OFFICERS AND DIRECTORS

George R. Aylward, President, Chairman and Chief Executive Officer

Charles H. Brunie, Director

Wendy Luscombe, Director

James B. Rogers, Jr., Director

R. Keith Walton, Director

William H. Wright II, Director

Carlton Neel, Executive Vice President

David Dickerson, Senior Vice President

W. Patrick Bradley, Senior Vice President, Treasurer and Chief Financial Officer

William Renahan, Vice President, Chief Legal Officer and Secretary

Jacqueline Porter, Vice President and Assistant Treasurer

Nancy Engberg, Chief Compliance Officer and Vice President

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.

Q2-13

The Zweig Total Return Fund, Inc.

Semiannual Report

June 30, 2013

Dear Fellow Zweig Total Return Fund Shareholder:

I am pleased to share with you the manager’s report and commentary for the Zweig Total Return Fund, Inc. for the six-month reporting period ended June 30, 2013.

For the six months ended June 30, 2013, the fund’s NAV added 5.09%, including $0.505 in reinvested distributions. During the same period, the fund’s benchmark index, a composite consisting of equal parts of the S&P 500^® Index and the Barclays U.S. Government Bond Index, increased 5.68%, including reinvested dividends. Performance for the composite’s underlying indices over this period included a gain of 13.82% for the S&P 500 and a 2.04% loss for the Barclays U.S. Government Bond Index. The fund’s average exposure for the first half of the year was approximately 68% in equities and 33% in bonds.

On behalf of the investment professionals at Zweig Advisers LLC, I thank you for entrusting your assets to us. Should you have any questions or require support, please contact customer service at 1-800-272-2700 or through the closed-end fund section of our website, www.virtus.com.

Sincerely,

George R. Aylward

President, Chairman and

Chief Executive Officer

The Zweig Total Return

Fund, Inc.

MARKET OUTLOOK AND OVERVIEW

The S&P 500^® finally closed above 1,600 in May after flirting with this milestone since March 2000. Although the S&P 500^® Index established a new high in 2007, this is the first time it exceeded a new 100-point level in over 13 years. Although June was a challenging month for the equity market, thus far in July it has surged again to new highs and stocks are trading well. We are pleased to report that The Zweig Total Return Fund has had a high level of equity exposure all year. The rally that virtually nobody believed in has been captured by the Fund’s nearly fully-invested positioning.

Despite a few small hiccups in February, April, and late May-to-early June, the S&P 500 gained 13.82% (with dividends reinvested) for the six months ended June 30. Despite this strong performance, many market participants are still somewhat skeptical that the rally will extend and continue to wait for that long-anticipated decline to buy stocks. Although there was a brief growth scare in response to disappointing manufacturing data released in both the U.S. (ISM Manufacturing) and China (Purchasing Managers Index), the sell-off was brief, and a new rally ensued on better jobs data from the U.S. Labor Department.

The trading adage, “Sell in May and go away” has worked very well the last three years, but that was concurrent with truly deteriorating economic data and European debt woes. We believe the global economy is not robust by any measure, but it is better than feared, and while Europe is still in disarray, yields on both Italian and Spanish debt remain remarkably lower than the crisis levels of last summer. By way of reference, during the June 2012 market swoon, yields approached or exceeded 7% on the 10-year government bonds for both countries.

We are a long way from sanguine that the equity rally will strengthen, but based on a combination of monetary stimulus, ongoing

positive momentum, and a lack of overt bullishness among the investment community, we still believe a high level of commitment to equities is warranted.

We are now in an environment where global central banks have embarked on easy money policies. Leading the way has been the U.S. Federal Reserve’s (Fed) continued support of asset prices through quantitative easing (QE) and a very low interest rate policy, although that may be set to change given the central bank’s recent talk of potentially tapering its bond buying program. Thus far, QE may or may not be having much of an economic impact, but it has certainly been positive for equities. In addition, the Bank of Japan is fully embracing its new prime minister’s eponymous “Abenomics” policies with further easing and debasement of the yen, while the European Central Bank (ECB) continues to keep its loose and growth-supportive monetary policy in place. Even the allegedly conservative Royal Bank of Australia recently got in on the rate-cutting game, as did South Korea’s central bank.

The market experienced a swift decline from May 22 through June 24 on the back of Fed Chairman Ben Bernanke’s testimony before Congress and the release of Federal Open Market Committee (FOMC) meeting minutes. His reminder that the bank would be reducing (and ultimately ending) its monthly $85 billion in asset purchases at some point sent a shiver through the market. Although he also offered assurance that it was the central bank’s “intention to maintain a highly accommodative monetary policy as long as needed,” investors fixated on the timing of the potential tapering and a sell-off ensued. The bond market ultimately suffered more damage than stocks, which eventually recovered, but the rate on the benchmark 10-year U.S. Treasury note remains much higher (2.51% as of this writing) than when the FOMC minutes were released on May 22.

It is our view that many market participants missed, at least initially, Chairman Bernanke’s

careful conveyance that policy will remain data dependent, with the Fed focusing on “how the economy evolves,” and that curtailing QE is not the same as tightening monetary policy. Stronger economic data will indeed trigger a tapering of bond purchases, maybe even ending QE, however, that also means companies will be hiring new employees and growth will improve, with concurrent increases in corporate earnings.

The budget sequester has likely had some negative effect on Gross Domestic Product (GDP), as has reduced government spending in general. Government jobs are being furloughed, which is being made up for by the private sector, even if tepidly for this stage of a recovery. Tax receipts are actually coming in stronger than expected, while government outlays are falling slightly. Whether or not this will lead to lower deficits for any meaningful period is yet to be seen, but at a minimum, the news on the federal budget front is better than most would have expected. To the degree that the private sector can make up the modest cuts in government spending, GDP will increase and the specter of the “government going bankrupt” will recede, at least temporarily.

One area of recent concern is that global manufacturing, an early indicator of industrial output, and thus economic growth, has been stalling. By no means is it falling off a cliff as it did in 2008, or even seeing the declines experienced in both the 2011 and 2012 spring and summer seasons, but it bears watching. Two major positives that might trump the weakness in global Purchasing Manager Index (PMI) surveys is that the U.S. housing market is in the midst of a major recovery and most other surveys related to the health of business conditions are strong. The combination of higher home prices, increasing construction activity, stable gasoline prices, and a rising stock market has recently pushed both consumer confidence and consumer comfort levels to new highs. The virtuous circle of confidence-spending-growth

seems to be accelerating, and this is supportive of higher equity prices.

The major conundrum we continue to face this year since taking a bullish stand on the market is that the stocks we would expect to do well in a market hitting new all-time highs are not performing as well as stocks that typically are perceived as more conservative. Until very recently, this has been a rather odd bull market where defensive-oriented sectors have not only outrun the more cyclical issues, they have vastly outperformed. In the month of April there was a large gap in the performance of cyclical stocks and issues that are regarded as more defensive. Investors continue to search for yield provided by stocks that pay dividends, which are commonly more defensive in nature.

Generally we believe there is much better relative value in the more economically-sensitive segments of the market. Our view is that: a) the economy is better than feared; b) this should lead to a strong market; and c) market leadership will eventually be assumed by cyclical stocks. For much of 2013, the market rally was led by consumer staples, telecom, utilities, and health care stocks. Even though earnings growth of a consumer staples stock is modest, investors are willing to pay 18 to 20 times earnings for its dividend yield and perceived safety. We, on the other hand, see much better relative value in industrials, energy, technology, and yes, even financials. The silver lining seems to be that, as the jobs data has improved and confidence in the rally grows, the market leadership is finally shifting to cyclicals. Our patience has been rewarded with some recent outperformance, and we certainly hope this continues.

The energy sector started the year strong, and our holdings did particularly well. Many energy stocks then broke down, due to some softness in the price of crude and slightly tepid earnings in some companies, and money flowed into other sectors. Broadly speaking, the energy

names have not been down since early February; they just got left behind by other sectors for most of the period. While the dividend yield might not be quite as high as stocks within the utilities space, the reality is that free cash flow yield is actually much higher on average, which in our opinion is a better way to determine real available returns.

Consumer discretionary stocks are doing very well on the year. We continue to hold a slight overweight in this sector relative to the S&P 500 Index, owning a broad array of stocks tied to the housing recovery, media, retail, and the strong auto industry.

Stocks within financials have been solid performers on the year. The Fund owns a variety of regional banks, money center banks, insurers, asset managers, and REITs. Our sector exposure is higher than it has been in years as the housing recovery has stabilized bank balance sheets, asset managers are benefiting from the sustained equity rally, and higher interest rates have improved net interest margins for banks and helped insurance companies manage liabilities. There is a good trend at work within the sector, and we have committed capital to the group.

Material stocks have lagged badly in the market rally, especially those tied to metals and mining. As a result, we have less exposure to the group than we have in a very long time. Generally better-than-expected U.S. economic data has been offset by a lack of anticipated growth in China, one of the world’s largest consumers of raw materials. We are finding better opportunities elsewhere although the Fund does hold a few names within mining and agriculture.

We continue to have little exposure to consumer staples, as we believe the group is largely overpriced. That said, the stocks we do own have outperformed the sector. Many investors hold this group for dividend yield, a bond proxy if you will, but valuations relative to growth rates are

too high. The same conclusion can be drawn from the utilities sector, where all too often a company’s stock yields more than its bond offering, but the earnings multiple is in the high teens. Although consumer staples stocks are still slightly ahead of the S&P 500 on the year through June 30, they have lost ground on a relative basis and we see that trend continuing.

Our holdings in health care have outperformed the S&P 500 Health Care sector on the year, particularly both of our holdings in biotech. With the Affordable Care Act struggling to find support from the business community, and a plethora of problems implementing the program, uncertainty remains within the sector. However, the delays in application of the law are generally good for the sector as companies have more time to calculate impacts and make adjustments.

Technology continues to underperform the broad market, with Apple (AAPL) making new 52-week lows before finally recovering somewhat. It has been a mixed bag for us as some tech names have done well on the year, while others have struggled. Generally, the same odd theme seems to be occurring insofar as many investors are steering clear of tech and opting instead for so-called “safe” areas of the market in this rally. As noted earlier, there has been a shift afoot since mid-April, and tech stocks have had a very solid run.

Our move into more industrial stocks has not yet produced the alpha we have hoped for. We are struck by how poorly the group traded in the rally earlier in the year, yet it is now starting to outperform as generally stronger jobs data has continued. Although June was unkind to many of our holdings in the sector, much of the underperformance has been reversed thus far in July. Both JPMorgan and Goldman Sachs issued favorable comments in the spring on the relative attractiveness of cyclical stocks, highlighting many names in the industrial sector, several of which we own. This upturn, which we are optimistic is underway, has the

potential to be powerful and sustained as U.S. manufacturing companies enjoy advantages in terms of energy inputs and productivity costs, and more competitive labor costs.

The volatility endured by the market for the last several years and the general sense that policy makers, rather than fundamental economic and business decisions, will drive asset prices has made stock picking difficult. We believe a shift is occurring and that a more orderly, lower-correlated period is ahead. We feel confident that the portfolio is well positioned for this environment, and we will continue to move to areas where we see the greatest opportunity. The market is priced reasonably and given the investable alternatives, still seems attractive on a relative basis. With cash rates still near zero percent and bond yields backing up, we remain committed to stocks and are nearly fully invested.

BOND MARKET

High quality fixed income securities suffered losses during the first half of the year, mainly due to the Fed-driven sharp sell-off in May and June. Until early May, the benchmark 10-year U.S. Treasury note was actually quite stable, trading in a range of roughly 2.05% to 1.65%. Spread product did reasonably well early in the year as credit narrowed, but was also eventually overwhelmed by the 130-basis point run-up in risk-free yields in the 10-year sector. The Fed “taper talk” wreaked havoc on yield levels, as bond holders feared that a reduction in bond purchases, or worse even selling, would send yields soaring. It all became a self-fulfilling prophecy as, indeed, yields did rise sharply.

The fixed income market, particularly government bonds, has become an artificial market at the moment, with central banks effectively dictating yields. Until recently, spread product has been a good investment, as corporate bond spread compression followed the improvement in corporate balance sheets and a somewhat strengthening

economy. The ongoing manipulation by central banks has kept “risk-free” yields contained, until the recent speculation on when QE might end. The threat of the Fed’s $85 billion in monthly asset purchases coming to an end sent the bond market into a tailspin from which it has yet to recover. We continue to hold a fairly low-duration bond portfolio consisting of a few corporate bonds, some foreign sovereign debt, and shorter-dated TIPs. During the decline in yields in April, we took the opportunity to sell half of our sole remaining holding in bullet Treasuries. Treasury bonds, for the most part, have been the only true risk diversification tool in recent times of crisis, but the price of this insurance is getting all too expensive.

The allocation into high dividend stocks in lieu of bonds continues to reap rewards. The Fund yield has been enhanced, and in several cases, the names we hold have been the types of stocks that bond proxy investors have reached for. The decision to carve out some of the bonds from the portfolio and reallocate those proceeds to high dividend stocks has been very beneficial as they continue to outperform bonds.

Sincerely,

Portfolio managers,

Carlton Neel

Executive Vice President

Zweig Advisers, LLC

David Dickerson

Senior Vice President

Zweig Advisers, LLC

The views expressed in the Market Outlook and Overview reflect those of its authors only and only as of its date. These views are subject to change at any time, based on market and other conditions and should not be construed as a recommendation or advice of any kind. The material may also contain forward-looking statements that involve risk and uncertainty, and there is no guarantee they will come to pass.

There can be no assurance that the fund will achieve its investment objective.

The net asset value of the Fund will fluctuate with the value of the underlying securities.

Performance data quoted represents past results. Past performance is no guarantee of future results.

The market price of equity securities may be affected by financial market, industry, or issuer-specific events. Focus on a particular style or on small or medium sized companies may enhance that risk.

U.S. government securities may be subject to price fluctuations. An agency may default on an obligation not backed by the United States. Any guarantee on U.S. government securities does not apply to the value of the fund’s shares.

Shares of closed-end investment companies such as the fund, trade in the market above, at, and below net asset value. This characteristic is a risk separate and distinct from the risk that the fund’s net asset value could decline. The fund is not able to predict whether its shares will trade above, below or at net asset value in the future.

This information does not represent an offer, or the solicitation of an offer, to buy or sell securities of the Fund.

Asset Allocation as of June 30, 2013

The following graph illustrates asset allocations within certain sectors and as a percentage of total investments as of June 30, 2013.

OUR PRIVACY COMMITMENT

The Zweig Total Return Fund, Inc. recognizes that protecting the privacy and security of the confidential personal information we collect about you is an important responsibility. The following information will help you understand our privacy policy and how we will handle and maintain confidential personal information as we fulfill our obligations to protect your privacy. “Personal information” refers to the nonpublic financial information obtained by us in connection with providing you a financial product or service.

Information We Collect

We collect personal information to help us serve your financial needs, offer new products or services, provide customer service and fulfill legal and regulatory requirements. The type of information that we collect varies according to the products or services involved, and may include:

Information Disclosed in Administering Products and Services

We will not disclose personal information about current or former customers to non-affiliated third parties except as permitted or required by law. We do not sell any personal information about you to any third party. In the normal course of business, personal information may be shared with persons or entities involved in servicing and administering products and services on our behalf, including your broker, financial advisor or financial planner and other service providers and affiliates assisting us.

Procedures to Protect Confidentiality and Security of Your Personal Information

We have procedures in place that limit access to personal information to those employees and service providers who need to know such information in order to perform business services on our behalf. We educate our employees on the importance of protecting the privacy and security of confidential personal information. We also maintain physical, electronic and procedural safeguards that comply with federal and state regulations to guard your personal information.

We will update our policy and procedures where necessary to ensure that your privacy is maintained and that we conduct our business in a way that fulfills our commitment to you. If we make any material changes in our privacy policy, we will make that information available to customers through our Web site and/or other communications.

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.

Barclays U.S. Government Bond Index: An index that measures the performance of all public U.S. government obligations with remaining maturities of one year or more.

European Central Bank (“ECB”): The European Central Bank (ECB) is responsible for conducting monetary policy for the eurozone. The ECB was established as the core of the Eurosystem and the European System of Central Banks (ESCB). The ESCB comprises the ECB and the national central banks (NCBs) of all 17 European Union Member States whether they have adopted the Euro or not.

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

Federal Open Market Committee (FOMC): The branch of the Federal Reserve Board that determines the direction of monetary policy. The FOMC is composed of the board of governors, which has seven members, and five reserve bank presidents.

Gross Domestic Product: The market value of all officially recognized final goods and services produced within a country in a given period.

ISM Manufacturing Index: An index based on surveying 300 purchasing professionals in the manufacturing sector representing 20 industries in all 50 states.

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.

Purchasing Managers Index: An indicator of the economic health of the manufacturing sector. The PMI index is based on five major indicators: new orders, inventory levels, production, supplier deliveries and the employment environment.

Quantitative Easing (QE): A government monetary policy occasionally used to increase the money supply by buying government securities or other securities from the market. Quantitative easing increases the money supply by flooding financial institutions with capital in an effort to promote increased lending and liquidity.

REIT (Real Estate Investment Trust): A publicly traded company that owns, develops and operates income-producing real estate such as apartments, office buildings, hotels, shopping centers and other commercial properties.

S&P 500^® 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.