For the three-month period ended March 31, 2016, the performance of The Swiss Helvetia Fund, Inc. (the “Fund”) as measured by the change in value in the Fund’s net asset value (“NAV”), decreased -3.50% in US dollars (“USD”). For the same period, the Fund’s share price performance decreased -3.60% in USD, as the discount at which the Fund traded its shares widened slightly. This compares with a decrease of -5.58% in the Swiss Performance Index (the “Index” or “SPI”) as measured in USD.

Economic environment during the period under review

Global economic review

Similar to most of 2015, a common theme in the first three months of 2016 has been lowered expectations for global growth. What is new, however, is that real GDP for the current year is now forecast to be below the rate of growth for 2015. Growth rates for China have held steady at the official forecast of 6.5%, but rates have been significantly revised downwards for Japan and more moderately for Europe. The part of the global economy that seems to be suffering is trade and industry, while consumption is holding

more steady thanks to declining unemployment in many parts of the globe.

Swiss economic review

According to the preliminary calculation by the Swiss State Secretariat of Economic Affairs (SECO), Swiss real GDP grew by 0.9% in 2015. Although this would represent the lowest rate in the past 5 years, it must be considered in context, as Switzerland went through a “positive currency shock” after the Swiss National Bank decided on January 15, 2015 to abandon a minimum floor for the exchange rate against the euro introduced in September 2011. Because of the subsequent and sharp appreciation of the Swiss franc, prices increased for exports, for buyers in other currencies. Thus, in nominal terms, Swiss GDP declined by 0.4%. Contributions from private and public households were positive, as expected, while investments including construction fell. The surprise came from trade, first as exports rose in real terms for the year as a whole and in the final quarter—something that is remarkable given the jolt appreciation of the Swiss franc. Second, it is interesting to note that imports fell in nominal and real terms. As a result, net trade expanded—something that one would

not have expected, given that Swiss manufactured goods and services had suddenly become more expensive, while imported goods became considerably more affordable. We believe that this demonstrates that corporate Switzerland is quite adaptive and has not lost its competitiveness.

Market environment during the period under review

Stock markets started the year on a negative spin, reaching a low point in mid-February before recovering somewhat during the second half of the quarter. Firmer economic data and actions of central banks around the globe seemed to calm sentiment. In sequential order, first the People’s Bank of China made it clear that it had no intention to devalue the Chinese yuan in trade-weighted terms. This was followed by various Federal Reserve governors offering dovish remarks on US monetary policy, which culminated in the decision not to tighten in March and a lowered projection for interest rates going forward. The Bank of Japan and the European Central Bank joined in by cutting rates, although we still have doubts about the efficacy of negative interest rates.

Most country or regional indices did not manage to fully recover losses from the fourth quarter of 2015. One notable exception was the S&P 500, which ended marginally higher by 1.34%. Pan-European and Japanese main indices, when converted into US dollars, were lower by between -2% and -6%. The Chinese CSI 300 index measured in USD

terms fared worst among the group by shedding -13.25%.

Swiss equities, as measured by the Index, decreased -5.58% in USD. This downturn was somewhat surprising because the Swiss stock market normally benefits from heavy weightings of defensive stocks in the food and healthcare sectors. However pharma was among the bottom three sectors in terms of performance for the reporting period. The total return for Novartis was -13.95% and for Roche -8.66%, as measured in USD. Financial stocks, representing a smaller weight but still an important part of the Index, suffered even more, with UBS falling -18.07% and Credit Suisse -35.22%. We attribute the poor performance of pharma stocks, among others, to a heightened concern about drug pricing and the US presidential election campaign. As for the financial sector, we believe that banks suffered in part due to disclosed exposures to the US energy sector that suffered from credit downgrades; the poor performance made it again evident, in our view, that there continue to be large risky assets in investment banking despite significant scale downs due to tightened regulatory requirements since the financial crisis. The three best performing sectors within the SPI amount to less than one percent in terms of their Index weight. The two sectors among the top five that exceed the one percent hurdle are telecommunications, which behaved defensively (as expected), and chemicals, which benefited from a take-over offer for the largest sector constituent, Syngenta. A highlight were small- and mid-cap stocks that, as measured by the

SPI Extra Index, rose by 3.02% and outperformed the 20 stocks that compose the large cap Swiss Market Index by 10.33% in USD terms.

Performance

In comparing the Fund’s NAV return of -3.50% to the performance of the Index of -5.58% in USD terms, there were two positive impacts: listed stock investments outperformed the Index and the positive contribution from one of the Fund’s private equity holdings.

In December, Kuros Biosurgery announced merger plans with Swiss exchange-listed Cytos Biotechnology AG, which was completed in January 2016. The value of the Fund’s now-listed investment, Kuros Biosciences, at March 31, 2016, is around three times higher than at the end of 2015, contributing approximately 0.7% to performance. In addition to the revaluation of this

position, the Fund has been able to realize some of that value by reducing its position through strategic secondary market sales during the quarter.

When looking at the Fund’s listed stocks, performance benefited in relative USD terms from some of its larger overweight positions, e.g., Implenia, Burckhardt Compression, Belimo, Bucher Industries, Lindt & Sprüngli and Logitech. Furthermore, it was positive for relative performance that we had an underweight in Novartis.

Negative contributions to relative performance came from a number of stocks that the Fund did not own or where it held an underweight, as the following names did better than the Index: ABB, Nestlé, Givaudan, SGS, Geberit and Swisscom. Small overweight positions in Basilea, Evolva and Credit Suisse were also negative for relative performance.

Private Equity Investments

Overall, the value of several of the Fund’s private equity investments declined:

As discussed above, the good news in this space is that following its announcement in December, Kuros Biosurgery’s merger was completed in January 2016, resulting in an increase of the value of the investment and creating an exit opportunity for a portion of the Fund’s holding to be sold.

Portfolio changes

The Fund’s portfolio turnover as a percentage of its total net assets was in line with the level of activity since Schroders took over management of the Fund. In total there were 9 purchases and 12 sales of listed equities on a net basis during the quarter. As of March 31, 2016, there are 40 listed companies held by the Fund and five direct private equity investments plus two participations in private equity limited partnerships.

We bought a new position in Julius Baer after it announced its settlement with the US Department of Justice related to legacy assets it accepted before 2009. We view Julius Baer as well placed in wealth management thanks to its size and global reach, which we expect will enable it to deliver strong shareholder returns.

We added a new position in Valiant, a regional bank headquartered in the Swiss capital, Bern, serving retail and business clients. We have been following the steps taken by Valiant’s new CEO over the past two years and can now see the first results of efficiency measures that the company has implemented, despite a challenging interest rate environment.

We also added Swiss Re to the portfolio, after its share price weakness, following

comments from industry observers that the contract renewal season at the beginning of the year should prove to be difficult. However, the company published a strong financial result for 2015 and made solid progress in contract renewals in January. We believe that Swiss Re’s valuation on the basis of its estimated price/earnings ratio of approximately 10x, a price/book ratio of 1.1x and a dividend yield of 5% is very attractive, given its strong profitability as measured by its Return On Equity. Furthermore, the company has a track record of returning excess capital to shareholders via dividends and buybacks.

We also added to existing positions in Aryzta, Credit Suisse and UBS due to perceived share price weakness.

We increased the Fund’s overweight in Syngenta after ChemChina announced a take-over bid, as we deem the discount at which the shares trade, given the price offered, to be excessive.

We further added to the existing investment in Cembra Money Bank, a Swiss consumer credit lender. After the decision of the Swiss Federal Council to lower the cap for consumer credit interest rates, management has presented a cost savings plan that should be able to offset the vast majority of the new regulation’s negative impact. With a dividend yield of approximately 5% and a stable business environment, our view is that the company is attractively valued.

We also increased our position in Sunrise, the second largest telecommunication company in Switzerland. We

believe that the Swiss telecommunication market is highly concentrated among the top four players and proves attractive with high brand loyalty.

We fully liquidated Adecco, as we fear that new management will shift the strategic focus away from profitability and towards growth. This is underlined by its abandoning of the mid-term margin targets.

We reduced investments in Actelion, Belimo, Bucher Industries, Implenia, Lonza and OC Oerlikon in response to what we believe to be their relatively strong stock prices. We lowered our weight in Nestlé in anticipation of a rather weak full year result for such a stable food company. Our investments in DKSH, Dufry and Evolva were cut in response to lower anticipated medium term business prospects.

Outlook and Investment View

After hitting the panic button in January, investors appear to have regained some calmness: equities have rallied while bond

markets gave back part of the gains they had registered since the beginning of the year when compared to historic data as illustrated by the following chart.

Arguably, the market simply became oversold and was due for a bounce, but, as noted above the key macro factors underlying this were the actions of central banks and firmer economic data, which have reduced the tail risks facing the world economy.

Besides actions by central banks, a firming in commodity prices and in particular the recovery of the oil price has helped equity markets.

Having been down the hill and, depending on the stock market index, almost or fully back up again during the first quarter of 2016, the question is whether markets can go on to climb to new heights, or will plunge back into the valley. The answer really depends on whether the outlook for global activity will improve. We can explain the rally in terms of a reduction in tail risks and this may carry assets higher from here, but for a sustained improvement we would like to see better growth in real GDP and corporate earnings. We see indications that consumer spending is generally firm, but industry continues to struggle with the slowdown in global trade growth and an inventory overhang. Overall, global growth is still sluggish and, for the US the latest

estimates for Q1 GDP growth are currently only 0.6% annualized, after some disappointing consumer and trade figures. Europe is holding steady, but Japan is deteriorating. We have trimmed our global growth forecast to 2.4% for 2016 (previously 2.6%) led by downgrades to the US, Japan and emerging markets. This is now in-line with consensus expectations, which have also come down from 2.8% to now 2.4%. At this stage, it is difficult to make the case for acceleration in real GDP growth. Our indicators point to steady, but not spectacular growth, which is a continuation of the pattern in recent years where the world economy struggles to get growth much above 2.5%.

For Switzerland, however, we believe an acceleration of GDP in 2016 versus 2015 is in the cards. Compared to expectations by the SECO published late last year, forecasted growth for 2016 and 2017 was moderately revised downwards in view of lower projections for global growth. In spite of “shock” appreciation of its currency, Switzerland has grown at a respectable real GDP rate of 0.9% according to preliminary calculations by the SECO, which foresees acceleration to 1.4% in 2016 and 1.8% in 2017. Other forecasters like the KOF Economic Institute of the Swiss Federal Institute of Technology in Zurich are more cautious and expect 1.0% GDP growth for 2016. Still, further developments of the main trading currencies, the US dollar and the euro, continue to have an important impact on the growth of the Swiss economy and should be followed carefully.

While, in our view, low earnings growth should be expected in 2016, generally stable

economic activity provides a solid backdrop for corporate profits—the main driver of stock prices in the long run. Also, the current monetary environment should enable continued liquidity flows into equity markets. However, as experienced during the first quarter of 2016, we expect volatility to remain high in the coming quarters. Many European stock markets are near or above all-time highs, primarily as a consequence of expanding P/E multiples and investors’ current preference for equities. As highlighted above, it is also questionable how much further equity markets can rise given a rather lethargic economic environment. In addition, political upsets cannot be excluded. With that background, our view is that high volatility offers us, as active, price-conscious investors, opportunities to continue our current practice of adding or increasing positions in stocks that have unduly corrected and are still attractive from a long-term perspective.