
75,000 AMR Corp.+............................ $ 10,739,063
1,000 Burlington Northern Santa Fe Corp. ... 104,000
12,000 CSX Corp. ............................ 714,000
1,571 Illinois Central Corp. ............... 61,760
10,000 Kansas City Southern Industries
Inc. ................................ 440,000
500 Norfolk Southern Corp. ............... 18,688
1,000 Providence & Worcester Railroad
Co. ................................. 15,625
1,000 RailAmerica Inc.+..................... 6,688
3,000 Union Pacific Corp. .................. 168,563
1,000 Wisconsin Central Transportation
Corp.+............................... 28,156
--------------
12,296,543
--------------
WIRELESS COMMUNICATIONS--3.6%
35,000 AirTouch Communications Inc.+......... 1,712,813
45,000 Associated Group Inc., Cl. A+......... 1,732,500
37,000 Associated Group Inc., Cl. B+......... 1,359,750
345,000 Century Telephone Enterprises Inc. ... 21,088,125
200,000 COMSAT Corp. ......................... 6,887,500
55,000 NEXTEL Communications Inc., Cl. A+.... 1,856,250
10,000 Rogers Cantel Mobile Communications
Inc.+................................ 113,750
150,000 TCI Satellite Entertainment Inc., Cl.
A+................................... 1,068,750
1,900,000 Telecom Italia Mobile SpA............. 10,201,727
154,000 Telephone and Data Systems Inc. ...... 7,315,000
106,200 360 degrees Communications Co.+....... 3,318,750
--------------
56,654,915
--------------
TOTAL COMMON STOCKS................................ 1,393,135,745
--------------
PREFERRED STOCKS--0.3%
EQUIPMENT AND SUPPLIES--0.1%
19,000 Sequa Corp., $5.00, Cumulative Conv.
Pfd. ................................ 1,947,500
--------------
METALS AND MINING--0.0%
10,000 Freeport-McMoRan Inc., Depository
Shares, 7.00%, Cumulative Conv.
Pfd. ................................ 228,125
--------------

<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
TELECOMMUNICATIONS--0.2%
35,000 Sprint Corp., 8.25%, Conv. Pfd. ...... $ 2,244,375
1,588,267 Telecomunicacoes de Sao Paulo SA
(Telesp), Preference Shares.......... 515,453
--------------
2,759,828
--------------
TOTAL PREFERRED STOCKS............................. 4,935,453
--------------

<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ------
<S> <C> <C> <C>
CORPORATE BONDS--0.1%
ENTERTAINMENT--0.1%
$ 2,300,000 Viacom Inc., Sub. Deb., 8.00% due
07/07/06.......................... $ 2,351,750
--------------
U.S. TREASURY BILLS--10.0%
157,638,000 5.18% to 5.49%++ due
04/02/98-05/28/98.......... 157,239,958
--------------
TOTAL INVESTMENTS
(Cost $810,620,801)(a).................... 98.8% 1,557,662,906
OTHER ASSETS AND LIABILITIES (NET)......... 1.2 18,292,214
----- --------------
NET ASSETS
(43,772,331 shares outstanding)........... 100.0% $1,575,955,120
===== ==============
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE........................... $36.00
=====
</TABLE>

<TABLE>
<CAPTION>
EXPIRATION NET UNREALIZED
DATE DEPRECIATION
---------- --------------
<S> <C> <C> <C>
FORWARD FOREIGN EXCHANGE CONTRACTS
14,100,100 Hong Kong Dollars in
exchange for USD
1,793,665................ 08/26/98 $(14,358)
-------
</TABLE>

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

(a) For Federal tax purposes:

<TABLE>
<S> <C>
Aggregate cost......................... $811,659,516
============
Gross unrealized appreciation.......... $754,295,833
Gross unrealized depreciation.......... (8,292,443)
------------
Net unrealized appreciation............ $746,003,390
============
</TABLE>

(b) Security fair valued by the Board of Trustees.
+ Non-income producing security
++ Represents annualized yield at date of purchase.
ADR -- American Depositary Receipt ADS -- American Depositary
Share GDR -- Global Depositary Receipt ORD -- Ordinary Share

<PAGE>
<TABLE>
<S> <C>
THE GABELLI ASSET FUND [PICTURE]
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 Vice President Certified Public Accountant THE
Dollar Dry Dock Savings Bank Professor, Pace University

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

James P. Conn Salvatore J. Zizza
Chief Investment Officer Executive Vice President FUND
Financial Security Assurance FMG Group
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
LLP

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This report is submitted for the general information of the
shareholders of The Gabelli Asset Fund. It is not authorized FIRST QUARTER REPORT
for distribution to prospective investors unless preceded or MARCH 31, 1998
accompanied by an effective prospectus.
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