Edgar Filing: NUVEEN TAX ADVANTAGED TOTAL RETURN STRATEGY FUND

Nuveen Tax-Advantaged Total Return Strategy Fund

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-21471

Nuveen Tax-Advantaged Total Return Strategy Fund

(Exact name of registrant as specified in charter)

333 West Wacker Drive, Chicago, Illinois 60606

(Address of principal executive offices) (Zip code)

Gifford R. Zimmerman—Vice President and Secretary

333 West Wacker Drive, Chicago, Illinois 60606

(Name and address of agent for service)

Registrant’s telephone number, including area code: 312-917-7700

Date of fiscal year end: December 31

Date of reporting period: March 31, 2018

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

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

Item 1. Schedule of Investments

JTA

Nuveen Tax-Advantaged Total
Return Strategy Fund

Portfolio of Investments March 31, 2018

(Unaudited)


Shares		Description (1)	Value

		LONG-TERM INVESTMENTS – 143.9% (95.8% of Total Investments)

		COMMON STOCKS – 100.7% (67.0% of Total Investments)

		Air Freight & Logistics – 1.6%

	69,870	Deutsche Post AG, (2)	$	3,060,255

		Airlines – 1.8%

	62,400	Delta Air Lines, Inc., (3)		3,420,144

		Automobiles – 1.7%

	37,630	Daimler AG, (2)		3,206,076

		Banks – 18.5%

	1,056,555	AIB Group PLC		6,359,785
	466,717	Bank of Ireland Group PLC, (2)		4,073,821
	99,000	CIT Group Inc., (3)		5,098,500
	88,900	Citigroup Inc., (3)		6,000,750
	287,490	ING Groep N.V., ADR, (3)		4,867,206
	28,232	JP Morgan Chase & Co.		3,104,673
	68,425	The Bank of NT Butterfield and Son Limited, (3)		3,070,914
	1,598,000	Unicaja Banco SA, 144A, (2), (4)		2,754,070
		Total Banks		35,329,719

		Biotechnology – 1.6%

	40,590	Gilead Sciences, Inc.		3,060,080

		Capital Markets – 7.0%

	151,000	Ares Capital Corporation, (3)		2,396,370
	46,000	Aurelius AG, (2)		3,208,109
	277,000	Deutsche Boerse AG, ADR, (2), (3)		3,775,510
	224,200	UBS Group AG, (2)		3,950,162
		Total Capital Markets		13,330,151

		Chemicals – 4.5%

	270,000	CVR Partners LP, (3)		877,500
	120,200	DowDuPont, Inc., (3)		7,657,942
		Total Chemicals		8,535,442

		Diversified Financial Services – 1.4%

	291,000	Challenger Limited, (2)		2,606,143

		Diversified Telecommunication Services – 4.3%

	103,045	Nippon Telegraph and Telephone Corporation, ADR, (2)		4,796,745
	2,300	Nippon Telegraph and Telephone Corporation, (2)		105,916
	211,400	Telefonica Brasil SA		3,227,237
		Total Diversified Telecommunication Services		8,129,898

		Electric Utilities – 2.4%

	135,020	FirstEnergy Corp., (5)		4,592,030

		Electrical Equipment – 1.3%

	29,980	Eaton PLC, (3)		2,395,702

		Energy Equipment & Services – 0.0%

	3,347	Ocean Rig UDW Inc., (4)		84,445


JTA		Nuveen Tax-Advantaged Total Return Strategy Fund (continued)
JTA		Portfolio of Investments March 31, 2018
		(Unaudited)


Shares		Description (1)	Value

		Equity Real Estate Investment Trusts – 0.8%

	257,900	Colony Northstar, Inc.	$	1,449,398

		Food Products – 1.7%

	300,534	Orkla ASA, ADR, (2)		3,250,275

		Gas Utilities – 1.1%

	365,700	Italgas SPA, (2)		2,185,181

		Health Care Providers & Services – 0.0%

	6,594	Millennium Health LLC, (4)		132

		Household Durables – 2.0%

	204,800	Sekisui House, Ltd., (2)		3,737,809

		Industrial Conglomerates – 2.6%

	62,000	General Electric Company, (3)		835,760
	32,655	Siemens AG, (2)		4,166,689
		Total Industrial Conglomerates		5,002,449

		Insurance – 9.6%

	92,525	Ageas, (2)		4,774,708
	165,400	Allinaz S.E, ADR, (2), (3)		3,752,926
	54,285	CNA Financial Corporation, (3)		2,678,965
	83,655	NN Group NV, (2)		3,716,786
	24,020	Renaissance Re Holdings, Limited, (3)		3,327,010
		Total Insurance		18,250,395

		Media – 2.2%

	2,099	Metro-Goldwyn-Mayer, (4)		203,603
	156,400	National CineMedia, Inc.		811,716
	3,185	Tribune Media Company		318
	100,200	Viacom Inc., Class B, (3)		3,112,212
		Total Media		4,127,849

		Multi-Utilities – 3.3%

	263,600	Veolia Environment S.A., (2)		6,262,442

		Oil, Gas & Consumable Fuels – 6.1%

	28,595	Chevron Corporation, (3)		3,260,974
	217,200	Enterprise Products Partnership LP, (3)		5,317,056
	9	Southcross Holdings Borrower LP, (4)		2,700
	53,050	Total SA, Sponsored ADR, (3)		3,060,454
		Total Oil, Gas & Consumable Fuels		11,641,184

		Pharmaceuticals – 8.0%

	77,000	AstraZeneca PLC, ADR		2,692,690
	171,600	GlaxoSmithKline PLC, ADR, (3)		6,704,412
	104,660	Roche Holdings AG, Sponsored ADR, (2)		2,995,893
	58,600	Takeda Chemical Industries, (2)		2,854,413
		Total Pharmaceuticals		15,247,408

		Real Estate Management & Development – 2.5%

	387,900	Great Eagle Holdings Limited, (2)		1,976,020
	1,781,500	Sino Land Company Limited, (2)		2,887,545
		Total Real Estate Management & Development		4,863,565

		Road & Rail – 1.9%

	26,396	Union Pacific Corporation, (3)		3,548,414


Shares		Description (1)											Value

		Semiconductors & Semiconductor Equipment – 3.3%

	216,700	Cypress Semiconductor Corporation											$	3,675,232
	95,485	Infineon Technologies AG, (2)												2,567,899
		Total Semiconductors & Semiconductor Equipment												6,243,131

		Software – 5.8%

	40,117	Microsoft Corporation, (3)												3,661,479
	163,900	Oracle Corporation, (3)												7,498,425
		Total Software												11,159,904

		Specialty Retail – 1.1%

	534,400	Kingfisher PLC, (2)												2,192,269

		Tobacco – 2.6%

	144,185	Imperial Brands PLC, ADR, (2)												4,996,010
		Total Common Stocks (cost $165,468,431)												191,907,900

Principal Amount (000)		Description (1)	Coupon (6)		Reference Rate (6)		Spread (6)		Maturity (7)		Ratings (8)		Value

		VARIABLE RATE SENIOR LOAN INTERESTS – 25.7% (17.1% of Total Investments) (6)

		Aerospace & Defense – 0.3%

$	491	Transdigm, Inc., Term Loan F		4.773%		1-Month LIBOR		2.750%		6/09/23		Ba2	$	493,239

		Airlines – 0.5%

	495	American Airlines, Inc., Term Loan B		3.777%		1-Month LIBOR		2.000%		12/14/23		BB+		495,931
	475	Delta Air Lines, Inc., Term Loan B1		4.322%		1-Month LIBOR		2.500%		10/18/18		Baa2		477,971
	970	Total Airlines												973,902

		Biotechnology – 0.4%

	743	Grifols, Inc., Term Loan B		3.986%		1-Week LIBOR		2.250%		1/31/25		BB		745,964

		Building Products – 0.2%

	432	Quikrete Holdings, Inc., Term Loan B		4.627%		1-Month LIBOR		2.750%		11/15/23		BB–		434,684

		Capital Markets – 0.3%

	488	RPI Finance Trust, Term Loan B6		4.302%		3-Month LIBOR		2.000%		3/27/23		BBB–		490,824

		Chemicals – 1.1%

	655	Axalta Coating Systems, Term Loan, First Lien		4.302%		3-Month LIBOR		2.000%		6/01/24		BBB–		657,183
	498	H.B. Fuller Company, Term Loan B		4.072%		1-Month LIBOR		2.250%		10/20/24		BB+		500,517
	199	Mineral Technologies, Inc., Term Loan B2		4.750%		N/A		N/A		5/07/21		BB+		202,112
	668	Univar, Inc., Term Loan B		4.377%		1-Month LIBOR		2.500%		7/01/24		BB		673,220
	2,020	Total Chemicals												2,033,032

		Commercial Services & Supplies – 0.1%

	231	West Corporation, Term Loan B, (DD1)		5.877%		1-Month LIBOR		4.000%		10/10/24		BB+		233,864

		Communications Equipment – 0.1%

	192	CommScope, Inc., Term Loan B		3.877%		1-Month LIBOR		2.000%		12/29/22		Baa3		193,372

		Containers & Packaging – 0.9%

	372	Berry Global, Inc., Term Loan Q		3.823%		1-Month LIBOR		2.000%		10/01/22		BBB–		374,166
	1,258	Reynolds Group Holdings, Inc., Term Loan, First Lien		4.627%		1-Month LIBOR		2.750%		2/05/23		B+		1,265,195
	1,630	Total Containers & Packaging												1,639,361

		Diversified Financial Services – 0.3%

	7	Fieldwood Energy LLC, DIP Term Loan, (11)		1.000%		N/A		N/A		8/15/18		N/R		7,073
	169	Travelport LLC, Term Loan B		4.401%		2-Month LIBOR		2.500%		3/09/25		B+		170,001
	410	Veritas US, Inc., Term Loan B1		6.802%		3-Month LIBOR		4.500%		1/27/23		B+		409,426
	586	Total Diversified Financial Services												586,500


JTA		Nuveen Tax-Advantaged Total Return Strategy Fund (continued)
JTA		Portfolio of Investments March 31, 2018
		(Unaudited)



Principal Amount (000)		Description (1)	Coupon (6)		Reference Rate (6)		Spread (6)		Maturity (7)		Ratings (8)		Value

		Diversified Telecommunication Services – 0.8%

$	997	CenturyLink, Inc., Term Loan B		4.627%		1-Month LIBOR		2.750%		1/31/25		BBB–	$	982,852
	261	Intelsat Jackson Holdings, S.A., Term Loan B		5.706%		3-Month LIBOR		3.750%		11/30/23		B1		261,534
	40	Intelsat Jackson Holdings, S.A., Term Loan B4		6.456%		3-Month LIBOR		4.500%		1/02/24		B1		41,229
	64	Intelsat Jackson Holdings, S.A., Term Loan B5		6.625%		N/A		N/A		1/02/24		B1		64,934
	262	WideOpenWest Finance LLC, Term Loan B		5.104%		1-Month LIBOR		3.250%		8/18/23		B		257,210
	1,624	Total Diversified Telecommunication Services												1,607,759

		Electric Utilities – 0.3%

	402	Vistra Operations Co., Term Loan B		4.377%		1-Month LIBOR		2.500%		8/04/23		BB+		405,180
	71	Vistra Operations Co., Term Loan C		4.377%		1-Month LIBOR		2.500%		8/04/23		BB+		71,984
	473	Total Electric Utilities												477,164

		Energy Equipment & Services – 0.0%

	15	Ocean Rig UDW, Inc., Term Loan		8.000%		N/A		N/A		9/20/24		B		15,658

		Equity Real Estate Investment Trusts – 0.2%

	326	Communications Sales & Leasing, Inc., Shortfall Term Loan		4.877%		1-Month LIBOR		3.000%		10/24/22		BB+		314,840

		Food & Staples Retailing – 0.4%

	811	Albertson’s LLC, Term Loan B4		4.627%		1-Month LIBOR		2.750%		8/25/21		Ba2		802,162

		Food Products – 0.6%

	573	Jacobs Douwe Egberts, Term Loan B		4.063%		3-Month LIBOR		2.250%		7/04/22		BB		575,791
	577	US Foods, Inc., Term Loan B		4.377%		1-Month LIBOR		2.500%		6/27/23		BBB–		581,776
	1,150	Total Food Products												1,157,567

		Health Care Equipment & Supplies – 0.2%

	441	Acelity, Term Loan B		5.552%		3-Month LIBOR		3.250%		2/02/24		B1		443,304

		Health Care Providers & Services – 1.8%

	249	Air Medical Group Holdings, Inc., Term Loan B		6.015%		1-Month LIBOR		4.250%		3/14/25		B1		251,830
	156	Community Health Systems, Inc., Term Loan G		4.734%		3-Month LIBOR		3.000%		12/31/19		B2		152,415
	278	Community Health Systems, Inc., Term Loan H		4.984%		3-Month LIBOR		3.250%		1/27/21		B2		267,549
	800	DaVita HealthCare Partners, Inc., Tranche B, Term Loan		4.627%		1-Month LIBOR		2.750%		6/24/21		BBB–		808,513
	319	Envision Healthcare Corporation, Term Loan B, First Lien		4.880%		1-Month LIBOR		3.000%		12/01/23		BB–		321,066
	1,239	HCA, Inc., Term Loan B10		3.877%		1-Month LIBOR		2.000%		3/13/25		BBB–		1,249,954
	47	HCA, Inc., Term Loan B11		3.627%		1-Month LIBOR		1.750%		3/17/23		BBB–		47,077
	328	Millennium Laboratories, Inc., Term Loan B, First Lien		8.377%		1-Month LIBOR		6.500%		12/21/20		CCC+		95,238
	250	PharMerica, Term Loan, First Lien		5.211%		1-Month LIBOR		3.500%		12/06/24		B1		251,303
	3,666	Total Health Care Providers & Services												3,444,945

		Health Care Technology – 0.4%

	743	Emdeon, Inc., Term Loan		4.627%		1-Month LIBOR		2.750%		3/01/24		Ba3		745,147

		Hotels, Restaurants & Leisure – 2.8%

	499	Aramark Corporation, Term Loan B1		3.877%		1-Month LIBOR		2.000%		3/11/25		BBB–		502,802
	1,269	Burger King Corporation, Term Loan B3		4.294%		1-Month LIBOR		2.250%		2/16/24		Ba3		1,271,061
	748	Caesars Resort Collection, Term Loan, First Lien		4.627%		1-Month LIBOR		2.750%		12/23/24		BB		753,945
	536	Hilton Hotels Corporation, Term Loan B2		3.872%		1-Month LIBOR		2.000%		10/25/23		BBB–		539,048
	735	MGM Growth Properties, Term Loan B		3.877%		1-Month LIBOR		2.000%		4/25/25		BB+		737,870
	1,128	Seaworld Parks and Entertainment, Inc., Term Loan B5		5.302%		3-Month LIBOR		3.000%		4/01/24		B		1,125,605
	493	YUM Brands, Term Loan B		3.644%		1-Month LIBOR		2.000%		3/28/25		BBB–		492,525
	5,408	Total Hotels, Restaurants & Leisure												5,422,856

		Household Products – 0.2%

	342	Spectrum Brands, Inc., Refinanced Term Loan		3.856%		2-Month LIBOR		2.000%		6/23/22		BBB–		343,062

		Independent Power & Renewable Electricity Producers – 0.1%

	135	Dynegy, Inc., Tranche Term Loan C2		4.604%		1-Month LIBOR		2.750%		2/07/24		Ba1		135,822



Principal Amount (000)		Description (1)	Coupon (6)		Reference Rate (6)		Spread (6)		Maturity (7)		Ratings (8)		Value

		Internet and Direct Marketing Retail – 0.3%

$	500	Uber Technologies, Inc., Term Loan, (WI/DD)		TBD		TBD		TBD		TBD		N/R	$	502,890

		IT Services – 2.3%

	825	First Data Corporation, Term Loan, First Lien		4.122%		1-Month LIBOR		2.250%		4/26/24		BB+		827,069
	376	Gartner, Inc., Term Loan A		3.877%		1-Month LIBOR		2.000%		3/21/22		Ba1		379,641
	247	Gartner, Inc., Term Loan B		3.877%		1-Month LIBOR		2.000%		4/05/24		BB+		249,434
	987	Leidos Holdings, Inc., Term Loan B		3.688%		1-Month LIBOR		1.750%		8/16/23		BBB–		994,783
	496	Tempo Acquisition LLC, Term Loan B		4.877%		1-Month LIBOR		3.000%		5/01/24		B1		499,275
	500	Vantiv, Inc., Term Loan B		3.777%		1-Month LIBOR		2.000%		8/09/24		BBB–		503,215
	472	Vantiv, Inc., Term Loan B		3.777%		1-Month LIBOR		2.000%		10/14/23		BBB–		475,099
	491	WEX, Inc., Term Loan B		4.127%		1-Month LIBOR		2.250%		7/01/23		BB–		495,207
	4,394	Total IT Services												4,423,723

		Leisure Products – 0.3%

	513	24 Hour Fitness Worldwide, Inc., Term Loan B		6.052%		3-Month LIBOR		3.750%		5/28/21		Ba3		518,121

		Life Sciences Tools & Services – 0.2%

	371	Inventiv Health, Inc., Term Loan B		4.127%		1-Month LIBOR		2.250%		8/01/24		BB–		373,240

		Machinery – 0.2%

	210	Gates Global LLC, Term Loan B		5.052%		3-Month LIBOR		2.750%		4/01/24		B+		211,397
	205	Rexnord LLC/ RBS Global, Inc., Term Loan, First Lien		4.111%		1-Month LIBOR		2.250%		8/21/24		BB+		206,564
	415	Total Machinery												417,961

		Media – 3.3%

	986	Cequel Communications LLC, Term Loan B		4.127%		1-Month LIBOR		2.250%		7/28/25		BB		986,123
	478	Charter Communications Operating Holdings LLC, Term Loan B		3.880%		1-Month LIBOR		2.000%		4/30/25		BBB–		479,864
	250	Cineworld Group PLC, Term Loan B		4.377%		1-Month LIBOR		2.500%		2/28/25		B1		249,966
	92	Clear Channel Communications, Inc., Term Loan E, (9)		9.702%		6-Month LIBOR		7.500%		7/30/19		Caa2		72,840
	747	Clear Channel Communications, Inc., Tranche D, Term Loan, (9)		8.785%		3-Month LIBOR		6.750%		1/30/19		Caa2		592,547
	659	Cumulus Media, Inc., Term Loan B, (9)		4.900%		1-Month LIBOR		3.250%		12/23/20		N/R		556,901
	424	Lions Gate Entertainment Corp., Term Loan B		4.104%		1-Month LIBOR		2.250%		3/20/25		Ba2		425,813
	667	Meredith, Term Loan B		4.877%		1-Month LIBOR		3.000%		1/31/25		Ba2		671,500
	42	Nexstar Broadcasting Group, Term Loan		4.164%		1-Month LIBOR		2.500%		1/17/24		BB+		42,045
	325	Nexstar Broadcasting Group, Term Loan B		4.164%		1-Month LIBOR		2.500%		1/17/24		BB+		326,496
	486	Springer Science & Business Media, Inc., Term Loan B13, First Lien		5.377%		1-Month LIBOR		3.500%		8/15/22		B		488,098
	1,484	Univision Communications, Inc., Term Loan C5		4.627%		1-Month LIBOR		2.750%		3/15/24		BB–		1,462,457
	6,640	Total Media												6,354,650

		Multiline Retail – 0.5%

	740	Dollar Tree, Inc., Term Loan B2		4.250%		N/A		N/A		7/06/22		Baa2		744,166
	250	EG America LLC, Term Loan, First Lien, (WI/DD)		TBD		TBD		TBD		TBD		B2		249,750
	990	Total Multiline Retail												993,916

		Oil, Gas & Consumable Fuels – 0.4%

	208	Fieldwood Energy LLC, Term Loan, First Lien, (9)		8.877%		1-Month LIBOR		7.000%		8/31/20		N/R		207,523
	122	Fieldwood Energy LLC, Term Loan, Second Lien, (9)		9.437%		6-Month LIBOR		7.125%		9/30/20		N/R		25,623
	294	Fieldwood Energy LLC, Term Loan, Second Lien, (cash 7.002%, PIK 2.000%), (9)		9.002%		1-Month LIBOR		7.125%		9/30/20		N/R		282,505
	162	Harvey Gulf International Marine, Inc., Term Loan, (WI/DD)		TBD		TBD		TBD		TBD		D		71,758
	22	Harvey Gulf International Marine, Inc., Term Loan A, (WI/DD)		TBD		TBD		TBD		TBD		D		9,779
	209	Harvey Gulf International Marine, Inc., Term Loan B, (DD1), (9)		0.000%		N/A		N/A		6/18/20		D		90,571
	9	Southcross Holdings Borrower L.P., Term Loan B, First Lien, (cash 3.500%, PIK 5.500%)		3.500%		N/A		N/A		4/13/23		CCC+		8,902
	1,026	Total Oil, Gas & Consumable Fuels												696,661


JTA		Nuveen Tax-Advantaged Total Return Strategy Fund (continued)
JTA		Portfolio of Investments March 31, 2018
		(Unaudited)



Principal Amount (000)		Description (1)	Coupon (6)		Reference Rate (6)		Spread (6)		Maturity (7)		Ratings (8)		Value

		Pharmaceuticals – 0.0%

$	31	Valeant Pharmaceuticals International, Inc., Term Loan B		5.240%		1-Month LIBOR		3.500%		4/01/22		BB–	$	30,935

		Professional Services – 0.7%

	510	Formula One Group, Term Loan B		4.377%		1-Month LIBOR		2.500%		2/01/24		B+		509,398
	395	Nielsen Finance LLC, Term Loan B4		3.718%		1-Month LIBOR		2.000%		10/04/23		BBB–		396,640
	500	On Assignment, Inc., Term Loan B, (WI/DD)		TBD		TBD		TBD		TBD		BB		502,503
	1,405	Total Professional Services												1,408,541

		Software – 2.9%

	472	BMC Software, Inc., Term Loan, First Lien		5.127%		1-Month LIBOR		3.250%		9/10/22		B+		474,585
	723	Ellucian, Term Loan B, First Lien		5.552%		3-Month LIBOR		3.250%		9/30/22		B		725,657
	609	Infor (US), Inc., Term Loan B		4.627%		1-Month LIBOR		2.750%		2/01/22		BB		610,750
	290	McAfee LLC, Term Loan		6.377%		1-Month LIBOR		4.500%		9/30/24		B1		293,284
	129	Micro Focus International PLC, New Term Loan		4.627%		1-Month LIBOR		2.750%		6/21/24		BB–		127,830
	871	Micro Focus International PLC, Term Loan B		4.627%		1-Month LIBOR		2.750%		6/21/24		BB–		863,265
	1,149	SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B3, (WI/DD)		TBD		TBD		TBD		TBD		BB		1,156,036
	410	SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B4, (WI/DD)		TBD		TBD		TBD		TBD		BB		412,396
	916	Tibco Software, Inc., Term Loan, First Lien		5.380%		1-Month LIBOR		3.500%		12/04/20		B1		920,001
	5,569	Total Software												5,583,804

		Specialty Retail – 0.2%

	462	Petco Animal Supplies, Inc., Term Loan B1		4.772%		3-Month LIBOR		3.000%		1/26/23		B2		340,738
	147	Petsmart Inc., Term Loan B, First Lien		4.680%		1-Month LIBOR		3.000%		3/11/22		B1		118,624
	609	Total Specialty Retail												459,362

		Technology Hardware, Storage & Peripherals – 1.0%

	742	Dell International LLC, Refinancing Term Loan B		3.880%		1-Month LIBOR		2.000%		9/07/23		BBB–		743,214
	1,066	Western Digital U.S., Term Loan B3		3.877%		1-Month LIBOR		2.000%		4/29/23		Baa2		1,073,116
	1,808	Total Technology Hardware, Storage & Peripherals												1,816,330

		Textiles, Apparel & Luxury Goods – 0.5%

	998	Hanesbrands, Term Loan B		3.627%		1-Month LIBOR		1.750%		12/16/24		BBB–		1,003,525

		Transportation Infrastructure – 0.5%

	879	Avolon, Repriced Term Loan B2		4.072%		1-Month LIBOR		2.250%		3/21/22		BBB–		880,775

		Wireless Telecommunication Services – 0.4%

	743	Sprint Corporation, Term Loan, First Lien		4.438%		1-Month LIBOR		2.500%		2/02/24		Ba2		743,506
$	49,808	Total Variable Rate Senior Loan Interests (cost $49,479,827)												48,942,968

Shares		Description (1)	Coupon								Ratings (8)		Value

		$25 PAR (OR SIMILAR) RETAIL PREFERRED – 6.7% (4.5% of Total Investments)

		Banks – 2.4%

	14,040	Boston Private Financial Holdings Inc.		6.950%								N/R	$	356,335
	3,250	Cobank Agricultural Credit Bank, 144A, (2)		6.125%								BBB+		329,875
	4,625	Cobank Agricultural Credit Bank, (2)		6.250%								BBB+		487,938
	18,622	Fifth Third Bancorp.		6.625%								Baa3		542,831
	9,986	First Republic Bank of San Francisco		7.000%								BBB–		261,633
	9,162	FNB Corporation		7.250%								Ba2		265,597
	4,450	HSBC Holdings PLC		8.000%								BBB+		116,323
	16,275	Huntington BancShares Inc.		6.250%								Baa3		443,494
	8,950	KeyCorp		6.125%								Baa3		252,569
	14,700	People’s United Financial, Inc., (3)		5.625%								BB+		384,258
	18,844	Regions Financial Corporation, (3)		6.375%								BB+		524,052
	4,631	Sterling Bancorp/De		6.500%								N/R		120,452
	19,300	U.S. Bancorp.		6.500%								A3		539,049
		Total Banks												4,624,406



Shares		Description (1)	Coupon				Ratings (8)		Value

		Capital Markets – 1.6%

	19,400	Charles Schwab Corporation, (3)		6.000%				BBB	$	505,176
	8,046	Charles Schwab Corporation		5.950%				BBB		210,725
	25,555	Ladenburg Thalmann Financial Services Inc.		8.000%				N/R		647,053
	31,825	Morgan Stanley		7.125%				BB+		918,469
	4,700	Morgan Stanley		6.375%				BB+		127,464
	19,900	Stifel Financial Corporation, (3)		6.250%				BB–		529,340
		Total Capital Markets								2,938,227

		Consumer Finance – 0.8%

	14,600	Capital One Financial Corporation, (3)		6.700%				Baa3		385,878
	46,000	GMAC Capital Trust I, (3)		5.785%				B+		1,195,080
		Total Consumer Finance								1,580,958

		Food Products – 0.5%

	5,757	CHS Inc.		7.875%				N/R		168,910
	16,594	CHS Inc.		7.100%				N/R		466,291
	13,405	CHS Inc.		6.750%				N/R		360,997
		Total Food Products								996,198

		Insurance – 0.9%

	25,089	Allstate Corporation		6.750%				BBB–		644,787
	10,972	Maiden Holdings Limited		8.250%				N/R		211,211
	9,470	National General Holding Company		7.500%				N/R		237,129
	8,175	National General Holding Company		7.500%				N/R		202,658
	13,882	PartnerRe Limited		7.250%				Baa2		385,920
		Total Insurance								1,681,705

		Thrifts & Mortgage Finance – 0.5%

	24,550	Federal Agricultural Mortgage Corporation		6.875%				N/R		638,055
	13,900	New York Community Bancorp Inc.		6.375%				Ba1		378,497
		Total Thrifts & Mortgage Finance								1,016,552
		Total $25 Par (or similar) Retail Preferred (cost $12,203,823)								12,838,046

Principal Amount (000)		Description (1)	Coupon		Maturity		Ratings (8)		Value

		$1,000 PAR (OR SIMILAR) INSTITUTIONAL PREFERRED – 6.7% (4.5% of Total Investments)

		Automobiles – 0.3%

$	655	General Motors Financial Company Inc.		5.750%		N/A (10)		BB+	$	643,537

		Banks – 3.7%

	425	Bank of America Corporation		6.500%		N/A (10)		BBB–		456,918
	25	Bank of America Corporation		6.300%		N/A (10)		BBB–		26,813
	625	CIT Group Inc., Series A		5.800%		N/A (10)		B+		625,000
	450	Citigroup Inc.		5.800%		N/A (10)		BB+		465,610
	700	Citigroup Inc.		6.250%		N/A (10)		BB+		739,375
	375	Citizens Financial Group Inc.		5.500%		N/A (10)		BB+		382,969
	50	Cobank Agricultural Credit Bank		6.250%		N/A (10)		BBB+		53,326
	350	Huntington Bancshares Inc./OH		5.700%		N/A (10)		Baa3		351,750
	250	JP Morgan Chase & Company		7.900%		N/A (10)		BBB–		251,275
	575	JP Morgan Chase & Company		6.750%		N/A (10)		BBB–		627,325
	250	JP Morgan Chase & Company		6.100%		N/A (10)		BBB–		262,500
	600	M&T Bank Corporation		6.450%		N/A (10)		Baa2		660,000
	700	PNC Financial Services Inc.		6.750%		N/A (10)		Baa2		759,850
	450	SunTrust Bank Inc.		5.625%		N/A (10)		Baa3		462,938
	475	Wells Fargo & Company		5.875%		N/A (10)		Baa2		499,700
	500	Zions Bancorporation		7.200%		N/A (10)		BB		540,000
	6,800	Total Banks								7,165,349


JTA		Nuveen Tax-Advantaged Total Return Strategy Fund (continued)
JTA		Portfolio of Investments March 31, 2018
		(Unaudited)



Principal Amount (000)		Description (1)	Coupon						Maturity		Ratings (8)		Value

		Capital Markets – 0.2%

$	275	Goldman Sachs Group Inc.		5.300%						N/A (10)		Ba1	$	275,688
	125	Morgan Stanley		5.550%						N/A (10)		BB+		128,878
	400	Total Capital Markets												404,566

		Consumer Finance – 0.7%

	640	Capital One Financial Corporation		5.550%						N/A (10)		Baa3		655,200
	625	Discover Financial Services		5.500%						N/A (10)		BB–		610,937
	1,265	Total Consumer Finance												1,266,137

		Food Products – 1.3%

	2,146	Land O’ Lakes Incorporated, 144A		8.000%						N/A (10)		BB		2,406,202

		Industrial Conglomerates – 0.4%

	690	General Electric Capital Corporation		5.000%						N/A (10)		A–		683,100

		Insurance – 0.1%

	250	Progressive Corp/The		5.375%						N/A (10)		BBB+		252,812
$	12,206	Total $1,000 Par (or similar) Institutional Preferred (cost $12,424,911)												12,821,703

Shares		Description (1)	Coupon		Issue Price		Cap Price		Maturity				Value

		STRUCTURED NOTES – 3.4% (2.3% of Total Investments)

	168	JPMorgan Chase & Co., Mandatory Exchangeable Note, Linked to Class A Common Stock of First Data Corp. (Cap 110.12% of Issue Price), 144A		8.000%	$	16.6770	$	18.3647		6/19/18			$	2,669,520
	40	JPMorgan Chase & Co., Mandatory Exchangeable Note, Linked to the Common Stock of Delta Air Lines, Inc. (Cap 115.38% of Issue Price)		8.000%	$	55.5165	$	64.0549		7/24/18				2,210,560
	25	JPMorgan Chase & Co., Mandatory Exchangeable Note, Linked to the Common Stock of Qorvo, Inc. (Cap 114.56% of Issue Price), 144A		10.000%	$	66.2300	$	75.8731		7/24/18				1,706,991
		Total Structured Notes (cost $6,705,484)												6,587,071

Shares		Description (1)	Coupon								Ratings (8)		Value

		CONVERTIBLE PREFERRED SECURITIES – 0.6% (0.4% of Total Investments)

		Banks – 0.6%

	525	Bank of America Corporation		7.250%								BBB–	$	676,961
	425	Wells Fargo & Company, (3)		7.500%								Baa2		548,250
		Total Convertible Preferred Securities (cost $1,148,608)												1,225,211

Principal Amount (000)		Description (1)	Coupon						Maturity		Ratings (8)		Value

		CORPORATE BONDS – 0.1% (0.0% of Total Investments)

		Media – 0.1%

$	133	iHeartCommunications, Inc., (9)		9.000%						12/15/19		Caa2	$	104,904
$	133	Total Corporate Bonds (cost $125,107)												104,904

Shares		Description (1)											Value

		COMMON STOCK RIGHTS – 0.0% (0.0% of Total Investments)

		Banks – 0.0%

	103	Fieldwood Energy Inc.											$	2,403
	103	Fieldwood Energy Inc., (4)												2,403
		Total Banks												4,806
		Total Common Stock Rights (cost $4,806)												4,806
		Total Long-Term Investments (cost $247,560,997)												274,432,609

Principal
Amount (000)/
Shares

Description (1)

Coupon

Maturity

Value

SHORT-TERM INVESTMENTS – 6.3% (4.2% of Total Investments)

REPURCHASE AGREEMENTS – 4.5% (3.0% of Total Investments)

8,540

Repurchase Agreement with Fixed Income Clearing Corporation,
dated 3/29/18, repurchase price $8,541,192,
collateralized by $8,875,000 U.S. Treasury Notes,
2.250%, due 10/31/24, value 8,714,513

0.740%

4/02/18

8,540,490

INVESTMENT COMPANIES – 1.8% (1.2% of Total Investments)

3,453,530

BlackRock Liquidity Funds T-Fund Portfolio, (12)

1.553%

(13)

N/A

3,453,530

Total Short-Term Investments (cost $11,994,020)

11,994,020

Total Investments (cost $259,555,017) – 150.2%

286,426,629

Borrowings – (49.0)% (14), (15)

(93,500,000

)

Other Assets Less Liabilities – (1.2)% (16)

(2,267,961

)

Net Assets Applicable to Common Shares – 100%

190,658,668

Investments in Derivatives

Interest Rate Swaps – OTC Uncleared

Counterparty

Notional
Amount

Fund
Pay/Receive
Floating Rate

Floating Rate Index

Fixed Rate
(Annualized)

Fixed Rate
Payment
Frequency

Effective
Date (17)

Optional
Termination
Date

Maturity
Date

Value

Unrealized
Appreciation
(Depreciation)

JPMorgan Chase Bank N.A.

41,800,000

Receive

1-Month LIBOR

1.969

Monthly

6/01/18

7/01/25

7/01/27

1,532,093

Fair Value Measurements

Fair value is defined as the price that would be received 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 following is a summary of the three-tiered hierarchy of valuation input levels.


Level 1 –		Inputs are unadjusted and prices are determined using quoted prices in active markets for identical securities.
Level 2 –		Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 –		Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments).

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 the end of the reporting period:


	Level 1		Level 2		Level 3		Total
Long-Term Investments:
Common Stocks	$	108,054,228	$	83,853,672	$	—	$	191,907,900
Variable Rate Senior Loan Interests		—		48,942,968		—		48,942,968
$25 Par (or similar) Retail Preferred		12,020,233		817,813		—		12,838,046
$1,000 Par (or similar) Institutional Preferred		—		12,821,703		—		12,821,703
Structured Notes		—		6,587,071		—		6,587,071
Convertible Preferred Securities		1,225,211		—		—		1,225,211
Corporate Bonds		—		104,904		—		104,904
Common Stock Rights		4,806		—		—		4,806


JTA		Nuveen Tax-Advantaged Total Return Strategy Fund (continued)
JTA		Portfolio of Investments March 31, 2018
		(Unaudited)


	Level 1		Level 2		Level 3		Total
Short-Term Investments:
Repurchase Agreements	$	—	$	8,540,490	$	—	$	8,540,490
Investment Companies		3,453,530		—		—		3,453,530

Investments in Derivatives:
Interest Rate Swaps*		—		1,532,093		—		1,532,093
Total	$	124,758,008	$	163,200,714	$	—	$	287,958,722

*	Represents net unrealized appreciation (depreciation).

The table below presents the transfers in and out of the three valuation levels for the Fund as of the end of the reporting period when compared to the valuation levels at the end of the previous fiscal year. Changes in valuation inputs or methodologies may result in transfers into or out of an assigned level within the fair value hierarchy. Transfers in or out of levels are generally due to the availability of publicly available information and to the significance or extent the Adviser determines that the valuation inputs or methodologies may impact the valuation of those securities.


	Level 1					Level 2					Level 3
	Transfers In		(Transfers Out)			Transfers In		(Transfers Out)			Transfers In		(Transfers Out)
Common Stocks	$	3,227,237	$	(4,946,339	)	$	4,946,339	$	(3,227,237	)	$	—	$	—

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 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 on the Statement of Assets and Liabilities presented in the annual report, based on their federal tax basis treatment; temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset value of the Fund.

The tables below present the cost and unrealized appreciation (depreciation) of the Fund’s investment portfolio, as determined on a federal income tax basis, as of March 31, 2018.

For purposes of this disclosure, derivative tax cost is generally the sum of any upfront fees or premiums exchanged and any amounts unrealized for income statement reporting but realized in income and/or capital gains for tax reporting. If a particular derivative category does not disclose any tax unrealized appreciation or depreciation, the change in value of those derivatives have generally been fully realized for tax purposes.


Tax cost of Investments	$	261,212,516
Gross unrealized:
Appreciation	$	37,174,423
Depreciation		(11,960,310	)
Net unrealized appreciation (depreciation) of investments	$	25,214,113

Tax cost of swaps	$	—
Net unrealized appreciation (depreciation) of swaps		1,532,093

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)	For fair value measurement disclosure purposes, investment classified as Level 2.

(3)	Investment, or portion of investment, is hypothecated. The total value of investments hypothecated as of the end of the reporting period was $87,550,907.

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

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

(6)

Senior loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate (Reference Rate) plus an assigned fixed rate (Spread). 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. The rate shown is the coupon as of the end of the reporting period.

(7)

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.

(8)

For financial reporting purposes, the ratings disclosed are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. 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.

(9)

As of, or subsequent to, the end of the reporting period, this security is non-income producing. Non-income producing, in the case of a fixed-income security, generally denotes that the issuer has (1) defaulted on the payment of principal or interest, (2) is under the protection of the Federal Bankruptcy Court or (3) the Fund’s Adviser has concluded that the issue is not likely to meet its future interest payment obligations and has ceased accruing additional income on the Fund’s records.

(10)	Perpetual security. Maturity date is not applicable.

(11)	Investments, or portion of investment, represents an outstanding unfunded senior loan commitment.

(12)	A copy of the most recent financial statements for these investment companies can be obtained directly from the Securities and Exchange Commission on its website at http://www.sec.gov.

(13)	The rate shown is the annualized seven-day subsidized yield as of the end of the reporting period.

(14)	Borrowings as a percentage of Total Investments is 32.6%.

(15)

The Fund may pledge up to 100% of its eligible investments (excluding any investments separately pledged as collateral for specific investments in derivatives) in the Portfolio of Investments as collateral for borrowings. As of the end of the reporting period, investments with a value of $201,368,988 have been pledged as collateral for borrowings.

(16)	Other assets less liabilities includes the unrealized appreciation (depreciation) of certain over-the-counter (“OTC”) derivatives as well as the OTC-cleared and exchange-traded derivatives, when applicable.

(17)	Effective date represents the date on which both the Fund and counterparty commence interest payment accruals on each contract.

144A	Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration, which are normally those transactions with qualified institutional buyers.

ADR	American Depositary Receipt

DD1	Portion of investment purchased on a delayed delivery basis.

LIBOR

London Inter-Bank Offered Rate

N/A	Not applicable

PIK

Payment-in-kind (“PIK”) security. Depending on the terms of the security, income may be received in the form of cash, securities, or a combination of both. The PIK rate shown, where applicable, represents the annualized rate of the last PIK payment made by the issuer as of the end of the reporting period.

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 coupon rate is not available prior to settlement. At settlement, if still unknown, the borrower or counterparty will provide the Fund with the final coupon rate and maturity date.

WI/DD

Purchased on a when-issued or delayed delivery basis.

Item 2. Controls and Procedures.

The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)).

There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits.

File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)), exactly as set forth below: EX-99 CERT Attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


(Registrant)		Nuveen Tax-Advantaged Total Return Strategy Fund

By (Signature and Title)		/s/ Gifford R. Zimmerman
		Gifford R. Zimmerman
		Vice President and Secretary

Date: May 30, 2018

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


By (Signature and Title)		/s/ Cedric H. Antosiewicz
		Cedric H. Antosiewicz
		Chief Administrative Officer (principal executive officer)

Date: May 30, 2018

By (Signature and Title)		/s/ Stephen D. Foy
		Stephen D. Foy
		Vice President and Controller (principal financial officer)

Date: May 30, 2018