We are pleased to provide you with this Annual Report covering the twelve-month period ended December 31, 2015. During a very challenging market environment for equities in general, the Fund was able to deliver positive performance when many other growth-oriented investments declined in value.

Global equities, in general, experienced heightened volatility throughout most of 2015 as China’s economic slowdown, the global commodities glut and speculation as to the timing and magnitude of the Federal Reserve’s first interest rate hike in nearly 10 years all weighed on sentiment and risk appetites. ‘Grexit’ risk along with political risk in Iberia following two elections also resurfaced. Meanwhile, the actions of the European Central Bank and the Bank of Japan with their respective quantitative easing measures were an attempt to help boost their respective markets. Against this backdrop, the Swiss economy, despite abandoning the exchange rate floor of the Swiss franc versus the euro early in the reporting period, contracted only slightly and remained healthy, while the Swiss market rebounded into positive territory by year end.

Over the next six months, we expect broad market volatility to persist as investor confidence oscillates from concerns over rising interest rates, a potential global economic slowdown and the

impact of low energy prices. Our detailed comments regarding the Swiss economy follow in our Management Discussion and Analysis. We also encourage you to visit www.swzfund.com for daily price and performance information, fund documents and investment updates.

In terms of the Fund’s operations, we continued to make progress in 2015 among a number of important cost-reduction efforts previously outlined in communications to shareholders. We completed the transition to J.P. Morgan Chase Bank, N.A. as the Fund’s custodian, administrator and fund accountant. In addition, under the stewardship of the Fund’s managers, we continue to seek to improve the return on investment of the portfolio, which we describe in more detail in the Annual Report. Overall, we believe that these actions will continue to benefit shareholders and make the Fund an attractive vehicle for accessing the Swiss equities market over the long-term.

Again, we thank you for investing with us and look forward to our continued relationship.

Sincerely,

Mark A. Hemenetz, CFA

President

Management Discussion and Analysis (As of December 31, 2015)

For the twelve-month period ended December 31, 2015, performance of The Swiss Helvetia Fund, Inc. (the “Fund”) as measured by the change in the Fund’s net asset value per share (“NAV”) increased by 2.96% in US dollars (“USD”). For the same period, the Fund’s share price performance in USD was up 1.41%, as the discount at which its shares traded widened. This compares with an increase of 2.58% in the Swiss Performance Index (the “Index” or “SPI”) as measured in USD. In the final quarter of the year, the Fund’s NAV increased by 2.97% and its share price increased by 1.67%, compared to a rise of the Index of 3.17%, all measured in USD.

Economic environment during the period under review

Global economic review

A common economic theme for 2015, as for the previous year, has been the lowering of growth expectations as the year progressed, based on actual quarterly real gross domestic product (“GDP”) numbers. This was true for most regions, except Europe, where growth expectations increased moderately after the European Central Bank (“ECB”) announced a very substantial quantitative easing program in January. Nevertheless, European growth is still clearly low when compared to the US or emerging economies, as well as versus its own historical average. The growth gap describing the difference in the speed of expansion in emerging economies versus

developed nations has been significantly reduced as falling commodity prices took their toll on resource-exporting economies. China, which unlike other emerging countries is a resource-importing nation and thus ought to have benefited from lower commodity prices, cooled down from formerly very high levels of growth as the economic cycle seems to have matured, as evidenced by overcapacity in manufacturing and a correction in the overheated real estate market.

European economic review

In the United Kingdom, GDP growth forecasts declined throughout the past year from 2.6% to 2.2%. Continental Europe enjoyed a broad-based recovery of GDP growth from 1.1% to 1.5%, and over the course of 2015 there were rising GDP expectations, with certain exceptions for smaller countries, such as crisis-stricken Greece. Notable progress in GDP growth was made in Spain from 1.8% to 3.2% thanks to the early adoption after the financial crisis of a comprehensive package of reform measures. The outlook also improved for Germany, France and Italy, as a result of the euro’s lower exchange rate.

Swiss economic review

The Swiss economy was clearly affected by the decision of the Swiss National Bank (“SNB”) in January 2015 to abandon a previously defended floor of 1.20 in the exchange rate of the Swiss franc versus the euro. Before the decision, Swiss GDP was

expected to grow by 1.6%—a rate above the average for countries sharing the euro. Expectations inevitably adjusted over the following two months to around 0.8%, where they stayed remarkably stable for the rest of the year. Our encouraging conclusion from many meetings with management of listed Swiss companies is that they were well-prepared and acted swiftly, since it was not the first instance of a rapid appreciation of the Swiss franc. We were initially more cautious in our assumptions and had expected the Swiss economy to contract in 2015, when measured on a quarter-over-quarter basis, due to a very high export rate. However, Swiss GDP only fell in the first three months of 2015 on a quarter-over quarter-basis, then grew by 0.2% in the second quarter and stagnated in the third quarter (in constant prices and seasonally adjusted terms). Contributions from private and public households were positive, as expected. The surprise came from a decline in the nation’s trade data, which showed that exports and imports fell on a nominal basis. However, prices for imported goods fell more than for exported merchandise, allowing the Swiss trade balance to remain healthy and even accelerated from 4.6% to 5.8% of GDP in 2015, compared to 2014. Overall, the impact that currency fluctuations had on the economy, in hindsight, was clearly less than feared; although we do not want to downplay the effect it had on some smaller, non-listed companies in the capital goods sector and on unemployment, which

increased to 3.4% from 3.2% over the year on a seasonally-adjusted basis. All Swiss prices declined, even those for domestically manufactured goods.

Market environment during the period under review

Performance for the full year was modestly positive for US and Swiss stocks due in large part to a recovery in the final quarter. While measured in euros, European stock markets advanced significantly due to the quantitative easing of the ECB; however, when converted back into USD, they stayed in negative territory. The positive performance of the Swiss market is remarkable, in our view, given the fact that it lost around 15% during the two trading days following the January decision of the SNB.

Swiss equities, as measured by the Index, gained 2.58% as measured in USD. Although the overall volatility of the market was within its historical range, the difference between the best and worst performing stocks was quite wide. The best performing stocks and sectors had only a small weighting in the Index, while larger-weighted stocks and sectors did not show unusually large deviations from the Index return. It is not a surprise therefore that small- and mid-cap stocks, as represented by the SPI Extra Index, which tracks small- and mid-cap stocks traded on the SIX Exchange, outperformed the 20 stocks that compose the large cap Swiss Market Index (“SMI”) by 9.87%.

Most of the best performing sectors (media, retail, travel & leisure, auto & parts, technology, and utilities) have an Index weight of less than 1%. Of the heavier-weighted sectors, chemicals came first with a total return of 18.77% for the year as measured in USD, due in large part to a strong performance of Syngenta, which received several merger approaches from competitors. Financial services (+10.89% in USD) also did well as a sector, while stocks like VZ Holding, Partners Group and Leonteq gained. Banks (+9.47% in USD) were propelled by the performance of UBS. The food sector with its

heavyweight Nestlé advanced by 5.44% in USD, while healthcare slightly underperformed, mainly due to a decrease of 3.53% in USD by Novartis. Other sectors experienced losses over the past year, in USD terms. The insurance sector (-0.31% in USD) did not keep up with the broad financials sector as it suffered mainly from weak performance of Zurich Insurance as unsolved strategic and profitability issues hurt the company, and might have led to the departure of the CEO on December 1, 2015. The industrial goods sector (-2.40% in USD) was dragged down by stocks that derive

revenues from the oil industry, such as ABB, Sulzer and Burckhardt, or those with a high proportion of sales from emerging markets such as DKSH, OC Oerlikon, Panalpina and SFS. Meanwhile the construction and materials sector (-9.63% in USD) was pulled down by cement producer LafargeHolcim. Personal goods (-17.64% in USD) was the worst larger sector, due mainly to reflected price declines by Richemont and Swatch, which suffered on growth concerns in China, a large market for these businesses.

Performance

In comparing the Fund’s NAV return of 2.96% with the performance of the Index of 2.58%, there has been a significant positive impact from stock selection within listed stocks. However, further negative revaluations of the private equity holdings, which Schroders inherited from the Fund’s former adviser, were almost entirely offsetting. By nature, these securities have no open market in which they can be traded. Efforts to liquidate them were undertaken in 2014 and 2015, but those opportunities did not pan out (with one recent exception). Since assuming management of the Fund on July 1, 2014, the aggregate performance impact from private equity holdings has been significantly negative. However, with Kuros Biosurgery AG, at least and at last, there has been one successful counterexample: the Fund materially increased its holding in

August 2015 in connection with a financing round. In December, Kuros announced merger plans with Swiss stock-listed Cytos Biotechnology AG. This merger was completed in January 2016, and we have been able to liquidate a portion of the Fund’s holding in the merged company at a substantial increase to the Fund’s last valuation of Kuros.

When looking at the Fund’s listed stocks, performance benefited in absolute USD terms from some of its larger positions, i.e., Roche, Lindt & Sprüngli, Syngenta, Logitech and Tecan. Some smaller holdings also were helpful for absolute performance: Aryzta, EFG International, gategroup, Helvetia, Leonteq, Lonza and VZ Holding. These stocks also contributed positively to performance compared against the return of the Index. Furthermore, it was positive for relative performance that we had an underweight in Novartis as well as a zero weight in the following large cap SMI members: ABB, LafargeHolcim, Zurich Insurance and Transocean.

Negative contribution was experienced from Swatch, Burckhardt Compression, Sunrise, Sonova, OC Oerlikon and Bucher. These stocks also contributed negatively against the return of the SPI on a relative basis. In addition, the Fund’s relative performance was also negatively impacted by not owning positions in Swiss Re and Galenica.

Private Equity Investments

As previously stated, the overall value of the Fund’s private equity investments declined, as there were negative developments that affected their fair value and several companies conducted additional financing rounds. The limited partnership Zurmont Madison Private Equity LP distributed the proceeds of two more divestments for a total value of US $4,722,446. However, the effect of the action of the SNB on January 15, 2015 had a more

negative impact on Zurmont’s remaining portfolio companies than their listed counterparts. This resulted in a devaluation of the carrying values for these holdings. There was also a negative adjustment to the valuation of the limited partnership Aravis Biotech II, which sold one holding for a price materially below its previous value estimated by Aravis’ management. The Fund also reduced its fair valuation of Kuros, Novimmune and Selfrag, in part, due to the dilutive effect of additional financing rounds.

The Fund did not participate in the Novimmune or Selfrag financings. The Fund did, however, participate in the Kuros financing and subscribed for an amount approximately three times the fair value of the original holding at the time of the financing. This was a deliberative decision, following an extensive due diligence process. We also lowered the fair value for Ixodes, based on updated information and management forecasts.

Portfolio changes

Despite changes to the number of holdings from last year, the Fund’s portfolio turnover as a percentage of its total net assets was lower than the Fund’s average turnover ratio during the preceding years covered in the Fund’s financial statements. In total there were 20 purchases and 17 sales of listed equities on a net basis during the year. As of December 31, 2015, there are 37 listed companies held by the Fund and six direct investments into privately-held companies, plus two participations held in private equity limited partnerships.

In 2015, we added Airopack, Cembra Money Bank, SFS Group, gategroup, Sunrise Communications, among others, as new investments for the Fund.

Airopack is a small company with a focus on innovative packaging and dispenser solutions, including dispensing technology driven by air pressure without the need for chemical propellants. Its largest client is

Procter & Gamble, which is offering under the Gillette brand the first products (razor gel) with the dispenser solution of Airopack.

We added Cembra Money Bank, the leader in personal loans and a top-three in car financing in Switzerland. Cembra is a good example of what we seek through our investment style: an extremely solid balance sheet with a tier 1 capital ratio of about 19%, well in excess of the regulatory requirement. We believe its valuation is attractive when looking at its Price-to-Earnings (“P/E”) ratio and dividend yield. Management has a strong cost-management focus. This is also the reason why we are confident that Cembra can very substantially mitigate the impact of the lowering of the maximum interest rate that is allowed to be charged on consumer loans. The decision of the Swiss government did not come unexpectedly and provided a buying opportunity.

Travel and leisure company gategroup is an independent provider of products and services for on-board airline passengers. We had several meetings with the company’s chairman and management, as well as with an activist shareholder. We gained confidence that the operational underperformance of the business would be addressed, with the first result having been realized in the second half of 2015.

SFS Group has a high-quality business for niche fasteners and its business model allows for high margins and high free cash flows. We used the steady decline in the

share price of SFS Group during the third quarter of 2015 to buy a position later in the year as we believed the valuation became attractive for such a high-quality asset.

Sunrise Communications is the second largest telecommunication company in Switzerland, its sole country of activity, which is largely concentrated among the top four players and is an attractive asset with high brand loyalty. We decided to participate in the company’s IPO as we liked the stable nature of the business, and it was priced at a discount to Swisscom, the incumbent industry leader.

Four positions were fully liquidated by the Fund: Sika, EFG International, Banque Cantonale Vaudoise and Clariant.

In the first quarter of 2015, we sold our position in Sika. While the stock had performed well since our acquisition, we sold our position after evaluating the potential impact of an ongoing legal dispute involving the company’s founding family.

We sold EFG International and Banque Cantonale Vaudoise, as the stocks reached our price targets and we saw what we believed to be limited upside potential.

We substantially reduced Clariant when take-over rumors propelled it to levels closer to its fair value. The remaining small position was sold in December, as we needed to increase cash for the Fund’s distribution to stockholders.

The increases and decreases of existing positions were in response to the relatively high volatility of individual stock prices, which lead to greater or smaller upside to our fair value estimates, respectively, which triggered portfolio adjustments.

Outlook

Global economic outlook

Market expectations of global output in 2015 were revised downwards in the course of the year and stand now at 2.5%, after growth of 2.7% in 2014. We expected such a deteriorating growth pattern, as we deemed forecasts at the beginning of 2015 as too high. For 2016, we expect a broadly unchanged environment with global growth again at approximately 2.6%. This is below consensus expectations of 2.8%. The IMF even expects a growth rate in 2016 of 3.6%, which seems to be far too optimistic in our view.

We still assume that the increasingly deteriorating growth prospects of developing economies can be partly compensated by a better performance in the developed world. Growth in the emerging economies has disappointed for some time already. Tighter US monetary policy weighs on activity and commodity weakness will continue to hinder

producing economies. Concerns over China’s growth persist. It was generally assumed that Chinese growth hovers around 7% but recent actions of the Bank of China are indicating that growth in reality is lower. For 2016, China is expected to grow at 6.5%.

Growth prospects in the developed economies in Europe and North America are intact as these regions benefit from low energy prices and interest rates. The US Fed is expected to look through the low headline CPI inflation and focus on a firmer core rate and tightening labor market. We expect the impact of this tightening on the real US economy to be very limited.

The Eurozone additionally benefits from a weak euro. However, we do not foresee acceleration in Europe as tailwinds fade and the external environment drags on growth. Inflation should turn positive again in 2016 and rise modestly into 2017. The ECB is expected to keep rates on hold and to continue quantitative easing through to March 2017.

Swiss economic outlook

In Switzerland, the decision by the SNB to abandon the floor for the exchange rate against the euro of 1.20 had initially created a lot of uncertainty about its effect on economic growth. It has now become more visible that the impact is less severe than initially feared as GDP was expected to grow at a respectable 0.8% in 2015. For 2016, the KOF Economic Institute of the Swiss Federal Institute of Technology in Zurich expects a slight

acceleration to 1.1%. The Swiss State Secretariat for Economic Affairs (“SECO”) is more optimistic with a growth assumption of 1.5%. Overall, the economic environment in Switzerland can be characterized as stable but fragile. Stable because the impact from the Swiss franc appreciation has not been as significant as initially feared. Reasons behind this are the high flexibility of Swiss listed companies to adapt quickly to a new reality, but also a slight recovery of the euro and especially the US dollar against the Swiss franc during the course of the year. However, the situation is fragile, as uncertainty remains high: this is in part because of the global economy, which for an exporting nation such as Switzerland plays an important role and also because of further potential currency appreciation against the euro, as the ECB has embarked on a massive quantitative easing program, whose end date is not yet foreseeable.

Investment view

The overall little-changed economic activity should provide a stable backdrop for corporate profits—the main driver of stock prices in the long run. Also, the monetary

environment should facilitate continued liquidity flows into equity markets. Despite this, we do currently believe there are also dangers that somewhat dampen our positive outlook for equity prices. Many European stock markets are near all-time highs primarily as a consequence of expanding P/E multiples and the thinking among investors that there is no alternative to equities. The correction in the first few weeks of January has not changed our cautiously optimistic view on equity markets. We are of the view that the world is not braced for a “Japanese” experience of deflation and stagnation, and therefore see equities as the best placed asset class. However, given the quite elevated current level of stock prices and expensive valuation metrics, such as P/E, we expect stock volatility to increase and setbacks to last longer than those experienced during the past four years. This offers us, as active, price conscious investors, opportunities to add or increase positions in stocks that have unduly corrected and are still attractive from a long-term perspective, something we have been doing consistently since we took over the Fund’s management in 2014.