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 the Hottinger Group.

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

Executive Offices

The Swiss Helvetia Fund, Inc.

1270 Avenue of the Americas, Suite 400

New York, New York 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 Market Review

The global macro-economic situation worsened over the summer. According to International Monetary Fund (IMF) forecasts, the global economic recovery is slowing, with global gross domestic product (GDP) growth projected at 4.0% for both 2011 and 2012, down from prior forecasts of 4.5%. The IMF noted that global GDP growth has entered a challenging new phase with global activity weakening and a recent sharp fall in consumer confidence. Moreover, the new head of the IMF, Christine Lagarde, along with the Organization for Economic Co-operation and Development (OECD), has focused on the immediate need to recapitalize European banks. The combination of the European sovereign debt crisis and the undercapitalization of European banks has led to heightened financial market stress with a substantial impact on the global economy.

The third quarter of 2011 saw a slowdown in the global economy and increasing fears of a double-dip recession in the U.S. and Europe as a result, in part, of the lack of stimulus efforts on the part of European policymakers. Leading indicators, including Purchasing Managers Indexes (PMI), also showed that the second quarter soft patch extended well into the third quarter of 2011. For instance, the JP Morgan Global Manufacturing PMI remained slightly above the breakeven 50 mark in August, but output, new orders and new export orders continued to contract. Half of the countries reported PMI still above the critical threshold of 50, although only 25% of those countries, including the U.S. and China, showed a

monthly increase. Although these indicators continued to deteriorate and U.S. GDP growth forecasts were reduced, sustained U.S. consumer spending, strong monetary growth expansion and lower oil prices may suggest only slower GDP growth rates instead of a double-dip recession.

From a Eurozone perspective, the sovereign debt crisis continues to be a significant short-term risk to global financial stability. Concerns about European sovereign debt and, by extension, that of the European banks holding sovereign bonds, have led to a renewed credit freeze as banks maintain high cash reserves, but have tightened their lending practices. As a result, there is a real risk of a feedback loop with low growth rates, increases in non-performing loans, further weakened banks, and additional cuts in lending. The European Central Bank (ECB) and EU authorities continue to demonstrate their commitment to the Eurozone. The ECB has intervened in the bond markets by purchasing more than 150 billion euros of government bonds. This action, however, has sterilized most of the ECB’s operations and reduced its lending to financial institutions. Although there are no opt-out clauses under the EU constitution for EU members to leave the Eurozone, the Lisbon Treaty explicitly states that any withdrawal should come from a Member State’s initiative and willingness. The Treaty also states that the adoption of the euro by Member States is irrevocable. ECB and EU authorities are concerned that, if one country left the EU, speculation about other weak economies also leaving could generate

very high costs for Eurozone as well as for the global economy.

With respect to Greece, the country’s total debt burden stands at more than 320 billion euros. Greek default is well anticipated with 5-year credit default swaps (CDS) spreads signalling a 98% probability. The IMF, EU and ECB are reopening talks in Athens on Greece’s progress in meeting its budget targets for the next 8 billion euro tranche from the country’s 110 billion euro rescue program. Meanwhile, due to the escalating funding needs of Greece, speculation is mounting about a further haircut on Greek debt of up to 60% (originally it was around 20% in July). In early October, Greek Prime Minister George Papandreou announced that Greece will fail to meet its fiscal deficit target of 7.6% of GDP for this year, and instead will only manage to reach 8.5% of GDP. Other peripheral countries, including Italy and Spain, also have come under pressure in recent months. For example, the spotlight on Italy re-emerged after Moody’s downgraded Italy’s sovereign debt rating three notches to A2 from Aa2 in early October.

The European sovereign debt crisis has had a significant effect on the larger European financial sector with CDS spreads for financials reaching their highest historical levels. To improve liquidity, the ECB and other central banks decided to ease U.S. dollar funding of European banks. European policymakers also agreed to expand the guarantee scheme of the European Financial

Stability Facility (EFSF) fund and to give the fund more flexibility, which will allow it not only to lend to countries under IMF, EU and ECB programs, but also to intervene in primary and secondary bond markets and to recapitalize banks via sovereign investment. Because the sovereign debt crisis continues to grow, and has moved beyond Greece, Portugal and Ireland to Italy and Spain and even to certain French banks, such as Dexia, and others, it has become evident that the EFSF initiative will be insufficient to cope with the needs of the larger European Monetary Union countries in the long term. Some recapitalization of European banks may occur while Greek debt is being restructured, provided that the ECB continues to provide unlimited support to the bond market. The risk of a recession has increased in the Eurozone and will continue to increase as long as the Greek debt problem is unresolved. On the monetary front, future implied rates are discounting cuts before year end with important issues in the interbank market, such as the reluctance of the European banks to lend to each other. In the long run, fiscal discipline through closer fiscal integratio represents probably the most credible solution.

The increased risk of recession also is spreading across emerging market countries. Although those economies continue to demonstrate stronger growth than the G7 nations. However, tightening monetary cycles are expected to end in key countries, including Brazil, Korea, Malaysia and, potentially, China in the near future. In particular, China’s late stage monetary

tightening policy could end soon, as monetary growth dropped below the Chinese Central Bank’s target and credit growth fell below GDP growth. Inflation levels appear to have peaked; however, they remain elevated given strong demand pressures. Assuming slower growth in the months ahead, Asian central banks are more likely to leave policy rates unchanged.

Overall, risk aversion in financial markets continued throughout September, an event that has not spared any asset class. Global equities dropped by more than 15% in the third quarter of 2011, and were negatively affected by heightened global macro-economic concerns despite strong corporate fundamentals. Companies also continued to be negatively affected by substantial earnings downgrades. Many sectors and stocks have reached their lowest valuations since the global financial crisis in 2008 and 2009, and appear to be oversold. Management still anticipates most of the headwinds to persist in the short-term, while equity markets could move upward on compelling valuations both from a historical perspective, as compared to other asset classes, and on clearer prospects of a resolution to the European sovereign debt crisis.

A shift towards less stable but faster growing investments by the Fund would need to be preceded by a recapitalization of the European banking system (i.e., systemic risk mitigation) along with a move towards more fiscal integration in Europe (e.g., Eurobonds issuance, EFSF expansion and the ECB officially being the lender of last resort for the region).

Swiss Economy Review

Swiss economic growth slowed in the second quarter, with GDP growth up by only 0.4% quarter-over-quarter and 2.3% year-over-year, which were the lowest growth rates since 2009. Subdued private consumption (+0.2% quarter-over-quarter) as well as declining equipment investments (-1.5% quarter-over-quarter), were the two main detractors, while construction expenditures also fell 2.5% quarter-over-quarter. However, the slowdown in construction spending should prove to be temporary when looking at the robust orders in new construction, with unfilled orders reaching a new all-time high in the third quarter, and building permits increasing strongly. The external sector (exports minus imports) contributed positively for another quarter despite the strengthening of the Swiss franc (up by more than 7% against the U.S. dollar), while government spending rose by 2.8% quarter-over-quarter, helping to offset subdued domestic demand. Despite this economic deceleration, Swiss GDP growth still outpaced the Eurozone during the second quarter.

Looking at consumer spending developments, households also expect a general economic slowdown tied to the deterioration of their own financial situations. Consumption behavior, however, remained generally unaffected, as demonstrated by solid growth in retail sales at +2.9% in July (decelerating in August by 1.9%) and new car registrations (+9.1% in August and +18.6% in September). The elevated migration into Switzerland, along with low and stable unemployment

(unchanged at 2.8% in September), continued to support domestic demand.

From a business survey standpoint, the Swiss KOF (Konjunkturforschungsstelle) leading indicator fell almost 25% in September, which is the sharpest decline in more than two years and reflects the significant slowdown in the pace of economic activity. During that period, the strength of the Swiss franc started to have a significant negative effect on Swiss competitiveness with markedly worse performance by export industries and losses in local tourism. The watch industry, however, continues to be extremely resilient, growing by 16% in August. The other key indicator, the Swiss PMI, also faded and dropped below the critical boom-bust line of 50 to 48.2. Within the Swiss PMI, the production sub-index posted the biggest decline, while the more forward-looking order backlog was stabilized, albeit at a subdued level. Overall, although Swiss industrial activities have lost some of their momentum over the last several months, they have not faltered to a similar degree observed in late 2008 and throughout 2009. Despite the detrimental effects of the strong Swiss franc, purchasing managers in Switzerland continue to have confidence in their economic future.

After many failed attempts to weaken the Swiss franc since the start of the financial crisis, the Swiss National Bank (SNB) signaled a shift to a more aggressive stance. As a first step, the SNB reduced its 3-month CHF-LIBOR target to 0% and massively expanded its sight deposits (above CHF 200

billion), while buying back SNB bills above par, pushing their yields deep into negative territory. In a second step, in early September, the SNB set a target of CHF 1.20 against the euro and started selling Swiss francs in potentially unlimited quantities. The SNB intends to continue reducing the attractiveness of investments in Swiss francs and is prepared to allow its foreign exchange reserves and its balance sheet to expand to whatever level is necessary to achieve its goal. Moreover, the SNB lowered 2011 estimated Swiss GDP growth from 2.0% to 1.5%, as the economic outlook remained particularly uncertain, while at the same time cutting its inflation forecast to 0.4% in 2011 and -0.3% in 2012. The SNB believes that inflationary risks remain contained. Moreover, foreign exchange reserves grew by an additional 30 billion Swiss francs during September 2011 to 282 billion Swiss francs. The exchange rate floors established by the SNB constituted a great relief for all exporters with a cost base in Swiss francs. SNB’s intervention could potentially be successful as the Swiss franc is overvalued and the markets have not engaged in a large scale test of the SNB’s lower boundary. However, it will be difficult for Switzerland, through unilateral action, to reverse the strengthening of its currency given the larger ongoing deterioration in the fundamental outlook for the Eurozone. One positive development, however, has been the widening inflation gap between the Eurozone and Switzerland, which has lead to a declining fair value in EUR/CHF on purchasing power parity (PPP) considerations. In this context, the Swiss franc has experienced huge moves this year, ending

up 2.7% against the euro and up 4.9% against the U.S. dollar at the end of the third quarter. Continuing European sovereign debt issues and high financial market tensions will limit strengthening of the euro against the Swiss franc, while the U.S. dollar should slightly appreciate against the euro and, therefore, the Swiss franc, in the very short-term based on inflation and economic growth differentials.

As a result of heightened risk, equity market volatility increased dramatically in the third quarter of 2011, leading to a decline of nearly 12% for the Swiss market, with the small- and mid-cap segment dropping by 18%.

Sector Review

Consumers

Although the brand names in the consumer sector are generally regarded as defensive, the economic climate remained challenging for those companies. Rising raw material costs negatively affected profitability levels and the continued strength of the Swiss franc will continue to negatively affect Swiss companies reporting in the domestic currency. Nestlé, for example, had cost increases of almost 3 billion Swiss francs this year, which it was able to partially offset by savings programmes, growth, sales mix and pricing. The company is expected to deliver constant currency margin improvement and 5% to 6% organic growth on potentially higher pricing during the second half of the year, in spite of flatter volumes. Double digit growth in Asia, Africa and Middle East outweighed subdued expansion in the developed world. Although

Nestlé’s management did not reject the idea of a new buyback program, priority is being given to the company’s financial flexibility. In the current volatile economic environment, Nestlé should continue to offer resilient underlying earnings growth. The company’s stock price fell by 4.1% in the third quarter, outperforming slightly the European food and beverage sector.

Lindt, the worldwide leader in the premium chocolate segment, should outperform the sector with projected organic growth in Swiss francs of 6% to 8%. Considering its relative overexposure to developed countries and its high dependence on competitive cocoa, sugar and milk prices to generate growth, however, Lindt is more exposed to economic downturns than its peers in the consumer sector. The company’s ongoing share buyback program, implemented in May of this year, will last to the end of 2012, with a maximum buyback of 5% of the company’s capital stock.

The personal goods and services segment was a weak performer across all European indices during the third quarter. Fears of a hard landing in China, which would harm Swiss luxury goods and watch companies, were the main reason for this selloff. Swatch and Richemont have higher exposure to China than their European peers, with 34% and 24% exposure, respectively. Although Fund management does not currently expect a global recession, the Fund’s exposure to both stocks was reduced slightly during the third quarter. Excluding a hard landing scenario in China, Swiss domestic demand

should remain high for luxury goods. If the Chinese government implements certain tax relief on luxury goods, it would be beneficial for Swiss watch exports.

Industrials Goods and Services

The industrial sector’s performance was strongly affected by the wild swings in the Swiss franc during the quarter. Once the U.S. dollar plunged below 0.90 per Swiss franc and the euro closed down to 1.18 per Swiss franc, the negative correlation between the Swiss franc and the industrial sector increased significantly. Despite the SNB’s currency intervention and the subsequent devaluation of the Swiss franc by a whopping 25% against the euro and the U.S. dollar since mid-August, the sector has recovered modestly. During the year, the Fund progressively increased its exposure to large companies by reducing its weighting in small and mid-capitalization companies, including those in the industrial sector, in part because of the better ability of the large companies to withstand the negative impact of the strong Swiss franc. Their suppliers’ base is generally more geographically diversified which allows them to increase sourcing outside of Switzerland better matching revenues’ currencies and cost currencies. Swiss industrial companies, on the other hand, saw their sales levels, operating profits and resulting growth rates, as measured in Swiss francs, strongly reduced as a result of this negative translation effect. At the same time, company margins have been negatively affected by delays in passing raw

material price increases on to customers. This delay was partly a result of slower economic growth that spurred more competitive behavior among corporations. The market share of Swiss industrial companies, however, does not appear to have been negatively affected at this time.

Other sources of concerns for the sector are the slowdown in global GDP due to austerity measures implemented in different Western countries and due to the lagging effect of tightening monetary conditions in the emerging market countries. These measures should continue to lower expectations for the industrial sector in the near future.

SGS’ performance suffered from excessive sales and earnings growth expectations. The company’s organic growth was strong, but the company’s overall performance suffered due to the strength of the Swiss franc, as SGS does business in more than 90 countries whose currencies fell against the Swiss franc.

Kuhne & Nagel, a logistical company, continues to grow above the market rates in sea and air freight. However, the global economic slowdown has started to negatively affect the volume of goods shipped. The company’s management cut its volume guidance for the year from 7% to 6% for sea freight and from 18% to 10% for air freight. The summer months saw sequential rebounds in activity, but September, usually a seasonally strong month, saw a renewed slowdown.

Healthcare

Global markets plunged in early August as a result of the deterioration of global macro-economic indicators and due to fears that the Greek debt situation would contaminate other European countries. Healthcare was not immune to the downturn, and large pharmaceutical stocks dropped alongside other sectors. The MSCI World Pharmaceutical Index was down 16% in the first few days in August as were the more cyclical medical technology companies in the sector. Swiss pharmaceutical stocks also were penalized, but the sector ultimately rallied during the quarter as a result of investors moving into the defensive sectors, and outperformed the Swiss indices. In such an economic environment, investors should continue to be attracted to the predictable cash flow from companies in this sector, the dividend payout of the pharmaceutical companies and the attractive yields. Roche and Novartis offered dividend yields of 4.6% and 4.3%, respectively, both of which are above the average yield for the Swiss market in the last decade (2.3%).

Roche remains confident that its on-going operational excellence program (initiated in November 2010) to reduce marketing and research and development expenses will improve the company’s overall profitability, and has revised its annual earnings per share estimates upwards from single digits to 10% (in Swiss francs). Product sales should expand at a slower pace; however, as they are expected to be negatively affected by U.S. healthcare reform, European austerity measures and price cuts in Japan. Roche’s long-

term prospects are attractive considering the quality of the product pipeline for its pharmaceutical division and the significant progress Roche is making in diagnostic tests. Roche’s combined strengths in pharmaceuticals and diagnostics will position the company as one of the largest healthcare leaders in personalized medicines. After the many clinical setbacks in 2010, which delayed the development of new compounds in the oncology area, Roche has slowly regained the confidence of the market. Fund management has maintained a cautious stance on the stock, but remains supportive of the long-term strategy of Roche. The robust outperformance of Roche during the quarter (+16.5% versus the SPI) was mainly explained by the perceived relatively low valuation of the stock and its attractiveness for value investors.

Novartis is continuing its efforts to improve productivity across the company. The company’s efficiency improvement program is aimed at streamlining core processes that led to margin progression across all divisions, with savings in marketing and in selling, general and administrative expenses. Novartis’ management has painted a picture of accelerating growth for the second half of the year. The integration of its eye care business, Alcon, which is one of the company’s strategic priorities, is contributing to the company’s diversified healthcare portfolio. Management’s expectation for the pharmaceutical pipeline is high. Future cash flow contributions from potential blockbuster drugs, such as Afinitor and Tasigna (oncology) and Gilenya (multiple sclerosis) are expected to

outweigh the decline due to patent expirations of legendary multi-billion products, such as Diovan.

The Swiss biotech and medical technology sectors have been disregarded by investors in recent years. Fund management remained optimistic on the prospects of these two industries, in particular on certain private equity holdings with niche products, but has reduced the Fund’s exposure for tactical reasons. As reported previously to stockholders, Fund management believes that the small- and mid-cap companies in this sector are well positioned to secure sizeable licensing deals with pharmaceutical firms and could be targets for merger and acquisition activities.

Chemicals

Increases in raw material prices should continue to apply pressure to margins of companies in the chemical industry in 2011. Consumer confidence, which has reached its lowest level in the past two and one-half years, reflects the deteriorating conditions that face the more cyclical activities of the industry. Givaudan, a fine chemical manufacturer, has a diversified revenue base with limited cyclical exposure (fine fragrances account for less than 10% of company sales). On the agribusiness side, the fundamentals of companies such as Syngenta are improving with a more favorable outlook for crop and seed prices. Syngenta’s management is confident in the Latin American season, which starts in September, and expects strong volume growth during the second part of the year.

Financials: banks and insurance

The European financial sector has been hit by a massive de-rating since the end of the second quarter this year. The IMF’s Global Financial Stability Report highlighted that European banks could face losses of more than 200 billion euros on European sovereign debt based on CDS spreads on government bonds issued by Ireland, Greece, Portugal, Italy, Spain and Belgium. European banks hold roughly 650 billion euros in sovereign debt issued by peripheral European countries, including 78 billion euros in Greek debt, 14 billion euros in Irish debt, 30 billion euros in Portuguese debt, 244 billion euros in Spanish debt, 220 billion euros in Italian debt and 57 billion euros in Belgian debt. Due to the tight liquidity situation, European banks’ cash deposits increased dramatically at the ECB, as those banks used the ECB’s overnight deposit facility and restrained their lending activity to other banks. Funding issues prevailed throughout the third quarter of 2011, forcing coordinated action from the ECB, BoJ (Bank of Japan), BoE (Bank of England) and the SNB, who offered unlimited dollar funding to their banks through swap lines.

Due to the extremely weak environment for the banking sector, the insurance sector has slightly outperformed banks on a year-to-date basis, although the sector also was negatively affected by a large sell-off due to pressure on reinsurers’ earnings coming from low interest rates, rising catastrophe rates in April and June and from events of late 2010 and early 2011. A majority of

companies under SST (Swiss Solvency Test)/Solvency II shifted their investments out of equities and real estate into bonds.

The massive underperformance of the financial sector since the beginning of the year also is a result of stricter regulation and rising financing costs. Overall profitability of the sector has been structurally impaired and will not be sustainable in the foreseeable future as a result of ongoing subdued investment activity, structural weaknesses in investment banking and flattening yield curves. With a risk premium of almost 20% compared to government bonds, European banks are trading on a low valuation at 7 times 2011 earnings per share estimates and below book value almost indicating a double-dip recession.

UBS announced that it expects to post a small profit for the third quarter of 2011, and has seen positive net new money flows in its wealth management businesses similar to those in the second quarter despite the announcement of the $2.3 billion rogue trading loss. An important event for UBS will be its investor day on November 17th, where it will focus on its efforts to downsize the investment bank. UBS’ Chief Financial Officer has already highlighted that UBS will take action to reduce the company’s risk-weighted assets in the investment bank from about 75% to about 50%, on a Basel III basis. On the positive side, both UBS and Credit Suisse have minimal exposure to the peripheral European countries’ debt, and remain well capitalized compared to their European peers.

The Fund remains substantially underweight in the financial sector, although it has slightly reduced this gap during the quarter due to very attractive valuations in the sector.

Private Equity and Other Illiquid Investments

The Fund did not add to its illiquid direct investments or its investments in private equity funds in the third quarter. The Fund’s total investment (consisting of assets invested to date and remaining capital commitments) in its two private equity fund investments, Zurmont Madison and Aravis II, represented 4.3% of the Fund’s net assets as of September 30, 2011. As of that date, the Fund also had 4.7% of its net assets invested in illiquid direct investments.

Outlook

Volatility in the global economy will most likely continue until a new framework for the international monetary system is implemented. Large swings of capital flows have occurred as consequence of the expansion in global liquidity (including foreign exchange reserves) and created substantial movement in currencies, making every day management of international corporations challenging. The ongoing European sovereign debt crisis, including the estimated costs to resolve it, will hamper economic growth in the Eurozone for some time.

On the positive side, equity valuations have compressed to a level where some

what lowered earnings expectations are already factored in and, barring a freeze in the financial system, the investment downside appears limited. As a result, slight improvements, for example, in U.S. economic activity could provide significant upside as short positions in the markets are at elevated levels and the cost of hedging is quite prohibitive. Companies with strong market positions and pricing power should be able to benefit from lower commodities prices going forward.

Navigating the markets during this phase of price containment and low growth will be difficult, but a focus on companies with high quality balance sheets, the capacity to quickly adjust their cost structure and a high market share in specific industries should provide above average returns.

Swiss Helvetia Performance Review

During the last quarter, the Fund moved towards a more conservative portfolio. The Fund has remained more heavily weighted in healthcare and food companies, while reducing its positions among smaller cap companies, such as industrial companies and energy companies. The Fund had sold certain of those positions to increase its cash position, partially for defensive purposes, and partially to pay shareholders in connection with its spill-back distribution payment in August.

The performance of the Fund relative to the SPI improved from the second to the third quarter this year, going from -3.8% in May to

-2.3% at the end of the third quarter. In terms of sector allocation results, healthcare has been a drag on the Fund’s performance due to the strong showing of Roche, which is underweight in the Fund’s portfolio, and the underperformance of the hearing-aids company, Sonova, in which the Fund was overweight, during the first quarter of 2011. In addition, the Fund had a large exposure to industrial companies active in energy conservation and oil and gas upstream and downstream capital spending. Most of these companies are in the mid- and small-capitalization section of the market and have been more negatively affected than their peers by the slowdown and potential double dip recession in Europe as well as by the strength of the Swiss franc. These factors have hampered the Fund’s performance, both in absolute terms and against the SPI during the first half of the year, despite an ongoing strategic reduction in the Fund’s exposure to that sector since the start of the year.

Sincerely,

Alexandre de Takacsy

President

Rudolf Millisits

Chief Executive Officer and Chief Financial Officer