Cohen & Steers Total Return Realty Fund (RFI) NPORT-P Cohen & Steers Total Return Realty Fund Inc (Mar 2023 report)

COHEN & STEERS TOTAL RETURN REALTY FUND, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS

March 31, 2023 (Unaudited)

			Shares		Value
COMMON STOCK	77.1	%
COMMUNICATIONS—TOWERS	8.7	%
American Tower Corp.				86,483	$	17,671,936
Crown Castle, Inc.				67,556		9,041,695
						26,713,631
REAL ESTATE	68.4	%
DATA CENTERS	8.6	%
Digital Realty Trust, Inc.				155,364		15,273,835
Equinix, Inc.				15,455		11,143,673
						26,417,508
HEALTH CARE	8.1	%
Healthcare Realty Trust, Inc., Class A				383,865		7,420,111
Welltower, Inc.				246,089		17,642,120
						25,062,231
HOTEL	1.0	%
Host Hotels & Resorts, Inc.				180,731		2,980,254
HOTEL & RESORT REITS	0.4	%
Xenia Hotels & Resorts, Inc.				94,908		1,242,346
INDUSTRIALS	11.5	%
Americold Realty Trust, Inc.				210,861		5,998,995
BG LLH, LLC (Lineage Logistics)(a)				21,740		2,223,350
Prologis, Inc.(b)				219,047		27,330,494
						35,552,839
NET LEASE	8.3	%
NETSTREIT Corp.(b)				100,044		1,828,804
Realty Income Corp.				247,251		15,655,933
Spirit Realty Capital, Inc.				119,672		4,767,733
VICI Properties, Inc.				103,888		3,388,827
						25,641,297
OFFICE	1.1	%
Cousins Properties, Inc.				76,175		1,628,621
Highwoods Properties, Inc.				71,119		1,649,250
						3,277,871
RESIDENTIAL	16.1	%
APARTMENT	8.2	%
Apartment Income REIT Corp.				67,866		2,430,282

1

			Shares		Value
Camden Property Trust				46,505	$	4,875,584
Mid-America Apartment Communities, Inc.				68,384		10,328,719
UDR, Inc.				189,607		7,785,263
						25,419,848
MANUFACTURED HOME	2.0	%
Sun Communities, Inc.				42,411		5,974,862
SINGLE FAMILY	5.9	%
American Homes 4 Rent, Class A				79,252		2,492,476
Invitation Homes, Inc.				507,023		15,834,328
						18,326,804
TOTAL RESIDENTIAL						49,721,514
SELF STORAGE	6.5	%
Extra Space Storage, Inc.				56,501		9,205,708
Public Storage				36,348		10,982,185
						20,187,893
SHOPPING CENTERS	5.9	%
COMMUNITY CENTER	1.6	%
Kimco Realty Corp.				253,977		4,960,171
REGIONAL MALL	4.3	%
Simon Property Group, Inc.				119,491		13,379,407
TOTAL SHOPPING CENTERS						18,339,578
SPECIALTY	0.5	%
Lamar Advertising Co., Class A				16,425		1,640,693
TIMBER	0.4	%
Weyerhaeuser Co.				40,389		1,216,921
TOTAL REAL ESTATE						211,280,945
TOTAL COMMON STOCK (Identified cost—$188,630,225)						237,994,576
PREFERRED SECURITIES—$25 PAR VALUE	9.3	%
BANKS	1.2	%
Bank of America Corp., 6.00%, Series GG(c)				24,869		612,026
Bank of America Corp., 5.375%, Series KK(c)				14,965		343,746
JPMorgan Chase & Co., 5.75%, Series DD(c)				25,000		622,750
JPMorgan Chase & Co., 4.75%, Series GG(c)				25,000		540,250
JPMorgan Chase & Co., 4.625%, Series LL(c)				22,843		482,444
KeyCorp., 6.20% to 12/15/27(c),(d)				6,000		133,980

2

			Shares		Value
Truist Financial Corp., 4.75%, Series R(c)				15,000	$	317,850
Wells Fargo & Co., 4.25%, Series DD(c)				9,775		168,130
Wells Fargo & Co., 4.75%, Series Z(c)				18,400		353,464
						3,574,640
ELECTRIC	0.5	%
CMS Energy Corp., 5.625%, due 3/15/78				5,162		125,179
CMS Energy Corp., 5.875%, due 10/15/78				17,000		410,210
CMS Energy Corp., 5.875%, due 3/1/79				20,000		485,800
DTE Energy Co., 5.25%, due 12/1/77, Series E				12,000		276,360
Southern Co./The, 4.95%, due 1/30/80, Series 2020				7,000		158,200
						1,455,749
FINANCIAL—INVESTMENT BANKER/BROKER	0.1	%
Morgan Stanley, 6.375% to 10/15/24, Series I(c),(d)				15,000		369,450
INTEGRATED TELECOMMUNICATIONS SERVICES	0.5	%
AT&T, Inc., 5.625%, due 8/1/67				19,118		476,229
AT&T, Inc., 5.00%, Series A(c)				18,000		407,880
AT&T, Inc., 4.75%, Series C(c)				18,000		382,860
United States Cellular Corp., 5.50%, due 6/1/70				21,378		364,923
						1,631,892
PIPELINES	0.2	%
Energy Transfer LP, 7.60% to 5/15/24, Series E(c),(d)				27,235		658,542
REAL ESTATE	6.7	%
DATA CENTERS	1.0	%
Digital Realty Trust, Inc., 5.85%, Series K(c)				16,005		371,476
Digital Realty Trust, Inc., 5.20%, Series L(c)				10,175		218,762
DigitalBridge Group, Inc., 7.15%, Series I(c)				74,794		1,434,549
DigitalBridge Group, Inc., 7.125%, Series J(c)				43,643		819,616
KKR Real Estate Finance Trust, Inc., 6.50%, Series A(c)				9,001		143,746
						2,988,149
DIVERSIFIED	0.9	%
Armada Hoffler Properties, Inc., 6.75%, Series A(c)				53,000		1,107,170
EPR Properties, 5.75%, Series G(c)				16,472		275,741
Lexington Realty Trust, 6.50%, Series C ($50 Par Value)(c)				17,289		839,035
Urstadt Biddle Properties, Inc., 5.875%, Series K(c)				20,000		413,600
						2,635,546
HOTEL	1.2	%
Pebblebrook Hotel Trust, 6.30%, Series F(c)				28,944		544,147

3

			Shares		Value
Pebblebrook Hotel Trust, 6.375%, Series G(c)				28,566	$	531,899
Pebblebrook Hotel Trust, 5.70%, Series H(c)				24,000		391,200
RLJ Lodging Trust, 1.95%, Series A(c)				33,675		843,896
Summit Hotel Properties, Inc., 6.25%, Series E(c)				31,105		589,129
Summit Hotel Properties, Inc., 5.875%, Series F(c)				19,054		337,446
Sunstone Hotel Investors, Inc., 6.125%, Series H(c)				14,000		283,360
Sunstone Hotel Investors, Inc., 5.70%, Series I(c)				9,827		188,285
						3,709,362
INDUSTRIALS	0.3	%
Rexford Industrial Realty, Inc., 5.875%, Series B(c)				15,000		341,250
Rexford Industrial Realty, Inc., 5.625%, Series C(c)				23,833		518,604
						859,854
NET LEASE	0.4	%
Agree Realty Corp., 4.25%, Series A(c)				15,501		272,818
Spirit Realty Capital, Inc., 6.00%, Series A(c)				47,667		1,102,061
						1,374,879
OFFICE	0.6	%
Arbor Realty Trust, Inc., 6.375%, Series D(c)				7,200		125,640
Brookfield Property Partners LP, 5.75%, Series A(c)				23,926		297,878
Brookfield Property Preferred LP, 6.25%, due 7/26/81				27,000		437,400
City Office REIT, Inc., 6.625%, Series A(c)				20,543		362,995
Hudson Pacific Properties, Inc., 4.75%, Series C(c)				28,000		280,000
Vornado Realty Trust, 5.25%, Series M(c)				6,815		92,139
Vornado Realty Trust, 5.25%, Series N(c)				22,545		293,085
						1,889,137
RESIDENTIAL	0.7	%
APARTMENT	0.1	%
Centerspace, 6.625%, Series C(c)				19,695		480,558
MANUFACTURED HOME	0.2	%
Green Brick Partners, Inc., 5.75%, Series A(c)				6,230		114,632
UMH Properties, Inc., 6.375%, Series D(c)				18,731		409,834
						524,466
SINGLE FAMILY	0.4	%
American Homes 4 Rent, 5.875%, Series G(c)				23,645		555,894

4

			Shares		Value
American Homes 4 Rent, 6.25%, Series H(c)				29,838	$	724,765
						1,280,659
TOTAL RESIDENTIAL						2,285,683
SELF STORAGE	0.8	%
National Storage Affiliates Trust, 6.00%, Series A(c)				15,031		345,863
Public Storage, 4.875%, Series I(c)				4,981		108,586
Public Storage, 4.70%, Series J(c)				268		5,781
Public Storage, 4.625%, Series L(c)				70,000		1,463,000
Public Storage, 4.00%, Series P(c)				33,847		625,154
						2,548,384
SHOPPING CENTERS—COMMUNITY CENTER	0.8	%
Saul Centers, Inc., 6.125%, Series D(c)				39,100		840,259
Saul Centers, Inc., 6.00%, Series E(c)				21,465		475,450
SITE Centers Corp., 6.375%, Class A(c)				48,952		1,147,435
						2,463,144
TOTAL REAL ESTATE						20,754,138
UTILITIES	0.1	%
Sempra Energy, 5.75%, due 7/1/79				9,984		247,004
TOTAL PREFERRED SECURITIES—$25 PAR VALUE (Identified cost—$33,359,193)						28,691,415
			Principal Amount
PREFERRED SECURITIES—CAPITAL SECURITIES	9.5	%
BANKS	3.0	%
Bank of America Corp., 6.10% to 3/17/25, Series AA(c),(d)			$	567,000		557,265
Bank of America Corp., 6.125% to 4/27/27, Series TT(c),(d)				620,000		611,475
Bank of America Corp., 6.25% to 9/5/24, Series X(c),(d)				875,000		856,406
Bank of New York Mellon Corp./The, 3.75% to 12/20/26, Series I(c),(d)				388,000		320,915
Citigroup, Inc., 4.00% to 12/10/25, Series W(c),(d)				900,000		797,625
Citigroup, Inc., 4.15% to 11/15/26, Series Y(c),(d)				400,000		328,000
Citigroup, Inc., 5.95% to 5/15/25, Series P(c),(d)				400,000		373,278
Citigroup, Inc., 6.25% to 8/15/26, Series T(c),(d)				430,000		412,800
Citigroup, Inc., 8.87% (3 Month US LIBOR + 4.068%), Series 0 (FRN)(c),(e)				430,000		427,850

5

			Principal Amount		Value
Goldman Sachs Group, Inc./The, 4.125% to 11/10/26, Series V(c),(d)			$	400,000	$	332,003
JPMorgan Chase & Co., 6.10% to 10/1/24, Series X(c),(d)				430,000		420,325
JPMorgan Chase & Co., 6.125% to 4/30/24, Series U(c),(d)				250,000		244,625
JPMorgan Chase & Co., 6.75% to 2/1/24, Series S(c),(d)				1,080,000		1,084,433
PNC Financial Services Group, Inc./The, 6.00% to 5/15/27, Series U(c),(d)				300,000		276,918
PNC Financial Services Group, Inc./The, 6.20% to 9/15/27, Series V(c),(d)				700,000		660,345
PNC Financial Services Group, Inc./The, 8.492% (3 Month US LIBOR + 3.678%), Series O (FRN)(c),(e)				125,000		123,738
Regions Financial Corp., 5.75% to 6/15/25, Series D(c),(d)				200,000		182,232
Wells Fargo & Co., 3.90% to 3/15/26, Series BB(c),(d)				1,120,000		989,335
Wells Fargo & Co., 5.875% to 6/15/25, Series U(c),(d)				400,000		394,000
						9,393,568
BANKS—FOREIGN	2.1	%
Banco Santander SA, 7.50% to 2/8/24 (Spain)(c),(d),(f),(g)				200,000		191,277
Bank of Nova Scotia/The, 8.625% to 10/27/27, due 10/27/82 (Canada)(d)				200,000		203,847
Barclays PLC, 8.00% to 6/15/24 (United Kingdom)(c),(d),(g)				800,000		722,000
BNP Paribas SA, 6.625% to 3/25/24, 144A (France)(c),(d),(g),(h)				600,000		566,442
BNP Paribas SA, 7.75% to 8/16/29, 144A (France)(c),(d),(g),(h)				800,000		767,760
Credit Agricole SA, 6.875% to 9/23/24, 144A (France)(c),(d),(g),(h)				300,000		279,625
Deutsche Bank AG, 7.50% to 4/30/25 (Germany)(c),(d),(g)				400,000		326,428
ING Groep N.V., 5.75% to 11/16/26 (Netherlands)(c),(d),(g)				600,000		519,597
Lloyds Banking Group PLC, 7.50% to 6/27/24 (United Kingdom)(c),(d),(g)				400,000		378,444
Lloyds Banking Group PLC, 7.50% to 9/27/25 (United Kingdom)(c),(d),(g)				800,000		744,256
Societe Generale SA, 8.00% to 9/29/25, 144A (France)(c),(d),(g),(h)				800,000		748,500
Societe Generale SA, 9.375% to 11/22/27, 144A (France)(c),(d),(g),(h)				200,000		189,750
Toronto-Dominion Bank/The, 8.125% to 10/31/27, due 10/31/82 (Canada)(d)				200,000		203,500
UBS Group AG, 7.00% to 1/31/24, 144A (Switzerland)(c),(d),(g),(h)				800,000		760,968
						6,602,394
COMMUNICATIONS—TOWERS	0.1	%
American Tower Corp., 3.60%, due 1/15/28				267,000		250,674

6

			Principal Amount		Value
ELECTRIC	0.2	%
Southern Co./The, 3.75% to 6/15/26, due 9/15/51, Series 21-A(d)			$	535,000	$	450,117
ELECTRIC—FOREIGN	0.1	%
Emera, Inc., 6.75% to 6/15/26, due 6/15/76, Series 16-A (Canada)(d)				335,000		313,404
FINANCIAL	0.5	%
CREDIT CARD	0.1	%
American Express Co., 3.55% to 9/15/26(c),(d)				219,000		185,646
INVESTMENT BANKER/BROKER	0.4	%
Charles Schwab Corp./The, 4.00% to 12/1/30, Series H(c),(d)				500,000		394,375
Charles Schwab Corp./The, 4.00% to 6/1/26, Series I(c),(d)				1,250,000		1,020,650
						1,415,025
TOTAL FINANCIAL						1,600,671
INSURANCE	0.9	%
LIFE/HEALTH INSURANCE	0.4	%
Corebridge Financial, Inc., 6.875% to 9/15/27, due 12/15/52, 144A(d),(h)				550,000		491,371
Prudential Financial, Inc., 5.625% to 6/15/23, due 6/15/43(d)				300,000		295,761
Prudential Financial, Inc., 6.00% to 6/1/32, due 9/1/52(d)				300,000		281,340
						1,068,472
LIFE/HEALTH INSURANCE—FOREIGN	0.1	%
Dai-ichi Life Insurance Co., Ltd./The, 4.00% to 7/24/26, 144A (Japan)(c),(d),(h)				300,000		278,160
MULTI-LINE—FOREIGN	0.1	%
Argentum Netherlands BV for Zurich Insurance Co. Ltd., 5.125% to 6/1/28, due 6/1/48 (Switzerland)(d),(f)				400,000		375,616
PROPERTY CASUALTY	0.1	%
Markel Corp., 6.00% to 6/1/25(c),(d)				350,000		336,191
PROPERTY CASUALTY—FOREIGN	0.2	%
QBE Insurance Group Ltd., 6.75% to 12/2/24, due 12/2/44 (Australia)(d),(f)				606,000		598,948
TOTAL INSURANCE						2,657,387
INTEGRATED TELECOMMUNICATIONS SERVICES—FOREIGN	0.5	%
Vodafone Group PLC, 4.125% to 3/4/31, due 6/4/81 (United Kingdom)(d)				800,000		632,600

7

			Principal Amount		Value
Vodafone Group PLC, 6.25% to 7/3/24, due 10/3/78 (United Kingdom)(d),(f)			$	700,000	$	681,485
Vodafone Group PLC, 7.00% to 1/4/29, due 4/4/79 (United Kingdom)(d)				300,000		298,828
						1,612,913
PIPELINES	0.2	%
Energy Transfer LP, 6.50% to 11/15/26, Series H(c),(d)				200,000		176,500
Energy Transfer LP, 7.125% to 5/15/30, Series G(c),(d)				515,000		434,403
						610,903
PIPELINES—FOREIGN	0.2	%
Enbridge, Inc., 6.00% to 1/15/27, due 1/15/77, Series 16-A (Canada)(d)				300,000		277,261
Enbridge, Inc., 7.375% to 10/15/27, due 1/15/83 (Canada)(d)				340,000		325,900
						603,161
REAL ESTATE	1.4	%
FINANCE	0.1	%
Boston Properties LP, 2.45%, due 10/1/33				75,000		50,545
Tanger Properties LP, 2.75%, due 9/1/31				225,000		162,427
						212,972
HEALTH CARE	0.0	%
Sabra Health Care LP, 3.20%, due 12/1/31				100,000		73,455
INDUSTRIALS	0.0	%
Agree LP, 4.80%, due 10/1/32				150,000		144,687
NET LEASE	0.2	%
Essential Properties LP, 2.95%, due 7/15/31				200,000		147,091
VICI Properties LP, 5.125%, due 5/15/32				375,000		353,640
VICI Properties LP, 5.625%, due 5/15/52				200,000		180,323
						681,054
OFFICE	0.1	%
Brandywine Operating Partnership LP, 7.55%, due 3/15/28				200,000		179,548
Vornado Realty LP, 2.15%, due 6/1/26				150,000		120,338
						299,886
RESIDENTIAL	0.1	%
AvalonBay Communities, Inc., 5.00%, due 2/15/33				225,000		228,479

8

			Principal Amount		Value
RETAIL—FOREIGN	0.5	%
Scentre Group Trust 2, 4.75% to 6/24/26, due 9/24/80, 144A (Australia)(d),(h)			$	600,000	$	540,916
Scentre Group Trust 2, 5.125% to 6/24/30, due 9/24/80, 144A (Australia)(d),(h)				1,100,000		929,822
						1,470,738
SELF STORAGE	0.1	%
Life Storage LP, 4.00%, due 6/15/29				300,000		275,913
SHOPPING CENTERS	0.3	%
Kite Realty Group Trust, 4.75%, due 9/15/30				900,000		814,702
TOTAL REAL ESTATE						4,201,886
UTILITIES	0.3	%
ELECTRIC	0.2	%
NextEra Energy Capital Holdings, Inc., 5.00%, due 7/15/32				210,000		211,527
Sempra Energy, 4.125% to 1/1/27, due 4/1/52(d)				500,000		404,260
						615,787
ELECTRIC—FOREIGN	0.1	%
Algonquin Power & Utilities Corp., 4.75% to 1/18/27, due 1/18/82 (Canada)(d)				400,000		320,564
TOTAL UTILITIES						936,351
TOTAL PREFERRED SECURITIES—CAPITAL SECURITIES (Identified cost—$32,341,049)						29,233,429
CORPORATE BONDS	1.8	%
COMMUNICATIONS—TOWERS	0.1	%
American Tower Corp., 5.65%, due 3/15/33				425,000		437,733
ELECTRIC	0.1	%
American Electric Power Co., Inc., 5.75%, due 11/1/27				120,000		124,854
Southern California Edison Co., 5.85%, due 11/1/27				250,000		263,606
						388,460
ELECTRIC—FOREIGN	0.1	%
Enel Finance International NV, 7.50%, due 10/14/32, 144A (Italy)(h)				200,000		223,055

9

			Principal Amount		Value
FINANCIAL—INVESTMENT BANKER/BROKER	0.1	%
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.75%, due 6/15/29, 144A(h)			$	300,000	$	217,174
INTEGRATED TELECOMMUNICATIONS SERVICES	0.1	%
AT&T, Inc., 2.875% to 3/2/25, Series B(c),(d)				500,000		503,615
REAL ESTATE	1.3	%
DIVERSIFIED	0.2	%
Necessity Retail REIT, Inc./The/ American Finance Operating Partner LP, 4.50%, due 9/30/28, 144A(h)				600,000		449,476
Spirit Realty LP, 3.40%, due 1/15/30				300,000		258,175
						707,651
FINANCE	0.2	%
Boston Properties LP, 6.75%, due 12/1/27				105,000		103,993
Digital Realty Trust LP, 5.55%, due 1/15/28				170,000		169,518
Federal Realty Investment Trust, 2.75%, due 6/1/23				200,000		199,133
						472,644
NET LEASE	0.6	%
Global Net Lease, Inc./Global Net Lease Operating Partnership LP, 3.75%, due 12/15/27, 144A(h)				300,000		237,679
VICI Properties LP/VICI Note Co., Inc., 4.125%, due 8/15/30, 144A(h)				594,000		525,207
VICI Properties LP/VICI Note Co., Inc., 4.25%, due 12/1/26, 144A(h)				350,000		326,885
VICI Properties LP/VICI Note Co., Inc., 5.75%, due 2/1/27, 144A(h)				750,000		736,966
						1,826,737
OFFICE	0.1	%
Hudson Pacific Properties LP, 5.95%, due 2/15/28				450,000		341,164
SHOPPING CENTERS	0.2	%
Kimco Realty OP LLC, 4.125%, due 12/1/46				125,000		95,143
Simon Property Group LP, 5.50%, due 3/8/33				285,000		283,822
Simon Property Group LP, 5.85%, due 3/8/53				200,000		199,438
						578,403
TOTAL REAL ESTATE						3,926,599
TOTAL CORPORATE BONDS (Identified cost—$6,112,004)						5,696,636

10

			Ownership %*			Value
PRIVATE REAL ESTATE—OFFICE	1.2	%
Legacy Gateway JV LLC, Plano, TX(i)				7.9	%	$	3,719,359
TOTAL PRIVATE REAL ESTATE (Identified cost—$3,297,270)							3,719,359
			Shares
SHORT-TERM INVESTMENTS	0.8	%
MONEY MARKET FUNDS
State Street Institutional Treasury Money Market Fund, Premier Class, 4.53%(j)				2,593,138			2,593,138
TOTAL SHORT-TERM INVESTMENTS (Identified cost—$2,593,138)							2,593,138
PURCHASED OPTION CONTRACTS (Premiums paid—$8,496)	0.0	%					4,050
TOTAL INVESTMENTS IN SECURITIES (Identified cost—$266,341,375)	99.7	%					307,932,603
WRITTEN OPTION CONTRACTS (Premiums received—$316,641)	(0.1	)					(348,567	)
OTHER ASSETS IN EXCESS OF LIABILITIES	0.5						1,427,972
SERIES A CUMULATIVE PREFERRED STOCK, AT LIQUIDATION VALUE	(0.1	)					(125,000	)
NET ASSETS (Equivalent to $11.66 per share based on 26,501,796 shares of common stock outstanding)	100.0	%				$	308,887,008

11

Exchange-Traded Option Contracts

Purchased Options								��
Description	Exercise Price		Expiration Date		Number of Contracts			Notional Amount(k)			Premiums Paid			Value
Put — Equinix, Inc.	$	600.00		5/19/23		9		$	648,936		$	8,496		$	4,050
Written Options
Description	Exercise Price		Expiration Date		Number of Contracts			Notional Amount(k)			Premiums Received			Value
Call — Extra Space Storage, Inc.	$	170.00		6/16/23		(43	)	$	(700,599	)	$	(13,719	)	$	(27,095	)
Call — Public Storage		320.00		6/16/23		(20	)		(604,280	)		(9,352	)		(9,880	)
Put — American Tower Corp.		180.00		4/21/23		(33	)		(674,322	)		(8,869	)		(1,980	)
Put — Digital Realty Trust, Inc.		90.00		5/19/23		(59	)		(580,029	)		(17,253	)		(14,160	)
Put — Equinix, Inc.		580.00		5/19/23		(18	)		(1,297,872	)		(11,349	)		(5,961	)
Put — Invitation Homes, Inc.		30.00		5/19/23		(183	)		(571,509	)		(27,188	)		(18,117	)
Put — Prologis, Inc.		115.00		5/19/23		(51	)		(636,327	)		(13,493	)		(11,016	)
Put — Prologis, Inc.		105.00		5/19/23		(48	)		(598,896	)		(8,991	)		(4,080	)
Put — Medical Properties Trust, Inc.		10.00		7/21/23		(1,059	)		(870,498	)		(206,427	)		(256,278	)
						(1,514	)	$	(6,534,332	)	$	(316,641	)	$	(348,567	)

Forward Foreign Currency Exchange Contracts

Counterparty	Contracts to Deliver		In Exchange For		Settlement Date		Unrealized Appreciation (Depreciation)
Brown Brothers Harriman		USD    519,166		EUR    477,596		4/4/23	$	(1,213	)
Brown Brothers Harriman		EUR    477,596		USD    507,553		4/4/23		(10,400	)
Brown Brothers Harriman		EUR    477,239		USD    519,580		5/3/23		1,173
							$	(10,440	)

12

Glossary of Portfolio Abbreviations

EUR	Euro Currency
FRN	Floating Rate Note
LIBOR	London Interbank Offered Rate
REIT	Real Estate Investment Trust
USD	United States Dollar

Note: Percentages indicated are based on the net assets of the Fund.

* Ownership % represents the Fund’s contractual ownership in the joint venture prior to the impact of promote structures. Legacy Gateway JV LLC, owns a Class A office building located at 6860 N. Dallas Parkway, Plano, Texas 75024.

(a) Restricted security. Aggregate holdings equal 0.7% of the net assets of the Fund. This security was acquired on August 3, 2020, at a cost of $1,335,937. Security value is determined based on significant unobservable inputs (Level 3).

(b) All or a portion of the security is pledged in connection with written option contracts. $2,575,439 in aggregate has been pledged as collateral.

(c) Perpetual security. Perpetual securities have no stated maturity date, but they may be called/redeemed by the issuer.

(d) Security converts to floating rate after the indicated fixed-rate coupon period.

(e) Variable rate. Rate shown is in effect at March 31, 2023.

(f) Securities exempt from registration under Regulation S of the Securities Act of 1933. These securities are subject to resale restrictions. Aggregate holdings amounted to $1,847,326 which represents 0.6% of the net assets of the Fund, of which 0.0% are illiquid.

(g) Contingent Capital security (CoCo). CoCos are debt or preferred securities with loss absorption characteristics built into the terms of the security for the benefit of the issuer. Aggregate holdings amounted to $6,195,047 or 2.0% of the net assets of the Fund.

(h) Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may only be resold to qualified institutional buyers. Aggregate holdings amounted to $8,269,756 which represents 2.7% of the net assets of the Fund, of which 0.0% are illiquid.

(i) Security value is determined based on significant unobservable inputs (Level 3).

(j) Rate quoted represents the annualized seven-day yield.

(k) Represents the number of contracts multiplied by notional contract size multiplied by the underlying price.

13

COHEN & STEERS TOTAL RETURN REALTY FUND, INC.

NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

Note 1. Portfolio Valuation

Investments in securities that are listed on the New York Stock Exchange (NYSE) are valued, except as indicated below, at the last sale price reflected at the close of the NYSE on the business day as of which such value is being determined. If there has been no sale on such day, the securities are valued at the mean of the closing bid and ask prices on such day or, if no ask price is available, at the bid price. Exchange-traded options are valued at their last sale price as of the close of options trading on applicable exchanges on the valuation date. In the absence of a last sale price on such day, options are valued by at the average of the quoted bid and ask prices as of the close of business. Over-the-counter (OTC) options are valued based upon prices provided by a third-party pricing service or counterparty. Forward foreign currency exchange contracts are valued daily at the prevailing forward exchange rate.

Securities not listed on the NYSE but listed on other domestic or foreign securities exchanges (including NASDAQ) are valued in a similar manner. Securities traded on more than one securities exchange are valued at the last sale price reflected at the close of the exchange representing the principal market for such securities on the business day as of which such value is being determined. If after the close of a foreign market, but prior to the close of business on the day the securities are being valued, market conditions change significantly, certain non-U.S. equity holdings may be fair valued pursuant to procedures established by the Board of Directors.

Readily marketable securities traded in the OTC market, including listed securities whose primary market is believed by Cohen & Steers Capital Management, Inc. (the investment advisor) to be OTC, are valued on the basis of prices provided by a third-party pricing service or third-party broker-dealers when such prices are believed by the investment advisor, pursuant to delegation by the Board of Directors, to reflect the fair value of such securities.

Fixed-income securities are valued on the basis of prices provided by a third-party pricing service or third-party broker-dealers when such prices are believed by the investment advisor, pursuant to delegation by the Board of Directors, to reflect the fair value of such securities. The pricing services or broker-dealers use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the pricing services or broker-dealers may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the pricing services or broker-dealers also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, and other unique security features which are then used to calculate the fair values.

Short-term debt securities with a maturity date of 60 days or less are valued at amortized cost, which approximates fair value. Investments in open-end mutual funds are valued at net asset value (NAV).

The Fund utilizes an independent valuation services firm (the Independent Valuation Advisor) to assist the investment manager in the determination of the Fund’s fair value of private real estate investments held by the Cohen & Steers RFI Trust (the REIT Subsidiary). Limited scope appraisals are prepared on a monthly basis and typically include a limited comparable sales and a full discounted cash flow analysis. Annually, a full scope, detailed appraisal report is completed which typically includes market analysis, cost approach, sales comparison approach and an income

COHEN & STEERS TOTAL RETURN REALTY FUND, INC.

NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

approach containing a discounted cash flow analysis. The full scope report is prepared by a third-party appraisal firm. The investment manager, including through communication with the Independent Valuation Advisor, monitors for material events that the investment manager believes may be expected to have a material impact on the most recent estimated fair values of such private real estate investments. However, rapidly changing market conditions or material events may not be immediately reflected in the Fund’s or REIT Subsidiary’s daily NAV. The investment manager, in conjunction with the Independent Valuation Advisor, values the private real estate investments using the valuation methodology it deems most appropriate and consistent with industry best practices and market conditions. The investment manager expects the primary methodology used to value private real estate investments will be the income approach. Consistent with industry practices, the income approach incorporates actual contractual lease income, professional judgments regarding comparable rental and operating expense data, the capitalization or discount rate and projections of future rent and expenses based on appropriate market evidence, and other subjective factors. Other methodologies that may also be used to value properties include, among other approaches, sales comparisons and cost approaches. Private real estate appraisals are reported on a free and clear basis (i.e. any property-level indebtedness that may be in place is not incorporated into the valuation). Property level debt is valued separately in accordance with GAAP.

The Board of Directors has designated the investment advisor as the Fund’s “Valuation Designee” under Rule 2a-5 under the 1940 Act. As Valuation Designee, the investment advisor is authorized to make fair valuation determinations, subject to the oversight of the Board of Directors. The investment advisor has established a valuation committee (Valuation Committee) to administer, implement and oversee the fair valuation process according to the policies and procedures approved annually by the Board of Directors. Among other things, these procedures allow the Fund to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value.

Securities for which market prices are unavailable, or securities for which the investment advisor determines that the bid and/or ask price or a counterparty valuation does not reflect market value, will be valued at fair value, as determined in good faith by the Valuation Committee, pursuant to procedures approved by the Fund’s Board of Directors. Circumstances in which market prices may be unavailable include, but are not limited to, when trading in a security is suspended, the exchange on which the security is traded is subject to an unscheduled close or disruption or material events occur after the close of the exchange on which the security is principally traded. In these circumstances, the Fund determines fair value in a manner that fairly reflects the market value of the security on the valuation date based on consideration of any information or factors it deems appropriate. These may include, but are not limited to, recent transactions in comparable securities, information relating to the specific security and developments in the markets.

For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities would be categorized as Level 2 or 3 in the hierarchy, depending on the relative significance of the valuation inputs. Securities, including private placements or other restricted securities, for which observable inputs are not available are valued using alternate valuation approaches, including the market approach, the income approach and cost approach, and are categorized as Level 3 in the hierarchy. The market approach considers factors including the price of recent investments in the same or a similar security or financial metrics of comparable securities. The income approach considers factors including expected future cash flows, security specific risks and corresponding discount rates. The cost approach considers factors including the value of the security’s underlying assets and liabilities.

COHEN & STEERS TOTAL RETURN REALTY FUND, INC.

NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

The Fund’s use of fair value pricing may cause the NAV of Fund shares to differ from the NAV that would be calculated using market quotations. Fair value pricing involves subjective judgments and it is possible that the fair value determined for a security may be materially different than the value that could be realized upon the sale of that security.

Fair value is defined as the price that the Fund would expect to receive upon the sale of an investment or expect to pay to transfer a liability in an orderly transaction with an independent buyer in the principal market or, in the absence of a principal market, the most advantageous market for the investment or liability. The hierarchy of inputs that are used in determining the fair value of the Fund’s investments is summarized below.

• Level 1—quoted prices in active markets for identical investments

• Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, 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 investments may or may not be an indication of the risk associated with those investments. Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy.

COHEN & STEERS TOTAL RETURN REALTY FUND, INC.

NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

The following is a summary of the inputs used as of March 31, 2023 in valuing the Fund’s investments carried at value:

	Quoted Prices in Active  Markets for Identical Investments (Level 1)			Other Significant Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Total
Common Stock:
Real Estate—Industrials	$	33,329,489		$	—		$	2,223,350	a	$	35,552,839
Other Industries		202,441,737			—			—			202,441,737
Preferred Securities—$25 Par Value		28,691,415			—			—			28,691,415
Preferred Securities—Capital Securities		—			29,233,429			—			29,233,429
Corporate Bonds		—			5,696,636			—			5,696,636
Private Real Estate—Office		—			—			3,719,359	b		3,719,359
Short-Term Investments		—			2,593,138			—			2,593,138
Purchased Option Contracts		4,050			—			—			4,050
Total Investments in Securities(c)	$	264,466,691		$	37,523,203		$	5,942,709		$	307,932,603
Forward Foreign Currency Exchange Contracts	$	—		$	1,173		$	—		$	1,173
Total Derivative Assets(c)	$	—		$	1,173		$	—		$	1,173
Forward Foreign Currency Exchange Contracts	$	—		$	(11,613	)	$	—		$	(11,613	)
Written Option Contracts		(315,511	)		(33,056	)		—			(348,567	)
Total Derivative Liabilities(c)	$	(315,511	)	$	(44,669	)	$	—		$	(360,180	)

(a) Restricted security, where observable inputs are limited, has been fair valued by the Valuation Committee, pursuant to the Fund’s fair value procedures and classified as Level 3 security.

(b) Private Real Estate, where observable inputs are limited, has been fair valued by the Valuation Committee, pursuant to the Fund’s fair value procedures and classified as Level 3 security. See Note 1-Portfolio Valuation.

(c) Portfolio holdings are disclosed individually on the Consolidated Schedule of Investments.

The following is a reconciliation of investments for which significant unobservable inputs (Level 3) were used in determining fair value:

	Common Stock— Real Estate— Industrials		Private Real Estate—Office
Balance as of December 31, 2022	$	2,048,995	$	3,705,013
Change in unrealized appreciation (depreciation)		174,355		14,346
Balance as of March 31, 2023	$	2,223,350	$	3,719,359

The change in unrealized appreciation (depreciation) attributable to securities owned on March 31, 2023 which were valued using significant unobservable inputs (Level 3) amounted to $188,701.

COHEN & STEERS TOTAL RETURN REALTY FUND, INC.

NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

The following table summarizes the quantitative inputs and assumptions used for investments categorized in Level 3 of the fair value hierarchy.

	Fair Value at March 31, 2023	Valuation Technique	Unobservable Inputs	Amount	Valuation Impact from an Increase in Input(a)
Common Stock— Real Estate—Industrials	$ 2,223,350	Market Comparable Companies	Enterprise Value/ EBITDA(b) Multiple	22.5x	Increase
Private Real Estate— Office	$ 3,719,359	Discounted Cash Flow	Discount Rate Terminal Capitalization Rate	7.50% 6.50%	Decrease Decrease

(a) Represents the directional change in the fair value of the Level 3 investments that could have resulted from an increase in the corresponding input as of period end. A decrease to the unobservable input would have had the opposite effect. Significant changes in these inputs may result in a materially higher or lower fair value measurement.

(b) Earnings Before Interest, Taxes, Depreciation and Amortization.

Note 2. Derivative Investments

Forward Foreign Currency Exchange Contracts: The Fund enters into forward foreign currency exchange contracts to hedge the currency exposure associated with certain of its non-U.S. dollar denominated securities. A forward foreign currency exchange contract is a commitment between two parties to purchase or sell foreign currency at a set price on a future date. The market value of a forward foreign currency exchange contract fluctuates with changes in foreign currency exchange rates. These contracts are marked to market daily and the change in value is recorded by the Fund as unrealized appreciation and/or depreciation on forward foreign currency exchange contracts. Realized gains or losses equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed are included in net realized gain or loss on forward foreign currency exchange contracts. For federal income tax purposes, the Fund has made an election to treat gains and losses from forward foreign currency exchange contracts as capital gains and losses.

Forward foreign currency exchange contracts involve elements of market risk in excess of the amounts reflected on the Consolidated Schedule of Investments. The Fund bears the risk of an unfavorable change in the foreign exchange rate underlying the contract. Risks may also arise upon entering these contracts from the potential inability of the counterparties to meet the terms of their contracts. In connection with these contracts, securities may be identified as collateral in accordance with the terms of the respective contracts.

Option Contracts: The Fund may purchase and write exchange-listed and OTC put or call options on securities, stock indices and other financial instruments for hedging purposes, to enhance portfolio returns and/or reduce overall volatility.

When the Fund writes (sells) an option, an amount equal to the premium received by the Fund is recorded as a liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written. When an option expires, the Fund realizes a gain on the option to the extent of the premium received. Premiums received from writing options which are exercised or closed are added to or offset against the proceeds or amount paid on the transaction to determine the realized gain or loss. If a put option on a security is exercised, the premium reduces the cost basis of the security purchased by the Fund. If a call option is exercised, the premium is added to the proceeds of the security sold to determine the realized gain or loss. The Fund, as writer of an option, bears the market risk of an unfavorable change in the price of the underlying investment. Other risks include the possibility of an illiquid options market or the inability of the counterparties to fulfill their obligations under the contracts.

COHEN & STEERS TOTAL RETURN REALTY FUND, INC.

NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

Put and call options purchased are accounted for in the same manner as portfolio securities. Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain or loss when the underlying transaction is executed. The risk associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of the premium and change in market value should the counterparty not perform under the contract.

The following summarizes the volume of the Fund’s option contracts and forward foreign currency exchange contracts activity for the three months ended March 31, 2023:

	Purchased Option Contracts(a),(b)		Written Option Contracts(a),(b)		Forward Foreign Currency Exchange Contracts
Average Notional Amount	$	649,956	$	5,748,359	$	508,258

(a) Notional amount is calculated using the number of contracts multiplied by notional contract size multiplied by the underlying price.

(b) Average notional amounts represent the average for all months in which the Fund had option contracts outstanding at month end.