Gabelli SRI Fund NCSRS Certified semi-annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number 811-22026

The Gabelli ESG Fund, Inc.

(Exact name of registrant as specified in charter)

One Corporate Center

Rye, New York 10580-1422

(Address of principal executive offices) (Zip code)

Bruce N. Alpert

Gabelli Funds, LLC

One Corporate Center

Rye, New York 10580-1422

(Name and address of agent for service)

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

Date of fiscal year end: March 31

Date of reporting period: September 30, 2020

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Item 1. Reports to Stockholders.

The Report to Shareholders is attached herewith.

Gabelli ESG Fund, Inc.

Semiannual Report — September 30, 2020

Your Portfolio Management Team

LOGO

Christopher C. Desmarais

LOGO

Christopher J. Marangi

LOGO

Kevin V. Dreyer

LOGO

Ian Lapey

LOGO

Melody Prenner Bryant

To Our Shareholders,

For the six months ended September 30, 2020, the net asset value (NAV) per Class AAA Share of the Gabelli ESG Fund an increased 25.3% compared with an increase of 31.3% for the Standard & Poor’s (S&P) 500 Index. Other classes of shares are available. See below for performance information for all classes of shares.

Enclosed are the financial statements, including the schedule of investments, as of September 30, 2020.

Comparative Results


Average Annual Returns through September 30, 2020 (a)(b) (Unaudited)
	Six Months	1 Year	3 Year	5 Year	10 Year	Since Inception (6/01/07)
Class AAA (ESGGX)	25.26%	2.12%	1.75%	5.66%	6.60%	5.32%
S&P 500 Index	31.31	15.15	12.28	14.15	13.74	8.31
Class A (ESGHX)	25.29	2.20	1.75	5.67	6.61	5.33
With sales charge (c)	18.08	(3.68)	0.24	4.42	5.98	4.87
Class C (ESGJX)	25.32	2.08	1.21	5.01	5.87	4.60
With contingent deferred sales charge (d)	24.32	1.08	1.21	5.01	5.87	4.60
Class I (ESGKX)	25.33	2.17	1.94	5.88	6.84	5.57
In the current prospectuses dated July 29, 2020, the gross expense ratios for Class AAA, A, C, and I are 1.94%, 1.94%, 2.69%, and 1.69%, respectively, and the net expense ratio for all share classes after contractual reimbursements by Gabelli Funds, LLC, (the Adviser) is 0.92%. See page 8 for the expense ratios for the six months ended September 30, 2020. The contractual reimbursements are in effect through July 31, 2021. Class AAA and I Shares do not have a sales charge. The maximum sales charge for Class A Shares and Class C Shares is 5.75% and 1.00%, respectively. (a) Returns represent past performance and do not guarantee future results. Total returns and average annual returns reflect changes in share price, reinvestment of distributions, and are net of expenses. Investment returns and the principal value of an investment will fluctuate. When shares are redeemed, they may be worth more or less than their original cost. Current performance may be lower or higher than the performance data presented. Visit www.gabelli.com for performance information as of the most recent month end. Returns would have been lower had Gabelli Funds, LLC, the Adviser, not reimbursed certain expenses of the Fund. The Fund imposes a 2% redemption fee on shares sold or exchanged within seven days of purchase. Performance returns for periods of less than one year are not annualized. Investors should carefully consider the investment objectives, risks, charges, and expenses of the Fund before investing. The prospectuses contain information about these and other matters and should be read carefully before investing. To obtain a prospectus, please visit our website at www.gabelli.com. The S&P 500 Index is a market capitalization weighted index of 500 large capitalization stocks commonly used to represent the U.S. equity market. Dividends are considered reinvested. You cannot invest directly in an index. (b) The Fund’s fiscal year ends March 31. (c) Performance results include the effect of the maximum 5.75% sales charge at the beginning of the period. (d) Assuming payment of the 1% maximum contingent deferred sales charge imposed on redemptions made within one year of purchase.

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semiannual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (https://gabelli.com/), and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. To elect to receive all future reports on paper free of charge, please contact your financial intermediary, or, if you invest directly with the Fund, you may call 800-422-3554 or send an email request to info@gabelli.com.


Gabelli ESG Fund, Inc.
Disclosure of Fund Expenses (Unaudited)
For the Six Month Period from April 1, 2020 through September 30, 2020		Expense Table

We believe it is important for you to understand the impact of fees and expenses regarding your investment. All mutual funds have operating expenses. As a shareholder of a fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of a fund. When a fund’s expenses are expressed as a percentage of its average net assets, this figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your Fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.

The Expense Table below illustrates your Fund’s costs in two ways:

Actual Fund Return: This section provides information about actual account values and actual expenses. You may use this section to help you to estimate the actual expenses that you paid over the period after any fee waivers and expense reimbursements. The “Ending Account Value” shown is derived from the Fund’s actual return during the past six months, and the “Expenses Paid During Period” shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period.

To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000

= 8.6), then multiply the result by the number given for your Fund under the heading “Expenses Paid During Period” to estimate the expenses you paid during this period.

Hypothetical 5% Return: This section provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio. It assumes a hypothetical annualized return of 5% before expenses during the period shown. In this case – because the hypothetical return used is not the Fund’s actual return – the results do not apply to your investment and you cannot use the hypothetical account value and expense to estimate the actual ending account balance or expenses you paid for the period. This example is useful in making comparisons of the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs such as sales charges (loads), redemption fees, or exchange fees, if any, which are described in the Prospectus. If these costs were applied to your account, your costs would be higher. Therefore, the 5% hypothetical return is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.


	Beginning Account Value 04/01/20		Ending Account Value 09/30/20		Annualized Expense Ratio			Expenses Paid During Period*
Gabelli ESG Fund, Inc.
Actual Fund Return
Class AAA	$	1,000.00	$	1,252.60		0.90	%	$	5.08
Class A	$	1,000.00	$	1,252.90		0.90	%	$	5.08
Class C	$	1,000.00	$	1,253.20		0.90	%	$	5.08
Class I	$	1,000.00	$	1,253.30		0.90	%	$	5.08
Hypothetical 5% Return
Class AAA	$	1,000.00	$	1,020.56		0.90	%	$	4.56
Class A	$	1,000.00	$	1,020.56		0.90	%	$	4.56
Class C	$	1,000.00	$	1,020.56		0.90	%	$	4.56
Class I	$	1,000.00	$	1,020.56		0.90	%	$	4.56

*	Expenses are equal to the Fund’s annualized expense ratio for the last six months multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half year (183 days), then divided by 365.

Summary of Portfolio Holdings (Unaudited)

The following table presents portfolio holdings as a percent of net assets as of September 30, 2020:


Gabelli ESG Fund, Inc.
Financial Services	19.7	%
Health Care.	12.4	%
Food	12.3	%
Computer Software and Services	7.2	%
Machinery	7.2	%
Equipment and Supplies	4.8	%
Energy and Utilities	4.4	%
Beverage	3.9	%
Consumer Products	3.8	%
Environmental Services	3.3	%
Telecommunications	2.6	%
Cable and Satellite	2.4	%
Entertainment	2.2	%
Business Services	2.1	%
Broadcasting	1.7	%


Diversified Industrial	1.7	%
Specialty Chemicals	1.6	%
Retail	1.5	%
Automotive	1.3	%
Computer Hardware	1.0	%
Building and Construction	0.6	%
U.S. Treasury Bills	0.7	%
Semiconductors	0.4	%
Consumer Services	0.3	%
Automotive: Parts and Accessories .	0.2	%
Airlines	0.1	%
Other Assets and Liabilities (Net)	0.6	%

	100.0	%

The Fund files a complete schedule of portfolio holdings with the Securities and Exchange Commission (the SEC) for the first and third quarters of each fiscal year on Form N-PORT. Shareholders may obtain this information at www.gabelli.com or by calling the Fund at 800-GABELLI (800-422-3554). The Fund’s Form N-PORT is available on the SEC’s website at www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

Proxy Voting

The Fund files Form N-PX with its complete proxy voting record for the twelve months ended June 30, no later than August 31 of each year. A description of the Fund’s proxy voting policies, procedures, and how the Fund voted proxies relating to portfolio securities is available without charge, upon request, by (i) calling 800-GABELLI (800-422-3554); (ii) writing to The Gabelli Funds at One Corporate Center, Rye, NY 10580-1422; or (iii) visiting the SEC’s website at www.sec.gov.

Gabelli ESG Fund, Inc.

Schedule of Investments (Continued) — September 30, 2020 (Unaudited)


					Market
Shares			Cost		Value
		COMMON STOCKS — 98.7%
		Airlines — 0.1%
	1,200	Delta Air Lines Inc	$	64,809	$	36,696


		Automotive — 1.3%
	3,500	Daimler AG		197,016		188,909
	1,900	Toyota Motor Corp., ADR		226,053		251,636

				423,069		440,545


		Automotive: Parts and Accessories — 0.2%
	2,700	Gentex Corp		73,433		69,525


		Beverage — 3.9%
	16,200	Danone SA		1,132,834		1,048,837
	4,600	The Coca-Cola Co		218,407		227,102

				1,351,241		1,275,939


		Broadcasting — 1.7%
	2,000	Liberty Broadband Corp., Cl. C†		80,778		285,740
	8,160	Liberty Media Corp.-
		Liberty SiriusXM, Cl. C†		194,968		269,933

				275,746		555,673


		Building and Construction — 0.6%
	700	Cavco Industries Inc.†		117,335		126,217
	2,000	Johnson Controls
		International plc		52,865		81,700

				170,200		207,917


		Business Services — 2.1%
	7,000	Macquarie Infrastructure Corp		226,870		188,230
	13,000	ServiceMaster Global Holdings
		Inc.†		382,662		518,440

				609,532		706,670


		Cable and Satellite — 2.4%
	15,100	Comcast Corp., Cl. A		294,571		698,526
	3,500	EchoStar Corp., Cl. A†		112,846		87,115

				407,417		785,641

		Computer Hardware — 1.0%
	2,750	International Business Machines
		Corp		376,692		334,593



		Computer Software and Services — 7.2%
	800	Alphabet Inc., Cl. A†		889,084		1,172,480
	4,200	Cisco Systems Inc		189,244		165,438
	3,850	Dell Technologies Inc., Cl. C†		212,579		260,607
	10,000	Hewlett Packard Enterprise Co		130,822		93,700
	7,500	Intel Corp		402,360		388,350
	1,370	Microsoft Corp		169,562		288,152

				1,993,651		2,368,727


		Consumer Products — 3.8%
	3,000	Energizer Holdings Inc		88,717		117,420


					Market
Shares			Cost		Value
	14,950	Sony Corp., ADR	$	349,202	$	1,147,413

				437,919		1,264,833


		Consumer Services — 0.3%
	8,000	Resideo Technologies Inc.†		74,119		88,000


		Diversified Industrial — 1.7%
	6,050	ABB Ltd., ADR		137,466		153,973
	2,150	Agilent Technologies Inc		158,010		217,021
	1,000	Union Pacific Corp		165,041		196,870

				460,517		567,864


		Energy and Utilities — 4.4%
	5,100	NextEra Energy Inc		794,067		1,415,556
	5,000	PG&E Corp.†		46,200		46,950

				840,267		1,462,506

		Entertainment — 2.2%
	3,700	The Walt Disney Co		420,882		459,096
	10,000	Vivendi SA		217,738		279,045

				638,620		738,141


		Environmental Services — 3.3%
	25,000	BioHiTech Global Inc.†		47,514		36,250
	35,000	Evoqua Water Technologies Corp.†		502,719		742,700
	3,000	Waste Connections Inc		87,896		311,400

				638,129		1,090,350


		Equipment and Supplies — 4.8%
	20,000	Mueller Water Products Inc., Cl. A		66,201		207,800
	790	Parker-Hannifin Corp		112,609		159,848
	5,000	Ranpak Holdings Corp.†		39,983		47,600
	11,500	Watts Water Technologies Inc., Cl. A.		394,235		1,151,725

				613,028		1,566,973
					��

		Financial Services — 19.7%
	106,430	Aegon NV		534,545		277,022
	13,300	Ally Financial Inc		359,895		333,431
	5,000	American Express Co		440,849		501,250
	69,000	Commerzbank AG†		535,142		339,212
	32,500	Credit Agricole SA†		401,106		284,719
	57,000	Daiwa Securities Group Inc		281,912		238,182
	3,034	Diamond Hill Investment Group Inc		422,561		383,255
	15,900	Franklin Resources Inc		509,622		323,565
	13,500	ING Groep NV†		103,158		95,871
	16,200	Janus Henderson Group plc		358,445		351,864
	12,500	Kinnevik AB, Cl. B		376,804		508,955
	12,416	NN Group NV		524,204		466,559
	6,100	PayPal Holdings Inc.†		194,721		1,201,883
	10,044	Societe Generale SA†		300,989		133,282
	68,000	Standard Chartered plc†		555,586		312,457
	3,250	State Street Corp		177,142		192,823
	11,900	The Bank of New York Mellon Corp		616,540		408,646

See accompanying notes to financial statements.

Gabelli ESG Fund, Inc.

Schedule of Investments (Continued) — September 30, 2020 (Unaudited)


					Market
Shares			Cost		Value
		COMMON STOCKS (Continued)
		Financial Services (Continued)
	1,420	The PNC Financial Services Group
		Inc	$	162,550	$	156,072

				6,855,771		6,509,048


		Food — 12.3%
	37,200	Conagra Brands Inc		888,165		1,328,412
	11,000	Mondele¯z International Inc., Cl. A		313,644		631,950
	9,900	Nestlé SA.		561,695		1,175,252
	12,300	The Hain Celestial Group Inc.†		274,413		421,890
	7,900	Unilever plc, ADR		250,853		487,272

				2,288,770		4,044,776


		Health Care — 12.4%
	3,250	Baxter International Inc		256,914		261,365
	600	Becton, Dickinson and Co		141,536		139,608
	17,000	Bristol Myers Squibb Co		840,926		1,024,930
	1,300	Cigna Corp		213,983		220,233
	4,500	Gilead Sciences Inc		299,747		284,355
	2,775	GlaxoSmithKline plc, ADR		114,587		104,451
	1,350	HCA Healthcare Inc		143,470		168,318
	9,000	Henry Schein Inc.†		533,311		529,020
	4,700	Medtronic plc.		436,644		488,424
	8,100	Takeda Pharmaceutical Co. Ltd.,
		ADR		166,010		144,504
	4,300	Zoetis Inc		211,144		711,091

				3,358,272		4,076,299


		Machinery — 7.2%
	700	Caterpillar Inc		104,054		104,405
	108,500	CNH Industrial NV†		1,073,595		848,470
	17,000	Xylem Inc		410,404		1,430,040

				1,588,053		2,382,915


		Retail — 1.5%
	2,100	Lowe’s Companies Inc		211,010		348,306


					Market
Shares			Cost		Value
	2,600	The TJX Companies Inc	$	129,281	$	144,690

				340,291		492,996


		Semiconductors — 0.4%
	215	NVIDIA Corp		38,375		116,362

		Specialty Chemicals — 1.6%
	4,300	International Flavors & Fragrances
		Inc		524,887		526,535


		Telecommunications — 2.6%
	7,700	AT&T Inc		251,520		219,527
	11,000	Loral Space & Communications Inc		386,223		201,300
	6,400	SoftBank Group Corp., ADR		144,047		196,864
	18,700	Vodafone Group plc, ADR		378,919		250,954

				1,160,709		868,645

		TOTAL COMMON STOCKS		25,603,517		32,578,169


Principal
Amount
		U.S. GOVERNMENT OBLIGATIONS — 0.7%
	$ 210,000	U.S. Treasury Bill,
		0.097%††,
		12/10/20		209,961		209,965

		TOTAL INVESTMENTS — 99.4%	$	25,813,478		32,788,134

		Other Assets and Liabilities (Net) — 0.6%				210,697

		NET ASSETS — 100.0%			$	32,998,831

†	Non-income producing security.

††	Represents annualized yield at date of purchase.

ADR	American Depositary Receipt

See accompanying notes to financial statements.

Gabelli ESG Fund, Inc.

Statement of Assets and Liabilities

September 30, 2020 (Unaudited)


Assets:
Investments, at value (cost $25,813,478)	$	32,788,134
Receivable for investments sold		228,599
Receivable for Fund shares sold		1,803
Receivable from Adviser		27,569
Dividends receivable		117,287
Prepaid expenses		24,676

Total Assets		33,188,068

Liabilities:
Payable to custodian		33,064
Payable for Fund shares redeemed		23,649
Payable for investments purchased		10,917
Payable for investment advisory fees		27,536
Payable for distribution fees		6,962
Payable for payroll expenses		893
Payable for shareholder communications expenses		47,607
Payable for legal and audit fees		23,227
Other accrued expenses		15,382

Total Liabilities		189,237

Net Assets (applicable to 2,539,643 shares outstanding)	$	32,998,831

Net Assets Consist of:
Paid-in capital	$	23,255,073
Total distributable earnings		9,743,758

Net Assets.	$	32,998,831

Shares of Capital Stock, each at $0.001 par value; 500,000,000 shares authorized:
Class AAA:
Net Asset Value, offering, and redemption price per share ($8,983,403 ÷ 688,867 shares outstanding)	$	13.04

Class A:
Net Asset Value and redemption price per share ($8,738,471 ÷ 670,763 shares outstanding)	$	13.03

Maximum offering price per share (NAV ÷ 0.9425, based on maximum sales charge of 5.75% of the offering price)	$	13.82

Class C:
Net Asset Value and offering price per share ($3,834,276 ÷ 326,976 shares outstanding)	$	11.73	(a)

Class I:
Net Asset Value, offering, and redemption price per share ($11,442,681 ÷ 853,037 shares outstanding.	$	13.41

(a)	Redemption price varies based on the length of time held.

Statement of Operations

For the Six Months Ended September 30, 2020 (Unaudited)


Investment Income:
Dividends (net of foreign withholding taxes of $9,447)	$	351,225
Interest		202

Total Investment Income		351,427

Expenses:
Investment advisory fees		162,521
Distribution fees—Class AAA.		10,817
Distribution fees—Class A		10,655
Distribution fees—Class C		20,984
Registration expenses		31,340
Shareholder communications expenses		19,422
Legal and audit fees		30,526
Shareholder services fees		14,405
Directors’ fees		12,553
Custodian fees		4,525
Payroll expenses		1,085
Miscellaneous expenses		9,479

Total Expenses		328,312

Less:
Expenses reimbursed by Adviser (See Note 3)		(181,283	)
Expenses paid indirectly by broker (See Note 6)		(760	)

Total credits and reimbursements		(182,043	)

Net Expenses		146,269

Net Investment Income.		205,158

Net Realized and Unrealized Gain/(Loss) on Investments and Foreign Currency:
Net realized gain on investments		1,075,795
Net realized loss on foreign currency transactions .		(78	)

Net realized gain on investments and foreign currency transactions.		1,075,717

Net change in unrealized appreciation/depreciation: on investments		5,875,192
on foreign currency translations		4,132

Net change in unrealized appreciation/ depreciation on investments and foreign currency translations		5,879,324

Net Realized and Unrealized Gain/(Loss) on Investments and Foreign Currency		6,955,041

Net Increase in Net Assets Resulting from Operations	$	7,160,199

See accompanying notes to financial statements.

Gabelli ESG Fund, Inc.

Statement of Changes in Net Assets


	Six Months Ended September 30, 2020 (Unaudited)			Year Ended March 31, 2020
Operations:
Net investment income	$	205,158		$	452,301
Net realized gain on investments and foreign currency transactions		1,075,717			1,971,726
Net change in unrealized appreciation/depreciation on investments and foreign currency translations		5,879,324			(6,499,412	)

Net Increase/(Decrease) in Net Assets Resulting from Operations		7,160,199			(4,075,385	)

Distributions to Shareholders:
Class AAA		—			(1,622,177	)
Class A		—			(1,410,988	)
Class C		—			(941,974	)
Class I		—			(2,083,553	)

Distributions to Shareholders		—			(6,058,692	)

Capital Share Transactions:
Class AAA		(436,005	)		(1,050,236	)
Class A		(579,813	)		1,070,723
Class C		(1,142,706	)		(1,846,759	)
Class I		(1,005,212	)		(2,228,989	)

Net Decrease in Net Assets from Capital Share Transactions		(3,163,736	)		(4,055,261	)


Redemption Fees.		—			145

Net Increase/(Decrease) in Net Assets		3,996,463			(14,189,193	)
Net Assets:
Beginning of year.		29,002,368			43,191,561

End of period	$	32,998,831		$	29,002,368

See accompanying notes to financial statements.

Gabelli ESG Fund, Inc.

Financial Highlights

Selected data for a share of capital stock outstanding throughout each period:


			Income (Loss) from Investment Operations						Distributions												Ratios to Average Net Assets/Supplemental Data
Year Ended March 31	Net Asset Value, Beginning of Year		Net Investment Income (Loss)(a)		Net Realized and Unrealized Gain (Loss) on Investments		Total from Investment Operations		Net Investment Income		Net Realized Gain on Investments		Total Distributions		Redemption Fees(a)(b)		Net Asset Value, End of Period		Total Return†		Net Assets End of Period (in 000’s)		Net Investment Income (Loss)		Expenses Net of Waivers/ Reimburse- ments		Expenses Before Waivers/Reim- bursements(c)		Portfolio Turnover Rate
Class AAA
2021(d)		$10.40		$ 0.08		$ 2.56		$ 2.64		—		—		—		$0.00		$13.04		25.26%		$ 8,983		1.26%(e)		0.90%(e)		2.01%(e)		5%
2020		14.03		0.16(f)		(1.59)		(1.43)		$(0.09)		$(2.11)		$(2.20)		0.00		10.40		(13.50)		7,530		1.13(f)		1.14		1.92		18
2019		15.35		0.07		(0.37)		(0.30)		—		(1.02)		(1.02)		0.00		14.03		(1.92)		11,227		0.49		1.25		1.87		29
2018		15.57		(0.02)		0.64		0.62		(0.04)		(0.80)		(0.84)		0.00		15.35		3.85		13,665		(0.10)		1.25		1.73		8
2017		14.29		0.04		1.81		1.85		—		(0.57)		(0.57)		0.00		15.57		13.14		15,409		0.27		1.39		1.67		18
2016		14.85		(0.04)		(0.22)		(0.26)		—		(0.30)		(0.30)		0.00		14.29		(1.79)		17,532		(0.29)		1.68		1.68		14
Class A
2021(d)		$10.39		$ 0.08		$2.56		$ 2.64		—		—		—		$0.00		$13.03		25.29%		$ 8,739		1.26%(e)		0.90%(e)		2.01%(e)		5%
2020		14.02		0.15(f)		(1.58)		(1.43)		$(0.09)		$(2.11)		$(2.20)		0.00		10.39		(13.51)		7,455		1.11(f)		1.13		1.92		18
2019		15.33		0.08		(0.37)		(0.29)		—		(1.02)		(1.02)		0.00		14.02		(1.85)		8,958		0.51		1.25		1.87		29
2018		15.55		(0.02)		0.64		0.62		(0.04)		(0.80)		(0.84)		0.00		15.33		3.85		16,280		(0.10)		1.25		1.73		8
2017		14.28		0.04		1.80		1.84		—		(0.57)		(0.57)		0.00		15.55		13.08		17,569		0.26		1.39		1.67		18
2016		14.84		(0.04)		(0.22)		(0.26)		—		(0.30)		(0.30)		0.00		14.28		(1.79)		20,002		(0.29)		1.68		1.68		14
Class C
2021(d)		$ 9.35		$ 0.07		$2.31		$ 2.38		—		—		—		$0.00		$11.73		25.32%		$ 3,834		1.27%(e)		0.90%(e)		2.76%(e)		5%
2020		12.80		0.08(f)		(1.42)		(1.34)		—		$(2.11)		$(2.11)		0.00		9.35		(13.93)		4,022		0.60(f)		1.68		2.67		18
2019		14.20		(0.03)		(0.35)		(0.38)		—		(1.02)		(1.02)		0.00		12.80		(2.65)		7,347		(0.25)		2.00		2.62		29
2018		14.53		(0.13)		0.60		0.47		—		(0.80)		(0.80)		0.00		14.20		3.11		9,176		(0.85)		2.00		2.48		8
2017		13.47		(0.07)		1.70		1.63		—		(0.57)		(0.57)		0.00		14.53		12.29		10,815		(0.49)		2.14		2.42		18
2016		14.13		(0.14)		(0.22)		(0.36)		—		(0.30)		(0.30)		0.00		13.47		(2.60)		10,320		(1.05)		2.43		2.43		14
Class I
2021(d)		$10.70		$ 0.08		$2.63		$ 2.71		—		—		—		$0.00		$13.41		25.33%		$11,443		1.26%(e)		0.90%(e)		1.76%(e)		5%
2020		14.38		0.19(f)		(1.64)		(1.45)		$(0.12)		$(2.11)		$(2.23)		0.00		10.70		(13.32)		9,995		1.30(f)		0.97		1.67		18
2019		15.67		0.11		(0.38)		(0.27)		—		(1.02)		(1.02)		0.00		14.38		(1.68)		15,660		0.74		1.00		1.62		29
2018		15.87		0.03		0.65		0.68		(0.08)		(0.80)		(0.88)		0.00		15.67		4.17		19,155		0.18		1.00		1.48		8
2017		14.52		0.08		1.84		1.92		—		(0.57)		(0.57)		0.00		15.87		13.42		27,874		0.53		1.13		1.42		18
2016		15.06		(0.01)		(0.23)		(0.24)		—		(0.30)		(0.30)		0.00		14.52		(1.63)		20,582		(0.04)		1.43		1.43		14

†

Total return represents aggregate total return of a hypothetical $1,000 investment at the beginning of the year and sold at the end of the period including reinvestment of distributions and does not reflect the applicable sales charges. Total return for a period of less than one year is not annualized.

(a)	Per share amounts have been calculated using the average shares outstanding method. (b) Amount represents less than $0.005 per share.

(c)	The Fund received credits from a designated broker who agreed to pay certain Fund operating expenses. For all periods presented there was no impact on the expense ratios. (d) For the six months ended September 30, 2020, unaudited.

(e)	Annualized.

(f)

Includes income resulting from special dividends. Without these dividends, the per share income amounts would have been $0.13 (Class AAA and Class A), $0.05 (Class C), and $0.16 (Class I), respectively, and the net investment income ratio would have been 0.94% (Class AAA), 0.92% (Class A), 0.42% (Class C), and 1.12% (Class I), respectively.

See accompanying notes to financial statements.

Gabelli ESG Fund, Inc.

Notes to Financial Statements (Unaudited)

1. Organization. Gabelli ESG Fund, Inc., incorporated on March 1, 2007 in Maryland, is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the 1940 Act). The Fund commenced investment operations on June 1, 2007. The Fund’s primary objective is to seek capital appreciation. The Fund seeks to achieve its objective by investing substantially all, and in any case no less than 80%, of its assets in common stocks and preferred stocks of companies that meet the Fund’s guidelines for social responsibility at the time of investment.

2. Significant Accounting Policies. As an investment company, the Fund follows the investment company accounting and reporting guidance, which is part of U.S. generally accepted accounting principles (GAAP) that may require the use of management estimates and assumptions in the preparation of its financial statements. Actual results could differ from those estimates. The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements.

The global outbreak of the novel coronavirus disease, known as COVID-19, has caused adverse effects on many companies, sectors, nations, regions and the markets in general, and may continue for an unpredictable duration. The effects of this pandemic may materially impact the value and performance of the Fund, its ability to buy and sell fund investments at appropriate valuations, and its ability to achieve its investment objectives.

New Accounting Pronouncements. To improve the effectiveness of fair value disclosure requirements, the Financial Accounting Standards Board recently issued Accounting Standard Update (ASU) 2018-13, Fair Value Measurement Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurement (ASU 2018-13), which adds, removes, and modifies certain aspects relating to fair value disclosure. ASU 2018-13 is effective for interim and annual reporting periods beginning after December 15, 2019; early adoption of the additions relating to ASU 2018-13 is not required, even if early adoption is elected for the removals under ASU 2018-13. Management has early adopted the removals set forth in ASU 2018-13 in these financial statements and has not early adopted the additions set forth in ASU 2018-13.

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

Portfolio securities primarily traded on a foreign market are generally valued at the preceding closing values of such securities on the relevant market, but may be fair valued pursuant to procedures established by the Board if market conditions change significantly after the close of the foreign market, but prior to the close of business on the day the securities are being valued. Debt obligations for which market quotations are readily available are valued at the average of the latest bid and asked prices. If there were no asked prices quoted on such day, the security is valued using the closing bid price, unless the Board determines such amount does not reflect the securities’ fair value, in which case these securities will be fair valued as determined by the

Gabelli ESG Fund, Inc.

Notes to Financial Statements (Unaudited) (Continued)

Board. Certain securities are valued principally using dealer quotations. Futures contracts are valued at the closing settlement price of the exchange or board of trade on which the applicable contract is traded. OTC futures and options on futures for which market quotations are readily available will be valued by quotations received from a pricing service or, if no quotations are available from a pricing service, by quotations obtained from one or more dealers in the instrument in question by the Adviser.

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

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

•

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

•

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

•

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

A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in the aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of the Fund’s investments in securities by inputs used to value the Fund’s investments as of September 30, 2020 is as follows:


	Valuation Inputs
	Level 1 Quoted Prices		Level 2 Other Significant Observable Inputs		Total Market Value at 9/30/20
INVESTMENTS IN SECURITIES:
ASSETS (Market Value):
Common Stocks (a)	$	32,578,169		—	$	32,578,169
U.S. Government Obligations		—	$	209,965		209,965
TOTAL INVESTMENTS IN SECURITIES – ASSETS	$	32,578,169	$	209,965	$	32,788,134

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

There were no Level 3 investments at September 30, 2020 or March 31, 2020.

Additional Information to Evaluate Qualitative Information.

General. The Fund uses recognized industry pricing services – approved by the Board and unaffiliated with the Adviser – to value most of its securities, and uses broker quotes provided by market makers of securities not valued by these and other recognized pricing sources. Several different pricing feeds are received to value domestic equity securities, international equity securities, preferred equity securities, and fixed income securities. The data within these feeds are ultimately sourced from major stock exchanges and trading systems where

Gabelli ESG Fund, Inc.

Notes to Financial Statements (Unaudited) (Continued)

these securities trade. The prices supplied by external sources are checked by obtaining quotations or actual transaction prices from market participants. If a price obtained from the pricing source is deemed unreliable, prices will be sought from another pricing service or from a broker/dealer that trades that security or similar securities.

Fair Valuation. Fair valued securities may be common or preferred equities, warrants, options, rights, or fixed income obligations. Where appropriate, Level 3 securities are those for which market quotations are not available, such as securities not traded for several days, or for which current bids are not available, or which are restricted as to transfer. When fair valuing a security, factors to consider include recent prices of comparable securities that are publicly traded, reliable prices of securities not publicly traded, the use of valuation models, current analyst reports, valuing the income or cash flow of the issuer, or cost if the preceding factors do not apply. The circumstances of Level 3 securities are frequently monitored to determine if fair valuation measures continue to apply.

The Adviser reports quarterly to the Board the results of the application of fair valuation policies and procedures. These may include backtesting the prices realized in subsequent trades of these fair valued securities to fair values previously recognized.

Investments in other Investment Companies. The Fund may invest, from time to time, in shares of other investment companies (or entities that would be considered investment companies but are excluded from the definition pursuant to certain exceptions under the 1940 Act) (the Acquired Funds) in accordance with the 1940 Act and related rules. Shareholders in the Fund would bear the pro rata portion of the periodic expenses of the Acquired Funds in addition to the Fund’s expenses. During the six months ended September 30, 2020, the Fund’s pro rata portion of the periodic expenses charged by the Acquired Funds was less than 1 basis point.

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

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

Gabelli ESG Fund, Inc.

Notes to Financial Statements (Unaudited) (Continued)

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

Restricted Securities. The Fund may invest up to 15% of its net assets in securities for which the markets are restricted. Restricted securities include securities whose disposition is subject to substantial legal or contractual restrictions. The sale of restricted securities often requires more time and results in higher brokerage charges or dealer discounts and other selling expenses than the sale of securities eligible for trading on national securities exchanges or in the over-the-counter markets. Restricted securities may sell at a price lower than similar securities that are not subject to restrictions on resale. Securities freely saleable among qualified institutional investors under special rules adopted by the SEC may be treated as liquid if they satisfy liquidity standards established by the Board. The continued liquidity of such securities is not as well assured as that of publicly traded securities, and accordingly the Board will monitor their liquidity. At September 30, 2020, the Fund did not hold restricted securities.

Securities Transactions and Investment Income. Securities transactions are accounted for on the trade date with realized gain/(loss) on investments determined by using the identified cost method. Interest income (including amortization of premium and accretion of discount) is recorded on an accrual basis. Premiums and discounts on debt securities are amortized using the effective yield to maturity method or amortized to the earliest call date, if applicable. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities that are recorded as soon after the ex-dividend date as the Fund becomes aware of such dividends.

Determination of Net Asset Value and Calculation of Expenses. Certain administrative expenses are common to, and allocated among, various affiliated funds. Such allocations are made on the basis of each fund’s average net assets or other criteria directly affecting the expenses as determined by the Adviser pursuant to procedures established by the Board.

In calculating the NAV per share of each class, investment income, realized and unrealized gains and losses, redemption fees, and expenses other than class specific expenses are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day. Distribution expenses are borne solely by the class incurring the expense.

Distributions to Shareholders. Distributions to shareholders are recorded on the ex-dividend date. Distributions to shareholders are based on income and capital gains as determined in accordance with federal income tax regulations, which may differ from income and capital gains as determined under GAAP. These differences are primarily due to differing treatments of income and gains on various investment securities and foreign currency transactions held by the Fund, timing differences, and differing characterizations of distributions made by the Fund. Distributions from net investment income for federal income tax purposes include net realized gains on foreign currency transactions. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, adjustments are made to the appropriate capital accounts in the period when the differences arise. These reclassifications have no impact on the NAV of the Fund.

The tax character of distributions paid during the fiscal year ended March 31, 2020 was as follows:

Gabelli ESG Fund, Inc.

Notes to Financial Statements (Unaudited) (Continued)


	Year Ended
	March 31, 2020
Distributions paid from:
Ordinary income (inclusive of short term capital gains)	$	233,899
Net long term capital gains		5,824,793

Total distributions paid	$	6,058,692

Provision for Income Taxes. The Fund intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the Code). It is the policy of the Fund to comply with the requirements of the Code applicable to regulated investment companies and to distribute substantially all of its net investment company taxable income and net capital gains. Therefore, no provision for federal income taxes is required.

The following summarizes the tax cost of investments and the related net unrealized appreciation at September 30, 2020:


			Gross		Gross
			Unrealized		Unrealized			Net Unrealized
	Cost		Appreciation		Depreciation			Appreciation
Investments	$	25,867,929	$	9,476,830	$	(2,556,625	)	$	6,920,205

The Fund is required to evaluate tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Income tax and related interest and penalties would be recognized by the Fund as tax expense in the Statement of Operations if the tax positions were deemed not to meet the more-likely-than-not threshold. During the six months ended September 30, 2020, the Fund did not incur any income tax, interest, or penalties. As of September 30, 2020, the Adviser has reviewed all open tax years and concluded that there was no impact to the Fund’s net assets or results of operations. The Fund’s federal and state tax returns for the prior three fiscal years remain open, subject to examination. On an ongoing basis, the Adviser will monitor the Fund’s tax positions to determine if adjustments to this conclusion are necessary.

3. Investment Advisory Agreement and Other Transactions. The Fund has entered into an investment advisory agreement (the Advisory Agreement) with the Adviser which provides that the Fund will pay the Adviser a fee, computed daily and paid monthly, at the annual rate of 1.00% of the value of its average daily net assets. In accordance with the Advisory Agreement, the Adviser provides a continuous investment program for the Fund’s portfolio, oversees the administration of all aspects of the Fund’s business and affairs, and pays the compensation of all Officers and Directors of the Fund who are affiliated persons of the Adviser.

Through November 30, 2019, the Adviser had agreed to waive and/or to reimburse expenses of the Fund to the extent necessary to maintain the annualized total operating expenses of the Fund (excluding brokerage costs, acquired fund fees and expenses, interest, taxes, and extraordinary expenses) at no more than 1.25%, 1.25%, 2.00%, and 1.00% of the value of the Fund’s average daily net assets for Class AAA, Class A, Class C, and Class I, respectively. Effective December 1, 2019, the Adviser amended its contractual agreement with respect to each share class of the Fund to waive its investment advisory fees and/or to reimburse expenses to the extent necessary to maintain the annualized total operating expenses of the Fund (excluding brokerage costs, acquired fund fees and expenses, interest, taxes, and extraordinary expenses) until at least July 31, 2021, at no more than 0.90% of the value of the Fund’s average daily net assets for each of share class. During the

Gabelli ESG Fund, Inc.

Notes to Financial Statements (Unaudited) (Continued)

six months ended September 30, 2020, the Adviser reimbursed the Fund in the amount of $181,283. In addition, the Fund has agreed, during the three year period following any waiver or reimbursement by the Adviser, to repay such amount to the extent, that after giving effect to the repayment, such adjusted annualized total operating expenses of the Fund would not exceed 0.90% of the value of the Fund’s average daily net assets for each share class of the Fund. The arrangement is renewable annually. At September 30, 2020, the cumulative amount which the Fund may repay the Adviser, subject to the terms above, is $812,497:


For the fiscal year ended March 31, 2019, expiring March 31, 2021	$	310,905
For the fiscal year ended March 31, 2020, expiring March 31, 2022		94,174
For the fiscal year ended March 31, 2020, expiring March 31, 2023		226,135
For the six months ended September 30, 2020, expiring March 31, 2024		181,283

Total	$	812,497

The Fund pays each Director who is not considered an affiliated person an annual retainer of $3,000 plus $500 for each Board meeting attended. Each Director is reimbursed by the Fund for any out of pocket expenses incurred in attending meetings and the Chairman of each committee and the Lead Director each receives an annual fee of $1,000. A Director may receive a single meeting fee, allocated among the participating funds, for participation in certain meetings held on behalf of multiple funds. Directors who are directors or employees of the Adviser or an affiliated company receive no compensation or expense reimbursement from the Fund.

4. Distribution Plan. The Fund’s Board has adopted a distribution plan (the Plan) for each class of shares, except for Class I Shares, pursuant to Rule 12b-1 under the 1940 Act. Under the Class AAA, Class A, and Class C Share Plans, payments are authorized to G.distributors, LLC (the Distributor), an affiliate of the Adviser, at annual rates of 0.25%, 0.25%, and 1.00%, respectively, of the average daily net assets of those classes, the annual limitations under each Plan. Such payments are accrued daily and paid monthly.

5. Portfolio Securities. Purchases and sales of securities during the six months ended September 30, 2020, other than short term securities and U.S. Government obligations, aggregated $1,720,632 and $4,717,872, respectively.

6. Transactions with Affiliates and Other Arrangements. During the six months ended September 30, 2020, the Fund paid $322 in brokerage commissions on security trades to G.research, LLC, an affiliate of the Adviser. Additionally, the Distributor retained a total of $319 from investors representing commissions (sales charges and underwriting fees) on sales and redemptions of Fund shares.

During the six months ended September 30, 2020, the Fund received credits from a designated broker who agreed to pay certain Fund operating expenses. The amount of such expenses paid through this directed brokerage arrangement during this period was $760.

The cost of calculating the Fund’s NAV per share is a Fund expense pursuant to the Advisory Agreement. Under the sub-administration agreement with Bank of New York Mellon, the fees paid include the cost of calculating the Fund’s NAV. The Fund reimburses the Adviser for this service. The Adviser did not seek a reimbursement during the six months ended September 30, 2020.

7. Capital Stock. The Fund offered four classes of shares – Class AAA Shares, Class A Shares, Class C

Shares, and Class I Shares. Class T Shares were liquidated on September 21, 2018. Effective January 27, 2020, (the Effective Date) the Fund’s Class AAA, Class A and Class C Shares “closed to purchases from new

Gabelli ESG Fund, Inc.

Notes to Financial Statements (Unaudited) (Continued)

investors”. “Closed to purchases from new investors” means (i) with respect to the Class AAA and Class A shares, no new investors may purchase shares of such classes, but existing shareholders may continue to purchase additional shares of such classes after the Effective Date, and (ii) with respect to Class C Shares, neither new investors nor existing shareholders may purchase any additional shares of such class after the Effective Date. These changes will have no effect on existing shareholders’ ability to redeem shares of the Fund as described in the Fund’s Prospectus. Additionally, on the Effective Date Class I shares of the Fund became available to investors with a minimum initial investment amount of $1,000 and purchasing shares directly through the Distributor, or investors purchasing Class I shares through brokers or financial intermediaries that have entered into selling agreements with the Distributor specifically with respect to Class I shares.

The Fund imposes a redemption fee of 2.00% on all classes of shares that are redeemed or exchanged on or before the seventh day after the date of a purchase. The redemption fee is deducted from the proceeds otherwise payable to the redeeming shareholders and is retained by the Fund as an increase in paid-in capital. The redemption fees retained by the Fund during the six months ended September 30, 2020 and the fiscal year ended March 31, 2020, if any, can be found in the Statement of Changes in Net Assets under Redemption Fees.

Transactions in shares of capital stock were as follows:


	Six Months Ended
	September 30, 2020						Year Ended
	(Unaudited)						March 31, 2020
	Shares			Amount			Shares			Amount
Class AAA
Shares sold		3,008		$	35,574			18,938		$	265,199
Shares issued upon reinvestment of distributions		—			—			120,887			1,589,667
Shares redeemed		(38,158	)		(471,579	)		(215,973	)		(2,905,102	)

Net decrease		(35,150	)	$	(436,005	)		(76,148	)	$	(1,050,236	)

Class A
Shares sold		26,007		$	325,678			107,141		$	1,532,777
Shares issued upon reinvestment of distributions		—			—			99,817			1,311,601
Shares redeemed		(72,788	)		(905,491	)		(128,510	)		(1,773,655	)

Net increase/decrease		(46,781	)	$	(579,813	)		78,448		$	1,070,723

Class C
Shares sold		—		$	—			9,382		$	116,454
Shares issued upon reinvestment of distributions		—			—			72,719			860,265
Shares redeemed		(103,040	)		(1,142,706	)		(226,037	)		(2,823,478	)

Net decrease		(103,040	)	$	(1,142,706	)		(143,936	)	$	(1,846,759	)

Class I
Shares sold		35,668		$	442,300			74,633		$	1,091,141
Shares issued upon reinvestment of distributions		—			—			147,600			1,997,030
Shares redeemed		(116,845	)		(1,447,512	)		(376,879	)		(5,317,160	)

Net decrease		(81,177	)	$	(1,005,212	)		(154,646	)	$	(2,228,989	)

8. Indemnifications. The Fund enters into contracts that contain a variety of indemnifications. The Fund’s maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these contracts. Management has reviewed the Fund’s existing contracts and expects the risk of loss to be remote.

Gabelli ESG Fund, Inc.

Notes to Financial Statements (Unaudited) (Continued)

9. Subsequent Events. Management has evaluated the impact on the Fund of all subsequent events occurring through the date the financial statements were issued and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.

Gabelli ESG Fund, Inc.

Board Consideration and Re-Approval of Investment Advisory Agreement (Unaudited)

In determining whether to approve the continuance of the Investment Advisory Agreement (the Advisory Agreement), the Board, including a majority of the Directors who have no direct or indirect interest in the Advisory Agreement and are not “interested persons” of the Fund, as defined in the 1940 Act (the Independent Board Members), considered the following information at a meeting on May 12, 2020:

1) The nature, extent, and quality of services provided by the Adviser.

The Board Members reviewed in detail the nature and extent of the services provided by the Adviser under the Advisory Agreement and the quality of those services over the past year. The Board Members noted that these services included managing the investment program of the Fund, including the purchase and sale of portfolio securities, as well as the provision of general corporate services. The Board Members considered that the Adviser also provided, at its expense, office facilities for use by the Fund and supervisory personnel responsible for supervising the performance of administrative, accounting, and related services for the Fund, including monitoring to assure compliance with stated investment policies and restrictions under the 1940 Act and related securities regulation. The Board Members noted that, in addition to managing the investment program for the Fund, the Adviser provided certain non-advisory and compliance services, including services for the Fund’s Rule 38a-1 compliance program.

The Board Members also considered that the Adviser paid for all compensation of officers and Board Members of the Fund that are affiliated with the Adviser and that the Adviser further provided services to shareholders of the Fund who had invested through various programs offered by third party financial intermediaries. The Board Members evaluated these factors based on its direct experience with the Adviser and in consultation with Fund Counsel. The Board noted that the Adviser had engaged, at its expense, BNY Mellon to assist it in performing certain of its administrative functions. The Board Members concluded that the nature and extent of the services provided was reasonable and appropriate in relation to the advisory fee, that the level of services provided by the Adviser, either directly or through BNY Mellon, had not diminished over the past year, and that the quality of service continued to be high.

The Board Members reviewed the personnel responsible for providing services to the Fund and concluded, based on their experience and interaction with the Adviser, that (i) the Adviser was able to retain quality personnel, (ii) the Adviser and its agents exhibited a high level of diligence and attention to detail in carrying out their advisory and administrative responsibilities under the Advisory Agreement, (iii) the Adviser was responsive to requests of the Board, (iv) the scope and depth of the Adviser’s resources were adequate, and (v) the Adviser had kept the Board apprised of developments relating to the Fund and the industry in general. The Board Members also focused on the Adviser’s reputation and long standing relationship with the Fund. The Board Members also believed that the Adviser had devoted substantial resources and made substantial commitments to address new regulatory compliance requirements applicable to the Fund.

2) The performance of the Funds and the Adviser.

The Board Members reviewed the investment performance of the Fund, on an absolute basis, as compared with its peer group of other SEC registered funds, and against the Fund’s broad based securities market benchmark as reflected in the Fund’s prospectus and annual report. The Board Members considered the Fund’s one, three, and five year average annual total return for the periods ended March 31, 2020. The Board noted that generally it placed greater emphasis on the Fund’s longer term performance; however, it noted the shift in investment strategy away from green investing will make the long term performance less relevant than the short term performance. The peer group considered by the Board Members was developed by the Adviser and was comprised

Gabelli ESG Fund, Inc.

Board Consideration and Re-Approval of Investment Advisory Agreement (Unaudited) (Continued)

of other social criteria funds. The Board Members also reviewed the performance of the Broadridge peer group in the Meeting Materials. Fund Counsel instructed the Board that they should consider both peer groups. The Board Members considered these comparisons helpful in their assessment as to whether the Adviser was obtaining for the Fund’s shareholders the total return performance that was available in the marketplace, given the Fund’s objectives, strategies, limitations, and restrictions. In reviewing the performance of the Fund against the Performance Peer group, the Board Members noted that the Fund’s performance was below the median for the one, three, five, and ten year periods. In reviewing the performance of the Fund against the Broadridge peer group, the Board Members noted that the Fund’s performance was above the median for the one, three, and five year periods and below the median for the ten year period. The Board Members concluded that the Fund’s performance was reasonable in comparison with that of the Performance Peer Group and the Broadridge peer group, respectively.

In connection with its assessment of the performance of the Adviser, the Board Members considered the Adviser’s financial condition and whether it had the resources necessary to continue to carry out its functions under the Advisory Agreement. The Board Members concluded that the Adviser had the financial resources necessary to continue to perform its obligations under the Advisory Agreement and to continue to provide the high quality services that it has provided to the Fund to date.

3) The cost of the advisory services and the profits to the Adviser and its affiliates from the relationship with the Fund.

In connection with the Board Members’ consideration of the cost of the advisory services and the profits to the Adviser and its affiliates from the relationship with the Fund, the Board Members considered a number of factors. First, the Board Members compared the level of the advisory fee for the Fund against the comparative Broadridge expense peer group (Expense Peer Group). The Board Members also considered comparative non-advisory fee expenses and comparative total fund expenses of the Fund and the Expense Peer Group. The Board Members considered this information as useful in assessing whether the Adviser was providing services at a cost that was competitive with other similar funds. In assessing this information, the Board Members considered both the comparative contract rates as well as the level of advisory fees after waivers and/or reimbursements. The Board Members noted that the Fund’s advisory fee was lower than the median and the expense ratio was higher than the median when compared with those of the Expense Peer Group.

The Board Members also reviewed the fees charged by the Adviser to provide similar advisory services to other RICs or accounts with similar investment objectives, noting that the fees charged by the Adviser were the same as or lower than the fees charged to the Fund.

The Board Members also considered an analysis prepared by the Adviser of the estimated profitability to the Adviser of its relationship with the Fund and reviewed with the Adviser its cost allocation methodology in connection with its profitability. In this regard, the Board Members reviewed Pro-forma Income Statements of the Adviser for the year ended December 31, 2019. The Board Members considered one analysis for the Adviser as a whole, and a second analysis for the Adviser with respect to the Fund. With respect to the Fund analysis, the Board Members received an analysis based on the Fund’s average net assets during the period as well as a pro-forma analysis of profitability at higher and lower asset levels. The Board Members concluded that the profitability of the Fund to the Adviser under either analysis was not excessive.

Gabelli ESG Fund, Inc.

Board Consideration and Re-Approval of Investment Advisory Agreement (Unaudited) (Continued)

4) The extent to which economies of scale will be realized as the Fund grows and whether fee levels reflect those economies of scale.

With respect to the Board Members’ consideration of economies of scale, the Board Members discussed whether economies of scale would be realized by the Fund at higher asset levels. The Board Members also reviewed data from the Expense Peer Group to assess whether the Expense Peer Group funds had advisory fee breakpoints and, if so, at what asset levels. The Board Members also assessed whether certain of the Adviser’s costs would increase if asset levels rise. The Board Members noted the Fund’s current size and concluded that under foreseeable conditions, they were unable to assess at this time whether economies of scale would be realized by the Fund if it were to experience significant asset growth. In the event there were to be significant asset growth in the Fund, the Board Members determined to reassess whether the advisory fee appropriately took into account any economies of scale that had been realized as a result of that growth.

5) Other Factors

In addition to the above factors, the Board Members also discussed other benefits received by the Adviser from its management of the Fund. The Board Members considered that the Adviser does use soft dollars in connection with its management of the Fund.

Based on a consideration of all these factors in their totality, the Board Members, including all of the Independent Board Members, determined that the Fund’s advisory fee was fair and reasonable with respect to the quality of services provided and in light of the other factors described above that the Board deemed relevant. Accordingly, the Board Members determined to approve the continuation of the Fund’s Advisory Agreement. The Board Members based their decision on evaluations of all these factors as a whole and did not consider any one factor as all important or controlling.

Gabelli Funds and Your Personal Privacy

Who are we?

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

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

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

●

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

●

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

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

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

What do we do to protect your personal information?

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

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GABELLI ESG FUND, INC.

One Corporate Center

Rye, NY 10580-1422

Portfolio Management Team Biographies

Christopher C. Desmarais joined GAMCO Investors, Inc. in 1993. Currently he is a Managing Director of GAMCO Asset Management, Inc., a portfolio manager of Gabelli Funds, LLC, as well as the Director of Socially Responsive Investments. He is a co-portfolio manager of the Fund, and his responsibilities also include marketing and client service of GAMCO’s Value, Growth, and International capabilities for institutional, endowment, and family office clients as well as direct oversight of all of the Firm’s ESG equity products. He is a graduate of Fairfield University with a BA in Economics.

Christopher J. Marangi joined Gabelli in 2003 as a research analyst. Currently he is a Managing Director and Co-Chief Investment Officer for GAMCO Investors, Inc.’s Value team. In addition, he serves as a portfolio manager of Gabelli Funds, LLC and manages several funds within the Fund Complex. Mr. Marangi graduated magna cum laude and Phi Beta Kappa with a BA in Political Economy from Williams College and holds an MBA degree with honors from Columbia Business School.

Kevin V. Dreyer joined Gabelli in 2005 as a research analyst covering companies within the consumer sector. Currently he is a Managing Director and Co-Chief Investment Officer for GAMCO Investors, Inc.’s Value team. In addition, he serves as a portfolio manager of Gabelli Funds, LLC and manages several funds within the Fund Complex. Mr. Dreyer received a BSE from the University of Pennsylvania and an MBA degree from Columbia Business School.

Ian Lapey joined Gabelli Funds, LLC, in October 2018 as a portfolio manager. Prior to joining Gabelli Funds, Mr. Lapey was a research analyst and partner at Moerus Capital Management LLC. Prior to joining Moerus, he was a partner, research analyst, and a portfolio manager at Third Avenue Management. Mr. Lapey holds an MBA in Finance and Statistics from the Stern School of Business at New York University. He also holds a Master’s degree in Accounting from Northeastern University and a BA in Economics from Williams College.

Melody Prenner Bryant joined GAMCO Investors, Inc. in September 2018 and is a portfolio manager of Gabelli Funds, LLC and manages several funds within the Fund Complex. Previously, Ms. Prenner Bryant was a managing director and chief investment officer for Trevor Stewart Burton & Jacobsen Inc., a New York based registered investment adviser. She has held senior and portfolio management positions at Neuberger Berman, LLC, John A. Levin & Co., and Kempner Asset Management. Ms. Prenner Bryant received her BA in Political Science from The State University of New York at Binghamton and attended the Leonard N. Stern School of Business, New York University.

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

GABELLI ESG FUND, INC.

One Corporate Center

Rye, New York 10580-1422

t	800-GABELLI (800-422-3554)

f	914-921-5118

e	info@gabelli.com

GABELLI.COM

Net Asset Value per share available daily

by calling 800-GABELLI after 7:00 P.M.


BOARD OF DIRECTORS		OFFICERS
Mario J. Gabelli, CFA		Bruce N. Alpert
Chairman and Chief		President
Executive Officer,
GAMCO Investors, Inc.		John C. Ball
Executive Chairman,		Treasurer
Associated Capital Group, Inc.		Peter Goldstein
Clarence A. Davis		Secretary
Former Chief		Richard J. Walz
Executive Officer,		Chief Compliance Officer
Nestor, Inc.
Vincent D. Enright		DISTRIBUTOR
Former Senior Vice
President and		G.distributors, LLC
Chief Financial Officer,
KeySpan Corp.		CUSTODIAN
William F. Heitmann		The Bank of New York Mellon
Former Senior Vice
President of Finance,		TRANSFER AGENT AND
Verizon Communications, Inc.		DIVIDEND DISBURSING AGENT
Anthonie C. van Ekris		DST Asset Manager
Chairman,		Solutions, Inc.
BALMAC International, Inc.
		LEGAL COUNSEL
		Paul Hastings LLP

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

GAB1794Q130SR

LOGO

Item 2.

Code of Ethics.

Not applicable

Item 3.

Audit Committee Financial Expert.

Not applicable

Item 4.

Principal Accountant Fees and Services.

Not applicable.

Item 5.

Audit Committee of Listed Registrants.

Not applicable.

Item 6.

Investments.

(a)	Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form.

(b)	Not applicable.

Item 7.

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8.

Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9.

Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s Board of Directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.

Item 11. Controls and Procedures.

(a)

The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the

report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

(b)

There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 13. Exhibits.


(a)(1)		Not applicable.

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

(a)(3)		Not applicable.

(a)(4)		Not applicable.

(b)		Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.

SIGNATURES

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


(Registrant) The Gabelli ESG Fund, Inc.

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

Date December 4, 2020

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


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

Date December 4, 2020


By (Signature and Title)* /s/ John C. Ball
John C. Ball, Principal Financial Officer and Treasurer

Date December 4, 2020

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

Gabelli SRI Fund N-CSRSCertified semi-annual shareholder report (management investment company)