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 811-21621

Name of Fund: Defined Strategy Fund Inc. (DSF)

Fund Address: P.O. Box 9011
Princeton, NJ 08543-9011

Name and address of agent for service: Mitchell M. Cox, Chief Executive Officer, Defined Strategy
Fund Inc., 4 World Financial Center, 6 th Floor, New York, New York 10080.

Registrant’s telephone number, including area code: (877) 449-4742

Date of fiscal year end: 09/30/2008

Date of reporting period: 12/31/2008

Item 1 – Schedule of Investments

Defined Strategy Fund Inc.                  
Schedule of Investments December 31, 2008 (Unaudited)     (Percentages shown are based on Net Assets)  
 
            Shares      
Industry     Common Stocks         Held             Value  
 
 
 
 
Automobiles - 4.7%     Ford Motor Co. (a)(b)         862,069     $ 1,974,138  
 
 
 
 
Chemicals - 14.6%     E.I. du Pont de Nemours & Co.     163,043     4,124,988  
    The Mosaic Co. (b)         59,625     2,063,025  
               
                6,188,013  
 
 
 
 
Communications Equipment - 7.7%     Cisco Systems, Inc. (a)(b)         199,924     3,258,761  
 
 
 
 
Computers & Peripherals - 6.0%     Apple, Inc. (a)(b)         29,769     2,540,784  
 
 
 
 
Diversified Financial Services - 33.2%     Bank of America Corp.         306,236     4,311,803  
    IntercontinentalExchange, Inc. (a)(b)     32,224     2,656,547  
    JPMorgan Chase & Co.         131,036     4,131,565  
    The NASDAQ Stock Market, Inc. (a)(b)     117,978     2,915,236  
           
                14,015,151  
 
 
 
 
Diversified Telecommunication     AT&T Inc.         143,130     4,079,205  
Services - 19.4%     FairPoint Communications, Inc.     3,502     11,487  
    Verizon Communications, Inc.     120,904     4,098,646  
           
                8,189,338  
 
 
 
 
Energy Equipment & Services - 8.4%     National Oilwell Varco, Inc. (a)(b)     72,564     1,773,464  
    Transocean Ltd. (a)         37,538     1,773,671  
               
                3,547,135  
 
 
 
 
Food Products - 9.8%     Kraft Foods, Inc.         154,784     4,155,950  
 
 
 
 
Health Care Equipment &     Hologic, Inc. (a)(b)         153,914     2,011,656  
Supplies - 14.4%     St. Jude Medical, Inc. (a)(b)     123,239     4,061,957  
           
                6,073,613  
 
 
 
 
Industrial Conglomerates - 9.8%     General Electric Co.         256,370     4,153,194  
 
 
 
 
Machinery - 4.8%     AGCO Corp. (a)(b)         85,103     2,007,580  
 
 
 
 
Metals & Mining - 12.7%     AK Steel Holding Corp. (b)         141,167     1,315,676  
    Alcoa, Inc.         361,208     4,067,202  
               
                5,382,878  
 
 
 
 
Pharmaceuticals - 19.5%     Merck & Co., Inc.         136,635     4,153,704  
    Pfizer, Inc.         230,834     4,088,070  
               
                8,241,774  
 
 
 
 
Semiconductors & Semiconductor     Lam Research Corp. (a)(b)         135,729     2,888,313  
Equipment - 10.3%     Nvidia Corp. (a)(b)         183,631     1,481,902  
               
                4,370,215  
 
 
 
 
Software - 9.7%     Intuit, Inc. (a)(b)         171,345     4,076,298  
 
 
 
 
    Total Common Stocks              
    (Cost - $129,487,025*) - 185.0%         78,174,822  
    Liabilities in Excess of Other Assets - (85.0)%         (35,918,201)  
           
    Net Assets - 100.0%             $ 42,256,621  
               

*       The cost and unrealized appreciation (depreciation) of investments as of December 31, 2008, as computed for federal income tax purposes, were as follows:
 
Aggregate cost     $ 134,437,655  
   
Gross unrealized appreciation     $ 828,519  
Gross unrealized depreciation     (57,091,352)  
   
Net unrealized depreciation     $ (56,262,833)  
   

(a)       Non-income producing security.
 
(b)       All of security has been pledged as collateral in connection with variable prepaid forward contracts.
 

1

Defined Strategy Fund Inc.

Schedule of Investments December 31, 2008 (Unaudited)

  • For Fund portfolio compliance purposes, the Fund's industry classifications refer to any one or more of the industry sub- classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub- classifications for reporting ease.
  • Variable prepaid forward contracts as of December 31, 2008, expiring January 12, 2009, were as follows:
Shares          
Held     Issue               Value  
 
 
85,103     AGCO Corp. (a)     $ (2,007,151)  
141,167     AK Steel Holding Corp.     (1,315,392)  
29,769     Apple, Inc. (a)     (2,540,239)  
199,924     Cisco Systems, Inc. (a)     (3,258,065)  
862,069     Ford Motor Co. (a)     (1,973,237)  
153,914     Hologic, Inc. (a)     (2,011,226)  
32,224     IntercontinentalExchange, Inc. (a)     (2,655,979)  
171,345     Intuit, Inc. (a)     (4,075,428)  
135,729     Lam Research Corp. (a)     (2,887,697)  
59,625     The Mosaic Co.     (2,062,575)  
117,978     The NASDAQ Stock Market, Inc. (a)     (2,914,614)  
183,631     Nvidia Corp. (a)     (1,481,586)  
72,564     National Oilwell Varco, Inc. (a)     (1,773,083)  
123,239     St. Jude Medical, Inc. (a)     (4,061,088)  
37,538     Transocean, Inc. (a)     (1,773,291)  
 
 
Total (Proceeds - $77,594,490)     $ (36,790,651)  
   

    		• Effective October 1, 2008, the Fund adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" ("FAS 157"). FAS 157 clarifies the definition of fair value, establishes a framework for measuring fair values and requires additional disclosures about the use of fair value measurements. Various inputs are used in determining the fair value of investments, which are as follows:
     
     
    		• Level 1 - price quotations in active markets/exchanges for identical securities
     
     
    		• Level 2 - other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, and default rates) or other market-corroborated inputs)
     
     
    		• Level 3 - unobservable inputs based on the best information available in the circumstance, to the extent observable inputs are not available (including the Fund's own assumption used in determining the fair value of investments)
     
      The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent financial statements as contained in its annual report.
     

    The following table summarizes the inputs used as of December 31, 2008 in determining the fair valuation of the Fund's investments:

    Valuation     Investments in     Investments  
    Inputs     Securities     Sold Short  
    		 
    		 
        Assets     Liabilities  
       
    		 
    Level 1     $ 78,174,822     -  
    Level 2     -     $ (36,790,651)  
    Level 3     -     -  
    		 
    		 
    Total     $ 78,174,822     $ (36,790,651)  
       
    		 

    2

    Item 2 – Controls and Procedures

    2(a) – The registrant’s principal executive and principal financial officers or persons performing
    similar functions have concluded that the registrant’s disclosure controls and procedures (as
    defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the
    “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the
    evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act
    and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.

    2(b) – There were no changes in the registrant’s internal control over financial reporting (as
    defined in Rule 30a-3(d) under the 1940 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

    Certifications – Attached hereto

    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.

    Defined Strategy Fund Inc.

    By: /s/ Mitchell M. Cox
    Mitchell M. Cox
    Chief Executive Officer (principal executive officer) of
    Defined Strategy Fund Inc.

    Date: February 25, 2009

    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.

    By: /s/ Mitchell M. Cox
    Mitchell M. Cox
    Chief Executive Officer (principal executive officer) of
    Defined Strategy Fund Inc.

    Date: February 25, 2009

    By: /s/ Mitchell M. Cox
    James E. Hillman
    Chief Financial Officer (principal financial officer) of
    Defined Strategy Fund Inc.

    Date: February 25, 2009

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