Lazard Global Total Return and Income Fund, Inc.

Investment Overview

 

Dear Stockholders,

 

We are pleased to present this report for Lazard Global Total Return and Income Fund, Inc. (“LGI” or the “Fund”), for the quarter ended September 30, 2013. LGI is a diversified, closed-end management investment company that began trading on the New York Stock Exchange (“NYSE”) on April 28, 2004. Its ticker symbol is “LGI.”

 

For the third quarter of 2013, the Fund’s net asset value (“NAV”) performance was behind its benchmark, the Morgan Stanley Capital International (MSCI^®) World^® Index (the “Index”). However, we are pleased with LGI’s favorable NAV performance over the three-year period ended September 30, 2013 and since inception. We believe that the Fund has provided investors with an attractive yield and diversification, backed by the extensive experience, commitment, and professional management of Lazard Asset Management LLC (the “Investment Manager” or “Lazard”).

 

Portfolio Update (as of September 30, 2013)

 

For the third quarter of 2013, the Fund’s NAV returned 5.7%, underperforming the Index return of 8.2%. Similarly, for the year-to-date period, the Fund’s NAV returned 13.2%, below the Index return of 17.3%, and it also underperformed the Index for the 12 months ended September 30, 2013. However, the Fund’s NAV outperformed the Index for the three-year period then ended, as well as on an annualized basis since inception, with a return of 7.0%, ahead of the 6.2% return for the Index. Shares of LGI ended the third quarter of 2013 with a market price of $16.74, representing an 11.3% discount to the Fund’s NAV of $18.87.

 

The Fund’s net assets were $181.2 million as of September 30, 2013, with total leveraged assets of $231.3 million, representing a 21.6% leverage rate. This leverage rate is lower than that at the end of the second quarter of 2013 (24.8%), and below the maximum permitted leverage rate of 33⅓%.

 

Within the global equity portfolio, stock selection in the energy and utilities sectors contributed to performance for the third quarter. In contrast, stock selection in the information technology and health care sectors, as well as in the United Kingdom, detracted from performance.

 

Performance for the smaller, short-duration¹ emerging-market currency and debt portion of the Fund rebounded in September, but remains negative year to date. It has contributed positively to performance since inception.

 

As of September 30, 2013, 75.3% of the Fund’s total leveraged assets consisted of global equities, 24.5% consisted of emerging-market currency and debt instruments, and 0.2% consisted of cash and other net assets.

 

Declaration of Distributions

 

Pursuant to LGI’s Level Distribution Policy, the Fund declares, monthly, a distribution equal to 6.25% (on an annualized basis) of the Fund’s NAV on the last business day of the previous year. The current monthly distribution rate per share of $0.09073 represents a distribution yield of 6.5% based on the Fund’s $16.74 market price as of the close of trading on the NYSE on September 30, 2013. It is currently estimated that $0.51444 of the $0.81657 distributed per share year-to-date through September 30, 2013 may represent a return of capital.

 

Additional Information

 

Please note that, available on www.LazardNet.com, are frequent updates on the Fund’s performance, press releases, distribution information, and a monthly fact sheet that provides information about the Fund’s major holdings, sector weightings, regional exposures, and other characteristics, including the notices required by Section 19(a) of the Investment Company Act of 1940, as amended. You may also reach Lazard by phone at 1-800-823-6300.

 

On behalf of Lazard, we thank you for your investment in Lazard Global Total Return and Income Fund, Inc. and look forward to continuing to serve your investment needs in the future.

Lazard Global Total Return and Income Fund, Inc.

Investment Overview (continued)

 

Message from the Portfolio Managers

 

Global Equity Portfolio

(75.3% of total leveraged assets)

 

The Fund’s global equity portfolio is invested primarily in equity securities of large, well-known global companies with, we believe, strong financial productivity at attractive valuations. Examples include GlaxoSmithKline, a global research-based pharmaceutical company based in the United Kingdom; The Bank of New York Mellon, a US-based company that provides financial products and services for institutions and individuals worldwide; Canon, a Japanese manufacturer and distributor of network digital multifunction devices, copying machines, printers and cameras; and Total, a French energy supplier that explores for, produces, refines, transports, and markets oil and natural gas.

 

Companies held in the global equity portfolio are all based in developed-market regions around the world. As of September 30, 2013, 44.6% of these stocks were based in North America, 26.3% were based in continental Europe (not including the United Kingdom), 14.6% were from the United Kingdom, 9.7% were from Japan, 4.1% were from the rest of Asia (not including Japan), and 0.7% were from the Middle East. The global equity portfolio is similarly well diversified across a number of industry sectors. The top two sectors, by weight, at September 30, 2013, were: financials (19.2%), which includes banks, diversified financials, insurance, and real estate; and health care (19.0%), which includes health care equipment and services, and pharmaceuticals biotechnology and life sciences. Other sectors in the portfolio include consumer discretionary, consumer staples, energy, industrials, information technology, materials, telecom services, and utilities. The average dividend yield on the securities held in the global equity portfolio was approximately 3.1% as of September 30, 2013.

 

Global Equity Markets Review

Global markets rose during the third quarter, as the US Federal Reserve (the “Fed”) delayed tapering at its September meeting, electing to maintain the pace of its bond buying program. While concerns arose in the second half of the quarter due to turmoil in Syria and a stalemate in Congress over the US federal budget, the markets appeared to be relatively unaffected by the news flow. In Europe, markets rallied as Angela Merkel’s party won German elections and on better-than-expected euro zone data. Japanese securities also rose as revised second-quarter GDP came in above expectations, easing concerns about sales tax increases that are scheduled to take effect in 2014. In China, markets rose as strong manufacturing data affirmed indications that the economy had stabilized.

 

What Helped and What Hurt LGI

Stock selection in the energy sector contributed to performance. Shares of French integrated oil company Total rose after management commentary at its investor day indicated that capital expenditures had peaked and that the company would be making free-cash-flow generation a priority. We are encouraged by the comments, as we believe the company is prudently managing capital expenditures, and we expect new projects coming on-line to drive production growth and free-cash-flow generation. Stock selection in the utilities sector was a moderate contributor to performance. Shares of French energy services provider GDF Suez rose after the company reported first-half earnings. While results were broadly in-line with expectations, investors were encouraged by management’s commentary that it expects full-year earnings to be at the high end of its projected range.

 

In contrast, stock selection in the information technology sector detracted from performance. Shares of Microsoft were negatively affected by profit taking after a period of strength following disappointing earnings results, including the write-down on the value of unsold tablets. Shares of Intel, a US designer, manufacturer, and distributor of computer components, declined as weakness in PC markets caused management to adjust guidance downward. Despite some end-market weakness, we continue to believe that Intel is a leader in the semiconductor space, and that it has the intellectual property, economies of scale, and

 

2

Lazard Global Total Return and Income Fund, Inc.

Investment Overview (continued)

 

resources to continue to drive cost reduction, which should allow the company to prosper in the newer markets of networking, smartphones, and tablets. Shares of networking technology provider Cisco also fell after the company issued a cautious outlook. The company also announced that it planned to trim 5% of its workforce. However, we believe Cisco remains well positioned to maintain share in legacy areas as a result of its massive services business, while also participating in new growth areas of networking and growth. Stock selection in the health care sector also detracted from returns. Shares of French pharmaceuticals maker Sanofi fell after the company reported quarterly earnings below expectations and management lowered its full-year forecast. The disappointing results were attributed to competition in generics and inventory mismanagement in Brazil. We believe Sanofi has attractive pipeline assets and the potential to expand into higher-growth markets over the longer term, as well as an attractive valuation relative to peers. Stock selection within the United Kingdom also detracted from performance, as Unilever, a manufacturer of branded and packaged consumer goods, had slowing sales growth.

 

Emerging Market Currency and Debt Portfolio

(24.5% of total leveraged assets)

 

The Fund also seeks enhanced income through investing in primarily high-yielding, short-duration emerging market forward currency contracts and local currency debt instruments. As of September 30, 2013, this portfolio consisted of forward currency contracts (76.2%) and sovereign debt obligations (23.8%). The average duration of the emerging-market currency and debt portfolio decreased from approximately 11 months to approximately 10 months during the third quarter, while the average yield declined from 7.1%² on June 30, 2013 to 6.2% on September 30, 2013.

 

Emerging Market Currency and Debt Market Review

Emerging-market local currency and debt markets were affected by currency and interest rate volatility that began during the second quarter as concerns over a hard landing in China, and fears that the tapering of stimulus by the Fed, would remove relative support for emerging-market currencies. However, by September, improving global data suggested that a cyclical rebound in emerging-market assets was in its nascent stages. Strong leading indicators in the United States and Europe, along with the Fed’s decision to refrain from tapering quantitative easing, led to a currency rebound, and the portfolio ended the quarter with a positive result.

 

What Helped and What Hurt LGI

Country and security selection in Europe was beneficial to quarterly performance as a general improvement in European data helped exposures (and currencies) throughout the region. Specifically, Russian and Romanian bonds have benefited from an easy monetary stance and modest currency appreciation. Frontier markets Nigeria, Zambia, and Uganda benefited from high yields and currency appreciation. Elsewhere, South Korea, the top-performing Asian local market, also performed well as its economy, which has a current-account surplus with ample reserves, may be poised for a recovery as exports rebound.

 

Asian exposures, most notably Indonesia, India, and Malaysia, had a negative impact on portfolio performance. Increased financing requirements and a large foreign investor presence (especially in Indonesia and Malaysia) weighed on results as investors digested the implications of an eventual Fed taper. Uruguay detracted from performance due to a shift in the central bank’s stance, away from targeting inflation and toward supporting growth, along with recently introduced higher collateral regulations aimed at discouraging foreign participation in the country’s local debt market. While we began to reduce exposure in response to the policy change, the Uruguayan peso’s weakness was sharp and occurred rapidly amidst thin liquidity.

 

3

Lazard Global Total Return and Income Fund, Inc.

Investment Overview (continued)

Notes to Investment Overview:

 

1	A measure of the average cash weighted term-to-maturity of the investment holdings. Duration is a measure of the price sensitivity of a bond to interest rate movements. Duration for a forward currency contract is equal to its term-to-maturity.
2	The quoted yield does not account for the implicit cost of borrowing on the forward currency contracts, which would reduce the yield shown.

 

All returns reflect reinvestment of all dividends and distributions. Past performance is not indicative, or a guarantee, of future results.

 

The performance data of the Index and other market data have been prepared from sources and data that the Investment Manager believes to be reliable, but no representation is made as to their accuracy. The Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets. The Index is unmanaged, has no fees or costs and is not available for investment.

 

The views of the Fund’s Investment Manager and the securities described in this report are as of September 30, 2013; these views and portfolio holdings may have changed subsequent to this date. Nothing herein should be construed as a recommendation to buy, sell, or hold a particular security. There is no assurance that the securities discussed herein will remain in the Fund at the time you receive this report, or that securities sold will not have been repurchased. The specific securities discussed may, in aggregate, represent only a small percentage of the Fund’s holdings. It should not be assumed that securities identified and discussed were, or will be, profitable, or that the investment decisions made in the future will be profitable, or equal the investment performance of the securities discussed herein.

 

The views and opinions expressed are provided for general information only, and do not constitute specific tax, legal, or investment advice to, or recommendations for, any person. There can be no guarantee as to the accuracy of the outlooks for markets, sectors and securities as discussed herein.

 

4

Lazard Global Total Return and Income Fund, Inc.

Investment Overview (continued)

 

 

Comparison of Changes in Value of $10,000 Investment in
LGI and MSCI World Index* (unaudited)

 

 

 

 

 

 

5

Lazard Global Total Return and Income Fund, Inc.

Investment Overview (concluded)

 

 

Ten Largest Equity Holdings September 30, 2013 (unaudited)
Security		Value				Percentage of Net Assets
Mitsubishi UFJ Financial Group, Inc. ADR		$	6,736,269				3.7	%
HSBC Holdings PLC Sponsored ADR			6,623,138				3.7
Microsoft Corp.			6,246,458				3.4
Johnson & Johnson			6,245,147				3.4
Roche Holding AG Sponsored ADR			6,239,772				3.4
Novartis AG ADR			6,052,419				3.3
Honeywell International, Inc.			5,372,688				3.0
Sanofi SA ADR			5,326,276				2.9
The Home Depot, Inc.			5,289,400				2.9
Cisco Systems, Inc.			5,161,768				2.8

 

6

Lazard Global Total Return and Income Fund, Inc.

Portfolio of Investments

September 30, 2013 (unaudited)

 

 

Description		Shares				Value
Common Stocks—96.1%
Australia—1.4%
BHP Billiton, Ltd. Sponsored ADR			38,500			$	2,560,250
Finland—1.3%
Sampo Oyj, A Shares ADR			109,500				2,350,965
France—6.0%
GDF Suez Sponsored ADR			75,981				1,913,202
Sanofi SA ADR			105,200				5,326,276
Total SA Sponsored ADR			64,000				3,706,880
							10,946,358
Germany—2.4%
SAP AG Sponsored ADR			59,300				4,383,456
Ireland—2.2%
CRH PLC Sponsored ADR			168,070				4,062,252
Israel—0.7%
Israel Chemicals, Ltd. ADR			140,700				1,201,578
Italy—1.9%
Eni SpA Sponsored ADR			74,250				3,417,728
Japan—9.4%
Canon, Inc. Sponsored ADR			44,700				1,430,400
Hoya Corp. Sponsored ADR			73,500				1,747,095
Mitsubishi UFJ Financial Group, Inc. ADR			1,050,900				6,736,269
Nomura Holdings, Inc. ADR			413,045				3,225,881
Sumitomo Mitsui Financial Group, Inc. Sponsored ADR			393,600				3,829,728
							16,969,373
Singapore—2.5%
Singapore Telecommunications, Ltd. ADR			151,100				4,526,956
Spain—1.6%
Banco Santander SA Sponsored ADR			349,623				2,856,420
Switzerland—9.8%
Novartis AG ADR			78,900				6,052,419
Roche Holding AG Sponsored ADR			92,400				6,239,772
UBS AG			154,572				3,171,817
Zurich Insurance Group AG ADR			92,500				2,382,449
							17,846,457
United Kingdom—14.1%
BP PLC Sponsored ADR			102,155				4,293,575
British American Tobacco PLC Sponsored ADR			37,700				3,964,155
GlaxoSmithKline PLC Sponsored ADR			80,200				4,023,634
HSBC Holdings PLC Sponsored ADR			122,063				6,623,138
Unilever PLC Sponsored ADR			99,100				3,823,278
Wm Morrison Supermarkets PLC ADR			120,300				2,740,434
							25,468,214
United States—42.8%
Cisco Systems, Inc.			220,400				5,161,768
Comcast Corp., Class A			106,120				4,602,424
ConocoPhillips			32,900				2,286,879
Emerson Electric Co.			67,600				4,373,720
Halliburton Co.			89,900				4,328,685
Honeywell International, Inc.			64,700				5,372,688
Intel Corp.			155,400				3,561,768
International Business Machines Corp.			24,460				4,529,503
Johnson & Johnson			72,040				6,245,147
Merck & Co., Inc.			75,300				3,585,033
Microsoft Corp.			187,525				6,246,458
Oracle Corp.			100,440				3,331,595
PepsiCo, Inc.			41,100				3,267,450
Pfizer, Inc.			87,566				2,514,020
The Bank of New York Mellon Corp.			103,600				3,127,684
The Home Depot, Inc.			69,735				5,289,400
United Technologies Corp.			47,200				5,089,104
Wal-Mart Stores, Inc.			62,800				4,644,688
							77,558,014
Total Common Stocks
(Identified cost $150,634,296)							174,148,021

 

See Notes to Portfolio of Investments.

 

7 

Lazard Global Total Return and Income Fund, Inc.

Portfolio of Investments (continued)

September 30, 2013 (unaudited)

 

 

Description		Principal Amount (000) (a)				Value
Foreign Government Obligations—9.7%
Brazil—2.7%
Brazil NTN-B:
6.00%, 05/15/15			1,745			$	1,918,172
6.00%, 08/15/16			503				542,268
6.00%, 08/15/18			850				919,207
Brazil NTN-F,
10.00%, 01/01/23			3,733				1,574,078
							4,953,725
Colombia—0.1%
Republic of Colombia,
12.00%, 10/22/15			305,000				182,716
Mexico—1.6%
Mexican Bonos:
7.00%, 06/19/14			8,360				653,266
9.50%, 12/18/14			16,100				1,313,642
7.75%, 12/14/17			9,930				846,872
							2,813,780
Romania—0.9%
Romania Government Bonds:
5.80%, 10/26/15			3,330				1,043,603
5.90%, 07/26/17			1,700				541,908
							1,585,511
Russia—1.9%
Russia Government Bonds—OFZ:
6.90%, 08/03/16			13,107				409,676
7.50%, 02/27/19			11,500				366,013
7.60%, 04/14/21			27,300				869,094
7.60%, 07/20/22			16,972				538,208
7.00%, 01/25/23			21,200				646,112
8.15%, 02/03/27			19,900				643,035
							3,472,138
South Africa—0.7%
Republic of South Africa,
8.25%, 09/15/17			12,150				1,269,788
Turkey—1.8%
Turkey Government Bonds:
4.50%, 02/11/15			2,567				1,316,317
4.00%, 04/29/15			3,864				1,972,014
							3,288,331
Uruguay—0.0%
Uruguay Monetary Regulation Bill, 0.00%, 01/31/14			1,568				69,399
Total Foreign Government Obligations (Identified cost $18,281,899)							17,635,388
Description		Shares				Value
Short-Term Investment—0.8%
State Street Institutional Treasury Money Market Fund (Identified cost $1,404,777)			1,404,777			$	1,404,777
Total Investments—106.6%
(Identified cost $170,320,972) (b), (c)						$	193,188,186
Liabilities in Excess of Cash and Other Assets—(6.6)%							(11,973,033	)
Net Assets—100.0%						$	181,215,153

 

See Notes to Portfolio of Investments.

 

8

Lazard Global Total Return and Income Fund, Inc.

Portfolio of Investments (continued)

September 30, 2013 (unaudited)

 

 

Forward Currency Purchase Contracts open at September 30, 2013:

 

Currency		Counterparty		Expiration Date		Foreign Currency Amount			US $ Cost on Origination Date			US $ Current Value			Unrealized Appreciation			Unrealized Depreciation
BRL		UBS		10/02/13			3,031,904		$	1,365,107		$	1,368,002		$	2,895		$	—
CLP		BNP		10/16/13			361,489,100			707,000			714,841			7,841			—
CLP		BNP		11/08/13			339,042,000			660,000			668,340			8,340			—
CLP		UBS		10/10/13			618,009,150			1,240,858			1,223,083			—			17,775
CNY		HSB		10/21/13			3,881,685			629,000			633,765			4,765			—
CNY		SCB		10/21/13			6,882,792			1,112,820			1,123,758			10,938			—
COP		BNP		12/02/13			750,750,000			390,355			391,773			1,418			—
COP		CIT		10/03/13			750,750,000			385,000			393,795			8,795			—
COP		CIT		10/16/13			2,765,260,100			1,433,000			1,448,923			15,923			—
COP		HSB		10/08/13			1,554,009,600			814,641			814,797			156			—
COP		UBS		11/05/13			1,900,142,700			972,736			993,986			21,250			—
CZK		BNP		10/07/13			18,302,816			940,939			963,972			23,033			—
CZK		BNP		11/22/13			26,645,647			1,387,775			1,403,688			15,913			—
CZK		JPM		10/07/13			16,805,556			853,624			885,114			31,490			—
EUR		BRC		10/01/13			679,982			916,955			919,914			2,959			—
EUR		BRC		11/25/13			1,066,555			1,445,334			1,443,095			—			2,239
EUR		CIT		11/06/13			1,292,175			1,700,638			1,748,272			47,634			—
EUR		JPM		11/06/13			151,190			202,500			204,556			2,056			—
GHS		CIT		11/25/13			1,321,000			591,316			590,019			—			1,297
GHS		SCB		11/19/13			2,477,000			1,157,477			1,109,628			—			47,849
HUF		BRC		10/01/13			203,749,920			905,692			926,812			21,120			—
HUF		BRC		10/31/13			194,594,400			875,723			883,311			7,588			—
HUF		JPM		10/10/13			206,476,500			897,090			938,671			41,581			—
HUF		JPM		10/10/13			312,116,000			1,393,497			1,418,923			25,426			—
HUF		JPM		10/15/13			303,480,060			1,363,290			1,379,164			15,874			—
IDR		BRC		10/03/13			7,526,397,500			660,500			649,833			—			10,667
IDR		BRC		10/17/13			10,131,384,500			879,461			872,592			—			6,869
IDR		JPM		10/03/13			2,604,987,000			231,000			224,916			—			6,084
INR		HSB		10/31/13			43,825,320			693,000			694,359			1,359			—
INR		JPM		02/10/14			84,675,200			1,504,000			1,308,814			—			195,186
INR		SCB		10/15/13			45,243,715			705,500			720,165			14,665			—
KRW		CIT		10/23/13			1,687,707,220			1,553,000			1,568,299			15,299			—
KRW		HSB		10/10/13			1,225,984,850			1,114,000			1,140,204			26,204			—
KZT		CIT		01/06/14			65,846,310			427,074			420,292			—			6,782
KZT		CIT		03/17/14			122,486,460			783,663			770,604			—			13,059
KZT		HSB		10/30/13			134,019,200			868,000			867,802			—			198

 

See Notes to Portfolio of Investments.

 

9

Lazard Global Total Return and Income Fund, Inc.

Portfolio of Investments (continued)

September 30, 2013 (unaudited)

 

 

Forward Currency Purchase Contracts open at September 30, 2013 (continued):

 

Currency		Counterparty		Expiration Date		Foreign Currency Amount			US $ Cost on Origination Date			US $ Current Value			Unrealized Appreciation			Unrealized Depreciation
KZT		HSB		06/16/14			106,216,700		$	669,503		$	656,894		$	—		$	12,609
KZT		HSB		06/16/14			134,019,200			844,056			828,838			—			15,218
KZT		UBS		02/28/14			93,024,750			600,160			587,297			—			12,863
MXN		CIT		10/21/13			8,210,147			634,380			626,232			—			8,148
MXN		UBS		10/21/13			8,790,323			675,000			670,485			—			4,515
MYR		CIT		10/18/13			1,466,090			463,000			449,312			—			13,688
MYR		JPM		10/18/13			6,063,930			1,850,000			1,858,410			8,410			—
MYR		JPM		11/06/13			1,262,368			383,000			386,393			3,393			—
NGN		BRC		06/18/14			39,365,250			219,000			227,911			8,911			—
NGN		CIT		10/23/13			228,804,400			1,396,000			1,409,079			13,079			—
NGN		JPM		06/17/14			60,480,000			336,000			350,250			14,250			—
NGN		SCB		10/31/13			53,784,000			321,867			330,327			8,460			—
NGN		SCB		10/31/13			81,361,800			486,759			499,703			12,944			—
NGN		SCB		12/18/13			169,370,700			996,298			1,022,313			26,015			—
NGN		SCB		03/20/14			139,264,050			801,520			824,729			23,209			—
PEN		BNP		10/18/13			1,839,233			661,000			659,133			—			1,867
PEN		BNP		10/24/13			1,844,521			668,668			660,550			—			8,118
PEN		BNP		11/04/13			1,348,530			474,000			482,290			8,290			—
PEN		BNP		11/22/13			2,841,951			1,018,000			1,014,323			—			3,677
PEN		UBS		10/21/13			2,191,418			777,788			785,063			7,275			—
PHP		JPM		10/16/13			57,261,600			1,320,000			1,315,329			—			4,671
PHP		JPM		12/12/13			59,287,330			1,357,000			1,361,655			4,655			—
PHP		SCB		01/13/14			38,403,200			880,000			881,737			1,737			—
PLN		BNP		10/22/13			3,056,428			967,193			977,563			10,370			—
PLN		BRC		10/21/13			4,216,974			1,327,000			1,348,831			21,831			—
PLN		JPM		11/05/13			2,735,564			847,383			874,210			26,827			—
RON		JPM		10/04/13			4,773,977			1,420,869			1,449,615			28,746			—
RON		JPM		11/12/13			4,587,017			1,343,000			1,389,240			46,240			—
RSD		BRC		12/09/13			141,526,350			1,631,334			1,646,370			15,036			—
RSD		CIT		10/16/13			65,848,640			771,875			775,211			3,336			—
RUB		BNP		12/09/13			31,123,575			941,000			949,256			8,256			—
RUB		UBS		12/13/13			32,808,600			990,000			999,872			9,872			—
SGD		HSB		10/23/13			1,709,074			1,357,000			1,362,342			5,342			—
THB		BNP		10/18/13			17,170,270			538,000			548,390			10,390			—
THB		SCB		10/21/13			39,659,054			1,248,790			1,266,416			17,626			—
TRY		JPM		10/21/13			2,051,609			1,019,179			1,012,070			—			7,109
TWD		JPM		10/16/13			26,963,580			909,702			912,138			2,436			—

 

See Notes to Portfolio of Investments.

 

10

Lazard Global Total Return and Income Fund, Inc.

Portfolio of Investments (continued)

September 30, 2013 (unaudited)

 

 

Forward Currency Purchase Contracts open at September 30, 2013 (concluded):

 

Currency		Counterparty		Expiration Date		Foreign Currency Amount			US $ Cost on Origination Date			US $ Current Value			Unrealized Appreciation			Unrealized Depreciation
UGX		BRC		10/11/13			1,407,437,000		$	543,832		$	550,676		$	6,844		$	—
UGX		CIT		10/25/13			1,388,498,000			543,231			541,343			—			1,888
UYU		CIT		10/28/13			7,621,000			352,498			343,919			—			8,579
UYU		HSB		10/21/13			6,000,000			273,973			271,224			—			2,749
UYU		JPM		10/07/13			20,953,000			926,283			950,364			24,081			—
UYU		JPM		11/25/13			9,702,000			440,000			434,898			—			5,102
VND		CIT		10/16/13			2,544,750,000			117,000			120,299			3,299			—
ZAR		JPM		10/28/13			18,071,626			1,807,000			1,793,239			—			13,761
ZMW		BRC		11/07/13			4,910,000			877,569			913,578			36,009			—
ZMW		BRC		12/26/13			3,288,175			583,010			603,147			20,137			—
ZMW		JPM		04/08/14			1,500,000			253,207			266,409			13,202			—
ZMW		SCB		11/29/13			4,171,375			755,000			771,056			16,056			—
ZMW		SCB		12/19/13			1,290,812			224,294			237,241			12,947			—
Total Forward Currency Purchase Contracts									$	74,603,786		$	75,025,252		$	854,033		$	432,567

 

Forward Currency Sale Contracts open at September 30, 2013:

 

Currency		Counterparty		Expiration Date		Foreign Currency Amount			US $ Cost on Origination Date			US $ Current Value			Unrealized Appreciation			Unrealized Depreciation
BRL		UBS		10/02/13			3,031,904		$	1,276,000		$	1,368,002		$	—		$	92,002
BRL		UBS		11/04/13			3,179,274			1,421,000			1,423,322			—			2,322
CLP		UBS		10/10/13			409,235,300			817,000			809,905			7,095			—
COP		BNP		10/03/13			750,750,000			392,446			393,795			—			1,349
CZK		BNP		11/22/13			19,827,245			1,026,000			1,044,495			—			18,495
EUR		BNP		10/07/13			707,000			940,939			956,477			—			15,538
EUR		BNP		10/25/13			1,402,000			1,849,301			1,896,804			—			47,503
EUR		BNP		10/25/13			1,705,000			2,270,011			2,306,740			—			36,729
EUR		BRC		10/01/13			677,000			905,692			915,880			—			10,188
EUR		BRC		10/31/13			648,000			875,723			876,709			—			986
EUR		BRC		12/09/13			1,209,110			1,631,334			1,636,039			—			4,705
EUR		CIT		10/16/13			569,034			771,875			769,845			2,030			—
EUR		HSB		12/23/13			962,023			1,303,542			1,301,751			1,791			—
EUR		JPM		10/07/13			648,000			853,624			876,658			—			23,034
EUR		JPM		10/15/13			1,014,000			1,363,290			1,371,834			—			8,544
EUR		JPM		11/05/13			641,000			847,383			867,250			—			19,867
EUR		JPM		11/06/13			3,592,770			4,769,133			4,860,904			—			91,771
EUR		UBS		11/29/13			351,000			468,567			474,923			—			6,356

 

See Notes to Portfolio of Investments.

 

11

Lazard Global Total Return and Income Fund, Inc.

Portfolio of Investments (continued)

September 30, 2013 (unaudited)

 

 

Forward Currency Sale Contracts open at September 30, 2013 (concluded):

 

Currency		Counterparty		Expiration Date		Foreign Currency Amount			US $ Cost on Origination Date			US $ Current Value			Unrealized Appreciation			Unrealized Depreciation
EUR		UBS		11/29/13			1,090,214		$	1,446,251		$	1,475,124		$	—		$	28,873
HUF		BRC		10/01/13			203,749,920			916,956			926,812			—			9,856
HUF		UBS		10/21/13			15,022,070			67,000			68,238			—			1,238
IDR		BRC		10/03/13			10,131,384,500			886,385			874,749			11,636			—
JPY		CIT		12/18/13			85,502,655			865,000			870,290			—			5,290
JPY		HSB		11/25/13			158,367,652			1,624,951			1,611,633			13,318			—
JPY		SCB		10/28/13			155,378,708			1,555,810			1,580,968			—			25,158
JPY		UBS		10/28/13			39,868,022			401,000			405,655			—			4,655
KZT		CIT		10/10/13			84,766,000			550,000			550,444			—			444
KZT		HSB		10/30/13			134,019,200			868,844			867,802			1,042			—
NGN		CIT		10/23/13			26,235,900			162,000			161,572			428			—
RUB		BRC		10/28/13			38,431,899			1,193,000			1,181,306			11,694			—
TRY		BRC		02/12/14			93,005			46,523			44,940			1,583			—
TRY		HSB		10/21/13			2,051,609			1,016,000			1,012,070			3,930			—
TRY		JPM		12/04/13			868,296			426,933			425,038			1,895			—
TRY		JPM		12/04/13			955,755			484,000			467,850			16,150			—
TRY		JPM		04/21/14			2,051,609			985,072			978,588			6,484			—
ZAR		CIT		10/28/13			17,482,379			1,744,000			1,734,769			9,231			—
Total Forward Currency Sale Contracts									$	39,022,585		$	39,389,181			88,307			454,903
Gross unrealized appreciation/depreciation on Forward Currency Purchase and Sale Contracts															$	942,340		$	887,470

 

See Notes to Portfolio of Investments.

 

12

Lazard Global Total Return and Income Fund, Inc.

Portfolio of Investments (concluded)

September 30, 2013 (unaudited)

 

 

Currency Abbreviations:
BRL	—	Brazilian Real		PEN	—	Peruvian New Sol
CLP	—	Chilean Peso		PHP	—	Philippine Peso
CNY	—	Chinese Renminbi		PLN	—	Polish Zloty
COP	—	Colombian Peso		RON	—	New Romanian Leu
CZK	—	Czech Koruna		RSD	—	Serbian Dinar
EUR	—	Euro		RUB	—	Russian Ruble
GHS	—	Ghanaian Cedi		SGD	—	Singapore Dollar
HUF	—	Hungarian Forint		THB	—	Thai Baht
IDR	—	Indonesian Rupiah		TRY	—	New Turkish Lira
INR	—	Indian Rupee		TWD	—	New Taiwan Dollar
JPY	—	Japanese Yen		UGX	—	Ugandan Shilling
KRW	—	South Korean Won		UYU	—	Uruguayan Peso
KZT	—	Kazakhstan Tenge		VND	—	Vietnamese Dong
MXN	—	Mexican New Peso		ZAR	—	South African Rand
MYR	—	Malaysian Ringgit		ZMW	—	Zambian Kwacha
NGN	—	Nigerian Naira

 

Counterparty Abbreviations:
BNP	—	BNP Paribas SA
BRC	—	Barclays Bank PLC
CIT	—	Citibank NA
HSB	—	HSBC Bank USA
JPM	—	JPMorgan Chase Bank
SCB	—	Standard Chartered Bank
UBS	—	UBS AG

 

See Notes to Portfolio of Investments.

 

13

Lazard Global Total Return and Income Fund, Inc.

Notes to Portfolio of Investments

September 30, 2013 (unaudited)

 

 

(a)	Principal amount denominated in respective country’s currency.
(b)	The Fund, at all times, maintains portfolio securities in sufficient amount to cover its obligations related to investments in forward currency contracts.
(c)	For federal income tax purposes, the aggregate cost was $170,320,972, aggregate gross unrealized appreciation was $39,248,410, aggregate gross unrealized depreciation was $16,381,196, and the net unrealized appreciation was $22,867,214.

 

Security Abbreviations:
ADR	—	American Depositary Receipt
NTN-B	—	Brazil Sovereign “Nota do Tesouro Nacional” Series B
NTN-F	—	Brazil Sovereign “Nota do Tesouro Nacional” Series F

 

Portfolio holdings by industry (as a percentage of net assets):
Agriculture			0.7	%
Alcohol & Tobacco			2.2
Banking			11.1
Cable Television			2.5
Computer Software			7.7
Energy Integrated			7.6
Energy Services			2.4
Financial Services			5.3
Food & Beverages			1.8
Gas Utilities			1.1
Household & Personal Products			2.1
Housing			2.2
Insurance			2.6
Manufacturing			8.2
Metals & Mining			1.4
Pharmaceutical & Biotechnology			18.7
Retail			7.0
Semiconductors & Components			3.7
Technology Hardware			5.3
Telecommunications			2.5
Subtotal			96.1
Foreign Government Obligations			9.7
Short-Term Investment			0.8
Total Investments			106.6	%

 

14

Lazard Global Total Return and Income Fund, Inc.

Notes to Portfolio of Investments (continued)

September 30, 2013 (unaudited)

 

 

Valuation of Investments:

 

Net asset value per share is determined by State Street Bank and Trust Company for the Fund on each day the NYSE is open for business. Market values for securities listed on the NYSE, NASDAQ national market or other US or foreign exchanges or markets are generally based on the last reported sales price on the exchange or market on which the security is principally traded, generally as of the close of regular trading on the NYSE (normally 4:00 p.m. Eastern time) on each valuation date; securities not traded on the valuation date are valued at the most recent quoted bid price. The Fund values NASDAQ-traded securities at the NASDAQ Official Closing Price, which may not be the last reported sales price in certain instances. Forward currency contracts are valued using quotations from an independent pricing service. Investments in money market funds are valued at the fund’s net asset value.

 

Bonds and other fixed-income securities that are not exchange-traded are valued on the basis of prices provided by independent pricing services which are based primarily on institutional trading in similar groups of securities, or by using brokers’ quotations or a matrix system which considers such factors as other security prices, yields and maturities. Debt securities maturing in 60 days or less are valued at amortized cost, except where to do so would not accurately reflect their fair value, in which case such securities are valued at fair value as determined by, or in accordance with procedures approved by, the Board of Directors (the “Board”).

 

The Valuation Committee of the Investment Manager, which meets periodically under the direction of the Board, may evaluate a variety of factors to determine the fair value of securities for which market quotations are determined not to be readily available or reliable. These factors include, but are not limited to, the type of security, the value of comparable securities, observations from financial institutions and relevant news events. Input from the Investment Manager’s analysts also will be considered.

 

If a significant event materially affecting the value of securities occurs between the close of the exchange or market on which the security is principally traded and the time when the Fund’s net asset value is calculated, or when current market quotations otherwise are determined not to be readily available or reliable (including restricted or other illiquid securities such as certain derivative instruments), such securities will be valued at their fair value as determined by, or in accordance with procedures approved by, the Board.

 

The effect of using fair value pricing is that the net asset value of the Fund will reflect the affected securities’ values as determined in the judgment of the Board or its designee instead of being determined by the market. Using a fair value pricing methodology to price securities may result in a value that is different from the most recent closing price of a security and from the prices used by other investment companies to calculate their portfolios’ net asset values.

 

Fair Value Measurements:

 

Fair value is defined as the price that the Fund would receive to sell an asset, or would pay to transfer a liability, in an orderly transaction between market participants at the date of measurement. The Fair Value Measurements and Disclosures provisions of accounting principles generally accepted in the United States of America also establish a framework for measuring fair value, and a three-level hierarchy for fair value measurement that is based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer, broadly, to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions that market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Fund’s own assump-

 

15

Lazard Global Total Return and Income Fund, Inc.

Notes to Portfolio of Investments (concluded)

September 30, 2013 (unaudited)

 

 

tions about the assumptions that market participants would use in pricing the asset or liability, developed based on the best information available in the circumstances. Each investment’s fair value measurement level within the fair value hierarchy is based on the lowest level of any input that is significant to the overall fair value measurement. The three-level hierarchy of inputs is summarized below.

 

•	Level 1 – unadjusted quoted prices in active markets for identical investments
•	Level 2 – other significant observable inputs (including unadjusted quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
•	Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in these securities.

 

The following table summarizes the valuation of the Fund’s investments by each fair value hierarchy level as of September 30, 2013:

 

Description		Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1)				Significant Other Observable Inputs (Level 2)				Significant Unobservable Inputs (Level 3)				Balance as of September 30, 2013
Assets:
Common Stocks*		$	174,148,021			$	—			$	—			$	174,148,021
Foreign Government Obligations*			—				17,635,388				—				17,635,388
Short-Term Investment			—				1,404,777				—				1,404,777
Other Financial Instruments**
Forward Currency Contracts			—				942,340				—				942,340
Total		$	174,148,021			$	19,982,505			$	—			$	194,130,526
Liabilities:
Other Financial Instruments**
Forward Currency Contracts		$	—			$	(887,470	)		$	—			$	(887,470	)

 

*	Please refer to Portfolio of Investments (page 7 through 8) and Notes to Portfolio of Investments (page 14) for portfolio holdings by country and industry.
**	Other financial instruments are derivative instruments which are valued at their respective unrealized appreciation/depreciation.

 

The foreign government obligations included in Level 2 were valued on the basis of prices provided by independent pricing services. The forward currency contracts included in Level 2 were valued using quotations provided by an independent pricing service. The short-term investment included in Level 2 (a money market fund) was valued at the fund’s net asset value.

 

There were no transfers into or out of Levels 1, 2, or 3 during the period ended September 30, 2013.

 

For further information regarding security characteristics see Portfolio of Investments.

 

16

Lazard Global Total Return and Income Fund, Inc.

Dividend Reinvestment Plan

(unaudited)

 

 

Unless you elect to receive distributions in cash (i.e., opt-out), all dividends, including any capital gain distributions, on your common stock will be automatically reinvested by Computershare, Inc., as dividend disbursing agent (the “Plan Agent”), in additional common stock under the Fund’s Dividend Reinvestment Plan (the “Plan”). You may elect not to participate in the Plan by contacting the Plan Agent. If you do not participate, you will receive all distributions in cash, paid by check mailed directly to you by the Plan Agent.

 

Under the Plan, the number of shares of common stock you will receive will be determined on the dividend or distribution payment date, as follows:

 

(1)	If the common stock is trading at or above net asset value at the time of valuation, the Fund will issue new shares at a price equal to the greater of (i) net asset value per common share on that date or (ii) 95% of the common stock’s market price on that date.
(2)	If the common stock is trading below net asset value at the time of valuation, the Plan Agent will receive the dividend or distribution in cash and will purchase common stock in the open market, on the NYSE or elsewhere, for the participants’ accounts. It is possible that the market price for the common stock may increase before the Plan Agent has completed its purchases. Therefore, the average purchase price per share paid by the Plan Agent may exceed the market price at the time of valuation, resulting in the purchase of fewer shares than if the dividend or distribution had been paid in common stock issued by the Fund. The Plan Agent will use all dividends and distributions received in cash to purchase common stock in the open market within 30 days of the valuation date. Interest will not be paid on any uninvested cash payments.

 

You may withdraw from the Plan at any time by giving written notice to the Plan Agent. If you withdraw or the Plan is terminated, you will receive whole shares in your account under the Plan and you will receive a cash payment for any fraction of a share in your account. If you wish, the Plan Agent will sell your shares and send you the proceeds, minus an initial $15 service fee plus $0.12 per share being liquidated (for processing and brokerage expenses).

 

The Plan Agent maintains all stockholders’ accounts in the Plan and gives written confirmation of all transactions in the accounts, including information you may need for tax records. Shares of common stock in your account will be held by the Plan Agent in non-certificated form. Any proxy you receive will include all common stock you have received under the Plan.

 

There is no brokerage charge for reinvestment of your dividends or distributions in newly-issued shares of common stock. However, all participants will pay a pro rata share of brokerage commissions incurred by the Plan Agent when it makes open market purchases.

 

Automatically reinvesting dividends and distributions does not mean that you do not have to pay income taxes due upon receiving dividends and distributions.

 

If you hold your common stock with a brokerage firm that does not participate in the Plan, you will not be able to participate in the Plan and any dividend reinvestment may be effected on different terms than those described above. Consult your financial advisor for more information.

 

The Fund reserves the right to amend or terminate the Plan if, in the judgment of the Board, the change is warranted. There is no direct service charge to participants in the Plan (other than the service charge when you direct the Plan Agent to sell your common stock held in a dividend reinvestment account); however, the Fund reserves the right to amend the Plan to include a service charge payable by the participants. Additional information about the Plan may be obtained from the Plan Agent at P.O. Box 43010, Providence, Rhode Island 02940-3010.

 

17

Lazard Global Total Return and Income Fund, Inc.

Board of Directors and Officers Information

(unaudited)

 

 

Name (Age)		Position(s) with the Fund(1)		Principal Occupation(s) and Other Public Company Directorships Held During the Past Five Years
Board of Directors:
Class I — Directors with Term Expiring in 2015
Independent Directors:
Leon M. Pollack (72)		Director		Private Investor
Robert M. Solmson (66)		Director		Fairwood Capital, LLC, a private investment corporation engaged primarily in real estate and hotel investments, President (2008 – present)
Interested Director:
Charles L. Carroll (53)		Chief Executive Officer, President and Director		Investment Manager, Deputy Chairman and Head of Global Marketing (2004 – present)
Class II — Directors with Term Expiring in 2016
Independent Directors:
Kenneth S. Davidson (68)		Director		Davidson Capital Management Corporation, an investment manager, President (1978 – present)
				Balestra Capital, Ltd., an investment manager and adviser, Senior Advisor (July 2012 – present)
				Aquiline Holdings LLC, an investment manager, Partner (2006 – June 2012)
Nancy A. Eckl (51)		Director		College Retirement Equities Fund (eight accounts), Trustee (2007 – present)
				TIAA-CREF Funds (59 funds) and TIAA-CREF Life Funds (10 funds), Trustee (2007 – present)
				TIAA Separate Account VA-1, Member of the Management Committee (2007 – present)
				American Beacon Advisors, Inc. (“American Beacon”) and certain funds advised by American Beacon, Vice President (1990 – 2006)
Class III — Directors with Term Expiring in 2014
Independent Director:
Richard Reiss, Jr. (69)		Director		Georgica Advisors LLC, an investment manager, Chairman (1997 – present) O’Charley’s, Inc., a restaurant chain, Director (1984 – 2012)
Interested Director:
Ashish Bhutani (53)		Director		Investment Manager, Chief Executive Officer (2004 – present) Lazard Ltd, Vice Chairman and Director (2010 – present)

 

(1)

Each Director also serves as a Director for each of The Lazard Funds, Inc., Lazard Retirement Series, Inc. and Lazard World Dividend & Income Fund, Inc. (collectively with the Fund, the “Lazard Funds”). All of the Independent Directors are also board members of Lazard Alternative Strategies Fund, L.L.C. and Lazard Alternative Strategies 1099 Fund, closed-end registered management investment companies advised by an affiliate of the Investment Manager.

 

18

Lazard Global Total Return and Income Fund, Inc.

Board of Directors and Officers Information (concluded)

(unaudited)

 

 

Name (Age)		Position(s) with the Fund(1)		Principal Occupation(s) During the Past Five Years
Officers(2):
Nathan A. Paul (40)		Vice President and Secretary		Managing Director and General Counsel of the Investment Manager
Stephen St. Clair (55)		Treasurer		Vice President of the Investment Manager
Brian D. Simon (51)		Chief Compliance Officer and Assistant Secretary		Managing Director (since February 2011, previously Director) of the Investment Manager and Chief Compliance Officer (since January 2009) of the Investment Manager and the Fund
Tamar Goldstein (38)		Assistant Secretary		Senior Vice President (since February 2012, previously Vice President and Counsel) of the Investment Manager
Cesar A. Trelles (38)		Assistant Treasurer		Vice President (since February 2011, previously Fund Administration Manager) of the Investment Manager

 

(1)	Each officer also serves as an officer for each of the Lazard Funds.
(2)	In addition to Charles L. Carroll, President, whose information is included in the Class I Interested Director section.

 

19

Lazard Global Total Return and Income Fund, Inc.

30 Rockefeller Plaza
New York, New York 10112-6300
Telephone: 800-823-6300
http://www.LazardNet.com

 

Investment Manager
Lazard Asset Management LLC
30 Rockefeller Plaza
New York, New York 10112-6300
Telephone: 800-823-6300

 

Custodian
State Street Bank and Trust Company
One Lincoln Street
Boston, Massachusetts 02111

 

Transfer Agent and Registrar
Computershare Trust Company, N.A.
P.O. Box 43010
Providence, Rhode Island 02940-3010

 

Dividend Disbursing Agent
Computershare, Inc.
P.O. Box 43010
Providence, Rhode Island 02940-3010

 

Independent Registered Public Accounting Firm
Deloitte & Touche LLP
Two World Financial Center

New York, New York 10281-1414

 

Legal Counsel
Stroock & Stroock & Lavan LLP
180 Maiden Lane
New York, New York 10038-4982
http://www.stroock.com

Lazard Asset Management LLC
30 Rockefeller Plaza
New York, NY 10112-6300
www.LazardNet.com