Closed-End Funds

Nuveen Investments

Closed-End Funds

Seeks Opportunities for Capital Appreciation and Tax-Advantaged Distributions
from a Portfolio of Value Equities and Senior Loans

Annual Report

December 31, 2011

Nuveen Tax-Advantaged
Total Return Strategy
Fund

JTA

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Table of Contents

Chairman's Letter to Shareholders					4
Portfolio Managers' Comments					5
Fund Leverage and Other Information					10
Common Share Distribution and Price Information					13
Performance Overview					16
Report of Registered Public Independent Accounting Firm					17
Portfolio of Investments					18
Statement of Assets & Liabilities					24
Statement of Operations					25
Statement of Changes in Net Assets					26
Statement of Cash Flows					27
Financial Highlights					28
Notes to Financial Statements					30
Board Members & Officers					40
Reinvest Automatically Easily and Conveniently					45
Glossary of Terms Used in this Report					47
Additional Fund Information					51

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Chairman's
Letter to Shareholders

Dear Shareholders,

These are perplexing times for investors. The global economy continues to struggle. The solutions being implemented in the eurozone to deal with the debt crises of many of its member countries are not yet seen as sufficient by the financial markets. The political paralysis in the U.S. has prevented the compromises necessary to deal with the fiscal imbalance and government spending priorities. The efforts by individual consumers, governments and financial institutions to reduce their debts are increasing savings but reducing demand for the goods and services that drive employment. These developments are undermining the rebuilding of confidence by consumers, corporations and investors that is so essential to a resumption of economic growth.

Although it is painfully slow, progress is being made. In Europe, the turnover of a number of national governments reflects the realization by politicians and voters alike that leaders who practiced business as usual had to be replaced by leaders willing to face problems and accept the hard choices needed to resolve them. The recent coordinated efforts by central banks in the U.S. and Europe to provide liquidity to the largest European banks indicates that these monetary authorities are committed to facilitating a recovery in the European banking sector.

In the U.S., the failure of the congressionally appointed Debt Reduction Committee was a blow to those who hoped for a bipartisan effort to finally begin addressing the looming fiscal crisis. Nevertheless, Congress and the administration cannot ignore the issue for long. The Bush era tax cuts are scheduled to expire on December 31, 2012, and six months later the $1.2 trillion of mandatory across-the-board spending cuts under the Budget Control Act of 2011 begin to go into effect. Any legislative modification would require bipartisan support and the prospects for a bipartisan solution are unclear. The impact of these two developments would be a mixed blessing: a meaningful reduction in the annual budget deficit at the cost of slowing the economic recovery.

It is in these particularly volatile markets that professional investment management is most important. Skillful investment teams who have experienced challenging markets and remain committed to their investment disciplines are critical to the success of an investor's long-term objectives. In fact, many long-term investment track records are built during challenging markets when managers are able to protect investors against these economic crosscurrents. Experienced investment teams know that volatile markets put a premium on companies and investment ideas that will weather the short-term volatility and that compelling values and opportunities are opened up when markets overreact to negative developments. 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 contact your financial consultant if you have any questions about your investment in a Nuveen Fund. On behalf of the other members of your Fund Board, we look forward to continuing to earn your trust in the months and years ahead.

Sincerely,

Robert P. Bremner
Chairman of the Board
February 22, 2012

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Portfolio Managers' Comments

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 Group, Moody's Investors Service, Inc. or Fitch, Inc. 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 a national rating agency.

Nuveen Tax-Advantaged Total Return Strategy Fund (JTA)

The Fund features management by two affiliates of Nuveen Investments. The Fund's investments in dividend-paying common and preferred stocks 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).

Jon Bosse, Chief Investment Officer of NWQ, leads the Fund's management team at that firm. He has approximately 30 years of corporate finance and investment management experience.

The Symphony team is led by Gunther Stein, who serves as that firm's Chief Investment Officer. Gunther has more than 20 years of investment management experience, much of it in evaluating and purchasing senior corporate loans and other high-yield debt.

Here Jon and Gunther talk about general economic and market conditions, their management strategies and the performance of the Fund for twelve-month period ended December 31, 2011.

What were the general market conditions for the reporting period?

During this period, the U.S. economy continued to recover from the recent recession, but progress remained slow. The country's gross domestic product (GDP) grew in 2011, but at a slower rate than in 2010 (1.7% vs. 3.0%). The unemployment picture showed some improvement, with the national unemployment rate standing at 8.5% as of December 2011, compared with 9.4% one year earlier. However, the housing market continued to be a weak spot. For the twelve months ended November 2011 (the most recent data available at the time this report was prepared), the average home price in the Standard & Poor's (S&P)/Case-Shiller Index lost 1.3%, with 18 of the 20 major metropolitan areas reporting lower values. In addition, the U.S. economic picture continued to be clouded by concerns about the European debt crisis and efforts to reduce the federal deficit.

In an attempt to improve the overall economic environment, the Federal Reserve (Fed) continued to hold the benchmark fed funds rate at the record low level of zero to 0.25% that it had established in December 2008. In January 2012 (following the end of this reporting period), the central bank stated that economic conditions would likely warrant maintaining this low rate through 2014. The Fed also implemented a program to extend the average maturity of its U.S. Treasury holdings by purchasing $400 billion of these securities with maturities of six to thirty years and selling an equal amount of U.S. Treasury securities with maturities of three years or less. The goals of this program, which

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the Fed expects to complete by the end of June 2012, are to lower longer-term interest rates, support a stronger economic recovery and help ensure that inflation remains at levels consistent with the Fed's mandates of maximum employment and price stability.

The U.S. equity markets experienced periods of extreme volatility over the twelve-month reporting period, and posted mixed results for the full year. The Dow Jones Industrial Average gained 8.38% in 2011, and the broader S&P 500 Index ended the year up 2.11%. The NASDAQ Composite Index finished in the red, slipping 0.83% during 2011.

What key strategies were used to manage the Fund during this reporting period?

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 primarily 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 that are eligible to pay tax-advantaged dividends, as well as in senior loans and other debt instruments.

For the common and preferred equity portion of the Fund's portfolio, we continued to employ an opportunistic, bottom-up strategy that focused on identifying undervalued companies possessing favorable risk/reward characteristics as well as what we thought were emerging catalysts that could unlock value or improve profitability. These catalysts included management changes, restructuring efforts, recognition of hidden assets, 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 and truer picture of a company's financial position than an evaluation based on earnings alone.

During this period, we also wrote (sold) covered call options on individual stocks held in the Fund's portfolio to enhance returns while foregoing some upside potential of its equity portfolio.

In the senior loan and other debt portion of the Fund's portfolio, we continued to position the portfolio conservatively with senior loans and similar assets. During the second half of 2011, the senior loan market experienced significant volatility following Federal Reserve comments suggesting that interest rates would remain low. This made floating rate loans generally less attractive to retail buyers, despite the fact that current yields remain above historical averages and we believe in the consensus view that default risk remains quite low. Despite significant volatility in August, the senior loan market finished the year on a positive note. While prices have not reacted to a general rally in risk assets, overall market prices have stabilized.

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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.

For additional information, see the Performance Overview page in this report.

*  Refer to Glossary of Terms Used in this Report for definitions.

How did the Fund perform over this period?

The performance of the Fund, as well as for a comparative benchmark and index, is presented in the accompanying table.

Average Annual Total Returns on Common Share Net Asset Value

For periods ended 12/31/11

				1-Year				5-Year
JTA					-3.87	%			-8.15	%
Comparative Benchmark*					-0.07	%			-1.31	%
S&P 500 Index*					2.11	%			-0.25	%

 

For the twelve-month period ended December 31, 2011, the total return on common share net asset value (NAV) for the Fund underperformed its comparative benchmark and the general market index. Despite the comparatively weak return, several portfolio investments appreciated during the year, given depressed initial valuations and individual catalysts. Holdings worth highlighting include Motorola Mobility, CVS Caremark, Pfizer, and Philip Morris International. Motorola Mobility received an all cash takeover offer from Google Inc. at $40 per share, which represented a 63% premium to the stock's previous day closing price. The catalyst for the acquisition was Motorola's extensive patent portfolio, which Google plans to use to protect its Android franchise. We had increased our position in Motorola Mobility in March 2011 based on valuation given the attractiveness of its patent portfolio, and subsequently eliminated the entire position after the acquisition was announced.

CVS Caremark Corp. outperformed in our view and we believe the company is well-positioned to have another strong selling season in its Caremark pharmacy benefit manager, given dislocations caused by the proposed merger of its competitors Express Scripts and Medco. Additionally, we expect the company will deliver attractive growth in the second half of 2012 from ongoing streamlining benefits and a sequential ramp in profitability as several blockbuster drugs such as Lipitor, Lexapro, Seroquel, and Plavix go generic.

Pfizer Inc. outperformed as the company has been active in addressing ongoing and future challenges by shaking up its management team, stabilizing its core earnings, and beginning the process of divesting several divisions. We trimmed our position in Philip Morris International Inc. after yet another year of significant outperformance brought its valuation to levels where we believed that the stock's risk/reward profile had become less compelling.

In general, many of the Fund's holdings struggled during the period due to tough market conditions and investor skittishness. In particular, stocks of large multi-national banks, including Citigroup, have continued to be pressured by concerns such as the European debt crisis, ongoing implementation of new regulations, and overall weak capital markets and trading environment. For the banking sector, although economic uncertainty and the low interest rate environment continues to weigh on the group, many operating metrics continue to strengthen as capital and reserve levels are near all-time highs and loan growth is emerging. We continue to like our bank holdings given gradually improving fundamentals, extremely low expectations, and valuations that are well below historical

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levels. Despite stability in its life insurance and international mortgage insurance divisions, Genworth Financial declined as its U.S. mortgage insurance business struggled given the lingering softness in the housing market. Genworth is on track for a partial IPO of its Australian mortgage insurance business in the first half of 2012, with proceeds that could be used for debt repayment or share buyback. We believe there is an increasing sense of urgency by management to address the company's business mix, balance sheet, and financial flexibility to increase shareholder value. The company has recently taken action to monetize additional assets as well. General Motors declined as the company provided cautious guidance due to struggles with restructuring efforts at its European and Brazilian operations. While GM Europe remains a challenge as weak demand and structural overcapacity are pressuring margins, a new product lineup coming out in 2013 that will replace the GMT900 truck platform looks very promising. Overall, we believe the GM investment case remains attractive as the company has a healthy balance sheet and is well positioned in emerging markets, particularly China.

We purchased Cisco Systems, as we believed the share price discounted lower future operating margins and gave little value to the company's core franchise or management's ability to successfully restructure its businesses. With a cash rich balance sheet and 9% adjusted free cash flow yield, we felt that shares of Cisco offer potential upside through stock repurchases, increased dividends, and successful reorganization and product repositioning efforts. We purchased Goldman Sachs as we do not believe financial regulatory reform will meaningfully affect the company's future earnings power or its ability to grow its book value. The company has arguably the strongest global banking franchise. We also bought Interpublic Group of Companies, which provides advertising and marketing services worldwide. The company was plagued by accounting irregularities, as well as poor cost controls, following a series of acquisitions made over the years. A new management team has fixed the accounting issues and implemented controls and other important business systems for managing and monitoring costs.

We initiated a position in Paccar, the fifth largest manufacturer of medium and heavy trucks worldwide. Historically, the company has been recognized for its premium brands (DAF, Kenworth, Peterbilt) and stronger profitability. The stock has been pressured by declining incremental margins, causing investors to question the structural profitability of the firm. We believe profitability remains intact given an expected truck replacement cycle due to an aging in-force fleet as well as recent cost reductions and restructuring efforts. Talisman Energy was purchased on price weakness that was brought on by lowered production results due to short-term operational issues at its Yme project in the North Sea. We believe that the company continues to demonstrate solid execution on many key projects and that its valuation does not reflect its resource potential, both in shale gas and international exploration. We also purchased Teva Pharmaceutical Industries, which we think is well-positioned to benefit from the upcoming wave of major branded drugs with expiring patents. Also added to the portfolio during the year were JP Morgan, Lincoln National, National CineMedia, Nielsen Holdings, and Viacom.

During the period we tendered 85% of our Amgen stock in a Dutch auction at $60 per share, and sold the remaining shares shortly thereafter. Although we believe Amgen has an attractive valuation with a solid drug pipeline that includes denosumab for the

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treatment of bone loss, the company faces a number of regulatory and competitive headwinds going forward that caused us to be more cautious. Kroger Co. was eliminated on concerns that the supermarket group will be unable to pass through upcoming food price inflation as consumers simultaneously digest higher gas prices and a sluggish employment outlook. Kimberly-Clark Corp. was sold based on valuation and concerns stemming from the announced restructuring of its pulp and paper operations. We eliminated defense contractor Lockheed Martin on concerns that reductions in defense spending by the U.S. government will result in margin headwinds. We exited Valeant Pharmaceutical International following significant appreciation as investors became more comfortable with the company's business model and the sustainability of its growth prospects. Hewlett Packard, ENI SPA., Nucor Corp, Packaging Corp. of America, and Union Pacific were also sold as we felt the risk/reward for continuing to own the stocks was no longer attractive.

During the reporting period, the preferred sleeve of the Fund slightly detracted from performance. Our holdings in the banking sector contributed to this underperformance. In particular, Bank of America, US Bancorp, and HSBC issues were among the largest detractors for the period. Additionally, an Allianz issue in the insurance sector was also one of the largest detractors for the period.

The senior loan portion of the Fund benefited during the month of August from a positioning in lower volatility names, many of which have lower leverage and less cyclicality to their businesses than the overall market. Generally speaking, having a higher quality portfolio during the period helped performance, as mutual funds continued to favor higher quality more liquid assets as volatility remained high and outflows within the senior loan asset class persisted. We have continued to favor new issue within this market, which have generally performed well but have not kept pace with lower quality issues in the secondary market. Positions such as Go Daddy and Federal Mogul continue to provide attractive yield with lower overall risk than the market and have performed well throughout the volatile period.

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Fund Leverage
and Other Information

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 financial leverage through the use of bank borrowings. The Fund uses leverage because its managers believe 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 net asset value 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. Leverage had a positive impact on the performance of the Fund over this reporting period. During the period, the Fund entered into interest rate swap contracts to partially fix the interest cost of the Fund's leverage. This activity detracted modestly from the overall positive impact of leverage, as rates declined slightly while the position was in place, meaning it would have been better had the interest rates of the leverage floated rather than being partially fixed in the period.

RECENT DEVELOPMENTS REGARDING THE FUND'S REDEMPTION OF AUCTION RATE PREFERRED SHARES

Shortly after its inception, the Fund issued auction rate preferred shares (ARPS) to create leverage. As noted in past shareholder reports, the weekly auctions for those ARPS shares began in February 2008 to consistently fail, causing the Fund to pay the so called "maximum rate" to ARPS shareholders under the terms of the ARPS in the Fund's charter documents. The Fund redeemed its ARPS at par in 2009 and since then has relied upon bank borrowings to create effective leverage.

During 2010 and 2011, certain Nuveen leveraged closed-end funds (not including this Fund) received a demand letter from a law firm on behalf of purported holders of common shares of each such fund, alleging that Nuveen and the funds' officers and Board of Directors/Trustees breached their fiduciary duties related to the redemption at par of the funds' ARPS. In response, the Board established an ad hoc Demand Committee consisting of certain of its disinterested and independent Board members to investigate the claims. The Demand Committee retained independent counsel to assist it in conducting an extensive investigation. Based upon its investigation, the Demand Committee found that it was not in the best interests of each fund or its shareholders to take the actions suggested in the demand letters, and recommended that the full Board

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reject the demands made in the demand letters. After reviewing the findings and recommendation of the Demand Committee, the full Board of each fund unanimously adopted the Demand Committee's recommendation.

Subsequently, the funds that received demand letters were named in a consolidated complaint as nominal defendants in a putative shareholder derivative action captioned Martin Safier, et al. v. Nuveen Asset Management, et al. that was filed in the Circuit Court of Cook County, Illinois, Chancery Division (the "Cook County Chancery Court") on February 18, 2011 (the "Complaint"). The Complaint, filed on behalf of purported holders of each fund's common shares, also named Nuveen Fund Advisors, Inc. as a defendant, together with current and former Officers and interested Directors/Trustees of each of the funds (together with the nominal defendants, collectively, the "Defendants"). The Complaint contained the same basic allegations contained in the demand letters. The Defendants filed a motion to dismiss the suit and on December 16, 2011, the court granted that motion dismissing the Complaint. The plaintiffs failed to file an appeal of the court's decision within the required time period, resulting in the final disposition of the suit.

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. Past performance is no guarantee of future results. Fund common shares are subject to a variety of risks, including:

Investment Risk. The possible loss of the entire principal amount that you invest.

Price Risk. 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, distributions and returns. There is no assurance that a Fund's leveraging strategy will be successful.

Tax Risk. The tax treatment of Fund distributions may be affected by new IRS interpretations of the Internal Revenue Code and future changes in tax laws and regulations. This is particularly true for funds employing a managed distribution program.

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.

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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.

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 Risks. Value stocks are securities that the portfolio 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.

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Common Share Distribution
and Price Information

Distribution Information

The following information regarding the Fund's distributions is current as of December 31, 2011, and likely will vary over time based on the Fund's investment activities and portfolio investment changes.

During the twelve-month reporting period, the Fund reduced its quarterly distribution to common shareholders in September. Some of the important factors affecting the amount and composition of these distributions are summarized below.

The Fund employs financial leverage through the use of bank borrowings. Financial leverage provides the potential for higher earnings (net investment income), total returns and distributions over time, but also increases the variability of common shareholders' net asset value per share in response to changing market conditions.

The Fund has a managed distribution program. The goal of this program is to provide common shareholders relatively consistent and predictable cash flow by systematically converting the Fund's expected long-term return potential into regular distributions. As a result, regular 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

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**  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, 2011 through December 31, 2008 or for the tax years ended prior to December 31, 2006.

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), these estimates 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 information regarding the Fund's common share distributions and total return performance for the fiscal year ended December 31, 2011. This information is intended to help you better understand whether the Fund's returns for the specified time period were sufficient to meet the Fund's distributions.

As of 12/31/11 (Common Shares)				JTA
Inception date				1/27/04
Fiscal year (calendar year) ended December 31, 2011:
Per share distribution:
From net investment income				$	0.40
From long-term capital gains					0.00
From short-term capital gains					0.00
Return of capital					0.50
Total per share distribution				$	0.90
Distribution rate on NAV					8.20	%
Average annual total returns:
Excluding retained gain tax credit/refund**:
1-Year on NAV					-3.87	%
5-Year on NAV					-8.15	%
Since inception on NAV					0.80	%
Including retained gain tax credit/refund**:
1-Year on NAV					-3.87	%
5-Year on NAV					-7.42	%
Since inception on NAV					1.20	%

 

The qualified dividend income provisions of the federal tax code are set to expire on December 31, 2012. In the event that Congress does not further extend (or make permanent) these provisions, beginning in calendar 2013, dividends previously referred to as "qualified dividends" would be taxed at normal marginal tax rates.

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Common Share Repurchases and Price Information

As of December 31, 2011, 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.

Common Shares Repurchased and Retired				% of Outstanding Common Shares
	109,762				0.8	%

 

During the twelve-month reporting period, the Fund repurchased and retired shares at a weighted average price and a weighted average discount per share as shown in the accompanying table.

Common Shares Repurchased and Retired				Weighted Average Price Per Common Share Repurchased and Retired				Weighted Average Discount Per Common Share Repurchased and Retired
	30,062			$	9.43				14.39	%

 

As of December 31, 2011, the Fund's common share price was trading at a discount of -12.85% to its NAV, compared with an average discount of -9.67% for the entire twelve-month period.

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Fund Snapshot

Common Share Price				$	9.56
Common Share Net Asset Value (NAV)				$	10.97
Premium/(Discount) to NAV					-12.85	%
Current Distribution Rate1					9.21	%
Net Assets Applicable to Common Shares ($000)				$	151,890

 

Leverage

Regulatory Leverage					30.89	%
Effective Leverage					30.89	%

 

Portfolio Composition

(as a % of total investments)^2,3

Pharmaceuticals					13.4	%
Insurance					10.9	%
Media					10.5	%
Oil, Gas & Consumable Fuels					6.5	%
Software					5.5	%
Diversified Financial Services					4.5	%
Metals & Mining					4.1	%
Communications Equipment					3.2	%
Hotels, Restaurants & Leisure					2.9	%
Machinery					2.7	%
Commercial Banks					2.6	%
Electric Utilities					2.5	%
Health Care Providers & Services					2.3	%
Food & Staples Retailing					2.2	%
Wireless Telecommunication Services					2.1	%
Short-Term Investments					4.5	%
Other					19.6	%

 

Average Annual Total Returns

(Inception 1/27/04)

				On Share Price				On NAV
1-Year					-7.48	%			-3.87	%
5-Year					-10.66	%			-8.15	%
Since Inception					-0.86	%			0.80	%

 

Average Annual Total Returns⁴

(Including retained gain tax credit/refund)

				On Share Price				On NAV
1-Year					-7.48	%			3.87	%
5-Year					-9.86	%			-7.42	%
Since Inception					-0.42	%			1.20	%

JTA

Performance

OVERVIEW

(Unaudited)

Nuveen Tax-Advantaged Total Return Strategy Fund

  December 31, 2011

Portfolio Allocation (as a % of total investments)^2,3

2010-2011 Distributions Per Common Share

Share Price Performance — Weekly Closing Price

  Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this Fund's Performance Overview page.

1  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 calendar 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.

2  Excluding investments in derivatives.

3  Holdings are subject to change.

4  As previously explained in the Common Share Distribution and Price 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, 2011 through December 31, 2008 or for the tax years ended prior to December 31, 2006.

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Report of INDEPENDENT REGISTERED

PUBLIC ACCOUNTING FIRM

The Board of Trustees and Shareholders
Nuveen Tax-Advantaged Total Return Strategy Fund

We have audited the accompanying statement of assets and liabilities, including the portfolio of investments, of Nuveen Tax-Advantaged Total Return Strategy Fund (the "Fund") as of December 31, 2011, and the related statements of operations and cash flows for the year then ended, the statements of changes in net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit.

We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund's internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2011, by correspondence with the custodian, counterparty, selling or agent banks and brokers or by other appropriate auditing procedures where replies from selling or agent banks or brokers were not received. We believe that our audit provides a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Nuveen Tax-Advantaged Total Return Strategy Fund at December 31, 2011, and the results of its operations and its cash flows for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended in conformity with U.S. generally accepted accounting principles.

Chicago, Illinois
February 27, 2012

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Nuveen Tax-Advantaged Total Return Strategy Fund

Portfolio of Investments

  December 31, 2011

Shares				Description (1)				Value
				Common Stocks – 99.0% (67.7% of Total Investments)
				Aerospace & Defense – 2.6%
	80,000			Raytheon Company				$	3,870,400
				Automobiles – 1.7%
	124,400			General Motors Company, (2)					2,521,588
				Capital Markets – 1.2%
	20,000			Goldman Sachs Group, Inc.					1,808,600
				Commercial Banks – 2.7%
	150,900			Wells Fargo & Company					4,158,804
				Commercial Services & Supplies – 1.8%
	146,000			Pitney Bowes Inc.					2,706,840
				Communications Equipment – 4.7%
	229,000			Cisco Systems, Inc.					4,140,320
	65,585			Motorola Solutions Inc.					3,035,930
				Total Communications Equipment					7,176,250
				Diversified Financial Services – 5.4%
	179,600			Citigroup Inc.					4,725,276
	102,000			JPMorgan Chase & Co.					3,391,500
				Total Diversified Financial Services					8,116,776
				Diversified Telecommunication Services – 1.3%
	369,000			Frontier Communications Corporation					1,900,350
				Food & Staples Retailing – 2.1%
	78,000			CVS Caremark Corporation					3,180,840
				Industrial Conglomerates – 1.0%
	87,600			General Electric Company					1,568,916
				Insurance – 13.1%
	365,900			Genworth Financial Inc., Class A, (2)					2,396,645
	234,000			Hartford Financial Services Group, Inc.					3,802,500
	95,000			Lincoln National Corporation					1,844,900
	63,000			Loews Corporation					2,371,950
	135,900			MetLife, Inc., (3)					4,237,362
	177,444			Symetra Financial Corporation					1,609,417
	172,700			Unum Group					3,638,789
				Total Insurance					19,901,563
				Machinery – 3.9%
	75,000			Ingersoll Rand Company Limited, Class A					2,285,250
	98,000			PACCAR Inc.					3,672,060
				Total Machinery					5,957,310

 

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Shares				Description (1)				Value
				Media – 10.0%
	286,000			Interpublic Group Companies, Inc.				$	2,782,780
	17,337			Metro-Goldwyn-Mayer, (2), (4)					353,964
	265,000			National CineMedia, Inc.					3,286,000
	140,400			Time Warner Inc.					5,074,056
	81,000			Viacom Inc., Class B					3,678,210
				Total Media					15,175,010
				Metals & Mining – 6.0%
	112,300			AngloGold Ashanti Limited, Sponsored ADR					4,767,135
	97,200			Barrick Gold Corporation					4,398,300
				Total Metals & Mining					9,165,435
				Oil, Gas & Consumable Fuels – 9.1%
	28,000			Exxon Mobil Corporation					2,373,280
	32,400			Occidental Petroleum Corporation					3,035,880
	337,000			Talisman Energy Inc.					4,296,750
	81,600			Total S.A., Sponsored ADR					4,170,576
				Total Oil, Gas & Consumable Fuels					13,876,486
				Pharmaceuticals – 19.0%
	94,500			GlaxoSmithKline PLC, ADR					4,312,035
	111,700			Merck & Company Inc.					4,211,090
	410,000			Pfizer Inc.					8,872,400
	228,000			Sanofi-Aventis, ADR					8,331,120
	78,200			Teva Pharmaceutical Industries Limited, Sponsored ADR					3,156,152
				Total Pharmaceuticals					28,882,797
				Professional Services – 1.0%
	52,200			Nielsen Holdings BV, (2)					1,549,818
				Software – 7.4%
	346,000			CA Inc.					6,994,390
	163,000			Microsoft Corporation, (3)					4,231,480
				Total Software					11,225,870
				Tobacco – 1.9%
	37,600			Philip Morris International					2,950,848
				Wireless Telecommunication Services – 3.1%
	170,000			Vodafone Group PLC, Sponsored ADR					4,765,100
				Total Common Stocks (cost $148,267,810)					150,459,601

 

Shares				Description (1)				Coupon								Ratings (5)				Value
				Convertible Preferred Securities – 0.5% (0.3% of Total Investments)
				Commercial Banks – 0.5%
	700			Wells Fargo & Company					7.500	%							A			$	737,800
				Total Convertible Preferred Securities (cost $635,761)																	737,800
Shares				Description (1)				Coupon								Ratings (5)				Value
				$25 Par (or similar) Preferred Securities – 7.8% (5.4% of Total Investments)
				Commercial Banks – 0.2%
	500			HSBC Holdings PLC					8.000	%						A+				$	13,030
	420			U.S. Bancorp.					3.500	%							A				301,560
				Total Commercial Banks																	314,590

 

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Nuveen Tax-Advantaged Total Return Strategy Fund (continued)

Portfolio of Investments December 31, 2011

Shares				Description (1)				Coupon								Ratings (5)				Value
				Consumer Finance – 0.4%
	28,500			HSBC Finance Corporation					6.360	%							A			$	605,625
				Diversified Financial Services – 0.9%
	15,000			Bank of America Corporation					8.200	%						BBB-					331,500
	300			Bank of America Corporation					7.250	%						BBB-					236,406
	26,300			Citigroup Inc.					8.500	%						BBB					683,800
	1,888			Citigroup Inc.					6.500	%						BBB					76,502
				Total Diversified Financial Services																	1,328,208
				Electric Utilities – 2.8%
	18,150			Alabama Power Company					6.500	%						A-					555,844
	10,000			Alabama Power Company					6.450	%						A-					276,250
	12,000			Connecticut Power & Light Company					4.960	%						Baa3					574,126
	5,000			Georgia Power Company					6.500	%						A-					545,157
	5,000			Gulf Power Company					6.450	%						BBB+					533,440
	30,000			PPL Electric Utilities Corporation					6.250	%						BBB-					760,314
	5,000			Southern California Edison Company					6.500	%						Baa2					521,250
	5,000			Southern California Edison Company					6.125	%						BBB+					499,844
				Total Electric Utilities																	4,266,225
				Insurance – 2.9%
	25,000			Aspen Insurance Holdings Limited					7.401	%						BBB-					617,500
	25,000			Axis Capital Holdings Limited					7.250	%						BBB					628,000
	25,000			Endurance Specialty Holdings Limited					7.750	%						BBB-					638,250
	3,500			Endurance Specialty Holdings Limited					7.500	%						BBB-					89,215
	25,000			MetLife Inc., Series B					6.500	%						Baa2					637,000
	16,501			PartnerRe Limited					7.250	%						BBB+					437,277
	25,000			Principal Financial Group					6.518	%						BBB					629,250
	28,500			Prudential PLC					6.750	%						A-					723,615
				Total Insurance																	4,400,107
				Oil, Gas & Consumable Fuels – 0.4%
	25,000			Kayne Anderson MLP Trust, (3)					4.950	%						AA					637,499
				Thrifts & Mortgage Finance – 0.2%
	12,796			Santander Holdings USA					7.300	%						BBB+					319,899
				Total $25 Par (or similar) Preferred Securities (cost $11,563,534)																	11,872,153
Principal Amount (000)				Description (1)				Weighted Average Coupon				Maturity (6)				Ratings (5)				Value
				Variable Rate Senior Loan Interests – 31.7% (21.6% of Total Investments) (7)
				Auto Components – 1.2%
$	1,314			Federal-Mogul Corporation, Tranche B, Term Loan					2.209	%		12/29/14				Ba3				$	1,219,337
	670			Federal-Mogul Corporation, Tranche C, Term Loan					2.216	%		12/28/15				Ba3					622,111
	1,984			Total Auto Components																	1,841,448
				Biotechnology – 0.6%
	896			Grifols, Term Loan					6.000	%		6/01/17				BB					894,661
				Building Products – 0.6%
	931			Goodman Global Inc., Term Loan					5.750	%		10/28/16				B+					931,849
				Chemicals – 1.7%
	1,620			Ashland, Inc., Term Loan					3.750	%		8/23/18				Baa3					1,628,546
	990			Univar, Inc., Term Loan					5.000	%		6/30/17				B+					957,825
	2,610			Total Chemicals																	2,586,371

 

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Principal Amount (000)				Description (1)				Weighted Average Coupon				Maturity (6)				Ratings (5)				Value
				Communications Equipment – 1.2%
$	987			Avaya, Inc., Term Loan					3.256	%		10/27/14				B1				$	947,546
	862			Intelsat, Term Loan					5.250	%		4/02/18				BB-					860,537
	1,849			Total Communications Equipment																	1,808,083
				Consumer Finance – 0.4%
	750			Springleaf Financial Funding Company, Term Loan					5.500	%		5/10/17				B+					654,610
				Containers & Packaging – 0.3%
	463			Sealed Air Corporation, Term Loan					4.750	%		10/03/18				Ba1					468,387
				Electric Utilities – 0.9%
	1,860			TXU Corporation, 2014 Term Loan					3.776	%		10/10/14				B2					1,305,109
				Food & Staples Retailing – 1.2%
	855			Reynolds Group Holdings, Inc., Add on Term Loan					6.500	%		8/09/18				BB-					851,749
	987			U.S. Foodservice, Inc., Term Loan					2.795	%		7/03/14					B				915,693
	1,842			Total Food & Staples Retailing																	1,767,442
				Food Products – 1.5%
	998			JBS USA LLC, Term Loan					4.250	%		5/25/18				BB					975,056
	1,324			Michael Foods Group, Inc., Term Loan					4.250	%		2/25/18				B+					1,308,734
	2,322			Total Food Products																	2,283,790
				Health Care Equipment & Supplies – 1.0%
	1,500			Chiron Merger Sub, Inc., Term Loan					7.000	%		5/04/18				Ba2					1,515,412
				Health Care Providers & Services – 3.3%
	1,265			Community Health Systems, Inc., Term Loan					2.757	%		7/25/14				BB					1,230,677
	65			Community Health Systems, Inc., Delayed Term Loan					2.546	%		7/25/14				BB					63,193
	141			Community Health Systems, Inc., Extended Term Loan					3.965	%		1/25/17				BB					136,528
	995			Golden Living, Term Loan					5.000	%		5/04/18				B+					870,023
	76			HCA, Inc., Tranche B2, Term Loan					3.829	%		3/31/17				BB					72,217
	914			Kindred Healthcare, Term Loan					5.250	%		6/01/18				Ba3					854,179
	1,826			Universal Health Services, Inc., Term Loan B					3.750	%		11/15/16				BB					1,825,434
	5,282			Total Health Care Providers & Services																	5,052,251
				Health Care Technology – 0.7%
	1,000			Emdeon Business Services LLC, Term Loan					6.750	%		11/02/18				BB-					1,009,844
				Hotels, Restaurants & Leisure – 4.3%
	1,970			24 Hour Fitness Worldwide, Inc., New Term Loan					7.500	%		4/22/16				Ba3					1,890,379
	1,056			Reynolds Group Holdings, Inc., US Term Loan					6.500	%		2/09/18				BB					1,047,935
	2,047			Seaworld Parks and Entertainment, Inc., Term Loan B					4.000	%		8/17/17				BB+					2,040,572
	1,500			Six Flags Theme Parks, Inc., Term Loan B, WI/DD				TBD				TBD				BB+					1,495,312
	6,573			Total Hotels, Restaurants & Leisure																	6,474,198
				Household Products – 0.4%
	724			Visant Corporation, Term Loan					5.260	%		12/22/16				BB-					680,900
				Internet Software & Services – 0.4%
	632			Go Daddy Operating Co., LLC, Term Loan, First Lien					7.000	%		12/16/18				Ba3					632,856
				IT Services – 2.4%
	1,377			First Data Corporation, Term Loan B1					3.044	%		9/24/14				B+					1,246,846
	372			First Data Corporation, Term Loan B2					3.044	%		9/24/14				B+					336,952
	662			Frac Tech International LLC, Term Loan					6.250	%		5/06/16				B+					654,289
	746			Infor Global Solutions Intermediate Holdings, Ltd., Term Loan B2					7.250	%		7/28/15				B+					711,965
	687			SunGard Data Systems, Inc., Term Loan B					2.029	%		2/28/14				BB					671,229
	3,844			Total IT Services																	3,621,281

 

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Nuveen Tax-Advantaged Total Return Strategy Fund (continued)

Portfolio of Investments December 31, 2011

Principal Amount (000)				Description (1)				Weighted Average Coupon				Maturity (6)				Ratings (5)				Value
				Media – 5.4%
$	619			Bresnan Broadband Holdings LLC, Term Loan B					4.500	%		12/14/17				BB+				$	613,530
	1,000			Cumulus Media, Inc., Term Loan, First Lien					5.750	%		9/16/18				Ba2					981,042
	750			Cumulus Media, Inc., Term Loan, Second Lien					7.500	%		3/18/19				B2					728,750
	1,291			Interactive Data Corporation, Term Loan B					4.500	%		2/11/18				Ba3					1,280,520
	293			Mediacom Broadband LLC, Tranche D, Term Loan					5.500	%		3/31/17				BB-					290,226
	1,970			Mediacom Broadband LLC, Tranche F, Term Loan					4.500	%		10/23/17				BB-					1,928,138
	267			Nielsen Finance LLC, Term Loan C					3.440	%		5/02/16				B+					260,529
	619			SuperMedia, Term Loan					11.000	%		12/31/15				Caa1					292,786
	1,956			Univision Communications, Inc., Term Loan					4.546	%		3/31/17				B+					1,751,197
	8,765			Total Media																	8,126,718
				Multiline Retail – 0.6%
	995			Bass Pro Group LLC, Term Loan B					5.250	%		6/13/17				BB-					987,123
				Pharmaceuticals – 0.6%
	417			Warner Chilcott Corporation, Term Loan B1					4.250	%		3/15/18				BBB-					412,393
	208			Warner Chilcott Corporation, Term Loan B2					4.250	%		3/15/18				BBB-					206,197
	287			Warner Chilcott Corporation, Term Loan B3					4.250	%		3/15/18				BBB-					283,521
	912			Total Pharmaceuticals																	902,111
				Real Estate Investment Trust – 0.4%
	641			iStar Financial, Inc., Tranche A1					5.000	%		6/28/13				B+					637,733
				Real Estate Management & Development – 0.3%
	416			LNR Property Corporation, Term Loan					4.750	%		4/29/16				BB+					410,949
				Road & Rail – 0.6%
	900			Swift Transportation Company, Inc., Term Loan					6.000	%		12/21/16				B1					903,551
				Semiconductors & Equipment – 0.6%
	993			NXP Semiconductor LLC, Term Loan					4.500	%		3/04/17				B2					946,597
				Software – 0.6%
	902			DataTel Inc., Term Loan B, WI/DD				TBD				TBD				B1					904,132
				Specialty Retail – 0.5%
	741			Burlington Coat Factory Warehouse Corporation, Term Loan B					6.250	%		2/23/17				B-					728,694
$	50,327			Total Variable Rate Senior Loan Interests (cost $49,604,538)																	48,076,100
Principal Amount (000)/ Shares				Description (1)				Coupon				Maturity				Ratings (5)				Value
				Capital Preferred Securities – 0.7% (0.5% of Total Investments)
				Commercial Banks – 0.3%
	500			PNC Financial Services Inc.					6.750	%		8/01/21				A-				$	488,965
				Diversified Financial Services – 0.4%
	500			JPMorgan Chase & Company					7.900	%		4/30/18					A				532,345
				Total Capital Preferred Securities (cost $972,742)																	1,021,310

 

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Principal Amount (000)				Description (1)				Coupon				Maturity								Value
				Short-Term Investments – 6.6% (4.5% of Total Investments)
$	7,871			Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/11, repurchase price $7,870,940, collateralized by $7,185,000 U.S. Treasury Notes, 3.125%, due 5/15/21, value $8,029,238					0.010	%		1/03/12								$	7,870,931
	2,203			Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/11, repurchase price $2,203,018, collateralized by $2,000,000 U.S. Treasury Notes, 4.000%, due 2/15/15, value $2,249,470					0.010	%		1/03/12									2,203,016
$	10,074			Total Short-Term Investments (cost $10,073,947)																	10,073,947
				Total Investments (cost $221,118,332) – 146.3%																	222,240,911
				Borrowings – (44.7)% (8), (9)																	(67,900,000	)
				Other Assets Less Liabilities – (1.6)% (10)																	(2,450,647	)
				Net Assets Applicable to Common Shares – 100%																$	151,890,264

 

Investments in Derivatives at December 31, 2011

Call Options Written outstanding:

Number of Contracts				Type				Notional Amount (11)				Expiration Date				Strike Price				Value
	(400	)		Barrick Gold Corporation				$	(2,100,000	)		1/21/12				$	52.5			$	(3,400	)
	(950	)		Lincoln National Corporation					(1,900,000	)		4/21/12					20.0				(162,450	)
	(1,350	)		Total Call Options Written (premiums received $385,614)				$	(4,000,000	)										$	(165,850	)

 

Interest Rate Swaps outstanding:

Counterparty				Notional Amount				Fund Pay/Receive Floating Rate				Floating Rate Index				Fixed Rate*				Fixed Rate Payment Frequency				Termination Date				Unrealized Appreciation (Depreciation)
JPMorgan				$	13,975,000			Receive				1-Month USD-LIBOR					1.412	%		Monthly				3/29/14				$	(271,439	)
Morgan Stanley					13,975,000			Receive				1-Month USD-LIBOR					0.409			Monthly				3/29/12					2,292
Morgan Stanley					13,975,000			Receive				1-Month USD-LIBOR					2.323			Monthly				3/29/16					(824,323	)
																												$	(1,093,470	)

 

*  Annualized.

 

    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 into sectors for reporting ease.

  (1)  All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted.

  (2)  Non-income producing; issuer has not declared a dividend within the past twelve months.

  (3)  Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in derivatives.

  (4)  For fair value measurement disclosure purposes, Common Stock categorized as Level 2. See Notes to Financial Statements, Footnote 1—General Information and Significant Accounting Policies, Investment Valuation for more information.

  (5)  Ratings (not covered by the report of independent registered public accounting firm): Using the highest of Standard & Poor's Group ("Standard & Poor's"), Moody's Investors Service, Inc. ("Moody's") or Fitch, Inc. ("Fitch") rating. Ratings below BBB by Standard & Poor's, Baa by Moody's or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.

  (6)  Senior Loans generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a borrower to prepay, prepayments of Senior Loans may occur. As a result, the actual remaining maturity of Senior Loans held may be substantially less than the stated maturities shown.

  (7)  Senior Loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate plus an assigned fixed rate. These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate ("LIBOR"), or (ii) the prime rate offered by one or more major United States banks.

    Senior Loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the Agent Bank and/or Borrower prior to the disposition of a Senior Loan.

  (8)  Borrowings Payable as a percentage of Total Investments is 30.6%.

  (9)  The Fund may pledge up to 100% of its eligible investments in the Portfolio of Investments as collateral for Borrowings. As of December 31, 2011, investments with a value of $150,009,981 have been pledged as collateral for Borrowings.

  (10)  Other Assets Less Liabilities includes the Value and the Net Unrealized Appreciation (Depreciation) of derivative instruments as listed within Investments in Derivatives at December 31, 2011.

  (11)  For disclosure purposes, Notional Amount is calculated by multiplying the Number of Contracts by the Strike Price by 100.

  N/R  Not rated.

  WI/DD  Purchased on a when-issued or delayed delivery basis.

  ADR  American Depositary Receipt.

  TBD  Senior Loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, Senior Loans typically trade without accrued interest and therefore a weighted average coupon rate is not available prior to settlement. At settlement, if still unknown, the borrower or counterparty will provide the Fund with the final weighted average coupon rate and maturity date.

  USD-LIBOR  United States Dollar–London Inter-Bank Offered Rate.

See accompanying notes to financial statements.

Nuveen Investments
23

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Statement of

ASSETS & LIABILITIES

December 31, 2011

Assets
Investments, at value (cost $221,118,332)				$	222,240,911
Cash					21,481
Receivables:
Dividends					628,726
Interest					326,758
Investments sold					192,125
Matured senior loans					193,778
Reclaims					44,276
Other assets					25,057
Total assets					223,673,112
Liabilities
Borrowings					67,900,000
Call options written, at value (premiums received $385,614)					165,850
Unrealized depreciation on interest rate swaps, net					1,093,470
Payable for investments purchased					2,373,903
Accrued expenses:
Interest on borrowings					5,799
Management fees					144,377
Other					99,449
Total liabilities					71,782,848
Net assets applicable to Common shares				$	151,890,264
Common shares outstanding					13,848,505
Net asset value per Common share outstanding (net assets applicable to Common shares, divided by Common shares outstanding)				$	10.97
Net assets applicable to Common shares consist of:
Common shares, $.01 par value per share				$	138,485
Paid-in surplus					243,370,922
Undistributed (Over-distribution of) net investment income					(19,970	)
Accumulated net realized gain (loss)					(91,848,046	)
Net unrealized appreciation (depreciation)					248,873
Net assets applicable to Common shares				$	151,890,264
Authorized shares:
Common					Unlimited
FundPreferred					Unlimited

 

See accompanying notes to financial statements.

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Statement of

OPERATIONS

Year Ended December 31, 2011

Investment Income
Dividends (net of foreign tax withheld of $156,017)				$	4,914,536
Interest					2,967,056
Total investment income					7,881,592
Expenses
Management fees					1,939,099
Interest expense on borrowings					790,541
Shareholders' servicing agent fees and expenses					716
Custodian's fees and expenses					66,238
Trustees' fees and expenses					6,333
Professional fees					27,172
Shareholders' reports — printing and mailing expenses					71,898
Stock exchange listing fees					8,918
Investor relations expense					43,665
Other expenses					76,267
Total expenses before custodian fee credit and expense reimbursement					3,030,847
Custodian fee credit					(28	)
Expense reimbursement					(198,619	)
Net expenses					2,832,200
Net investment income (loss)					5,049,392
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments					41,011
Call options written					1,495,405
Interest rate swaps					(366,793	)
Change in net unrealized appreciation (depreciation) of:
Investments					(12,125,906	)
Call options written					435,726
Interest rate swaps					(1,093,470	)
Net realized and unrealized gain (loss)					(11,614,027	)
Net increase (decrease) in net assets applicable to Common shares from operations				$	(6,564,635	)

 

See accompanying notes to financial statements.

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Statement of

CHANGES in NET ASSETS

				Year Ended 12/31/11				Year Ended 12/31/10
Operations
Net investment income (loss)				$	5,049,392			$	3,789,759
Net realized gain (loss) from:
Investments					41,011				9,304,719
Call options written					1,495,405				197,127
Interest rate swaps					(366,793	)			—
Change in net unrealized appreciation (depreciation) of:
Investments					(12,125,906	)			10,008,032
Call options written					435,726				(437,284	)
Interest rate swaps					(1,093,470	)			—
Net increase (decrease) in net assets applicable to Common shares from operations					(6,564,635	)			22,862,353
Distributions to Common Shareholders
From net investment income					(5,537,134	)			(13,045,853	)
Return of capital					(6,944,101	)			—
Decrease in net assets applicable to Common shares from distributions to Common shareholders					(12,481,235	)			(13,045,853	)
Capital Share Transactions
Common shares repurchased and retired					(284,003	)			—
Net increase (decrease) in net assets applicable to Common shares from capital share transactions					(284,003	)			—
Net increase (decrease) in net assets applicable to Common shares					(19,329,873	)			9,816,500
Net assets applicable to Common shares at the beginning of period					171,220,137				161,403,637
Net assets applicable to Common shares at the end of period				$	151,890,264			$	171,220,137
Undistributed (Over-distribution of) net investment income at the end of period				$	(19,970	)		$	(77,697	)

 

See accompanying notes to financial statements.

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Statement of

CASH FLOWS

Year Ended December 31, 2011

Cash Flows from Operating Activities:
Net Increase (Decrease) in Net Assets Applicable to Common Shares from Operations				$	(6,564,635	)
Adjustments to reconcile the net increase (decrease) in net assets applicable to Common shares from operations to net cash provided by (used in) operating activities:
Purchases of investments					(132,526,803	)
Proceeds from sales and maturities of investments					124,880,572
Proceeds from (Purchases of) short-term investments, net					636,085
Proceeds from (Payments for) interest rate swap contracts, net					(366,793	)
Premiums received for call options written					1,395,421
Cash paid for terminated call options written					(168,530	)
Amortization (Accretion) of premiums and discounts, net					(144,299	)
(Increase) Decrease in:
Receivable for dividends					(307,120	)
Receivable for interest					(31,510	)
Receivable for investments sold					1,042,645
Receivable for matured senior loans					37,048
Receivable for reclaims					30,761
Other assets					23,437
Increase (Decrease) in:
Payable for investments purchased					(1,782,672	)
Accrued interest on borrowings					1,932
Accrued management fees					8,217
Accrued other expenses					(21,714	)
Net realized (gain) loss from:
Investments					(41,011	)
Call options written					(1,495,405	)
Interest rate swaps					366,793
Paydowns					(358,047	)
Change in net unrealized (appreciation) depreciation of:
Investments					12,125,906
Call options written					(435,726	)
Interest rate swaps					1,093,470
Proceeds from litigation settlement					88,697
Net cash provided by (used in) operating activities					(2,513,281	)
Cash Flows from Financing Activities:
Increase (Decrease) in borrowings					15,300,000
Cash distributions paid to Common shareholders					(12,481,235	)
Cost of Common shares repurchased and retired					(284,003	)
Net cash provided by (used in) financing activities					2,534,762
Net Increase (Decrease) in Cash					21,481
Cash at the beginning of the period					—
Cash at the End of the Period				$	21,481

 

Supplemental Disclosure of Cash Flow Information

Cash paid for interest on borrowings (excluding borrowing costs) during the fiscal year ended December 31, 2011, was $781,109.

 

See accompanying notes to financial statements.

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Financial

HIGHLIGHTS

Selected data for a Common share outstanding throughout each period:

								Investment Operations																				Less Distributions
				Beginning Common Share Net Asset Value				Net Investment Income (Loss)(a)				Net Realized/ Unrealized Gain (Loss)(b)				Distributions from Net Investment Income to FundPreferred Share- holders(c)				Distributions from Capital Gains to FundPreferred Share- holders(c)				Total				Net Investment Income to Common Share- holders				Capital Gains to Common Share- holders				Return of Capital to Common Share- holders				Total				Discount from Common Shares Repurchased and Retired				Offering Costs and FundPreferred Share Underwriting Discounts
Year Ended 12/31:
	2011			$	12.34			$	.36			$	(.83	)		$	—			$	—			$	(0.47	)		$	(.40	)		$	—			$	(.50	)		$	(.90	)		$	—	*		$	—
	2010				11.63				.27				1.38				—				—				1.65				(.94	)			—				—				(.94	)			—				—
	2009				9.42				.40				2.75				(.02	)			—				3.13				(.38	)			—				(.55	)			(.93	)			.01				—
	2008				23.54				.77				(13.06	)			(.12	)			—				(12.41	)			(.70	)			(.21	)			(.80	)			(1.71	)			—				—
	2007				25.98				.90				(1.22	)			(.05	)			(.11	)			(.48	)			(.82	)			(1.14	)			—				(1.96	)			—				—

				FundNotes at the End of Period												FundPreferred Shares at the End of Period												Borrowings at the End of Period
				Aggregate Amount Outstanding (000)				Average Market Value Per $25,000 of Principal Amount				Asset Coverage Per $1,000 of Principal Amount				Aggregate Amount Outstanding (000)				Liquidation and Market Value Per Share				Asset Coverage Per Share				Aggregate Amount Outstanding (000)				Asset Coverage Per $1,000
Year Ended 12/31:
	2011			$	—			$	—			$	—			$	—			$	—			$	—			$	67,900			$	3,237
	2010				—				—				—				—				—				—				52,600				4,255
	2009				—				—				—				—				—				—				52,600				4,069
	2008				—				—				—				28,850				25,000				138,992				35,000				5,583
	2007				78,000				25,000				5,789				45,000				25,000				207,531				33,000				14,684

 

(a)  Per share Net Investment Income (Loss) is calculated using the average daily shares method.

(b)  Net of federal corporate income taxes on long-term capital gains retained by the Fund per share as follows:

				Long-Term Capital Gains Retained
Year Ended 12/31:
	2011				N/A
	2010				N/A
	2009				N/A
	2008				N/A
	2007			$	.21

 

(c)  The amounts shown are based on Common share equivalents.

(d)  • Total Return Based on Market Value is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period takes place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not annualized.

   Total Return Based on Common Share Net Asset Value is the combination of changes in Common share net asset value, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, if any. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending net asset value. The actual reinvest price for the last dividend declared in the period may often be based on the Fund's market price (and not its net asset value), and therefore may be different from the price used in the calculation. Total returns are not annualized.

 

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																				Ratios/Supplemental Data
												Total Returns												Ratios to Average Net Assets Applicable to Common Shares Before Reimbursement(e)								Ratios to Average Net Assets Applicable to Common Shares After Reimbursement(e)(f)
				Ending Common Share Net Asset Value				Ending Market Value				Based on Market Value(d)				Based on Common Share Net Asset Value(d)				Ending Net Assets Applicable to Common Shares (000)				Expenses				Net Investment Income (Loss)				Expenses				Net Investment Income (Loss)				Portfolio Turnover Rate
Year Ended 12/31:
	2011			$	10.97			$	9.56				(7.48	)%			(3.87	)%		$	151,890				1.85	%			2.96	%			1.73	%			3.08	%			56	%
	2010				12.34				11.24				14.73				14.99				171,220				1.77				2.14				1.55				2.36				48
	2009				11.63				10.66				56.47				35.50				161,404				1.86				3.71				1.53				4.04				55
	2008				9.42				7.58				(60.54	)			(55.29	)			131,546				3.74				4.03				3.24				4.53				24
	2007				23.54				21.81				(12.99	)			(2.38	)			328,557				3.10				2.99				2.64				3.45				25

 

  • The Fund elected to retain a portion of its realized long-term capital gains for the following tax years ended December 31, (which is the fiscal year end for the Fund) 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 standardized total returns shown above do not include the economic benefit to Common shareholders on record date of these tax credits/refunds. The Fund's corresponding Total Returns Based on Market Value and Common Share Net Asset Value when these benefits are included are as follows:

								Total Returns
				Common Shareholders of Record on				Based on Market Value				Based on Common Share Net Asset Value
Year Ended 12/31:
	2011				N/A				(7.48	)%			(3.87	)%
	2010				N/A				14.73				14.99
	2009				N/A				56.47				35.50
	2008				N/A				(60.54	)			(55.29	)
	2007			December 31					(12.18	)			(1.54	)

 

(e)  • Ratios do not reflect the effect of dividend payments to FundPreferred shareholders, where applicable.

  • Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to FundPreferred Shares, FundNotes and/or borrowings, where applicable.

  • Each Ratio of Expenses to Average Net Assets Applicable to Common Shares and each Ratio of Net Investment Income (Loss) to Average Net Assets Applicable to Common Shares includes the effect of interest expense paid on FundNotes and all interest expense and other costs related to borrowings, where applicable as follows:

				Ratios of FundNotes Interest Expense to Average Net Assets Applicable Common Shares(g)				Ratios of Borrowings Interest Expense to Average Net Assets Applicable to Common Shares
Year Ended 12/31:
	2011				—	%			.48	%
	2010				—				.45
	2009				—				.44
	2008				1.12				1.00
	2007				1.11				.51

 

(f)  After expense reimbursement from the Adviser, where applicable. Ratios do not reflect the effect of custodian fee credits earned on the Fund's net cash on deposit with the custodian bank, where applicable.

(g)  The Fund redeemed all $78 million of its outstanding FundNotes during the fiscal year ended December 31, 2008.

N/A  The Fund had no retained capital gains for the tax years ended December 31, 2011, December 31, 2010, December 31, 2009 and December 31, 2008.

*  Rounds to less than $.01 per share.

 

See accompanying notes to financial statements.

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Notes to

FINANCIAL STATEMENTS

1. General Information and Significant Accounting Policies

General Information

Nuveen Tax-Advantaged Total Return Strategy Fund (the "Fund") is a closed-end registered investment company registered under the Investment Company Act of 1940, as amended. The Fund's Common shares are listed on the New York Stock Exchange ("NYSE") and trade under the ticker symbol "JTA." The Fund was organized as a Massachusetts business trust on October 1, 2003.

Effective January 1, 2011, the Fund's adviser, Nuveen Asset Management, a wholly-owned subsidiary of Nuveen Investments, Inc. ("Nuveen"), changed its name to Nuveen Fund Advisors, Inc. ("the Adviser").

The Fund's investment objective is to achieve a high level of after-tax total return consisting primarily of tax-advantaged dividend income and capital appreciation by investing primarily in a portfolio of dividend-paying common stocks that the Fund believes at the time of investment are eligible to pay dividends that may be eligible for favorable federal income taxation at rates applicable to long-term capital gains ("tax-advantaged dividends"). The Fund also invests, to a more limited extent, in preferred securities that are eligible to pay tax-advantaged dividends, as well as in senior loans (both secured and unsecured), domestic corporate bonds, notes and debentures, convertible debt securities and other similar types of corporate instruments, including high-yield debt securities, that are not eligible to pay tax-advantaged dividends. The qualified dividend income provisions of the federal tax code are set to expire on December 31, 2012. In the event that Congress does not extend these provisions, beginning in calendar 2013, dividends previously referred to as "qualified dividends" would be taxed at normal marginal tax rates.

Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements in accordance with U.S. generally accepted accounting principles ("U.S. GAAP").

Investment Valuation

Common stocks and other equity-type securities are valued at the last sales price on the securities exchange on which such securities are primarily traded and are generally classified as Level 1 for fair value measurement purposes. Securities primarily traded on the NASDAQ National Market ("NASDAQ") are valued, except as indicated below, at the NASDAQ Official Closing Price and are generally classified as Level 1. However, securities traded on a securities exchange or NASDAQ for which there were no transactions on a given day or securities not listed on a securities exchange or NASDAQ are valued at the quoted bid price and are generally classified as Level 2. Prices of certain American Depositary Receipts ("ADR") held by the Fund that trade in only limited volume in the United States are valued based on the last traded price, official closing price, or the most recent bid price of the underlying non-U.S.-traded stock, adjusted as appropriate for the underlying-to-ADR conversion ratio and foreign exchange rate, and from time-to-time may also be adjusted further to take into account material events that may take place after the close of the local non-U.S. market but before the close of the NYSE, which generally represents a transfer from a Level 1 to a Level 2 security.

Prices of fixed-income securities and interest rate swap contracts are provided by a pricing service approved by the Fund's Board of Trustees. These securities are generally classified as Level 2. When price quotes are not readily available, the pricing service establishes a security's fair value using methods that may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligor's credit characteristics considered relevant. In pricing certain securities, particularly less liquid and lower quality securities, the pricing service may consider information about a security, its issuer, or market activity provided by the Adviser. These securities are generally classified as Level 2 or Level 3 depending on the priority of the significant inputs.

Like most fixed-income instruments, the senior and subordinated loans in which the Fund invests are not listed on an organized exchange. The secondary market of such investments may be less liquid relative to markets for other fixed-income securities. Consequently, the value of senior and subordinated loans, determined as described above, may differ significantly from the value

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that would have been determined had there been an active market for that senior loan. These securities are generally classified as Level 2.

The value of exchange-traded options are based on the mean of the closing bid and ask prices. Exchange-traded options are generally classified as Level 1. Options traded in the over-the-counter market are valued using an evaluated mean price and are generally classified as Level 2.

Repurchase agreements are valued at contract amount plus accrued interest, which approximates market value. These securities are generally classified as Level 2.

Certain securities may not be able to be priced by the pre-established pricing methods as described above. Such securities may be valued by the Fund's Board of Trustees or its designee at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a pricing service is unable to provide a market price; securities whose trading has been formally suspended; debt securities that have gone into default and for which there is no current market quotation; a security whose market price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund's net asset value (as may be the case in non-U.S. markets on which the security is primarily traded) or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, is not deemed to reflect the security's fair value. As a general principle, the fair value of a security would appear to be the amount that the owner might reasonably expect to receive for it in a current sale. A variety of factors may be considered in determining the fair value of such securities, which may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligor's credit characteristics considered relevant. These securities are generally classified as Level 2 or Level 3 depending on the priority of the significant inputs. Regardless of the method employed to value a particular security, all valuations are subject to review by the Fund's Board of Trustees or its designee.

Refer to Footnote 2—Fair Value Measurements for further details on the leveling of securities held by the Fund as of the end of the reporting period.

Investment Transactions

Investment transactions are recorded on a trade date basis. Trade date for senior and subordinated loans purchased in the "primary market" is considered the date on which the loan allocations are determined. Trade date for senior and subordinated loans purchased in the "secondary market" is the date on which the transaction is entered into. Realized gains and losses from investment transactions are determined on the specific identification method, which is the same basis used for federal income tax purposes. Investments purchased on a when-issued/delayed delivery basis may have extended settlement periods. Any investments so purchased are subject to market fluctuation during this period. The Fund has instructed the custodian to segregate assets with a current value at least equal to the amount of the when-issued/delayed delivery purchase commitments. At December 31, 2011, the Fund had outstanding when-issued/delayed delivery purchase commitments of $2,373,903.

Investment Income

Dividend income is recorded on the ex-dividend date or, for foreign securities, when information is available. Interest income, which reflects the amortization of premiums and includes accretion of discounts for financial reporting purposes, is recorded on an accrual basis. Interest income also reflects paydown gains and losses and fee income, if any. Fee income consists primarily of amendment fees. Amendment fees are earned as compensation for evaluating and accepting changes to an original senior loan agreement and are recognized when received. Other income includes the increase of the net realizable value of the receivable for matured senior loans recognized during the current fiscal period, when applicable.

Income Taxes

The Fund intends to distribute substantially all of its investment company taxable income to shareholders and to otherwise comply with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies ("RICs"). In any year when the Fund realizes net capital gains, the Fund may choose to distribute all or a portion of its net capital gains to shareholders, or alternatively, to retain all or a portion of its net capital gains and pay federal corporate income taxes on such retained gains.

For all open tax years and all major taxing jurisdictions, management of the Fund has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Open tax years are those that are open for examination by taxing authorities (i.e., generally the last four tax year ends and the interim tax period since then). Furthermore, management of the Fund is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

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Notes to

FINANCIAL STATEMENTS (continued)

Dividends and Distributions to Common Shareholders

Distributions to Common shareholders are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP.

The Fund makes quarterly cash distributions to Common shareholders of a stated dollar amount per share. Subject to approval and oversight by the Fund's Board of Trustees, the Fund seeks to maintain a stable distribution level designed to deliver the long-term return potential of the Fund's investment strategy through regular quarterly distributions (a "Managed Distribution Program"). Total distributions during a calendar year generally will be made from the Fund's net investment income, net realized capital gains and net unrealized capital gains in the Fund's portfolio, if any. The portion of distributions paid attributed to net unrealized gains, if any, is distributed from the Fund's assets and is treated by shareholders as a non-taxable distribution ("Return of Capital") for tax purposes. In the event that total distributions during a calendar year exceed the Fund's total return on net asset value, the difference will reduce net asset value per share. If the Fund's total return on net asset value exceeds total distributions during a calendar year, the excess will be reflected as an increase in net asset value per share. The final determination of the source and character of all distributions for the fiscal year are made after the end of the fiscal year and are reflected in the financial statements contained in the annual report as of December 31 each year.

The actual character of distributions made by the Fund during the fiscal years ended December 31, 2011 and December 31, 2010, are reflected in the accompanying statements.

FundPreferred Shares

The Fund is authorized to issue auction rate preferred ("FundPreferred") shares. During the fiscal year ended December 31, 2009, the Fund redeemed all $45,000,000 of its outstanding FundPreferred shares, at liquidation value.

Options Transactions

The Fund is subject to equity price risk in the normal course of pursuing its investment objectives and is authorized to purchase and write (sell) call and put options on securities, futures, swaps ("swaptions") or currencies, in an attempt to manage such risk. The purchase of options involves the risk of loss of all or a part of the cash paid for the options (the premium). The market risk associated with purchasing options is limited to the premium paid. The counterparty credit risk of purchasing options, however, needs also to take into account the current value of the option, as this is the performance expected from the counterparty. When the Fund purchases an option, an amount equal to the premium paid (the premium plus commission) is recognized as a component of "Call and/or Put options purchased, at value" on the Statement of Assets and Liabilities. When the Fund writes an option, an amount equal to the net premium received (the premium less commission) is recognized as a component of "Call and/or Put options written, at value" on the Statement of Assets and Liabilities and is subsequently adjusted to reflect the current value of the written option until the option is exercised or expires or the Fund enters into a closing purchase transaction. The changes in the value of options purchased during the fiscal period are recognized as a component of "Change in net unrealized appreciation (depreciation) of call and/or put options purchased" on the Statement of Operations. The changes in the value of options written during the fiscal period are recognized as a component of "Change in net unrealized appreciation (depreciation) of call and/or put options written" on the Statement of Operations. When an option is exercised or expires or a Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid at expiration or on executing a closing purchase transaction, including commission, is recognized as a component of "Net realized gain (loss) from call/put options purchased and/or written" on the Statement of Operations. The Fund, as a writer of an option, has no control over whether the underlying instrument may be sold (called) or purchased (put) and as a result bears the risk of an unfavorable change in the market value of the instrument underlying the written option. There is also the risk the Fund may not be able to enter into a closing transaction because of an illiquid market.

During the fiscal year ended December 31, 2011, the Fund wrote covered call options on individual stocks held in its portfolio to enhance returns while foregoing some upside potential of its equity portfolio.

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The Fund did not purchase call or put options or write put options during the fiscal year ended December 31, 2011. The average notional amount of call options written during the fiscal year ended December 31, 2011, was as follows:

Average notional amount of call options written*

$

(5,453,860

)

 

*  The average notional amount is calculated based on the outstanding notional at the beginning of the fiscal year and at the end of each fiscal quarter within the current fiscal year.

Refer to Footnote 3—Derivative Instruments and Hedging Activities and Footnote 5—Investment Transactions for further details on options activity.

Interest Rate Swap Contracts

The Fund is subject to interest rate risk in the normal course of pursuing its investment objectives and is authorized to invest in interest rate swap transactions in an attempt to manage such risk. The Fund's use of interest rate swap contracts is intended to mitigate the negative impact that an increase in short-term interest rates could have on Common share net earnings as a result of leverage. Interest rate swap contracts involve the Fund's agreement with the counterparty to pay or receive a fixed rate payment in exchange for the counterparty receiving or paying a variable rate payment that is intended to approximate the Fund's variable rate payment obligation on FundPreferred shares or any variable rate borrowing. The payment obligation is based on the notional amount of the interest rate swap contract. Interest rate swap contracts do not involve the delivery of securities or other underlying assets or principal. Accordingly, the risk of loss with respect to the swap counterparty on such transactions is limited to the net amount of interest payments that the Fund is to receive. Interest rate swap positions are valued daily. The Fund accrues the fixed rate payment expected to be paid or received and the variable rate payment expected to be received or paid on interest rate swap contracts on a daily basis, and recognizes the daily change in the fair value of the Fund's contractual rights and obligations under the contracts. The net amount recorded for these transactions for each counterparty is recognized on the Statement of Assets and Liabilities as a component of "Unrealized appreciation or depreciation on interest rate swaps, net" with the change during the fiscal period recognized on the Statement of Operations as a component of "Change in net unrealized appreciation (depreciation) of interest rate swaps." Income received or paid by the Fund is recognized as a component of "Net realized gain (loss) from interest rate swaps" on the Statement of Operations, in addition to the net realized gains or losses recognized upon the termination of an interest rate swap contract and are equal to the difference between the Fund's basis in the interest rate swap and the proceeds from (or cost of) the closing transaction. Payments received or made at the beginning of the measurement period are recognized as a component of "Interest rate swap premiums paid and/or received" on the Statement of Assets and Liabilities. For tax purposes, periodic payments are treated as ordinary income or expense.

During the fiscal year ended December 31, 2011, the Fund entered into interest rate swap contracts to partially fix the interest cost of leverage, which the Fund uses through the use of bank borrowings.

The average notional amount of interest rate swap contracts outstanding during the fiscal year ended December 31, 2011, was as follows:

Average notional amount of interest rate swap contracts outstanding*

$

33,540,000

 

*  The average notional amount is calculated based on the outstanding notional at the beginning of the fiscal year and at the end of each fiscal quarter within the current fiscal year.

Refer to Footnote 3—Derivative Instruments and Hedging Activities for further details on interest rate swap contract activity.

Market and Counterparty Credit Risk

In the normal course of business the Fund may invest in financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the other party to the transaction to perform (counterparty credit risk). The potential loss could exceed the value of the financial assets recorded on the financial statements. Financial assets, which potentially expose the Fund to counterparty credit risk, consist principally of cash due from counterparties on forward, option and swap transactions, when applicable. The extent of the Fund's exposure to counterparty credit risk in respect to these financial assets approximates their carrying value as recorded on the Statement of Assets and Liabilities. Futures contracts, when applicable, expose the Fund to minimal counterparty credit risk as they are exchange traded and the exchange's clearinghouse, which is counterparty to all exchange traded futures, guarantees the futures contract against default.

The Fund helps manage counterparty credit risk by entering into agreements only with counterparties the Adviser believes have the financial resources to honor their obligations and by having the Adviser monitor the financial stability of the counterparties. Additionally, counterparties may be required to pledge collateral daily (based on the daily valuation of the financial asset) on behalf of the Fund with a value approximately equal to the amount of any unrealized gain above a pre-determined threshold. Reciprocally, when the Fund has an unrealized loss, the Fund has instructed the custodian to pledge assets of the Fund as collateral with a value approximately equal to the amount of the unrealized loss above a pre-determined threshold. Collateral pledges are monitored and subsequently adjusted if and when the valuations fluctuate, either up or down, by at least the pre-determined threshold amount.

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33

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Notes to

FINANCIAL STATEMENTS (continued)

Repurchase Agreements

In connection with transactions in repurchase agreements, it is the Fund's policy that its custodian take possession of the underlying collateral securities, the fair value of which exceeds the principal amount of the repurchase transaction, including accrued interest, at all times. If the counterparty defaults, and the fair value of the collateral declines, realization of the collateral may be delayed or limited.

Zero Coupon Securities

The Fund is authorized to invest in zero coupon securities. A zero coupon security does not pay a regular interest coupon to its holders during the life of the security. Tax-exempt income to the holder of the security comes from accretion of the difference between the original purchase price of the security at issuance and the par value of the security at maturity and is effectively paid at maturity. The market prices of zero coupon securities generally are more volatile than the market prices of securities that pay interest periodically.

Custodian Fee Credit

The Fund has an arrangement with the custodian bank whereby certain custodian fees and expenses are reduced by net credits earned on the Fund's cash on deposit with the bank. Such deposit arrangements are an alternative to overnight investments. Credits for cash balances may be offset by charges for any days on which the Fund overdraws its account at the custodian bank.

Indemnifications

Under the Fund's organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund enters into contracts that provide general indemnifications to other parties. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. However, the Fund has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

Use of Estimates

The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets applicable to Common shares from operations during the reporting period. Actual results may differ from those estimates.

2. Fair Value Measurements

Fair value is defined as the price that the Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity's own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad levels listed below:

Level 1 —  Quoted prices in active markets for identical securities.

Level 2 —  Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3 —  Significant unobservable inputs (including management's assumptions in determining the fair value of investments).

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The inputs or methodologies used for valuing securities are not an indication of the risk associated with investing in those securities. The following is a summary of the Fund's fair value measurements as of December 31, 2011:

				Level 1				Level 2				Level 3				Total
Investments:
Common Stocks*				$	150,105,637			$	353,964			$	—			$	150,459,601
Convertible Preferred Securities					737,800				—				—				737,800
$25 Par (or similar) Preferred Securities					7,605,928				4,266,225				—				11,872,153
Variable Rate Senior Loan Interests					—				48,076,100				—				48,076,100
Capital Preferred Securities					—				1,021,310				—				1,021,310
Short-Term Investments					—				10,073,947				—				10,073,947
Derivatives:
Interest Rate Swaps**					—				(1,093,470	)			—				(1,093,470	)
Call Options Written					(165,850	)			—				—				(165,850	)
Total				$	158,283,515			$	62,698,076			$	—			$	220,981,591

 

*  Refer to the Fund's Portfolio of Investments for industry breakdown of Common Stocks classified as Level 2.

**  Represents net unrealized appreciation (depreciation) as reported in the Fund's Portfolio of Investments.

During the fiscal year ended December 31, 2011, the Fund recognized no significant transfers to or from Level 1, Level 2 or Level 3.

3. Derivative Instruments and Hedging Activities

The Fund records derivative instruments at fair value, with changes in fair value recognized on the Statement of Operations, when applicable. Even though the Fund's investments in derivatives may represent economic hedges, they are not considered to be hedge transactions for financial reporting purposes. For additional information on the derivative instruments in which the Fund was invested during and at the end of the reporting period, refer to the Portfolio of Investments, Financial Statements and Footnote 1—General Information and Significant Accounting Policies.

The following table presents the fair value of all derivative instruments held by the Fund as of December 31, 2011, the location of these instruments on the Statement of Assets and Liabilities, and the primary underlying risk exposure.

Location on the Statement of Assets and Liabilities

Underlying

Derivative

Asset Derivatives

Liability Derivatives

Risk Exposure

Instrument

Location

Value

Location

Value

Equity Price

Options

—

$

—

Call options written, at value

$

165,850

Interest Rate

Swaps

Unrealized depreciation on interest rate swaps, net*

2,292

Unrealized depreciation on interest rate swaps, net*

1,095,762

Total

$

2,292

$

1,261,612

 

*  Value represents cumulative gross appreciation (depreciation) of interest rate swap contracts as reported in the Fund's Portfolio of Investments. The Statement of Assets and Liabilities presents the net unrealized appreciation (depreciation) of all interest rate swap contracts as "Unrealized depreciation on interest rate swaps, net."

The following tables present the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized for the fiscal year ended December 31, 2011, on derivative instruments, as well as the primary risk exposure associated with each.

Net Realized Gain (Loss) from Call Options Written
Risk Exposure
Equity Price				$	1,495,405
Net Realized Gain (Loss) from Interest Rate Swaps
Risk Exposure
Interest Rate				$	(366,793	)
Change in Net Unrealized Appreciation (Depreciation) of Call Options Written
Risk Exposure
Equity Price				$	435,726
Change in Net Unrealized Appreciation (Depreciation) of Interest Rate Swaps
Risk Exposure
Interest Rate				$	(1,093,470	)

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35

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Notes to

FINANCIAL STATEMENTS (continued)

4. Fund Shares

Common Shares

Transactions in Common shares were as follows:

				Year Ended 12/31/11				Year Ended 12/31/10
Common shares repurchased and retired					(30,062	)			—
Weighted average:
Price per Common share repurchased and retired				$	9.43			$	—
Discount per Common share repurchased and retired					14.39	%			—

 

5. Investment Transactions

Purchases and sales (including maturities but excluding short-term investments and derivative transactions) during the fiscal year ended December 31, 2011, aggregated $132,526,803 and $124,880,572, respectively.

Transactions in call options written during the fiscal year ended December 31, 2011, were as follows:

				Number of Contracts				Premiums Received
Options outstanding, beginning of the year					8,577			$	654,128
Options written					6,348				1,395,421
Options terminated in closing purchase transactions					(7,532	)			(978,085	)
Options exercised					(706	)			(177,621	)
Options expired					(5,337	)			(508,229	)
Options outstanding, end of the year					1,350			$	385,614

 

6. Income Tax Information

The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to the treatment of paydown gains and losses, recognition of premium amortization and timing differences in recognizing certain gains and losses on investment transactions. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts as detailed below. Temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset value of the Fund.

At December 31, 2011, the cost and unrealized appreciation (depreciation) of investments (excluding investments in derivatives), as determined on a federal income tax basis, were as follows:

Cost of investments				$	223,668,418
Gross unrealized:
Appreciation				$	16,899,376
Depreciation					(18,326,883	)
Net unrealized appreciation (depreciation) of investments				$	(1,427,507	)

 

Permanent differences, primarily due to paydowns and tax basis earnings and profits adjustments, resulted in reclassifications among the Fund's components of Common share net assets at December 31, 2011, the Fund's tax year end, as follows:

Paid-in-surplus				$	(1,256,953	)
Undistributed (Over-distribution) of net investment income					545,469
Accumulated net realized gain (loss)					711,484

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The tax components of undistributed net ordinary income and net long-term capital gains at December 31, 2011, the Fund's tax year end, were as follows:

Undistributed net ordinary income				$	—
Undistributed net long-term capital gains					—

 

The tax character of distributions paid during the Fund's tax years ended December 31, 2011 and December 31, 2010, was designated for purposes of the dividends paid deduction as follows:

2011
Distributions from net ordinary income*				$	5,537,134
Distributions from net long-term capital gains					—
Return of capital					6,944,101
2010
Distributions from net ordinary income*				$	13,045,853
Distributions from net long-term capital gains					—
Return of capital					—

 

*  Net ordinary income consists of net taxable income derived from dividends and interest, and current year earnings and profits attributable to realized gains.

At December 31, 2011, the Fund's tax year end, the Fund had unused capital loss carryforwards available for federal income tax purposes to be applied against future capital gains, if any. If not applied, the carryforwards will expire as follows:

Expiration:
December 31, 2016				$	57,123,966
December 31, 2017					32,157,951
Total				$	89,281,917

 

During the tax year ended December 31, 2011, the Fund utilized $1,256,953 of its capital loss carryforwards.

On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the "Act") was enacted, which changed various technical rules governing the tax treatment of RICs. The changes are generally effective for taxable years beginning after the date of enactment. One of the more prominent changes addresses capital loss carryforwards. Under the Act, the Fund will be permitted to carry forward capital losses incurred in taxable years beginning after the date of enactment for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years, which carry an expiration date. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital loss carryforwards will retain their character as either short-term or long-term capital losses rather than being considered all short-term as permitted under previous regulation.

The Act also contains several provisions aimed at preserving the character of distributions made by fiscal year RICs during the portion of its taxable year ending after October 31 or December 31, reducing the circumstances under which RICs might be required to file amended Forms 1099 to restate previously reported distributions.

During the Fund's tax year ended December 31, 2011, there were no post-enactment capital losses generated.

7. Management Fees and Other Transactions with Affiliates

The Fund's management fee consists of two components—a fund-level fee, based only on the amount of assets within the Fund, and a complex-level fee, based on the aggregate amount of all eligible fund assets managed by the Adviser. This pricing structure enables Fund shareholders to benefit from growth in the assets within the Fund as well as from growth in the amount of complex-wide assets managed by the Adviser.

The annual fund-level fee, payable monthly, is calculated according to the following schedule:

Average Daily Managed Assets *				Fund-Level Fee Rate
For the first $500 million					.7000	%
For the next $500 million					.6750
For the next $500 million					.6500
For the next $500 million					.6250
For managed assets over $2 billion					.6000

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37

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Notes to

FINANCIAL STATEMENTS (continued)

The annual complex-level fee, payable monthly, is calculated according to the following schedule:

Complex-Level Managed Asset Breakpoint Level *				Effective Rate at Breakpoint Level
$55 billion					.2000	%
$56 billion					.1996
$57 billion					.1989
$60 billion					.1961
$63 billion					.1931
$66 billion					.1900
$71 billion					.1851
$76 billion					.1806
$80 billion					.1773
$91 billion					.1691
$125 billion					.1599
$200 billion					.1505
$250 billion					.1469
$300 billion					.1445

 

*  For the fund-level and complex-level fees, managed assets include closed-end fund assets managed by the Adviser that are attributable to financial leverage. For these purposes, financial leverage includes the funds' use of preferred stock and borrowings and certain investments in the residual interest certificates (also called inverse floating rate securities) in tender option bond (TOB) trusts, including the portion of assets held by a TOB trust that has been effectively financed by the trust's issuance of floating rate securities, subject to an agreement by the Adviser as to certain funds to limit the amount of such assets for determining managed assets in certain circumstances. The complex-level fee is calculated based upon the aggregate daily managed assets of all Nuveen Funds that constitute "eligible assets". Eligible assets do not include assets attributable to investments in other Nuveen Funds or assets in excess of $2 billion added to the Nuveen Fund complex in connection with the Adviser's assumption of the management of the former First American Funds effective January 1, 2011. As of December 31, 2011, the complex-level fee rate for the Fund was .1767%.

The management fee compensates the Adviser for overall investment advisory and administrative services and general office facilities. The Adviser is responsible for the Fund's overall strategy and asset allocation decisions. The Adviser has entered into sub-advisory agreements with NWQ Investment Management Company, LLC ("NWQ") and Symphony Asset Management LLC ("Symphony"), each a subsidiary of Nuveen. The Adviser is responsible for overseeing the Fund's investments in interest rate swap contracts. NWQ manages the portion of the Fund's investment portfolio allocated to dividend-paying common and preferred stocks, including ADRs and the Fund's options strategy. Symphony manages the portion of the Fund's investment portfolio allocated to senior loans and other debt instruments. NWQ and Symphony are compensated for their services to the Fund from the management fees paid to the Adviser.

The Fund pays no compensation directly to those of its trustees who are affiliated with the Adviser or to its officers, all of whom receive remuneration for their services to the Fund from the Adviser or its affiliates. The Board of Trustees has adopted a deferred compensation plan for independent trustees that enables trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from certain Nuveen-advised funds. Under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of select Nuveen-advised funds.

For the first eight years of the Fund's operations, the Adviser has agreed to reimburse the Fund, as a percentage of average daily managed assets, for fees and expenses in the amounts and for the time periods set forth below:

Year Ending January 31,								Year Ending January 31,
	2004	*			.32	%			2009				.32	%
	2005				.32				2010				.24
	2006				.32				2011				.16
	2007				.32				2012				.08
	2008				.32

 

*  From the commencement of operations.

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38

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The Adviser has not agreed to reimburse the Fund for any portion of its fees and expenses beyond January 31, 2012.

During the fiscal year ended December 31, 2011, the Fund was reimbursed $6,469 by Nuveen to offset a portion of expenses incurred as a result of the Fund's anticipated Common share shelf offering filing with the Securities and Exchange Commission, which ultimately did not occur.

8. Senior Loan Commitments

Unfunded Commitments

Pursuant to the terms of certain of the variable rate senior loan agreements, the Fund may have unfunded senior loan commitments. The Fund will maintain with its custodian, cash, liquid securities and/or liquid senior loans having an aggregate value at least equal to the amount of unfunded senior loan commitments. At December 31, 2011, the Fund had no unfunded senior loan commitments.

Participation Commitments

With respect to the senior loans held in the Fund's portfolio, the Fund may: 1) invest in assignments; 2) act as a participant in primary lending syndicates; or 3) invest in participations. If the Fund purchases a participation of a senior loan interest, the Fund would typically enter into a contractual agreement with the lender or other third party selling the participation, rather than directly with the Borrower. As such, the Fund not only assumes the credit risk of the Borrower, but also that of the selling participant or other persons interpositioned between the Fund and the Borrower. At December 31, 2011, there were no such outstanding participation commitments.

9. Borrowing Arrangements

The Fund has entered into $69 million (maximum commitment amount) prime brokerage facility with BNP Paribas Prime Brokerage, Inc. ("BNP") as a means of financial leverage. On January 19, 2011, the Fund amended its prime brokerage facility with BNP and increased its maximum commitment amount from $60 million to $66 million and on November 9, 2011, increased its maximum commitment amount from $66 million to $69 million. As of December 31, 2011, the Fund's outstanding balance on these borrowings was $67.9 million. During the fiscal year ended December 31, 2011, the average daily balance outstanding and average annual interest rate on these borrowings were $56.3 million and 1.29%, respectively.

In order to maintain this borrowing facility, the Fund must meet certain collateral, asset coverage and other requirements. Borrowings outstanding are fully secured by securities held in the Fund's portfolio of investments. Interest is charged on these borrowings at 3-Month LIBOR (London Inter-bank Offered Rate) plus .95% on the amount borrowed and .50% on the undrawn balance. The Fund also incurred a one-time .25% amendment fee on each increase to the maximum commitment amount, which was fully expensed during the current reporting period.

Effective January 9, 2012, interest charged on the amount borrowed changed from 3-Month LIBOR plus .95% to 3-Month LIBOR plus .85%. All other terms remain unchanged.

Borrowings outstanding are recognized as "Borrowings" on the Statement of Assets and Liabilities. Interest expense incurred on the borrowed amount and undrawn balance and the one-time amendment fee are recognized as a component of "Interest expense on borrowings" on the Statement of Operations.

10. New Accounting Pronouncements

Financial Accounting Standards Board ("FASB") Transfers and Servicing (Topic 860): Reconsideration of Effective Control for Repurchase Agreements

On April 15, 2011, the FASB issued Accounting Standards Update ("ASU") No. 2011-03 ("ASU No. 2011-03"). The guidance in ASU No. 2011-03 is intended to improve the accounting for repurchase agreements and other similar agreements. Specifically, ASU No. 2011-03 modifies the criteria for determining when these transactions would be accounted for as financings transactions (secured borrowings/lending agreements) as opposed to sales (purchases) transactions with commitments to repurchase (resell). The effective date of ASU No. 2011-03 is for interim and annual periods beginning on or after December 15, 2011. At this time, management is evaluating the implications of this guidance and the impact it will have to the financial statement amounts and footnote disclosures, if any.

Fair Value Measurements and Disclosures

On May 12, 2011, the FASB issued ASU No. 2011-04 modifying Topic 820, Fair Value Measurements and Disclosures. At the same time, the International Accounting Standards Board ("IASB") issued International Financial Reporting Standard ("IFRS") 13, Fair Value Measurement. The objective of the FASB and IASB is convergence of their guidance on fair value measurements and disclosures. Specifically, ASU No. 2011-04 requires reporting entities to disclose i) the amounts of any transfers between Level 1 and Level 2 and the reasons for the transfers and ii) for Level 3 fair value measurements, a) quantitative information about significant unobservable inputs used, b) a description of the valuation processes used by the reporting entity and c) a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs if a change in those inputs might result in a significantly higher or lower fair value measurement. The effective date of ASU No. 2011-04 is for interim and annual periods beginning after December 15, 2011. At this time, management is evaluating the implications of this guidance and the impact it will have to the financial statement amounts and footnote disclosures, if any.

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39

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Board Members & Officers (Unaudited)

The management of the Funds, including general supervision of the duties performed for the Funds by the Adviser, is the responsibility of the Board Members of the Funds. The number of board members of the Fund is currently set at ten. None of the board members who are not "interested" persons of the Funds (referred to herein as "independent board members") has ever been a director or employee of, or consultant to, Nuveen or its affiliates. The names and business addresses of the board members and officers of the Funds, their principal occupations and other affiliations during the past five years, the number of portfolios each oversees and other directorships they hold are set forth below.

Name, Birthdate and Address

Position(s) Held with the Funds

Year First Elected or Appointed and Term(1)

Principal Occupation(s) Including other Directorships During Past 5 Years

Number of Portfolios in Fund Complex Overseen by Board Member

Independent Board Members:

g ROBERT P. BREMNER(2)

8/22/40 333 W. Wacker Drive Chicago, IL 60606

Chairman of the Board and Board Member

1996 Class III

Private Investor and Management Consultant; Treasurer and Director, Humanities Council of Washington, D.C.; Board Member, Independent Directors Council (affiliated with the Investment Company Institute.)

238

g JACK B. EVANS

10/22/48 333 W. Wacker Drive Chicago, IL 60606

Board Member

1999 Class III

President, The Hall-Perrine Foundation, a private philanthropic corporation (since 1996); Director and Chairman, United Fire Group, a publicly held company; member of the Board of Regents for the State of Iowa University System; Director, Source Media Group; Life Trustee of Coe College and the Iowa College Foundation; formerly, Director, Alliant Energy; formerly, Director, Federal Reserve Bank of Chicago; formerly, President and Chief Operating Officer, SCI Financial Group, Inc., a regional financial services firm.

238

g WILLIAM C. HUNTER

3/6/48 333 W. Wacker Drive Chicago, IL 60606

Board Member

2004 Class I

Dean, Tippie College of Business, University of Iowa (since 2006); Director (since 2004) of Xerox Corporation; Director (since 2005), Beta Gamma Sigma International Honor Society; Director of Wellmark, Inc. (since 2009); formerly, Dean and Distinguished Professor of Finance, School of Business at the University of Connecticut (2003-2006); previously, Senior Vice President and Director of Research at the Federal Reserve Bank of Chicago (1995-2003); formerly, Director (1997-2007), Credit Research Center at Georgetown University.

238

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40

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Name, Birthdate and Address

Position(s) Held with the Funds

Year First Elected or Appointed and Term(1)

Principal Occupation(s) Including other Directorships During Past 5 Years

Number of Portfolios in Fund Complex Overseen by Board Member

Independent Board Members (continued):

g DAVID J. KUNDERT(2)

10/28/42 333 W. Wacker Drive Chicago, IL 60606

Board Member

2005 Class II

Director, Northwestern Mutual Wealth Management Company; retired (since 2004) as Chairman, JPMorgan Fleming Asset Management, President and CEO, Banc One Investment Advisors Corporation, and President, One Group Mutual Funds; prior thereto, Executive Vice President, Banc One Corporation and Chairman and CEO, Banc One Investment Management Group; Member, Board of Regents, Luther College; member of the Wisconsin Bar Association; member of Board of Directors, Friends of Boerner Botanical Gardens; member of Board of Directors and Chair of Investment Committee, Greater Milwaukee Foundation.

238

g WILLIAM J. SCHNEIDER(2)

9/24/44 333 W. Wacker Drive Chicago, IL 60606

Board Member

1997 Class III

Chairman of Miller-Valentine Partners Ltd., a real estate investment company; formerly, Senior Partner and Chief Operating Officer (retired 2004) of Miller- Valentine Group; member, University of Dayton Business School Advisory Council; member, Mid-America Health System Board; formerly, member and chair, Dayton Philharmonic Orchestra Association; formerly, member, Business Advisory Council, Cleveland Federal Reserve Bank.

238

g JUDITH M. STOCKDALE

12/29/47 333 W. Wacker Drive Chicago, IL 60606

Board Member

1997 Class I

Executive Director, Gaylord and Dorothy Donnelley Foundation (since 1994); prior thereto, Executive Director, Great Lakes Protection Fund (1990-1994).

238

g CAROLE E. STONE(2)

6/28/47 333 W. Wacker Drive Chicago, IL 60606

Board Member

2007 Class I

Director, Chicago Board Options Exchange (since 2006); Director, C2 Options Exchange, Incorporated (since 2009); formerly, Commissioner, New York State Commission on Public Authority Reform (2005-2010); formerly, Chair, New York Racing Association Oversight Board (2005-2007).

238

g VIRGINIA L. STRINGER

8/16/44 333 W. Wacker Drive Chicago, IL 60606

Board Member

2011

Board Member, Mutual Fund Directors Forum; Member, Governing Board, Investment Company Institute's Independent Directors Council; governance consultant and non-profit board member; former Owner and President, Strategic Management Resources, Inc. a management consulting firm; previously, held several executive positions in general management, marketing and human resources at IBM and The Pillsbury Company; Independent Director, First American Fund Complex (1987-2010) and Chair (1997-2010).

238

 

Nuveen Investments
41

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Board Members & Officers (Unaudited) (continued)

Name, Birthdate and Address

Position(s) Held with the Funds

Year First Elected or Appointed and Term(1)

Principal Occupation(s) Including other Directorships During Past 5 Years

Number of Portfolios in Fund Complex Overseen by Board Member

Independent Board Members (continued):

g TERENCE J. TOTH(2)

9/29/59 333 W. Wacker Drive Chicago, IL 60606

Board Member

2008 Class II

Director, Legal & General Investment Management America, Inc. (since 2008); Managing Partner, Promus Capital (since 2008); formerly, CEO and President, Northern Trust Global Investments (2004-2007); Executive Vice President, Quantitative Management & Securities Lending (2000-2004); prior thereto, various positions with Northern Trust Company (since 1994); member: Goodman Theatre Board (since 2004), Chicago Fellowship Board (since 2005) and Catalyst Schools of Chicago Board (since 2008); formerly, member: Northern Trust Mutual Funds Board (2005-2007), Northern Trust Global Investments Board (2004-2007), Northern Trust Japan Board (2004-2007), Northern Trust Securities Inc. Board (2003-2007) and Northern Trust Hong Kong Board (1997-2004).

238

Interested Board Member:

g JOHN P. AMBOIAN(3)

6/14/61 333 W. Wacker Drive Chicago, IL 60606

Board Member

2008 Class II

Chief Executive Officer and Chairman (since 2007) and Director (since 1999) of Nuveen Investments, Inc., formerly, President (1999-2007); Chief Executive Officer (since 2007) of Nuveen Investments Advisers, Inc.; Director (since 1998) formerly, Chief Executive Officer (2007-2010) of Nuveen Fund Advisors, Inc.

238

Name, Birthdate and Address

Position(s) Held with the Funds

Year First Elected or Appointed(4)

Principal Occupation(s) During Past 5 Years

Number of Portfolios in Fund Complex Overseen by Officer

Officers of the Funds:

g GIFFORD R. ZIMMERMAN

9/9/56 333 W. Wacker Drive Chicago, IL 60606

Chief Administrative Officer

1988

Managing Director (since 2002), Assistant Secretary and Associate General Counsel of Nuveen Securities, LLC; Managing Director (since 2004) and Assistant Secretary (since 1994) of Nuveen Investments, Inc.; Managing Director (since 2002), Assistant Secretary (since 1997) and Co-General Counsel (since 2011) of Nuveen Fund Advisors, Inc.; Managing Director, Assistant Secretary and Associate General Counsel of Nuveen Asset Management, LLC (since 2011); Managing Director, Associate General Counsel and Assistant Secretary, of Symphony Asset Management LLC (since 2003); Vice President and Assistant Secretary of NWQ Investment Management Company, LLC (since 2002), Nuveen Investments Advisers Inc. (since 2002), Tradewinds Global Investors LLC, and Santa Barbara Asset Management, LLC (since 2006), Nuveen HydePark Group LLC and Nuveen Investment Solutions, Inc. (since 2007) and of Winslow Capital Management Inc. (since 2010); Chief Administrative Officer and Chief Compliance Officer (since 2006) of Nuveen Commodities Asset Management, LLC; Chartered Financial Analyst.

238

 

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Name, Birthdate and Address

Position(s) Held with the Funds

Year First Elected or Appointed(4)

Principal Occupation(s) During Past 5 Years

Number of Portfolios in Fund Complex Overseen by Officer

Officers of the Funds (continued):

g WILLIAM ADAMS IV

6/9/55 333 W. Wacker Drive Chicago, IL 60606

Vice President

2007

Senior Executive Vice President, Global Structured Products (since 2010), formerly, Executive Vice President (1999-2010) of Nuveen Securities, LLC; Co-President of Nuveen Fund Advisors, Inc. (since 2011); President (since August 2011), formerly, Managing Director (2010-2011) of Nuveen Commodities Asset Management, LLC.

133

g CEDRIC H. ANTOSIEWICZ

1/11/62 333 W. Wacker Drive Chicago, IL 60606

Vice President

2007

Managing Director of Nuveen Securities, LLC.

133

g MARGO L. COOK

4/11/64 333 W. Wacker Drive Chicago, IL 60606

Vice President

2009

Executive Vice President (since 2008) of Nuveen Investments, Inc. and of Nuveen Fund Advisors, Inc. (since 2011); Managing Director-Investment Services of Nuveen Commodities Asset Management, LLC (since August 2011), previously, Head of Institutional Asset Management (2007-2008) of Bear Stearns Asset Management; Head of Institutional Asset Management (1986-2007) of Bank of NY Mellon; Chartered Financial Analyst.

238

g LORNA C. FERGUSON

10/24/45 333 W. Wacker Drive Chicago, IL 60606

Vice President

1998

Managing Director (since 2005) of Nuveen Fund Advisors, Inc. and Nuveen Securities, LLC (since 2004).

238

g STEPHEN D. FOY

5/31/54 333 W. Wacker Drive Chicago, IL 60606

Vice President and Controller

1998

Senior Vice President (since 2010), formerly, Vice President (2005-2010) and Funds Controller of Nuveen Securities, LLC; Vice President of Nuveen Fund Advisors, Inc.; Chief Financial Officer of Nuveen Commodities Asset Management, LLC; (since 2010) Certified Public Accountant.

238

g SCOTT S. GRACE

8/20/70 333 W. Wacker Drive Chicago, IL 60606

Vice President and Treasurer

2009

Managing Director, Corporate Finance & Development, Treasurer (since 2009) of Nuveen Securities, LLC; Managing Director and Treasurer (since 2009) of Nuveen Fund Advisors, Inc., Nuveen Investment Solutions, Inc., Nuveen Investments Advisers, Inc., Nuveen Investments Holdings Inc. and (since 2011) Nuveen Asset Management, LLC; Vice President and Treasurer of NWQ Investment Management Company, LLC, Tradewinds Global Investors, LLC, Symphony Asset Management LLC and Winslow Capital Management, Inc.; Vice President of Santa Barbara Asset Management, LLC; formerly, Treasurer (2006-2009), Senior Vice President (2008-2009), previously, Vice President (2006-2008) of Janus Capital Group, Inc.; formerly, Senior Associate in Morgan Stanley's Global Financial Services Group (2000-2003); Chartered Accountant Designation.

238

 

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Board Members & Officers (Unaudited) (continued)

Name, Birthdate and Address

Position(s) Held with the Funds

Year First Elected or Appointed(4)

Principal Occupation(s) During Past 5 Years

Number of Portfolios in Fund Complex Overseen by Officer

Officers of the Funds (continued):

g WALTER M. KELLY

2/24/70 333 W. Wacker Drive Chicago, IL 60606

Chief Compliance Officer and Vice President

2003

Senior Vice President (since 2008) and Assistant Secretary (since 2003) of Nuveen Fund Advisors, Inc.

238

g TINA M. LAZAR

8/27/61 333 W. Wacker Drive Chicago, IL 60606

Vice President

2002

Senior Vice President (since 2010), formerly, Vice President (2005-2010) of Nuveen Fund Advisors, Inc.

238

g KEVIN J. MCCARTHY

3/26/66 333 W. Wacker Drive Chicago, IL 60606

Vice President and Secretary

2007

Managing Director (since 2008), formerly, Vice President (2007-2008), Nuveen Securities, LLC; Managing Director (since 2008), Assistant Secretary (since 2007) and Co-General Counsel (since 2011) of Nuveen Fund Advisors, Inc.; Managing Director, Assistant Secretary and Associate General Counsel (since 2011) of Nuveen Asset Management, LLC; Managing Director (since 2008), and Assistant Secretary, Nuveen Investment Holdings, Inc.; Vice President (since 2007) and Assistant Secretary of Nuveen Investments Advisers Inc., NWQ Investment Management Company, LLC, Tradewinds Global Investors LLC, NWQ Holdings, LLC, Symphony Asset Management LLC, Santa Barbara Asset Management, LLC, Nuveen HydePark Group, LLC, Nuveen Investment Solutions, Inc. (since 2007) and of Winslow Capital Management, Inc. (since 2010); Vice President and Secretary (since 2010) of Nuveen Commodities Asset Management, LLC; prior thereto, Partner, Bell, Boyd & Lloyd LLP (1997-2007).

238

g KATHLEEN L. PRUDHOMME

3/30/53 901 Marquette Avenue Minneapolis, MN 55402

Vice President and Assistant Secretary

2011

Managing Director, Assistant Secretary and Co-General Counsel (since 2011) of Nuveen Fund Advisors, Inc.; Managing Director, Assistant Secretary and Associate General Counsel (since 2011) of Nuveen Asset Management, LLC; Managing Director and Assistant Secretary (since 2011) of Nuveen Securities, LLC; formerly, Deputy General Counsel, FAF Advisors, Inc. (2004-2010).

238

 

(1)  The Board Members serve three year terms. The Board of Trustees is divided into three classes. Class I, Class II, and Class III, with each being elected to serve until the third succeeding annual shareholders' meeting subsequent to its election or thereafter in each case when its respective successors are duly elected or appointed. The first year elected or appointed represents the year in which the board member was first elected or appointed to any fund in the Nuveen Complex.

(2)  Also serves as a trustee of the Nuveen Diversified Commodity Fund, an exchange-traded commodity pool managed by Nuveen Commodities Asset Management, LLC, an affiliate of the Adviser.

(3)  Mr. Amboian is an interested Trustee because of his position with Nuveen Investments, Inc. and certain of its subsidiaries, which are affiliates of the Nuveen Funds.

(4)  Officers serve one year terms through August of each year. The year first elected or appointed represents the year in which the Officer was first elected or appointed to any fund in the Nuveen Complex.

 

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Reinvest Automatically
Easily and Conveniently

Nuveen makes reinvesting easy. A phone call is all it takes to set up your reinvestment account.

Nuveen Closed-End Funds Automatic Reinvestment Plan

Your Nuveen Closed-End Fund allows you to conveniently reinvest distributions in additional Fund shares.

By choosing to reinvest, you'll be able to invest money regularly and automatically, and watch your investment grow through the power of compounding. Just like distributions in cash, there may be times when income or capital gains taxes may be payable on distributions that are reinvested.

It is important to note that an automatic reinvestment plan does not ensure a profit, nor does it protect you against loss in a declining market.

Easy and convenient

To make recordkeeping easy and convenient, each quarter you'll receive a statement showing your total distributions, the date of investment, the shares acquired and the price per share, and the total number of shares you own.

How shares are purchased

The shares you acquire by reinvesting will either be purchased on the open market or newly issued by the Fund. If the shares are trading at or above net asset value at the time of valuation, the Fund will issue new shares at the greater of the net asset value or 95% of the then-current market price. If the shares are trading at less than net asset value, shares for your account will be purchased on the open market. If the Plan Agent begins purchasing Fund shares on the open market while shares are trading below net asset value, but the Fund's shares subsequently trade at or above their net asset value before the Plan Agent is able to complete its purchases, the Plan Agent may cease open-market purchases and may invest the uninvested portion of the distribution in newly-issued Fund shares at a price equal to the greater of the shares' net asset value or 95% of the shares' market value on the last business day immediately prior to the purchase date. Distributions received to purchase shares in the open market will normally be invested shortly after the distribution payment date. No interest will be paid on distributions awaiting reinvestment. Because the market price of the shares may increase before purchases are completed, the average purchase price per share may exceed the market price at the time of valuation, resulting in the acquisition of fewer shares than if the distribution had been paid in shares issued by the Fund. A pro rata portion of any applicable brokerage commissions on open market purchases will be paid

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Reinvest Automatically
Easily and Conveniently (continued)

by Plan participants. These commissions usually will be lower than those charged on individual transactions.

Flexible

You may change your distribution option or withdraw from the Plan at any time, should your needs or situation change.

You can reinvest whether your shares are registered in your name, or in the name of a brokerage firm, bank, or other nominee. Ask your financial advisor if his or her firm will participate on your behalf. Participants whose shares are registered in the name of one firm may not be able to transfer the shares to another firm and continue to participate in the Plan.

The Fund reserves the right to amend or terminate the Plan at any time. Although the Fund reserves the right to amend the Plan to include a service charge payable by the participants, there is no direct service charge to participants in the Plan at this time.

Call today to start reinvesting distributions

For more information on the Nuveen Automatic Reinvestment Plan or to enroll in or withdraw from the Plan, speak with your financial advisor or call us at (800) 257-8787.

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Glossary of Terms
Used in this Report

•  Average Annual Total Return: This is a commonly used method to express an investment's performance over a particular, usually multi-year time period. It expresses the return that would have been necessary each year to equal the investment's actual cumulative performance (including change in NAV or market price and reinvested dividends and capital gains distributions, if any) over the time period being considered.

•  Collateralized Debt Obligations (CDOs): Collateralized debt obligations are a type of asset-backed security constructed from a portfolio of fixed-income assets. CDOs usually are divided into different tranches having different ratings and paying different interest rates. Losses, if any, are applied in reverse order of seniority and so junior tranches generally offer higher coupons to compensate for added default risk.

•  Comparative Benchmark: A blended return comprised of: 1) 56% of the return of the Russell 3000 Value Index, which measures the performance of those Russell 3000 Index companies with lower price-to book ratios and lower forecasted growth values, 2) 16% of the return of the MSCI EAFE ex-Japan Value Index, a capitalization weighted index that selects the lower 50% of the price-to-book ranked value stocks traded in the developed markets of Europe, Asia and the Far East, excluding Japan, 3) 8% of the return of the Merrill Lynch DRD (dividends received deduction) Preferred Index, which consists of investment-grade, DRD-eligible, exchange-traded preferred stocks with one year or more to maturity, and 4) 20% of the return of the CSFB Leveraged Loan Index, which consists of approximately $150 billion of tradable term loans with at least one year to maturity and rated BBB or lower. Index returns assume the reinvestment of distributions, but do not include the effects of any applicable sales charges or management fees. It is not possible to invest directly in an index.

•  Current Distribution Rate: 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 calendar year the Fund's cumulative net ordinary income and net realized gains are less than the amount of the Fund's distributions, a tax return of capital.

•  Effective Leverage: Effective leverage is a Fund's effective economic leverage, and includes both regulatory leverage and the leverage effects of certain derivative investments in the Fund's portfolio.

•  Leverage: Using borrowed money to invest in securities or other assets.

•  Net Asset Value (NAV): The net market value of all securities held in a portfolio.

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Glossary of Terms
Used in this Report (continued)

•  Net Asset Value (NAV) Per Share: The market value of one share of a mutual fund or closed-end fund. For a Fund, the NAV is calculated daily by taking the Fund's total assets (securities, cash, and accrued earnings), subtracting the Fund's liabilities, and dividing by the number of shares outstanding.

•  Regulatory Leverage: Regulatory Leverage consists of preferred shares or debt issued by the Fund. Both of these are part of the Fund's capital structure. Regulatory leverage is sometimes referred to as "'40 Act Leverage" and is subject to asset coverage limits set in the Investment Company Act of 1940.

•  S&P 500 Index: An unmanaged index generally considered representative of the U.S. stock market. Index returns assume reinvestment of distributions, but do not include the effects of any applicable sales charges or management fees. It is not possible to invest directly in an index.

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Notes

Nuveen Investments
49

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Notes

Nuveen Investments
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Other Useful Information

Board of Trustees

John P. Amboian
Robert P. Bremner
Jack B. Evans
William C. Hunter
David J. Kundert
William J. Schneider
Judith M. Stockdale
Carole E. Stone
Virginia L. Stringer
Terence J. Toth

Fund Manager

Nuveen Fund Advisors, Inc.
333 West Wacker Drive
Chicago, IL 60606

Custodian

State Street Bank & Trust Company
Boston, MA

Transfer Agent and
Shareholder Services

State Street Bank & Trust Company
Nuveen Funds
P.O. Box 43071
Providence, RI 02940-3071
(800) 257-8787

Legal Counsel

Chapman and Cutler LLP
Chicago, IL

Independent Registered
Public Accounting Firm

Ernst & Young LLP
Chicago, IL

Quarterly Portfolio of Investments and Proxy Voting Information

You may obtain (i) the Fund's quarterly portfolio of investments, (ii) information regarding how the Fund voted proxies relating to portfolio securities held during the most recent twelve-month period ended June 30, and (iii) a description of the policies and procedures that the Fund used to determine how to vote proxies relating to portfolio securities without charge, upon request, by calling Nuveen Investments toll-free at (800) 257-8787 or on Nuveen's website at www.nuveen.com.

You may also obtain this and other Fund information directly from the Securities and Exchange Commission (SEC). The SEC may charge a copying fee for this information. Visit the SEC on-line at http://www.sec.gov or in person at the SEC's Public Reference Room in Washington, D.C. Call the SEC at (202) 942-8090 for room hours and operation. You may also request Fund information by sending an e-mail request to publicinfo@sec.gov or by writing to the SEC's Public Reference Section at 100 F Street NE, Washington, D.C. 20549.

CEO Certification Disclosure

The Fund's Chief Executive Officer has submitted to the New York Stock Exchange (NYSE) the annual CEO certification as required by Section 303A.12(a) of the NYSE Listed Company Manual.

The Fund has filed with the SEC the certification of its Chief Executive Officer and Chief Financial Officer required by Section 302 of the Sarbanes-Oxley Act.

Distribution Information

The Fund hereby designates its percentages of dividends paid from net ordinary income as dividends qualifying for the 70% dividends received deduction (DRD) for corporations and its percentages as qualified dividend income (QDI) for individuals under Section 1(h)(11) of the Internal Revenue Code as shown in the accompanying table. The actual qualified dividend income distributions will be reported to shareholders on Form 1099-DIV which will be sent to shareholders shortly after calendar year end.

				% of DRD				% of QDI
JTA					61.59	%			87.96	%

 

Common Share Information

The Fund intends to repurchase shares of its own common stock in the future at such times and in such amounts as is deemed advisable. During the period covered by this report, the Fund repurchased shares of its common stock as shown in the accompanying table.

				Common Shares Repurchased
JTA					30,062

 

Any future repurchases will be reported to shareholders in the next annual or semi-annual report.

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Nuveen Investments:
Serving Investors for Generations

Since 1898, financial advisors and their clients have relied on Nuveen Investments to provide dependable investment solutions through continued adherence to proven, long-term investing principles. Today, we offer a range of high quality equity and fixed-income solutions designed to be integral components of a well-diversified core portfolio.

Focused on meeting investor needs.

Nuveen Investments provides high-quality investment services designed to help secure the long-term goals of institutional and individual investors as well as the consultants and financial advisors who serve them. Nuveen Investments markets a wide range of specialized investment solutions which provide investors access to capabilities of its high-quality boutique investment affiliates—Nuveen Asset Management, Symphony Asset Management, NWQ Investment Management Company, Santa Barbara Asset Management, Tradewinds Global Investors, Winslow Capital Management and Gresham Investment Management. In total, Nuveen Investments managed $220 billion as of December 31, 2011.

Find out how we can help you.

To learn more about how the products and services of Nuveen Investments may be able to help you meet your financial goals, talk to your financial advisor, or call us at (800) 257-8787. Please read the information provided carefully before you invest. Investors should consider the investment objective and policies, risk considerations, charges and expenses of any investment carefully. Where applicable, be sure to obtain a prospectus, which contains this and other relevant information. To obtain a prospectus, please contact your securities representative or Nuveen Investments, 333 W. Wacker Dr., Chicago, IL 60606. Please read the prospectus carefully before you invest or send money.

Learn more about Nuveen Funds at: www.nuveen.com/cef

Distributed by
Nuveen Securities, LLC
333 West Wacker Drive
Chicago, IL 60606
www.nuveen.com/cef

_EAN-C-1211D

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