UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY Investment Company Act file number 811-04739 The Zweig Fund, Inc. -------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) 900 Third Avenue New York, NY 10022 -------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) Kevin J. Carr, Esq. Chief Legal Officer and Secretary for John H. Beers, Esq. Registrant Vice President and Secretary Phoenix Life Insurance Company Phoenix Life Insurance Company One American Row One American Row Hartford, CT 06103-2899 Hartford, CT 06103-2899 -------------------------------------------------------------------------------- (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: March 31, 2006 Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (Sections 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q 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 the 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. Section 3507. Item 1. Schedule of Investments. The Schedule of Investments is attached herewith. THE ZWEIG FUND, INC. SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT March 31, 2006 (Unaudited) Number of Shares Value --------- ----------- INVESTMENTS DOMESTIC COMMON STOCKS 69.09% CONSUMER DISCRETIONARY -- 8.51% Abercrombie & Fitch Co./(e)/.................. 105,000 $ 6,121,500 CBS Corp. Class B............................. 230,000 5,515,400 Nike, Inc. Class B............................ 72,000 6,127,200 Gap, Inc. (The)............................... 330,000 6,164,400 McDonald's Corp............................... 180,000 6,184,800 Newell Rubbermaid, Inc........................ 150,000 3,778,500 Viacom, Inc. Class B.......................... 87,500 3,395,000 ----------- 37,286,800 ----------- CONSUMER STAPLES -- 7.01% Archer-Daniels-Midland Co..................... 180,000 6,057,000 Costco Wholesale Corp......................... 125,000 6,770,000 Kimberly-Clark Corp........................... 100,000 5,780,000 PepsiCo, Inc./(d)/............................ 110,000 6,356,900 Procter & Gamble Co........................... 100,000 5,762,000 ----------- 30,725,900 ----------- ENERGY -- 5.44% ConocoPhillips................................ 95,000 5,999,250 Halliburton Co................................ 80,000 5,841,600 Occidental Petroleum Corp..................... 65,000 6,022,250 Valero Energy Corp............................ 100,000 5,978,000 ----------- 23,841,100 ----------- FINANCIALS -- 15.51% Allstate Corp................................. 115,000 5,992,650 Bank of America Corp./(d)/.................... 130,000 5,920,200 Goldman Sachs Group, Inc...................... 43,000 6,749,280 Huntington Bancshares, Inc.................... 250,000 6,032,500 JPMorgan Chase & Co........................... 150,000 6,246,000 Merrill Lynch & Co., Inc...................... 75,000 5,907,000 Morgan Stanley................................ 100,000 6,282,000 New York Community Bancorp, Inc./(e)/......... 340,000 5,956,800 PNC Financial Services Group, Inc............. 90,000 6,057,900 Wachovia Corp................................. 120,000 6,726,000 Wells Fargo & Co.............................. 95,000 6,067,650 ----------- 67,937,980 ----------- See notes to schedule of investments and securities sold short 1 Number of Shares Value --------- ------------ HEALTH CARE -- 8.41% Amgen, Inc./(b)/.................................. 85,000 $ 6,183,750 Bristol-Myers Squibb Co./(e)/..................... 250,000 6,152,500 Gilead Sciences, Inc./(b)/........................ 100,000 6,222,000 Merck & Co., Inc.................................. 175,000 6,165,250 Pfizer, Inc....................................... 240,000 5,980,800 UnitedHealth Group, Inc........................... 110,000 6,144,600 ------------ 36,848,900 ------------ INDUSTRIALS -- 9.05% AMR Corp./(b) (e)/................................ 260,000 7,033,000 Boeing Co. (The).................................. 85,000 6,624,050 Continental Airlines, Inc. Class B/(b) (e)/....... 250,000 6,725,000 General Electric Co./(d)/......................... 170,000 5,912,600 L-3 Communications Holdings, Inc./(d)/............ 80,000 6,863,200 Norfolk Southern Corp............................. 120,000 6,488,400 ------------ 39,646,250 ------------ INFORMATION TECHNOLOGY -- 12.27% Cisco Systems, Inc./(b)/.......................... 315,000 6,826,050 Dell, Inc./(b)/................................... 180,000 5,356,800 EMC Corp./(b)/.................................... 470,000 6,406,100 Hewlett-Packard Co................................ 190,000 6,251,000 Intel Corp........................................ 165,000 3,192,750 International Business Machines Corp.............. 70,000 5,772,900 Microsoft Corp.................................... 240,000 6,530,400 QUALCOMM, Inc..................................... 135,000 6,832,350 Verisign, Inc./(b)(e)/............................ 275,000 6,597,250 ------------ 53,765,600 ------------ MATERIALS -- 2.89% Dow Chemical Co./(d)/............................. 135,000 5,481,000 Freeport-McMoRan Copper & Gold, Inc. Class B (Indonesia)/(e)/................................ 120,000 7,172,400 ------------ 12,653,400 ------------ Total Domestic Common Stocks (Identified Cost $253,125,584)...................................... 302,705,930 ------------ FOREIGN COMMON STOCKS/(c)/ 10.17% CONSUMER DISCRETIONARY -- 2.83% Honda Motor Co., Ltd. ADR (Japan)/(d)/............ 200,000 6,192,000 Sony Corp. ADR (Japan)............................ 135,000 6,219,450 ------------ 12,411,450 ------------ See notes to schedule of investments and securities sold short 2 Number of Shares Value ----------- ------------ FINANCIALS -- 1.43% Deutsche Bank AG (Germany)........................ 55,000 $ 6,283,200 HEALTH CARE -- 1.52% Sanofi-Aventis Sponsored ADR (France)............. 140,000 6,643,000 INFORMATION TECHNOLOGY -- 4.39% Amdocs Ltd. (United States)/(b)/.................. 170,000 6,130,200 Nokia Oyj ADR (Finland)........................... 315,000 6,526,800 Seagate Technology (Singapore)/(b)(e)/............ 250,000 6,582,500 ------------ 19,239,500 ------------ Total Foreign Common Stocks (Identified Cost $34,284,068) 44,577,150 ------------ EXCHANGE TRADED FUNDS 3.35% iShares MSCI Japan Index Fund/(e)/................ 285,000 4,104,000 NASDAQ-100 Shares/(e)/............................ 252,000 10,568,880 ------------ Total Exchange Traded Funds (Identified Cost $12,884,745) 14,672,880 ------------ Total Long Term Investments -- 82.61% (Identified Cost $300,294,397)......................................... 361,955,960 ------------ SHORT-TERM INVESTMENTS 25.23% MONEY MARKET MUTUAL FUNDS -- 7.93% State Street Navigator Prime Plus (4.71% seven day effective yield)/(f)/ (Identified Cost $34,744,265).................................... 34,744,265 34,744,265 Par (000's) ----------- FEDERAL AGENCY SECURITIES -- 13.63% FHLMC Series 1 3.75%, 11/15/06.................... $ 15,000 $ 14,874,375 FNMA 4.375%, 10/15/06/(d)/........................ 45,000 44,836,695 ------------ Total Federal Agency Securities (Identified Cost $59,812,942).......................................... 59,711,070 ------------ See notes to schedule of investments and securities sold short 3 Par (000's) Value ------- ------------ COMMERCIAL PAPER/(g)/ -- 3.67% Goldman Sachs & Co., Inc. 4.87%, 4/3/06...... $ 2,100 $ 2,099,432 Rabobank USA 4.83%, 4/3/06................... 14,000 13,996,243 ------------ Total Commercial Paper (Identified Cost $16,095,675)................................ 16,095,675 ------------ Total Short-Term Investments (Identified cost $110,652,882)............................... 110,551,010 ------------ Total Investments (Identified Cost $410,947,279) -- 107.84%.................... 472,506,970/(a)/ Securities Sold Short (Proceeds $15,022,035) -- (4.54)%..................................... (19,870,600) Other Assets Less Liabilities -- (3.30)%...... (14,472,517) ------------ Net Assets -- 100.00%......................... $438,163,853 ============ -------- (a) Federal Tax information: Net unrealized appreciation of investment securities is comprised of gross appreciation of $73,938,315 and gross depreciation of $13,327,176 for federal tax purposes. At March 31, 2006, the aggregate cost of securities for federal income tax purposes was $411,895,831. (b) Non-income producing. (c) Common stock is considered to be foreign if the security is issued in a foreign country. The country of risk, noted parenthetically, is determined based on criteria in Note 1D "Foreign security country determination" in the Notes to Schedule of Investments and Securities Sold Short. (d) Position, or a portion thereof, has been segregated to collateralize for securities sold short. (e) All or a portion of security is on loan. (f) Represents security purchased with cash collateral for securities on loan. (g) The rate shown is the discount rate. See notes to schedule of investments and securities sold short 4 Number of Shares Value --------- ----------- SECURITIES SOLD SHORT DOMESTIC COMMON STOCKS 2.63% CONSUMER DISCRETIONARY -- 2.63% American Eagle Outfitters, Inc............... 240,000 $ 7,166,400 Wendy's International, Inc................... 70,000 4,344,200 ----------- Total Domestic Common Stocks (Proceeds $8,206,925) 11,510,600 ----------- EXCHANGE TRADED FUNDS 1.91% iShares Russell 2000 Index Fund (Proceeds $6,815,110.)............................... 110,000 8,360,000 ----------- Total Securities Sold Short (Proceeds $15,022,035) $19,870,600/(h)/ =========== -------- (h) Federal Tax information: Net unrealized depreciation of securities sold short is comprised of gross appreciation of $0 and gross depreciation of $4,848,565 for federal income tax purposes. At March 31, 2006, the aggregate proceeds of securities sold short for federal income tax purposes was ($15,022,035). See notes to schedule of investments and securities sold short 5 THE ZWEIG FUND, INC. NOTES TO SCHEDULE OF INVESTMENTS AND SECURITIES SOLD SHORT March 31, 2006 (Unaudited) NOTE 1 -- SIGNIFICANT ACCOUNTING POLICIES The following is a summary of significant accounting policies consistently followed by the Zweig Fund, Inc. (the "Fund") in the preparation of the Schedule of Investments and Securities Sold Short. The preparation of the Schedule of Investments and Securities Sold Short in conformity with accounting principles 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 Schedule of Investments and Securities Sold Short. Actual results could differ from those estimates. A. Security Valuation Equity securities are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded, or if no closing price is available, at the last bid price. Debt securities are valued on the basis of broker quotations or valuations provided by a pricing service, which in determining value utilizes information with respect to recent sales, market transactions in comparable securities, quotations from dealers, and various relationships between securities in determining value. As required, some securities and assets may be valued at fair value as determined in good faith by or under the direction of the Directors. Certain foreign common stocks may be fair valued in cases where closing prices are not readily available or are deemed not reflective of readily available market prices. For example, significant events (such as movement in the U.S. securities market, or other regional and local developments) may occur between the time that foreign markets close (where the security is principally traded) and the time that the Fund calculates its net asset value (generally, the close of the NYSE) that may impact the value of securities traded in these foreign markets. In these cases, information from an external vendor may be utilized to adjust closing market prices of certain foreign common stocks to reflect their fair value. Because the frequency of significant events is not predictable, fair valuation of certain foreign common stocks may occur on a frequent basis. Short-term investments having a remaining maturity of 60 days or less are valued at amortized cost, which approximates market. 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. 6 C. Foreign Currency Translation Foreign securities and other assets and liabilities are valued using the foreign currency exchange rate effective at the end of the reporting period. Cost of investments is translated at the currency exchange rate effective at the trade date. D. Foreign Security Country Determination A combination of the following criteria is used to assign the countries of risk listed in the schedule of investments and securities sold short: country of incorporation, actual building address, primary exchange on which the security is traded and country in which the greatest percentage of company revenue is generated. E. Short Sales A short sale is a transaction in which the Fund sells a security it does not own in anticipation of a decline in market price. To sell a security short, the Fund must borrow the security. The Fund's obligation to replace the security borrowed and sold short will be fully collateralized at all times by the proceeds from the short sale retained by the broker and by cash and securities deposited in a segregated account with the Fund's custodian. If the price of the security sold short increases between the time of the short sale and the time the Fund replaces the borrowed security, the Fund will realize a loss, and if the price declines during the period, the Fund will realize a gain. Any realized gain will be decreased, and any realized loss increased, by the amount of transaction costs. On ex-dividend date, dividends on short sales are recorded as an expense to the Fund. At March 31, 2006, the value of securities sold short amounted to $19,870,600 against which collateral of $42,810,205 was held. The collateral includes the deposits with the broker for securities held short and the value of the segregated investments held long, as shown in the Schedule of Investments and Securities Sold Short. Short selling used in the management of the Fund may accelerate the velocity of potential losses if the prices of securities sold short appreciate quickly. Stocks purchased may decline in value at the same time stocks sold short may appreciate in value, thereby increasing potential losses. F. Security Lending The Fund loans securities to qualified brokers through an agreement with State Street Bank (the "Custodian") and the Fund. Under the terms of the agreement, the Fund receives 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 consists of cash, securities issued or guaranteed by the U.S. Government or its agencies and the sovereign debt of foreign countries. Cash collateral has been invested in short-term money market funds. Dividends earned on the collateral and premiums paid by the borrower are recorded as income by the Fund net of fees and rebates charged by the Custodian 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. NOTE 2 -- CREDIT RISK AND ASSET CONCENTRATIONS In countries with limited or developing markets, investments may present greater risks than in more developed markets and the prices of such investments may be volatile. The consequences of political, social or economic changes in these markets may have disruptive effects on the market prices of these investments and the income they generate, as well as a Fund's ability to repatriate such amounts. 7 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 a Fund, positive or negative, than if a Fund did not concentrate its investments in such sectors. 8 Item 2. 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 the 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 last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. Item 3. Exhibits. Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. 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. (Registrant) The Zweig Fund, Inc. By (Signature and Title)* /s/ Daniel T. Geraci ------------------------------- Daniel T. Geraci, President and Chief Executive Officer (principal executive officer) Date May 25, 2006 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/ Daniel T. Geraci ------------------------------- Daniel T. Geraci, President and Chief Executive Officer (principal executive officer) Date May 25, 2006 By (Signature and Title)* /s/ Nancy G. Curtiss ------------------------------- Nancy G. Curtiss, Treasurer (principal financial officer) Date May 24, 2006 * Print the name and title of each signing officer under his or her signature.