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		811-21750

KAYNE ANDERSON ENERGY TOTAL RETURN FUND, INC.

(Exact name of registrant as specified in charter)

717 Texas Avenue, Suite 3100, Houston, Texas		77002
(Address of principal executive offices)		(Zip code)

David Shladovsky, Esq.
KA Fund Advisors, LLC, 1800 Avenue of the Stars, Second Floor, Los Angeles, California 90067

(Name and address of agent for service)

Registrant’s telephone number, including area code:		(713) 493-2020

Date of fiscal year end:		November 30, 2008
Date of reporting period:		August 31, 2008

 

 

Item 1: Schedule of Investments

KAYNE ANDERSON ENERGY TOTAL RETURN FUND, INC.
SCHEDULE OF INVESTMENTS
August 31, 2008
(amounts in 000’s)
(UNAUDITED)

		No. of
Description		Shares/Units				Value
Long-Term Investments — 131.9%
Equity Investments(a) — 115.9%
United States — 89.5%
MLP(b)(c) — 34.7%
Alliance Resource Partners, L.P.			92			$	4,275
Atlas Energy Resources, LLC			380				13,318
Atlas Pipeline Partners, L.P.			566				19,328
BreitBurn Energy Partners L.P.			306				5,086
Calumet Specialty Products Partners, L.P.			267				3,815
Capital Product Partners L.P.(d)			454				7,062
Constellation Energy Partners LLC			51				702
Copano Energy, L.L.C.			50				1,570
Copano Energy, L.L.C. — Unregistered, Class D Units(e)(f)			114				2,829
Crosstex Energy, L.P.			526				13,399
DCP Midstream Partners, LP			241				5,895
Duncan Energy Partners L.P.			83				1,497
Eagle Rock Energy Partners, L.P.			127				1,800
Energy Transfer Equity, L.P.			169				4,881
Energy Transfer Partners, L.P.			151				6,737
Enterprise Products Partners L.P.			1,591				46,845
Exterran Partners, L.P.			249				5,518
Global Partners LP			227				2,823
Hiland Holdings GP, LP			66				1,465
Hiland Partners, LP			59				2,697
Holly Energy Partners, L.P.			77				2,579
Inergy Holdings, L.P.			81				2,647
Inergy, L.P.			241				6,348
Magellan Midstream Partners, L.P.			226				8,403
MarkWest Energy Partners, L.P.			270				9,306
Martin Midstream Partners L.P.			310				9,707
Natural Resource Partners L.P.			86				2,993
ONEOK Partners, L.P.			190				11,389
OSG America L.P.			179				2,144
Penn Virginia Resource Partners, L.P.			309				7,708
Pioneer Southwest Energy Partners L.P.			104				1,951
Plains All American Pipeline, L.P.(g)			1,387				66,068
Regency Energy Partners LP			301				7,494
Regency Energy Partners LP(e)			114				2,705
Targa Resources Partners LP			325				7,760
TC PipeLines, LP			285				9,729
Teekay LNG Partners L.P.			75				1,713
Teekay Offshore Partners L.P.(d)			568				9,139
TEPPCO Partners, L.P.			88				2,837
Western Gas Partners, LP			223				3,404
Williams Partners L.P.			269				8,162
							335,728

KAYNE ANDERSON ENERGY TOTAL RETURN FUND, INC.
SCHEDULE OF INVESTMENTS — (CONTINUED)
August 31, 2008
(amounts in 000’s)
(UNAUDITED)

		No. of
Description		Shares/Units				Value
MLP Affiliates — 25.2%
Atlas America, Inc.			472			$	17,695
Crosstex Energy, Inc.			159				5,168
Enbridge Energy Management, L.L.C.(h)			857				43,335
Kinder Morgan Management, LLC(h)			2,899				160,885
Penn Virginia Corporation(i)			245				16,234
							243,317
Marine Transportation — 17.4%
Aries Maritime Transport Limited			1,125				4,456
Arlington Tankers Ltd.			573				10,558
DHT Maritime, Inc.			1,072				9,552
Diana Shipping Inc.			425				12,065
Eagle Bulk Shipping Inc.			516				13,669
Euroseas Ltd.			53				711
Frontline Ltd.			100				6,041
Genco Shipping & Trading Limited			170				10,634
General Maritime Corporation			50				1,241
Navios Maritime Partners L.P.			571				7,140
Nordic American Tanker Shipping Limited			620				21,827
OceanFreight, Inc.			654				12,467
Omega Navigation Enterprises, Inc.			949				14,960
Paragon Shipping Inc.			619				9,377
Safe Bulkers, Inc.			178				3,383
Seaspan Corporation			441				10,974
Ship Finance International Limited			183				5,098
Star Bulk Carriers Corp.			163				1,704
Teekay Tankers Ltd.			588				11,849
							167,706
Coal — 8.3%
Alpha Natural Resources, Inc.(i)(j)			194				19,219
Arch Coal, Inc.(i)			166				9,004
CONSOL Energy Inc.(i)			192				12,980
Foundation Coal Holdings, Inc.			53				3,111
Massey Energy Company(i)			202				13,331
Patriot Coal Corporation(i)(j)			122				7,333
Peabody Energy Corporation(i)			248				15,602
							80,580
Royalty Trust — 3.9%
Hugoton Royalty Trust			240				7,441
MV Oil Trust			652				12,007
Permian Basin Royalty Trust			488				11,940
San Juan Basin Royalty Trust			148				6,044
							37,432
Total United States (Cost $730,054)							864,763

KAYNE ANDERSON ENERGY TOTAL RETURN FUND, INC.
SCHEDULE OF INVESTMENTS — (CONTINUED)
August 31, 2008
(amounts in 000’s)
(UNAUDITED)

										No. of
Description										Shares/Units				Value
Canada — 26.4%
Royalty Trust — 26.3%
ARC Energy Trust											1,009			$	28,699
Baytex Energy Trust											746				22,833
Bonavista Energy Trust											597				18,461
Bonterra Energy Income Trust											34				1,148
Canadian Oil Sands Trust											41				1,982
Crescent Point Energy Trust											1,167				43,105
Enerplus Resources Fund											796				34,494
Fording Canadian Coal Trust(i)											297				26,602
NAL Oil & Gas Trust											945				13,736
Penn West Energy Trust											792				23,247
Progress Energy Trust											511				7,644
Vermilion Energy Trust											569				23,041
Westshore Terminals Income Fund											81				1,348
Zargon Energy Trust											355				7,497
															253,837
Coal — 0.1%
Western Canadian Coal Corp.(k)											87				521
Total Canada (Cost $188,857)															254,358
Total Equity Investments (Cost $918,911)															1,119,121
		Interest				Maturity				Principal
		Rate				Date				Amount
Energy Debt Investments — 16.0%
United States — 13.5%
Coal — 0.5%
Peabody Energy Corporation(l)			4.750	%			12/15/66			$	4,000				5,110
Marine Transportation — 3.7%
Navios Maritime Holdings, Inc.			9.500				12/15/14				25,250				24,114
Overseas Shipholding Group, Inc.			7.500				2/15/24				5,000				4,563
Ship Finance International Limited			8.500				12/15/13				7,000				6,930
															35,607
Midstream — 1.5%
Targa Resources, Inc.			8.500				11/01/13				9,500				9,025
Targa Resources Investments, Inc.		(m)					2/09/15				7,133				5,171
															14,196
Oilfield Services — 1.3%
Dresser, Inc.		(n)					5/04/15				13,000				12,561
Upstream — 5.4%
CDX Funding, LLC		(o)					3/31/13				8,750				7,000
Hilcorp Energy Company			7.750				11/01/15				13,589				12,298
Mariner Energy, Inc.			8.000				5/15/17				6,000				5,490
Mariner Energy, Inc.			7.500				4/15/13				4,000				3,740
Parallel Petroleum Corporation			10.250				8/01/14				6,500				6,337
Petrohawk Energy Corporation			9.125				7/15/13				12,000				11,940
Quicksilver Resources Inc.		(p)					8/06/13				5,000				4,963
															51,768

KAYNE ANDERSON ENERGY TOTAL RETURN FUND, INC.
SCHEDULE OF INVESTMENTS — (CONTINUED)
August 31, 2008
(amounts in 000’s)
(UNAUDITED)

		Interest				Maturity				Principal
Description		Rate				Date				Amount				Value
Other Energy — 1.1%
Energy Future Holdings Corp.		(q)					10/10/14			$	7,444			$	6,960
Energy Future Holdings Corp.		(r)					10/10/14				4,500				4,196
															11,156
Total United States (Cost $135,259)															130,398
Canada — 2.5%
Royalty Trust — 0.6%
Harvest Operations Corp.			7.875	%			10/15/11				6,500				5,769
Upstream — 1.9%
Athabasca Oil Sands Corp.			13.000				7/30/11				19,500				18,684
Total Canada (Cost $25,524)															24,453
Total Fixed Income Investments (Cost $160,783)															154,851
Total Long-Term Investments (Cost $1,079,694)															1,273,972
Short-Term Investment — 0.3%
Repurchase Agreement — 0.3%
Bear, Stearns & Co. Inc. (Agreement dated 8/31/2008 to be repurchased at $3,266), collateralized by $3,360 in U.S. Treasury Notes (Cost $3,265)			1.980				9/02/08								3,265
Total Investments — 132.2% (Cost $1,082,959)															1,277,237
										No. of
										Contracts
Liabilities
Call Option Contracts Written(j)
United States
Coal
Alpha Natural Resources, Inc., call option expiring 9/20/2008 @ $100.00											500				(250	)
Arch Coal Inc., call option expiring 9/20/2008 @ $55.00											500				(143	)
CONSOL Energy Inc., call option expiring 9/20/2008 @ $65.00											1,000				(580	)
Massey Energy Inc., call option expiring 9/20/2008 @ $65.00											500				(235	)
Patriot Coal Corporation, call option expiring 9/20/2008 @ $57.50											500				(285	)
Peabody Energy Corporation, call option expiring 9/20/2008 @ $70.00											500				(65	)
															(1,558	)
MLP Affiliates
Penn Virginia Corporation, call option expiring 9/20/2008 @ $70.00											500				(115	)
Canada
Royalty Trust
Fording Canadian Coal Trust, call option expiring 9/20/2008 @ $85.00											2,972				(1,367	)
Total Call Option Contracts Written (Premiums received $2,763)															(3,040	)

KAYNE ANDERSON ENERGY TOTAL RETURN FUND, INC.
SCHEDULE OF INVESTMENTS — (CONCLUDED)
August 31, 2008
(amounts in 000’s)
(UNAUDITED)

Description		Value
Senior Unsecured Notes		$	(225,000	)
Revolving Credit Facility			(66,000	)
Other Liabilities			(40,303	)
Total Liabilities			(334,343	)
Other Assets			23,158
Total Liabilities in Excess of Other Assets			(311,185	)
Net Assets Applicable To Stockholders		$	966,052

From time to time, certain of the Fund’s investments may be restricted as to resale. For instance, private investments that are not registered under the Securities Act of 1933 and cannot, as a result, be offered for public sale for a non-exempt transaction without first being registered. In other cases, certain of the Fund’s investments have restrictions such as a lock-up agreements that preclude the Fund from offering these securities for public sale.

At August 31, 2008, the Fund held the following restricted securities.

										Number of
										Units or																Fair				Percent				Percent
						Type of				Principal ($)				Acquisition				Cost				Fair				Value per				of Net				of Total
Investment		Security				Restriction				(in 000s)				Date				Basis				Value				Unit				Assets				Assets
Copano Energy, L.L.C.		Class D Units					(1)				114				3/14/2008				$  3,000				$  2,829				$27.46				0.3	%			0.2	%
Regency Energy Partners LP		Common Units					(2)				114				8/01/2008				2,454				2,705				23.80				0.3				0.2
Total of securities valued in accordance with procedures established by the board of directors (3)																			$  5,454				$  5,534								0.6	%			0.4	%
Athabasca Oil Sands Corp.		Corporate Bonds					(4)				$19,500				(5)				$19,047				$18,684				n/a				1.9	%			1.4	%
CDX Funding, LLC		Term Loan					(4)				$  8,750				(5)				8,877				7,000				n/a				0.7				0.5
Dresser, Inc.		Term Loan					(4)				$13,000				(5)				12,299				12,561				n/a				1.3				1.0
Energy Future Holdings Corp.		Term Loan					(4)				$  7,444				(5)				7,469				6,960				n/a				0.7				0.6
Energy Future Holdings Corp.		Term Loan					(4)				$  4,500				(5)				4,278				4,196				n/a				0.4				0.3
Hilcorp Energy Company		Corporate Bonds					(4)				$13,589				(5)				13,223				12,298				n/a				1.3				1.0
Quicksilver Resources Inc.		Term Loan					(1)				$  5,000				(5)				4,901				4,963				n/a				0.5				0.4
Targa Resources Investments, Inc.		Term Loan					(4)				$  7,133				(5)				5,080				5,171				n/a				0.6				0.4
Total of securities valued by prices provided by market maker or independent pricing service(6)(7)																			$75,174				$71,833								7.4	%			5.6	%
Total of all restricted securities																			$80,628				$77,367								8.0	%			6.0	%

At August 31, 2008, the cost basis of investments for federal income tax purposes was $1,090,980. At August 31, 2008, gross unrealized appreciation and depreciation of investments for federal income tax purposes were as follows:

Gross unrealized appreciation		$	231,754
Gross unrealized depreciation			(45,496	)
Net unrealized appreciation		$	186,258

The identified cost basis for federal tax purposes is estimated based on information available from the Fund’s portfolio companies. In some cases, this information is very limited. Accordingly, the actual cost basis may prove higher or lower than the estimated cost basis included in this footnote.

Securities valuation policies and other investment related disclosures are hereby incorporated by reference to the Fund’s semi-annual report previously filed with the Securities and Exchange Commission on form N-CSR on August 7, 2008 with a file number 811-21750.

Other information regarding the Fund is available in the Fund’s most recent annual report. This information is also available on the Fund’s website at www.kaynefunds.com; or on the website of the Securities and Exchange Commission, www.sec.gov.

     SFAS No. 157. In September 2006, the Financial Accounting Standards Board (“FASB”) issued Statement on Financial Accounting Standards (“SFAS”) No. 157, “Fair Value Measurements.” This standard establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and requires additional disclosure about fair value measurements. SFAS No. 157 applies to fair value measurements already required or permitted by existing standards. SFAS No. 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007, and interim periods within those fiscal years. The changes to current generally accepted accounting principles from the application of this Statement relate to the definition of fair value, the methods used to measure fair value, and the expanded disclosures about fair value measurements.

     As of December 1, 2007, the Fund adopted SFAS No. 157. The Fund has performed an analysis of all existing investments and derivative instruments to determine the significance and character of all inputs to their fair value determination. Based on this assessment, the adoption of this standard did not have any material effect on the Fund’s net asset value. However, the adoption of the standard does require the Fund to provide additional disclosures about the inputs used to develop the measurements and the effect of certain measurements on changes in net assets for the reportable periods as contained in the Fund’s periodic filings.

     SFAS No. 157 establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value into the following three broad categories.

	•		Level 1 — Quoted unadjusted prices for identical instruments in active markets to which the Fund has access at the date of measurement.
	•		Level 2 — Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations in which all significant inputs and significant value drivers are observable in active markets. Level 2 inputs are those in markets for which there are few transactions, the prices are not current, little public information exists or instances where prices vary substantially over time or among brokered market makers.
	•		Level 3 — Model derived valuations in which one or more significant inputs or significant value drivers are unobservable. Unobservable inputs are those inputs that reflect the Fund’s own assumptions that market participants would use to price the asset or liability based on the best available information.

     The following table presents our assets measured at fair value on a recurring basis at August 31, 2008.

Prices with

Quoted Prices

Other

in Active

Observable

Unobservable

Markets

Inputs

Inputs

Assets at Fair Value

Total

(Level 1)

(Level 2)

(Level 3)

Long-Term Investments

$

1,273,972

$1,113,587

$154,851

$5,534

The Fund did not have any liabilities that were measured at fair value on a recurring basis at August 31, 2008.

The following table presents our assets measured at fair value on a recurring basis using significant unobservable inputs (Level 3) at November 30, 2007 and at August 31, 2008.

		Long-Term
Assets at Fair Value Using Unobservable Inputs (Level 3)		Investments
Balance — November 30, 2007			$31,584
Transfers out of Level 3			(31,584	)
Realized gain (losses)			—
Unrealized gains, net			34
Purchases, issuances or settlements			5,500
Balance — August 31, 2008			$5,534

     The $34 of unrealized gains, net, presented in the table above relate to investments that are still held at August 31, 2008.

The Fund did not have any liabilities that were measured at fair value on a recurring basis using significant unobservable inputs (Level 3) at November 30, 2007 and at August 31, 2008.

Item 2: Controls and Procedures

     (a) As of a date within 90 days from the filing date of this report, the principal executive officer and principal financial officer concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)), were effective based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities and Exchange Act of 1934.

     (b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) 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

1.

The certifications of the registrant as required by Rule 30a-2(a) under the Act are exhibits to this report.

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.

     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.