Edgar Filing: ZWEIG FUND INC /MD/

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

Carlton Neel
Executive Vice President

David Dickerson
Senior Vice President

Marc Baltuch
Chief Compliance Officer and Vice President

Moshe Luchins
Vice President

Kevin J. Carr
Chief Legal Officer and Secretary

Nancy Curtiss
Treasurer

Jacqueline Porter
Vice President and Assistant Treasurer

Charles H. Brunie
Director

Wendy Luscombe
Director

Alden C. Olson, Ph.D.
Director

James B. Rogers, Jr.
Director

R. Keith Walton
Director

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

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

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

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

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

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

This report is transmitted to the shareholders of The Zweig 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.

Q3-09

Quarterly Report

Zweig

The Zweig Fund, Inc.

September 30, 2009

[LOGO]

VIRTUS
INVESTMENT PARTNERS

FUND DISTRIBUTIONS AND MANAGED DISTRIBUTION PLAN

The Fund has a Managed Distribution Plan to pay 10% of the Fund's net asset
value on an annualized basis. Distributions may represent earnings from net
investment income, realized capital gains, or, if necessary, return of capital.
The board believes that regular quarterly, 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=ZF

November 1, 2009

Dear Fellow Zweig Fund Shareholder:

I am pleased to share with you the manager's report and commentary for the
Zweig Fund, Inc. for the quarter ended September 30, 2009.

The Zweig's Fund's net asset value increased 12.08% for the quarter ended
September 30, 2009, including $0.089 in re-invested distributions. During the
same period, the S&P 500 Index gained 15.61%, including re-invested dividends.
The Fund's average equity exposure for the quarter was approximately 78%.

For the nine months ended September 30, 2009 the Fund's net asset value rose
17.22%, including $0.248 in re-invested distributions. For the same period, the
S&P 500 was up 19.26% including re-invested dividends. The Fund's average
equity exposure for the nine months was approximately 79%.

Sincerely,

/s/ George R. Aylward

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

The third quarter of 2009 was one for the stock market history books. It saw
the Dow Jones Industrial Average surge 1,265 points, or 15%/(1)/, to close at
9,712, a gain of 48% /(1)/ from the March low but still off 31%/(1)/ from its
peak in October 2007. It was the Dow's greatest quarterly rise since the final
quarter of 1998 and the best third quarter since 1939. For the year to date,
the Dow was up 11%./(1)/ In its best quarter since 1998, the S&P Index gained
157 points, or 15%,/(1)/ to 1,057 in the third quarter. For the year to date,
the S&P 500 climbed 17%/(1)/, leaving it 56%/(1)/ higher than its March low but
still 32%/(1)/ under its October 2007 record. The NASDAQ Composite Index grew
16%/(1)/ in the third quarter to 2,162, and was up 29% /(1)/ for the year to
date.

Many of the global stocks also performed well. Excluding the U.S., the Dow
Jones Global Index increased 19%/(1)/ in the third quarter following a 26%/(1)/
gain in the second period. In Europe, the UK's FTSE 100 rebounded 21%/(1)/
after only an 8.2%/(1)/ increase in the second quarter. France's CAC-40 climbed
21%/(1)/ following a 12%/(1)/ rise in the second period. Germany's DAX grew
18%/(1)/, little changed from the first quarter gain. Asian markets did not
fare as well. China's Shanghai Composite Index fell 6.1%/(1)/ in the third
quarter after soaring nearly 63%/(1)/ in the first half. Japan's Nikkei Stock
Average of 225 Companies dropped 1.8%/(1)/ in the third quarter.

Following its September meeting, the Federal Reserve (the "Fed") stated that
"economic activity has picked up following its severe downturn." The Fed
reported that "conditions in financial markets had improved further and
activity in the housing market has increased." However the Fed cautioned that
the recovery would be slow and repeated its pledge to keep its benchmark
overnight interest rate at virtually zero for "an extended period." It added
that "inflation will remain subdued for some time."

/(1)/ Return excludes reinvested dividends.

Clouding the view of an economic recovery, the Labor Department reported
that U.S. employers shed an additional 263,000 jobs in September and that the
unemployment rate edged up to 9.8%, the highest level in six years. This brings
the job loss since the recession started in December of 2007 to 7.2 million and
the jobless rate has doubled. Commenting on the jobless situation, Federal
Reserve Chairman Ben Bernanke said that it was "very likely that the recession
has ended but it could be months before the unemployment rate dropped
significantly."

Another sign of a bumpy economic recovery was the report by the Institute of
Supply Management ("ISM") that its manufacturing activity index came to 52.6 in
September, slightly below the two-year high of 52.9 in August. A reading of 50
indicates expansion. Analysts polled by Thomson Reuters had forecast a stronger
reading of 54. Also disappointing was the Commerce Department report that
factory orders dipped 0.8% in August after a 1.4% gain in July. Analysts had
anticipated a 0.7% gain.

A similar pattern emerged with the Conference Board Report that consumer
confidence, which had improved in August, slipped in September. The September
index came to 52 (1985 = 100), down from an upwardly revised 54.5 in August. On
a more encouraging note, consumer spending, which comprises about 70% of the
economy, climbed 1.3% in August, the largest gain in nearly 8 years. However
much of the rise was propelled by the government's $3 billion cash-for-clunkers
program, which has expired. Meanwhile, the Fed reported that the consumer price
index in August was up 0.4% from July.

The housing market, a key factor in the economy, showed signs of recovery
after its worst downturn in decades. The Commerce Department reported that
housing construction in August rose 1.5% to an annual rate of 598,000 units,
the highest level in nine months. This is 24.8% above the record low set last
April. Other favorable factors included a 0.7% gain in new home sales in August
and an S&P report of a 1.6% increase in home prices in July. On the negative
side, sales of existing homes ended a four- month run of improvement by falling
2.7% in August, according to the National Association of Realtors.

There was no respite in the two-year decline in mergers and acquisitions in
the third quarter. U.S. volume slumped 61% to $103.9 billion from $270.2
billion a year earlier, according to Dealogic. Worldwide, the dollar volume of
deals declined 41% from last year's third quarter to $478.3 billion while the
8,124 deals presented a 20% drop. It was the lowest dollar volume since the
third quarter of 2004.

It was a different story with U.S. initial public offerings ("IPOs") which,
more than tripled in the third quarter, according to Hoover's. There were 17
new issues in the 2009 quarter against five in the like 2008 period. This year
IPOs raised $5.5 billion, up from $917 million last year. There was also a
sharp rebound in global IPOs, which raised $37.8 billion in the third quarter,
almost four times the $9.6 billion raised in the second quarter of this year,
according to Ernst and Young. Despite the quarterly gain, global activity
remains at a six-year low. In the first nine months of this year $49 billion
was raised against $92 billion in the like 2008 period.

Indicating that the U.S. and world economies might be reviving, U.S. imports
of goods and services and exports both rose in July, according to the Commerce
Department. Imports jumped 4.7% to $159.55 billion and exports gained 2.2% to
$127.59 billion. As a result of the disparity, the trade gap widened 16.3% to
$31.96 billion. However this figure was smaller than the $64.89 billion
difference at the same time last year.

The dollar weakened further in the third quarter. This should help U.S.
exports but may present problems if it falls too low. That might encourage
traders to borrow dollars and use the proceeds to buy higher yielding
investments in other countries. In the quarter the dollar shed

4.1% of its value against the Euro and fell 6.8% against the Yen. The British
pound was even weaker than the dollar. After gaining 15% against the dollar in
the second quarter, the pound lost 2.9% against the dollar and 6.9% against the
Euro in the third quarter.

Although the economy might have improved, analysts are not optimistic about
company earnings. They expect a 25% decline in the third quarter for the S&P
500 companies compared with the 2008 period, according to Thomson Reuters.
Historically, analysts have been too gloomy on earnings projections. In the
first quarter, profits of the S&P 500 companies declined 36%. However analysts
had been even more pessimistic. Meanwhile 65% of the companies exceeded
forecasts. The pattern was similar in the second quarter when earnings dropped
about 33% but 73% of the companies topped forecasts. The last time so many
companies beat forecasts was in the first quarter of 2004 and was the highest
since Thomson Reuters began keeping these records.

Among approximately 7,000 publicly-owned companies surveyed, a record low of
233 firms increased their dividends in the second quarter, according to
Standard and Poor's, which had been tracking these figures since 1956. At the
same time 250 companies reduced their payments, the most in over fifty years.
Slowing for the sixth consecutive quarter, stock buy-backs declined at an even
greater pace.

Stock valuations have been trending higher. On September 30 the S&P 500
Index was trading at 20.5 times trailing twelve months of earnings. That
compares with P/E ratios of 15.5 on June 30 and a twenty-five year average of
16.9, according to Morgan Stanley. The P/E ratios were lower based on earnings
forecast for the next twelve months. Here the ratio for the S&P 500 was 14.47
on September 30 against 13.9 on June 30 and close to the average ratio of 14.9
dating from 1984.

The P/E valuations on trailing earnings are high because earnings are down.
Looking forward to the figures for the next twelve months, we believe those
estimates are not that bad. However they are only estimates and there is no way
of knowing if they will be met.

As has been the pattern recently, analysts are more optimistic than
investors on the market outlook. Analysts surveyed by Investors Intelligence
showed 51% bulls and 44% bears at the close of the third quarter. This compares
with 44% bulls and 29% bears on June 30 and 37% bulls and 41% bears at the
quarter's end in 2008. The American Institute of Investors tallied 44% bulls
and 35% bears on September 30, 38% bulls and 44% bears on June 30 and 34% bulls
and 46% bears at the end of the third quarter last year.

Given the increased optimism resulting from the rising market, our overall
sentiment reading is not very good. However there are some interesting
indicators in the sentiment area that are favorable. So far the public has been
net sellers of stock funds and heavy buyers of bond funds. This shows there is
still skepticism about the market and that is a plus.

The current market has come a long way but the tape is still acting pretty
well. By keeping short-term interest rates near zero, the Fed is on the side of
the bulls. It appears that the banking crisis has mostly passed but banks still
have problems with bad loans. With more good news than bad, the economy seems
to have turned the corner but the recovery is still frail. It is not out of the
woods yet. Consequently, our posture is moderately positive and we are at about
78% invested.

Sincerely,

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

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

PORTFOLIO COMPOSITION

The Fund's leading stock market sectors as of September 30, 2009 included
Information Technology, Industrials, Health Care, Energy, and Consumer Staples.
While there were some changes in percentages held, all of the above appeared in
our previous listing.

Our leading individual positions as of September 30 included Cisco Systems,
Continental Airlines, Costco Wholesale , Freeport- McMoRan, NIKE, PepsiCo,
Philip Morris International, QUALCOMM, Under Armour, and Union Pacific. New to
this listing are Continental Airlines and Freeport-McMoRan, where we trimmed
our positions, and Costco, Under Armour and Union Pacific, where there were no
changes in shares held.

No longer among our top positions are Corning and Gilead, where there were
no changes in shares held, and Goldman Sachs, Hewlett-Packard, and Occidental
Petroleum, where we reduced our holdings.

Sincerely,

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

[CHART]

Sector Weightings September 30, 2009
(as a percentage of total investments)

Information Technology 15%
Industrials 10%
Health Care 10%
Energy 9%
Consumer Staples 9%
Materials 7%
Consumer Discretionary 6%
Other (includes short-term investments) 34%
----
Total 100%
====

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 6.

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.

CAC-40 Index: a narrow based modified capitalization weighted index of 40
companies listed on the Paris Bourse. It is a free float weighted index.

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

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

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.

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

Dow Jones 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: 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.

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

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

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

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

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

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

National Association of Realtors (NAR): A trade organization of Real Estate
professionals, founded in 1908 as the National Association of Real Estate
Exchanges.

Nikkei 225 Stock Average: A price weighted average of 225 top-rated Japanese
companies listed in the First Section of the Tokyo Stock Exchange.

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.

Shanghai Composite Index: A capitalization weighted index that tracks the daily
price performance of all A shares and B shares listed on the Shanghai Stock
Exchange.

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

THE ZWEIG FUND, INC.

SCHEDULE OF INVESTMENTS

September 30, 2009
(Unaudited)

Number of
Shares Value
($ reported in thousands) --------- -------

INVESTMENTS
COMMON STOCKS 76.5%
CONSUMER DISCRETIONARY -- 6.1%
McDonald's Corp.............................. 105,000 $ 5,992
NIKE, Inc. Class B........................... 120,000 7,764
Under Armour, Inc. Class A/(2)/.............. 265,000 7,375
-------
21,131
-------
CONSUMER STAPLES -- 9.1%
Altria Group, Inc............................ 310,000 5,521
Bunge Ltd.................................... 88,000 5,510
Costco Wholesale Corp........................ 115,000 6,493
PepsiCo, Inc................................. 110,000 6,452
Philip Morris International, Inc............. 150,000 7,311
-------
31,287
-------
ENERGY -- 9.2%
ConocoPhillips............................... 115,000 5,193
Halliburton Co............................... 215,000 5,831
Massey Energy Co............................. 128,000 3,570
Occidental Petroleum Corp.................... 81,000 6,350
Petroleo Brasileiro SA ADR................... 130,000 5,967
Valero Energy Corp........................... 245,000 4,751
-------
31,662
-------
FINANCIALS -- 5.6%
Allstate Corp. (The)......................... 120,000 3,674
Goldman Sachs Group, Inc. (The).............. 34,000 6,268
Hudson City Bancorp, Inc..................... 360,000 4,734
Reinsurance Group of America, Inc............ 104,000 4,639
-------
19,315
-------
HEALTH CARE -- 9.9%
Biogen Idec, Inc./(2)/....................... 124,000 6,264
Gilead Sciences, Inc./(2)/................... 129,000 6,009
Johnson & Johnson............................ 103,000 6,272
Merck & Co., Inc............................. 144,000 4,555
Shire plc ADR................................ 14,360 751

See Notes to Schedule of Investments

Number of
Shares Value
($ reported in thousands) --------- --------

HEALTH CARE (CONTINUED)
St. Jude Medical, Inc./(2)/............... 142,000 $ 5,539
UnitedHealth Group, Inc................... 195,000 4,883
--------
34,273
--------
INDUSTRIALS -- 10.2%
Boeing Co. (The).......................... 115,000 6,227
Caterpillar, Inc.......................... 88,000 4,517
Continental Airlines, Inc. Class B/(2)/... 480,000 7,891
Foster Wheeler AG/(2)/.................... 160,000 5,106
L-3 Communications Holdings, Inc.......... 65,000 5,221
Union Pacific Corp........................ 110,000 6,418
--------
35,380
--------
INFORMATION TECHNOLOGY -- 14.7%
Cisco Systems, Inc./(2)/.................. 330,000 7,768
Corning, Inc.............................. 380,000 5,818
Hewlett-Packard Co........................ 129,000 6,090
International Business Machines Corp...... 50,000 5,981
Microsoft Corp............................ 250,000 6,472
Nokia Oyj Sponsored ADR................... 345,000 5,044
QUALCOMM, Inc............................. 170,000 7,647
Research In Motion Ltd./(2)/.............. 91,000 6,147
--------
50,967
--------
MATERIALS -- 6.6%
Alcoa, Inc................................ 335,000 4,395
Freeport-McMoRan Copper & Gold, Inc....... 95,000 6,518
NuCor Corp................................ 135,000 6,346
Potash Corp. of Saskatchewan, Inc......... 60,000 5,421
--------
22,680
--------
TELECOMMUNICATION SERVICES -- 3.4%
AT&T, Inc................................. 220,000 5,942
Verizon Communications, Inc............... 192,000 5,812
--------
11,754
--------
UTILITIES -- 1.7%
Exelon Corp............................... 119,000 5,905
--------
5,905
--------
Total Common Stocks (Identified Cost $270,344) 264,354
--------

See Notes to Schedule of Investments

Number of
Shares Value
($ reported in thousands) ---------- --------

EXCHANGE TRADED FUNDS 3.9%
PowerShares Deutsche Bank Agriculture Fund/(2)/. 206,000 $ 5,245
Proshares Ultrashort S&P 500.................... 100,000 4,044
Templeton Dragon Fund, Inc...................... 160,000 4,064
--------
Total Exchange Traded Funds (Identified Cost $14,119) 13,353
--------
Total Long Term Investments -- 80.4% (Identified cost
$284,463)......................................... 277,707
--------
SHORT-TERM INVESTMENTS 20.0%
MONEY MARKET MUTUAL FUNDS -- 1.4%
State Street Institutional Liquid Reserves
Fund--Institutional Shares (seven-day
effective yield 0.260%)....................... 4,987,801 4,988
--------

Par
----------
U.S. TREASURY BILL/(3)/ -- 18.6%
U.S. Treasury Bill
0.136%, 2/11/10............................. $ 44,000 43,980
0.455%, 4/1/10.............................. 20,000 19,982
--------
63,962
--------
Total Short-Term Investments (Identified Cost $68,901) 68,950
--------
Total Investments (Identified Cost $353,364) -- 100.4% 346,657/(1)/
Other assets and liabilities, net -- (0.4)%......... (1,234)
--------
Net Assets -- 100.0%................................ $345,423
========

--------
(1) For Federal Income Tax Information see Note 3 in the Notes to Schedule of
Investments.
(2) Non-income producing.
(3) The rate shown is the discount rate.

See Notes to Schedule of Investments

The following table provides a summary of inputs used to value the Fund's
net assets as of September 30, 2009 (see Security Valuation Note 1A in the
Notes to Schedule of Investments):

Level 2
Total Level 1 Significant
Value at Quoted Observable
September 30, 2009 Price Input
------------------ -------- -----------

Investments in Securities:
Equity Securities:
Common Stocks................. $264,354 $264,354 $ --
Exchange Traded Funds......... 13,353 13,353 --
Short-Term Investments........ 4,988 4,988 --
Debt Securities:
U.S. Treasury Obligations..... 63,962 -- 63,962
-------- -------- -------
Total...................... $346,657 $282,695 $63,962
======== ======== =======

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

See Notes to Schedule of Investments

THE ZWEIG FUND, INC.

FINANCIAL HIGHLIGHTS

September 30, 2009
(Unaudited)

(Reported in thousands except for the per share amounts)

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

Beginning of period: December 31, 2008..................... $322,293 $3.50
Net investment income................................... $ 1,802 $ 0.02
Net realized and unrealized gain on investments......... 44,133 0.49
Dividends from net investment income and distributions
from net long-term and short-term capital gains*...... (22,805) (0.25)
--------
Net increase (decrease) in net assets/net asset value... 23,130 0.26
-------- -----
End of period: September 30, 2009.......................... $345,423 $3.76
======== =====

--------
*Please note that the tax status of our distributions is determined at the
end of the taxable year. However, based on interim data as of September 30,
2009, we estimate that 92% of distributions represent return of capital and
8% represent net investment income distributions which are taxable as
ordinary income. Also refer to inside front cover for the Managed
Distribution Plan.

See Notes to Schedule of Investments

THE ZWEIG FUND, INC.

NOTES TO SCHEDULE OF INVESTMENTS

September 30, 2009
(Unaudited)

NOTE 1 -- SIGNIFICANT ACCOUNTING POLICIES

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

A. Security Valuation:

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

Debt securities are valued on the basis of broker quotations or valuations
provided by a pricing service, which utilizes information with respect to
recent sales, market transactions in comparable securities, quotations from
dealers, and various relationships between securities in determining value. Due
to continued volatility in the current market, valuations developed through
pricing techniques may materially vary from the actual amounts realized upon
sale of the securities.

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

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

Investments in underlying funds are valued at each fund's closing net asset
value determined as of the close of business of the New York Stock Exchange
(generally 4:00 p.m. Eastern time).

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

The Fund utilizes a fair value hierarchy which prioritizes the inputs to
valuation techniques used to measure fair value into three broad levels:

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

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

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

A summary of the inputs used to value the Fund's net assets by each major
security type is disclosed at the end of the Schedule of Investments.

The inputs or methodology used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities.

B. Security Transactions and Related Income:

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

C. Foreign Currency Translation:

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

NOTE 2 -- INDEMNIFICATIONS

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

NOTE 3 -- FEDERAL INCOME TAX INFORMATION

($ reported in thousands)

At September 30, 2009, federal tax cost and aggregate gross unrealized
appreciation (depreciation) of securities held by the Fund were as follows:

Net Unrealized
Federal Unrealized Unrealized Appreciation
Tax Cost Appreciation Depreciation (Depreciation)
-------- ------------ ------------ --------------

$355,812 $25,687 $(34,842) $(9,155)

NOTE 4 -- CREDIT RISK AND ASSET CONCENTRATIONS

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

High-yield/high-risk securities typically entail greater price volatility
and/or principal and interest rate risk. There is a greater chance that an
issuer will not be able to make principal and interest payments on time.
Analysis of the creditworthiness of issuers of high-yield securities may be
complex, and as a result, it may be more difficult for the Adviser and/or
Subadviser to accurately predict risk.

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 a concentration may have a greater impact on the Fund, positive or
negative, than if the Fund did not concentrate its investments in such sectors.

NOTE 5 -- SUBSEQUENT EVENT EVALUATIONS

Management has evaluated the impact of all subsequent events on the Fund
through November 20, 2009, the date the financial statements were issued, and
has determined that there were no subsequent events requiring recognition or
disclosure in the financial statements.

KEY INFORMATION

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

REINVESTMENT PLAN

Many of you have questions about our reinvestment plan. We urge shareholders
who want to take advantage of this plan and whose shares are held in "Street
Name," to consult your broker as soon as possible to determine if you must
change registration into your own name to participate.

REPURCHASE OF SECURITIES

Notice is hereby given in accordance with Section 23(c) of the Investment
Company Act of 1940 that the Fund may from time to time purchase its shares of
common stock in the open market when Fund shares are trading at a discount from
their net asset value.

PROXY VOTING INFORMATION (FORM N-PX)

The Adviser and Sub-Adviser vote proxies relating to portfolio securities in
accordance with procedures that have been approved by the Fund's Board of
Directors. You may obtain a description of these procedures, along with
information regarding how the Fund voted proxies during the most recent
12-month period ended June 30, 2009, free of charge, by calling toll-free
1-800-243-1574. This information is also available through the Securities and
Exchange Commission's website at http://www.sec.gov.

FORM N-Q INFORMATION

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