Edgar Filing: ZWEIG TOTAL RETURN FUND INC

THE ZWEIG TOTAL RETURN FUND, INC.

================================================================================

Quarterly Report

September 30, 2010

[LOGO]

Zweig
Advisers
A VIRTUS INVESTMENT PARTNER

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

W. PATRICK BRADLEY, Treasurer and Chief Financial Officer

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
THE BANK OF NEW YORK MELLON
One Wall Street
New York, NY 10286

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.

[LOGO]

VIRTUS
INVESTMENT PARTNERS

Q3-10

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

November 1, 2010

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 nine-months ended September 30, 2010.

The Zweig Total Return Fund's net asset value increased 6.38% for the
quarter ended September 30, 2010, including $0.095 in reinvested distributions.
During the same period, the Fund's Composite Index increased 7.015% including
reinvested dividends. The Fund's average exposure for the quarter was
approximately 36% in bonds and 40% in equities.

For the nine months ended September 30, 2010, the Fund's net asset value
gained 2.05%, including $0.297 in reinvested distributions. During the same
period, the Fund's Composite Index increased 6.45% including reinvested
dividends. The Fund's average exposure for the nine months was approximately
38% in bonds and 40% in equities.

Sincerely,

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

EQUITY MARKET

Paced by a strong September, historically the weakest market month of the
year, the major indexes showed double-digit gains for the third quarter. The
Dow Jones Industrial Average climbed 7.7%/(1)/ in September, its greatest rally
for that month since 1939, and ended the third quarter up 10.4%/(1)/. For the
year to date the Dow closed at 10,788, an increase of 3.6%/(1)/. Surging
8.8%/(1)/ in September, its best score for that month since 1939, the S&P
500(R) Index (the "S&P 500(R)") rose 10.7%/(1)/ for the quarter. For the nine
months, the S&P 500 closed 2.3%/(1)/ higher at 1,141. Topping the performance
of the Dow and the S&P, the NASDAQ Composite spurted 12.3%/(1)/ for the
quarter, and ended at 2,368, up 4.4%/(1)/ for the year to date.

Reporting that "the pace of economic recovery is likely to be modest in the
near term," the Federal Reserve (the "Fed") strongly indicated that it might
soon resume buying large amounts of government debt to stimulate the economy.
At its September meeting, the Fed maintained its target range for the federal
funds rate at virtually zero, adding that "stable inflation expectations are
likely to warrant exceptionally low levels for an extensive period."

Although there is slight tangible evidence, the recession that started in
December of 2007 officially ended in June 2009. That was the finding of the
National Bureau of Economic Research, the group that determines the benchmarks
of U.S. recessions. The recent 18-month recession was the longest downturn
since the Great Depression. Given the current market conditions, there is still
a long way to go.

/(1)/ Return excludes reinvested dividends

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

That's illustrated in the Commerce Department report that Gross Domestic
Product ("GDP") in the second quarter was at an annual rate of 1.7%, a slight
upward revision from the previous estimate of 1.6%, but sharply below the 3.4%
rate the first quarter. Looking to the future, the International Monetary Fund
("IMF") expects U.S. growth next year to fall to 2.9% from this year's
anticipated rate of 3.9%. The agency predicted that world expansion in 2011
would dip to 4.3% from this year's 4.6%.

When the IMF lowered its forecast for U.S. growth, it cited "sluggish
personal consumption." Consumer spending, which accounts for roughly 70% of the
U.S. economy, increased only 0.4% in August, the same as the
seasonally-adjusted rise in July, according to the Commerce Department.
Indicating that inflation has been checked, the Consumer Price Index ("CPI"), a
standard inflation gauge, inched up 0.3% in August, following a similar gain in
July. The Producer Price Index, which depicts wholesale prices, increased 0.4%
in August after a 0.2% rise in July.

While still weak, the housing market, a major component of the economy, is
showing signs of stabilization. The Commerce Department reported that housing
starts gained 10.5% in August to a seasonally-adjusted annual rate of 598,000
units, the largest increase since last November, to the highest level in four
months. After slumping in July, home sales gained 7.6% in August but were still
down 19% from the same month last year. Overall spending on construction rose
0.4% in August, after a decline of 1.4% in July.

A bright note came from service-sector companies, which currently account
for about two-thirds of GDP. ("ISM") The Institute of Supply Management
reported that its activity index for non-manufacturing firms increased to 53.2
in September from 51.5 in August. The index of manufacturing did not do as
well, dipping to 54.4 in September from 56.3 in August. However it was the
fourteenth consecutive month of growth. The manufacturing index hit a recent
peak of 60.4 last April.

Reflecting the slowdown in manufacturing, the Commerce Department reported
August declines of 1.3% in orders for durable goods and 0.5% in factory orders.
With the volatile transportation component excluded, durable goods orders were
up 2% and factory orders were 0.9% higher.

The employment sector remains bleak. U.S. payroll shrank by 65,000 in
September, according to the Labor Department. While 159,000 government
positions were eliminated, half of them temporary census workers, private
employers added 64,000 jobs. The nation's unemployment rate stood unchanged at
9.6%, marking the fourteenth consecutive month of the level topping 9.5%.
American hourly earnings grew by only one penny in September and were up 1.7%
for the year to date.

Given the latest job numbers, it was no surprise that consumer confidence in
September dipped to its lowest level since February. The Conference Board
reported that its consumer confidence index declined to 48.5% in September from
53.2 in August, a slight downward revision from its previous estimate for
August.

Foreign trade provided some favorable news. The Commerce Department reported
that the U.S. trade deficit narrowed by 14% in July, the last month for which
statistics are available. The deficit shrank to $42.8 billion from a revised
$49.8 billion in June. Exports increased to $153.3 billion from $150.6 billion
in June. July imports totaled $196.1 billion, down $4.2 billion from June.

Mergers and acquisitions took off in the third quarter. Dealogic reported
that U.S. deals totaled $199.2 billion, a jump of 76% from the 2009 period.
Global third-quarter activity hit $758.6 billion, up 55% from the 2009 level and

26% above the second quarter. For the first nine months, world-wide deals came
to $1.98 trillion, 21% over last year. Growing more slowly, U.S. deals totaled
$595.4 billion for the year to date. Europe deals gained 13% while Asia climbed
19%.

Initial public offerings ("IPOs") also showed signs of life, according to
Dealogic. World-wide there were 877 new IPOs, raising $147.1 billion, for the
first nine months of 2010, already topping the 578 deals valued at $111.4
billion in all of last year. However IPOs have a long way to go to reach the
1831 deals that raised $302.2 billion in 2007. In the third quarter there were
272 global deals, raising $52.4 billion. Half of that number and more than
three-quarters of the dollar volume came from Asia in the quarter. In the U.S.,
nineteen companies issued IPOs, valued at $2.8 billion, in the quarter.
Including foreign firms filing in the U.S., domestic stocks launched rose to
27, valued at $4.7 billion. Europe showed 36 offerings, raising $3.1 billion in
the quarter.

Dividends, which fell sharply following the financial crisis, are
recovering. In the third quarter, 185 of the S&P 500 companies boosted
dividends while only three cut them, according to Howard Silverblatt, senior
S&P analyst. During the same period of 2009, 110 companies increased dividends
while 72 reduced them. Stock buybacks reached $27.6 billion in the second
quarter, the most recent data available, the highest since the third quarter of
2008. As of June 30, industrial companies in the S&P 500 held a record $843
billion in cash, up from $733 billion a year earlier.

Third-quarter earnings of the S&P 500 companies are expected to top the like
2009 period by 24%, with the fourth quarter estimated to show a 31% gain,
according to consensus estimates complied by Thomson Reuters. However, the
agency also cautioned that, shortly before the third quarter ended, 77% of the
S&P 500 companies reported they will not meet their estimates, and only 34 said
they would exceed them.

Based on the estimated earnings, Bloomberg News reported that stocks in the
S&P 500 were trading at a price/earnings ratio of 15.15 on September 30, 2010,
compared with 13.85 on June 30 and 26.57 on September 30 last year. The P/E's
for trailing twelve-months earnings were 14.86, 14.08 and 26.69 respectively.
The current valuations appear to be fairly priced since they are roughly in
line with the historical average of 14.9 since 1984.

Individual investors in the stock market have come around to be as
optimistic as analysts. Advisors surveyed by Investors Intelligence on
September 30, totaled 41% bulls and 29% bears. At the same date, a survey of
members of the American Institute of Individual Investors showed 42% bulls and
32% bears. While the advisors, who tallied 41% bulls and 33% bears on June 30,
showed little change in opinions during the quarter, the individual investors
jumped from 25% bulls and 42% bears on June 30.

Overall, our equity market indicators are on the neutral side. Although
long-term skepticism, a positive sign, is still present, the pockets of extreme
pessimism we saw during the summer are mostly gone. As a result, our sentiment
indicators are neutral. With recent advances outnumbering declining issues, our
tape indicators have improved significantly since the July 1 lows. Monetary
indicators continue positive due to the low inflation and the Fed's easy
interest rate policy. At this writing, the Fed seems to be more concerned about
deflation than inflation.

BOND MARKET

Bonds continued to rally during the third quarter, with yields falling from
2.93% at the beginning of the quarter to 2.51% on September 30. Since bond
prices move in the opposite direction of yields, prices for existing bonds rose.

The decline in yields was interrupted in July as stocks rallied and some
investors sold bonds in favor of stocks. However the "summer of recovery" did
not materialize and the bond market reacted positively to the weakness in
economic numbers. As reported in the preceding equity section, the labor market
remains sluggish, with the unemployment rate holding at 9.6%. As a result, the
Fed has kept its benchmark federal funds rate at near zero in an attempt to
jumpstart the economy and create new jobs. Meanwhile the inflation rate remains
very low.

Inflation is the bane of the bond market because fixed-income investors seek
some return above inflation when lending money. During periods of rising
inflation expectations, bonds yields are high or climbing. Just the opposite
has been happening. Bond investors are increasingly concerned about the
economic malaise, the low inflation rate and fears of deflation.

With a muted appetite for risk from large segments of the investing public,
money continued to flow into the bond market during the bulk of the summer. In
the third quarter, investors took out $43 billion from U.S. stock funds,
according to Morningstar. That brought withdrawals to $100 billion since the
beginning of 2009.

Overall, the duration of our bond portfolio (a measurement of sensitivity to
interest rates) continues to be very modest. Consequently we participated
somewhat less in the summer rally. As in the previous quarter, our holdings of
Treasury Inflation Protected Securities (TIPS) and corporate bonds did help our
performance but they did not move sharply higher than ordinary Treasury bonds.

With several indicators still somewhat negative, our bond model reading
calls for a relatively cautious posture. Current bond prices discount only the
most pessimistic economic outlook. As a result, any future economic surprise is
likely to be positive, and result in lower bond prices and higher yields. Even
the planned bond purchases by the Federal Reserve ("QE2") may be discounted in
prices already. It would take a significantly weaker economy to push bond
yields lower (and prices higher) from here. As always, we remain flexible. If
the indicators or market conditions warrant, we will alter our exposure
accordingly.

Sincerely,

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

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

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.

PORTFOLIO COMPOSITION

The Fund's leading equity sectors on September 30, 2010, included
Information Technology, Energy, Industrials, Materials and Consumer
Discretionary. All of the above, with the exception of Consumer Discretionary,
appeared on our previous listing. During the quarter we added to our positions
in Consumer Discretionary and reduced our holdings in Information Technology
and Materials.

Our leading individual positions on September 30, 2010, included Verizon,
Altria, Excelon, AT&T, Hudson City Bancorp, Chevron, DuPont, Johnson & Johnson,
ConoccoPhillips, and McDonald's. All of the above, with the exception of
McDonald's, where there was no
change in shares held, were in our previous listing. Although it is no longer
among our top positions, we added to our holdings in Nucor.

Sincerely,

/s/ Carlton Neel

Carlton Neel
Executive Vice President
Zweig Advisers, LLC

ASSET ALLOCATION AS OF SEPTEMBER 30, 2010

The following graph illustrates asset allocations within certain sectors and
as a percentage of total investments as of September 30, 2010.

[CHART]

Common Stocks 40%
U.S. Government Securities 27%
Corporate Bonds 2%
Exchange Traded Funds 1%
Short-Term Investments 30%

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 information regarding the indexes cited, and key investment terms used in
this report see page 7.

KEY INVESTMENT TERMS

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

COMMERCE DEPARTMENT: The cabinet department in the U.S. Government that deals
with business, trade and commerce. Its objective is to foment higher standards
of living for Americans through the creations of jobs. It aims to achieve this
by promoting an infrastructure of monetary and economic growth, competitive
technology and favorable international trade.

CONFERENCE BOARD REPORT: Widely followed economic indicators, particularly the
Consumer Confidence Index ("CCI"). The Conference Board also connects some
2,000 companies via forums and peer-to-peer meetings to discuss what matters to
companies today: issues such as top-line growth in a shifting economic
environment and corporate governance standards.

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.

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.

DEALOGIC: Provides technology, data analytics, and consulting services platform
to Investment Bank and Capital Markets professionals.

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: Funds deposited to regional Federal Reserve Banks by commercial
banks, including funds in excess of reserve requirements.

FEDERAL RESERVE (THE "FED"): 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.

GROSS DOMESTIC PRODUCT (GDP): An important measure of the United States'
economic performance, GDP is the total market value of all final goods and
services produced in the U.S. during any quarter or year.

INFLATION: Rise in the prices of goods and services resulting from increased
spending relative to the supply of goods on the market.

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.

INTERNATIONAL MONETARY FUND ("IMF"): An international organization created for
the purpose of promoting global monetary and exchange stability, facilitating
the expansion and balanced growth of international trade, and assisting in the
establishment of a multilateral system of payments for current transactions.

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.

MORNINGSTAR INC: A Chicago-based investment research firm that compiles and
analyzes fund, stock and general market data. Morningstar also provides an
extensive line of internet, software and print-based products for individual
investors, financial advisors, and institutional clients.

NATIONAL BUREAU OF ECONOMIC RESEARCH: This private, non-profit, non-partisan
research organization's main aim is to promote greater understanding of how the
economy works. It disseminates economic research among public policy makers,
business professionals and the academic community.

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.

PRICE-TO-EARNINGS RATIO (P/E): A valuation measure calculated by dividing a
stock's price by its current or projected earnings per share. The P/E ratio
gives an idea of how much an investor is paying for current or future earnings
power.

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.

THE ZWEIG TOTAL RETURN FUND COMPOSITE INDEX: 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.

THOMSON REUTERS: An information company that supplies news services to
newspapers, news agencies, broadcasters and other media subscribers as well as
to businesses governments, institutions, and individuals.

TREASURY-INFLATION PROTECTED SECURITIES (TIPS): U.S. Treasury bonds and notes
whose value is adjusted according to changes to the inflation rate daily, 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

SEPTEMBER 30, 2010
(UNAUDITED)
($ REPORTED IN THOUSANDS)

PAR VALUE
--------- --------

INVESTMENTS
U.S. GOVERNMENT SECURITIES 27.3%
U.S. Treasury Inflation Indexed Note
1.625%, 1/15/15/(4)/......................... $ 28,000 $ 34,164
2.000%, 1/15/16/(4)/......................... 25,000 30,095
2.375%, 1/15/17/(4)/......................... 31,000 37,775
U.S. Treasury Note 4.000%, 11/15/12.............. 18,500 19,910
--------
TOTAL U.S. GOVERNMENT SECURITIES (Identified Cost
$107,276)......................................... 121,944
--------
CORPORATE BONDS 2.4%
INDUSTRIALS -- 2.4%
CSX Corp. 6.250%, 3/15/18........................ 4,000 4,749
Ingersoll-Rand Global Holding Co., Ltd. 6.875%,
8/15/18........................................ 4,814 5,845
--------
TOTAL CORPORATE BONDS (Identified Cost $8,245)...... 10,594
--------

NUMBER OF
SHARES
---------
COMMON STOCKS 40.4%
CONSUMER DISCRETIONARY -- 4.1%
AutoZone, Inc./(2)/.............................. 11,000 2,518
Best Buy Co., Inc................................ 98,000 4,002
Comcast Corp. Class A............................ 186,000 3,363
Darden Restaurants, Inc.......................... 95,000 4,064
McDonald's Corp.................................. 61,000 4,545
--------
18,492
--------
CONSUMER STAPLES -- 3.2%
Altria Group, Inc................................ 238,000 5,717
Clorox Co. (The)................................. 64,000 4,273
PepsiCo, Inc..................................... 67,000 4,451
--------
14,441
--------
ENERGY -- 7.3%
Chesapeake Energy Corp........................... 165,000 3,737
Chevron Corp..................................... 65,000 5,268
ConocoPhillips................................... 83,000 4,767

See notes to financial statements

($ REPORTED IN THOUSANDS)

NUMBER OF
SHARES VALUE
--------- --------

ENERGY (CONTINUED)
El Paso Corp.............................. 204,000 $ 2,525
Halliburton Co............................ 123,000 4,068
Massey Energy Co.......................... 86,000 2,668
Occidental Petroleum Corp................. 44,000 3,445
Petroleo Brasileiro SA ADR/(5)/........... 69,000 2,503
Williams Cos., Inc. (The)................. 180,000 3,440
--------
32,421
--------
FINANCIALS -- 2.4%
Citigroup, Inc./(2)/...................... 575,000 2,242
Goldman Sachs Group, Inc. (The)........... 21,000 3,036
Hudson City Bancorp, Inc.................. 433,000 5,309
--------
10,587
--------
HEALTH CARE -- 2.9%
Biogen Idec, Inc./(2)/.................... 39,000 2,189
Gilead Sciences, Inc./(2)/................ 62,000 2,208
Johnson & Johnson......................... 77,000 4,771
UnitedHealth Group, Inc................... 104,000 3,651
--------
12,819
--------
INDUSTRIALS -- 4.6%
Alaska Air Group, Inc./(2)/............... 44,000 2,245
Caterpillar, Inc.......................... 50,000 3,934
Continental Airlines, Inc. Class B/(2)/... 97,000 2,410
DryShips, Inc./(2)(5)/.................... 534,000 2,569
Foster Wheeler AG/(2)/.................... 102,000 2,495
L-3 Communications Holdings, Inc.......... 49,000 3,541
Union Pacific Corp........................ 43,000 3,517
--------
20,711
--------
INFORMATION TECHNOLOGY -- 7.8%
Amkor Technology, Inc./(2)/............... 336,000 2,208
Cisco Systems, Inc./(2)/.................. 96,000 2,102
Corning, Inc.............................. 192,000 3,510
Hewlett-Packard Co........................ 82,000 3,450
Intel Corp................................ 205,000 3,942
International Business Machines Corp...... 29,000 3,890
Microsoft Corp............................ 140,000 3,429
Nokia Oyj Sponsored ADR................... 448,000 4,493
QUALCOMM, Inc............................. 92,000 4,151

See notes to financial statements

($ REPORTED IN THOUSANDS)

NUMBER OF
SHARES VALUE
----------- --------

INFORMATION TECHNOLOGY (CONTINUED)
Research In Motion Ltd./(2)/..................... 38,000 $ 1,850
SanDisk Corp./(2)/............................... 56,000 2,052
--------
35,077
--------
MATERIALS -- 4.3%
Alcoa, Inc....................................... 294,000 3,560
Du Pont (E.I.) de Nemours & Co................... 109,000 4,863
Freeport-McMoRan Copper & Gold, Inc.............. 49,000 4,184
Nucor Corp....................................... 118,000 4,508
Potash Corp. of Saskatchewan, Inc................ 16,000 2,305
--------
19,420
--------
TELECOMMUNICATION SERVICES -- 2.6%
AT&T, Inc........................................ 187,000 5,348
Verizon Communications, Inc...................... 188,000 6,127
--------
11,475
--------
UTILITIES -- 1.2%
Exelon Corp...................................... 128,000 5,450
--------
5,450
--------
TOTAL COMMON STOCKS (Identified Cost $175,878)........ 180,893
--------
EXCHANGE-TRADED FUNDS 0.7%
Templeton Dragon Fund, Inc....................... 108,000 3,122
--------
TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $1,797).. 3,122
--------
TOTAL LONG TERM INVESTMENTS -- 70.8% (Identified Cost
$293,196)........................................... 316,553
--------
SHORT-TERM INVESTMENTS 29.1%
MONEY MARKET MUTUAL FUNDS -- 3.4%
Dreyfus Cash Management Fund -- Institutional
Shares (seven-day effective yield 0.210%)...... 15,409,513 15,410
--------
15,410
--------

PAR
-----------
U.S. TREASURY BILLS/(3)/ -- 25.7%
U.S. Treasury Bill
0.230%, 10/21/10/(5)/........................ $ 55,000 54,996
0.148%, 11/26/10............................. 28,000 27,994

See notes to financial statements

($ REPORTED IN THOUSANDS)

PAR VALUE
---------- --------

U.S. TREASURY BILLS/(3)/ (CONTINUED)
0.180%, 2/24/11/(5)/......................... $ 5,000 $ 4,997
0.190%, 6/2/11............................... 27,000 26,963
--------
114,950
--------
TOTAL SHORT-TERM INVESTMENTS (Identified Cost $130,358) 130,360
--------

NUMBER OF
SHARES
----------
SECURITIES LENDING COLLATERAL 1.5%
Dreyfus Institutional Cash Advantage
Fund (seven day effective yield 0.1247%)/(6)/.. 6,618,000 6,618
--------
TOTAL SECURITIES LENDING COLLATERAL (Identified Cost
$6,618)............................................. 6,618
--------
TOTAL INVESTMENTS (Identified Cost $430,172) --
101.4%/(1)/......................................... 453,531
OTHER ASSETS AND LIABILITIES, NET -- 1.4%............. (6,210)
--------
NET ASSETS -- 100.0%.................................. $447,321
========

--------
(1) Federal Income Tax Information: For tax information at September 30, 2010,
see Note 3 Federal Income Tax Information in the Notes to Schedule of
Investments.
(2) Non-income producing.
(3) The rate shown is the discount rate.
(4) Principal amount is adjusted daily pursuant to the change in the Consumer
Price Index.
(5) All or a portion of security is on loan.
(6) Represents security purchased with cash collateral received for securities
on loan.

The following table provides a summary of inputs used to value the Fund's net
assets as of September 30, 2010 (See Security Valuation Note 1A in the Notes to
Schedule of Investments.):

LEVEL 2
SIGNIFICANT
TOTAL VALUE AT LEVEL 1 OBSERVABLE
SEPTEMBER 30, 2010 QUOTED PRICES INPUTS
------------------ ------------- -----------

Debt Securities:
U.S. Government Securities (includes short-term
investments)........................................ $236,894 $ -- $236,894
Corporate Bonds...................................... 10,594 -- 10,594
Equity Securities:
Common Stocks........................................ 180,893 180,893 --
Exchange-Traded Funds................................ 3,122 3,122 --
Money Market Mutual Funds............................ 15,410 15,410 --
Securities Lending Collateral........................ 6,618 6,618 --
-------- -------- --------
Total................................................... $453,531 $206,043 $247,488
======== ======== ========

There are no Level 3 (significant unobservable input) securities.

See notes to financial statements

THE ZWEIG TOTAL RETURN FUND, INC.

FINANCIAL HIGHLIGHTS

SEPTEMBER 30, 2010
(UNAUDITED)

(Reported in thousands except for the per share amounts)

NET ASSET VALUE
TOTAL NET ASSETS PER SHARE
------------------ --------------

Beginning of period: December 31, 2009..................... $473,217 $ 4.13
Net investment income................................... $ 3,986 $ 0.03
Net realized and unrealized gain on investments......... 4,153 0.04
Dividends from net investment income and distributions
from net long-term and short-term capital gains*...... (34,035) (0.30)
-------- ------
Net increase (decrease) in net assets/net asset value... (25,896) (0.23)
-------- ------
End of period: September 30, 2010.......................... $447,321 $ 3.90
======== ======

--------
*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 September 30,
2010, we estimate 12% of the distributions will represent net investment
income, 22% will represent excess gain distributions which are taxed as
ordinary income and 66% will represent return of capital. Also refer to the
inside front cover for the Managed Distribution Plan.

See Notes to Schedule of Investments

THE ZWEIG TOTAL RETURN FUND, INC.

NOTES TO SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2010
(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:

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)

A description of the valuation techniques applied to the Fund's major
categories of assets and liabilities measured at fair value on a recurring
basis is as follows:

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 and are categorized as Level
1 in the hierarchy. Restricted equity securities and private placements that
are not widely traded, are illiquid or are internally fair valued by the
advisor, are generally categorized as Level 3 in the hierarchy.

Certain foreign securities 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 such cases the Fund fair values foreign securities using an
independent pricing service which considers the correlation of the trading
patterns of the foreign security to the intraday trading in the U.S. markets
for investments such as American depositary receipts, financial futures,
exchange-traded funds, and certain indexes as well as prices for similar
securities. Such fair valuations are categorized as Level 2 in the hierarchy.
Because the frequency of significant events is not predictable, fair valuation
of certain foreign common stocks may occur on a frequent basis.

Debt securities, including restricted securities, are valued based on
evaluated quotations received from independent pricing services or from dealers
who make markets in such securities. For most bond types, the pricing service
utilizes matrix pricing which considers yield or price of bonds of comparable
quality, coupon, maturity, current cash flows, type, and current day trade
information, as well as dealer supplied prices. These valuations are generally
categorized as Level 2 in the hierarchy. Structured debt instruments may also
incorporate collateral analysis and utilize cash flow models for valuation and
are generally categorized as Level 2 in the hierarchy. Pricing services do not
provide pricing for all securities and therefore indicative bids from dealers
are utilized which are based on pricing models used by market makers in the
security and are generally categorized as Level 2 in the hierarchy. Debt
securities that are not widely traded, are illiquid, or are internally fair
valued by the advisor are generally categorized as Level 3 in the hierarchy.

Listed derivatives that are actively traded are valued based on quoted
prices from the exchange and are categorized as Level 1 in the hierarchy. Over
the counter (OTC) derivative contracts, which include forward currency
contracts and equity linked instruments, do not require material subjectivity
as pricing inputs are observed from actively quoted markets and are categorized
as Level 2 in the hierarchy.

Investments in open-end mutual funds are valued at their closing net asset
value determined as of the close of business of the New York Stock Exchange
(generally 4:00 p.m. Eastern time) each business day and are categorized as
Level 1 in the hierarchy.

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

A summary of the inputs used to value the Fund's net assets by each major
security type is disclosed at the end of the Schedule of Investments for the
Fund. The inputs or methodology used for valuing securities are not necessarily
an indication of the risk associated with investing in those securities.

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. SECURITY LENDING ($ REPORTED IN THOUSANDS):

The Fund may loan securities to qualified brokers through an agreement with
The Bank of New York Mellon ("BNY Mellon"). Under the terms of the agreement,
the Fund is required to maintain collateral with a market value not less than
100% of the market value of loaned securities. Collateral is adjusted daily in
connection with changes in the market value of securities on loan. Collateral
may consist of cash, U.S. Government Securities. Cash collateral is invested in
a short-term money market fund. Dividends earned on the collateral and premiums
paid by the broker are recorded as income by the Fund net of fees and rebates
charged by BNY Mellon for its services in connection with this securities
lending program. Lending portfolio securities involves a risk of delay in the
recovery of the loaned securities or in the foreclosure on collateral.

At September 30, 2010, the Fund had securities on loan with a market value
of $49,243 for which the Fund received cash collateral of $6,618 and U.S.
Government Securities Collateral of $49,967.

NOTE 2 -- 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 3 -- FEDERAL INCOME TAX INFORMATION

($ REPORTED IN THOUSANDS)

At September 30, 2010, federal tax cost and aggregate gross unrealized
appreciation (depreciation) of securities held by the Fund were as follows:

NET UNREALIZED
FEDERAL UNREALIZED UNREALIZED APPRECIATION
TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
--------- ------------------ ------------------ ------------------
$434,805 $34,571 $(15,845) $18,726

NOTE 4 -- 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 5 -- RECENT ACCOUNTING PRONOUNCEMENT

In January 2010, the Financial Accounting Standards Board issued Accounting
Standards Update ("ASU") No. 2010-06 "Improving Disclosures about Fair Value
Measurements". ASU 2010-06 will require reporting entities to make new
disclosures about purchases, sales, issuances, and settlements in the roll
forward of activity in Level 3 fair value measurements. The new and revised
disclosures are effective for interim and annual reporting periods beginning
after December 15, 2010. At this time, management is evaluating the
implications of ASU No. 2010-06 and its impact on the financial statements has
not been determined.

NOTE 6 -- SUBSEQUENT EVENT EVALUATIONS

Management has evaluated the impact of all subsequent events on the Fund
through the date the Schedule of Investments were available for issuance, and
has determined that the following subsequent event requires recognition or
disclosure in this Schedule of Investments.

On November 18, 2010 the Zweig Total Return Fund announced the record date
of November 29, 2010 for the proposed offering of additional shares of common
stock pursuant to its rights offering that was previously announced on
September 16, 2010. The Fund filed registration statement with respect to the
rights offering with the Securities and Exchange Commission on September 21,
2010, which was amended on November 4, 2010.

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, 2010, 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.