<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
Charles H. Brunie
Director
Elliot S. Jaffe
Director
James B. Rogers, Jr.
Director
Anthony M. Santomero, Ph.D.
Director
Robert E. Smith
Director
INVESTMENT ADVISER
Zweig Total Return Advisors, Inc.
900 Third Avenue
New York, New York 10022
FUND ADMINISTRATOR
Zweig/Glaser Advisers
5 Hanover Square
New York, New York 10004
CUSTODIAN
Boston Safe Deposit and Trust Company
One Boston Place
Boston, MA 02109
TRANSFER AGENT
The Shareholder Services Group, Inc.
P.O. Box 1376
Boston, MA 02104
LEGAL COUNSEL
Rosenman & Colin
575 Madison Avenue
New York, New York 10022
- --------------------------------------------------------------------------------
This report is transmitted to the shareholders of The Zweig Total Return
Fund, Inc. for their information. This is not a prospectus, circular or repre-
sentation intended for use in the purchase of shares of the Fund or any securi-
ties mentioned in this report.
[LOGO OF ZWEIG TOTAL RETURN FUND, INC. APPEARS HERE]
QUARTERLY REPORT
SEPTEMBER 30, 1995
<PAGE>
November 1, 1995
Dear Shareholder:
The Zweig Total Return Fund's net asset value increased 2.7% during the
quarter ended September 30, 1995, including $0.21 in reinvested distributions.
For the nine months ended September 30, 1995, the Fund's net asset value
increased 13.1% including $0.63 in reinvested distributions. Maintaining our
risk-averse policy, the Fund's average overall exposure during the period was
61%.
DISTRIBUTION DECLARED
In accordance with our policy of distributing 10% of net assets per year,
which equals 0.83% per month (10% divided by 12 months), the Fund announced a
distribution of $0.07 per share payable on November 27, 1995 to shareholders
of record on November 13, 1995. The amount of the distribution depends on the
exact net asset value at the time of declaration. For the November
distribution, 0.83% of the Fund's net asset value was equivalent to $0.07 per
share. Including this distribution, the Fund's payout since its inception is
now $6.56.
At this point, I would like to inform you that William M. Batten recently
announced his retirement from the board of directors of both The Zweig Fund,
Inc. and The Zweig Total Return Fund, Inc. Prior to service on the Zweig Fund
boards, Mr. Batten was chairman of the board of The New York Stock Exchange
and before that chairman of the board of J.C. Penney.
We are honored to have had William Batten on our board. We wish to thank him
for his years of service and wish him the best on his retirement.
MARKET OUTLOOK
At this writing our bond holdings are at about 54% compared with 25% on June
30. If fully invested, we would be at about 62 1/2% for bonds. Consequently we
are at about 86% of a full position (54%/62 1/2%). Also, the average duration
of our bond portfolio is 6.6 years. This is significantly greater than the
average bond fund's duration of approximately 4.5 years.
Following the summer selloff, the bond market has been strong again in
recent weeks. Inflation--the prime threat to bond prices--seems under control,
a bullish factor for bonds. While bonds are still not up to where they were in
late 1993, they have regained a big chunk of the bear market losses of 1994.
Overall, the readings of our bond indicators are at the best levels of the
past two years. Remember, signs of economic weakness tend to be positive for
bonds and this has been the case recently. Among economic indicators, capacity
utilization, consumer confidence, and the purchasing managers' index remain on
the favorable side. Commodity prices are also positive with copper, lumber,
and crude oil down.
In sum, with the slight signs of economic slowdown and inflation
sufficiently under control, we are bullish on bonds. However, our bond model
can change quickly and we will remain flexible to adjust our holdings as
conditions warrant.
Our equity holdings are at about 30%, virtually unchanged from 29% on June
30. With full investment in stocks at 37 1/2% for our fund, we are presently
at 80% of a full position
<PAGE>
(30%/37 1/2%). This reflects the current readings of our stock market
indicators which are mostly positive. It appears that the bulls have a
moderate edge but the gains are unlikely to continue at the torrid pace of
earlier this year.
PORTFOLIO COMPOSITION
Consistent with our investment policy guidelines, most of our bonds are U.S.
Government obligations. We also own a small percentage of high grade corporate
bonds. As mentioned earlier, the average duration of the bond portion of the
Fund is 6.6 years.
Since the beginning of this year, the majority of our stocks have been
picked on the basis of a proprietary computer-driven stock selection model
that uses various criteria to rank the most liquid higher dividend-yielding
stocks.
Reflecting improved market performance after lagging in the first half, oil
and oil services is now our largest industry group. Rounding out our top five
are paper and forest products, utilities, chemicals, and banks. Among other
industry groups, producer manufacturing showed a significant gain.
Chemical Bank, which will shortly merge with Chase Manhattan, has
appreciated in value and is now the largest individual holding in our
portfolio. Citibank and BankAmerica are also among our most prominent
positions.
Other top individual companies include Exxon, Burlington Northern Santa Fe,
GTE, Alcoa, Sprint, and Xerox.
We have reduced our positions in IBM, International Paper and Bowater.
Sincerely,
/s/ Martin E. Zweig
Martin E. Zweig, Ph.D.
Chairman
2
<PAGE>
THE ZWEIG TOTAL RETURN FUND, INC.
STATEMENT OF NET ASSETS
SEPTEMBER 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
--------- ------------
<S> <C> <C>
Common Stocks 26.58%
Aerospace & Defense 1.33%
GenCorp. Inc. ........................................ 10,700 $ 113,687
Lockheed Martin Corp. ................................ 18,308 1,228,924
Northrop Grumman Corp. ............................... 26,700 1,625,363
Raytheon Co. ......................................... 11,600 986,000
Rockwell International Corp. ......................... 46,600 2,201,850
Thiokol Corp. ........................................ 2,800 100,100
United Technologies Corp. ............................ 24,600 2,174,025
------------
8,429,949
------------
Automotive 0.38%
General Motors Corp. ................................. 51,300 2,404,687
------------
Banks 1.81%
Bank of Boston Corp. ................................. 10,100 481,012
BankAmerica Corp. .................................... 47,400 2,838,075
Chemical Banking Corp. ............................... 48,400 2,946,350
Citicorp ............................................. 47,500 3,360,625
First Interstate Bancorp.............................. 2,900 292,175
Republic N.Y. Corp. .................................. 26,100 1,526,850
------------
11,445,087
------------
Chemicals 2.10%
ARCO Chemical Co. .................................... 12,400 604,500
Dow Chemical Co. ..................................... 25,000 1,862,500
du Pont (E.I.) de Nemours & Co. ...................... 38,100 2,619,375
Eastman Chemical Co. ................................. 21,500 1,376,000
Ferro Corp. .......................................... 7,200 179,100
Goodrich (B.F.) & Co. ................................ 11,500 757,563
Imperial Chemical Industries PLC, ADR................. 15,600 791,700
Lyondell Petrochemical Co. ........................... 59,800 1,547,325
Olin Corp. ........................................... 15,700 1,079,375
Union Carbide Corp. .................................. 63,000 2,504,250
------------
13,321,688
------------
Conglomerates 0.44%
Xerox Corp. .......................................... 20,700 2,781,563
------------
Construction & Farm Equipment 0.35%
Deere & Co. .......................................... 27,600 2,245,950
------------
</TABLE>
3
<PAGE>
THE ZWEIG TOTAL RETURN FUND, INC.
STATEMENT OF NET ASSETS--(CONTINUED)
SEPTEMBER 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
--------- ------------
<S> <C> <C>
Consumer Durables 0.47%
Goodyear Tire & Rubber Co. ........................ 61,500 $ 2,421,562
Jostens Inc. ...................................... 17,500 411,250
Toro Co. .......................................... 4,800 151,200
------------
2,984,012
------------
Finance & Financial Services 0.39%
Alex Brown Inc. ................................... 14,500 846,438
American Bankers Insurance Group, Inc. ............ 14,400 536,400
Fremont General Corp. ............................. 5,800 160,225
GATX Corp. ........................................ 8,700 450,225
PHH Corp. ......................................... 10,000 450,000
------------
2,443,288
------------
Food & Beverage 0.01%
Michael Foods Inc. ................................ 2,900 38,787
------------
Health Services 0.38%
Baxter International Inc. ......................... 52,100 2,142,613
McKesson Corp. .................................... 5,800 261,000
------------
2,403,613
------------
Industrial Services 0.10%
Browning-Ferris Industries Inc. ................... 21,700 659,138
------------
Investment Companies 0.44%
Alliance Global Environment Fund................... 7,200 69,300
Blue Chip Value Fund, Inc. ........................ 16,500 125,812
Emerging Markets Infrastructure, Inc. ............. 14,500 146,812
France Growth Fund, Inc. .......................... 17,400 169,650
Global Health Sciences Fund, Inc. ................. 28,900 426,275
Growth Fund Spain, Inc. ........................... 10,100 107,313
John Hancock Bank & Thrift Opportunity Fund ....... 8,600 201,025
New Age Media Fund, Inc. .......................... 17,300 263,825
Pilgrim Regional Bank Shares, Inc. ................ 8,700 107,663
Royce Value Trust, Inc. ........................... 7,200 97,200
Salomon Brothers Fund, Inc. ....................... 14,400 190,800
Scudder New Europe Fund, Inc. ..................... 14,500 155,875
Templeton Dragon Fund, Inc. ....................... 7,200 90,000
The Charles Allmon Trust, Inc. .................... 7,200 66,600
The Swiss Helvetia Fund, Inc. ..................... 21,700 450,275
Tri Continental Corp. ............................. 5,800 136,300
------------
2,804,725
------------
</TABLE>
4
<PAGE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
--------- ------------
<S> <C> <C>
Manufacturing 1.86%
Avery Dennison Corp. .............................. 16,800 $ 705,600
Crane Co. ......................................... 7,100 244,950
Dana Corp. ........................................ 29,000 837,375
Duriron Inc. ...................................... 8,900 260,325
Eaton Corp. ....................................... 30,500 1,616,500
Gleason Corp. ..................................... 7,200 235,800
Harsco Corp. ...................................... 5,800 322,625
Johnson Controls Inc. ............................. 8,600 543,950
Kennametal Inc. ................................... 28,300 1,025,875
PACCAR Inc. ....................................... 11,600 542,300
Parker-Hannifin Corp. ............................. 51,500 1,957,000
Timken Co. ........................................ 25,400 1,082,675
Trinity Industries Inc. ........................... 24,000 744,000
TRW Inc. .......................................... 22,600 1,680,875
------------
11,799,850
------------
Metals & Mining 1.73%
Aluminum Company of America ....................... 59,900 3,167,212
Cyprus Amax Minerals Co. .......................... 44,900 1,262,813
Homestake Mining Co. .............................. 26,300 447,100
Lukens Inc. ....................................... 4,200 122,325
Phelps Dodge Corp. ................................ 42,600 2,667,825
Quanex Corp. ...................................... 14,500 313,562
Reynolds Metals Co. ............................... 29,100 1,680,525
USX-U.S. Steel Group............................... 41,300 1,280,300
------------
10,941,662
------------
Oil & Oil Services 4.54%
Amoco Corp. ....................................... 27,100 1,737,788
Atlantic Richfield Co. ............................ 22,600 2,426,675
British Petroleum Co., PLC, ADS ................... 20,200 1,815,475
Chevron Corp. ..................................... 54,500 2,650,062
Elf Aquitaine, ADR ................................ 13,400 450,575
Exxon Corp. ....................................... 41,900 3,027,275
Halliburton Co. ................................... 68,000 2,839,000
Imperial Oil, Ltd. ................................ 28,500 1,061,625
Kerr-McGee Corp. .................................. 36,300 2,014,650
Louisiana Land & Exploration Co. .................. 14,500 516,563
Mobil Corp. ....................................... 21,700 2,161,862
Nova Corp. ........................................ 35,700 281,137
</TABLE>
5
<PAGE>
THE ZWEIG TOTAL RETURN FUND, INC.
STATEMENT OF NET ASSETS--(CONTINUED)
SEPTEMBER 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
--------- ------------
<S> <C> <C>
Oil & Oil Services--(Continued)
Occidental Petroleum Corp. ....................... 82,500 $ 1,815,000
Phillips Petroleum Co. ........................... 19,600 637,000
Repsol S.A., ADR.................................. 53,500 1,698,625
Sun Inc. ......................................... 15,900 409,425
Texaco Inc. ...................................... 7,200 465,300
Unocal Corp. ..................................... 81,000 2,308,500
USX-Marathon Group Inc. .......................... 24,100 475,975
------------
28,792,512
------------
Paper & Forest Products 3.44%
Boise Cascade Corp. .............................. 55,100 2,224,663
Bowater, Inc. .................................... 48,200 2,247,325
Federal Paper Board Inc. ......................... 33,300 1,277,887
Georgia-Pacific Corp. ............................ 23,800 2,082,500
International Paper Co. .......................... 56,200 2,360,400
James River Corp. of Virginia..................... 34,400 1,100,800
Mead Corp. ....................................... 28,600 1,676,675
Sonoco Products Co. .............................. 38,400 1,065,600
Temple-Inland Inc. ............................... 18,200 969,150
Union Camp Corp. ................................. 33,200 1,913,150
Westvaco Corp. ................................... 25,900 1,181,687
Weyerhaeuser Co. ................................. 40,900 1,866,063
Willamette Industries Inc. ....................... 27,600 1,842,300
------------
21,808,200
------------
Retail Trade & Services 0.23%
Bruno's Inc. ..................................... 1,994 23,938
CPI Corp. ........................................ 7,100 157,088
Giant Food Inc. .................................. 9,800 307,475
Great Atlantic & Pacific Tea Co. ................. 10,200 285,600
Ross Stores Inc. ................................. 21,700 341,775
Ruddick Corp. .................................... 5,800 156,600
Shopko Stores Inc. ............................... 14,500 179,438
------------
1,451,914
------------
Technology 1.22%
Applied Materials, Inc. .......................... 5,800(a) 593,050
Dell Computer Corp. .............................. 10,200(a) 867,000
Digital Equipment Corp. .......................... 20,400(a) 930,750
Harris Corp. ..................................... 35,000 1,920,625
</TABLE>
6
<PAGE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
--------- ------------
<S> <C> <C>
Technology--(Continued)
Intel Corp. ...................................... 12,800 $ 769,600
International Business Machines Corp. ............ 14,200 1,340,125
Microsoft Corp. .................................. 14,600(a) 1,321,300
------------
7,742,450
------------
Telecommunications 1.55%
Cable & Wireless Ltd., ADR........................ 50,100 983,212
Cincinnati Bell Inc. ............................. 22,200 599,400
GTE Corp. ........................................ 67,600 2,653,300
NYNEX Corp. ...................................... 59,400 2,836,350
Southern New England Telecommunications Corp. .... 13,400 474,025
Sprint Corp. ..................................... 64,300 2,250,500
------------
9,796,787
------------
Textiles 0.02%
Guilford Mills Inc. .............................. 1,700 41,225
Interface Inc. ................................... 6,500 111,313
------------
152,538
------------
Transportation 0.84%
British Airways PLC, ADR.......................... 12,800 913,600
Burlington Northern Santa Fe Corp. ............... 38,100 2,762,250
CSX Corp. ........................................ 19,600 1,648,850
------------
5,324,700
------------
Utilities 2.95%
Centerior Energy Corp. ........................... 21,800 237,075
DQE Inc. ......................................... 24,050 637,325
Eastern Enterprises............................... 2,900 93,163
FPL Group Inc. ................................... 60,400 2,468,850
Illinova Corp. ................................... 18,800 509,950
MDU Resources Group Inc. ......................... 2,900 92,438
New York State Electric & Gas Corp. .............. 18,800 493,500
Nipsco Industries Inc. ........................... 14,500 505,687
Oneok Inc. ....................................... 4,300 99,975
Pacific Enterprises............................... 38,100 957,262
Pacific Gas & Electric Co. ....................... 77,000 2,300,375
Panhandle Eastern Corp. .......................... 82,700 2,253,575
Peco Energy Co. .................................. 21,700 621,162
Portland General Corp. ........................... 74,100 1,898,812
Rochester Gas & Electric Corp. ................... 15,900 375,638
</TABLE>
7
<PAGE>
THE ZWEIG TOTAL RETURN FUND, INC.
STATEMENT OF NET ASSETS--(CONTINUED)
SEPTEMBER 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES/
PRINCIPAL
AMOUNT VALUE
---------- ------------
<S> <C> <C>
Utilities--(Continued)
San Diego Gas & Electric Co. .................. 21,700 $ 501,813
SCEcorp. ...................................... 83,900 1,489,225
Southwest Gas Corp. ........................... 5,800 90,625
Tenneco Inc. .................................. 14,400 666,000
Transcanada Pipeline Ltd. ..................... 5,800 76,125
Unicom Corp. .................................. 71,300 2,156,825
United Illuminating Co. ....................... 5,800 203,725
------------
18,729,125
------------
Total Common Stocks.......................... 168,502,225
------------
Corporate Bonds 2.01%
Exxon Capital Corp., 7.875%, 8/15/97........... $6,000,000 6,185,454
General Electric Capital Corp., 8.375%,
3/1/2001...................................... 6,000,000 6,541,992
------------
Total Corporate Bonds........................ 12,727,446
------------
United States Government & Agency Obliga-
tions 52.17%
Federal Home Loan Mortgage Corp., 7.05%,
3/24/2004..................................... 12,185,000 12,338,482
Federal Home Loan Mortgage Corp., 7.61%,
9/1/2004...................................... 4,000,000 4,098,284
Federal National Mortgage Association 6.20%,
7/10/2003..................................... 4,490,000 4,334,229
Federal National Mortgage Association 6.48%,
2/18/2004..................................... 4,000,000 3,916,332
Federal National Mortgage Association 6.90%,
3/10/2004..................................... 4,600,000 4,605,515
Federal National Mortgage Association 6.85%,
4/5/2004...................................... 10,385,000 10,659,299
Federal National Mortgage Association 7.60%,
4/14/2004..................................... 6,810,000 6,874,368
United States Treasury Notes, 4.625%, 2/15/96.. 2,640,000 2,630,921
United States Treasury Notes, 6.125%, 5/15/98.. 87,000,000 87,489,375
United States Treasury Notes, 6.125%,
7/31/2000..................................... 65,000,000 65,263,965
United States Treasury Notes, 6.50%, 5/15/2005. 26,600,000 27,198,500
United States Treasury Bonds, 8.125%,
8/15/2019..................................... 19,000,000 22,307,159
United States Treasury Bonds, 7.625%,
2/15/2025..................................... 69,700,000(b) 78,935,250
------------
Total United States Government & Agency Obli-
gations..................................... 330,651,679
------------
Short-Term Money Market Instruments 18.13%
AT&T Co., 5.71%, 10/10/95...................... 18,500,000 18,473,591
Bell Network Funding Inc., 5.70%, 10/3/95...... 14,600,000 14,595,377
Ford Motor Credit Co., 5.73%, 10/4/95.......... 17,800,000 17,791,501
Nestle Capital Corp., 5.70%, 10/5/95........... 10,000,000 9,993,667
Raytheon Co., 5.74%, 10/6/95................... 24,900,000 24,880,149
</TABLE>
8
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT/NUMBER
OF CONTRACTS VALUE
------------- ------------
<S> <C> <C>
Short-Term Money Market Instruments--(Contin-
ued)
Sara Lee Corp., 5.73%, 10/2/95............... $13,600,000 $ 13,597,835
U.S. West Telecommunications Inc., 5.75%,
10/11/95.................................... 15,600,000 15,575,083
------------
Total Short-Term Money Market Instruments.. 114,907,203
------------
Net Unrealized Appreciation on Futures Con-
tracts 0.08%
Standard & Poor's 500 Index, December 1995 519,351
Long futures................................ 89(c) ------------
TOTAL INVESTMENTS............................ 98.97% 627,307,904
CASH AND OTHER ASSETS, LESS LIABILITIES...... 1.03 6,531,599
------ ------------
Net Assets (Equivalent to $8.50 per share
based on 74,540,794 shares of capital stock 100.00% $633,839,503
outstanding)................................ ====== ============
</TABLE>
- --------
(a) Non-income producing security.
(b) $2,152,000 of this security has been pledged as collateral for futures
transactions.
(c) The market value of the long futures was $26,174,900 (representing 4.13% of
the Fund's net assets) with a cost of $25,655,549.
9
<PAGE>
THE ZWEIG TOTAL RETURN FUND, INC.
FINANCIAL HIGHLIGHTS
SEPTEMBER 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
NET ASSET VALUE
TOTAL NET ASSETS PER SHARE
-------------------------- -----------------
<S> <C> <C> <C> <C>
NET ASSET VALUE:
Beginning of period: 12/31/94.... $591,658,838 $8.11
Net investment income........... $ 21,212,476 $ 0.29
Net realized and unrealized
gains from security transac-
tions.......................... 54,084,549 0.73
Dividends from net investment
income and distributions from
net short-term capital gains... (46,404,242) (0.63)
--------
Net asset value of shares issued
to shareholders for reinvest-
ment of dividends and distribu-
tions.......................... 13,287,882
------------
Net increase in net asset val-
ue............................ 42,180,665 0.39
------------ -------
End of period: 9/30/95........... $633,839,503 $8.50
============ =======
</TABLE>
10
<PAGE>
KEY INFORMATION
The Shareholder Services Group, Inc.
P.O. Box 1376
Boston, MA 02104
For questions about our Reinvestment Plan, shareholders may write to The
Shareholder Services Group or call 1-800 331-1710.
THE ZWEIG TOTAL RETURN FUND HOTLINE
For weekly updates on the Fund's major industry holdings, our market stance
and our net asset value call (212) 486-3122.
THE ZWEIG TOTAL RETURN FUND, INC.
GENERAL INFORMATION
1-800-272-2700
- --------------------------------------------------------------------------------
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 into 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
from their net asset value.
11
