<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
Alden C. Olson, Ph.D.
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
First Data Investor Services Group, Inc.
P.O. Box 1376
Boston, MA 02104
LEGAL COUNSEL
Rosenman & Colin LLP
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 THE ZWEIG TOTAL RETURN FUND, INC.]
QUARTERLY REPORT
MARCH 31,1996
<PAGE>
May 1, 1996
Dear Shareholder:
The Zweig Total Return Fund's net asset value decreased 0.1% during the
quarter ended March 31, 1996, including $0.21 in reinvested distributions.
To put our performance in perspective, it is important to note that the
stock and bond markets decoupled during the quarter, with stocks advancing and
bonds falling. For example, the Lehman Bond Long Index declined 6.7% during
the quarter while the S&P 500 Index gained 5.4%.
DISTRIBUTION DECLARED
In accordance with our policy of distributing 10% of net asset value per
year, which equals 0.83% per month (10% divided by 12 months), the Fund
recently announced a distribution of $0.07 per share payable on May 28, 1996
to shareholders of record on May 13, 1996. The value of a distribution depends
on the exact net asset value at the time of declaration. For the May
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 $6.98.
MARKET OUTLOOK
At this writing our bond holdings are at about 44% compared with 55% on
December 31, 1995. If fully invested, we would be at about 62 1/2% for bonds.
Consequently we are at about 70% of a full position (44%/62 1/2%). Also the
average duration of our bond portfolio is 3.5 years, significantly lower than
the average bond fund's duration of approximately 5 years.
Reflecting a stronger than anticipated economy, rising interest rates, job
growth, and higher commodity prices, the first quarter was one of the worst
ever for bonds. Consequently, we have substantially reduced the bond portion
of our portfolio.
Signs of economic strength tend to be negative for bonds. This category cur-
rently includes greater consumer confidence, the Commodity Research Bureau's
Price Index, higher prices for such key industrial commodities as crude oil,
copper, and lumber. The positive indicators include the stronger dollar and
the purchasing managers' index.
So far the price weakness in bonds has been mainly in the long end. Short
rates have not moved much, which is why my overall bond model is holding at
low neutral. If bond prices continue to decline, it would increase the risk
for stocks.
Our equity holdings are at about 28% compared with about 30% at year-end.
With full investment in stocks at 37 1/2% for our Fund, we are presently at
about 75% of a full position (28%/37 1/2%). This is roughly in line with my
high neutral reading for the stock market.
Our models can change swiftly and, as always, we will remain flexible to
adjust our portfolio holdings as conditions warrant.
PORTFOLIO COMPOSITION
Conforming to our investment policy guidelines, all of our bonds are U.S.
Government obligations. As mentioned earlier, the average duration of the bond
portion of our fund is 3.5 years.
<PAGE>
As has been the case since the beginning of last year, the majority of our
stocks are picked on the basis of a proprietary computer-driven model that
uses various market criteria to evaluate and rank stocks. We currently
consider about 750 stocks with the highest dividend yields from a list of
approximately 1,500 of the most liquid stocks.
The composition of our leading industry groups showed little change in the
quarter. Utilities now represent our largest individual 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, telecommunications,
paper, metals, finance, technology, aerospace and banks. The only new sector
in the top ten is finance, which replaces transportation.
Our top ten holdings include Sprint, duPont, Union Carbide, Reynolds Metals,
Telefonica de Espana, CSX, BankAmerica, Occidental Petroleum, Aluminum Company
of America and Dow Chemical.
Still in our portfolio, but no longer among the top ten rankings, are Mobil,
British Petroleum, Atlantic Richfield, Xerox and GTE.
Sincerely,
/s/ Martin E. Zweig
Martin E. Zweig, Ph.D.
Chairman
2
<PAGE>
THE ZWEIG TOTAL RETURN FUND, INC.
STATEMENT OF NET ASSETS
MARCH 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
--------- -----------
<S> <C> <C>
Common Stocks 36.69%
Aerospace & Defense 1.28%
General Motors Corp., Class H.......................... 32,200 $ 2,036,650
Rockwell International Corp. .......................... 26,700 1,571,963
Textron, Inc. ......................................... 23,200 1,856,000
Thiokol Corp. ......................................... 2,800 122,850
United Technologies Corp. ............................. 22,700 2,548,075
-----------
8,135,538
-----------
Automotive 0.73%
Chrysler Corp. ........................................ 32,700 2,035,575
General Motors Corp. .................................. 48,300 2,571,975
-----------
4,607,550
-----------
Banks 1.13%
Bancorp Hawaii, Inc. .................................. 15,200 533,900
BankAmerica Corp. ..................................... 48,800 3,782,000
Chase Manhattan Corp. ................................. 31,100 2,192,550
Hibernia Corp. ........................................ 60,900 647,062
-----------
7,155,512
-----------
Chemicals 3.81%
ARCO Chemical Co. ..................................... 13,900 721,062
Dow Chemical Co. ...................................... 41,000 3,561,875
du Pont (E.I.) de Nemours & Co. ....................... 55,100 4,573,300
Eastman Chemical Co. .................................. 48,500 3,352,563
Goodrich (B.F.) & Co. ................................. 20,400 1,621,800
Imperial Chemical Industries Plc, ADR.................. 20,300 1,157,100
Olin Corp. ............................................ 20,900 1,818,300
PPG Industries Inc. ................................... 23,600 1,153,450
Rhone-Poulenc Co., S.A., ADR........................... 55,300 1,437,800
Rohm & Haas Co. ....................................... 6,700 445,550
Union Carbide Corp. ................................... 87,800 4,357,075
-----------
24,199,875
-----------
Conglomerates 0.53%
Xerox Corp. ........................................... 27,000 3,388,500
-----------
Consumer Durables 0.20%
Goodyear Tire & Rubber Co. ............................ 25,200 1,285,200
-----------
</TABLE>
3
<PAGE>
THE ZWEIG TOTAL RETURN FUND, INC.
STATEMENT OF NET ASSETS--(CONTINUED)
MARCH 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
--------- -----------
<S> <C> <C>
Finance & Financial Services 2.11%
Alex Brown Inc. ................................................ 10,000 $ 518,750
Allstate Corp. ................................................. 33,000 1,390,125
American Bankers Insurance Group, Inc. ......................... 11,500 405,375
American Financial Group, Inc. ................................. 15,700 474,925
Bear Stearns & Co., Inc. ....................................... 56,100 1,388,475
Edwards, (A.G.) Inc. ........................................... 51,900 1,291,013
Fremont General Corp. .......................................... 13,400 316,575
Merrill Lynch & Co., Inc. ...................................... 53,200 3,231,900
PHH Corp. ...................................................... 10,000 556,250
Ryder Systems Inc. ............................................. 68,000 1,853,000
Salomon Inc. ................................................... 52,900 1,983,750
-----------
13,410,138
-----------
Food & Beverage 0.24%
Adolph Coors Co., Class B....................................... 30,300 541,612
Michael Foods, Inc. ............................................ 2,900 30,450
Unilever N.V. .................................................. 7,100 963,825
-----------
1,535,887
-----------
Healthcare 0.04%
McKesson Corp. ................................................. 5,300 271,625
-----------
Investment Companies 0.93%
Alliance Global Environment Fund.............................. 13,000 157,625
Blackrock 2001 Term Trust, Inc. .............................. 29,000 217,500
Blackrock Strategic Term Trust, Inc. ......................... 29,000 217,500
Clemente Global Growth Fund, Inc. ............................ 13,100 108,075
Emerging Germany Fund, Inc. .................................. 28,400 213,000
Europe Fund, Inc. ............................................ 14,300 187,688
France Growth Fund, Inc. ..................................... 8,200 83,025
Gabelli Equity Trust, Inc. ................................... 40,500 394,875
Gabelli Global Multimedia Trust Fund.......................... 23,600 162,250
Global Health Science Fund, Inc. ............................. 31,800 572,400
Italy Fund, Inc. ............................................. 5,400 43,875
John Hancock Bank & Thrift Opportunity Fund................... 18,700 427,762
Liberty All-Star Growth Fund, Inc. ........................... 20,200 189,375
MFS Intermediate Income Trust Fund............................ 29,000 188,500
New Age Media Fund, Inc. ..................................... 17,300 257,338
New Germany Fund, Inc. ....................................... 21,000 257,250
Pilgrim Regional Bank Shares, Inc. ........................... 17,400 219,675
</TABLE>
4
<PAGE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
--------- -----------
<S> <C> <C>
Investment Companies (Continued)
Royce Value Trust, Inc. ............................... 22,060 $ 270,235
Scudder New Europe Fund, Inc. ......................... 20,800 241,800
Spain Fund, Inc. ...................................... 14,400 135,000
Swiss Helvetia Fund, Inc. ............................. 31,900 701,800
Templeton Dragon Fund, Inc. ........................... 9,200 128,800
Tri-Continental Corp. ................................. 18,800 448,850
United Kingdom Fund, Inc. ............................. 8,100 97,200
-----------
5,921,398
-----------
Manufacturing 1.47%
Albany International Corp. Class A..................... 21,800 436,000
Avery Dennison Corp. .................................. 11,000 594,000
Dana Corp. ............................................ 36,300 1,211,512
Duriron Co., Inc. ..................................... 8,900 244,750
Harsco Corp. .......................................... 5,800 384,250
Johnson Controls, Inc. ................................ 10,400 776,100
Miller (Herman), Inc. ................................. 17,300 536,300
Parker-Hannifin Corp. ................................. 38,300 1,436,250
Timken Co. ............................................ 28,300 1,305,338
TRW, Inc. ............................................. 27,000 2,406,375
-----------
9,330,875
-----------
Metals & Mining 3.10%
Allegheny Ludlum Corp. ................................ 6,900 127,650
Aluminum Company of America............................ 58,700 3,676,087
ASARCO, Inc. .......................................... 77,000 2,695,000
British Steel, Plc, ADR................................ 49,400 1,457,300
Cyprus Amax Minerals Co. .............................. 107,600 3,039,700
Phelps Dodge Corp. .................................... 51,800 3,554,775
Reynolds Metal Co. .................................... 67,500 3,990,937
USX-U.S. Steel Group................................... 33,500 1,159,938
-----------
19,701,387
-----------
Oil & Oil Services 4.80%
Amoco Corp. ........................................... 20,500 1,481,125
Atlantic Richfield Co. ................................ 21,300 2,534,700
British Petroleum Co., Plc, ADR........................ 20,300 2,156,875
Elf Aquitaine, ADR..................................... 42,000 1,422,750
Helmerich & Payne, Inc. ............................... 21,400 722,250
Kerr-McGee Corp. ...................................... 44,900 2,851,140
</TABLE>
5
<PAGE>
THE ZWEIG TOTAL RETURN FUND, INC.
STATEMENT OF NET ASSETS--(CONTINUED)
MARCH 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
--------- ------------
<S> <C> <C>
Oil & Oil Services (Continued)
Mobil Corp. .......................................... 27,600 $ 3,198,150
Occidental Petroleum Corp. ........................... 141,300 3,779,775
Pennzoil Co. ......................................... 18,600 739,350
Phillips Petroleum Co. ............................... 46,700 1,844,650
Quaker State Corp. ................................... 10,900 152,600
Repsol S.A., ADR...................................... 75,800 2,833,025
Sun, Inc. ............................................ 43,000 1,241,625
Texaco Inc. .......................................... 35,900 3,087,400
USX-Marathon Group, Inc. ............................. 126,600 2,437,050
------------
30,482,475
------------
Paper & Forest Products 3.35%
Boise Cascade Corp. .................................. 30,100 1,264,200
Bowater, Inc. ........................................ 45,000 1,676,250
Chesapeake Corp. ..................................... 5,800 175,450
Consolidated Papers, Inc. ............................ 24,700 1,389,375
Georgia-Pacific Corp. ................................ 25,900 1,796,813
Glatfelter (P.H.) & Co. .............................. 6,900 119,888
International Paper Co. .............................. 59,500 2,342,812
James River Corp. of Virginia......................... 45,500 1,171,625
Longview Fibre Co. ................................... 3,000 50,625
Mead Corp. ........................................... 34,200 1,846,800
Potlatch Corp. ....................................... 8,700 371,925
Rayonier Inc. ........................................ 8,600 311,750
Sonoco Products Co. .................................. 21,800 594,050
Stone Container Corp. ................................ 83,500 1,169,000
Union Camp Corp. ..................................... 2,800 138,950
Westvaco Corp. ....................................... 68,750 2,019,531
Weyerhaeuser Co. ..................................... 57,200 2,638,350
Willamette Industries, Inc. .......................... 36,100 2,175,025
------------
21,252,419
------------
Retail Trade & Services 0.77%
American Stores Co.................................... 42,800 1,412,400
Ross Stores, Inc...................................... 25,200 633,150
Smith's Food & Drug Centers, Inc...................... 21,400 513,600
Supervalu, Inc........................................ 38,000 1,173,250
TJX Companies Inc..................................... 47,200 1,185,900
------------
4,918,300
------------
</TABLE>
6
<PAGE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
--------- -----------
<S> <C> <C>
Technology 2.09%
Applied Materials, Inc. ............................. 11,600(a) $ 404,550
Dell Computer Corp. ................................. 20,400(a) 683,400
Digital Equipment Corp. ............................. 32,300(a) 1,780,537
EG&G Inc. ........................................... 39,100 874,862
Harris Corp. ........................................ 35,500 2,196,563
Intel Corp. ......................................... 12,800 728,000
International Business Machines Corp. ............... 17,800 1,978,025
Microsoft Corp. ..................................... 14,600(a) 1,505,625
Philips Electronics N.V. ............................ 86,600 3,150,075
-----------
13,301,637
-----------
Telecommunications 3.43%
360 Communications Co. .............................. 31,166 791,848
Cincinnati Bell Inc. ................................ 22,000 1,144,000
GTE Corp. ........................................... 72,100 3,163,388
NYNEX Corp. ......................................... 69,800 3,481,275
Sprint Corp. ........................................ 124,500 4,731,000
Telefonica de Espana, S.A., ADS...................... 81,000 3,847,500
Telefonos de Mexico, S.A., ADS....................... 77,900 2,560,963
U.S. West Inc. ...................................... 63,700 2,062,287
-----------
21,782,251
-----------
Tobacco 0.34%
RJR Nabisco Holdings Corp. .......................... 71,300 2,156,825
-----------
Transportation 0.83%
Atlantic Southeast Airlines, Inc. ................... 16,500 422,812
British Airways Plc, ADR............................. 8,100 664,200
CSX Corp. ........................................... 84,100 3,837,063
KLM Royal Dutch Airlines, Inc. ...................... 10,100 350,975
-----------
5,275,050
-----------
Utilities 5.51%
Allegheny Power Systems, Inc. ....................... 12,900 391,838
American Electric Power Co., Inc. ................... 55,100 2,300,425
Carolina Power & Light Co., Inc. .................... 41,500 1,545,875
CINergy Corp. ....................................... 7,500 2,250,000
CMS Energy Corp. .................................... 29,400 867,300
DQE Inc. ............................................ 37,250 1,075,594
DTE Energy Co. ...................................... 41,200 1,385,350
Eastern Enterprises.................................. 10,500 372,750
</TABLE>
7
<PAGE>
THE ZWEIG TOTAL RETURN FUND, INC.
STATEMENT OF NET ASSETS--(CONTINUED)
MARCH 31,1996 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES/
PRINCIPAL
AMOUNT VALUE
----------- ------------
<S> <C> <C>
Utilities (Continued)
Enova Corp. ..................................... 36,200 $ 828,075
Entergy Corp. ................................... 32,000 896,000
FPL Group, Inc. ................................. 27,100 1,226,275
General Public Utilities Corp. .................. 46,500 1,534,500
Illinova Corp. .................................. 40,500 1,139,062
MCN Corp. ....................................... 36,400 841,750
New England Electric Systems, Inc. .............. 21,600 826,200
NIPSCO Industries, Inc. ......................... 33,000 1,229,250
Noram Energy Corp. .............................. 116,500 1,077,625
Northern States Power Co. ....................... 10,200 497,250
Pacificorp....................................... 28,600 597,025
PanEnergy Corp. ................................. 66,600 2,072,925
Pinnacle West Capital Corp. ..................... 29,200 843,150
Portland General Corp. .......................... 85,500 2,629,125
Texas Utilities Co. ............................. 55,700 2,304,587
Transcanada Pipeline Ltd. ....................... 56,700 786,712
Unicom Corp. .................................... 73,100 1,973,700
United Illuminating Co. ......................... 6,500 239,688
Western Resources Inc. .......................... 29,500 899,750
Williams Companies Inc. ......................... 47,400 2,387,775
------------
35,019,556
------------
Total Common Stocks............................ 233,131,998
------------
United States Government & Agency Obligations48.51%
Federal Home Loan Mortgage Corp., 6.85%,
4/5/2004........................................ $10,385,000 10,475,111
United States Treasury Bonds, 10.75%, 5/15/2003.. 15,000,000 18,735,915
United States Treasury Bonds, 7.50%, 11/15/2024.. 29,200,000 31,572,500
United States Treasury Bonds, 7.625%, 2/15/2025.. 5,200,000 5,720,000
United States Treasury Notes, 6.125%, 5/15/98.... 45,000,000 45,295,245
United States Treasury Notes, 8.25%, 7/15/98..... 22,000,000 23,120,592
United States Treasury Notes, 6.125%, 7/31/2000.. 64,000,000(b) 64,080,000
United States Treasury Notes, 6.25%, 8/31/2000... 17,300,000 17,397,312
United States Treasury Notes, 5.625%, 11/30/2000. 19,745,000 19,356,241
United States Treasury Notes, 7.50%, 11/15/2001.. 29,000,000 30,785,269
United States Treasury Notes, 7.50%, 2/15/2005... 14,000,000 15,015,000
United States Treasury Notes, 6.50%, 5/15/2005... 26,600,000 26,716,375
------------
Total United States Government & Agency
Obligations................................... 308,269,560
------------
</TABLE>
8
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT/NUMBER
OF CONTRACTS VALUE
------------- ------------
<S> <C> <C>
Short-Term Money Market In-
struments 12.47%
Bell Atlantic Network
Funding, 5.43%, 4/9/96... $ 20,600,000 $ 20,575,143
Ford Motor Credit Co.,
5.37%, 4/2/96............ 1,000,000 999,851
Ford Motor Credit Co.,
5.48%, 4/5/96............ 4,500,000 4,497,260
Philip Morris Capital
Corp., 5.45%, 4/4/96..... 18,700,000 18,691,507
Smithkline Beecham Corp.,
5.45%, 4/4/96............ 15,000,000 14,993,187
U.S. West Telecommunica-
tions, Inc., 5.37%,
4/3/96................... 10,000,000 9,997,017
Wal-Mart Stores Inc.,
5.33%, 4/1/96............ 9,500,000 9,500,000
------------
Total Short-Term Money
Market Instruments..... 79,253,965
------------
Net Unrealized Depreciation
on Futures Contracts 0.04%
Standard & Poor's 500 In-
dex, June 1996 Short (248,275)
futures.................. (90)(c) ------------
Total Investments........... 97.63 % 620,407,248
Cash and Other Assets, Less 2.37 15,045,757
Liabilities................ ------ ------------
Net Assets (Equivalent to
$8.41 per share based on
74,541,514 shares of capi- 100.00 % $635,453,005
tal 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 $29,286,000 (representing 4.61%
of the Fund's net assets) with a cost of $29,037,725.
9
<PAGE>
THE ZWEIG TOTAL RETURN 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.. $647,523,415 $8.63
Net investment income......... $ 6,716,748 $ 0.09
Net realized and unrealized
losses on investments........ (7,161,899) (0.10)
Dividends from net investment
income and distributions from
net long-term and short-term
capital gains................ (15,794,770) (0.21)
Net asset value of shares is-
sued to shareholders for re-
investment of dividends and
distributions................ 4,169,511 0.00
------------ --------
Net decrease in net
assets/net asset value...... (12,070,410) (0.22)
------------ -------
End of period: 3/31/96......... $635,453,005 $8.41
============ =======
</TABLE>
10
<PAGE>
KEY INFORMATION
1-800-331-1710 FIRST DATA INVESTOR SERVICES GROUP, INC.:
For questions regarding shareholder accounts P.O. Box 1376 Bos-
ton, MA 02104
(212) 486-3122 THE ZWEIG TOTAL RETURN 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
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
