Edgar Filing: ZWEIG TOTAL RETURN FUND INC

OFFICERS AND DIRECTORS
George R. Aylward
President, Chairman and Chief Executive Officer

Carlton Neel
Executive Vice President

David Dickerson
Senior Vice President

Marc Baltuch
Chief Compliance Officer and Vice President

Moshe Luchins
Vice President

Kevin J. Carr
Chief Legal Officer and Secretary

Nancy Curtiss
Treasurer

Jacqueline Porter
Vice President and Assistant Treasurer

Charles H. Brunie
Director

Wendy Luscombe
Director

Alden C. Olson, Ph.D.
Director

James B. Rogers, Jr.
Director

R. Keith Walton
Director

Investment Adviser
Zweig Advisers, LLC
900 Third Avenue
New York, NY 10022-4793

Fund Administrator
VP Distributors, Inc.
100 Pearl Street
Hartford, CT 06103-4506

Custodian
State Street Bank and Trust Company
P.O. Box 5501
Boston, MA 02206-5501

Legal Counsel
Katten Muchin Rosenman LLP
575 Madison Avenue
New York, NY 10022-2585

Transfer Agent
Computershare Trust Company, NA
P.O. Box 43010
Providence, RI 02940-3010

--------------------------------------------------------------------------------

This report is transmitted to the shareholders of The Zweig Total Return
Fund, Inc. for their information. This is not a prospectus, circular or
representation intended for use in the purchase of shares of the Fund or any
securities mentioned in this report.

Q1-09

Quarterly Report

Zweig

The Zweig Total
Return Fund, Inc.

March 31, 2009

[LOGO]

VIRTUS
INVESTMENT PARTNERS

FUND DISTRIBUTIONS AND MANAGED DISTRIBUTION PLAN

The Fund has a Managed Distribution Plan to pay 10% of the Fund's net asset
value on an annualized basis. Distributions may represent earnings from net
investment income, realized capital gains, or, if necessary, return of capital.
The board believes that regular monthly, fixed cash payouts will enhance
shareholder value and serve the long-term interests of shareholders. You should
not draw any conclusions about the Fund's investment performance from the
amount of the distributions or from the terms of the Fund's Managed
Distribution Plan.

The Fund estimates that it has distributed more than its income and net
realized capital gains in the fiscal year to date; therefore, a portion of your
distributions may be a return of capital. A return of capital may occur, for
example, when some or all of the money that you invested in the Fund is paid
back to you. A return of capital distribution does not necessarily reflect the
Fund's investment performance and should not be confused with "yield" or
"income".

The amounts and sources of distributions reported in Section 19(a) notices
of the 1940 Act are only estimates and are not being provided for tax reporting
purposes. The actual amounts and sources of the amounts for tax reporting
purposes will depend upon the Fund's investment experience during the remainder
of its fiscal year and may be subject to changes based on tax regulations. The
Fund will send shareholders a Form 1099-DIV for the calendar year that will
tell you how to report distributions for federal income tax purposes.

The Board may amend, suspend or terminate the Managed Distribution Plan at
any time, without prior notice to shareholders if it deems such action to be in
the best interest of the Fund and its shareholders.

Information on the Zweig funds is available at www.Virtus.com. Section 19(a)
notices are posted on the website at:.
http://www.virtus.com/products/closed/details.aspx?type=individual&fundid=ZTR

May 1, 2009

Dear Fellow ZTR Shareholder:

I am pleased to share with you the manager's report and commentary for The
Zweig Total Return Fund, Inc. for the quarter ended March 31, 2009.

The Zweig Total Return Fund's net asset value declined 2.72% for the quarter
ended March 31, 2009, including $.095 in reinvested distributions. The Fund's
average exposure for the quarter was approximately 38% in equities and 45% in
bonds.

Sincerely,

/s/ George R. Aylward
George R. Aylward
President, Chairman and
Chief Executive Officer
The Zweig Total Return
Fund, Inc.

MARKET OVERVIEW AND OUTLOOK

The first quarter of 2009 was one of the most turbulent in U.S. financial
history. Despite a 21%/(1)/ rally from a recent bottom in late March,
traditionally the signal for the start of a bull market, the Dow Jones
Industrial Average finished the quarter at 7,608.92, down 13.3%/(1)/ It was the
worst first quarter showing since 1939. It also marked the sixth consecutive
losing quarter, the longest streak since June 1970.

After gaining 8.54%/(1)/ in March, the S&P 500 Index closed the quarter at
797.87, a decline of 11.7%/(1)/. The NASDAQ Composite Index performed the best
of the major indexes, ending the quarter at 1,528.90, down just 3.1%/(1)/.
Following its best March ever, which saw an 11%/(1)/ increase, the NASDAQ
finished 21%/(1)/ above its 6-year low set on March 9.

Unlike last year, when markets world-wide tumbled, there was a sharp
contrast in performances in 2009. While the Dow Jones World Stock Index,
excluding U.S. shares, declined 12% in dollar terms during the first quarter,
some of the component countries showed big gains. After falling 65%/(1)/ last
year, the Shanghai Composite soared 30%/(1)/ in the first quarter. The
benchmark indexes of Brazil and Russia each rose 9%/(1)/ and India closed in
positive territory. Other countries were more in accord with the U.S. result,
with the benchmark indexes of the United Kingdom, Germany and France off
11%/(1)/ to 15%/(1)/. Japan's Nikkei Stock Average of 275 companies dipped
8%/(1)/.

In unprecedented moves aimed to jump-start the economy and create or save
millions of jobs, the Obama administration announced actions

/1/ Return excludes reinvested dividends

Managed Distribution Plan: The Fund has a policy to distribute 10% of its net
asset value annually. Please see the inside front cover for more details.

totaling trillions of dollars. The biggest stock market reaction followed the
establishment of the Troubled Assets Relief Program. This permits the Treasury
to buy or subsidize the purchase of up to $2 trillion in distressed bank and
real estate assets that have obstructed the flow of credit to business and
consumers. On that news the Dow shot up nearly 500 points or 6.84%. The Federal
Reserve (the "Fed") later reported that it would inject $1 trillion into the
financial markets by buying long-term government bonds and mortgage securities.
The government also revealed a housing plan that could reach $275 billion to
head off foreclosures and encourage lenders to modify loans to hard-hit
homeowners. All this was on top of the $787 billion American Recovery and
Reinvestment Act passed by Congress.

The economy needs all the help it can get. Illustrating the enormity of the
problem, the Labor Department reported that 663,000 jobs were shed in March,
boosting the unemployment rate from 8.1% to 8.5%, its highest level since 1983.
Since the recession began in December 2007, 5.1 million jobs were lost, with
two-thirds of the cuts coming since last November.

Helping to counter the gloomy job news were reports that the manufacturing
sector was declining more slowly and glimmers that the housing market may be
stabilizing. The Institute for Supply Management reported that its
manufacturing index rose by half a point in March to 36.3, its third
consecutive monthly gain. However, the gauge is still far below the above
50 reading needed to denote expansion.

The Commerce Department reported several positive signs in the housing
market. New home sales rose 4.7% in February, up for the first time in seven
months. February housing starts jumped an unexpected 22.3% but were still 47.3%
below a year ago. Existing home sales increased 5.1% in February, the biggest
monthly rise in five years, helped by first- time buyers benefiting from the
$8,000 government credit and lower mortgage rates. However, unsold inventories
rose to 3.8 million units from 3.6 million in July.

Although the Fed reported that industrial output fell 1.4% in February, the
fourth consecutive monthly decline, there was an increase in factory orders
that month. The Commerce Department reported that orders for durable goods
showed an unexpected 3.4% gain in February after a revised 7.3% drop in January.

A slightly brighter note was the Commerce Department reported that consumer
spending, which makes up about 70% of the gross national product, edged up a
seasonally adjusted 0.2% in February. Inflation adjusted, spending was off
0.2%. against a 0.7% gain in January. Worries about deflation subsided somewhat
when the Labor Department reported that its Consumer Price Index rose just 0.4%
in February after a 0.3% gain in January. Its wholesale price increased by 0.1%
after a 0.8% jump in January.

Consumer confidence also gained a bit. The Conference Board reported that
its confidence index rose to 26.0 in March from a revised figure of 25.3 in
February. However, the current reading is still way below the 37.4 mark in
January and a far cry from the 65.9 level last March.

The decline in the domestic and world economy was reflected in the narrowing
of the U.S. trade volume and deficit in January. The Commerce Department
reported that imports fell 6.7% to $160.9 billion while exports slipped 5.7% to
$124.9 billion. Meanwhile, after fluctuating widely, the dollar ended the first
quarter on a positive note. It strengthened 5% against the euro and 9% against
the Japanese yen.

Company earnings and dividends paid decreased in the first quarter. Analysts
for the S&P 500 predicted operating earnings for the quarter ranging from
$11.60 a share to $13.45 a share, with the higher figure still off 19% from a
year ago. Howard Silverblatt, S&P senior analyst, noted that during periods of
economic stress the lower figure is usually more accurate. Mr. Silverblatt also
reported that dividend payments in the first quarter were the lowest since S&P
began

tracking payments in 1956. S&P companies cut dividends by $42 billion in the
quarter, exceeding the $40.6 billion reduction in all of 2008, which set a
record low.

Companies in the S&P 500 were trading at 28.3 times earnings at the end of
the first quarter. This compared with P/Es of 18.8 at the year end and 17.1 on
March 31, 2008. The problem here is that the earnings have plunged and that is
why the P/E ratios are higher. However, the market hasn't been cheap since the
early 80's. If the P/E's get really cheap, there is a risk that the market
might be a heck of a lot lower. The biggest bear markets of the last century
saw an average P/E of about nine at the bottom. While we don't consider current
P/E's cheap, they appear to be at a reasonable multiple under present market
conditions.

The markets for initial public offerings and mergers and acquisitions
remained in the doldrums, Dealogic reported. The first quarter saw only one
domestic IPO raising $828 million compared with ten U.S. offerings raising
$20.8 billion in the like 2008 period. In the first quarter, M&A activity in
the U.S. dipped 30% to 1668, with most of the deals small. Largely because of
two huge drug company mergers, U.S. volume was up 39% to $215 billion. Global
volume tumbled 21% from the first quarter of 2008 to $553 billion and was down
11% from the fourth quarter.

The current recession is now the longest since the Great Depression and Fed
chairman Ben Bernanke says that it will extend through this year. Testifying
before the Senate Banking Committee, he placed a condition on the recovery
outlook. "If we are successful in restoring some measure of financial
stability," he said, "there is a reasonable prospect that the current recession
will end in 2009 and that 2010 will be a year of recovery."

Analysts surveyed by Investors Intelligence have turned somewhat more
positive. In early April there were 31% bulls and 38% bears compared with 29%
bulls and 43% bears on March 31. Members of the American Institute of Investors
are even more optimistic, with 43% bulls and 37% bears in early April against
39% bulls and 42% bears at the end of the quarter.

While we may have already hit the bottom, we can't be certain because there
is no history to guide us. We have had bubbles bursting and financial meltdowns
in the past but there is a new factor at work. The government is injecting
trillions of dollars into the economy and it is too early to tell the impact.

Our exposure to U.S. common stocks was 39% on March 31, 2009, little changed
from the 38% held at year-end. If we were fully invested, our portfolio would
be 50% in equities and 50% in bonds. Consequently, at 39%, we are at about 78%
of a full position (39%/50%).

The Fund's bond exposure on March 31, 2009 was 46%, with average duration (a
measure of sensitivity to interest rates) of 3.6 years. At the year-end we held
42% in bonds, with an average duration of 3.1 years. At 46% in bonds, we were
at about 92% of a full position (46%/50%).

Yields on Treasury bonds were generally higher during the first quarter. The
yield of the benchmark ten-year Treasury note rose from 2.21% at the beginning
of the year to end the quarter at 2.66%. Even though the stock market endured
some very difficult weeks early in the quarter, Treasury bonds did not benefit
from the "flight to quality" phenomenon witnessed during the enormous drop in
yields in 2008. (Bond prices move in the opposite direction from yields.)

Additionally, with the massive government spending proposed by the
administration for "stimulus" on top of the money already committed to
"bailout" and the banking crisis, many investors began to worry. There were
concerns that China and other large sovereign holders of

Treasuries might dump them, fearing ramifications from exploding U.S.
government deficits. China, in particular, owns more than $1 trillion of
Treasury debt. If it were to stop buying, or worse, start selling their bonds,
interest rates would skyrocket. Current market factors that could potentially
drive rates higher include the increased emphasis on government borrowing and
rising debt levels relative to growth.

In light of the potential risk resulting from the massive monetary liquidity
being pumped into the financial system, we moved late last year into Treasury
Inflation Protected Securities (TIPS) and shifted away from regular Treasury
bonds. In our opinion, TIPS offered a much better risk/reward profile, while
having the same credit worthiness as their plain vanilla Treasury counterparts.
This view was confirmed by the superior performance of TIPS during the quarter.

Believing that some sectors and companies were being unduly punished for the
problems in the financial and auto industries, we decided early in the quarter
to add some selective credit exposure to our holdings. While the overall
duration of our bonds remained stable, we achieved solid results for our bond
portfolio in the quarter by moving into TIPS and adding credit exposure.

Sincerely,

/s/Martin E. Zweig, Ph.D.

Martin E. Zweig, Ph.D.
President
Zweig Consulting LLC

PORTFOLIO COMPOSITION

On March 31, 2009, most of our bonds were U.S. Treasury obligations,
including TIPs. These bonds are generally very liquid and provide the
flexibility to respond quickly to changes in market conditions. As mentioned
above the fund did purchase some corporate bonds as well during the recent
quarter.

The Fund's leading equity sectors on March 31, 2009, included Information
Technology, Consumer Staples, Energy, Financials and Health Care. Although
there were some changes in percentages held, all of the above, with the
exception of Energy, which replaced Industrials, appeared in our previous
listing. During the quarter we added to our positions in Health Care and Energy
and reduced our holdings in Materials and Consumer Discretionary.

On March 31, 2009, our top individual positions included Altria, AT&T,
Goldman Sachs, IBM, McDonald's, Merck, PepsiCo, Phillip Morris International,
QUALCOMM and Verizon. New to this listing are Goldman Sachs, PepsiCo and
QUALCOMM, where we added to our positions, and IBM, where there was no change
in shares held.

No longer among our top positions are Allstate and Nucor, where there were
no changes in shares held, and Freeport McMoRan and Wilmington Trust, where we
reduced our holdings.

Sincerely,

[SIGNATURE]

/s/ Carlton Neel
Carlton Neel
Executive Vice President
Zweig Advisers, LLC

Asset Allocation
March 31, 2009
(as a percentage of total investments)

[CHART]

U.S. Government Securities 42%
Common Stocks 39%
Corporate Bonds 4%
Exchange Traded Funds 1%
Other (includes short-term investments) 14%

The preceding information is the opinion of portfolio management. Past
performance is no guarantee of future results, and there is no guarantee that
market forecasts will be realized.
For definitions of indexes cited and certain investment terms used in this
report see the glossary on page 7.
As interest rates rise, bond prices fall. As such, this Fund's share value may
decline substantially and it is possible to lose a significant portion of your
principal when interest rates rise.

Glossary

American Depositary Receipt (ADR): Represents shares of foreign companies
traded in U.S. dollars on U.S. exchanges that are held by a bank or a trust.
Foreign companies use ADRs in order to make it easier for Americans to buy
their shares.

Benchmark Index for The Zweig Total Return Fund: A composite index consisting
of 50% Barclays Capital U.S. Government Bond Index (formerly Lehman Brothers
Government Bond Index) and 50% S&P 500(R) Index.

Consumer Price Index (CPI): Measures the pace of inflation by measuring the
change in consumer prices of goods and services, including housing,
electricity, food, and transportation, as determined by a monthly survey of the
U.S. Bureau of Labor Statistics. Also called the cost-of-living index.

Credit Default Swap (CDS): A swap designed to transfer the credit exposure of
fixed income products between parties. The buyer of a credit swap receives
credit protection, whereas the seller of the swap guarantees the credit
worthiness of the product. By doing this, the risk of default is transferred
from the holder of the fixed income security to the seller of the swap.

Deflation: A general decline in prices, if it persists, generally creates a
vicious spiral of negatives such as falling profits, closing factories,
shrinking employment and incomes, and increasing defaults on loans by companies
and individuals. To counter deflation, the Federal Reserve (the Fed) can use
monetary policy to increase the money supply and deliberately induce rising
prices, causing inflation.

Dow Jones Industrial Average/SM/: A price-weighted average of 30 blue chip
stocks. The index is calculated on a total return basis with dividends
reinvested.

Duration: A measure of a fixed income fund's sensitivity to interest rate
changes. For example, if a fund's duration is 5 years, a 1% increase in
interest rates would result in a 5% decline in the fund's price. Similarly, a
1% decline in interest rates would result in a 5% gain in the fund's price.

Federal funds rate: The interest rate charged on overnight loans of reserves by
one financial institution to another in the United States. The federal funds
rate is the most sensitive indicator of the direction of interest rates since
it is set daily by the market.

Federal Reserve: The central bank of the United States, responsible for
controlling the money supply, interest rates and credit with the goal of
keeping the U.S. economy and currency stable. Governed by a seven- member
board, the system includes 12 regional Federal Reserve Banks, 25 branches and
all national and state banks that are part of the system.

Initial public offering (IPO): A company's first sale of stock to the public.

Institute for Supply Management (ISM) Report on Business(R): An economic
forecast, released monthly, that measures U.S. manufacturing conditions and is
arrived at by surveying 300 purchasing professionals in the manufacturing
sector representing 20 industries in all 50 states.

Investors Intelligence Survey: A weekly survey published by Chartcraft, an
investment services company, of the current sentiment of approximately 150
market newsletter writers. Participants are classified into three categories:
bullish, bearish or waiting for a correction.

NASDAQ Composite(R) Index: A market capitalization-weighted index of all issues
listed in the NASDAQ (National Association Of Securities Dealers Automated
Quotation System) Stock Market, except for closed-end funds, convertible
debentures, exchange traded funds, preferred stocks, rights, warrants, units
and other derivative securities. The index is calculated on a total return
basis with dividends reinvested.

S&P 500(R) Index: A free-float market capitalization-weighted index of 500 of
the largest U.S. companies. The index is calculated on a total return basis
with dividends reinvested.

TARP (Troubled Asset Relief Program): A government program created for the
establishment and management of a Treasury fund, in an attempt to curb the
ongoing financial crisis of 2007-2008. The fund was created by enacting the
Emergency Economic Stabilization Act of 2008.

Treasury-Inflation Protected Securities (TIPS): U.S. Treasury bonds and notes
whose value is adjusted according to changes to the inflation rate every six
months, as measured by the consumer price index. As inflation occurs, the value
of TIPS increases.

Indexes cited are unmanaged and not available for direct investment; therefore
their performance does not reflect the expenses associated with the active
management of an actual portfolio.

THE ZWEIG TOTAL RETURN FUND, INC.

SCHEDULE OF INVESTMENTS

March 31, 2009
(Unaudited)

($ reported in thousands)

Par Value
------- --------

INVESTMENTS
U.S. GOVERNMENT SECURITIES 42.0%
U. S. Treasury Bond
7.50%, 11/15/16.............................. $20,000 $ 26,852
8.88%, 2/15/19............................... 10,000 15,087
U. S. Treasury Note
2.00%, 9/30/10............................... 26,000 26,519
4.00%, 11/15/12.............................. 18,500 20,281
U. S. Treasury Inflation Indexed Note
2.00%, 7/15/14/(4)/.......................... 27,000 31,222
2.00%, 1/15/16/(4)/.......................... 25,000 27,431
2.38%, 1/15/17/(4)/.......................... 31,000 34,460
--------
Total U.S. Government Securities (Identified Cost
$162,827)....................................... 181,852
--------
CORPORATE BONDS 4.3%
ENERGY -- 1.6%
Nabors Industries, Inc. 144A 9.25%, 1/15/19/(3)/. 4,000 3,793
Weatherford International, Inc. 6.35%, 6/15/17... 3,550 3,042
--------
6,835
--------
INDUSTRIALS -- 1.8%
CSX Corp. 6.25%, 3/15/18......................... 4,000 3,446
Ingersoll-Rand Global Holding Co. Ltd. 6.88%,
8/15/18........................................ 4,814 4,494
--------
7,940
--------
UTILITIES -- 0.9%
Duke Energy Corp. 6.30%, 2/1/14.................. 4,000 4,095
--------
4,095
--------
Total Corporate Bonds (Identified Cost $19,316)... 18,870
--------

See notes to schedule of investments

Number of
Shares Value
--------- -------

COMMON STOCKS 38.5%
CONSUMER DISCRETIONARY -- 2.5%
McDonald's Corp.............................. 90,000 $ 4,911
NIKE, Inc. Class B........................... 82,000 3,845
Under Armour, Inc. Class A/(2)/.............. 136,000 2,235
-------
10,991
-------
CONSUMER STAPLES -- 5.7%
Altria Group, Inc............................ 455,000 7,289
Bunge Ltd.................................... 73,000 4,135
Costco Wholesale Corp........................ 71,000 3,289
PepsiCo, Inc................................. 106,000 5,457
Philip Morris International, Inc............. 132,000 4,696
-------
24,866
-------
ENERGY -- 5.0%
Chesapeake Energy Corp....................... 130,000 2,218
ConocoPhillips............................... 102,000 3,994
Halliburton Co............................... 180,000 2,785
Massey Energy Co............................. 171,000 1,731
Occidental Petroleum Corp.................... 73,000 4,062
Petroleo Brasileiro S.A. ADR................. 100,000 3,047
St. Mary Land & Exploration Co............... 157,000 2,077
Valero Energy Corp........................... 90,000 1,611
-------
21,525
-------
FINANCIALS -- 4.8%
Allstate Corp. (The)......................... 156,000 2,987
Goldman Sachs Group, Inc. (The).............. 41,000 4,347
Hudson City Bancorp, Inc..................... 308,000 3,601
Reinsurance Group of America, Inc............ 104,000 3,369
Templeton Dragon Fund, Inc................... 142,000 2,516
Wells Fargo & Co............................. 209,000 2,976
Wilmington Trust Corp........................ 119,000 1,153
-------
20,949
-------
HEALTH CARE -- 4.7%
Celgene Corp./(2)/........................... 67,000 2,975
Gilead Sciences, Inc./(2)/................... 74,000 3,428
Johnson & Johnson............................ 72,000 3,787
Merck & Co., Inc............................. 172,000 4,601
St. Jude Medical, Inc./(2)/.................. 76,000 2,761
UnitedHealth Group, Inc...................... 128,000 2,679
-------
20,231
-------

See notes to schedule of investments

Number of
Shares Value
--------- --------

INDUSTRIALS -- 3.9%
Boeing Co. (The)................................ 89,000 $ 3,167
Caterpillar, Inc................................ 111,000 3,104
Continental Airlines, Inc. Class B/(2)/......... 207,000 1,824
Foster Wheeler AG/(2)/.......................... 105,000 1,834
L-3 Communications Holdings, Inc................ 54,000 3,661
Union Pacific Corp.............................. 86,000 3,535
--------
17,125
--------
INFORMATION TECHNOLOGY -- 6.3%
Cisco Systems, Inc./(2)/........................ 191,000 3,203
Corning, Inc.................................... 241,000 3,198
Hewlett-Packard Co.............................. 123,000 3,943
International Business Machines Corp............ 51,000 4,941
Microsoft Corp.................................. 188,000 3,454
Nokia Oyj Sponsored ADR......................... 297,000 3,466
QUALCOMM, Inc................................... 126,000 4,903
--------
27,108
--------
MATERIALS -- 2.7%
Alcoa, Inc...................................... 210,000 1,541
Freeport-McMoRan Copper & Gold, Inc............. 67,000 2,553
NuCor Corp...................................... 112,000 4,275
Potash Corp. of Saskatchewan, Inc............... 39,000 3,152
--------
11,521
--------
TELECOMMUNICATION SERVICES -- 2.9%
AT&T, Inc....................................... 233,000 5,872
Verizon Communications, Inc..................... 223,000 6,734
--------
12,606
--------
Total Common Stocks (Identified Cost $227,864)..... 166,922
--------
EXCHANGE TRADED FUNDS 1.0%
PowerShares Deutsche Bank Agriculture Fund/(2)/. 171,000 4,188
--------
Total Exchange Traded Funds (Identified Cost $5,386) 4,188
--------
Total Long Term Investments -- 85.8% (Identified cost
$415,393)........................................ 371,832
--------
SHORT-TERM INVESTMENTS 13.7%
MONEY MARKET MUTUAL FUNDS -- 2.2%
State Street Institutional Liquid Reserves Fund
(seven-day effective yield 0.577%)............ 9,406,673 9,407
--------
9,407
--------

See notes to schedule of investments

Par Value
------- --------

U.S. TREASURY BILLS/(5)/ -- 11.5%
U.S. Treasury Bill 0.79%, 7/30/09............ $50,000 $ 49,958
--------
49,958
--------
Total Short-Term Investments (Identified Cost
$59,276).................................... 59,365
--------
Total Investments (Identified Cost $474,669) --
99.5%....................................... 431,197/(1)/
Other assets and liabilities, net -- 0.5%..... 2,060
--------
Net Assets -- 100.0%.......................... $433,257
--------

--------
(1) Federal Income Tax Information: Net unrealized depreciation of investment
securities is comprised of gross appreciation of $22,687 and gross
depreciation of $70,013 for federal income tax purposes. At March 31, 2009
, the aggregate cost of securities for federal income tax purposes was
$478,522.
(2) Non-income producing.
(3) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At March 31,
2009, these securities amounted to a value of $3,793 or 0.9% of net assets.
(4) Principal amount is adjusted daily pursuant to the change in the Consumer
Price Index.
(5) The rate shown is the discount rate.

See notes to schedule of investments

THE ZWEIG TOTAL RETURN FUND, INC.

FINANCIAL HIGHLIGHTS

March 31, 2009
(Unaudited)

(Reported in thousands except for the per share amounts)

Net Asset Value
Total Net Assets per share
------------------ ---------------

Beginning of period: December 31, 2008..................... $458,767 $ 4.00
Net investment income................................... $ (505) $ -- **
Net realized and unrealized gain on investments......... (14,118) (0.12)
Dividends from net investment income and distributions
from net long-term and short-term capital gains *..... (10,887) (0.10)
Net increase (decrease) in net assets/net asset value... (25,510) (0.22)
-------- ------
End of period: March 31, 2009.............................. $433,257 $ 3.78
======== ======

--------
*Please note that the tax status of our distributions is determined at the
end of the taxable year. However, based on interim data as of March 31,
2009, we estimate that 100% of distributions represent return of capital.
**Amount is less that $0.005

See notes to schedule of investments

THE ZWEIG TOTAL RETURN FUND, INC.

NOTES TO SCHEDULE OF INVESTMENTS

March 31, 2009
(Unaudited)

NOTE 1 -- SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies consistently
followed by the Fund in the preparation of its financial statements. The
preparation of financial statements in conformity with accounting principals
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities, and disclosure of contingent assets and liabilities at the date of
the financial statements and the reported amount of increases and decreases in
net assets from operations during the reporting period. Actual results could
differ from those estimates and those differences could be significant.

A. Security Valuation:

Equity securities are valued at the official closing price (typically last
sale) on the exchange on which the securities are primarily traded, or if no
closing price is available, at the last bid price.

Debt securities are valued on the basis of broker quotations or valuations
provided by a pricing service, which utilizes information with respect to
recent sales, market transactions in comparable securities, quotations from
dealers, and various relationships between securities in determining value.

As required, some securities and other assets may be valued at fair value as
determined in good faith by or under the direction of the Directors.

Certain foreign common stocks may be fair valued in cases where closing
prices are not readily available or are deemed not reflective of readily
available market prices. For example, significant events (such as movement in
the U.S. securities market, or other regional and local developments) may occur
between the time that foreign markets close (where the security is principally
traded) and the time that the Fund calculates its net asset value (generally,
the close of the NYSE) that may impact the value of securities traded in these
foreign markets. In these cases, information from an external vendor may be
utilized to adjust closing market prices of certain foreign common stocks to
reflect their fair value. Because the frequency of significant events is not
predictable, fair valuation of certain foreign common stocks may occur on a
frequent basis.

Short-term investments having a remaining maturity of 60 days or less are
valued at amortized cost, which approximates market.

The Fund has adopted the provisions of the Statement of Financial Accounting
Standards No. 157 (SFAS 157). This standard clarifies the definition of fair
value for financial reporting, establishes a framework for measuring fair value
and requires additional disclosures about the use of fair value measurements.
To increase consistency and comparability in fair value measurements and
related disclosures, the Fund utilizes a fair value hierarchy which prioritizes
the inputs to valuation techniques used to measure fair value into three broad
levels:

. Level 1 -- quoted prices in active markets for identical securities

. Level 2 -- prices determined using other significant observable inputs
(including quoted prices for similar securities, interest rates,
prepayment speeds, credit risk, etc.)

. Level 3 -- prices determined using significant unobservable inputs
(including the Fund's own assumptions in determining the fair value of
investments)

The following is a summary of the inputs used to value the Fund's net assets
as of March 31, 2009. The inputs or methodology used for valuing securities are
not necessarily an indication of the risk associated with investing in those
securities.

($ reported in thousands)

Investments in
Valuation Inputs Securities
---------------- --------------

Assets:
Level 1 -- Quoted Prices.................................... $180,517
Level 2 -- Other Significant Observable Inputs.............. 250,680
Level 3 -- Significant Unobservable Inputs.................. --
--------
Total....................................................... $431,197
========

B. Security Transactions and Related Income:

Security transactions are recorded on the trade date. Dividend income is
recorded on the ex-dividend date, or in the case of certain foreign securities,
as soon as the Fund is notified. Interest income is recorded on the accrual
basis. The Fund amortizes premiums and accretes discounts using the effective
interest method. Realized gains and losses are determined on the identified
cost basis.

C. Foreign Currency Translation:

Foreign securities and other assets and liabilities are valued using the
foreign currency exchange rate effective at the end of the reporting period.
Cost of investments is translated at the currency exchange rate effective at
the trade date. The gain or loss resulting from a change in currency exchange
rates between the trade and settlement dates of a portfolio transaction is
treated as a gain or loss on foreign currency. Likewise, the gain or loss
resulting from a change in currency exchange rates between the date income is
accrued and paid is treated as a gain or loss on foreign currency. The Fund
does not isolate that portion of the results of operations arising from changes
in exchange rates and that portion arising from changes in the market prices of
securities.

NOTE 2 -- CREDIT RISK AND ASSET CONCENTRATIONS

In countries with limited or developing markets, investments may present
greater risks than in more developed markets and the prices of such investments
may be volatile. The consequences of political, social or economic changes in
these markets may have disruptive effects on the market prices of these
investments and the income they generate, as well as the Fund's ability to
repatriate such amounts.

The Fund may invest a high percentage of its assets in specific sectors of
the market in its pursuit of a greater investment return. Fluctuations in these
sectors of concentration may have a greater impact on the Fund, positive or
negative, than if the Fund did not concentrate its investments in such sectors.

NOTE 3 -- INDEMNIFICATIONS

Under the Fund's organizational documents and related agreements, its
directors and officers are indemnified against certain liabilities arising out
of the performance of their duties to the Fund. In addition, the Fund enters
into contracts that contain a variety of indemnifications. The Fund's maximum
exposure under these arrangements is unknown. However, the Fund has not had
prior claims or losses pursuant to these arrangements.

NOTE 4 -- RECENTLY ISSUED ACCOUNTING STANDARDS

In April 2009, FASB issued FASB Staff Position No. 157-4, Determining Fair
Value when the Volume and Level of Activity for the Asset or Liability Have
Significantly Decreased and Identifying Transactions That Are Not Orderly,
("FSP 157-4"). FSP 157-4 is effective for fiscal years and interim periods
ending after June 15, 2009. FSP 157-4 provides additional guidance for
estimating fair value in accordance with SFAS 157 (See Note 1 A), when the
volume and level of activity for the asset or liability have significantly
decreased. FSP 157-4 also includes guidance on identifying circumstances that
indicate a transaction is not orderly. FSP 157-4 requires entities to describe
the inputs used in valuation techniques used to measure fair value and changes
in inputs over the period. FSP 157-4 expands the three-level hierarchy
disclosure and the level three-roll forward disclosure for each major security
type as described in paragraph 19 of FAS No. 115, Accounting for Certain
Investments in Debt and Equity Securities. Management is currently evaluating
the impact the implementation of FSP 157-4 will have on the Funds' financial
statement disclosures.

In March 2008, Statement of Financial Accounting Standards No. 161,
"Disclosures about Derivative Instruments and Hedging Activities" (FAS 161) was
issued and is effective for fiscal years and interim periods beginning after
November 15, 2008. FAS 161 is intended to improve financial reporting for
derivative instruments by requiring enhanced disclosure that enables investors
to understand how and why a fund uses derivatives, how derivatives are
accounted for, and how derivative instruments affect a fund's results of
operations and financial position. Management is currently evaluating the
impact, if any, of FAS 161 on financial statement disclosures.

KEY INFORMATION

Zweig Shareholder Relations: 1-800-272-2700
For general information and literature, as well as updates on net asset
value, share price, major industry groups and other key information

REINVESTMENT PLAN

Many of you have questions about our 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.

REPURCHASE OF SECURITIES

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.

PROXY VOTING INFORMATION (FORM N-PX)

The Adviser and Sub-Adviser vote proxies relating to portfolio securities in
accordance with procedures that have been approved by the Fund's Board of
Directors. You may obtain a description of these procedures, along with
information regarding how the Fund voted proxies during the most recent
12-month period ended June 30, 2008, free of charge, by calling toll-free
1-800-243-1574. This information is also available through the Securities and
Exchange Commission's website at http://www.sec.gov.

FORM N-Q INFORMATION

The Fund files a complete schedule of portfolio holdings with the Securities
and Exchange Commission (the "SEC") for the first and third quarters of each
fiscal year on Form N-Q. Form N-Q is available on the SEC's website at
http://www.sec.gov. Form N-Q may be reviewed and copied at the SEC's Public
Reference Room. Information on the operation of the SEC's Public Reference Room
can be obtained by calling toll-free 1-800-SEC-0330.