Directors and Officers

Investment Advisor

Hottinger Capital Corp.

1270 Avenue of the Americas, Suite 400

New York, NY 10020

(212) 332-7930

Administrator

Citi Fund Services Ohio, Inc.

Custodian

Citibank, N.A.

Transfer Agent

American Stock Transfer & Trust Company

59 Maiden Lane

Plaza Level

New York, NY 10038

Legal Counsel

Stroock & Stroock & Lavan LLP

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

The Investment Advisor

The Swiss Helvetia Fund, Inc. (the “Fund”) is managed by Hottinger Capital Corp., which belongs to Groupe Banque Hottinger & Cie SA.

Groupe Banque Hottinger & Cie SA dates back to Banque Hottinguer, which was formed in Paris in 1786 and is one of Europe’s oldest private banking firms. Groupe Banque Hottinger & Cie SA has remained under the control of the Hottinger family through seven generations. Its headquarters are in Zurich with offices in Geneva, Sion, Basel, Brig and New York.

Executive Offices

The Swiss Helvetia Fund, Inc.

1270 Avenue of the Americas, Suite 400

New York, NY 10020

1-888-SWISS-00 (1-888-794-7700)

(212) 332-2760

For inquiries and reports:

1-888-SWISS-00 (1-888-794-7700)

Fax: (212) 332-7931

email: swz@swz.com

Website Address

www.swz.com

The Fund

The Fund is a non-diversified, closed-end investment company whose objective is to seek long-term capital appreciation through investment in equity and equity-linked securities of Swiss companies. The Fund also may acquire and hold equity and equity-linked securities of non-Swiss companies in limited instances.

The Fund is listed on the New York Stock Exchange under the symbol “SWZ”.

Net Asset Value is calculated daily by 6:15 P.M. (Eastern Time). The most recent calculation is available by calling 1-888-SWISS-00 or by accessing our Website. Net Asset Value is also published weekly in Barron’s, the Monday edition of The Wall Street Journal and the Sunday edition of The New York Times.

Global Economic Review

During the last quarter of 2011, investors were worried about the deepening of the crisis in Europe, lack of evidence of an improving U.S. economy and a potential hard landing of the Chinese economy. During the first quarter of 2012, all of these concerns abated and global sentiment shifted in a positive direction with a drop in risk aversion and modest improvements in global economic growth. The JP Morgan Global Manufacturing & Services Purchasing Managers Index (“PMI”) was flat in March, but posted modest expansions in production and employment at the end of the first quarter of 2012. Additionally, new order levels have expanded since the start of the year, indicating an improvement against the contraction in order levels seen towards the end of 2011. During the first quarter, PMI levels continued to accelerate in the United States and China, but were offset by contractions in the Eurozone. Other countries, including Japan, the U.K., South Korea, Brazil, Russia and Switzerland, saw faster growth in March compared to February, while the rate of output expansion in India slowed sharply. On the inflation front, pressure on input costs continued to be on an uptrend, mainly as a result of high oil and transportation prices.

One of the key catalysts for the first quarter market rebound in riskier assets came from the two long term refinancing operations (“LTROs”) programs announced by the European Central Bank (“ECB”), which amounted to a total of 1 trillion euros. The LTROs have been quite effective in easing the

near-term Eurozone debt crisis and removing systemic risk in both the European banking sector and sovereign debt. Spanish banks have been actively participating in the ECB’s programs, purchasing approximately 68 billion euros of government bonds from December through February, while Italian banks purchased around 54 billion euros over that same period. Furthermore, some European banks have regained access to the unsecured credit markets and some European companies have taken advantage of very attractive financing conditions by sharply increasing bond issuances. Nevertheless, figures on Eurozone lending growth remain lackluster, indicating continuing subdued credit activity. The growth in the Eurozone base money aggregate since the first LTRO has exceeded the growth in the broad money supply indicating that while the ECB continues to be accommodative, transmission into the real economy via the banking system remains very weak. Peripheral countries in the Eurozone likely will face continued and persistent debt reduction through austerity measures and recessionary conditions in the months to come.

Following tense negotiations between Greek coalition parties and the Troika (the EU Commission, the ECB and the International Monetary Fund), an agreement was reached to release the second aid tranche of 130 billion euros to Greece. An agreement by private sector bondholders to accept losses of over 50% on their investments allowed a swap of Greek debt securities for notes with a 30-year maturity and avoided a disorderly

default in March. This permitted Greece to introduce certain “collective action clauses” that pushed participation up to 197 billion euros or approximately 96% of Greece’s private sector bondholders. The Greek bonds held by the ECB were exchanged for new Greek bonds exempt from any kind of haircut. Greek authorities accepted a strict monitoring of their debt situation with, in particular, an escrow account that will be established in order to secure enough funds, at any time, for debt service over the next year. Without economic growth in the months to come, the second aid tranche may not be sufficient to avoid a default on Greece’s medium-term debt. Moreover, there also were renewed concerns about Spain’s capacity to rein in its budget deficit and fears that stricter fiscal austerity would further damage its weak economy. The contagion effect also occurred in Portugal, with government bond yield spreads against bunds widening substantially.

A positive development came from a significant improvement in U.S. economic data, with two-thirds of U.S. households having deleveraged and a key housing market indicator (i.e., sale inventories), back to a 6-month supply compared to a 9-month supply in 2010. Moreover, money supply and U.S. credit growth, driven by increases in business loans and residential mortgages, accelerated in the last several months indicating a potential cyclical turnaround that may support economic growth going forward. Retail sales and auto sales, as well as business confidence surveys, have all shown

improvement. The key risks to sustainable U.S. economic growth remain domestic fiscal policy tightening, that is likely to occur in 2013, as well as higher-than-expected inflation.

Emerging market economies also suffered a loss of momentum at the end of 2011 due to weak growth in some developed market economies and tighter monetary policies. For instance, China’s economic growth has softened recently, but still grew 8.9% in the fourth quarter of 2011 and 8.1% in the first quarter of 2012 (both on a year-over-year basis). The Chinese government has cut its growth forecast to 7.5% (down from 8%) and has relaxed certain lending conditions, including credit quota and reserve requirement ratios from banks, and added liquidity into the banking system to strengthen credit expansion. Chinese monetary policy easing is expected to accelerate in the coming months with broad money growth below nominal gross domestic product (“GDP”) growth.

One surprise in the recent equity market rally was the gains in European equities. For example, the Dow Jones Eurostoxx 600 Index (“DJ Eurostoxx 600”) gained 7.7% in the first quarter of the year, its best performance during the first three months of any year since 2006. A market correction in this sector is inevitable after such an advance. Nonetheless, a positive outlook remains as global equity markets continue to be supported by very accommodative monetary policies, an ongoing recovery in worldwide economic growth and an equity risk premium,

(i.e., earnings yield minus real bond yield) remaining near three times its historic mean.

Swiss Economic Review

By the end of 2011, Swiss economic activity had seen a noticeable slowdown due, in particular, to the difficult conditions in the export markets. With the Eurozone debt crisis easing since the beginning of the year, surveys on business climate and consumer sentiment have pointed to the beginning of domestic economic stabilization. A prevailing low interest rate environment, the solid state of the Swiss labor market as well as a growing population have supported domestic demand in various areas, including construction activity. The large number of new building permits approved in the past few quarters indicates that activity in this area is likely to remain vigorous going forward. As a result of those encouraging economic indicators, the prospects for a gradual recovery in Swiss GDP in 2012 look promising. The Swiss Government as well as the Swiss National Bank (“SNB”) recently raised their 2012 economic growth forecasts from 0.5% to 0.8%, which is likely to further increase in 2013 to 1.8%. On the inflation front, the SNB’s inflation forecast again has been adjusted downwards, with inflation moving further into negative territory in the short-term. In the longer-term, inflation is expected to be limited by the weaker growth outlook for the Eurozone and the continuing strong valuation of the Swiss franc with inflation rates expected at -0.6% in 2012 and 0.3% in 2013. On the foreign exchange front, the first test in the euro/Swiss franc exchange

rate floor at 1.20 occurred at the beginning of April, after temporary breaches, and raised doubts about the SNB’s willingness to enforce it. However, the SNB’s interim chief reconfirmed that the SNB was prepared to buy foreign currency in unlimited quantities to continue to maintain the exchange rate at 1.20.

Sector Review

Consumers: food & beverages

The latest retail sales figures in February and March 2012 were stronger than expected and the first signs of volume recovery by European food companies were observed. Although still negative, European consumer sentiment has improved according to the European Confidence Indicator. While Western Europe remains a struggle, food companies’ management reported improvement as a result of a stronger U.S. economy and robust emerging market demand despite fears of a slow down in late 2011. Volatility among the soft commodities, however, continues to be high. Sugar and cocoa prices were up 7% and coffee prices were corrected by 20% during the first quarter of the year. Global food producers, such as Danone and Nestlé, are forecasting conservative mid-single digit commodities price inflation in 2012. Global food manufacturers’ margins have, however, managed to remain stable during the past decade, partially reflecting supply chain efficiencies during a period of rising raw material costs.

Nestlé is considered as a core holding within the consumer staples space, given its

diversified portfolio, significant exposure to emerging markets and its consistently strong organic growth and market position in the premium brands (i.e., pet food, kids and Nespresso). Nestlé is seen as the favorite for the acquisition of Pfizer’s infant nutrition business (valued at approximately $10 billion), but faces severe competition from the Danone-Mead Johnson consortium. At Nestlé’s current valuation of 17 times its price earnings (based on 2012 estimates), the stock is seen as fairly valued. Consistent with its view to overweight stocks with higher cyclicality, Fund management reduced the Fund’s allocation in Nestlé during the first quarter.

With increased risk appetite at the beginning of the year for the equity markets, the food and beverage component of the DJ Eurostoxx 600 has traded in line with the broader market after the strong outperformance in 2011. Compared to the Swiss Performance Index (“SPI”), Nestlé underperformed the index by 1.7%.

Personal & household goods

The luxury goods sector, including Richemont and Swatch, rebounded strongly in the first quarter of 2012, as emerging market demand continued to be strong, confounding investors’ muted expectations. Valuations are at a strong premium to the market, but they reflect better sales growth and margins than the market as a whole.

Financials: banks, financial services and insurance

The introduction of the two LTROs by the ECB, and the subsequent spread tightening of the sovereign debt in peripheral European countries, improved investor sentiment in the European financial stocks significantly since the start of 2012. The ECB’s recent proactive stance reduced systemic EU banking and sovereign risks in the Eurozone in the short-term and improved overall confidence in the sector, which remains undervalued. Consequently, European banks and insurance companies have nearly doubled their gains relative to the DJ Eurostoxx 600 during the first quarter of the year. These gains also resulted in Swiss banks and insurance companies outperforming the SPI during the same period.

Investment banking activity appears to have started on a positive note, with better than expected FICC (fixed income, currencies and commodities) trading volumes year-to-date. The flattening of the yield curve and the low interest rate environment, however, continue to put downward pressure on net interest margins, and ongoing regulatory reform will curtail non-interest income growth going forward. With most banks trying to offset revenue losses with expense reductions, those headwinds will continue to be a drag on returns throughout most of 2012. Due to the dramatic deterioration of Eurozone credit growth over the last four years, European banks’ return on equity (“ROE”) dropped from 18% to less than 7% in 2011, while ROE expectations for 2012 and 2013 are still

reasonable at 7% and 8.5%, respectively. The latest global fund managers survey by Bank of America Merrill Lynch indicated that their allocations to banks have notably improved, but they remain underweight in that sector. Similarly, Fund management maintained the Fund’s underweight position in banks during the first quarter of 2012. However, based on price weakness, Fund management increased the Fund’s exposure to Credit Suisse in the early part of the quarter as bank management started to address key issues, such as fixed income capital allocation and the group’s cost structure. To finance that investment, the Fund sold its position in Sarasin, as Fund management expects the offer by Safra Group for Sarasin to most likely be valued between CHF 27 and 28, which offers very limited upside potential, and also the disposition of shares of Julius Baer at the beginning of March on valuation metrics. The Fund’s investment in UBS stayed unchanged, as the bank is still on track for achieving an ROE of 12%-17% starting in 2013 and for downsizing its investment banking activities. UBS has already succeeded in reducing risk-weighted assets by CHF 20 billion with no impact on its profitability and reiterated its intention to pay CHF 0.1 dividend per share. The banking sector still faces long-term structural headwinds such as stricter regulatory oversight and a deleveraging process, which could limit ROE expansion by up to 15%, but the sector remains attractively valued on a price-to-book ratio at 0.8%.

The Swiss insurance market continued to deliver positive returns, showing overall

premium growth at 2.5% in 2011 driven by positive life segment (+5.3%) despite low guarantees to clients, health (+2.5%) and motor (+2.8%). Selective price improvements are likely to occur in 2012, which should help sustain sector activity. The insurance sector still appears undervalued, trading at slightly more than 8.4 times the 2012 earnings per share estimates and 0.8 times book value relative to historical multiples contributing to maintaining a cautious although positive outlook on the sector as a whole. In addition, this sector still offers a compelling dividend yield. Fund management has focused more on the reinsurance segment as it remains the most attractive as a result of the recovery of renewals pricing and companies benefited from strong growth in emerging markets. For example, Swiss Re, in which the Fund maintains a neutral position, recently has carried out significant de-risking of its balance sheet and benefitted from sufficient capital to boost dividend payments, stronger pricing in renewals and limited exposure to European peripheral sovereigns. The Fund maintained its overweight position in Zurich Financial Services due to the company’s reconfirmation of its targets, higher exposure to the U.S. economy, strengthening of commercial lines’ pricing, limited exposure to peripheral Eurozone countries and stable and supportable dividend payments. The Fund’s small position in Swiss Life was sold at the end of the first quarter. The Fund remained overweight in the insurance sector during the first quarter of 2012, which contributed positively to the Fund’s relative performance against the SPI, as Zurich Financial Services

and Swiss Re more than doubled their returns compared to the overall index.

Industrials Goods and Services; Construction and Materials

The industrial goods and services sector and the construction sector of the SPI were off to a strong start in 2012, which was consistent with what happened to most of the economically sensitive, high beta stocks in Europe, the United States and the emerging market countries generally. As discussed above, the ECB’s LTROs programs alleviated, at least temporarily, some of the financial stress that was building up in the system since last summer. Positive results on the U.S. economic front completed the picture for a more aggressive investment stance in those sectors. Overall small- and mid-sized companies in the industrial sector performed better than large-sized companies, especially companies linked to the energy capital expenditure cycle and to the automotive industry. For example, Zehnder, a mid-sized company in the sector active in radiators and ventilation systems, reported strong results during the quarter, with ventilation systems growing at 20%. The company is exposed to renovation and construction in Germany and France and is a beneficiary of stricter European standards for energy conservation in buildings. Germany also is one of the major export markets for Swiss industrial companies.

ABB, however, did not fully participate in the sector’s rally. The company, after pub-

lishing strong numbers in the previous quarter, reported mixed results during its last fiscal quarter of 2011. While group order intake and revenues were strong, profitability and cash flow came in below expectations. On top of a restructuring charge, the results also were affected by adverse pricing, as ABB’s gross margin was penalized by lower priced orders coming out of the backlog and by a less favorable product mix. It will remain to be seen if competition from Chinese and Korean manufacturers will start to abate. In the long run, the company is still very well positioned for an increase in electricity infrastructure spending, and will continue to benefit from structural trends towards higher spending in industrial automation and in energy conservation. The presence of larger and more defensive companies in the service segment of the sector, such as SGS and Kuhne & Nagel, reduces the volatility of the sector as a whole and was one reason why the sector as a whole underperformed most other markets in Europe in 2012.

In the construction area, Holcim’s fourth quarter results showed the first signs of margin improvements, despite high-energy cost inflation and unfavorable currency developments. Volumes and prices in Holcim’s larger markets, including India, Australia and Mexico, also started to accelerate. The slowdown in the Chinese economy, especially in construction spending, had a negative effect on sales of companies like Sika, which produces concrete admixtures, sealants and adhesives. However, the slowdown in demand in China and other Asian

countries was generally offset by increases in demand in other countries in North America and South America.

In conclusion, the industrial and construction sector benefited from better global economic conditions in spite of ongoing concerns in Europe. Business volume growth was good for most companies, but cost increases have prevented an improvement in margins despite better capacity utilization. The strong Swiss franc continued to be a drag on returns, but its negative effect is starting to dissipate provided the SNB is successful in maintaining the euro/Swiss franc exchange rate at 1.20.

The Fund continues to maintain its position in companies that Management believes are investing for the future and that benefit from increased competitive advantages, as reflected by improvement in market shares and higher profitability than their peers.

Energy

The energy sector was the second strongest performer in Switzerland with a return of 20% for the first quarter (in Swiss francs). Transocean, after a very difficult 2011, was the best performing stock in the Swiss Market Index during the quarter. Although headline results were affected substantially by a massive goodwill impairment charge, Transocean’s underlying results started to show signs of life. Contract drilling revenues and operating and maintenance costs improved from the previous quarter. Revenues bene-

fited from strong average day rates, especially for ultra-deepwater rigs and harsh environment semi-submersibles, and from higher utilization rates in the high specification fleet. Weatherford also delivered strong topline growth of 26.9% (year-over-year) and 10% (quarter-over-quarter) in its latest earnings release. Further margin improvement in North America, the Middle East/North Africa/Asia and especially Latin America was offset by a sequential margin decline in Europe and West Africa. The company still struggles with internal controls over tax reporting and will have to adjust financial results for 2010 and prior years.

The relative performance of the Fund versus the SPI was negatively affected by its underweight in energy companies, which was gradually reduced to neutral weight during the quarter. The Fund continues to maintain a neutral exposure to the energy sector. While the fundamentals for oil drilling services and equipment are positive, Management views business execution by the Swiss companies as problematic.

Healthcare: Pharmaceuticals; biotechnology

Reduced investor risk aversion during the first quarter penalized the performance of pharmaceutical stocks compared to global indices. The MSCI World Healthcare Index ended the first quarter with a positive total return of 7.6%, compared to 11.9% for the MSCI World Index. Within the pharmaceutical sector, performance of the stocks varied considerably. For example, Roche and

Novartis underperformed the SPI by 4% and 9.7%, respectively.

In January, Roche announced its intent to acquire Illumina, a U.S. biotech company, and launched a $5.7 billion hostile takeover bid. An acquisition in the molecular diagnostic field, where Illumina is active, would be strategic for Roche as it would reinforce its presence in this segment. The company’s low top line growth guidance for 2012 was below market consensus. This is partially explained by the increasing competitive pressure on Lucentis for macular degeneration, European macro-economic conditions and the more difficult reimbursement procedure in certain countries. New product launches, such as Zelboraf and Erivedge, both in the oncology franchise, and the potential FDA approval of Pertuzumab for breast cancer will shed some light on the value of Roche’s product pipeline.

Roche is in a relatively comfortable position when assessing the exposure of its product pipeline to generic competition, as compared to its peers. For example, Novartis expects a combined sales decline of $3 billion due to the loss of U.S. patent protection of its antihypertensive drug Diovan in September 2012. Also, the anticipated reduction in demand for Aliskiren, as a result of safety issues in a sub-population of patients with cardiovascular risks, was a major setback for the hypertension franchise. As a result, Novartis’ management announced a restructuring program of its primary care business in the U.S. that should take effect in the second

quarter of 2012. This critical situation is putting a bright spot on the rest of Novartis’ pipeline and the market share expectations for the recently approved specialty care drugs, Gilenia (for oral administration in multiple sclerosis) and Afinitor (for various tumor types). On the consumer health manufacturing side, the consequences of the suspension of production at a U.S. plant in December 2011 remains uncertain with an expected restart of production in mid-2012.

Addex has established a proof of concept in Parkinson’s disease for its experimental drug Dipraglurant, and reported a positive clinical study with promising efficacy in March 2012. This outcome surprised the market and the stock was up 70% on the day of the announcement. The European biotech sector continues to suffer from poor market conditions, limited access to capital and a lack of critical mass. In comparison, conditions in the United States are more attractive for biotech companies, as demonstrated by the capital raised and the performance of the industry indices (for example, the Nasdaq Biotech Index was up 18.2% in the first quarter of the year), which reflect the strong fundamentals of the industry.

Chemicals

The sentiment in the chemical industry has improved significantly over the past few months, however, various factors, including a weaker demand in China, ongoing weak economic conditions in Europe and the increase in raw material prices, remain a source

of concern. Specialty chemical companies, such as Clariant, could profit from a late cyclical recovery and the Süd-Chemie final integration is expected to be effective mid-2012. The consumer chemical segment is more defensive and, as a result, the fragrance and flavor company Givaudan should benefit from its pricing power and manage volatility in commodity prices.

On the agribusiness side, corn and wheat prices have gone sideways since the start of the year, while soybean prices have increased 13% as U.S. farmers expressed their intention to move some acreage from soybean to corn production in 2012. The crop protection sales volume was expected to be strong in the first quarter due to the warm winter season and the high demand in the U.S. as acreage increases. Syngenta’s management might issue a fairly optimistic statement for the second quarter based on positive indicators for the upcoming season.

Private Equity and Other Illiquid Investments

The Fund did not add to its illiquid direct investments or its investment in private equity funds in the first quarter. The Fund’s total draw downs in its two limited partnership investments, Aravis Biotech II, LP and Zurmont Madison Private Equity, LP represented 3.66% of the Fund’s net assets as of March 31, 2012.

Outlook

The global equity markets had a very strong start of the year, which Fund management attributes to the reduction in financial risk in Europe, following the implementation of the LTROs by the ECB, in an environment of low expectations and low valuations. The markets, however, might be entering a phase of consolidation during the next few months as this positive news will be reflected in current market prices and company valuations. Overall, high levels of cash, low levels of debt and favorable valuations of equity investments in Swiss companies represent a good investment in an environment of very low interest rates. While volatility will continue, as governments and central banks across the world are very influential at this stage of the economic cycle, Fund management expects investors to start increasing their allocations to equities and away from corporate bonds.

Fund Performance review

As was the case for global equity markets, the Swiss market experienced a positive result in the first quarter with a total return of 6.97% in Swiss francs as measured by the SPI. Although the Fund’s return of 6.30% in Swiss francs slightly trailed the SPI, the Fund’s stockholders realized a significant appreciation of 12.66% in the value of their shares. This was due to a combination of the strength of the Swiss franc relative to the dollar and to a narrowing of the Fund’s trading discount to its net asset value.

Sincerely,

Alexandre de Takacsy

President

Rudolf Millisits

Chief Executive Officer

Source: Citi Fund Services Ohio, Inc.