<PAGE>
This report is transmitted to the shareholders of The Zweig Fund, Inc. for
their information. This is not a prospectus, circular or representation intend-
ed for use in the purchase of shares of the Fund or any securities mentioned in
this report.
[LOGO OF THE ZWEIG FUND]
QUARTERLY REPORT
MARCH 31, 1996
<PAGE>
May 1, 1996
Dear Shareholder:
The Zweig Fund's net asset value increased 3.9% during the three months
ended March 31, 1996, including the $0.28 distribution paid on January 10,
1996. During the same period, the Standard & Poor's 500 Index gained 5.4%
including dividends. The Fund's overall exposure during the first quarter
averaged approximately 86%.
Although our stocks did well, the Fund's performance was adversely affected
by the weakness in the bond market. As a result of stronger than anticipated
job growth and rising commodity prices, the first quarter was one of the worst
ever for bonds. In consequence, we have substantially reduced the bond portion
of our portfolio.
DISTRIBUTION DECLARED
On March 18, 1996, the Fund announced a distribution of $0.28 per share pay-
able on April 26, 1996 to shareholders of record on April 12, 1996. Including
this distribution, our total payout since the Fund's inception is now $10.51.
MARKET OUTLOOK
My indicators presently are about neutral to perhaps slightly favorable. A
major positive for the stock market is the large volume of cash flowing into
mutual funds. Although the rate is down from January levels, money is still
pouring in at a pretty good clip. However, we have to be on guard should these
numbers diminish over the next few months.
Another positive is the shrinkage in the supply of stock as a result of
corporate buyouts, mergers, and acquisitions. As is the case with cash coming
into mutual funds, the figures are not as great as they were earlier this year
and must be carefully monitored.
Although the market may be considered overvalued by conventional
measurements, many of the customary indicators have become less important in
today's market. The dividend yield, for example, is low but it reflects the
fact that companies are paying out less to retain more of their earnings to
fuel internal growth. Also, today's income tax structure encourages capital
gains and not dividends. I prefer to focus on earnings, and the market's
price/earnings ratio is not wildly overvalued, although it is not cheap
either.
An important market negative is the weakness in bonds. If the bonds reverse
in price, that would be fine. But if they keep declining, it increases the
risk for stocks. So far the drop has been mainly in the long end. Short rates
have not moved much, which is why my monetary model is holding at neutral. My
sentiment indicators are also about neutral, perhaps even very slightly
positive. I don't think we have seen the kind of excessive optimism noted at a
market top. However, if monetary conditions deteriorate, we could have a
problem.
At this writing my indicators read high neutral for stocks and low neutral
for bonds. Our stock holdings are currently at 64%, down from the 72% on March
31 but unchanged from the figure at year-end. Our bond position is at 11%
against 18% on December 31, 1995. As always, I will continue to monitor my
indicators carefully for signs of changing conditions and rising risk and will
adjust our exposures accordingly.
PORTFOLIO COMPOSITION
In accordance with the policy put into effect at the beginning of last year,
the majority of our stocks are picked on the basis of a proprietary computer-
driven model that uses various criteria including earnings growth, cash flow,
and price-to-book value ratios to evaluate and rank stocks.
<PAGE>
We currently consider about 750 stocks with the highest dividend yields from a
list of approximately 1,500 of the most liquid stocks.
There was very little change in the composition of our leading industry
groups during the first quarter. Utilities now represent our largest industry
sector with oil in second place, a reversal of the positions that prevailed at
year-end. In order of ranking, our top ten groups also include chemicals,
paper, telecommuni-cations, metals, finance, technology, banks, and aerospace.
Our holdings of utilities, chemicals, paper, telecommunications, metals, and
technology increased in the quarter. Decreases were shown in oil, banks, and
aerospace. The only new group in our top ten is finance, which replaces
transportation.
Our largest individual position is in Phelps Dodge, followed by Union
Carbide, Telefonica de Espana, and Sprint. DuPont remains a prominent holding.
Five stocks are new to our top ten individual holdings: Reynolds Metals,
which produces aluminum and consumer products through its world-wide
operations; Eastman Chemical, an international producer of plastic, chemical,
and fibre products; Telefonos de Mexico, which provides voice, data, image
signal, and cellular transmission services; Occidental Petroleum, the world-
wide oil and natural gas production company; and Dow Chemical, the giant
chemical company that also produces such consumer products as Handi-Wrap and
Saran Wrap.
Still in our portfolio, but no longer among our top ten holdings, are Mobil,
British Petroleum, Atlantic Richfield, and BankAmerica.
Sincerely,
/s/ Martin E. Zweig
Martin E. Zweig, Ph.D.
Chairman
2
<PAGE>
THE ZWEIG FUND, INC.
STATEMENT OF NET ASSETS
MARCH 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
--------- -----------
<S> <C> <C>
Common Stocks 78.29%
Aerospace & Defense 2.12%
General Motors Corp., Class H.......................... 60,400 $ 3,820,300
Rockwell International Corp. .......................... 42,400 2,496,300
Textron, Inc. ......................................... 33,500 2,680,000
Thiokol Corp. ......................................... 5,400 236,925
United Technologies Corp. ............................. 23,600 2,649,100
-----------
11,882,625
-----------
Automotive 1.94%
Chrysler Corp. ........................................ 82,800 5,154,300
General Motors Corp. .................................. 107,300 5,713,725
-----------
10,868,025
-----------
Banks 2.46%
Bancorp Hawaii, Inc. .................................. 28,200 990,525
BankAmerica Corp. ..................................... 78,300 6,068,250
Chase Manhattan Corp. ................................. 79,100 5,576,550
Hibernia Corp. ....................................... 110,400 1,173,000
-----------
13,808,325
-----------
Chemicals 8.06%
ARCO Chemical Co. ..................................... 24,500 1,270,937
Dow Chemical Co. ...................................... 76,300 6,628,563
du Pont (E.I.) de Nemours & Co. ....................... 83,700 6,947,100
Eastman Chemical Co. .................................. 96,800 6,691,300
Goodrich (B.F.) & Co. ................................. 41,200 3,275,400
Imperial Chemical Industries Plc, ADR.................. 46,400 2,644,800
Olin Corp. ............................................ 47,700 4,149,900
PPG Industries Inc. ................................... 28,000 1,368,500
Rhone-Poulenc Co., S.A., ADR........................... 124,500 3,237,000
Rohm & Haas Co. ....................................... 3,100 206,150
Union Carbide Corp. ................................... 176,400 8,753,850
-----------
45,173,500
-----------
Conglomerates 0.70%
Xerox Corp. ........................................... 31,300 3,928,150
-----------
Consumer Durables 0.27%
Goodyear Tire & Rubber Co. ............................ 29,700 1,514,700
-----------
Finance & Financial Services 5.11%
Alex Brown Inc. ....................................... 20,100 1,042,687
Allstate Corp. ........................................ 144,000 6,066,000
American Bankers Insurance Group, Inc. ................ 20,100 708,525
American Financial Group, Inc. ........................ 28,600 865,150
Bear Stearns & Co., Inc. .............................. 88,900 2,200,275
Edwards, (A.G.) Inc. .................................. 81,900 2,037,263
Fremont General Corp. ................................. 39,050 922,556
</TABLE>
3
<PAGE>
THE ZWEIG FUND, INC.
STATEMENT OF NET ASSETS--(CONTINUED)
MARCH 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
--------- -----------
<S> <C> <C>
Finance & Financial Services (Continued)
Merrill Lynch & Co., Inc. ............................. 86,100 $ 5,230,575
PHH Corp. ............................................. 18,500 1,029,063
Ryder Systems Inc. .................................... 164,300 4,477,175
Salomon Inc. .......................................... 107,800 4,042,500
-----------
28,621,769
-----------
Food & Beverage 0.60%
Adolph Coors Co., Class B.............................. 51,000 911,625
Michaels Foods, Inc. .................................. 5,200 54,600
Unilever N.V. ......................................... 17,600 2,389,200
-----------
3,355,425
-----------
Healthcare 0.09%
McKesson Corp. ........................................ 9,500 486,875
-----------
Investment Companies 1.93%
Alliance Global Environment Fund ...................... 23,600 286,150
Blackrock 2001 Term Trust, Inc. ....................... 52,600 394,500
Blackrock Strategic Term Trust, Inc. .................. 52,600 394,500
Clemente Global Growth Fund, Inc. ..................... 23,400 193,050
Emerging Germany Fund, Inc. ........................... 50,300 377,250
Europe Fund, Inc. ..................................... 26,500 347,813
France Growth Fund, Inc. .............................. 13,500 136,687
Gabelli Equity Trust, Inc. ............................ 89,100 868,725
Gabelli Global Multimedia Trust Fund................... 41,200 283,250
Global Health Sciences Fund, Inc. ..................... 57,500 1,035,000
Italy Fund, Inc. ...................................... 9,200 74,750
John Hancock Bank & Thrift Opportunity Fund ........... 34,200 782,325
Liberty All-Star Growth Fund, Inc. .................... 36,700 344,062
MFS Intermediate Income Trust Fund..................... 52,600 341,900
New Age Media Fund, Inc. .............................. 31,400 467,075
New Germany Fund, Inc. ................................ 37,100 454,475
Pilgrim Regional Bank Shares, Inc. .................... 31,300 395,163
Royce Value Trust, Inc. ............................... 40,055 490,674
Scudder New Europe Fund, Inc. ......................... 37,100 431,288
Spain Fund, Inc. ...................................... 26,500 248,437
Swiss Helvetia Fund, Inc. ............................. 57,400 1,262,800
Templeton Dragon Fund, Inc. ........................... 16,500 231,000
Tri-Continental Corp. ................................. 33,900 809,362
United Kingdom Fund, Inc. ............................. 13,600 163,200
-----------
10,813,436
-----------
Manufacturing 2.13%
Albany International Corp. Class A..................... 39,400 788,000
Avery Dennison Corp. .................................. 19,000 1,026,000
Dana Corp. ............................................ 20,900 697,537
Duriron Co., Inc. ..................................... 15,600 429,000
Harsco Corp. .......................................... 10,400 689,000
</TABLE>
4
<PAGE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
--------- -----------
<S> <C> <C>
Manufacturing (Continued)
Johnson Controls, Inc. ................................ 27,200 $ 2,029,800
Miller (Herman), Inc. ................................. 36,700 1,137,700
Parker-Hannifin Corp. ................................. 67,000 2,512,500
TRW, Inc. ............................................. 29,300 2,611,363
-----------
11,920,900
-----------
Metals & Mining 6.25%
Allegheny Ludlum Corp. ................................ 14,700 271,950
Aluminum Company of America............................ 67,400 4,220,925
ASARCO, Inc. .......................................... 130,700 4,574,500
British Steel, Plc., ADR .............................. 99,200 2,926,400
Cyprus Amax Minerals Co. .............................. 185,400 5,237,550
Phelps Dodge Corp. .................................... 130,500 8,955,563
Reynolds Metals Co. ................................... 120,600 7,130,475
USX-U.S. Steel Group................................... 49,800 1,724,325
-----------
35,041,688
-----------
Oil & Oil Services 10.28%
Amoco Corp. ........................................... 31,300 2,261,425
Atlantic Richfield Co. ................................ 40,900 4,867,100
British Petroleum Co., Plc., ADR....................... 32,300 3,431,875
Elf Aquitaine, ADR..................................... 92,400 3,130,050
Helmerich & Payne, Inc. ............................... 54,400 1,836,000
Kerr-McGee Corp. ...................................... 76,400 4,851,400
Mobil Corp. ........................................... 49,800 5,770,575
Occidental Petroleum Corp. ............................ 254,400 6,805,200
Pennzoil Co. .......................................... 26,000 1,033,500
Phillips Petroleum Co. ................................ 77,600 3,065,200
Quaker State Corp. .................................... 23,700 331,800
Repsol S.A., ADR....................................... 157,600 5,890,300
Sun, Inc. ............................................. 83,000 2,396,625
Texaco Inc. ........................................... 73,300 6,303,800
USX-Marathon Group, Inc. .............................. 293,700 5,653,725
-----------
57,628,575
-----------
Paper & Forest Products 7.29%
Boise Cascade Corp. ................................... 104,700 4,397,400
Bowater, Inc. ......................................... 111,200 4,142,200
Chesapeake Corp. ...................................... 20,500 620,125
Consolidated Papers, Inc. ............................. 45,600 2,565,000
Georgia-Pacific Corp. ................................. 51,100 3,545,063
Glatfelter (P.H.) & Co. ............................... 12,600 218,925
International Paper Co. ............................... 105,500 4,154,063
James River Corp. of Virginia.......................... 70,600 1,817,950
Longview Fibre Co. .................................... 25,100 423,562
Mead Corp. ............................................ 39,600 2,138,400
Potlatch Corp. ........................................ 10,000 427,500
Rayonier Inc. ......................................... 26,400 957,000
</TABLE>
5
<PAGE>
THE ZWEIG FUND, INC.
STATEMENT OF NET ASSETS--(CONTINUED)
MARCH 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
--------- -----------
<S> <C> <C>
Paper & Forest Products (Continued)
Sonoco Products Co. ................................. 35,400 $ 964,650
Stone Container Corp. ............................... 130,000 1,820,000
Union Camp Corp. .................................... 13,400 664,975
Westvaco Corp. ...................................... 106,350 3,124,031
Weyerhaeuser Co. .................................... 110,100 5,078,362
Willamette Industries, Inc. ......................... 63,100 3,801,775
-----------
40,860,981
-----------
Retail Trade & Services 1.65%
American Stores Co. ................................. 88,600 2,923,800
Ross Stores, Inc. ................................... 50,900 1,278,863
Smith's Food & Drug Centers, Inc. ................... 79,900 1,917,600
Supervalu Inc. ...................................... 71,800 2,216,825
TJX Companies Inc. .................................. 35,400 889,425
-----------
9,226,513
-----------
Technology 4.09%
Applied Materials, Inc. ............................. 20,800(a) 725,400
Dell Computer Corp. ................................. 36,000(a) 1,206,000
Digital Equipment Corp. ............................. 57,600(a) 3,175,200
EG&G Inc. ........................................... 73,000 1,633,375
Harris Corp. ........................................ 62,000 3,836,250
Intel Corp. ......................................... 22,800 1,296,750
International Business Machines Corp. ............... 36,600 4,067,175
Microsoft Corp. ..................................... 25,800(a) 2,660,625
Philips Electronics N.V. ............................ 118,700 4,317,712
-----------
22,918,487
-----------
Telecommunications 7.00%
360 Communications Co. .............................. 50,133 1,196,925
Cincinnati Bell Inc. ................................ 31,600 1,643,200
GTE Corp. ........................................... 113,700 4,988,587
NYNEX Corp. ......................................... 92,800 4,628,400
Sprint Corp. ........................................ 198,300 7,535,400
Telefonica de Espana, S.A., ADS...................... 184,000 8,740,000
Telefonos de Mexico, S.A., ADS....................... 204,900 6,736,088
U.S. West Inc. ...................................... 115,500 3,739,313
-----------
39,207,913
-----------
Tobacco 0.93%
RJR Nabisco Holdings Corp. .......................... 172,700 5,224,175
-----------
Transportation 1.63%
Atlantic Southeast Airlines, Inc. ................... 30,100 771,312
British Airways PLC, ADR............................. 13,600 1,115,200
CSX Corp. ........................................... 136,600 6,232,375
KLM Royal Dutch Airlines, Inc. ...................... 28,500 990,375
-----------
9,109,262
-----------
</TABLE>
6
<PAGE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
--------- ------------
<S> <C> <C>
Utilities 13.76%
Allegheny Power Systems, Inc. ........................ 44,300 $ 1,345,612
American Electric Power Co., Inc. .................... 105,400 4,400,450
Carolina Power & Light Co., Inc. ..................... 64,000 2,384,000
CINergy Corp. ........................................ 172,800 5,184,000
CMS Energy Corp. ..................................... 54,300 1,601,850
DQE Inc............................................... 65,950 1,904,306
DTE Energy Co. ....................................... 155,800 5,238,775
Eastern Enterprises .................................. 22,000 781,000
Enova Corp. .......................................... 40,100 917,288
Entergy Corp. ........................................ 108,200 3,029,600
FPL Group Inc. ....................................... 68,000 3,077,000
General Public Utilities Corp. ....................... 105,100 3,468,300
Illinova Corp. ....................................... 83,300 2,342,812
MCN Corp. ............................................ 61,600 1,424,500
New England Electric Systems, Inc. ................... 58,600 2,241,450
NIPSCO Industries, Inc. .............................. 69,400 2,585,150
Noram Energy Corp. ................................... 236,300 2,185,775
Northern States Power Co. ............................ 28,400 1,384,500
Pacificorp............................................ 87,500 1,826,563
PanEnergy Corp. ...................................... 180,400 5,614,950
Pinnacle West Capital Corp. .......................... 92,700 2,676,713
Portland General Corp. ............................... 155,600 4,784,700
Texas Utilities Co. .................................. 82,000 3,392,750
Transcanada Pipeline Ltd. ............................ 86,500 1,200,187
Unicom Corp. ......................................... 154,900 4,182,300
United Illuminating Co. .............................. 29,300 1,080,437
Western Resources Inc. ............................... 72,600 2,214,300
Williams Companies Inc. .............................. 91,700 4,619,388
------------
77,088,656
------------
Total Common Stocks ................................ 438,679,980
------------
</TABLE>
7
<PAGE>
THE ZWEIG FUND, INC.
STATEMENT OF NET ASSETS--(CONCLUDED)
MARCH 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT/
NUMBER OF
CONTRACTS VALUE
----------- ------------
<S> <C> <C>
United States Government & Agency Obliga-
tions 12.58%
Federal National Mortgage Association 6.85%,
4/5/2004...................................... $ 2,765,000 $ 2,788,992
United States Treasury Bonds, 10.75%,
5/15/2003 .................................... 4,000,000 4,996,244
United States Treasury Bonds, 7.50%,
11/15/2024 ................................... 6,900,000 7,460,625
United States Treasury Notes, 4.25%, 5/15/96 .. 5,000 4,994
United States Treasury Notes, 6.125%, 5/15/98 . 11,500,000 11,575,451
United States Treasury Notes, 8.25%, 7/15/98 .. 6,000,000 6,305,616
United States Treasury Notes, 6.125%,
7/31/2000 .................................... 18,000,000 (b) 18,022,500
United States Treasury Notes, 6.25%,
8/31/2000 .................................... 6,500,000 6,536,563
United States Treasury Notes, 7.50%,
11/15/2001 ................................... 8,000,000 8,492,488
United States Treasury Notes, 7.50%, 4,290,000
2/15/2005 .................................... 4,000,000 ------------
Total United States Government & Agency 70,473,473
Obligations ................................ ------------
Short-Term Money Market Instruments 7.15%
Bell Atlantic Network Funding, 5.40%, 4/3/96 .. 9,400,000 9,388,657
Ford Motor Credit Co., 5.37%, 4/2/96 .......... 6,500,000 6,499,030
Ford Motor Credit Co., 5.48%, 4/4/96 .......... 8,100,000 8,096,301
U.S. West Telecommunications, Inc., 5.37%,
4/3/96 ....................................... 10,000,000 9,997,017
Wal-Mart Stores Inc., 5.33%, 4/1/96 ........... 6,100,000 6,100,000
------------
Total Short-Term Money Market Instruments ... 40,081,005
------------
Net Unrealized Depreciation on Futures
Contracts (0.07)%
Standard & Poor's 500 Index, June 1995 Short (376,266)
futures ...................................... (101)(c) ------------
</TABLE>
<TABLE>
<S> <C> <C>
Total Investments .......................................... 97.95% 548,858,192
Cash And Other Assets, Less Liabilities .................... 2.05 11,515,093
------ ------------
Net Assets (Equivalent to $11.20 per share based on 100.00% $560,373,285
50,034,711 shares of capital stock outstanding) ........... ====== ============
</TABLE>
- --------
(a) Non-income producing security.
(b) $2,000,000 of this security has been pledged as collateral for futures
transactions.
(c) The market value of the short futures was $32,865,400 (representing 5.86%
of the Fund's net assets) with a cost of $32,489,134.
8
<PAGE>
THE ZWEIG FUND, INC.
FINANCIAL HIGHLIGHTS
MARCH 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
NET ASSET VALUE
TOTAL NET ASSETS PER SHARE
------------------------- -----------------
<S> <C> <C> <C> <C>
NET ASSET VALUE:
Beginning of period: 12/31/95..... $547,885,783 $11.06
Net investment income............ $ 3,809,531 $ 0.07
Net realized and unrealized gains
on
investments..................... 17,316,341 0.35
Dividends from net investment
income and distributions from
net long-term and short-term
capital gains................... (13,874,106) (0.28)
Net asset value of shares issued
to shareholders for reinvestment 5,235,736 0.00
of dividends and distributions.. ----------- -------
Net increase in net assets/net
asset value.................... 12,487,502 0.14
------------ --------
End of period: 3/31/96............ $560,373,285 $11.20
============ ========
</TABLE>
9
<PAGE>
KEY INFORMATION
1-800-237-2336 THE BANK OF NEW YORK:
For questions regarding shareholder accounts
P.O. Box 11258
Church Street Station
New York, NY 10286-1258
(212) 644-2188 THE ZWEIG FUND HOT LINE:
For updates on net
asset value, share
price, major industry
groups and other key
information
1-800-272-2700 ZWEIG SHAREHOLDER RELATIONS:
For general information and literature
REINVESTMENT PLAN
Many of you have questions
about the reinvestment plan. We
urge shareholders who want to
take advantage of this plan and
whose shares are held in "Street
Name" to consult your broker as
soon as possible to determine if
you must change registration in-
to your own name to participate.
----------------
Notice is hereby given in accordance with Section 23(c) of the Investment
Company Act of 1940 that the Fund may from time to time purchase its shares of
common stock in the open market when Fund shares are trading at a discount of
10% or more from their net asset value.
10
<PAGE>
OFFICERS AND DIRECTORS
Martin E. Zweig, Ph.D.
Chairman of the Board and President
Jeffrey Lazar
Vice President and Treasurer
Stuart B. Panish
Vice President and Secretary
Edward S. Babbitt, Jr.
Director
Eugene J. Glaser
Director
Elliot S. Jaffe
Director
Alden C. Olson, Ph.D.
Director
James B. Rogers, Jr.
Director
Anthony M. Santomero, Ph.D.
Director
Robert E. Smith
Director
INVESTMENT ADVISER
Zweig Advisors Inc.
900 Third Avenue
New York, New York 10022
FUND ADMINISTRATOR
Zweig/Glaser Advisers
5 Hanover Square
New York, New York 10004
CUSTODIAN AND TRANSFER AGENT
The Bank of New York
48 Wall Street
New York, New York 10015
LEGAL COUNSEL
Rosenman & Colin LLP
575 Madison Avenue
New York, New York 10022
11
