UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507.

ITEM 1. REPORTS TO STOCKHOLDERS.

Closed-End Funds

Nuveen Investments

Closed-End Funds

Semi-Annual Report June 30, 2014

JTA

Nuveen Tax-Advantaged Total Return Strategy Fund

Nuveen Investments to be acquired by TIAA-CREF

On April 14, 2014, TIAA-CREF announced that it had entered into an agreement to acquire Nuveen Investments, the parent company of your fund's investment adviser, Nuveen Fund Advisors, LLC ("NFAL") and the Nuveen affiliates that act as sub-advisers to the majority of the Nuveen Funds. TIAA-CREF is a national financial services organization with approximately $569 billion in assets under management (as of March 31, 2014) and is a leading provider of retirement services in the academic, research, medical and cultural fields. Nuveen anticipates that it will operate as a separate subsidiary within TIAA-CREF's asset management business, and that its current leadership and key investment teams will stay in place.

Your fund investment will not change as a result of Nuveen's change of ownership. You will still own the same fund shares and the underlying value of those shares will not change as a result of the transaction. NFAL and your fund's sub-adviser(s) will continue to manage your fund according to the same objectives and policies as before, and we do not anticipate any significant changes to your fund's operations. Under the securities laws, the consummation of the transaction will result in the automatic termination of the investment management agreements between the funds and NFAL and the investment sub-advisory agreements between NFAL and each fund's sub-adviser(s). The new agreements have been approved by shareholders of your fund.

The transaction is currently expected to close early in the fourth quarter of 2014, but remains subject to customary closing conditions.

Table

of Contents

Chairman's Letter

to Shareholders

Dear Shareholders,

After significant growth in 2013, domestic and international equity markets have been less compelling during the first part of 2014. Concerns about deflation, political uncertainty in many places and the potential for more fragile economies to impact other countries have produced uncertainty in the markets.

Europe is beginning to emerge slowly from the recession in mid-2013, with improved GDP and employment trends in some countries. However, Japan's deflationary headwinds have resurfaced; and China shows signs of slowing from credit distress combined with declines in manufacturing and exports. Most recently, tensions between Russia and Ukraine may continue to hold back stocks and support government bonds in the near term.

Despite these headwinds, there are some encouraging signs of forward momentum in the markets. In the U.S., the news is more positive with financial risks slowly receding, positive GDP trends, downward trending unemployment and stronger household finances and corporate spending.

It is in such changeable markets that professional investment management is most important. Investment teams who have experienced challenging markets in the past understand how their asset class can behave in rapidly changing times. Remaining committed to their investment disciplines during these times is a critical component to achieving long-term success. In fact, many strong investment track records are established during challenging periods because experienced investment teams understand that volatile markets place a premium on companies and investment ideas that can weather the short-term volatility. By maintaining appropriate time horizons, diversification and relying on practiced investment teams, we believe that investors can achieve their long-term investment objectives.

As always, I encourage you to communicate with your financial consultant if you have any questions about your investment in a Nuveen Fund. On behalf of the other members of the Nuveen Fund Board, we look forward to continuing to earn your trust in the months and years ahead.

William J. Schneider
Chairman of the Board
August 25, 2014

Portfolio Managers'

Comments

Nuveen Tax-Advantaged Total Return Strategy Fund (JTA)

The Fund features portfolio management by two affiliates of Nuveen Investments, Inc. The Fund's investments in dividend-paying common and preferred stocks and call options written are managed by NWQ Investment Management Company, LLC (NWQ), while the Fund's investments in senior corporate loans and other debt instruments are managed by Symphony Asset Management LLC (Symphony). Jim Stephenson, Managing Director of NWQ, along with Michael Carne, CFA, and Susi Budiman manage the NWQ portion of the Fund. The Symphony team is led by Gunther Stein, who serves as the firm's Chief Investment Officer.

Here Jim, Mike, Susi and Gunther review their management strategies and the performance of the Fund for the six-month reporting period ending June 30, 2014.

What key strategies were used to manage the Fund during this six-month reporting period ended June 30, 2014?

The Fund is designed to seek a high level of after-tax total return consisting primarily of tax-advantaged dividend income and capital appreciation. In an effort to achieve this, the Fund invests at least 60% in common stocks whose dividends may be eligible for favorable income tax treatment. The Fund also invests to a more limited extent in preferred stocks, which can range from a minimum of 5% to a maximum of 20%, that are eligible to pay tax-advantaged dividends, as well as 20% in senior loans and other debt instruments.

NWQ Key Strategies

For the common and preferred equity portion of the Fund's portfolio, NWQ continued to employ an opportunistic, bottom-up strategy that focused on identifying undervalued companies possessing favorable risk/reward characteristics as well as what it thought were emerging catalysts that could unlock value or improve profitability. These catalysts included management changes, restructuring efforts, recognition of hidden assets and/or a positive change in the underlying fundamentals. We also focused on downside risk management and paid a great deal of attention to a company's balance sheet and cash flow statement, not just the income statement. We believed that cash flow analysis offered a more objective picture of a company's financial position than an evaluation based on earnings alone.

Our overall goals are to provide a high total return to investors with a lower amount of risk. Managing an equity income based strategy can accomplish this through both capital appreciation and a higher than average proportion of return through dividends. Often, but not always, these types of stocks have carried less risk, although history has shown where this was not the case. That is why we feel it is important that we approach this strategy as a value investor, which has been the core of NWQ's philosophy.

Certain statements in this report are forward-looking statements. Discussions of specific investments are for illustration only and are not intended as recommendations of individual investments. The forward-looking statements and other views expressed herein are those of the portfolio managers as of the date of this report. Actual future results or occurrences may differ significantly from those anticipated in any forward-looking statements and the views expressed herein are subject to change at any time, due to numerous market and other factors. The Fund disclaims any obligation to update publicly or revise any forward-looking statements or views expressed herein.

Ratings shown are the highest rating given by one of the following national rating agencies: Standard & Poor's (S&P), Moody's Investors Service, Inc. (Moody's) or Fitch, Inc. (Fitch). Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below investment grade ratings. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by these national rating agencies.

Portfolio Managers' Comments (continued)

Some traditional dividend paying companies sell at historically high valuation levels both on an absolute basis and relative to history and the broader market. Therefore, the Fund has fewer holdings in utilities and U.S. telecom service companies than many of our peers, as we view those areas to be substantially fully valued.

We increased exposure to companies in developed foreign markets, namely Europe. Many of these companies pay higher levels of dividend income than similar enterprises in the U.S. and are less expensive on a valuation basis. Additionally, there exists a wider representation of industries whose companies pay dividends than in America.

During the reporting period, we continued to find better values and more upside for capital return in the financial and technology sectors. Many financials' balance sheets have been over-capitalized with room for share repurchases and dividend increases as the regulatory cloud surrounding them continues to lift. Technology companies with sub-optimal capital structures and cash will likely receive even more pressure over time to return that capital to shareholders. We believe both sectors may potentially increase their capital returns, which may in turn allow for a re-rating of the companies.

Finally, we continued to employ a bottom up approach. We found interesting names within a variety of industries. Rather than look for the highest dividend paying stocks, we look to invest in the best companies at an attractive valuation with a good risk/reward profile and catalysts that can change the valuation of the company. Companies that experience renewed capital discipline can often demonstrate this through a return of capital. Increased dividend payments, as well as share repurchases, become the catalyst for re-rating when it comes from companies that previously were misallocating capital. Often this comes from a management change, for example when the CFO becomes the CEO or perhaps when an outside force such as an active investor applies the pressure needed to affect change. We are seeing an increasing amount of these types of opportunities across multiple industries.

For the preferred securities portion of the Fund's portfolio, we look at the specific characteristics of the preferred stocks available for investment and evaluate the effect on holding such an investment. These characteristics might include price, yield, issuer, rating, liquidity premium/discount and any other potential issues that can affect the value of the position. Additionally, because the preferred market is concentrated both by issuer and industry, we focus attention on the diversification of the Fund.

Symphony Key Strategies

In the senior loan and other debt portion of the Fund's portfolio, Symphony continued to manage and monitor senior loan market risks. The overall macroeconomic backdrop during the reporting period remained supportive of the leveraged loan asset class. The Fund's capital remained invested in issuers with strong credit profiles among non-investment-grade debt while offering attractive current income and yield. Fundamentally, Symphony feels that many of these companies have stable businesses, good asset coverage for senior debt holders and could perform well in a stable to slow growth environment.

How did the Fund perform during this six-month reporting period ended June 30, 2014?

The table in the Performance Overview and Holding Summaries section of this report provides total return performance for the Fund for the six-month, one-year, five-year and ten-year periods ended June 30, 2014. For the six-month reporting period ended June 30, 2014, the Fund's total return on common share net asset value (NAV) posted positive returns, but underperformed its Blended Benchmark and the S&P 500^® Index.

NWQ Performance

For the equity portion of the Fund managed by NWQ, the Fund's performance reflects gains in several holdings for the reporting period, although returns did modestly trail the benchmark. The materials and energy sectors had the largest positive contribution on absolute and relative performance. These gains were partially offset by relative underperformance in the producer durables, technology and utility sectors. AstraZeneca and Teva Pharmaceuticals were among two of our top investments, while General Motors and CA Inc. generated losses.

Several positions positively contributed to performance, including AstraZeneca. The company's stock appreciated as the company received a takeout offer from Pfizer, which was rejected based on valuation. Under U.K. takeover laws, Pfizer can submit another bid after six months. In addition to the financial engineering benefits of the deal (corporate tax rate inversion), AstraZeneca has a broad drug pipeline and several long-term opportunities that Pfizer wants. Astra's rejection of the deal appears to reflect management's confidence in its own framework for growth of the company.

Microsoft Corporation also appreciated following strong performance during 2013. In February 2014, Satya Nadella was named CEO of the company and Bill Gates stepped down from his chairman role to become a senior advisor, thereby removing a potential obstacle to drive change at the company. Mr. Nadella previously led Microsoft's Business division for seven years and most recently ran the company's Cloud business. These businesses are growing and are a major part of our investment thesis.

Canadian-based Suncor Energy outperformed after reporting solid financial results that reflected strong operating momentum. The company's free cash flows are being driven by strong realized pricing for oil sands production and record refining results. The U.S. is undergoing a structural transformation with refiners benefiting from excessive supply, primarily in the Gulf Coast. Suncor Energy is returning significant cash to shareholders with dividends forecasted to increase 25% per year over the next three years, plus buybacks.

Teva Pharmaceutical has embarked on an aggressive $2 billion cost cutting plan that should help maintain strong profitability in the face of the upcoming patent expiration of its multiple sclerosis drug, Copaxone. Teva received FDA approval in late January for a 3 day/week dosing for Copaxone, and is actively working to shift its patients to the new formulation. We increased our position prior to the stock's explosive rally, making it one of the larger investments in the Fund. We did modestly trim the position after its substantial gain.

Several holdings detracted from performance, including Copa Holdings S.A. The company is a leading Latin American airline with a strong balance sheet and one of the most modern fleets in the industry. The company's primary hub in Panama is ideally positioned between North and South America. The shares sold off on concerns that Venezuela, a strategically important market for Copa, would devalue its currency and place restrictions on the repatriation of cash out of the country. The company has $300 million in cash trapped on its balance sheet. Furthermore, Copa had to reduce service in the country and has placed limits on bolivar-denominated ticket sales. Although we believe that Copa's robust growth and high profitability remain intact despite these headwinds, we eliminated the position due to risk/reward concerns.

Ultra low cost airline Controladora Vuela Compania de Aviacion SAB (Volaris) also declined due to a weakened economic environment in Mexico and higher competition. AeroMexico dramatically lowered fares in some markets to help regain lost market share. Although we believe this will only be a near term issue as AeroMexico is burning cash at current levels and Volaris remains the lowest cost producer in the market, we elected to eliminate the position from the Fund.

General Motors (GM) was pressured by issues related to extensive product recalls and an investigation into why previous management delayed recalling vehicles with defective ignition parts that resulted in thirteen deaths. Mary Barra was recently appointed CEO as part of a long expected management transition, replacing Dan Akerson. We believe GM is a fundamentally transformed company with a new culture. While the short term suggests upside to the stock and is capped for now, we believe the company remains an excellent value that is supported by a strong balance sheet, excellent product cadence, and continued earnings momentum.

Lastly, Norwegian Cruise Lines declined as additional capacity has entered the Caribbean cruise market and the company issued conservative guidance. The Getaway, Norwegian's new ship in that market, is generating double-digit premiums. The overhang of an upcoming stock issuance from major holders continues to be a modest headwind, although we believe this will provide an opportunity for better liquidity and investment in an excellent operator with a compelling valuation. We increased our position on Norwegian Cruise Lines in December in conjunction with a secondary public offering of the shares.

Portfolio Managers' Comments (continued)

Several new positions were added to the Fund during the reporting period including shares of Ford Motor Company (Ford). Ford announced that it will have a down year in 2014 given a significant amount of investment spending and plans to launch twenty-three new products that we believe will drive an earnings recovery in 2015. Ford is also well positioned to benefit from a European economic recovery. Ford has a strong balance sheet, generates solid cash flow and recently increased its dividend by 25%. ING Groep N.V. was also purchased. Many banks were highly levered prior to the 2007/2008 financial crisis, but since taking government bailouts, most banks have been forced by regulators to take the risk out of their portfolios and decrease their leverage. Many banks are generating excess cash that they are able to return in massive amounts of capital back to shareholders. The stocks have faced additional pressures more recently as governments have gone after the industry for past misdeeds such as mortgage securities and dark trading pools. We believe this will make the industry much more investable as the government cleans up the industry. ProSiebenSat.1 Media is a German TV broadcaster with one of the best strategies for structural growth in European media. The company is also poised to benefit from a recovery in the German economy, which would directly feed through to higher advertising rates. ProSieben's revenue growth is being driven by higher distribution fees as the penetration of high definition channels increases. Expansion of the video on demand (VOD) market where the company owns key properties such as Maxdome.de and myvideo.de is also a positive. ProSieben's dividend yield is among the highest in the media sector and the company could re-lever its balance sheet to return capital to shareholders.

Several holdings were eliminated or trimmed during the reporting period based on valuation, deteriorating fundamentals or to raise cash as we rotated into new investment opportunities. CA Inc. was eliminated on concerns of a potential pause in its earnings growth. While Fiscal 2014 has benefited from the company exceeding lowered expectations, Fiscal 2015 represents a transition year for the company and we expect a slight decrease in revenues and flat operating margins. Metro AG was sold due to our concerns surrounding the possible negative effects of the ongoing Ukraine unrest on the firm's earnings, profitability and restructuring capability.

Also positively contributing to the Fund's return was the preferred stock portion of the Fund's portfolio that is also managed by NWQ. Security selection in the banking, financials and insurance sectors contributed to performance. In particular, the preferred stocks of Federal Agricultural Mortgage Corporation (Farmer Mac), HSBC Finance Corporation and Arch Capital Group, Ltd. were the three largest contributors to total return.

During the period, NWQ wrote (sold) covered call options on individual stocks held in the Fund's portfolio to enhance returns while foregoing some upside potential. The effect on performance for the reporting period was a small positive one.

Symphony Performance

The senior loan and other debt instruments portion of the Fund managed by Symphony also contributed to performance during the reporting period. The loan market moved steadily higher during the reporting period, as investors wrote off the drop in first quarter GDP as a temporary contraction, focusing instead on encouraging employment data, home sales figures and accommodative Fed policy statements. The senior loan portion of the Fund benefited from credit selection and strong market technicals as loans continue to see demand from institutional and retail investors as well as collateralized loan obligations (CLOs). Year to date visible inflows from CLO issuance and retail loan funds total $63.2 billion and $1.8 billion, respectively.

The Fund's positions in Golden Living and Millennium Laboratories contributed positively to performance. During the reporting period, the lenders of the loans for Golden Living, a health care company, negotiated more favorable terms through an amendment of the credit agreement and the loans rallied. The new issue loans of Millennium Laboratories, a leading company in medication monitoring and pharmacogenetics, came to the market at a discount and subsequently traded up in the secondary market.

Detracting from performance was the loan of Valeant Pharmaceuticals International. Specifically, the loans of Valeant Pharmaceuticals International, a multi-national, specialty pharmaceutical company that develops, manufacturers and markets a range of pharmaceutical products, traded down as the company was the subject of a number of negative sell side research reports.

Fund

Leverage

IMPACT OF THE FUND'S LEVERAGE STRATEGY ON PERFORMANCE

One important factor impacting the return of the Fund relative to its benchmarks was the Fund's use of leverage through the use of bank borrowings. The Fund uses leverage because our research has shown that, over time, leveraging provides opportunities for additional income and total return for common shareholders. However, use of leverage also can expose common shareholders to additional volatility. For example, as the prices of securities held by the Fund decline, the negative impact of these valuation changes on common share NAV and common shareholder total return is magnified by the use of leverage. Conversely, leverage may enhance common share returns during periods when the prices of securities held by the Fund generally are rising. The Fund's use of leverage had a positive impact on performance during this reporting period.

The Fund also continued to use swap contracts to partially fix the interest cost of leverage, which as mentioned previously, the Fund uses through bank borrowings. The swap contracts impact on performance was modestly negative during this reporting period, as interest rates moved lower.

As of June 30, 2014, the Fund's percentages of leverage are as shown in the accompanying table.

*  Effective leverage is the Fund's effective economic leverage, and includes both regulatory leverage and the leverage effects of certain derivative and other investments in a Fund's portfolio that increase the Fund's investment exposure. Regulatory leverage consists of preferred shares issued or borrowings of the Fund. Both of these are part of the Fund's capital structure. Regulatory leverage is subject to asset coverage limits set forth in the Investment Company Act of 1940.

THE FUND'S REGULATORY LEVERAGE

Bank Borrowings

The Fund employs regulatory leverage through the use of bank borrowings. As of June 30, 2014, the Fund had outstanding bank borrowings of $88,500,000.

Refer to Notes to Financial Statements, Note 9 – Borrowing Arrangements for further details.

Common Share

Information

DISTRIBUTION INFORMATION

The following information regarding the Fund's distributions is current as of June 30, 2014. The Fund's distribution level may vary over time based on the Fund's investment activities and portfolio investment value changes.

The Fund has a managed distribution program. The goal of this program is to provide common shareholders with relatively consistent and predictable cash flow by systematically converting the Fund's expected long-term return potential into regular distributions. As a result, regular common share distributions throughout the year are likely to include a portion of expected long-term gains (both realized and unrealized), along with net investment income.

Important points to understand about the managed distribution program are:

•  The Fund seeks to establish a relatively stable common share distribution rate that roughly corresponds to the projected total return from its investment strategy over an extended period of time. However, you should not draw any conclusions about the Fund's past or future investment performance from its current distribution rate.

•  Actual common share returns will differ from projected long-term returns (and therefore the Fund's distribution rate), at least over shorter time periods. Over a specific timeframe, the difference between actual returns and total distributions will be reflected in an increasing (returns exceed distributions) or a decreasing (distributions exceed returns) Fund net asset value.

•  Each distribution is expected to be paid from some or all of the following sources:

•  net investment income (regular interest and dividends),

•  realized capital gains, and

•  unrealized gains, or, in certain cases, a return of principal (non-taxable distributions).

•  A non-taxable distribution is a payment of a portion of the Fund's capital. When the Fund's returns exceed distributions, it may represent portfolio gains generated, but not realized as a taxable capital gain. In periods when the Fund's returns fall short of distributions, the shortfall will represent a portion of your original principal, unless the shortfall is offset during other time periods over the life of your investment (previous or subsequent) when the Fund's total return exceeds distributions.

•  Because distribution source estimates are updated during the year based on the Fund's performance and forecast for its current fiscal year (which is the calendar year for the Fund), estimates on the nature of your distributions provided at the time the distributions are paid may differ from both the tax information reported to you in your Fund's IRS Form 1099 statement provided at year end, as well as the ultimate economic sources of distributions over the life of your investment.

The following table provides estimated information regarding the Fund's common share distributions and total return performance for the six months ended June 30, 2014. This information is provided on a tax basis rather than a generally accepted accounting principles (GAAP) basis. This information is intended to help you better understand whether the Fund's returns for the specified time period were sufficient to meet its distributions.

*  Current distribution rate is based on the Fund's current annualized quarterly distribution divided by the Fund's current market price. The Fund's quarterly distributions to its shareholders may be comprised of ordinary income, net realized capital gains and, if at the end of the fiscal year the Fund's cumulative net ordinary income and net realized gains are less than the amount of the Fund's distributions, a return of capital for tax purposes.

**  The Fund elected to retain a portion of its realized long-term capital gains for the tax years ended December 31, 2007 and December 31, 2006, and pay required federal corporate income taxes on these amounts. As reported on Form 2439, common shareholders on record date must include their pro-rata share of these gains on their applicable federal tax returns, and are entitled to take offsetting tax credits, for their pro-rata share of the taxes paid by the Fund. The total returns "Including retained gain tax credit/refund" include the economic benefit to common shareholders on record date of these tax credits/refunds. The Fund had no retained capital gains for the tax years ended December 31, 2008 through December 31, 2013 or for the tax years ended prior to December 31, 2006.

Common Share Information (continued)

COMMON SHARE REPURCHASES

As of June 30, 2014, and since the inception of the Fund's repurchase program, the Fund has cumulatively repurchased and retired common shares as shown in the accompanying table.

During the current reporting period, the Fund did not repurchase any of its outstanding common shares.

OTHER COMMON SHARE INFORMATION

As of June 30, 2014, and during the current reporting period, the Fund's common share price was trading at a premium/(discount) to its common share NAV as shown in the accompanying table.

Risk

Considerations

Fund shares are not guaranteed or endorsed by any bank or other insured depository institution, and are not federally insured by the Federal Deposit Insurance Corporation. Shares of closed-end funds are subject to investment risks, including the possible loss of principal invested. Past performance is no guarantee of future results. Fund common shares are subject to a variety of risks, including:

Investment, Market and Price Risk. An investment in common shares is subject to investment risk, including the possible loss of the entire principal amount that you invest. Your investment in common shares represents an indirect investment in the corporate securities owned by the Fund, which generally trade in the over-the-counter markets. Shares of closed-end investment companies like the Fund frequently trade at a discount to their NAV. Your common shares at any point in time may be worth less than your original investment, even after taking into account the reinvestment of Fund dividends and distributions.

Leverage Risk. The Fund's use of leverage creates the possibility of higher volatility for the Fund's per share NAV, market price and distributions. Leverage risk can be introduced through regulatory leverage (issuing preferred shares or debt borrowings at the Fund level) or through certain derivative investments held in the Fund's portfolio. Leverage typically magnifies the total return of a Fund's portfolio, whether that return is positive or negative. The use of leverage creates an opportunity for increased common share net income, but there is no assurance that the Fund's leveraging strategy will be successful.

Tax Risk. The Fund's investment program and the tax treatment of Fund distributions may be affected by IRS interpretations of the Internal Revenue Code and future changes in tax laws and regulations that may alter the existing favorable tax treatment of tax-advantaged dividends. The American Taxpayer Relief Act of 2012 increased the maximum rate on tax-advantaged dividends to 20% effective January 1, 2013 on persons earning over $400,000 for individuals and $450,000 for married couples filing jointly. There can be no assurance as to the percentage of the Fund's distributions that will qualify as tax-advantaged dividends.

Common Stock Risk. Common stock returns often have experienced significant volatility.

Issuer Credit Risk. This is the risk that a security in the Fund's portfolio will fail to make dividend or interest payments when due.

Illiquid Securities Risk. This is the risk that the Fund may not be able to sell securities in its portfolio at the time or price desired by the Fund.

Below-Investment Grade Risk. Investments in securities below investment grade quality are predominantly speculative and subject to greater volatility and risk of default.

Unrated Investment Risk. In determining whether an unrated security is an appropriate investment for the Fund, the manager will consider information from industry sources, as well as its own quantitative and qualitative analysis, in making such a determination. However, such a determination by the manager is not the equivalent of a rating by a rating agency.

Dividend Income Risk. There is no guarantee that the issuers of common stocks in which the Fund invests will declare dividends in the future or that, if declared, they will remain at current levels or increase over time.

Risk Considerations (continued)

Risks from Unsecured Adjustable Rate Loans or Insufficient Collateral Securing Adjustable Rate Loans. Some of the adjustable rate loans in which the Fund may invest will be unsecured or insufficiently collateralized, thereby increasing the risk of loss to the Fund in the event of issuer default.

Value Stock Risk. Value stocks are securities that the manager believes to be undervalued or mispriced. If the manager's assessment of a company's prospects is wrong, the price of the company's common stock or other equity securities may fall, or may not approach the value that the manager has placed on them.

Derivatives Strategy Risk. Derivative securities, such as calls, puts, warrants, swaps and forwards, carry risks different from, and possibly greater than, the risks associated with the underlying investments.

Interest Rate Swaps Risk. The risk that yields will move in the direction opposite to the direction anticipated by a Fund, which would cause a Fund to make payments to its counterparty in the transaction that could adversely affect the Fund's performance.

Reinvestment Risk. If market interest rates decline, income earned from the Fund's portfolio may be reinvested at rates below that of the original bond that generated the income.

JTA

Nuveen Tax-Advantaged Total Return Strategy Fund

Performance Overview and Holding Summaries as of June 30, 2014

Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this section.

Average Annual Total Returns as of June 30, 2014

Average Annual Total Returns as of June 30, 2014¹
(including retained gain tax credit/refund)

Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. Returns at NAV are net of Fund expenses, and assume reinvestment of distributions. Comparative index return information is provided for the Fund's shares at NAV only. Indexes are not available for direct investment.

Common Share Price Performance — Weekly Closing Price

This data relates to the securities held in the Fund's portfolio of investments as of the end of the reporting period. It should not be construed as a measure of performance for the Fund itself. Holdings are subject to change.

Fund Allocation

(% of net assets)

Portfolio Composition

(% of total investments)²

Top Five Issuers

(% of total investments)²

1  As previously explained in the Common Share Information section of this report, the Fund elected to retain a portion of its realized long-term capital gains for the tax years ended December 31, 2007 and December 31, 2006, and pay required federal corporate income taxes on these amounts. These standardized total returns include the economic benefit to common shareholders of record of this tax credit/refund. The Fund had no retained capital gains for the tax years ended December 31, 2008 through December 31, 2013 or for the tax years ended prior to December 31, 2006.

2  Excluding investments in derivatives.

JTA

Nuveen Tax-Advantaged Total Return Strategy Fund

Portfolio of Investments  June 30, 2014 (Unaudited)

JTA  Nuveen Tax-Advantaged Total Return Strategy Fund
Portfolio of Investments (continued)  June 30, 2014 (Unaudited)

JTA  Nuveen Tax-Advantaged Total Return Strategy Fund
Portfolio of Investments (continued)  June 30, 2014 (Unaudited)

JTA  Nuveen Tax-Advantaged Total Return Strategy Fund
Portfolio of Investments (continued)  June 30, 2014 (Unaudited)