Market Price vs. Net Asset Value Per Share

Investors will notice that the market price and net asset value of the fund may not necessarily be the same. At times, the market price may be higher than the net asset value or underlying value of the fund. This is commonly referred to as trading at a premium to net asset value. At other times, the market price may be trading below the net asset value, in other words, trading at a discount to net asset value. For example, a shareholder may purchase the fund at $5.00 per share on the New York Stock Exchange, but the net asset value of the fund may be $4.00. In this instance, the shareholder paid a premium for the shares. The fund has no control over the stock price on the New York Stock Exchange. The stock price, as traded on the New York Stock Exchange, reflects supply and demand for the fund. The net asset value reflects the performance of the manager. Closed-end funds trade above and below their net asset value for a variety of reasons. Strong performance and unique features that are appealing to investors may cause these funds to trade at a premium. For example, many single-country funds, which permit shareholders access to countries that might otherwise be difficult to invest in, often trade at premiums. Alternately, poor performance, a large amount of unrealized gains, or lack of public information may cause these funds to trade at a discount to net asset value.

Automatic Reinvestment Plan

This plan offers shareholders a convenient way to acquire additional shares of the fund. Registered holders, those holding stock certificates, will be automatically placed in the Plan. If shares are held at a brokerage firm, contact your broker about participation.

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, fixed monthly 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 when some or all of the money that you invested in the Fund is paid back to you. A return of capital does not necessarily reflect the Fund's investment performance and should not be confused with "yield" or "income".

Please note that the characterization of Fund distributions for federal income tax purposes is different from book accounting generally accepted accounting principles ("GAAP"). 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. It is only after December 31 that we will know the exact source of our distributions. Shareholders should use only the Form 1099-DIV that will be mailed by January 31, to determine the taxability of our distributions.

The Board may amend, suspend or terminate the Managed Distribution Plan without prior notice to shareholders if it deems such action to be in the best interest of the Fund and its shareholders. Contact your financial representative for more information, or email or call Zweig for service at 1-800-272-2700.

The Zweig Total Return Fund is a closed-end fund traded on the New York and Pacific Stock Exchanges (Symbol ZTR). Shares must be purchased through a professional financial advisor.