<SEC-DOCUMENT>0001193125-12-108582.txt : 20120312
<SEC-HEADER>0001193125-12-108582.hdr.sgml : 20120310
<ACCEPTANCE-DATETIME>20120312115159
ACCESSION NUMBER:		0001193125-12-108582
CONFORMED SUBMISSION TYPE:	N-CSR
PUBLIC DOCUMENT COUNT:		5
CONFORMED PERIOD OF REPORT:	20111231
FILED AS OF DATE:		20120312
DATE AS OF CHANGE:		20120312
EFFECTIVENESS DATE:		20120312

FILER:

	COMPANY DATA:	
		COMPANY CONFORMED NAME:			ZWEIG TOTAL RETURN FUND INC
		CENTRAL INDEX KEY:			0000836412
		IRS NUMBER:				133474242
		STATE OF INCORPORATION:			MD
		FISCAL YEAR END:			1231

	FILING VALUES:
		FORM TYPE:		N-CSR
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-05620
		FILM NUMBER:		12682958

	BUSINESS ADDRESS:	
		STREET 1:		100 MUNSON STREET
		CITY:			GREENFIELD
		STATE:			MA
		ZIP:			01301
		BUSINESS PHONE:		800-272-2700

	MAIL ADDRESS:	
		STREET 1:		100 MUNSON STREET
		CITY:			GREENFIELD
		STATE:			MA
		ZIP:			01301
</SEC-HEADER>
<DOCUMENT>
<TYPE>N-CSR
<SEQUENCE>1
<FILENAME>d279099dncsr.txt
<DESCRIPTION>THE ZWEIG TOTAL RETURN FUND, INC.
<TEXT>
<PAGE>

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


                                 UNITED STATES
                      SECURITIES AND EXCHANGE COMMISSION
                            WASHINGTON, D.C. 20549

                                  FORM N-CSR

                  CERTIFIED SHAREHOLDER REPORT OF REGISTERED
                        MANAGEMENT INVESTMENT COMPANIES

INVESTMENT COMPANY ACT FILE NUMBER 811-05620

                       THE ZWEIG TOTAL RETURN FUND, INC.
              (EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER)

                           900 THIRD AVE, 31ST FLOOR
                            NEW YORK, NY 10022-4728
              (ADDRESS OF PRINCIPAL EXECUTIVE OFFICES) (ZIP CODE)

                              KEVIN J. CARR, ESQ.
   VICE PRESIDENT, CHIEF LEGAL OFFICER, COUNSEL AND SECRETARY FOR REGISTRANT
                               100 PEARL STREET
                            HARTFORD, CT 06103-4506
                    (NAME AND ADDRESS OF AGENT FOR SERVICE)

REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 800-272-2700

DATE OF FISCAL YEAR END: DECEMBER 31

DATE OF REPORTING PERIOD: DECEMBER 31, 2011

Form N-CSR is to be used by management investment companies to file reports
with the Commission not later than 10 days after the transmission to
stockholders of any report that is required to be transmitted to stockholders
under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
The Commission may use the information provided on Form N-CSR in its
regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 100 F Street, NE,
Washington, DC 20549. The OMB has reviewed this collection of information under
the clearance requirements of 44 U.S.C. (S) 3507.

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

<PAGE>

ITEM 1. REPORTS TO STOCKHOLDERS.

The Report to Shareholders is attached herewith.

<PAGE>





                       THE ZWEIG TOTAL RETURN FUND, INC.

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

                                 Annual Report

                               December 31, 2011

                               [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

KEVIN J. CARR, Chief Legal Officer and Secretary

W. PATRICK BRADLEY, Treasurer and Chief Financial Officer

JACQUELINE PORTER, Vice President and Assistant Treasurer

NANCY ENGBERG, Chief Compliance Officer and Vice President*

CHARLES H. BRUNIE, Director

WENDY LUSCOMBE, Director

ALDEN C. OLSON, PH.D., Director

JAMES B. ROGERS, JR., Director

R. KEITH WALTON, Director

* As of January 1, 2012

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 10005-2588

TRANSFER AGENT
COMPUTERSHARE TRUST COMPANY, NA
P.O. Box 43078
Providence, RI 02940-3078

INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
PRICEWATERHOUSECOOPERS LLP
2001 Market Street
Philadelphia, PA 19103-7042

FUND COUNSEL
DECHERT LLP
200 Clarendon St.
27/th/ Floor
Boston, MA 02116-5021

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

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


                                                                          Q4-11

<PAGE>


               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

<PAGE>


                                                               February 1, 2012

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 fiscal year ended December 31, 2011.

   The Zweig Total Return Fund's net asset value increased 6.81% for the
quarter ending December 31, 2011, including $0.089 in re-invested
distributions. During the same period, the Fund's Composite Index increased
6.35% including re-invested dividends. The Fund's average exposure for the
quarter was approximately 45% in equities and 32% in bonds.

   For the fiscal year ended December 31, 2011, the Fund's net asset value
gained 4.46%, including $0.378 in re-invested distributions. During the same
period, the Fund's Composite Index increased 5.92% including re-invested
dividends. The Fund's average exposure for the first half was approximately 43%
in equity and 30% 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

                                 EQUITY MARKET

   After a tumultuous year that was among the most volatile on record, the
domestic stock markets survived a sluggish U.S. economy, a spreading euro debt
crisis, and a gridlocked Washington to end 2011 vitually where they started.

   Propelled by a fourth-quarter boost of 11.9%/(1)/, the blue-chip Dow Jones
Industrial Average closed the year at 12,217.56, an increase of 5.6%/(1)/, the
third consecutive positive year for the Dow. The S&P 500, a broader gauge of
market activity, climbed 11.1%/(1)/ in the final quarter and ended at 1,251.60,
almost dead even with last year's 1,251.64 close. The technical 0.003%/(1)/
difference was its smallest annual move since 1970. The technology heavy Nasdaq
Composite gained 7.8%/(1)/ in the fourth quarter but closed at 2,605.16, down
1.80%/(1)/ for the year.

   The lack-luster domestic stock markets still outperformed the major
international markets. The Dow Jones Global Index, excluding the U.S., tumbled
16.3%/(1)/ in 2011 while the STOXX Europe 600 Index fell 11.34%/(1)/. U.K.'s
FTSE 100 Index dipped 5.6%/(1)/; Germany's DAX Index lost 15%/(1)/, its first
annual decline since 2008. France's CAC 40 Index dropped 17%/(1)/ and Italy's
FTSE MIB Index, down 26%/(1)/, was the biggest loser.

   Back home, the Federal Reserve ("Fed") reduced its forecasts for U.S.
economic growth. It predicted that the economy would grow 2.7% in 2012, well
below its June projections of 3.3% to 3.7%. For 2013, the Fed now expects
expansion of 3.2%, down from its previous estimates of 3.5%

/(1)/ Return excludes reinvested dividends


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

                                       2

<PAGE>


to 4.2%. The Fed projected a gain of up to 4% in 2014.

   The Central Bank also predicts that the U.S. unemployment rate will still be
at least 8.5% at the end of this year, at least 7.8% at the end of 2013 and at
least 6.7% to 7.6% by the fourth quarter of 2014.

   There were several bright spots on the economic horizon. For one thing, the
Labor Department reported that the private sector added 200,000 jobs in
December, marking the sixth consecutive month of gains topping 100,000. As a
result, the unemployment rate dipped to 8.5% from November's 8.7%, to its
lowest level in nearly three years.

   Another positive note was the report by the Institute of Supply Management
("ISM") that U.S. manufacturing expanded in December at its fastest pace in six
months. ISM's closely watched gauge of factory activity climbed to 53.9 in
December, up from 52.7 in November and its best reading since last June. Scores
over 50 indicate expansion. The trade group also reported that its index of
non-manufacturing or service industries rose to 52.6 in December from 52 in
November, which was the lowest reading in nearly two years.

   Housing, a vital factor in the economy, is showing signs of recovery. The
Commerce Department reported that housing starts in November reached 685,000
units, up 9.3% from October and the highest level since April 2010. Building
permits increased 5.7% to an annual rate of 681,000. The agency also reported
that sales of new single-family homes rose 1.8% in November to a
seasonally-adjusted 315,000 units, the highest total in seven months.

   The Conference Board reported that its consumer confidence index spurted 10
points in December to just above the level of a year ago. Consumer spending,
however, which accounts for about 70% of U.S. economic activity, inched up only
0.1% in November compared with October, according to the Commerce Department.
Spending was restrained because disposable personal income was flat in November
after increasing 0.3% in October.

   Indications that inflation is slowing came from the Labor Department report
that its consumer price index was unchanged in November from October. Deleting
volatile food and energy prices, the index was up 2.7% in November. For the
year to date, the rise was 2.2%, slightly above the Fed's preferred range of
2%. The agency also reported that its producer price index grew at a
seasonally-adjusted 0.3% in November. Removing energy and food prices, the
index was up by just 0.1%.

   With U.S. imports declining more than exports, the trade deficit narrowed to
$43.5 billion in October against $44.2 billion in September, according to the
Commerce Department. Exports of goods totaled $127 billion in October against
$129.3 billion in September. Service exports of $51.4 billion were unchanged
from the prior month. Imports of goods came to $186.6 billion for October
against $188.8 billion in September. Imports for services inched up to $36.1
billion from $36.0 billion. U.S. import prices, which had fallen 0.5% in
October, grew 0.7% in November, the highest increase since April 2011.

   Compared with most major market currencies, the dollar ended 2011 within
roughly 3% of where it began the year. The ICE U.S. Dollar Index, which
measures the greenback against a basket of other currencies, increased 1.5% in
the year. Hitting a new low in the final days of the year, the euro closed at
$1.2960. The chief exception to the strong dollar was the yen. Despite a year
of deep trouble in Japan, the yen ended more than 5% higher against the dollar.
Climbing from 81.25 yen at the start of the year, the dollar fell to a record
low near 75.8 yen in April and completed the year at 76.92 yen.

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

                                      3

<PAGE>



   Last year was a disappointment for deal makers, with mergers and
acquisitions declining after a strong start, according to Thomson Reuters. In
the first six months of 2011, announced global deals came to $1.3 trillion, the
highest level since the financial crisis. However, deals slumped 14% in the
second half, bringing the 2011 dollar volume to $2.6 trillion, slightly below
the 2010 figure of $2.66 trillion.

   The number of initial public offerings ("IPOs") and dollars raised was the
lowest since 2009, according to Dealogic. Globally, there were 240 deals,
raising $25.3 billion, in the fourth quarter, the lowest deal volume since the
third quarter of 2009 and the lowest dollar volume since the second quarter of
2009. For all of 2011, there were 1,243 IPOs, raising $160 billion, again the
lowest figures since 2009. For the third consecutive year, the world's leading
exchange for IPOs was Hong Kong, with $31 billion in deals. The volume of deals
on the Chinese mainland slightly topped the combined total of Nasdaq and the
New York Stock Exchange.

   Based on current earnings estimates, Bloomberg News reported that stocks on
the S&P 500 were trading at a price/earnings ratio of 13.24 on December 30,
2011. This compares with 11.94 on September 30 and 14.88 on December 30 last
year. The P/Es for trailing twelve - month earnings were reported by S&P at
12.96 on December 30, 13.01 on September 30 and 15.01 on December 30, 2010. As
we see it, the P/E's are neither terribly high nor terribly low. Given present
market conditions, they appear to be in the normal range as far as valuations
are concerned.

   The current consensus among Wall Street research analysts is that S&P
fourth-quarter earnings will climb 8.3% in 2011 to $24.40, according to Thomson
Reuters. In October the analysts were expecting 15% gains in the quarter. For
all of 2012, the S&P earnings are projected to increase 10% to $107.20.

   Looking to the future, both analysts and investors were more bullish at the
year's end, with analysts the most optimistic. Surveyed by Investors
Intelligence, analysts stood at 50% bulls and 29% bears on December 30, a
reversal of their position on September 30, which saw 37% bulls and 41% bears.
At the end of 2011, analysts came to 56% bulls and 20% bears. Reported by the
American Institute of Investors, their members totaled 41% bulls and 31% bears
on December 30, 32% bulls and 47% bears on September 30, and 52% bulls and 20%
bears at the end of 2010.

   Since the market had risen since early October, the increased optimism is no
surprise. They may be right. From August to October, our sentiment indicators
registered a lot of pessimism. While some of our current indicators still
include some pretty bad numbers, our sentiment model reading overall is now
neutral.

   Among our other models, the monetary reading is bullish. That's because the
Fed has driven interest rates to zero and is buying securities. However, we
wonder how bullish it can really be when rates are at zero. As far as the tape
is concerned, we consider the current action quite positive. It's difficult to
know the tape's actual performance because of the distortions caused by the
computer traders who account for more than half of the volume. There are far
more unusual up and down days than we have seen in the past. Taking a long
view, the tape is acting reasonably well. Our stance on the equity market at
this writing is somewhat bullish.

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

                                      4

<PAGE>



                                  BOND MARKET

   The extreme volatility in equities globally, driven by the European debt
crisis and worries regarding future economic growth, resulted in a very
favorable background for the U.S. bond market, specifically Treasuries. The
year began with the benchmark 10-year Treasury bond yielding 3.3% and ended
with the yield at 1.88%. (When yields fall, prices rise.) The stunning 1.42
basis point drop in yields reflected an almost unbroken downward trend this
year. The brief exception was a backup in October as global equities rallied
sharply and optimism grew about a possible solution to the European debt crisis.

   Generally, bonds did well because risk assets, such as stocks, endured high
volatility and investors looked for a "safe haven" in the form of U.S. Treasury
notes and bonds. With the exception of German bonds, most European bonds faired
poorly, further directing money into U.S. Treasuries, the only seemingly stable
asset. Even the S&P downgrade of U.S. Government debt in August from AAA to AA
did nothing to stop the rising prices in the bond market and yields now stand
at generational lows.

   Ironically, the downgrade of the debt by S&P did more to sour the stock
market and raise concerns over the ability of peripheral Europe to pay debt
obligations than it did to hurt U.S. Treasuries, the one bond that was
downgraded. The "flight to quality," regardless of the symbolic downgrade by
the S&P, still bolsters U.S. Treasury bonds.

   Further helping to push bond yields lower and prices higher was the ongoing
concern over global economic growth. With the European woes, it is likely that
the eurozone is already experiencing a recession. China has also slowed
significantly and the concerns from mid-summer onward during 2011 were that the
U.S. might slip into a double-dip recession.

   While that fate seems to have passed for the time being, bonds have still
continued to be a safety net, largely due to economic growth concerns. The
political climate has been tense, both domestically and internationally,
further fueling a "de-risking" by market participants. The upshot has been a
major confluence of reasons to see money flow into the perceived safest asset:
U.S. Treasuries.

   Our Fund largely maintained its positions in the bond portion, holding lower
duration for Australian government bonds, Norweigian bonds, a few remaining
corporate issues and Treasury Inflation Protected Securities (TIPS). The low
duration of our bond portfolio was a hinderance to returns. However, exposure
to both Norway and Australia had a positive effect.

   The bond market remains very fluid and difficult, with uncertainties
everywhere. The outcome for bonds during 2012 will very likely depend on how
Europe deals with its budget woes, whether the U.S. can solve its own fiscal
problems, and, ultimately, what economic growth occurs in the next several
months.

              Sincerely,

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


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


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.

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.

                                      5

<PAGE>


                             PORTFOLIO COMPOSITION

   The Fund's leading equity sectors on December 31, 2011 included Energy,
Materials, Information Technology, Industrials and Consumer Discretionary.
Although the percentages held varied, all of the above were in our previous
listing. During the quarter we increased our weighting of Financials and
Materials and decreased our weighting of Consumer Discretionary and Consumer
Staples.

   The Fund's leading equity positions on December 31, 2011 included the
following, which appeared in our previous listing: Abbott Labs, Altria,
Chevron, ConocoPhillips, Darden Restaurants, DuPont, Intel and Verizon. New to
this category are Apple, where we added to our position, and Williams, where we
trimmed our position. No longer in our top category are McDonald's and PepsiCo,
where we trimmed our positions.

              Sincerely,



                 [SIGNATURE]

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

ASSET ALLOCATION AS OF DECEMBER 31, 2011

   The following graph illustrates asset allocations within certain sectors and
as a percentage of total investments as of December 31, 2011.

                           [CHART]

U.S. Government Securities
 (includes U.S. Treasury Bills which are Short-term investments)            43%
Common Stocks                                                               43%
Foreign Government Securities                                                5%
Exchange Traded Funds                                                        3%
Corporate Bonds                                                              2%
Money Market Mutual Funds - (Short-term investment)                          4%



                                      6

<PAGE>


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.

AMERICAN INSTITUTION OF INVESTORS: A nonprofit organization with about 150,000
members whose purpose is to educate individual investors regarding stock market
portfolios, financial planning, and retirement accounts.

BLOOMBERG NEWS: A major global provider of 24 hour financial news and
information including real-time and historic price data, financial data,
trading news and analyst coverage, as well as general news; and sports.

CAC 40: The French stock market index that tracks the 40 Largest French stocks
based on market capitalization on the Paris Bourse (stock exchange).

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: 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.

DAX INDEX: A total return index of 30 selected German blue chip companies
traded on the Frankfurt Stock exchange. It is a free float weighted index.

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

DOW JONES GLOBAL EX. U.S. INDEX/SM/: A market capitalization-weighted index
which covers approximately 95% of the market capitalization of the represented
countries of Australia, Austria, Belgium, Brazil, Bulgaria, Canada, Chile,
Cyprus, Czech Republic, Denmark, Estonia, Finland, France, Germany, Greece,
Hong Kong, Hungary, Indonesia, Ireland, Italy, Japan, Latvia, Lithuania,
Malaysia, Malta, Mexico, Netherlands, New Zealand, Norway, Philippines, Poland,
Portugal, Romania, Singapore, Slovakia, Slovenia, South Africa, South Korea,
Spain, Sweden, Switzerland, Taiwan, Thailand and the United Kingdom.

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.

FEDERAL RESERVE (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.

FTSE 100 INDEX: A capitalization weighted index of the 100 most capitalized
companies traded on the London Stock Exchange.

                                      7

<PAGE>



FTSE MIB INDEX: A benchmark stock market index for the Borsa Italiana, the
Italian national stock exchange. The index consists of the 40 most traded stock
classes on the exchange.

ICE U.S. DOLLAR INDEX (USDX): A leading benchmark for the international value
of the U.S. dollar and the world's most widely-recognized traded currency index.

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: 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.

LABOR DEPARTMENT: A U.S. government cabinet body responsible for standards in
occupational safety, wages and number of hours worked, unemployment insurance
benefits, re-employment services and a portion of the country's economic
statistics.

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.

STOXX EUROPE 600 INDEX: A broad based capitalization weighted index of European
based stocks. It is a free float weighted index.

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.

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.

                                      8

<PAGE>


                       THE ZWEIG TOTAL RETURN FUND, INC.

                            SCHEDULE OF INVESTMENTS

                               DECEMBER 31, 2011
($ REPORTED IN THOUSANDS)

<TABLE>
<CAPTION>
                                                                PAR        VALUE
                                                           ---------      --------
   <S>                                             <C>     <C>            <C>
   INVESTMENTS
   U.S. GOVERNMENT SECURITIES                      24.8%
      U.S. Treasury Inflation Indexed Note
        1.625%, 1/15/15/(3)/.........................      $ 28,000       $ 35,817
        2.000%, 1/15/16/(3)/.........................        25,000         31,891
        2.375%, 1/15/17/(3)/.........................        31,000         40,396
      U.S. Treasury Note 4.000%, 11/15/12..............      18,500         19,115
                                                                          --------
          TOTAL U.S. GOVERNMENT SECURITIES (Identified Cost
            $112,119).............................................         127,219
                                                                          --------
   FOREIGN GOVERNMENT SECURITIES                   5.1%
      Commonwealth of Australia
        6.500%, 5/15/13..............................         5,000          5,332
        5.500%, 12/15/13.............................        11,000         11,745
      Kingdom of Norway Series 470 6.500%, 5/15/13.....      50,000/(4)/     8,934
                                                                          --------
          TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost
            $25,721)..............................................          26,011
                                                                          --------
   CORPORATE BONDS                                 2.1%
   INDUSTRIALS -- 2.1%
      CSX Corp. 6.250%, 3/15/18........................       4,000          4,760
      Ingersoll-Rand Global Holding Co., Ltd. 6.875%,
        8/15/18........................................       4,814          5,830
                                                                          --------
          TOTAL CORPORATE BONDS (Identified Cost $8,317)..........          10,590
                                                                          --------

                                                             NUMBER OF
                                                              SHARES
                                                           ---------
   COMMON STOCKS                                   42.6%
   CONSUMER DISCRETIONARY -- 5.0%
      Amazon.com, Inc./(2)/............................      21,000          3,635
      AutoZone, Inc./(2)/..............................       7,700          2,502
      Comcast Corp. Class A............................     171,000          4,055
      Darden Restaurants, Inc..........................     141,000          6,427
      Leggett & Platt, Inc.............................      73,000          1,682
      Lululemon Athletica, Inc./(2)/...................      55,000          2,566
      McDonald's Corp..................................      49,000          4,916
                                                                          --------
                                                                            25,783
                                                                          --------
</TABLE>

                       See notes to financial statements

                                      9

<PAGE>


<TABLE>
<CAPTION>
                                                       NUMBER OF
                                                        SHARES    VALUE
                                                       --------- -------
       <S>                                             <C>       <C>
       CONSUMER STAPLES -- 2.9%
          Altria Group, Inc.........................    213,000  $ 6,315
          Heinz (H.J.) Co...........................     33,000    1,783
          Kimberly-Clark Corp.......................     25,000    1,839
          PepsiCo, Inc..............................     76,000    5,043
                                                                 -------
                                                                  14,980
                                                                 -------
       ENERGY -- 7.7%
          Chesapeake Energy Corp....................    175,000    3,901
          Chevron Corp..............................     52,000    5,533
          ConocoPhillips............................     85,000    6,194
          Continental Resources, Inc./(2)/..........     19,000    1,268
          Halliburton Co............................    119,000    4,107
          Occidental Petroleum Corp.................     43,000    4,029
          Petroleo Brasileiro S.A. ADR..............     73,000    1,814
          Schlumberger Ltd..........................     58,000    3,962
          Total SA Sponsored ADR....................     35,000    1,789
          Whiting Petroleum Corp./(2)/..............     28,000    1,307
          Williams Cos., Inc. (The).................    172,000    5,679
                                                                 -------
                                                                  39,583
                                                                 -------
       FINANCIALS -- 3.0%
          Bank of America Corp......................    442,000    2,458
          Citigroup, Inc............................     69,000    1,815
          Goldman Sachs Group, Inc. (The)...........     42,000    3,798
          HCP, Inc..................................     44,000    1,823
          Lincoln National Corp.....................    202,000    3,923
          New York Community Bancorp, Inc. Class A..    143,000    1,769
                                                                 -------
                                                                  15,586
                                                                 -------
       HEALTH CARE -- 4.1%
          Abbott Laboratories.......................     97,000    5,454
          Biogen Idec, Inc./(2)/....................     28,000    3,081
          Bristol-Myers Squibb Co...................     53,000    1,868
          Eli Lilly & Co............................     47,000    1,953
          Express Scripts, Inc./(2)/................     43,000    1,922
          Gilead Sciences, Inc./(2)/................     68,000    2,783
          UnitedHealth Group, Inc...................     80,000    4,055
                                                                 -------
                                                                  21,116
                                                                 -------
       INDUSTRIALS -- 5.2%
          Alaska Air Group, Inc./(2)/...............     34,000    2,553
          Caterpillar, Inc..........................     54,000    4,892
          Cummins, Inc..............................     45,000    3,961
          Deere & Co................................     59,000    4,564
</TABLE>

                       See notes to financial statements

                                      10

<PAGE>


<TABLE>
<CAPTION>
                                                        NUMBER OF
                                                         SHARES    VALUE
                                                        --------- --------
     <S>                                           <C>  <C>       <C>
     INDUSTRIALS (CONTINUED)
        Foster Wheeler AG/(2)/......................      97,000  $  1,857
        Lockheed Martin Corp........................      21,000     1,699
        Union Pacific Corp..........................      44,000     4,661
        United Continental Holdings, Inc./(2)/......     135,000     2,547
                                                                  --------
                                                                    26,734
                                                                  --------
     INFORMATION TECHNOLOGY -- 5.4%
        Apple, Inc./(2)/............................      13,700     5,548
        Intel Corp..................................     233,000     5,650
        International Business Machines Corp........      23,000     4,229
        Paychex, Inc................................      58,000     1,746
        QUALCOMM, Inc...............................      81,000     4,431
        SanDisk Corp./(2)/..........................      51,000     2,510
        Visa, Inc. Class A..........................      37,000     3,757
                                                                  --------
                                                                    27,871
                                                                  --------
     MATERIALS -- 6.5%
        CF Industries Holdings, Inc.................      28,000     4,059
        Cliffs Natural Resources, Inc...............      62,000     3,866
        Du Pont (E.I.) de Nemours & Co..............     125,000     5,723
        Freeport-McMoRan Copper & Gold, Inc.........     133,000     4,893
        MeadWestvaco Corp...........................      61,000     1,827
        Monsanto Co.................................      57,000     3,994
        Nucor Corp..................................     137,000     5,421
        Potash Corp. of Saskatchewan, Inc...........      87,000     3,591
                                                                  --------
                                                                    33,374
                                                                  --------
     TELECOMMUNICATION SERVICES -- 2.0%
        AT&T, Inc...................................      58,000     1,754
        CenturyLink, Inc............................      50,000     1,860
        Verizon Communications, Inc.................     158,000     6,339
                                                                  --------
                                                                     9,953
                                                                  --------
     UTILITIES -- 0.8%
        Duke Energy Corp............................      89,000     1,958
        FirstEnergy Corp............................      41,000     1,815
                                                                  --------
                                                                     3,773
                                                                  --------
            TOTAL COMMON STOCKS (Identified Cost $200,429)         218,753
                                                                  --------
     EXCHANGE-TRADED FUNDS                         2.6%
        Consumer Staples Select Sector SPDR Fund....     119,000     3,866
        Health Care Select Sector SPDR Fund.........      96,000     3,330
        Templeton Dragon Fund, Inc..................     131,000     3,334
</TABLE>

                       See notes to financial statements

                                      11

<PAGE>


<TABLE>
<CAPTION>
                                                           NUMBER OF
                                                            SHARES         VALUE
                                                          -----------  --------
<S>                                             <C>       <C>          <C>
EXCHANGE-TRADED FUNDS (CONTINUED)
   Utilities Select Sector SPDR Fund..................         83,000  $  2,987
                                                                       --------
       TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $12,322)...          13,517
                                                                       --------
       TOTAL LONG TERM INVESTMENTS -- 77.2% (Identified cost
         $358,908).............................................         396,090
                                                                       --------
SHORT-TERM INVESTMENTS                          22.3%
MONEY MARKET MUTUAL FUNDS -- 3.7%
   Dreyfus Cash Management Fund -- Institutional
     Shares (seven-day effective yield 0.050%)........     18,873,520    18,874
                                                                       --------
                                                                         18,874
                                                                       --------

                                                              PAR
                                                          -----------
U.S. TREASURY BILLS/(5)/ -- 18.6%
   U.S. Treasury Bill
     0.160%, 5/31/12...........................           $     9,000     8,999
     0.140%, 6/28/12...........................                15,000    14,995
     0.160%, 7/26/12/(6)/......................                10,000     9,997
     0.090%, 11/15/12..........................                62,000    61,953
                                                                       --------
                                                                         95,944
                                                                       --------
       TOTAL SHORT-TERM INVESTMENTS (Identified Cost $114,802).         114,818
                                                                       --------

                                                           CONTRACTS
                                                          -----------
PURCHASED OPTIONS                                0.1%
CALL OPTIONS -- 0.1%
   eBay Inc. expiring 4/21/12 at strike price $29.....          1,875       600
                                                                       --------
       TOTAL OPTIONS PURCHASED (Identified Cost $585)..........             600
                                                                       --------
       TOTAL INVESTMENTS, BEFORE WRITTEN OPTIONS (Identified
         Cost $474,295) -- 99.6%...............................         511,508
                                                                       --------
WRITTEN OPTIONS                                  (0.1)%
CALL OPTIONS -- (0.1)%
   eBay Inc. expiring 4/21/12 at strike price $34.....          3,000      (264)
PUT OPTIONS -- 0.0%
   eBay Inc. expiring 4/21/12 at strike price $25.....          3,000      (225)
                                                                       --------
       TOTAL WRITTEN OPTIONS (Premiums Received $522)..........            (489)
                                                                       --------
       TOTAL INVESTMENTS NET OF WRITTEN OPTIONS
         (Identified Cost $473,773) -- 99.5%...................         511,019/(1)/
       OTHER ASSETS AND LIABILITIES, NET -- 0.5%...............           2,789
                                                                       --------
       NET ASSETS -- 100.0%....................................        $513,808
                                                                       ========
</TABLE>

                       See notes to financial statements

                                      12

<PAGE>



--------
 (1) Federal Income Tax Information : For tax information at December 31, 2011,
     see Note 10 Federal Income Tax Information in the Notes to Financial
     Statements.
 (2) Non-income producing.
 (3) Principal amount is adjusted daily pursuant to the change in the Consumer
     Price Index.
 (4) Par value represents Norwegian Krone (reported in thousands).
 (5) The rate shown is the discount rate.
 (6) All or a portion segregated as collateral for written options.

<TABLE>
                     <S>                              <C>
                     COUNTRY WEIGHTINGS (UNAUDITED)+
                     United States...................  92%
                     Australia.......................   3%
                     Norway..........................   2%
                     Canada..........................   1%
                     China...........................   1%
                     Switzerland.....................   1%
                                                      ---
                     Total........................... 100%
                                                      ===
</TABLE>
              --------
              + % of total investments as of December 31, 2011

The following table provides a summary of inputs used to value the Fund's net
assets as of December 31, 2011 (See Security Valuation Note 2A in the Notes to
Financial Statements.):

<TABLE>
<CAPTION>
                                                                                              LEVEL 2
                                                                                            SIGNIFICANT
                                                             TOTAL VALUE AT      LEVEL 1    OBSERVABLE
                                                            DECEMBER 31, 2011 QUOTED PRICES   INPUTS
                                                            ----------------- ------------- -----------
<S>                                                         <C>               <C>           <C>
   Debt Securities:
      U.S. Government Securities (includes short-term
       investments)........................................     $223,163        $     --     $223,163
      Foreign Government Securities........................       26,011              --       26,011
      Corporate Bonds......................................       10,590              --       10,590
   Equity Securities:
      Common Stocks........................................      218,753         218,753           --
      Exchange-Traded Funds................................       13,517          13,517           --
      Short-Term Investments...............................       18,874          18,874           --
   Other Financial Instruments:
      Purchased Options....................................          600             600           --
      Written Options......................................         (489)           (489)          --
                                                                --------        --------     --------
   Total...................................................     $511,019        $251,255     $259,764
                                                                ========        ========     ========
</TABLE>

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

                       See notes to financial statements

                                      13

<PAGE>


                       THE ZWEIG TOTAL RETURN FUND, INC.

                      STATEMENT OF ASSETS AND LIABILITIES

                               DECEMBER 31, 2011

(REPORTED IN THOUSANDS EXCEPT SHARES AND PER SHARE AMOUNTS)

<TABLE>
<S>                                                                                  <C>
ASSETS
   Investment securities at value before written options (Identified Cost $474,295). $511,508
   Foreign currency at value (Identified Cost $476).................................      476
   Cash held with prime broker......................................................      343
   Receivables:
       Investment securities sold...................................................    1,046
       Dividends and interest.......................................................    1,977
   Prepaid expenses.................................................................       35
                                                                                     --------
          Total Assets..............................................................  515,385
                                                                                     --------
LIABILITIES
   Written options outstanding, at value (Premium Received $522)....................      489
   Payables:
       Investment securities purchased..............................................      661
       Investment advisory fee......................................................      244
       Administration fee...........................................................       28
       Professional fees............................................................       67
       Transfer agent fee...........................................................       11
       Other accrued expenses.......................................................       77
                                                                                     --------
          Total Liabilities.........................................................    1,577
                                                                                     --------
NET ASSETS.......................................................................... $513,808
                                                                                     ========

NET ASSETS CONSIST OF:
   Capital paid in on shares of beneficial interest................................. $477,800
   Accumulated undistributed net investment income (loss)...........................      687
   Accumulated net realized gain (loss).............................................   (1,902)
   Net unrealized appreciation (depreciation) on investments........................   37,223
                                                                                     --------
NET ASSETS.......................................................................... $513,808
                                                                                     ========
NET ASSET VALUE PER SHARE
   (Net assets/shares outstanding) Shares outstanding -- 144,094,744)............... $   3.57
                                                                                     ========
</TABLE>

                       See notes to financial statements

                                      14

<PAGE>


                       THE ZWEIG TOTAL RETURN FUND, INC.

                            STATEMENT OF OPERATIONS

                     FOR THE YEAR ENDED DECEMBER 31, 2011

($ REPORTED IN THOUSANDS)

<TABLE>
<S>                                                                               <C>
INVESTMENT INCOME
   Income
       Dividends (net of foreign taxes withheld of $26).......................... $ 5,266
       Interest..................................................................   8,555
       Security lending..........................................................       7
                                                                                  -------
              Total Investment Income............................................  13,828
                                                                                  -------
   Expenses
       Investment advisory fees..................................................   3,727
       Administration fees.......................................................     346
       Directors' fees...........................................................     179
       Printing fees and expenses................................................     382
       Professional fees.........................................................     158
       Transfer agent fees and expenses..........................................     129
       Custodian fees............................................................      13
       Miscellaneous expenses....................................................     243
                                                                                  -------
          Expenses before dividends and interest expense on short sales..........   5,177
          Dividends and interest expense on short sales..........................       4
                                                                                  -------
              Total Expenses.....................................................   5,181
       Less expenses waived by investment adviser................................    (476)
                                                                                  -------
              Net Expenses.......................................................   4,705
                                                                                  -------
                 Net Investment Income...........................................   9,123
                                                                                  -------
NET REALIZED AND UNREALIZED GAIN (LOSSES)
   Net realized gain (loss) on:
       Investments...............................................................   6,197
       Written options...........................................................     566
       Foreign currency transactions.............................................     (20)
       Short sales...............................................................     233
   Net change in unrealized appreciation (depreciation) on:
       Investments...............................................................  (3,831)
       Written options...........................................................      33
       Foreign currency translations.............................................     (23)
                                                                                  -------
          Net realized and unrealized gain (loss)................................   3,155
                                                                                  -------
          Net increase (decrease) in net assets resulting from operations........ $12,278
                                                                                  =======
</TABLE>

                       See notes to financial statements

                                      15

<PAGE>


                       THE ZWEIG TOTAL RETURN FUND, INC.

                      STATEMENT OF CHANGES IN NET ASSETS

($ REPORTED IN THOUSANDS)

<TABLE>
<CAPTION>
                                                                                   FOR THE      FOR THE
                                                                                  YEAR ENDED   YEAR ENDED
                                                                                 DECEMBER 31, DECEMBER 31,
                                                                                     2011         2010
                                                                                 ------------ ------------
<S>                                                                              <C>          <C>
INCREASE (DECREASE) IN NET ASSETS
   OPERATIONS
       Net investment income....................................................   $  9,123     $  5,404
       Net realized gain (loss).................................................      6,976       13,215
       Net change in unrealized appreciation (depreciation).....................     (3,821)      10,578
                                                                                   --------     --------
          Net increase in net assets resulting from operations..................     12,278       29,197
                                                                                   --------     --------
   DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM
       Net investment income....................................................     (8,870)      (5,513)
       Net realized short-term gains............................................     (3,965)      (8,649)
       Net realized long-term gains.............................................     (2,281)        (616)
       Tax return of capital....................................................    (38,378)     (30,601)
                                                                                   --------     --------
          Total dividends and distributions to shareholders.....................    (53,494)     (45,379)
                                                                                   --------     --------
   CAPITAL SHARE TRANSACTIONS
       Net proceeds from the sale of shares during rights offering (net of
         expenses of $541)......................................................     97,989           --
                                                                                   --------     --------
       Net increase in net assets derived from capital share
         transactions...........................................................     97,989           --
                                                                                   --------     --------
       Net increase (decrease) in net assets....................................     56,773      (16,182)
NET ASSETS
   Beginning of period..........................................................    457,035      473,217
                                                                                   --------     --------
   End of period................................................................   $513,808     $457,035
                                                                                   ========     ========
   Accumulated undistributed net investment income (loss) at end of
     period.....................................................................   $    687     $    452
</TABLE>

                       See notes to financial statements

                                      16

<PAGE>


                       THE ZWEIG TOTAL RETURN FUND, INC.

                             FINANCIAL HIGHLIGHTS

        (SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)

<TABLE>
<CAPTION>
                                                              YEAR ENDED DECEMBER 31,
                                         ----------------------------------------------------------
                                              2011         2010      2009        2008           2007
                                         --------        --------  --------  --------      --------
<S>                                      <C>             <C>       <C>       <C>           <C>
PER SHARE DATA
Net asset value, beginning of period.... $   3.99        $   4.13  $   4.00  $   4.97      $   5.11
                                         --------        --------  --------  --------      --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (loss)/(3)/.......     0.06            0.05      0.05      0.07          0.12
Net realized and unrealized gains
 (losses)...............................     0.04            0.21      0.48     (0.58)         0.26
                                         --------        --------  --------  --------      --------
Total from investment operations........     0.10            0.26      0.53     (0.51)         0.38
                                         --------        --------  --------  --------      --------
DIVIDENDS AND DISTRIBUTIONS
Dividends from net investment income....    (0.06)          (0.05)    (0.06)    (0.10)        (0.14)
Distributions from net realized gains...    (0.05)          (0.08)    (0.01)    (0.06)        (0.15)
Tax return of capital...................    (0.27)          (0.27)    (0.33)    (0.30)        (0.21)
                                         --------        --------  --------  --------      --------
Total dividends and distributions.......    (0.38)          (0.40)    (0.40)    (0.46)        (0.50)
                                         --------        --------  --------  --------      --------
Dilutive effect on net asset value as a
 result of rights offering..............    (0.14)/(8)/        --        --       -- /(6)/    (0.02)/(4)/
                                         --------        --------  --------  --------      --------
   Net asset value, end of period....... $   3.57        $   3.99  $   4.13  $   4.00      $   4.97
                                         ========        ========  ========  ========      ========
   Market value, end of period/(1)/..... $   3.03        $   3.56  $   3.91  $   3.37      $   4.53
                                         ========        ========  ========  ========      ========
Total investment return/(2)/............    (4.65)%/(9)/     1.04%    29.74%   (16.90)%      (14.99)%/(5)/
                                         ========        ========  ========  ========      ========
Total return on net asset value/(7)/....     4.46%           7.21%    15.46%   (10.09)%        7.93%
                                         ========        ========  ========  ========      ========
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in thousands) $513,808        $457,035  $473,217  $458,767      $569,656
Ratio of expenses to average net assets
 (excluding dividends and interest
 expense on short sales after expense
 waivers)...............................     0.88%           1.10%     1.14%     1.03%         0.96%
Ratio of expenses to average net assets
 (including dividends and interest
 expense on short sales and after
 expense waivers).......................     0.88%           1.10%     1.14%     1.03%         0.96%
Ratio of expenses to average net assets
 (including dividends and interest
 expense on short sales before expense
 waivers)...............................     0.97%           1.10%     1.14%     1.03%         0.96%
Ratio of net investment income to
 average net assets.....................     1.71%           1.19%     1.38%     1.66%         2.46%
Portfolio turnover rate.................       46%             25%       35%       61%           36%
</TABLE>
--------
(1)Closing Price -- New York Stock Exchange.
(2)Total investment return is calculated assuming a purchase of a share of the
   Fund's common stock at the opening NYSE share price on the first business
   day and a sale at the closing NYSE share price on the last business day of
   each period reported. Dividends and distributions, if any, are assumed for
   the purpose of this calculation, to be reinvested at prices obtained under
   the Fund's Automatic Reinvestment and Cash Purchase Plan. Generally, total
   investment return based on net asset value will be higher than total
   investment return based on market value in periods where there is an
   increase in the discount or a decrease in the premium of the market value to
   the net assets from the beginning to the end of such years. Conversely,
   total investment return based on net asset value will be lower than total
   investment return based on market value in periods where there is a decrease
   in the discount or an increase in the premium of the market value to the net
   asset value from the beginning to the end of such periods.
(3)Computed using average shares outstanding
(4)Shares were sold at a 5% discount from a 5 day average market price from
   5/14/07 to 5/18/07.

                       See notes to financial statements

                                      17

<PAGE>


(5)Total investment return includes the dilutive effect of the 2007 rights
   offering. Without this effect, the total investment return would have been
   (13.82)%.
(6)Amount is less than $0.005.
(7)NAV Return is calculated using the opening Net Asset Value price of the
   Fund's common stock on the first business day and the closing Net Asset
   Value price of the Fund's common stock on the last business day of each
   period reported. Dividends and distributions, if any, are assumed for the
   purpose of this calculation, to be reinvested at prices obtained under the
   Fund's Automatic Reinvestment and Cash Purchase Plan.
(8)Shares were sold at a 5% discount from a 5 day average market price from
   1/3/11 to 1/7/11.
(9)Total investment return includes the dilutive effect of the 2011 rights
   offering. Without this effect, the total investment return would have been
   (2.59)%.

                       See notes to financial statements

                                      18

<PAGE>


                       THE ZWEIG TOTAL RETURN FUND, INC.

                         NOTES TO FINANCIAL STATEMENTS

                               DECEMBER 31, 2011

NOTE 1 -- ORGANIZATION

   The Zweig Total Return Fund, Inc. (the "Fund") is a closed-end, diversified
management investment company registered under the Investment Company Act of
1940 (the "Act"). The Fund was incorporated under the laws of the State of
Maryland on July 21, 1988. The Fund's investment objective is to seek the
highest total return, consisting of capital appreciation and current income,
consistent with the preservation of capital.

NOTE 2 -- 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:

   Security Valuation procedures for the funds have been approved by the Board
of Trustees. All internally fair valued securities referred to below are
approved by a valuation committee appointed under the direction of the Board of
Trustees.

   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 valuation committee'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
valuation committee, are generally categorized as Level 3 in the hierarchy.

                                      19

<PAGE>



   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
external 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 such as
mortgage-backed and asset-backed securities 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 dealer supplied prices are utilized
representing indicative bids 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 valuation committee are generally categorized as Level 3 in the
hierarchy.

   Listed derivatives, such as options, 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 are valued based on inputs
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 and are generally categorized as
Level 2 in the hierarchy.

   A summary of the inputs used to value the Fund's major categories of assets
and liabilities, which primarily include investments of the Fund, 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.

                                      20

<PAGE>



  C. INCOME TAXES:

   The Fund is treated as a separate taxable entity. It is the Fund's intention
to comply with the requirements of Subchapter M of the Internal Revenue Code
and to distribute substantially all of its taxable income to its shareholders.
Therefore, no provision for federal income taxes or excise taxes has been made.

   The Fund may be subject to foreign taxes on income, gains on investments or
currency repatriation, a portion of which may be recoverable. The Fund will
accrue such taxes and recoveries as applicable based upon current
interpretations of the tax rules and regulations that exist in the markets in
which it invests.

   The Fund has adopted the authoritative guidance on accounting for and
disclosure of uncertainty in tax positions, which requires the Fund to
determine whether a tax position is more likely than not to be sustained upon
examination, including resolution of any related appeals or litigation
processes, based on the technical merits of the position. The Fund has
determined that there was no effect on the financial statements from the
adoption of this authoritative guidance. The Fund files tax returns as
prescribed by the tax laws of the jurisdictions in which they operate. In the
normal course of business, the Fund is subject to examination by federal, state
and local jurisdictions, where applicable. As of December 31, 2011, the tax
years that remain subject to examination by the major tax jurisdictions under
the statute of limitations is from the year 2008 forward (with limited
exceptions).

  D. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:

   Distributions are recorded by the Fund on the ex-dividend date. Income and
capital gain distributions are determined in accordance with income tax
regulations, which may differ from accounting principles generally accepted in
the United States of America. These differences may include the treatment of
non-taxable dividends, market premium and discount, non-deductible expenses,
expiring capital loss carryovers, foreign currency gain or loss, operating
losses and losses deferred due to wash sales. Permanent book and tax basis
differences relating to shareholder distributions will result in
reclassifications to capital paid in on shares of beneficial interest.

   The Fund has a Managed Distribution Plan to pay 10 percent of the Fund's net
asset value ("NAV") on an annualized basis. Distributions may represent
earnings from net investment income, realized capital gains, or, if necessary,
return of capital. Shareholders should not draw any conclusions about the
Fund's investment performance from the terms of the Fund's Managed Distribution
Plan.

  E. 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.

                                      21

<PAGE>



  F. DERIVATIVE FINANCIAL INSTRUMENTS:

   Disclosures on derivatives instruments and hedging activities are intended
to improve financial reporting for derivative instruments by enhanced
disclosure that enables the 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. Summarized below
is a specific type of derivative instrument used by the Fund.

  OPTIONS CONTRACTS

   An options contract provides the purchaser with the right, but not the
obligation, to buy (call option) or sell (put option) a financial instrument at
an agreed upon price. The Fund may purchase or write listed covered and
uncovered put and call options on portfolio securities for hedging purposes or
to facilitate the rapid implementation of investment strategies if the Fund
anticipates a significant market or market sector advance. The Fund is subject
to equity price risk in the normal course of pursuing its investment
objectives. The Fund may use options contracts to hedge against changes in the
values of equities.

   When the Fund purchases an option, it pays a premium and an amount equal to
that premium is recorded as an asset. When the Fund writes an option, it
receives a premium and an amount equal to that premium is recorded as a
liability. The asset or liability is adjusted daily to reflect the current
market value of the option. Holdings of the Fund designated to cover
outstanding written options are noted in the Schedules of Investments.
Purchased options are reported as an asset within "Investment securities at
value before written options" on the Statement of Assets and Liabilities.
Options written are reported as a liability within "Written options outstanding
at value". Changes in value of the purchased option is included in unrealized
appreciation/(depreciation) on investments on the Statement of Investments.
Changes in value of written options is included in unrealized
appreciation/(depreciation) on written options.

   If an option expires unexercised, the Portfolio realizes a gain or loss to
the extent of the premium received or paid. If an option is exercised, the
premium received or paid is recorded as an adjustment to the proceeds from the
sale or the cost basis of the purchase. The difference between the premium and
the amount received or paid on effecting a closing purchase or sale transaction
is also treated as a realized gain or loss. Gain or loss on purchased options
is included in net realized gain/(loss) on investment transactions on the
Statement of Operations. Gain or loss on written options is presented
separately as net realized gain/(loss) on written options transactions.

   The risk in writing call options is that the Fund gives up the opportunity
for profit if the market price of the security increases and the option is
exercised. The risk in writing put options is that the Fund may incur a loss if
the market price of the security decreases and the option is exercised. The
risk in buying options is that the Fund pays a premium whether or not the
option is exercised. The use of such instruments may involve certain additional
risks as a result of unanticipated movements in the market. Writers (sellers)
of options are subject to unlimited risk of loss, as the seller will be
obligated to deliver or take delivery of the security at a predetermined price
which may, upon exercise of the option, be significantly different from the
then-market value.

  G. 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

                                      22

<PAGE>


of cash and 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 December 31, 2011, the Fund had no securities on loan.

NOTE 3 -- INVESTMENT ADVISORY FEES AND OTHER TRANSACTIONS WITH AFFILIATES

($ REPORTED IN THOUSANDS UNLESS OTHERWISE NOTED)

   Zweig Advisers LLC, an indirect wholly-owned subsidiary of Virtus Investment
Partners, Inc. ("Virtus"), is the adviser to the Fund.

   A) INVESTMENT ADVISORY FEE: The Investment Advisory Agreement (the
"Agreement") between the Adviser and the Fund provides that, subject to the
direction of the Board of Directors of the Fund and the applicable provisions
of the Act, the adviser is responsible for the actual management of the Fund's
portfolio. The responsibility for making decisions to buy, sell, or hold a
particular investment rests with the Adviser, subject to review by the Board of
Directors and the applicable provisions of the Act. For the services provided
by the Adviser under the Agreement, the Fund pays the Adviser a monthly fee
equal, on an annual basis of 0.70% of the Fund's average daily net assets.
During the period ended December 31, 2011, the Fund incurred advisory fees of
$3,727.

   Effective May 10, 2011, the Adviser has voluntarily agreed to waive 20% of
the advisory fee until further notice.

   Zweig Consulting LLC (the "Sub-Adviser"), which serves as the Sub-Adviser
for the Fund, performs certain asset allocation research and analysis and
provides such advice to the Adviser. The Sub-Adviser's fees are paid by the
Adviser.

   B) ADMINISTRATION FEE: VP Distributors, Inc., an indirect wholly-owned
subsidiary of Virtus, serves as the Fund's Administrator (the "Administrator")
pursuant to an Administration Agreement. During the period ended December 31,
2011, the Fund incurred Administration fees of $346.

   C) DIRECTORS FEE ($ NOT REPORTED IN THOUSANDS):

   During the period the Fund paid each Director who is not an interested
person of the Fund or the Adviser, a fee of $11,000 per year plus $1,500 per
Director for each committee meeting attended, together with the out-of-pocket
costs relating to attendance at such meetings. The co-lead Directors are paid
an additional $10,000 retainer each per year in lieu of compensation for
executive committee meetings. The Audit Committee chairperson is paid an
additional fee of $5,000 per year. Any Director of the Fund who is an
interested person of the Fund or the Adviser receives no remuneration from
the Fund.

NOTE 4 -- PURCHASES AND SALES OF SECURITIES:

($ REPORTED IN THOUSANDS)

   Purchases and sales of securities (excluding U.S. Government and agency
securities and short-term securities) for the period ended December 31, 2011,
were as follows:

<TABLE>
             <S>                                           <C>
                Purchases................................. $244,723
                Sales.....................................  164,087
</TABLE>

                                      23

<PAGE>



   Purchases and sales of long-term U.S. Government and agency securities for
the period ended December 31, 2011, were as follows:

<TABLE>
             <S>                                           <C>
                Purchases................................. $10,146
                Sales.....................................  10,811
</TABLE>

NOTE 5 -- DERIVATIVE TRANSACTIONS

($ REPORTED IN THOUSANDS)

   The Fund invested in derivative instruments during the reporting period
through the form of purchased and written options. The primary type of risk
associated with these derivative instruments are equity risk. The Fund invests
in uncovered options contracts to gain exposure to securities not held in the
portfolio, and to realize a greater return than investing in the underlying
security alone.

   For additional information on the options in which the Fund was invested
during the reporting period, refer to the Schedule of Investments and Note 2F.

   Written options transactions, during the year ended December 31, 2011, were
as follows:

<TABLE>
<CAPTION>
                                                      # OF    PREMIUM
          CALL OPTIONS                              CONTRACTS  REC'D
          ------------                              --------- -------
          <S>                                       <C>       <C>
          Options outstanding at beginning of year.      --    $  --
          Written options..........................   9,300      838
          Options repurchased......................  (6,300)    (589)
                                                     ------    -----
          Options outstanding at December 31, 2011.   3,000    $ 249
                                                     ======    =====

                                                      # OF    PREMIUM
          PUT OPTIONS                               CONTRACTS  PAID
          -----------                               --------- -------
          Options outstanding at beginning of year.      --    $  --
          Written options..........................   7,200      722
          Options repurchased......................  (4,200)    (449)
                                                     ------    -----
          Options outstanding at December 31, 2011.   3,000    $ 273
                                                     ======    =====
</TABLE>

   The average daily notional amount of purchased options during the year ended
December 31, 2011 was $87. The average daily notional amount of written options
during the year was $(78).

   Purchased options, as presented in the Statement of Assets and Liabilities,
is located under "Investment securities at value before written options" at a
fair value of $600. Written options as of December 31, 2011 are located under
"Written options outstanding at value" at a fair value of $489.

   For the period ended December 31, 2011, gains/(losses) related to purchased
and written options are disclosed in the "Net realized appreciation
(depreciation) on investments" on the Statement of Assets and Liabilities in
the amount of $48.

   For the period ended December 31, 2011, changes in the value of purchased
options is included in "Net change in unrealized appreciation (depreciation) on
investments" in the Statement of Operations in

                                      24

<PAGE>


the amount of $15. Written options are included in "Net change in unrealized
appreciation/(depreciation) on written options" in the amount of $33. Realized
gains/loss related to purchased options are disclosed in the "Net realized gain
(loss) on investments" in the amount of $(389). Written options are disclosed
in the "Net realized gain (loss) on written options" in the amount of $566.

NOTE 6 -- 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 7 -- CAPITAL STOCK AND REINVESTMENT PLAN

   At December 31, 2011, the Fund had one class of common stock, par value
$0.001 per share, of which 500,000,000 shares are authorized and 144,094,744
shares are outstanding.

   Registered shareholders may elect to have all distributions paid by check
mailed directly to the shareholder by Computershare as dividend paying agent.
Pursuant to the Automatic Reinvestment and Cash Purchase Plan (the "Plan"),
shareholders not making such election will have all such amounts automatically
reinvested by Computershare, as the Plan agent, in whole or fractional shares
of the Fund, as the case may be. During the periods ended December 31, 2011 and
December 31, 2010, there were no shares issued pursuant to the Plan.

   In a non-transferable rights offering ended January 7, 2011, shareholders
exercised rights to purchase 29,500,000 shares of common stock at an offering
price of $3.34 per share for proceeds, net of expenses of $97,989,000.

   On January 3, 2012, the Fund announced a distribution of $0.030 per share to
shareholders of record on December 30, 2011. This distribution has an
ex-dividend date of January 5, 2012, and is payable on January 9, 2012. Please
see inside front cover for more information on the Fund's distributions.

NOTE 8 -- 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.

   At December 31, 2011, the Fund held 43% of its total investments in U.S.
Government securities (includes 19% of U.S. Treasury Bills which are Short-term
investments).

                                      25

<PAGE>



NOTE 9 -- REGULATORY EXAMS

   Federal and state regulatory authorities from time to time make inquiries
and conduct examinations regarding compliance by Virtus and its subsidiaries
(collectively "the Company") with securities and other laws and regulations
affecting their registered products.

   There are currently no such matters which the Company believes will be
material to these financial statements.

NOTE 10 -- FEDERAL INCOME TAX INFORMATION

($ REPORTED IN THOUSANDS)

   At December 31, 2011, federal tax cost and aggregate gross unrealized
appreciation (depreciation) of securities held by the Fund were as follows:

<TABLE>
<CAPTION>
                                                             NET UNREALIZED
                         FEDERAL    UNREALIZED   UNREALIZED   APPRECIATION
                         TAX COST  APPRECIATION DEPRECIATION (DEPRECIATION)
                         --------  ------------ ------------ --------------
    <S>                  <C>       <C>          <C>          <C>
    Investments......... $476,667    $44,217      $(9,376)      $34,841
    Written Options.....     (522)        48          (15)           33
</TABLE>

   Under the Regulated Investment Company Modernization Act of 2010 (the
"Act"), net capital losses recognized for tax years beginning after December
22, 2010 may be carried forward indefinitely, and their character is retained
as short-term and/or long-term losses. Previously, net capital losses were
carried forward for eight years and treated as short-term losses. As a
transition rule, the Act requires that post-enactment net capital losses be
used before pre-enactment net capital losses.

   Capital losses realized after October 31 and certain late year losses (e.g.
foreign currency) may be deferred and treated as occurring on the first day of
the following fiscal year. For the fiscal year ended December 31, 2011, the
Fund deferred ordinary losses of $45, and recognized post-October losses of
$218.

   The components of distributable earnings on a tax basis (excluding
unrealized appreciation (depreciation) which is disclosed in the table above)
consist of undistributed ordinary income of $0 and undistributed long-term
capital gains of $0.

   The differences between the book and tax basis components of distributable
earnings relate principally to the timing of recognition of income and gains
for federal income tax purposes. Short-term gain distributions reported in the
Statement of Changes in Net Assets, if any, are reported as ordinary income for
federal tax purposes. Distributions are determined on a tax basis and may
differ from net investment income and realized capital gains for financial
reporting purposes.

NOTE 11 -- RECLASSIFICATION OF CAPITAL ACCOUNTS

   As of December 31, 2011, the Fund decreased undistributed net investment
income by $18, decreased the accumulated net realized loss by $868, and
decreased capital paid in on shares of beneficial interest by $850.

                                      26

<PAGE>



NOTE 12 -- RECENT ACCOUNTING PRONOUNCEMENT

   In May 2011, the Financial Accounting Standards Board issued Accounting
Standards Update ("ASU") No. 2011-04 "Amendments to Achieve Common Fair Value
Measurement and Disclosure Requirements in U.S. GAAP and IFRSs". ASU 2011-04
includes common requirements for measurement of and disclosure about fair value
between U.S. GAAP and IFRS. ASU 2011-04 will require reporting entities to
disclose quantitative information about the unobservable inputs used in the
fair value measurements categorized within Level 3 of the fair value hierarchy.
In addition, ASU 2011-04 will require reporting entities to make disclosures
about amounts and reasons for all transfers in and out of Level 1 and Level 2
fair value measurements. The new and revised disclosures are effective for
interim and annual reporting periods beginning after December 15, 2011. At this
time, management is evaluating the implications of ASU No. 2011-04 and its
impact on the financial statements has not been determined.

NOTE 13 -- SUBSEQUENT EVENT EVALUATIONS

   Management has evaluated the impact of all subsequent events on the Fund
through the date the financial statements were issued, and has determined that
the following subsequent events require recognition or disclosure in these
financial statements.

   On March 1, 2012, the current investment services agreement with Zweig
Consulting expired and was replaced with a new consulting agreement wherein
Zweig Consulting would provide consulting services to the Adviser including the
provision of general market and economic research, the provision of additional
information based on Zweig Consulting's proprietary models and continued
interaction with, and access to, Dr. Zweig and Zweig Consulting personnel.

                                      27

<PAGE>


                                      [LOGO]
                                       pwc
            REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Board of Directors and Shareholders of The Zweig Total Return Fund, Inc.:

   In our opinion, the accompanying statement of assets and liabilities,
including the schedule of investments, and the related statements of operations
and of changes in net assets and the financial highlights present fairly, in
all material respects, the financial position of The Zweig Total Return Fund,
Inc. (the "Fund") at December 31, 2011, the results of its operations for the
year then ended, the changes in its net assets for each of the two years in the
period then ended and the financial highlights for each of the five years in
the period then ended, in conformity with accounting principles generally
accepted in the United States of America. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Fund's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with the standards of the
Public Company Accounting Oversight Board (United States). Those standards
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at December 31, 2011 by correspondence with the
custodian and brokers, provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 24, 2012

                                      28

<PAGE>


                                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 votes 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, 2011, free of charge, by calling toll-free 1-800-272-2700. 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.

                         INVESTMENT GUIDELINES CHANGES

   The following changes to the Investment Guidelines have been approved by the
Fund's Board of Directors:

   Under normal circumstances, the fund invests at least 65% of its total
assets in common stocks and fixed income securities. The non-convertible debt
securities that the fund invests in are primarily rated investment grade, or
determined by the adviser to be of comparable quality, however the fund may
invest a portion of its assets in securities rated below investment grade or
determined to be of comparable quality.

   The fund may invest up to 30% of its total assets in obligations issued or
guaranteed by one or more foreign governments or any of their political
subdivisions, agencies or instrumentalities.

   The extent of the fund's investments in equity securities, fixed income and
other asset classes is determined based entirely on the judgment of the fund's
portfolio managers and not on a sub-adviser.

                                      29

<PAGE>


                           CERTIFICATION (UNAUDITED)

   In accordance with the requirements of the Sarbanes-Oxley Act, the Fund's
CEO (the President of the Fund) and CFO (the Treasurer of the Fund) have filed
the required "Section 302" certifications with the SEC on Form N-CSR.

   In accordance with Section 303A of the NYSE listed company manual, the CEO
certification has been filed with the NYSE.

                          TAX INFORMATION (UNAUDITED)

   For the fiscal year ended December 31, 2011, for federal income tax
purposes, 40% of the ordinary income dividends earned by the Fund qualify for
the dividends received deduction ("DRD") for corporate shareholders.

   For the fiscal year ended December 31, 2011, the Fund hereby designates 41%,
or the maximum amount allowable, of its ordinary income dividends ("QDI") to
qualify for the lower tax rates applicable to individual shareholders.

   For the fiscal year ended December 31, 2011, the Fund hereby designates
$2,413 (reported in thousands), or if subsequently different, as long-term
capital gains dividends.

   The actual percentages for the calendar year will be designated in the
year-end tax statements.

                                      30

<PAGE>



                                FUND MANAGEMENT

   Information pertaining to the Directors and officers of the Fund as of
December 31, 2011 is set forth below. The address of each individual, unless
otherwise noted, is c/o Zweig Advisers LLC, 900 Third Avenue, New York, NY
10022.

                            DISINTERESTED DIRECTORS

   Unless otherwise noted, the address of each individual is 900 Third Avenue,
New York, NY 10022.

<TABLE>
<CAPTION>
NAME, YEAR OF BIRTH (YOB)
AND POSITION(S) WITH FUNDS          TERM OF OFFICE
NUMBER OF PORTFOLIOS IN              AND LENGTH OF                    PRINCIPAL OCCUPATION(S)
FUND COMPLEX OVERSEEN BY DIRECTOR     TIME SERVED        DURING PAST 5 YEARS AND OTHER DIRECTORSHIPS HELD
---------------------------------  ------------------ --------------------------------------------------------
<S>                                <C>                <C>
      Charles H. Brunie........... Term: Until 2012.  Chairman, Brunie Associates (investments) (since April
      YOB: 1930                    Served since:      2001); Oppenheimer Capital (1969-2000), Chairman
      Director                     1988               (1980-1990), Chairman Emeritus (1990-2000); Chairman
      2                                               Emeritus, Board of Trustees, Manhattan Institute (since
                                                      1990); Trustee, Milton and Rose D. Friedman
                                                      Foundation for Vouchers (since 1996); Trustee, Hudson
                                                      Institute (2002-2008); Chairman of the Board, American
                                                      Spectator (since 2002); Chartered Financial Analyst
                                                      (since 1969).

      Wendy Luscombe.............. Term: Until 2014.  Co-lead Independent Director of The Zweig Total
      YOB: 1951                    Served since:      Return Fund, Inc. and of The Zweig Fund, Inc. (since
      Director                     2002               2006); Principal, WKL Associates, Inc. (independent
      2                                               fiduciary and consultant) (since 1994); Fellow, Royal
                                                      Institution of Chartered Surveyors; Member, Chartered
                                                      Institute of Arbitrators; Director, Endeavour Real
                                                      Estate Securities, Ltd. REIT Mutual Fund (2000-2005);
                                                      Director, PXRE Corp. (reinsurance) (1994-2007);
                                                      Member and Chairman of Management Oversight
                                                      Committee, Deutsche Bank Real Estate Opportunity
                                                      Fund 1A and 1B (since 2003); Trustee, Acadia Realty
                                                      Trust (since 2004); Member of National Association of
                                                      Corporate Directors Teaching Facility (since 2007);
                                                      Independent Director of Feldman Mall Properties, a
                                                      private REIT (since 2010).

      Alden C. Olson.............. Term: Until 2013.  Chairman of the Audit Committee of The Zweig Total
      YOB: 1928                    Served since:      Return Fund, Inc. and of The Zweig Fund, Inc. (since
      Director                     1996               2004); Currently retired; Chartered Financial Analyst
      2                                               (since 1964); Professor of Financial Management,
                                                      Investments at Michigan State University (1959 to
                                                      1990).

      James B. Rogers, Jr......... Term: Until 2012.  Director, Genagro Services, Ltd. (since 2011); Private
      YOB: 1942                    Served since:      investor (since 1980); Chairman, Beeland Interests
      Director                     1988               (Media and Investments) (since 1980); Regular
      2                                               Commentator on Fox News (2002-2007); Author of
                                                      "Investment Biker: On the Road with Jim Rogers"
                                                      (1994), "Adventure Capitalist" (2003), "Hot
                                                      Commodities" (2004), "A BULL IN CHINA" (2007) and
                                                      "A Gift to My Children" (2009).
</TABLE>

                                      31

<PAGE>


<TABLE>
<CAPTION>
NAME, YEAR OF BIRTH (YOB)
AND POSITION(S) WITH FUNDS          TERM OF OFFICE
NUMBER OF PORTFOLIOS IN              AND LENGTH OF                   PRINCIPAL OCCUPATION(S)
FUND COMPLEX OVERSEEN BY DIRECTOR     TIME SERVED        DURING PAST 5 YEARS AND OTHER DIRECTORSHIPS HELD
---------------------------------  ------------------ -------------------------------------------------------
<S>                                <C>                <C>
       R. Keith Walton............ Term: Until 2014.  Co-lead Independent Director of The Zweig Total
       YOB: 1964 Director          Served since:      Return Fund, Inc. and of The Zweig Fund, Inc. (since
       2                           2004               2006); Global Head of Government Affairs for Alcoa
                                                      (since 2011); Senior Managing Director, BSE
                                                      Management LLC (2010); Principal and Chief
                                                      Administrative Officer, Global Infrastructure Partners
                                                      (2007-2009); Director, Blue Crest Capital Management
                                                      Funds (since 2006); Executive Vice President and
                                                      Secretary (1996-2007) of the University at Columbia
                                                      University; Director, Orchestra of St. Luke's (since
                                                      2000); Member (since 1997), Nominating and
                                                      Governance Committee Board of Directors (since
                                                      2004), Council on Foreign Relations; Member of the
                                                      Trilateral Commission (since 2009); Director of the
                                                      Association for the Benefit of Children (since 2009);
                                                      Director (2002-2009), Member, Executive Committee
                                                      (2002-2009), Chair, Audit Committee ( 2003-2009),
                                                      Apollo Theater Foundation, Inc.; Vice President and
                                                      Trustee, The Trinity Episcopal School Corporation
                                                      (2003-2009); Member, The Gillen Brewer School Board
                                                      (2007-2009).
</TABLE>

                             INTERESTED DIRECTOR*

<TABLE>
<CAPTION>

                                                TERM OF OFFICE
NAME, ADDRESS, AGE AND                           AND LENGTH OF                    PRINCIPAL OCCUPATION(S)
POSITION(S) WITH FUNDS                            TIME SERVED        DURING PAST 5 YEARS AND OTHER DIRECTORSHIPS HELD
----------------------                         ------------------ --------------------------------------------------------
<S>                                            <C>                <C>
George R. Aylward............................. Term: Until 2013.  Director, President and Chief Executive Officer (since
100 Pearl Street                               Served since:      2008), Director and President (2006-2008), Chief
Hartford, CT 06103                             2006               Operating Officer (2004-2006), Vice President, Finance,
YOB: 1964                                                         (2001-2002), Virtus Investment Partners, Inc. and/or
Director, Chairman of the Board and President                     certain of its subsidiaries; Senior Executive Vice
48                                                                President and President, Asset Management (2007-
                                                                  2008), Senior Vice President and Chief Operating
                                                                  Officer, Asset Management (2004-2007), Vice President
                                                                  and Chief of Staff (2001-2004), The Phoenix Companies,
                                                                  Inc.; Various senior officer and directorship positions
                                                                  with Phoenix affiliates (2005-2008); President (2006-
                                                                  present), Executive Vice President (2004-2006), the
                                                                  Virtus Mutual Funds Family. Chairman, President and
                                                                  Chief Executive Officer, The Zweig Fund, Inc. and The
                                                                  Zweig Total Return Fund, Inc. (2006-present).
</TABLE>

                                      32

<PAGE>



                       OFFICERS WHO ARE NOT DIRECTORS**

<TABLE>
<CAPTION>

NAME, ADDRESS AND AGE                                                PRINCIPAL OCCUPATION(S)
POSITION(S) WITH FUNDS                                  DURING PAST 5 YEARS AND OTHER DIRECTORSHIPS HELD
----------------------              -----------------------------------------------------------------------------------------
<C>                                 <S>
Carlton Neel....................... Senior Vice President and Portfolio Manager, Zweig Advisers LLC (since 2003); Managing
YOB: 1967                           Director and Co-Founder, Shelter Rock Capital Partners, LP (2002-2003); Senior Vice
Executive Vice President            President and Portfolio Manager, Zweig Advisers LLC (1995-2002); Vice President, JP
                                    Morgan & Co. (1990-1995).

David Dickerson.................... Senior Vice President and Portfolio Manager, Zweig Advisers LLC (since 2003); Managing
YOB: 1967                           Director and Co-Founder, Shelter Rock Capital Partners, LP (2002-2003); Vice President
Senior Vice President               and Portfolio Manager, Phoenix/Zweig Advisers LLC (1993-2002).

Marc Baltuch....................... Chief Compliance Officer of Zweig Advisers LLC (since 2004); President and Director of
YOB: 1945                           Watermark Securities, Inc. (since 1991); Secretary of Phoenix-Zweig Trust (1989-2003);
Vice President and Chief            Secretary of Phoenix-Euclid Market Neutral Fund (1998-2002); Assistant Secretary of
Compliance Officer                  Gotham Advisors, Inc. (1990-2005); Chief Compliance Officer of the Zweig Companies (since
                                    1989) and of the Virtus, formerly Phoenix, Funds Complex (2004-2010); Chief Compliance
                                    Officer of Virtus Variable Insurance Trust , formerly The Phoenix Edge Series Fund (2004-
                                    February, 2011).

Kevin J. Carr...................... Senior Vice President, Legal and Secretary, Virtus Investment Partners, Inc. and/or
100 Pearl Street                    certain of its subsidiaries (since 2008); Vice President and Counsel, Phoenix Life
Hartford, CT 06103                  Insurance Company (2005-2008); Compliance Officer of Investments and Counsel, Travelers
YOB: 1954                           Life & Annuity Company (January 2005-May 2005); Assistant General Counsel and certain
Secretary and Chief Legal Officer   other positions, The Hartford Financial Services Group (1995-2005).

Moshe Luchins...................... Associate Counsel (1996-2005), Associate General Counsel (since 2006) of the Zweig
YOB: 1971                           Companies.
Vice President

W. Patrick Bradley................. Senior Vice President, Fund Services (since 2010); Senior Vice President, Fund
100 Pearl Street                    Administration (since 2009), Vice President, Fund Administration (2007-2009) Second Vice
Hartford, CT 06103                  President, Fund Control & Tax (2004-2006), Virtus Investment Partners, Inc. and/or
YOB: 1972                           certain of its subsidiaries (formerly Phoenix) Vice President, Chief Financial Officer,
Treasurer, Chief Financial Officer  Treasurer and Principal Accounting Officer (2006-present), Assistant Treasurer
                                    (2004-2006), Virtus Variable Insurance Trust. Chief Financial Officer and Treasurer
                                    (2005-present), Assistant Treasurer (2004-2006), certain funds within the Virtus Mutual
                                    Funds Family (formerly Phoenix).

Jacqueline Porter.................. Vice President, Fund Administration and Tax, Virtus Investment Partners (since 2008);
100 Pearl Street                    Phoenix Equity Planning Corporation (1995-2008); Vice President and Assistant Treasurer,
Hartford, CT 06103                  multiple funds in the Virtus Mutual Fund Complex and Virtus Variable Insurance Trust
YOB: 1958                           (formerly Phoenix Edge Series Fund) (since 1995).
Vice President and Assistant
Treasurer
</TABLE>
--------
  *  Director considered to be an "interested person," as that term is defined
     in the Act. George R. Aylward is considered an interested person because,
     among other things, he is an officer of the Adviser.
  ** The Term of each Officer expires immediately following the 2012 Annual
     Meeting of Shareholders. Each Board considers reappointments annually.

                                      33

<PAGE>


                 AUTOMATIC REINVESTMENT AND CASH PURCHASE PLAN

   The Zweig Total Return Fund, Inc. (the "Fund") allows you to conveniently
reinvest distributions monthly in additional Fund shares thereby enabling you
to compound your returns from the Fund. By choosing to reinvest, you'll be able
to invest money regularly and automatically, and watch your investment grow.

   It is important to note that an automatic reinvestment plan does not ensure
a profit, nor does it protect you against loss in a declining market.

ENROLLMENT IN THE REINVESTMENT PLAN

   It is the policy of the Fund to automatically reinvest distributions payable
to shareholders. A "registered" shareholder automatically becomes a participant
in the Fund's Automatic Reinvestment and Cash Purchase Plan (the "Plan"). The
Plan authorizes the Fund to credit all shares of common stock to participants
upon a distribution regardless of whether the shares are trading at a discount
or premium to the net asset value. Registered shareholders may terminate their
participation and receive distributions in cash by contacting Computershare
Trust Company, N.A. (the "Plan Administrator"). The termination will become
effective with the next distribution if the Plan Administrator is notified at
least 7 business days prior to the distribution payment date. Registered
shareholders that wish to change their distribution option from cash payment to
reinvest may do so by contacting the Plan Administrator at 1-800-272-2700.

   In the case of banks, brokers, or other nominees which hold your shares for
you as the beneficial owner, the Plan Administrator will administer the Plan
based on the information provided by the bank, broker or nominee. To the extent
that you wish to participate in the Plan, you should contact the broker, bank
or nominee holding your shares to ensure that your account is properly
represented. If necessary, you may have your shares taken out of the name of
the broker, bank or nominee and register them in your own name.

HOW SHARES ARE PURCHASED THROUGH THE REINVESTMENT PLAN

   When a distribution is declared, nonparticipants in the plan will receive
cash. Participants in the Plan will receive shares of the Fund valued as
described below:

   If on the payable date of the distribution, the market price of the Fund's
common stock is less than the net asset value, the Plan Administrator will buy
Fund shares on behalf of the Participant in the open market, on the New York
Stock Exchange (NYSE) or elsewhere. The price per share will be equal to the
weighted average price of all shares purchased, including commissions.
Commission rates are currently $0.02 per share, although the rate is subject to
change and may vary. If, following the commencement of purchases and before the
Plan Administrator has completed its purchases, the trading price equals or
exceeds the most recent net asset value of the common shares, the Plan
Administrator may cease purchasing shares on the open market and the Fund may
issue the remaining shares at a price equal to the greater of (a) the net asset
value on the last day the Plan Administrator purchased shares or (b) 95% of the
market price on such day. In the case where the Plan Administrator has
terminated open market purchases and the Fund has issued the remaining shares,
the number of shares received by the Participant in respect of the cash
distribution will be based on the weighted average of prices paid for shares

                                      34

<PAGE>


purchased in the open market and the price at which the Fund issued the
remaining shares. Under certain circumstances, the rules and regulations of the
Securities and Exchange Commission may require limitation or temporary
suspension of market purchases of shares under the Plan. The Plan Administrator
will not be accountable for its inability to make a purchase during such a
period.

   If on the payable date of the distribution, the market price is equal to or
exceeds the net asset value, Participants will be issued new shares by the Fund
at the greater of the (a) the net asset value on the payable date or (b) 95% of
the market price on such date.

   The automatic reinvestment of distributions will not relieve Participants of
any income tax which may be payable on such distributions. A Participant in the
Plan will be treated for federal income tax purposes, as having received on a
payment date, a distribution in an amount equal to the cash the participant
could have received instead of shares. If you participate in the Plan, you will
receive a Form 1099-DIV concerning the Federal tax status of distributions paid
during the year.

VOLUNTARY CASH PURCHASE PLAN

   Participants in the Plan have the option of making additional cash payments
for investment in shares of the Fund. Such payments can be made in any amount
from $100 per payment to $3,000 per month. The Plan Administrator will use the
funds received to purchase Fund shares in the open market on the 15/th/ of each
month or the next business day if the 15/th/ falls on a weekend or holiday (the
"Investment Date"). The purchase price per share will be equal to the weighted
average price of all shares purchased on the Investment Date, including
commissions. There is no charge to shareholders for Cash Purchases. The plan
administrator's fee will be paid by the Fund. However, each participating
shareholder will pay pro rata share of brokerage commissions incurred
(currently $0.02 per share, but may vary and is subject to change) with respect
to the Plan Administrator's open market purchases in connection with all cash
investments. Voluntary cash payments should be sent to Computershare Trust
Company, N.A., PO Box 43078, Providence, RI 02940-3078.

   Participants have an unconditional right to obtain the return of any cash
payment if the Plan Administrator receives written notice at least 5 business
days before such payment is to be invested.

AUTOMATIC MONTHLY INVESTMENT

   Participants in the Plan may purchase additional shares by means of an
Automatic Monthly Investment of not less than $100 nor more than $3,000 per
month by electronic funds transfer from a predesignated U.S bank account. If a
Participant has already established a Plan account and wishes to initiate
Automatic Monthly Investments, the Participant must complete and sign an
automatic monthly investment form and return it to the Plan Administrator
together with a voided check or deposit slip for the account from which funds
are to be withdrawn. Automatic monthly investment forms may be obtained from
the Plan Administrator by calling 1-800-272-2700.

TERMINATION OF SHARES

   Shareholders wishing to liquidate shares held with the Plan Administrator
must do so in writing or by calling 1-800-272-2700. The Plan Administrator does
not charge a fee for liquidating your shares; however, currently a brokerage
commission of $0.02 will be charged. This charge may vary and is subject to
change.

                                      35

<PAGE>



   Once terminated, you may re-enroll in the Plan (provided you still have
shares registered in your name) by contacting the Plan Administrator at
1-800-272-2700.

ADDITIONAL INFORMATION

   For more information regarding the Automatic Reinvestment and Cash Purchase
Plan, please contact the Plan Administrator at 1-800-272-2700 or visit our
website at Virtus.com.

   The Fund reserves the right to amend or terminate the Plan as applied to any
voluntary cash payments made and any dividend or distribution paid subsequent
to written notice of the change sent to the members of the Plan at least 90
days before the record date for such distribution. The Plan also may be amended
or terminated by the Plan Administrator with at least 90 days written notice to
participants in the Plan.

                                      36

<PAGE>

ITEM 2. CODE OF ETHICS.

    (a)The registrant, as of the end of the period covered by this report, has
       adopted a code of ethics that applies to the registrant's principal
       executive officer, principal financial officer, principal accounting
       officer or controller, or persons performing similar functions,
       regardless of whether these individuals are employed by the registrant
       or a third party.

    (c)There have been no amendments, during the period covered by this report,
       to a provision of the code of ethics that applies to the registrant's
       principal executive officer, principal financial officer, principal
       accounting officer or controller, or persons performing similar
       functions, regardless of whether these individuals are employed by the
       registrant or a third party, and that relates to any element of the code
       of ethics described in Item 2(b) of the instructions for completion of
       Form N-CSR.

    (d)The registrant has not granted any waivers, during the period covered by
       this report, including an implicit waiver, from a provision of the code
       of ethics that applies to the registrant's principal executive officer,
       principal financial officer, principal accounting officer or controller,
       or persons performing similar functions, regardless of whether these
       individuals are employed by the registrant or a third party, that
       relates to one or more of the items set forth in paragraph (b) of the
       instructions for completion of this Item.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

(a)(1) The Registrant's Board of Trustees has determined that the Registrant
       has an "audit committee financial expert" serving on its Audit
       Committee.

(a)(2) Wendy Luscombe has been determined by the Registrant to possess the
       technical attributes identified in Instruction 2(b) of Item 3 to Form
       N-CSR to qualify as an "audit committee financial expert" effective
       December 12, 2007. Ms. Luscombe is an "independent" trustee pursuant to
       paragraph (a)(2) of Item 3 to Form N-CSR.

(a)(3) Not applicable.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

Audit Fees

    (a)The aggregate fees billed for each of the last two fiscal years for
       professional services rendered by the principal accountant for the audit
       of the registrant's annual financial statements or services

<PAGE>

       that are normally provided by the accountant in connection with
       statutory and regulatory filings or engagements for those fiscal years
       are $31,300 for 2011 and $32,000 for 2010.

Audit-Related Fees

    (b)The aggregate fees billed in each of the last two fiscal years for
       assurance and related services by the principal accountant that are
       reasonably related to the performance of the audit of the registrant's
       financial statements and are not reported under paragraph (a) of this
       Item are $2,740 for 2011 and $3,042 for 2010. This represents the review
       of the semi-annual financial statements, and out of pocket expenses.

Tax Fees

    (c)The aggregate fees billed in each of the last two fiscal years for
       professional services rendered by the principal accountant for tax
       compliance, tax advice, and tax planning are $4,600 for 2011 and $5,100
       for 2010.

       "Tax Fees" are those primarily associated with review of the Trust's tax
       provision and qualification as a regulated investment company (RIC) in
       connection with audits of the Trust's financial statement, review of
       year-end distributions by the Fund to avoid excise tax for the Trust,
       periodic discussion with management on tax issues affecting the Trust,
       and reviewing and signing the Fund's federal income tax returns.

All Other Fees

    (d)The aggregate fees billed in each of the last two fiscal years for
       products and services provided by the principal accountant, other than
       the services reported in paragraphs (a) through (c) of this Item are $0
       for 2011 and $0 for 2010.

(e)(1) Disclose the audit committee's pre-approval policies and procedures
       described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
       The Zweig Total Return Fund, Inc. (the "Fund") Board has adopted
       policies and procedures with regard to the pre-approval of services
       provided by PwC. The Audit Committee pre-approves: (i) all audit and
       non-audit services to be rendered to the Fund by PwC; and (ii) all
       non-audit services to be rendered to the Fund, financial reporting of
       the Fund provided by PwC to the Adviser or any affiliate thereof that
       provides ongoing services to the Fund (collectively, "Covered
       Services"). The Audit Committee has adopted pre-approval procedures
       authorizing a member of the Audit Committee to pre-approve from time to
       time, on behalf of the Audit Committee, all Covered Services to be
       provided by PwC which are not otherwise pre-approved at a meeting of the
       Audit committee, provided that such delegate reports to the full Audit
       Committee at its next meeting. The pre-approval procedures do not
       include delegation of the Audit committee's responsibilities to
       management. Pre-approval has not been waived with respect to any of the
       services described above since the date on which the Audit Committee
       adopted its current pre-approval procedures.

<PAGE>

(e)(2) The percentage of services described in each of paragraphs (b) through
       (d) of this Item that were approved by the audit committee pursuant to
       paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows:

           (b)0% for 2011 and 2010

           (c)0% for 2011 and 2010

           (d)Not applicable

    (f)The percentage of hours expended on the principal accountant's
       engagement to audit the registrant's financial statements for the most
       recent fiscal year that were attributed to work performed by persons
       other than the principal accountant's full-time, permanent employees was
       less than fifty percent.

    (g)The aggregate non-audit fees billed by the registrant's accountant for
       services rendered to the registrant, and rendered to the registrant's
       investment adviser (not including any sub-adviser whose role is
       primarily portfolio management and is subcontracted with or overseen by
       another investment adviser), and any entity controlling, controlled by,
       or under common control with the adviser that provides ongoing services
       to the registrant for each of the last two fiscal years of the
       registrant was $327,554 for 2011 and $398,818 for 2010.

    (h)The registrant's audit committee of the board of directors has
       considered whether the provision of non-audit services that were
       rendered to the registrant's investment adviser (not including any
       sub-adviser whose role is primarily portfolio management and is
       subcontracted with or overseen by another investment adviser), and any
       entity controlling, controlled by, or under common control with the
       investment adviser that provides ongoing services to the registrant that
       were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of
       Regulation S-X is compatible with maintaining the principal accountant's
       independence.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

The registrant has a separately designated audit committee consisting of all
the independent directors of the registrant. Audit Committee Members are:
Charles H. Brunie, Wendy Luscombe, Prof. Alden C. Olson, James B. Rogers and R.
Keith Walton.

ITEM 6. INVESTMENTS.

    (a)Schedule of Investments in securities of unaffiliated issuers as of the
       close of the reporting period is included as part of the report to
       shareholders filed under Item 1 of this form.

    (b)Not applicable.

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
        MANAGEMENT INVESTMENT COMPANIES.

The Proxy Voting Policies are attached herewith.

<PAGE>

                              THE ZWEIG FUND, INC

                       THE ZWEIG TOTAL RETURN FUND, INC

               STATEMENT OF POLICY WITH RESPECT TO PROXY VOTING

   I Definitions. As used in this Statement of Policy, the following terms
shall have the meanings ascribed below:

    A. "Adviser" refers to Zweig Advisers LLC.

    B. "Corporate Governance Matters" refers to changes involving the corporate
       ownership or structure of an issuer whose securities are within a
       Portfolio Holding, including changes in the state of incorporation,
       changes in capital structure, including increases and decreases of
       capital and preferred stock issuance, mergers and other corporate
       restructurings, and anti-takeover provisions such as staggered boards,
       poison pills, and supermajority voting provisions.

    C. "Delegate" refers to the Adviser or Subadviser to whom responsibility
       has been delegated to vote proxies for the applicable Portfolio Holding,
       including any qualified, independent organization engaged by the Adviser
       to vote proxies on behalf of such delegated entity.

    D. "Fund" shall individually and collectively mean and refer to The Zweig
       Fund, Inc. and The Zweig Total Return Fund, Inc., and each of them.

    E. "Management Matters" refers to stock option plans and other management
       compensation issues.

    F. "Portfolio Holding" refers to any company or entity whose securities is
       held within the investment portfolio(s) of one or more of the Fund as of
       the date a proxy is solicited.

    G. "Proxy Contests" refer to any meeting of shareholders of an issuer for
       which there are at least two sets of proxy statements and proxy cards,
       one solicited by management and the others by a dissident or group of
       dissidents.

    H. "Social Issues" refers to social and environmental issues.

    I. "Takeover" refers to "hostile" or "friendly" efforts to effect radical
       change in the voting control of the board of directors of a company.

II.General Policy. It is the intention of the Fund to exercise stock ownership
   rights in Portfolio Holdings in a manner that is reasonably anticipated to
   further the best economic interests of shareholders of the Fund.
   Accordingly, the Fund or its Delegate(s) shall endeavor to analyze and vote
   all proxies that are considered likely to have financial implications, and,
   where appropriate, to participate in corporate governance, shareholder
   proposals, management communications and legal proceedings. The Fund and its
   Delegate(s) must also identify potential or actual conflicts of interests in
   voting proxies and address any such conflict of interest in accordance with
   this Statement of Policy.

<PAGE>

III Factors to consider when voting.

    A. A Delegate may abstain from voting when it concludes that the effect on
       shareholders' economic interests or the value of the Portfolio Holding
       is indeterminable or insignificant.

    B. In analyzing ANTI-TAKEOVER MEASURES, the Delegate shall vote on a
       case-by-case basis taking into consideration such factors as overall
       long-term financial performance of the target company relative to its
       industry competition. Key measures which shall be considered include,
       without limitation, five-year annual compound growth rates for sales,
       operating income, net income, and total shareholder returns (share price
       appreciation plus dividends). Other financial indicators that will be
       considered include margin analysis, cash flow, and debit levels.

    C. In analyzing CONTESTED ELECTIONS, the Delegate shall vote on a
       case-by-case basis taking into consideration such factors as the
       qualifications of all director nominees. The Delegate shall also
       consider the independence and attendance record of board and key
       committee members. A review of the corporate governance profile shall be
       completed highlighting entrenchment devices that may reduce
       accountability.

    D. In analyzing CORPORATE GOVERNANCE MATTERS, the Delegate shall vote on a
       case-by-case basis taking into consideration such factors as tax and
       economic benefits associated with amending an issuer's state of
       incorporation, dilution or improved accountability associated with
       changes in capital structure, management proposals to require a
       supermajority shareholder vote to amend charters and bylaws and bundled
       or "conditioned" proxy proposals.

    E. In analyzing EXECUTIVE COMPENSATION PROPOSALS and MANAGEMENT MATTERS,
       the Adviser shall vote on a case-by-case basis taking into consideration
       such factors as executive pay and spending on perquisites, particularly
       in conjunction with sub-par performance and employee layoffs.

    F. In analyzing PROXY CONTESTS FOR CONTROL, the Delegate shall vote on a
       case-by-case basis taking into consideration such factors as long-term
       financial performance of the target company relative to its industry;
       management's track record; background to the proxy contest;
       qualifications of director nominees (both slates); evaluation of what
       each side is offering shareholders as well as the likelihood that the
       proposed objectives and goals can be met; and stock ownership positions.

    G. A Delegate shall generally vote against shareholder SOCIAL MATTERS
       proposals.

IV Delegation.

    A. In the absence of a specific direction to the contrary from the Board of
       Trustees of the Fund, the Adviser will be responsible for voting proxies
       for all Portfolio Holdings in accordance with this Statement of Policy,
       or for delegating such responsibility as described below.

    B. The Adviser delegated with authority to vote proxies for Portfolio
       Holdings shall be deemed to assume a duty of care to safeguard the best
       interests of the Fund and its shareholders. No

<PAGE>

       Delegate shall accept direction or inappropriate influence from any
       other client, director or employee of any affiliated company and shall
       not cast any vote inconsistent with this Statement of Policy without
       obtaining the prior approval of the Fund or its duly authorized
       representative(s).

    C. With regard to each Series for which there is a duly appointed
       Subadviser acting pursuant to an investment advisory agreement
       satisfying the requirements of Section 15(a) of the Investment Company
       Act of 1940, as amended, and the rules thereunder, the Subadviser may,
       pursuant to delegated authority from the Adviser, vote proxies for
       Portfolio Holdings with regard to the Series or portion of the assets
       thereof for which the Subadviser is responsible. In such case, the
       Subadviser shall vote proxies for the Portfolio Holdings in accordance
       with Sections II, III and V of this Statement of Policy, provided,
       however, that the Subadviser may vote proxies in accordance with its own
       proxy voting policy/procedures ("Subadviser Procedures") if the
       following two conditions are satisfied: (1) the Adviser must have
       approved the Subadviser Procedures based upon the Adviser's
       determination that the Subadviser Procedures are reasonably designed to
       further the best economic interests of the affected Fund shareholders,
       and (2) the Subadviser Procedures are reviewed and approved annually by
       the Board of Trustees. The Subadviser will promptly notify the Adviser
       of any material changes to the Subadviser Procedures. The Adviser will
       periodically review the votes by the Subadviser for consistency with
       this Statement of Policy.

V. Conflicts of Interest

    A. The Fund and its Delegate(s) seek to avoid actual or perceived conflicts
       of interest in the voting of proxies for Portfolio Holdings between the
       interests of Fund shareholders, on one hand, and those of the Adviser,
       Delegate, principal underwriter, or any affiliated person of the Fund,
       on the other hand. The Board of Trustees may take into account a wide
       array of factors in determining whether such a conflict exists, whether
       such conflict is material in nature, and how to properly address or
       resolve the same.

    B. While each conflict situation varies based on the particular facts
       presented and the requirements of governing law, the Board of Trustees
       or its delegate(s) may take the following actions, among others, or
       otherwise give weight to the following factors, in addressing material
       conflicts of interest in voting (or directing Delegates to vote) proxies
       pertaining to Portfolio Holdings: (i) rely on the recommendations of an
       established, independent third party with qualifications to vote proxies
       such as Institutional Shareholder Services; (ii) vote pursuant to the
       recommendation of the proposing Delegate; (iii) abstaining; or
       (iv) where two or more Delegates provide conflicting requests, vote
       shares in proportion to the assets under management of the each
       proposing Delegate.

    C. The Adviser shall promptly notify the President of the Fund once any
       actual or potential conflict of interest exists and their
       recommendations for protecting the best interests of Fund's
       shareholders. No Adviser shall waive any conflict of interest or vote
       any conflicted proxies without the prior written approval of the Board
       of Trustees or the President of the Fund pursuant to section D of this
       Article.

    D. In the event that a determination, authorization or waiver under this
       Statement of Policy is requested at a time other than a regularly
       scheduled meeting of the Board of Trustees, the President of the Fund
       shall be empowered with the power and responsibility to interpret and

<PAGE>

       apply this Statement of Policy and provide a report of his or her
       determinations at the next following meeting of the Board of Trustees.

VI.Miscellaneous.

    A. A copy of the current Statement of Policy with Respect to Proxy Voting
       and the voting records for the Fund reconciling proxies with Portfolio
       Holdings and recording proxy voting guideline compliance and
       justification, shall be kept in an easily accessible place and available
       upon request.

    B. The Adviser shall present a report of any material deviations from this
       Statement of Policy at every regularly scheduled meeting of the Board of
       Trustees and shall provide such other reports as the Board of Trustees
       may request from time to time. The Adviser shall provide to the Fund or
       any shareholder a record of its effectuation of proxy voting pursuant to
       this Statement of Policy at such times and in such format or medium as
       the Fund shall reasonably request. The Adviser shall be solely
       responsible for complying with the disclosure and reporting requirements
       under applicable laws and regulations, including, without limitation,
       Rule 206(4)-6 under the Investment Advisers Act of 1940. The Adviser
       shall gather, collate and present information relating to the its proxy
       voting activities of those of each Delegate in such format and medium as
       the Fund shall determine from time to time in order for the Fund to
       discharge its disclosure and reporting obligations pursuant to Rule
       30b1-4 under the Investment Company Act of 1940, as amended.

    C. The Adviser shall pay all costs associated with proxy voting for
       Portfolio Holdings pursuant to this Statement of Policy and assisting
       the Fund in providing public notice of the manner in which such proxies
       were voted.

    D. The Adviser may delegate its responsibilities hereunder to a proxy
       committee established from time to time by the Adviser, as the case may
       be. In performing its duties hereunder, the Adviser, or any duly
       authorized committee, may engage the services of a research and/or
       voting adviser or agent, the cost of which shall be borne by such entity.

       This Statement of Policy shall be presented to the Board of Trustees
       annually for their amendment and/or approval.

ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

(A)(1) IDENTIFICATION OF PORTFOLIO MANAGER(S) OR MANAGEMENT TEAM MEMBERS AND
       DESCRIPTION OF ROLE OF PORTFOLIO MANAGER(S) OR MANAGEMENT TEAM MEMBERS

       Following are the names, titles and length of service of the person or
       persons employed by or associated with the registrant or an investment
       adviser of the registrant who are primarily responsible for the
       day-to-day management of the registrant's portfolio ("Portfolio
       Manager") and each Portfolio Manager's business experience during the
       past 5 years as of the date of filing of this report: Carlton Neel and
       David Dickerson have served as Co-Portfolio Managers of the Zweig Fund,
       Inc. (the "Fund"), a closed end fund managed by Zweig Advisers LLC
       ("ZA") since April 1, 2003. Mr. Neel and Mr. Dickerson are Senior Vice
       Presidents of ZA and Mr. Neel is

<PAGE>

       Senior Managing Director and Mr. Dickerson is Managing Director of
       Euclid Advisors, LLC ("Euclid"), an affiliate of Virtus Investment
       Advisers. Since April 1, 2003, they have also served as Co-Portfolio
       Managers for The Zweig Total Return Fund, Inc., a closed-end fund
       managed by ZA. From April 1, 2003 to June 9, 2008, Messrs. Neel and
       Dickerson were portfolio managers of the Virtus Market Neutral Fund.
       From 2008 through September, 2009 Messrs. Neel and Dickerson also
       assumed responsibility for asset allocation activities for three Virtus
       mutual fund of funds. Since 2008, Messrs. Neel and Dickerson have been
       portfolio managers of Virtus Alternatives Diversifier Fund, which is
       subadvised by Euclid. During March 2009, Messrs. Neel and Dickerson
       became Portfolio Managers for the Virtus Growth & Income Fund, Virtus
       Balanced Fund (equity portion), Virtus Tactical Allocation Fund (equity
       portion), Virtus Growth & Income Series and Virtus Strategic Allocation
       Series (equity portion), which are all subadvised by Euclid.

       Mr. Neel and Mr. Dickerson began their investment career at the Zweig
       Companies in 1995 and 1993, respectively.

(A)(2) OTHER ACCOUNTS MANAGED BY PORTFOLIO MANAGER(S) OR MANAGEMENT TEAM
       MEMBER AND POTENTIAL CONFLICTS OF INTEREST

       OTHER ACCOUNTS MANAGED BY PORTFOLIO MANAGER(S) OR MANAGEMENT TEAM MEMBER

       The following information is provided as of the fiscal year ended
       December 31, 2011.

       Mr. Neel and Mr. Dickerson are responsible for the day-to-day management
       of other portfolios of other accounts, namely The Zweig Fund, Inc., the
       Virtus Alternatives Diversifier Fund, Virtus Growth & Income Fund,
       Virtus Balanced Fund (equity portion), Virtus Tactical Allocation Fund
       (equity portion), Virtus Growth & Income Series and Virtus Strategic
       Allocation Series. For both Mr. Neel and Mr. Dickerson, the following
       are tables which provide the number of other accounts managed within the
       Type of Accounts and the Total Assets for each Type of Account. Also
       provided for each Type of Account is the number of accounts and the
       total assets in the accounts with respect to which the advisory fee is
       based on the performance of the account.

                                                         No. of    Total Assets
                                                        Accounts   in Accounts
Name of                                                  where        where
Portfolio                     Total                   Advisory Fee Advisory Fee
Manager or     Type of   No. of Accounts              is Based on  is Based on
Team Member    Accounts      Managed     Total Assets Performance  Performance
-----------   ---------- --------------- ------------ ------------ ------------
David         Registered
  Dickerson   Investment
              Companies:        7         $1,268 mil       0            0
              Other
              Pooled
              Investment
              Vehicles:         0         $        0       0            0
              Other
              Accounts:         0         $        0       0            0
Carlton Neel  Registered
              Investment
              Companies:        7         $1,268 mil       0            0
              Other
              Pooled
              Investment
              Vehicles:         0                  0       0            0
              Other
              Accounts:         0                  0       0            0

<PAGE>

       POTENTIAL CONFLICTS OF INTERESTS

       There may be certain inherent conflicts of interest that arise in
       connection with the Mr. Neel's and Mr. Dickerson's management of each
       Fund's investments and the investments of any other accounts they manage
       individually or together. Such conflicts could arise from the
       aggregation of orders for all accounts managed by a particular portfolio
       manager, the allocation of purchases across all such accounts, the
       allocation of IPOs and any soft dollar arrangements that the Adviser may
       have in place that could benefit the Funds and/or such other accounts.
       The Board of Trustees/Directors has adopted on behalf of the Funds
       policies and procedures designed to address any such conflicts of
       interest to ensure that all transactions are executed in the best
       interest of the Funds' shareholders. The Advisers and Sub adviser are
       required to certify their compliance with these procedures to the Board
       of Trustees on a quarterly basis. There have been no material compliance
       issues with respect to any of these policies and procedures during the
       Funds' most recent fiscal year ended December 31, 2011. Additionally,
       there are no material conflicts of interest between the investment
       strategy of a Fund and the investment strategy of other accounts managed
       by Mr. Neel and Mr. Dickerson since portfolio managers generally manage
       funds and other accounts having similar investment strategies.

(A)(3) COMPENSATION STRUCTURE OF PORTFOLIO MANAGER(S) OR MANAGEMENT TEAM
       MEMBERS

       For the most recently completed fiscal year ended December 31, 2011,
       following is a description of Mr. Neel's and Mr. Dickerson's
       compensation structure as portfolio managers of ZA.

       Virtus Investment Partners, Inc. and its affiliated investment
       management firms (collectively, "Virtus"), believe that the firm's
       compensation program is adequate and competitive to attract and retain
       high-caliber investment professionals. Investment professionals at
       Virtus receive a competitive base salary, an incentive bonus opportunity
       and a benefits package. Portfolio managers may also have the opportunity
       to participate in long-term equity programs, including potential awards
       of Virtus restricted stock units ("RSUs") with multi-year vesting,
       subject to Virtus board approval.

       Following is a more detailed description of the compensation structure
       of the Fund's portfolio managers.

       Base Salary. Each Portfolio Manager is paid a fixed base salary, which
       is designed to be competitive in light of the individual's experience
       and responsibilities. Base salary is determined using compensation
       survey results of investment industry compensation conducted by an
       independent third party in evaluating competitive market compensation
       for its investment management professionals.

       Incentive Bonus. Annual incentive payments are based on targeted
       compensation levels, adjusted based on profitability, investment
       performance factors and a subjective assessment of contribution to the
       team effort. The short-term incentive payment is generally paid in cash,
       but a portion may be made in Virtus RSUs. Individual payments are
       assessed using comparisons of actual investment performance compared
       with specific peer group or index measures. Performance of the funds
       managed is generally measured over one-, three- and five year periods
       and an individual manager's participation is based on the performance of
       each fund/account managed.

<PAGE>

       While portfolio manager compensation contains a performance component,
       this component is further adjusted to reward investment personnel for
       managing within the stated framework and for not taking unnecessary
       risks. This approach ensures that investment management personnel remain
       focused on managing and acquiring securities that correspond to a Fund's
       mandate and risk profile and are discouraged from taking on more risk
       and unnecessary exposure to chase performance for personal gain. We
       believe we have appropriate controls in place to handle any potential
       conflicts that may result from a substantial portion of portfolio
       manager compensation being tied to performance

       Other Benefits. Portfolio managers are also eligible to participate in
       broad-based plans offered generally to employees of Virtus and its
       affiliates, including 401(k), health and other employee benefit plans.

          In summary, the Investment Manager believes that overall compensation
          is both fair and competitive while rewarding employees for not taking
          unnecessary risks to chase personal performance.

(A)(4) DISCLOSURE OF SECURITIES OWNERSHIP

       For the most recently completed fiscal year ended December 31, 2011,
       beneficial ownership of shares of the Fund by Messrs. Dickerson and Neel
       are as follows. Beneficial ownership was determined in accordance with
       rule 16a-1(a)(2) under the Securities Exchange Act of 1934 (17 CFR
       240.161-1(a)(2)).

                     NAME OF PORTFOLIO  DOLLAR ($) RANGE OF
                        MANAGER OR          FUND SHARES
                       TEAM MEMBER      BENEFICIALLY OWNED
                     David Dickerson         $100,001-
                                             $ 500,000
                     Carlton Neel            $100,001-
                                             $ 500,000

(B) Not applicable.

ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
        COMPANY AND AFFILIATED PURCHASERS.

Not applicable.

ITEM 10.SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

There have been no material changes to the procedures by which the shareholders
may recommend nominees to the registrant's board of trustees, where those
changes were implemented after the registrant last provided disclosure in
response to the requirements of Item 407(c)(2)(iv) of Regulation S-

<PAGE>

K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR
240.14a-101)), or this Item. In addition, there are no newly identified
portfolio managers as of the date of this filing.

ITEM 11.CONTROLS AND PROCEDURES.

    (a)The registrant's principal executive and principal financial officers,
       or persons performing similar functions, have concluded that the
       registrant's disclosure controls and procedures (as defined in Rule
       30a-3(c) under the Investment Company Act of 1940, as amended (the "1940
       Act") (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days
       of the filing date of the report that includes the disclosure required
       by this paragraph, based on their evaluation of these controls and
       procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR
       270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities
       Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

    (b)There were no changes in the registrant's internal control over
       financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17
       CFR 270.30a-3(d)) that occurred during the registrant's second fiscal
       quarter of the period covered by this report that has materially
       affected, or is reasonably likely to materially affect, the registrant's
       internal control over financial reporting.

ITEM 12.EXHIBITS.

    (a)(1) Code of ethics, or any amendment thereto, that is the subject of
           disclosure required by Item 2 is attached hereto.

    (a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and
           Section 302 of the Sarbanes-Oxley Act of 2002 are attached
           hereto.

    (a)(3) Not applicable.

    (b)    Certifications pursuant to Rule 30a-2(b) under the 1940 Act and
           Section 906 of the Sarbanes-Oxley Act of 2002 are attached
           hereto.

    (c)    A copy of the Registrant's notice to shareholders pursuant to
           Rule 19(a) under the 1940 Act which accompanied distributions
           paid during the period ended December 31, 2011 pursuant to the
           Registrant's Managed Distribution Plan are filed herewith as
           required by the terms of the Registrant's exemptive order issued
           on November 17, 2008.

<PAGE>

                                  SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to
be signed on its behalf by the undersigned, thereunto duly authorized.

                           The Zweig Total Return Fund, Inc.
(registrant)               ---------------------

By (Signature and Title)*    /s/ George R. Aylward
                           ---------------------
                             George R. Aylward, President
                             (principal executive
                             officer)

Date  March 8, 2012

Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.

By (Signature and Title)*  /s/ George R. Aylward
                           ---------------------
                           George R. Aylward, President
                           (principal executive
                           officer)

Date  March 8, 2012

By (Signature and Title)*  /s/ W. Patrick Bradley
                           ---------------------
                           W. Patrick Bradley, Treasurer
                           (principal financial
                           officer)

Date  March 8, 2012

/*/ Print the name and title of each signing officer under his or her signature.
</TEXT>
</DOCUMENT>
<DOCUMENT>
<TYPE>EX-99.CODE ETH
<SEQUENCE>2
<FILENAME>d279099dex99codeeth.txt
<DESCRIPTION>CODE OF ETHICS
<TEXT>
<PAGE>

                                                                 EX-99.CODE ETH

                             THE ZWEIG FUND, INC.
                       THE ZWEIG TOTAL RETURN FUND, INC.
                       SENIOR MANAGEMENT CODE OF ETHICS

I  Background

   Section 406 of the Sarbanes-Oxley Act of 2002 requires that each registered
investment company disclose whether or not it has adopted a code of ethics that
applies to its principal executive officer, principal financial officer,
principal accounting officer or controller, or persons performing similar
functions, regardless of whether these individuals are employed by the fund or
a third party (collectively, "Senior Management"). If a fund has not adopted
such a code of ethics, it must explain why it has not done so in certain
regulatory filings.

   Pursuant to various management agreements between The Zweig Fund, Inc. and
The Zweig Total Return Fund, Inc. (the "Funds") and Phoenix subsidiaries,
Phoenix employees currently serve as Senior Management to the Funds. As
employees of Phoenix they are subject to the Phoenix Code of Ethics (the
"PCE"). The PCE complies with the Sarbanes-Oxley Act of 2002 and other relevant
requirements. The Boards of Directors of the Funds, on October 1, 2003, adopted
the Phoenix Code of Ethics for the Senior Management of the Funds.

II Board Resolution adopted on October 1, 2003

   WHEREAS, that Section 406 of the Sarbanes-Oxley Act of 2002 requires that
each registered investment company publicly disclose whether or not it has
adopted a code of ethics that applies to its principal executive officer,
principal financial officer, principal accounting officer or controller, or
persons performing similar functions, regardless of whether these individuals
are employed by the fund or a third party (collectively, "Senior Management");
and

   WHEREAS, the Board of Directors has reviewed the Phoenix Code of Conduct, as
presented at this meeting, as the same may be amended from time to time (the
"Senior Management Code") and has determined the same to provide written
standards that are reasonably designed to deter wrongdoing and to promote the
types of conduct by Senior Management that are contemplated by regulations
promulgated pursuant to the Sarbanes-Oxley Act of 2002; now, therefore, be it

   RESOLVED, that the Fund does hereby approve and adopt the Senior Management
Code as the written code of ethics that applies to its principal executive
officer, principal financial officer, principal accounting officer or
controller, or persons performing similar functions, regardless of whether
these individuals are employed by the Fund or a third party;

   FURTHER RESOLVED, the Chairman of the Fund, with the advice of counsel and
subject to the terms and conditions specified in the Phoenix Code of Conduct,
shall be appointed and directed to oversee the consideration and granting of
any waivers of the Senior Management Code with respect to Senior Management
other than the Chairman provided however that the Chairman shall provide notice
of any such waiver to the Board of Directors at the next succeeding regularly
scheduled meeting of the Board of Directors and provided further that any
requested waivers involving the Chairman shall be presented to the Board for
approval; and

   FURTHER RESOLVED, that the Chief Compliance Officer of The Phoenix
Companies, Inc. be, and she or he hereby is, authorized and directed to
implement, and oversee compliance with, and administration of the Senior
Management Code and to take such further action and

<PAGE>

deliver and execute any and all instruments, certificates and documents as she
or he may deem necessary or appropriate, with the advice of counsel, to fully
carry out the purposes and intent of the Senior Management Code.

Commitment to Shareholders

Phoenix is committed to providing shareholder value. One way we do this is by
observing the highest standards of legal and ethical conduct in all of our
business dealings.

Conflicts of Interest

Phoenix expects each of its employees and directors to maintain the highest
moral and ethical standards and to avoid conflicts of interest in conducting
business activities. A "conflict of interest" occurs when an individual's
private interest interferes, or even appears to interfere, in any way with the
interests of the Company as a whole. A conflict situation can arise when an
employee or director takes actions or has interests that may make it difficult
to perform his or her work for the Company objectively and effectively.
Conflicts of interest also arise when an employee or director, or a member of
his or her family, receives improper personal benefits as a result of his or
her position in the Company.

An employee requested by Phoenix to serve on the board of directors of another
company owes a fiduciary duty to Phoenix as well as to the company on whose
board of directors he or she serves. Where conflicts of interest arise between
the interests of Phoenix and the other company, the employee should consult
Phoenix's General Counsel for guidance. Moreover, no employee requested by
Phoenix to serve on the board of directors of another company may accept fees
or other compensation for board service. In the event the company for which an
employee serves as a director requires directors to receive fees, any
remuneration received by the employee must be donated to a charitable
organization. The Company will offset any tax consequences incurred by the
employee.

All conflicts of interest must be disclosed in writing to the Chief Compliance
Officer. Employees and directors are required to file a Conflict of Interest
Statement annually. Any conflicts of interest that arise following completion
of the Conflict of Interest Statement must be promptly reported to the Chief
Compliance Officer in writing.

Corporate Opportunities

Employees and directors owe a duty to the Company to advance its legitimate
interests when the opportunity to do so arises. Consequently, employees and
directors are prohibited from engaging in the following activities:

..   taking for themselves personal opportunities that are discovered through
    the use of corporate property, information or position;

..   using Company property, information or position for personal gain; and

..   competing with the Company.

Insider Trading and Personal Trading

Federal securities laws and Company policy prohibit the purchase or sale of
securities while in possession of material non-public information and prohibit
passing such information on to others. No employee or director may buy or sell
Phoenix securities if he or she has material non-public information. This
restriction also applies to an employee's or director's spouse, other adults
living in the employee's or director's household, minor children and persons
for whom the employee exercises investment authority. Employees, directors and
their family members also must avoid passing non-public information on to third
parties.

<PAGE>

Information is "material" if a reasonable investor would probably consider the
information important in deciding whether to buy, hold or sell securities of
the company to which the information relates.

Directors, officers and their family members1 are also subject to certain
restrictions under New York Insurance Law governing acquisition of Phoenix
shares. Until June 25, 2006, directors and officers, whether acting directly or
indirectly, may only acquire, or offer to acquire, such shares: (i) through a
Phoenix plan; or (ii) through a registered broker or dealer at quoted prices on
the date of purchase. Family members may only acquire such shares through the
latter method.

All directors, all employees with a title of Vice President or higher, plus
certain other employees whose positions place them in regular contact with
non-public information, and certain family members of all of them are subject
to a further restriction as well: these individuals may only buy or sell
Phoenix securities during "window" periods. You have been or will be notified:
(i) if these restrictions apply to you; and (ii) when periods begin and end.

In addition, officers with a title of Executive Vice President or higher,
certain other individuals who have been notified by the Corporate Secretary,
and certain family members of each of them, must pre-clear all transactions in
Phoenix securities through our Corporate Secretary. Further, they must promptly
report such transactions to the Securities and Exchange Commission ("SEC").

No employee or director may buy or sell securities of another company with the
knowledge that those securities are being considered for purchase or sale by
Phoenix, any of its subsidiaries or any of the Company's advisory accounts. In
the case of any company in which Phoenix owns 10 percent or more of the
outstanding equity, no employee (nor certain family members) may make any
personal investment without prior approval from the Law Department.

Certain employees who are involved with the Company's investment adviser and
broker-dealer operations may be required to secure pre-clearance of and/or
report all personal securities transactions by these individuals. In addition,
the Company reserves the right to require duplicate confirmations, quarterly
transaction reports and prior clearance for any personal securities
transactions by those individuals. If you have any question as to whether your
position requires pre-clearance or reporting, you should contact the compliance
officer for your business area (investment adviser or broker-dealer) or the
Corporate Compliance Department.

Footnote 1 An officer's or director's child, stepchild, grandchild, parent,
step-parent, grandparent, spouse, or sibling, including in-laws and adoptive
relationships.

Market Timing

Company policy prohibits employees from engaging in excessive trading or market
timing activities with respect to any mutual fund, regardless of whether such
mutual fund is affiliated with the Company. This prohibition does not apply to
money market funds or other funds designed to permit short term investment or
to non-volitional investment vehicles such as 401(k) plans, automatic
reinvestment programs, or asset allocation programs.

Confidentiality

Directors and employees are required to maintain the confidentiality of
information entrusted to them in the course of their work for the Company.
Disclosure of confidential information is restricted to authorized persons or
situations in which disclosure is legally mandated. Confidential information
includes all non-public information about the Company or persons with which it
conducts business (such as customers, vendors and potential investment targets)
including, but not limited to: internal operating procedures; investment
strategies; sales data and customer lists; financial plans; projections; and
clients' personal information. (See also Privacy and Confidential Personal
Information below). A director's or employee's obligation to protect
confidential information continues even after termination of his or her
position with the Company.

<PAGE>

Protection and Use of Company Property and Assets

Employees have access to Company property to assist them in effectively
carrying out their duties to the Company. Company property should only be used
for legitimate purposes. All employees should protect the Company's property
and ensure its efficient use. Theft, fraud, carelessness and waste have a
direct impact on the Company's profitability.

Examples of Company property include proprietary and non-public information,
equipment, facilities, vehicles, funds and other assets. Improper use or abuse
of Company property is prohibited. Expenses to be paid for by the Company, via
reimbursement or direct payment, are limited to those expenses that are
authorized and related to legitimate business activities.

Contract Review

The following contracts must be reviewed by the Law Department prior to being
signed, amended or terminated early:

..   Contracts that involve an expenditure or value of greater than $25,000;

..   Contracts that pose significant legal obligations on Phoenix (such as an
    obligation not to solicit business, not to hire, or to provide
    indemnification); and

..   Contracts that involve employment or consulting services.

In addition, contracts that could have a significant impact on Phoenix's
financial results or reports must be reviewed by Corporate Finance for business
risks and financial implications.

Corporate Disclosures

As a public company, Phoenix is required to publicly disclose certain
information on a regular basis. This includes financial information and other
material information about the Company. It is imperative that such information
be disseminated in a consistent manner and in accordance with SEC disclosure
requirements and Company policy. In order to ensure that information released
is accurate and properly disseminated, only certain individuals are authorized
to speak on behalf of the Company. Employees are prohibited from speaking with
rating agencies, analysts, investors or the press without obtaining prior
authorization from the President and Chief Executive Officer. Employees
receiving any such inquiries should refer such individuals to the appropriate
area for response:

..   Members of the Press - to the senior officer, Corporate Communications;

..   Rating Agencies - to any officer in the Rating Agency Relations unit; and

..   Securities Analysts and Investors - to any officer in the Investor
    Relations unit.

In order to enable the Company to comply with applicable law, Company policy
prohibits directors and employees from publicly disclosing any non-public
information about the Company's financial performance, other than at times and
through methods approved by the Company's President or Chief Financial Officer.
Employees are also prohibited from commenting on the Company's stock
performance.

Accuracy and Retention of Company Records

The integrity of Phoenix's records is vital to the Company's continued success.
The falsification, misuse or inappropriate alteration of Company documents is
strictly prohibited. Phoenix's business transactions must be accurately
recorded on the Company's books and records in accordance with generally
accepted accounting principles, any other required accounting basis and
established Company policy. Financial information must fairly represent all
relevant information.

The retention and destruction of Company records must follow established
Company policies and applicable legal and regulatory requirements.

<PAGE>

Commitment to Customers

Phoenix upholds its commitment to our customers by conducting our business
fairly and honestly and maintaining the highest ethical standards in all
dealings with customers.

Safeguarding Customer Assets

Employees have an obligation to safeguard the assets of our customers at all
times, and to protect them from all forms of misuse. Misappropriation of funds
can include theft, fraud, embezzlement or unauthorized borrowing. Employees
must not, under any circumstances, misappropriate funds, property or other
assets, or assist another individual in doing so.

Ethical Market Conduct

The Company expects all who are involved in the sales and marketing of its
products and services to abide by the following principles:

..   conduct business according to high standards of honesty and fairness;

..   provide competent and customer-focused sales and service;

..   engage in active and fair competition;

..   provide clear, honest and fair advertising and sales materials;

..   handle customer complaints and disputes in an appropriate and timely
    manner; and

..   monitor sales and service procedures to help ensure compliance with ethical
    market conduct.

Privacy and Confidential Personal Information

It is the responsibility of every employee to maintain the privacy of
confidential personal information. Confidential personal information includes
non-public financial and health information obtained from consumers and
customers in connection with providing a financial product or service. Specific
examples of confidential personal information include information concerning
assets, income, businesses, estates, financial plans or health.

The misuse of confidential personal information could subject the Company and
its employees to civil liability or criminal penalties. Before releasing
confidential information to anyone, employees must make certain that releasing
it is permitted under the Company's policies or authorized in writing by the
person to whom it relates.

Customer Complaints

The Company is committed to fairly and expeditiously handling all customer
complaints. All complaints must be handled and reported in accordance with
established corporate policies as well as procedures established for the
applicable business unit or affiliate. To facilitate resolution of each
customer complaint, as well as to facilitate any related regulatory inquiries,
all customer complaints and related communications are centrally retained.

Fraud

The Company strongly supports all efforts to detect and prevent fraud. It
believes that only through aggressive action to combat fraud can the Company
continue to meet its fundamental obligations to its stockholders and customers.
When there is reason to believe that the Company has been the target of fraud
or attempted fraud, it will aggressively work with the appropriate law
enforcement officials to seek prosecution and conviction of the responsible
individual(s). Any employee who is aware or suspects that the Company has been
the target of fraud or attempted fraud should report it to the Corporate Audit
Department immediately.

<PAGE>

Insurance Anti-Fraud Plan

In accordance with insurance regulatory requirements, the Company has a
comprehensive insurance anti-fraud plan that is designed to:

..   prevent insurance fraud, including internal fraud involving the Company's
    officers, employees or agents, fraud resulting from misrepresentations on
    applications for insurance, and claims fraud;

..   report insurance fraud to appropriate law enforcement and regulatory
    authorities;

..   encourage cooperation in the prosecution of insurance fraud cases; and

..   aggressively pursue recovery of all sums improperly paid by the Company as
    a result of fraud.

Commitment to Corporate Citizenship

Phoenix is committed to being a responsible corporate citizen, which includes
complying with applicable laws and regulations of the jurisdictions in which we
operate as well as engaging in fair competition in the marketplace.

Complying with Legal and Regulatory Requirements

The Company expects all employees to conduct business in accordance with all
applicable laws and regulations. The laws and regulations related to the
financial services industry are complex, thus placing a duty on each employee
to take all reasonable steps to ensure his or her actions are in compliance.
Compliance with the law does not, however, comprise our entire ethical
responsibility. Rather, it is a minimum standard for performance of our duties.
(See also the provisions below on Commitment to Ethics and Compliance).

Accounting, Internal Accounting Controls and Auditing Matters

The Company treats complaints about accounting, internal accounting controls,
or auditing matters seriously and expeditiously. Employees have the opportunity
to submit confidential and anonymous complaints about accounting or auditing
matters for review by representatives of Phoenix, and if appropriate, the Audit
Committee of the Board of Directors. These complaints will be handled in a
manner that protects the confidentiality and anonymity of the employee when so
requested by the employee. (See the Toll-Free Help Line section of this Code,
on page 11).

No employee will be terminated or otherwise retaliated against for submitting a
complaint under this procedure if he or she reasonably believes that the
complaint may involve a violation of federal securities or anti-fraud laws.

Fair Dealing

Each employee must deal fairly with the Company's customers, suppliers,
competitors and employees. No employee should take unfair advantage of anyone
through manipulation, concealment, abuse of privileged information,
misrepresentation of material facts, or other unfair-dealing practice.

Antitrust

The Company is committed to preserving a free and competitive marketplace and
will not engage in any understandings or agreements with any competitor that
could result in a restraint of trade. Employees must avoid engaging in any
conduct that violates the antitrust laws, such as agreements with competitors
regarding prices, terms of sale, division of markets and allocations of
customers. Discussions with competitors related to market share, projected
sales for any specific product or service, revenues and expenses, production
schedules, unannounced products and services, pricing or marketing strategies
are prohibited.

The antitrust laws and, thus, the above prohibitions, also apply to informal
contacts with competitors, such as encounters at trade shows or meetings of
professional organizations. Every employee has an obligation to avoid
situations that could result in a violation of the antitrust laws.

Anti-Money Laundering

<PAGE>

It is the responsibility of every employee to protect the Company from
exploitation by individuals engaged in money laundering activities.
Accordingly, affected employees must:

..   become familiar with the anti-money laundering laws and their requirements
    as applied to the Company; and

..   learn and fully comply with the Company's anti-money laundering policies
    and procedures.

Failure to comply with applicable laws or the Company's policies may result in
significant criminal and civil penalties for the Company as well as for those
individuals involved. Furthermore, even association with money laundering
activity could subject both the Company and its employees to civil and criminal
penalties.

Lobbying and Political Contributions

Lobbying is generally defined as communicating with a public official, or a
member of his or her staff, in the legislative or executive branch of
government, for the purpose of influencing legislative or administrative
action. Lobbying is highly regulated and lobbyists are required to be
registered and to report their activities. No employee may engage in lobbying
on behalf of Phoenix without prior permission of the Law Department. The giving
of gifts to local public officials and members of their staff, whether in the
form of meals, tickets to events or otherwise, is strictly regulated by most
states and by the federal government. Special restrictions also apply to
employees who provide investment management services to public entities.

Employees must be careful to distinguish between personal and corporate
political activities. Unless specifically requested by the Company to
communicate on its behalf on a particular issue, you should identify
communications with legislators as expressing your own personal beliefs and not
those of Phoenix. The use of Phoenix stationery for any personal political
communication is prohibited. Any employee wishing to be a candidate for
elective office should consult with his or her supervisor and department head
in advance.

Questions regarding the Company's position on proposed legislation or
regulations should be directed to Government Relations or the Law Department.

Foreign Corrupt Practices Act

The Foreign Corrupt Practices Act prohibits the payment or authorization of the
payment of any money, or the giving of value, directly or indirectly, to a
foreign official for the purpose of:

..   influencing any act or decision of the foreign official; or

..   inducing the foreign official to use his influence to assist in obtaining
    business for or directing business to any person.

A "foreign official" is any person acting in an official capacity on behalf of
a foreign government, agency, department or instrumentality. Also included
under the term "foreign official" are foreign political parties, officials of
political parties and candidates for foreign political office.

The Foreign Corrupt Practices Act applies to all directors, employees and
agents of the Company. Violation of the act can result in both fines and
imprisonment.

Copyrights, Trademarks and Patents

Employees must avoid infringing upon the intellectual property rights of
others. Intellectual property includes copyrights, trademarks, service marks,
patents and trade secrets. Improper use includes copying, distributing or
modifying third party copyrighted materials without permission. Infringement
may result in criminal as well as civil liabilities for Phoenix and its
employees.

The Company has an agreement with the Copyright Clearance Center that gives a
license to Phoenix employees to make photocopies of many publications for
business purposes. Questions about the types of copying that are covered by the
agreement should be directed to the Corporate Compliance Department.

<PAGE>

Commitment to Employees

Phoenix's employees are our most important asset and we are committed to
fostering a work environment in which employees have the opportunity to grow,
contribute and participate free from discrimination.

Equal Opportunity

The Company employs and promotes on the basis of merit and achievement without
regard to age, race, gender, color, religion, national origin, ancestry, sexual
orientation, marital status, or disability. This policy applies to every phase
of the employment process and every aspect of the employment relationship:
recruitment, hiring, training, promotions, transfers, terminations, benefits,
compensation and participation in Company-sponsored educational, social and
recreational programs.

Sexual Harassment

The Company prohibits sexual harassment in the workplace. Sexual harassment
includes: unwelcome sexual advances, requests for sexual favors and other
verbal, visual or physical conduct when:

..   submission is made either explicitly or implicitly a term or condition of a
    person's employment;

..   submission to or rejection of inappropriate conduct by an employee is used
    as the basis for employment decisions affecting the employee; or

..   the conduct has the purpose or effect of unreasonably interfering with an
    individual's work performance or creating an intimidating, hostile or
    offensive working environment.

Sexual harassment also includes: unwelcome sexual flirtations and advances;
verbal abuse of a sexual nature; inappropriate touching; graphic or verbal
comments about an individual's body; displaying in the workplace a sexually
suggestive object or picture; and sexually explicit or offensive jokes.

Employment of Relatives

Except in the limited circumstances described in this section, the Company does
not permit the employment of a director's or employee's "relative", which term
includes a spouse, domestic partner, child, parent, sibling, step-parent,
step-child, step-sibling, grandparent, grandchild, aunt, uncle, nephew, niece,
or first cousin including in-laws. Specifically, the Company prohibits the
hiring of a "relative" of any director or officer, or of any employee working
in the Corporate Audit, Corporate Compliance, Human Resources or Law
Departments. Although this policy does not require the termination of any
employee who becomes related to a person described in the preceding sentence
through a post-hiring event such as marriage or a promotion, any employee who
becomes "related" through such an occurrence should promptly advise his or her
supervisor. The Company will then take steps to assure that no employee reports
to or supervises a relative and that related employees do not work in the same
department or report to the same supervisor. The employment of a "relative" of
any officer at the level of Executive Vice President or higher will not be
permitted or accommodated even if the relationship results from a post-hiring
event.

Workplace Safety

The Company is committed to maintaining a work environment that is safe and
healthy for its employees and others. All job-related injuries or illnesses
should be reported immediately to your supervisor or Human Resources
representative. Questions concerning health and safety matters should also be
referred to one of them.

The Company does not tolerate acts of violence or threats of violence against
employees or Company property. Possession of firearms or other weapons anywhere
on Company property or while conducting Company business is prohibited. Any
situation or concern involving violent

<PAGE>

behavior or the threat of violence should be immediately reported to Security
or Human Resources.

Drugs and Alcohol

The sale, purchase, use, possession or transfer of narcotics or other legally
controlled substances by employees while on Company premises or on Company
business (other than use of prescription drugs in accordance with a physician's
orders) is prohibited. Employees attending functions on behalf of the Company
where alcohol is served are expected to use good judgment and avoid consuming
excessive amounts of alcoholic beverages.

Felony Convictions

Federal law prohibits the employment by an insurance company, without the
consent of the appropriate state insurance department, of any person convicted
of a felony involving dishonesty or breach of trust. To assist the Company in
fulfilling its responsibilities under this law, employees are required to
disclose any felony conviction to the Company at the time of application for
employment. Any employee who is subsequently convicted of a felony must report
this fact to the Company immediately.

Employee Ownership of Phoenix Stock

Employees and directors are subject to various requirements governing their
ownership of Company stock, including federal securities law and New York
insurance law. Please refer to the Insider Trading and Personal Trading section
of this Code (at page 1) for more information.

Commitment to Ethics and Compliance

A strong commitment to business ethics and compliance is the foundation of a
successful organization. Every employee is expected to carry out the Company's
business activities in an ethical manner and in a fashion consistent with
applicable laws, regulations, policies and guidelines.

Ethical Decision Making

Phoenix's success is dependent on each of us applying the highest ethical
standards to whatever we do on behalf of the Company. Employees should consider
the following questions before making decisions.

..   Is my action consistent with approved Company practices?

..   Is my action consistent with the Company's values?

..   Does my action give the appearance of impropriety?

..   Can I, in good conscience, defend my action to my supervisor, other
    employees and the general public?

..   Does my action meet my personal code of ethical behavior?

..   Does my action conform to the spirit of these and all other applicable
    guidelines?

Monitoring Code Compliance

The Corporate Compliance and the Corporate Audit Departments are responsible
for monitoring the compliance activities of all areas of the Company and for
ensuring that this Code of Conduct is being followed. Compliance will be
monitored by periodic audits where appropriate. Additionally, the Company's
Chief Compliance Officer must report annually to the Audit Committee of the
Board of Directors on the level of compliance with our requirement that each
employee and director complete the Code of Conduct Acknowledgement and the
Conflict of Interest Declaration. Waivers of violations of the Code by
directors or by officers with a title of Senior Vice President or higher may
only be granted by the Audit Committee or the Board. Such waivers must be
promptly reported to shareholders. All other waivers, which may be granted by

<PAGE>

the Chief Compliance Officer, the President or any Executive Vice President,
shall be reported to the Audit Committee but need not be reported to the
shareholders.

Toll-Free Help Line

Phoenix maintains a confidential, 24-hour, toll-free telephone help line for
employees for the purpose of requesting assistance concerning, or reporting
violations of, this Code or reporting complaints about accounting or auditing
matters. The number is: 1-800-813-8180.

Assistance is available during regular business hours. If you call outside of
regular business hours, you may leave a confidential message and your call will
be returned the following business day. Special security measures have been
taken with this help line to ensure confidentiality. If you wish to remain
anonymous, you may request a case identification number and refer to that
number in subsequent phone calls.

Obligation to Report

Employees are obligated to report suspected violations of this Code to their
department head, the Chief Compliance Officer or the Law Department.

Whistleblower Protection

No retaliation or retribution of any kind will be taken against an employee
who, in good faith, reports a suspected violation of this Code.

Investigation

All allegations of suspected violations will be promptly investigated and
appropriate action will be taken. Investigations will be conducted in an
objective, professional manner. The specifics of an investigation, including
the identity of the individual reporting the information, will be kept
confidential except as such disclosure is necessary to fully investigate the
allegations, facilitate resolution and/or report the results to appropriate
authorities.

Disclosure to Government Authorities

Certain actions and omissions prohibited by this Code may also violate criminal
laws and may subject violators to criminal prosecution. The Law Department will
review the results of investigations that indicate potential violations of
criminal law and recommend to the appropriate senior officers whether
disclosure to appropriate enforcement authorities is warranted.

Disciplinary Action for Violations

Failure to adhere to this Code, other Company policies or applicable laws or
government regulations may result in disciplinary action up to and including
termination of employment. Situations in which disciplinary action may be
appropriate include the following, insofar as they relate to conduct of the
Company's business:

..   authorization of or participation in activities that violate the law,
    government regulations, this Code or other Company policies;

..   retaliation, direct or indirect, or encouragement of others to retaliate
    against a Company employee who reports a suspected violation;

..   failure to cooperate with an investigation of suspected violations,
    including interfering with or obstructing an investigation; and

..   failure to report a suspected violation of the law, government regulations,
    this Code or other Company policies.
</TEXT>
</DOCUMENT>
<DOCUMENT>
<TYPE>EX-99.CERT
<SEQUENCE>3
<FILENAME>d279099dex99cert.txt
<DESCRIPTION>CERTIFICATIONS PURSUANT TO SECTION 302
<TEXT>
<PAGE>

 CERTIFICATION PURSUANT TO RULE 30A-2(A) UNDER THE 1940 ACT AND SECTION 302 OF
                                      THE
                              SARBANES-OXLEY ACT

I, George R. Aylward, certify that:

1. I have reviewed this report on Form N-CSR of The Zweig Total Return Fund,
   Inc.;

2. Based on my knowledge, this report does not contain any untrue statement of
   a material fact or omit to state a material fact necessary to make the
   statements made, in light of the circumstances under which such statements
   were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial
   information included in this report, fairly present in all material respects
   the financial condition, results of operations, changes in net assets, and
   cash flows (if the financial statements are required to include a statement
   of cash flows) of the registrant as of, and for, the periods presented in
   this report;

4. The registrant's other certifying officer(s) and I are responsible for
   establishing and maintaining disclosure controls and procedures (as defined
   in Rule 30a-3(c) under the Investment Company Act of 1940) and internal
   control over financial reporting (as defined in Rule 30a-3(d) under the
   Investment Company Act of 1940) for the registrant and have:

    (a)Designed such disclosure controls and procedures, or caused such
       disclosure controls and procedures to be designed under our supervision,
       to ensure that material information relating to the registrant,
       including its consolidated subsidiaries, is made known to us by others
       within those entities, particularly during the period in which this
       report is being prepared;

    (b)Designed such internal control over financial reporting, or caused such
       internal control over financial reporting to be designed under our
       supervision, to provide reasonable assurance regarding the reliability
       of financial reporting and the preparation of financial statements for
       external purposes in accordance with generally accepted accounting
       principles;

    (c)Evaluated the effectiveness of the registrant's disclosure controls and
       procedures and presented in this report our conclusions about the
       effectiveness of the disclosure controls and procedures, as of a date
       within 90 days prior to the filing date of this report based on such
       evaluation; and

<PAGE>

    (d)Disclosed in this report any change in the registrant's internal control
       over financial reporting that occurred during the second fiscal quarter
       of the period covered by this report that has materially affected, or is
       reasonably likely to materially affect, the registrant's internal
       control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the
   registrant's auditors and the audit committee of the registrant's board of
   directors (or persons performing the equivalent functions):

    (a)All significant deficiencies and material weaknesses in the design or
       operation of internal control over financial reporting which are
       reasonably likely to adversely affect the registrant's ability to
       record, process, summarize, and report financial information; and

    (b)Any fraud, whether or not material, that involves management or other
       employees who have a significant role in the registrant's internal
       control over financial reporting.

Date:  March 8, 2012                            /s/ George R. Aylward
                                                ------------------------------
                                                George R. Aylward, President
                                                (principal executive officer)

<PAGE>

 CERTIFICATION PURSUANT TO RULE 30A-2(A) UNDER THE 1940 ACT AND SECTION 302 OF
                                      THE
                              SARBANES-OXLEY ACT

I, W. Patrick Bradley, certify that:

1. I have reviewed this report on Form N-CSR of The Zweig Total Return Fund,
   Inc.;

2. Based on my knowledge, this report does not contain any untrue statement of
   a material fact or omit to state a material fact necessary to make the
   statements made, in light of the circumstances under which such statements
   were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial
   information included in this report, fairly present in all material respects
   the financial condition, results of operations, changes in net assets, and
   cash flows (if the financial statements are required to include a statement
   of cash flows) of the registrant as of, and for, the periods presented in
   this report;

4. The registrant's other certifying officer(s) and I are responsible for
   establishing and maintaining disclosure controls and procedures (as defined
   in Rule 30a-3(c) under the Investment Company Act of 1940) and internal
   control over financial reporting (as defined in Rule 30a-3(d) under the
   Investment Company Act of 1940) for the registrant and have:

    (a)Designed such disclosure controls and procedures, or caused such
       disclosure controls and procedures to be designed under our supervision,
       to ensure that material information relating to the registrant,
       including its consolidated subsidiaries, is made known to us by others
       within those entities, particularly during the period in which this
       report is being prepared;

    (b)Designed such internal control over financial reporting, or caused such
       internal control over financial reporting to be designed under our
       supervision, to provide reasonable assurance regarding the reliability
       of financial reporting and the preparation of financial statements for
       external purposes in accordance with generally accepted accounting
       principles;

    (c)Evaluated the effectiveness of the registrant's disclosure controls and
       procedures and presented in this report our conclusions about the
       effectiveness of the disclosure controls and procedures, as of a date
       within 90 days prior to the filing date of this report based on such
       evaluation; and

<PAGE>

    (d)Disclosed in this report any change in the registrant's internal control
       over financial reporting that occurred during the second fiscal quarter
       of the period covered by this report that has materially affected, or is
       reasonably likely to materially affect, the registrant's internal
       control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the
   registrant's auditors and the audit committee of the registrant's board of
   directors (or persons performing the equivalent functions):

    (a)All significant deficiencies and material weaknesses in the design or
       operation of internal control over financial reporting which are
       reasonably likely to adversely affect the registrant's ability to
       record, process, summarize, and report financial information; and

    (b)Any fraud, whether or not material, that involves management or other
       employees who have a significant role in the registrant's internal
       control over financial reporting.

Date:  March 8, 2012                 /s/ W. Patrick Bradley
                                     ------------------------------
                                     W. Patrick Bradley, Treasurer
                                     (principal financial officer)
</TEXT>
</DOCUMENT>
<DOCUMENT>
<TYPE>EX-99.906CERT
<SEQUENCE>4
<FILENAME>d279099dex99906cert.txt
<DESCRIPTION>CERTIFICATIONS PURSUANT TO SECTION 906
<TEXT>
<PAGE>

 CERTIFICATION PURSUANT TO RULE 30A-2(B) UNDER THE 1940 ACT AND SECTION 906 OF
                                      THE
                              SARBANES-OXLEY ACT

I, George R. Aylward, President of The Zweig Total Return Fund, Inc. (the
"Registrant"), certify that:

    1. The Form N-CSR of the Registrant containing the financial statements
       (the "Report") fully complies with the requirements of Section 13(a) or
       15(d) of the Securities Exchange Act of 1934, as amended; and

    2. The information contained in the Report fairly presents, in all material
       respects, the financial condition and results of operations of the
       Registrant.

Date:  March 8, 2012                 /s/ George R. Aylward
                                     ------------------------------
                                     George R. Aylward, President
                                     (principal executive officer)

I, W. Patrick Bradley, Treasurer of The Zweig Total Return Fund, Inc. (the
"Registrant"), certify that:

    1. The Form N-CSR of the Registrant containing the financial statements
       (the "Report") fully complies with the requirements of Section 13(a) or
       15(d) of the Securities Exchange Act of 1934, as amended; and

    2. The information contained in the Report fairly presents, in all material
       respects, the financial condition and results of operations of the
       Registrant.

Date:  March 8, 2012                 /s/ W. Patrick Bradley
                                     ------------------------------
                                     W. Patrick Bradley, Treasurer
                                     (principal financial officer)
</TEXT>
</DOCUMENT>
<DOCUMENT>
<TYPE>EX-99.C
<SEQUENCE>5
<FILENAME>d279099dex99c.txt
<DESCRIPTION>REGISTRANTS NOTICE TO SHAREHOLDERS PURSUANT TO RULE 19 (A)
<TEXT>
<PAGE>

[LOGO OF ZWEIG RETURN FUND]

FOR IMMEDIATE RELEASE

FOR FURTHER INFORMATION:
Zweig Funds Shareholder Services
(800) 272-2700
zweig@virtus.com

THE ZWEIG TOTAL RETURN FUND, INC. DISCLOSES SOURCES OF DISTRIBUTION - SECTION
19A NOTICE

NEW YORK, July 7, 2011 - The Board of Directors of The Zweig Total Return Fund,
Inc. (NYSE: ZTR) declared a distribution of $0.032 per share to shareholders of
record on July 11, 2011, payable July 18, 2011. The Fund has a Managed
Distribution Plan to pay 10 percent of the Fund's net asset value ("NAV") on an
annualized basis. The Board believes that regular, fixed cash payouts will
enhance shareholder value and serve the long-term interests of shareholders.

The following is a required Section 19A notice:

You should not draw any conclusions about the Fund's investment performance
from the amount of this distribution or from the terms of the Fund's Managed
Distribution Plan.

This notice discloses information on the sources of the distribution as
required by SEC Rule 19(a) of the Investment Company Act of 1940 and the Fund's
SEC Exemptive Order under Section 19(b) as follows:

DISTRIBUTION ESTIMATES              JUNE 2011 (MTD)     YEAR-TO-DATE (YTD) /(1)/
----------------------           ---------------------  -----------------------
                                            Percentage              Percentage
                                 Per Share  of Current  Per Share   of Current
(Sources)                         Amount   Distribution  Amount    Distribution
---------                        --------- ------------ ---------  ------------
Net Investment Income             $0.008       24.1%     $0.036        18.5%
Net Realized Short-Term Capital
  Gains                            0.000        0.0%      0.000         0.0%
Net Realized Long-Term Capital
  Gains                            0.000        0.0%      0.000         0.0%
Return of Capital (or other
  Capital Source)                  0.024       75.9%      0.158        81.5%
TOTAL DISTRIBUTION                $0.032      100.0%     $0.194       100.0%

(1)YTD February 1, 2011 to January 9, 2012. (The distribution paid on
   January 10, 2011 was reportable for tax on Form 1099 in 2010)

The Fund estimates that it has distributed more than its income and net
realized capital gains; therefore, a portion of your distribution 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 this notice 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 you a
Form 1099-DIV for the calendar year that will tell you how to report these
distributions for federal income tax purposes.

<PAGE>

Information regarding the Fund's performance and distribution rates is set
forth below. Please note that all performance figures are based on the Fund's
NAV and not the market price of the Fund's shares. Performance figures are not
meant to represent individual shareholder performance.

                Average Annual Total Return on NAV for
                  the 5-year period ended June 30, 2011
                  /(2)/                                   6.11%
                Current Fiscal YTD Annualized
                  Distribution Rate /(3)/                10.26%

                YTD Cumulative Total Return on NAV /(4)/  4.95%
                YTD Cumulative Distribution Rate /(5)/    5.13%

(2)Average Annual Total Return on NAV is the annual compound return for the
   five-year period. It reflects the change in the Fund's NAV and reinvestment
   of all distributions.
(3)Current Fiscal YTD Annualized Distribution Rate is the cumulative
   distribution rate annualized as a percentage of the Fund's NAV as of
   June 30, 2011.
(4)YTD Cumulative Total Return on NAV is the percentage change in the Fund's
   NAV from January 1, 2011 to June 30, 2011, including distributions paid and
   assuming reinvestment of those distributions.
(5)YTD Cumulative Distribution Rate is the dollar value of distributions from
   January 1, 2011 to June 30, 2011 as a percentage of the Fund's NAV as of
   June 30, 2011.

The Zweig Total Return Fund, Inc. is a closed-end fund with an investment
objective to seek the highest total return, consisting of capital appreciation
and current income, consistent with the preservation of capital. The Zweig
closed-end funds are advised by Zweig Advisers LLC. For more information on the
Fund, please contact Shareholder Services at 800.272.2700, by email at
zweig@virtus.com, or visit us on the web at www.virtus.com.

ZTR Cusip: 989837109
07/11

<PAGE>

[LOGO OF ZWEIG RETURN FUND]

FOR IMMEDIATE RELEASE

FOR FURTHER INFORMATION:
Zweig Funds Shareholder Services
(800) 272-2700
zweig@virtus.com

THE ZWEIG TOTAL RETURN FUND, INC. DISCLOSES SOURCES OF DISTRIBUTION - SECTION
19A NOTICE

NEW YORK, August 9, 2011 - The Board of Directors of The Zweig Total Return
Fund, Inc. (NYSE: ZTR) declared a distribution of $0.031 per share to
shareholders of record on August 11, 2011, payable August 18, 2011. The Fund
has a Managed Distribution Plan to pay 10 percent of the Fund's net asset value
("NAV") on an annualized basis. The Board believes that regular, fixed cash
payouts will enhance shareholder value and serve the long-term interests of
shareholders.

The following is a required Section 19A notice:

You should not draw any conclusions about the Fund's investment performance
from the amount of this distribution or from the terms of the Fund's Managed
Distribution Plan.

This notice discloses information on the sources of the distribution as
required by SEC Rule 19(a) of the Investment Company Act of 1940 and the Fund's
SEC Exemptive Order under Section 19(b) as follows:

DISTRIBUTION ESTIMATES              JULY 2011 (MTD)     YEAR-TO-DATE (YTD) /(1)/
----------------------           ---------------------  -----------------------
                                            Percentage              Percentage
                                 Per Share  of Current  Per Share   of Current
           (Sources)              Amount   Distribution  Amount    Distribution
           ---------             --------- ------------ ---------  ------------
Net Investment Income...........  $0.006       20.3%     $0.042        18.8%
Net Realized Short-Term Capital
  Gains.........................   0.006       20.3%      0.006         2.8%
Net Realized Long-Term Capital
  Gains.........................   0.002        6.8%      0.002         0.9%
Return of Capital (or other
  Capital Source)...............   0.017       52.6%      0.175        77.5%
TOTAL DISTRIBUTION                $0.031      100.0%     $0.225       100.0%

(1)YTD February 1, 2011 to January 9, 2012. (The distribution paid on
   January 10, 2011 was reportable for tax on Form 1099 in 2010)

The Fund estimates that it has distributed more than its income and net
realized capital gains; therefore, a portion of your distribution 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 this notice 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 you a
Form 1099-DIV for the calendar year that will tell you how to report these
distributions for federal income tax purposes.

<PAGE>

Information regarding the Fund's performance and distribution rates is set
forth below. Please note that all performance figures are based on the Fund's
NAV and not the market price of the Fund's shares. Performance figures are not
meant to represent individual shareholder performance.

                Average Annual Total Return on NAV for
                  the 5-year period ended July 31, 2011
                  /(2)/                                   5.85%
                Current Fiscal YTD Annualized
                  Distribution Rate /(3)/                10.38%

                YTD Cumulative Total Return on NAV /(4)/  4.54%
                YTD Cumulative Distribution Rate /(5)/    6.05%

(2)Average Annual Total Return on NAV is the annual compound return for the
   five-year period. It reflects the change in the Fund's NAV and reinvestment
   of all distributions.
(3)Current Fiscal YTD Annualized Distribution Rate is the cumulative
   distribution rate annualized as a percentage of the Fund's NAV as of
   July 29, 2011.
(4)YTD Cumulative Total Return on NAV is the percentage change in the Fund's
   NAV from January 1, 2011 to July 31, 2011, including distributions paid and
   assuming reinvestment of those distributions.
(5)YTD Cumulative Distribution Rate is the dollar value of distributions from
   January 1, 2011 to July 31, 2011 as a percentage of the Fund's NAV as of
   July 29, 2011.

The Zweig Total Return Fund, Inc. is a closed-end fund with an investment
objective to seek the highest total return, consisting of capital appreciation
and current income, consistent with the preservation of capital. The Zweig
closed-end funds are advised by Zweig Advisers LLC. For more information on the
Fund, please contact Shareholder Services at 800.272.2700, by email at
zweig@virtus.com, or visit us on the web at www.virtus.com.

ZTR Cusip: 989837109
8/11

<PAGE>

[LOGO OF ZWEIG RETURN FUND]

FOR IMMEDIATE RELEASE

FOR FURTHER INFORMATION:
Zweig Funds Shareholder Services
(800) 272-2700
zweig@virtus.com

 THE ZWEIG TOTAL RETURN FUND, INC. DISCLOSES SOURCES OF DISTRIBUTION - SECTION
                                  19A NOTICE

NEW YORK, September 8, 2011 - The Board of Directors of The Zweig Total Return
Fund, Inc. (NYSE: ZTR) declared a distribution of $0.031 per share to
shareholders of record on September 12, 2011, payable September 19, 2011. The
Fund has a Managed Distribution Plan to pay 10 percent of the Fund's net asset
value ("NAV") on an annualized basis. The Board believes that regular, fixed
cash payouts will enhance shareholder value and serve the long-term interests
of shareholders.

The following is a required Section 19A notice:

You should not draw any conclusions about the Fund's investment performance
from the amount of this distribution or from the terms of the Fund's Managed
Distribution Plan.

This notice discloses information on the sources of the distribution as
required by SEC Rule 19(a) of the Investment Company Act of 1940 and the Fund's
SEC Exemptive Order under Section 19(b) as follows:

DISTRIBUTION ESTIMATES             AUGUST 2011 (MTD)    YEAR-TO-DATE (YTD) /(1)/
----------------------           ---------------------  -----------------------
                                            Percentage              Percentage
                                 Per Share  of Current  Per Share   of Current
           (Sources)              Amount   Distribution  Amount    Distribution
           ---------             --------- ------------ ---------  ------------
Net Investment Income             $0.004       13.9%     $0.046        18.2%
Net Realized Short-Term Capital
  Gains                            0.000        0.0%      0.003         1.2%
Net Realized Long-Term Capital
  Gains                            0.000        0.0%      0.000         0.0%
Return of Capital (or other
  Capital Source)                  0.027       86.1%      0.207        80.6%
TOTAL DISTRIBUTION                $0.031      100.0%     $0.256       100.0%

(1)YTD February 1, 2011 to January 9, 2012. (The distribution paid on
   January 10, 2011 was reportable for tax on Form 1099 in 2010)

The Fund estimates that it has distributed more than its income and net
realized capital gains; therefore, a portion of your distribution 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 this notice 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 you a
Form 1099-DIV for the calendar year that will tell you how to report these
distributions for federal income tax purposes.

<PAGE>

Information regarding the Fund's performance and distribution rates is set
forth below. Please note that all performance figures are based on the Fund's
NAV and not the market price of the Fund's shares. Performance figures are not
meant to represent individual shareholder performance.

                Average Annual Total Return on NAV for
                  the 5-year period ended August 31,
                  2011 /(2)/                              5.16%
                Current Fiscal YTD Annualized
                  Distribution Rate /(3)/                10.57%

                YTD Cumulative Total Return on NAV /(4)/  3.05%
                YTD Cumulative Distribution Rate /(5)/    7.05%

(2)Average Annual Total Return on NAV is the annual compound return for the
   five-year period. It reflects the change in the Fund's NAV and reinvestment
   of all distributions.
(3)Current Fiscal YTD Annualized Distribution Rate is the cumulative
   distribution rate annualized as a percentage of the Fund's NAV as of
   August 31, 2011.
(4)YTD Cumulative Total Return on NAV is the percentage change in the Fund's
   NAV from January 1, 2011 to August 31, 2011, including distributions paid
   and assuming reinvestment of those distributions.
(5)YTD Cumulative Distribution Rate is the dollar value of distributions from
   January 1, 2011 to August 31, 2011 as a percentage of the Fund's NAV as of
   August 31, 2011.

The Zweig Total Return Fund, Inc. is a closed-end fund with an investment
objective to seek the highest total return, consisting of capital appreciation
and current income, consistent with the preservation of capital. The Zweig
closed-end funds are advised by Zweig Advisers LLC. For more information on the
Fund, please contact Shareholder Services at 800.272.2700, by email at
zweig@virtus.com, or visit us on the web at www.virtus.com.

ZTR Cusip: 989837109
9/11

<PAGE>

[LOGO OF ZWEIG RETURN FUND]

FOR IMMEDIATE RELEASE

FOR FURTHER INFORMATION:
Zweig Funds Shareholder Services
(800) 272-2700
zweig@virtus.com

 THE ZWEIG TOTAL RETURN FUND, INC. DISCLOSES SOURCES OF DISTRIBUTION - SECTION
                                  19A NOTICE

NEW YORK, October 11, 2011 - The Board of Directors of The Zweig Total Return
Fund, Inc. (NYSE: ZTR) declared a distribution of $0.029 per share to
shareholders of record on October 13, 2011, payable October 20, 2011. The Fund
has a Managed Distribution Plan to pay 10 percent of the Fund's net asset value
("NAV") on an annualized basis. The Board believes that regular, fixed cash
payouts will enhance shareholder value and serve the long-term interests of
shareholders.

The following is a required Section 19A notice:

You should not draw any conclusions about the Fund's investment performance
from the amount of this distribution or from the terms of the Fund's Managed
Distribution Plan.

This notice discloses information on the sources of the distribution as
required by SEC Rule 19(a) of the Investment Company Act of 1940 and the Fund's
SEC Exemptive Order under Section 19(b) as follows:

DISTRIBUTION ESTIMATES            SEPTEMBER 2011 (MTD)  YEAR-TO-DATE (YTD) /(1)/
----------------------           ---------------------  -----------------------
                                            Percentage              Percentage
                                 Per Share  of Current  Per Share   of Current
           (Sources)              Amount   Distribution  Amount    Distribution
           ---------             --------- ------------ ---------  ------------
Net Investment Income             $0.003       12.8%     $0.050        17.6%
Net Realized Short-Term Capital
  Gains                            0.005       15.5%      0.007         2.5%
Net Realized Long-Term Capital
  Gains                               --        0.0%         --         0.0%
Return of Capital (or other
  Capital Source)                  0.021       71.7%      0.228        79.9%
TOTAL DISTRIBUTION                $0.029      100.0%     $0.285       100.0%

(1)YTD February 1, 2011 to January 9, 2012. (The distribution paid on
   January 10, 2011 was reportable for tax on Form 1099 in 2010)

The Fund estimates that it has distributed more than its income and net
realized capital gains; therefore, a portion of your distribution 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 this notice 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 you a
Form 1099-DIV for the calendar year that will tell you how to report these
distributions for federal income tax purposes.

<PAGE>

Information regarding the Fund's performance and distribution rates is set
forth below. Please note that all performance figures are based on the Fund's
NAV and not the market price of the Fund's shares. Performance figures are not
meant to represent individual shareholder performance.

                Average Annual Total Return on NAV for
                  the 5-year period ended September 30,
                  2011 /(2)/                              3.73%
                Current Fiscal YTD Annualized
                  Distribution Rate /(3)/                11.20%

                YTD Cumulative Total Return on NAV /(4)/  -2.20%
                YTD Cumulative Distribution Rate /(5)/     8.40%

(2)Average Annual Total Return on NAV is the annual compound return for the
   five-year period. It reflects the change in the Fund's NAV and reinvestment
   of all distributions.
(3)Current Fiscal YTD Annualized Distribution Rate is the cumulative
   distribution rate annualized as a percentage of the Fund's NAV as of
   September 30, 2011.
(4)YTD Cumulative Total Return on NAV is the percentage change in the Fund's
   NAV from January 1, 2011 to September 30, 2011, including distributions paid
   and assuming reinvestment of those distributions.
(5)YTD Cumulative Distribution Rate is the dollar value of distributions from
   January 1, 2011 to September 30, 2011 as a percentage of the Fund's NAV as
   of September 30, 2011.

The Zweig Total Return Fund, Inc. is a closed-end fund with an investment
objective to seek the highest total return, consisting of capital appreciation
and current income, consistent with the preservation of capital. The Zweig
closed-end funds are advised by Zweig Advisers LLC. For more information on the
Fund, please contact Shareholder Services at 800.272.2700, by email at
zweig@virtus.com, or visit us on the web at www.virtus.com.

ZTR Cusip: 989837109
10/11

<PAGE>

[LOGO OF ZWEIG RETURN FUND]

FOR IMMEDIATE RELEASE

FOR FURTHER INFORMATION:
Zweig Funds Shareholder Services
(800) 272-2700
zweig@virtus.com

 THE ZWEIG TOTAL RETURN FUND, INC. DISCLOSES SOURCES OF DISTRIBUTION - SECTION
                                  19A NOTICE

NEW YORK, November 8, 2011 - The Board of Directors of The Zweig Total Return
Fund, Inc. (NYSE: ZTR) declared a distribution of $0.030 per share to
shareholders of record on November 11, 2011, payable November 18, 2011. The
Fund has a Managed Distribution Plan to pay 10 percent of the Fund's net asset
value ("NAV") on an annualized basis. The Board believes that regular, fixed
cash payouts will enhance shareholder value and serve the long-term interests
of shareholders.

The following is a required Section 19A notice:

You should not draw any conclusions about the Fund's investment performance
from the amount of this distribution or from the terms of the Fund's Managed
Distribution Plan.

This notice discloses information on the sources of the distribution as
required by SEC Rule 19(a) of the Investment Company Act of 1940 and the Fund's
SEC Exemptive Order under Section 19(b) as follows:

DISTRIBUTION ESTIMATES             OCTOBER 2011 (MTD)   YEAR-TO-DATE (YTD) /(1)/
----------------------           ---------------------  -----------------------
                                            Percentage              Percentage
                                 Per Share  of Current  Per Share   of Current
           (Sources)              Amount   Distribution  Amount    Distribution
           ---------             --------- ------------ ---------  ------------
Net Investment Income             $0.005       17.7%     $0.056        17.6%
Net Realized Short-Term Capital
  Gains                            0.006       19.7%      0.013         4.2%
Net Realized Long-Term Capital
  Gains                               --        0.0%         --         0.0%
Return of Capital (or other
  Capital Source)                  0.019       62.6%      0.246        78.2%
TOTAL DISTRIBUTION                $0.030      100.0%     $0.315       100.0%

(1)YTD February 1, 2011 to January 9, 2012. (The distribution paid on
   January 10, 2011 was reportable for tax on Form 1099 in 2010)

The Fund estimates that it has distributed more than its income and net
realized capital gains; therefore, a portion of your distribution 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 this notice 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 you a
Form 1099-DIV for the calendar year that will tell you how to report these
distributions for federal income tax purposes.

<PAGE>

Information regarding the Fund's performance and distribution rates is set
forth below. Please note that all performance figures are based on the Fund's
NAV and not the market price of the Fund's shares. Performance figures are not
meant to represent individual shareholder performance.

                Average Annual Total Return on NAV for
                  the 5-year period ended October 31,
                  2011 /(2)/                              4.76%
                Current Fiscal YTD Annualized
                  Distribution Rate /(3)/                10.48%

                YTD Cumulative Total Return on NAV /(4)/  4.44%
                YTD Cumulative Distribution Rate /(5)/    8.74%

(2)Average Annual Total Return on NAV is the annual compound return for the
   five-year period. It reflects the change in the Fund's NAV and reinvestment
   of all distributions.
(3)Current Fiscal YTD Annualized Distribution Rate is the cumulative
   distribution rate annualized as a percentage of the Fund's NAV as of
   October 31, 2011.
(4)YTD Cumulative Total Return on NAV is the percentage change in the Fund's
   NAV from January 1, 2011 to October 31, 2011, including distributions paid
   and assuming reinvestment of those distributions.
(5)YTD Cumulative Distribution Rate is the dollar value of distributions from
   January 1, 2011 to October 31, 2011 as a percentage of the Fund's NAV as of
   October 31, 2011.

The Zweig Total Return Fund, Inc. is a closed-end fund with an investment
objective to seek the highest total return, consisting of capital appreciation
and current income, consistent with the preservation of capital. The Zweig
closed-end funds are advised by Zweig Advisers LLC. For more information on the
Fund, please contact Shareholder Services at 800.272.2700, by email at
zweig@virtus.com, or visit us on the web at www.virtus.com.

ZTR Cusip: 989837109

<PAGE>

[LOGO OF ZWEIG RETURN FUND]

FOR IMMEDIATE RELEASE

FOR FURTHER INFORMATION:
Zweig Funds Shareholder Services
(800) 272-2700
zweig@virtus.com

 THE ZWEIG TOTAL RETURN FUND, INC. DISCLOSES SOURCES OF DISTRIBUTION - SECTION
                                  19A NOTICE

NEW YORK, December 8, 2011 - The Board of Directors of The Zweig Total Return
Fund, Inc. (NYSE: ZTR) declared a distribution of $0.030 per share to
shareholders of record on December 12, 2011, payable December 19, 2011. The
Fund has a Managed Distribution Plan to pay 10 percent of the Fund's net asset
value ("NAV") on an annualized basis. The Board believes that regular, fixed
cash payouts will enhance shareholder value and serve the long-term interests
of shareholders.

The following is a required Section 19A notice:

You should not draw any conclusions about the Fund's investment performance
from the amount of this distribution or from the terms of the Fund's Managed
Distribution Plan.

This notice discloses information on the sources of the distribution as
required by SEC Rule 19(a) of the Investment Company Act of 1940 and the Fund's
SEC Exemptive Order under Section 19(b) as follows:

DISTRIBUTION ESTIMATES            NOVEMBER 2011 (MTD)   YEAR-TO-DATE (YTD) /(1)/
----------------------           ---------------------  -----------------------
                                            Percentage              Percentage
                                 Per Share  of Current  Per Share   of Current
           (Sources)              Amount   Distribution  Amount    Distribution
           ---------             --------- ------------ ---------  ------------
Net Investment Income...........  $0.004       13.9%     $0.060        17.3%
Net Realized Short-Term Capital
  Gains.........................   0.003       10.1%      0.016         4.7%
Net Realized Long-Term Capital
  Gains.........................   0.001        1.7%      0.001         0.1%
Return of Capital (or other
  Capital Source)...............   0.022       74.3%      0.268        77.9%
TOTAL DISTRIBUTION                $0.030      100.0%     $0.345       100.0%

(1)YTD February 1, 2011 to January 9, 2012. (The distribution paid on
   January 10, 2011 was reportable for tax on Form 1099 in 2010)

The Fund estimates that it has distributed more than its income and net
realized capital gains; therefore, a portion of your distribution 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 this notice 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 you a
Form 1099-DIV for the calendar year that will tell you how to report these
distributions for federal income tax purposes.

<PAGE>

Information regarding the Fund's performance and distribution rates is set
forth below. Please note that all performance figures are based on the Fund's
NAV and not the market price of the Fund's shares. Performance figures are not
meant to represent individual shareholder performance.

                Average Annual Total Return on NAV for
                  the 5-year period ended November 30,
                  2011 /(2)/                              4.49%
                Current Fiscal YTD Annualized
                  Distribution Rate /(3)/                10.55%

                YTD Cumulative Total Return on NAV /(4)/  4.31%
                YTD Cumulative Distribution Rate /(5)/    9.67%

(2)Average Annual Total Return on NAV is the annual compound return for the
   five-year period. It reflects the change in the Fund's NAV and reinvestment
   of all distributions.
(3)Current Fiscal YTD Annualized Distribution Rate is the cumulative
   distribution rate annualized as a percentage of the Fund's NAV as of
   November 30, 2011.
(4)YTD Cumulative Total Return on NAV is the percentage change in the Fund's
   NAV from January 1, 2011 to November 30, 2011, including distributions paid
   and assuming reinvestment of those distributions.
(5)YTD Cumulative Distribution Rate is the dollar value of distributions from
   January 1, 2011 to November 30, 2011 as a percentage of the Fund's NAV as of
   November 30, 2011.

The Zweig Total Return Fund, Inc. is a closed-end fund with an investment
objective to seek the highest total return, consisting of capital appreciation
and current income, consistent with the preservation of capital. The Zweig
closed-end funds are advised by Zweig Advisers LLC. For more information on the
Fund, please contact Shareholder Services at 800.272.2700, by email at
zweig@virtus.com, or visit us on the web at www.virtus.com.

ZTR Cusip: 989837109

<PAGE>

[LOGO OF ZWEIG TOTAL RETURN FUND]

FOR IMMEDIATE RELEASE

FOR FURTHER INFORMATION:
Zweig Funds Shareholder Services
(800) 272-2700
zweig@virtus.com

 THE ZWEIG TOTAL RETURN FUND, INC. DISCLOSES SOURCES OF DISTRIBUTION - SECTION
                                  19A NOTICE

NEW YORK, January 9, 2012 - The Board of Directors of The Zweig Total Return
Fund, Inc. (NYSE: ZTR) declared a distribution of $0.030 per share to
shareholders of record on December 30, 2011, payable January 9, 2012. The Fund
has a Managed Distribution Plan to pay 10 percent of the Fund's net asset value
("NAV") on an annualized basis. The Board believes that regular, fixed cash
payouts will enhance shareholder value and serve the long-term interests of
shareholders.

The following is a required Section 19A notice:

You should not draw any conclusions about the Fund's investment performance
from the amount of this distribution or from the terms of the Fund's Managed
Distribution Plan.

This notice discloses information on the sources of the distribution as
required by SEC Rule 19(a) of the Investment Company Act of 1940 and the Fund's
SEC Exemptive Order under Section 19(b) as follows:

  DISTRIBUTION ESTIMATES          DECEMBER 2011 (MTD)   YEAR-TO-DATE (YTD) /(1)/
  ----------------------         ---------------------  -----------------------
                                            Percentage              Percentage
                                 Per Share  of Current  Per Share   of Current
            (Sources)             Amount   Distribution  Amount    Distribution
            ---------            --------- ------------ ---------  ------------
  Net Investment Income           $0.004       12.0%     $0.063        16.9%
  Net Realized Short-Term
    Capital Gains                  0.008       26.0%      0.024         6.4%
  Net Realized Long-Term
    Capital Gains                  0.016       53.9%      0.017         4.4%
  Return of Capital (or other
    Capital Source)                0.002        8.1%      0.271        72.3%
  TOTAL DISTRIBUTION              $0.030      100.0%     $0.375       100.0%

(1)YTD February 1, 2011 to January 9, 2012. (The distribution paid on
   January 10, 2011 was reportable for tax on Form 1099 in 2010)

The Fund estimates that it has distributed more than its income and net
realized capital gains; therefore, a portion of your distribution 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 this notice 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 you a
Form 1099-DIV for the calendar year that will tell you how to report these
distributions for federal income tax purposes.

<PAGE>

Information regarding the Fund's performance and distribution rates is set
forth below. Please note that all performance figures are based on the Fund's
NAV and not the market price of the Fund's shares. Performance figures are not
meant to represent individual shareholder performance.

                Average Annual Total Return on NAV for
                  the 5-year period ended December 31,
                  2011 /(2)/                              4.64%
                Current Fiscal YTD Annualized
                  Distribution Rate /(3)/                10.59%

                YTD Cumulative Total Return on NAV /(4)/   4.46%
                YTD Cumulative Distribution Rate /(5)/    10.59%

(2)Average Annual Total Return on NAV is the annual compound return for the
   five-year period. It reflects the change in the Fund's NAV and reinvestment
   of all distributions.
(3)Current Fiscal YTD Annualized Distribution Rate is the cumulative
   distribution rate annualized as a percentage of the Fund's NAV as of
   December 30, 2011.
(4)YTD Cumulative Total Return on NAV is the percentage change in the Fund's
   NAV from January 1, 2011 to December 31, 2011, including distributions paid
   and assuming reinvestment of those distributions.
(5)YTD Cumulative Distribution Rate is the dollar value of distributions from
   January 1, 2011 to December 31, 2011 as a percentage of the Fund's NAV as of
   December 30, 2011.

The Zweig Total Return Fund, Inc. is a closed-end fund with an investment
objective to seek the highest total return, consisting of capital appreciation
and current income, consistent with the preservation of capital. The Zweig
closed-end funds are advised by Zweig Advisers LLC. For more information on the
Fund, please contact Shareholder Services at 800.272.2700, by email at
zweig@virtus.com, or visit us on the web at www.virtus.com.

ZTR Cusip: 989837109
</TEXT>
</DOCUMENT>
</SEC-DOCUMENT>
