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       

(Exact name of registrant as specified in charter)

     333 West Wacker Drive, Chicago, Illinois 60606     
(Address of principal executive offices) (Zip code)

Kevin J. McCarthy—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:        12/31      

Date of reporting period:    3/31/2010   

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

Portfolio of Investments (Unaudited)

Nuveen Tax-Advantaged Total Return Strategy Fund (JTA)
March 31, 2010

Shares				Description (1)														Value
				Common Stocks – 94.0% (70.2% of Total Investments)
				Aerospace & Defense – 5.9%
	62,200			Lockheed Martin Corporation														$	5,176,284
	81,300			Raytheon Company															4,643,856
				Total Aerospace & Defense															9,820,140
				Commercial Banks – 3.2%
	155,000			Banco Santander Central S.A.															2,056,850
	106,500			Wells Fargo & Company															3,314,280
				Total Commercial Banks															5,371,130
				Commercial Services & Supplies – 3.1%
	207,300			Pitney Bowes Inc.															5,068,485
				Communications Equipment – 2.8%
	667,000			Motorola, Inc.															4,682,340
				Containers & Packaging – 1.0%
	69,800			Packaging Corp. of America															1,717,778
				Diversified Financial Services – 4.7%
	1,546,500			Citigroup Inc.															6,263,324
	34,200			JPMorgan Chase & Co.															1,530,450
				Total Diversified Financial Services															7,793,774
				Diversified Telecommunication Services – 5.0%
	105,500			AT&T Inc.															2,726,120
	249,000			Frontier Communications Corporation															1,852,560
	121,300			Verizon Communications Inc.															3,762,726
				Total Diversified Telecommunication Services															8,341,406
				Electric Utilities – 1.3%
	52,200			EDP — Energias de Portugal, S.A., Sponsored ADR, (11)															2,078,703
				Food & Staples Retailing – 2.0%
	151,500			Kroger Co.															3,281,490
				Household Products – 2.8%
	74,600			Kimberly-Clark Corporation															4,690,848
				Industrial Conglomerates – 1.9%
	175,000			General Electric Company															3,185,000
				Insurance – 18.0%
	266,400			Genworth Financial Inc., Class A															4,885,776
	243,600			Hartford Financial Services Group, Inc.															6,923,111
	72,500			Loews Corporation															2,702,800
	136,900			MetLife, Inc.															5,933,246
	233,200			Symetra Financial Corporation															3,073,576
	119,600			Travelers Companies, Inc.															6,451,223
				Total Insurance															29,969,732
				Machinery – 4.2%
	50,800			Caterpillar Inc.															3,192,780
	75,000			Ingersoll Rand Company Limited, Class A															2,615,250
	55,200			Trinity Industries Inc.															1,101,792
				Total Machinery															6,909,822
				Media – 0.1%
	3,177			SuperMedia Inc.															129,939
				Metals & Mining – 5.0%
	82,000			AngloGold Ashanti Limited, Sponsored ADR															3,111,900
	136,000			Barrick Gold Corporation															5,214,240
				Total Metals & Mining															8,326,140
				Oil, Gas & Consumable Fuels – 9.5%
	100,500			ConocoPhillips															5,142,585
	87,000			Eni S.p.A., Sponsored ADR															4,082,910
	28,000			Exxon Mobil Corporation															1,875,440
	81,600			Total S.A., Sponsored ADR															4,734,432
				Total Oil, Gas & Consumable Fuels															15,835,367
				Pharmaceuticals – 12.5%
	94,500			GlaxoSmithKline PLC, ADR															3,640,140
	185,500			Merck & Company Inc.															6,928,424
	255,300			Pfizer Inc.															4,378,395
	157,900			Sanofi-Aventis, ADR															5,899,144
				Total Pharmaceuticals															20,846,103
				Road & Rail – 1.5%
	33,000			Union Pacific Corporation															2,418,900
				Software – 6.1%
	304,500			CA Inc.															7,146,614
	100,700			Microsoft Corporation															2,947,489
				Total Software															10,094,103
				Tobacco – 3.4%
	109,400			Philip Morris International															5,706,304
				Total Common Stocks (cost $142,513,587)															156,267,504
Shares				Description (1)						Coupon				Ratings (2)				Value
				Convertible Preferred Securities – 0.3% (0.2% of Total Investments)
				Commercial Banks – 0.3%
	500			Wells Fargo & Company, Convertible Bond							7.500%				A-			$	488,500
				Total Convertible Preferred Securities (cost $421,350)															488,500
Shares				Description (1)						Coupon				Ratings (2)				Value
				$25 Par (or similar) Preferred Securities – 6.2% (4.6% of Total Investments)
				Capital Markets – 0.8%
	20,600			Credit Suisse							7.900%				A3			$	533,334
	24,750			Deutsche Bank Capital Funding Trust V							8.050%			BBB+					630,383
	5,250			Deutsche Bank Contingent Capital Trust III							7.600%			BBB+					130,410
				Total Capital Markets															1,294,127
				Commercial Banks – 1.2%
	24,000			Banco Santander Finance							10.500%				A-				678,000
	5,000			Barclays Bank PLC							8.125%				A-				128,700
	25,000			Barclays Bank PLC							6.625%				A-				567,500
	22,500			PNC Financial Services							9.875%				A3				656,100
				Total Commercial Banks															2,030,300
				Commercial Services & Supplies – 0.3%
	500			Pitney Bowes Interntational Holdings, 144A							6.125%				A3				496,906
				Consumer Finance – 0.4%
	5,000			HSBC Finance Corporation							6.360%			BBB					115,600
	19,700			HSBC USA Inc., Series H							6.500%				A-				473,785
				Total Consumer Finance															589,385
				Electric Utilities – 1.7%
	27,400			Georgia Power Company							6.125%			BBB+					688,288
	5,000			Gulf Power Company							6.450%			BBB+					506,514
	19,100			Mississippi Power Company							5.250%				A3				477,500
	25,000			PPL Electric Utilities Corporation							6.250%			BBB					623,438
	5,000			Southern California Edison Company							6.125%			Baa2					476,250
				Total Electric Utilities															2,771,990
				Insurance – 1.5%
	3,000			Aegon N.V.							6.500%			BBB					61,440
	30,000			Aegon N.V.							6.375%			BBB					610,200
	22,800			Arch Capital Group Limited							8.000%			BBB-					588,696
	25,000			Endurance Specialty Holdings Limited							7.750%			BBB-					612,750
	28,500			Prudential PLC							6.750%				A-				690,840
				Total Insurance															2,563,926
				Multi-Utilities – 0.3%
	5,400			Consolidated Edison Company of New York Inc.							5.000%			BBB					481,896
				Total $25 Par (or similar) Preferred Securities (cost $10,174,464)															10,228,530
						Weighted
Principal						Average
Amount (000)				Description (1)		Coupon				Maturity (4)				Ratings (2)				Value
				Variable Rate Senior Loan Interests – 28.2% (21.1% of Total Investments) (3)
				Chemicals – 0.5%
$	897			Rockwood Specialties Group, Inc., Term Loan H			6.000%				7/30/12			Ba2				$	902,733
				Commercial Services & Supplies – 0.6%
	998			Universal City Development Partners, Ltd., Term Loan			6.500%				11/06/14			Ba2					1,008,921
				Diversified Telecommunication Services – 1.1%
	331			Intelsat, Tranche B2, Term Loan A			2.728%				1/03/14			BB-					322,704
	331			Intelsat, Tranche B2, Term Loan B			2.728%				1/03/14			BB-					322,605
	331			Intelsat, Tranche B2, Term Loan C			2.728%				1/03/14			BB-					322,605
	943			MetroPCS Wireless, Inc., Term Loan			2.500%				11/03/13			Ba1					925,765
	1,936			Total Diversified Telecommunication Services															1,893,679
				Electric Utilities – 1.6%
	777			Dynegy Holdings, Inc., Delayed Term Loan			4.000%				4/02/13			Ba2					766,004
	216			Dynegy Holdings, Inc., Term Loan			4.000%				4/02/13			Ba2					213,122
	1,950			TXU Corporation, Term Loan B2			3.730%				10/10/14				B+				1,606,178
	2,943			Total Electric Utilities															2,585,304
				Health Care Equipment & Supplies – 1.8%
	1,980			Biomet, Inc., Term Loan			3.282%				3/25/15			BB-					1,952,882
	989			Renal Advantage, Inc., Term Loan			2.756%				10/06/12				N/R				959,234
	2,969			Total Health Care Equipment & Supplies															2,912,116
				Health Care Providers & Services – 5.5%
	97			Community Health Systems, Inc., Delayed Term Loan			2.502%				7/25/14			BB					94,755
	1,896			Community Health Systems, Inc., Term Loan			2.502%				7/25/14			BB					1,850,363
	2,444			HCA, Inc., Term Loan			2.540%				11/18/13			BB					2,388,735
	456			IASIS Healthcare LLC, Delayed Term Loan			2.248%				3/14/14			Ba2					439,859
	124			IASIS Healthcare LLC, Letter of Credit			2.247%				3/14/14			Ba2					119,385
	1,317			IASIS Healthcare LLC, Term Loan			2.248%				3/14/14			Ba2					1,270,943
	958			Quintiles Transnational Corporation, Term Loan B			2.300%				3/29/13			BB					933,883
	1,995			Rehabcare Group, Inc., Term Loan B			6.000%				11/24/15			BB					2,016,197
	9,287			Total Health Care Providers & Services															9,114,120
				Hotels, Restaurants & Leisure – 5.3%
	1,920			24 Hour Fitness Worldwide, Inc., Term Loan B			2.755%				6/08/12			Ba3					1,915,200
	680			CBRL Group, Inc., Term Loan B1			1.750%				4/27/13			BB-					674,783
	24			CBRL Group, Inc., Term Loan B2			1.750%				4/26/13			BB-					24,290
	994			Reynolds Group Holdings, Inc., US Term Loan			6.250%				11/05/15			BB-					1,005,033
	1,995			SW Acquisitions Co., Inc., Term Loan			5.750%				6/01/16			BB+					2,014,328
	89			Travelport LLC, Letter of Credit			2.790%				8/23/13			Ba3					86,694
	445			Travelport LLC, Term Loan			2.790%				8/23/13			Ba3					432,065
	590			Venetian Casino Resort LLC, Delayed Term Loan			2.050%				5/23/14				B-				541,235
	2,334			Venetian Casino Resort LLC, Term Loan			2.050%				5/23/14				B-				2,142,904
	9,071			Total Hotels, Restaurants & Leisure															8,836,532
				Insurance – 0.3%
	498			Conseco, Inc., Term Loan			7.500%				10/10/13				B-				484,147
				IT Services – 2.2%
	1,950			First Data Corporation, Term Loan B1			3.000%				9/24/14				B+				1,732,066
	1,991			SunGard Data Systems, Inc., Term Loan B			1.979%				2/28/14			BB					1,927,058
	3,941			Total IT Services															3,659,124
				Machinery – 0.4%
	693			Manitowoc Company, Term Loan			7.500%				11/06/14			BB					694,950
				Media – 4.6%
	2,156			Charter Communications Operating Holdings LLC, Term Loan			2.310%				3/06/14			BB+					2,086,329
	299			Mediacom Broadband LLC, Tranche D, Term Loan			5.500%				3/31/17			BB-					301,485
	958			Metro-Goldwyn-Mayer Studios, Inc., Term Loan B (12)			18.250%				4/08/12				N/R				461,731
	286			Nielsen Finance LLC, Term Loan A			2.229%				8/09/13			Ba3					275,121
	611			Nielsen Finance LLC, Term Loan B			3.979%				5/02/16			Ba3					600,852
	772			SuperMedia, Term Loan, (5), (6)			8.000%				12/31/15				B-				725,934
	1,975			Tribune Company, Term Loan B, (5), (6)			3.000%				6/04/14			Ca					1,262,355
	341			Tribune Company, Term Loan X, (5), (6)			2.750%				N/A			Ca					215,211
	2,000			Univision Communications, Inc., Term Loan			2.540%				9/29/14				B2				1,786,494
	9,398			Total Media															7,715,512
				Pharmaceuticals – 2.0%
	2,106			Mylan Laboratories, Inc., Term Loan			3.551%				10/02/14			BB+					2,111,364
	178			Warner Chilcott Corporation, Add on Term Loan			5.750%				4/30/15			BB+					178,197
	496			Warner Chilcott Corporation, Term Loan A			5.500%				10/30/14			BB+					497,325
	228			Warner Chilcott Corporation, Term Loan B1			5.750%				4/30/15			BB+					229,085
	380			Warner Chilcott Corporation, Term Loan B2			5.750%				4/30/15			BB+					381,468
	3,388			Total Pharmaceuticals															3,397,439
				Real Estate Management & Development – 0.7%
	1,184			LNR Property Corporation, Term Loan B			3.480%				7/12/11			CCC					1,088,206
				Road & Rail – 1.0%
	1,757			Swift Transportation Company, Inc., Term Loan			8.250%				5/10/14				B-				1,686,167
				Trading Companies & Distributors – 0.6%
	192			Brenntag Holdings GmbH & Co. KG, Acquisition Facility			2.007%				1/20/14			BB-					189,021
	786			Brenntag Holdings GmbH & Co. KG, Facility B2			1.997%				1/20/14			BB-					774,158
	978			Total Trading Companies & Distributors															963,179
$	49,938			Total Variable Rate Senior Loan Interests (cost $49,170,413)															46,942,129
Principal
Amount (000)/
Shares				Description (1)		Coupon				Maturity				Ratings (2)				Value
				Capital Preferred Securities – 0.5% (0.4% of Total Investments)
				Commercial Banks – 0.2%
	250			Wells Fargo & Company, Series K			7.980%				N/A (9)				A-			$	262,500
				Diversified Financial Services – 0.3%
	500			JP Morgan Chase & Company			7.900%				N/A (9)			BBB+					534,852
				Total Capital Preferred Securities (cost $687,625)															797,352
Principal
Amount (000)				Description (1)		Coupon				Maturity								Value
				Short-Term Investments – 4.7% (3.5% of Total Investments)
	7,784			Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/10, repurchase price $7,783,886, collateralized by $7,920,000 U.S Treasury Notes, 2.375%, due 8/31/14, value $7,939,800			0.000	%			4/01/10							$	7,783,886
				Total Short-Term Investments (cost $7,783,886)															7,783,886
				Total Investments (cost $210,751,325) – 133.9%															222,507,901
				Borrowings – (31.7)% (7), (8)															(52,600,000	)
				Other Assets Less Liabilities – (2.2)%															(3,730,170	)
				Net Assets Applicable to Common Shares – 100%														$	166,177,731
				Investments in Derivatives
Number of						Notional				Expiration				Strike
Contracts				Type		Amount (10)				Date				Price				Value
				CALL OPTIONS WRITTEN
	(820	)		Anglogold Limited		$	(3,280,000	)			10/16/10			$	40.0			$	(270,600	)
	(7,320	)		Citigroup Inc.			(2,928,000	)			9/18/10				4.0				(340,380	)
	(2,664	)		Genworth Financial Inc.			(4,528,800	)			9/18/10				17.0				(773,892	)
	(330	)		Union Pacific Corporation			(2,475,000	)			8/21/10				75.0				(125,400	)
	(11,134	)		Total Call Options Written (premiums received $1,193,024)			(13,211,800	)											(1,510,272	)

Fair Value Measurements

In determining the value of the Fund’s investments, various inputs are used. These inputs are 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).

The inputs or methodology 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 March 31, 2010:

		Level 1				Level 2				Level 3				Total
Investments:
Common Stocks*		$	154,188,801			$	2,078,703			$	—			$	156,267,504
Preferred Securities**			8,613,922				2,900,460				—				11,514,382
Variable Rate Senior Loan Interests			—				46,942,129				—				46,942,129
Short-Term Investments			7,783,886				—				—				7,783,886
Derivatives:
Call Options Written			(1,510,272	)			—				—				(1,510,272	)
Total		$	169,076,337			$	51,921,292			$	—			$	220,997,629

*		Refer to the Fund’s Portfolio of Investments for industry breakdown of Common Stocks classified as level 2.
*		Preferred Securities includes Convertible Preferred Securities, $25 Par (or similar) Preferred Securities and Capital Preferred Securities held by the end of the reporting period, if any.

Derivative Instruments and Hedging Activities

The Fund records derivative instruments at fair value with changes in fair value recognized in the Statement of Operations, when applicable. Even though the Fund’s investments in derivatives may represent economic hedges, they are considered to be non-hedge transactions for financial reporting purposes.

The table below presents the fair value of all derivative instruments held by the Fund as of March 31, 2010, 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

Instrument

Location

Value

Location

Value

Equity Price

Options

—

$

—

Call options written, at value

$

1,510,272

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 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.

At March 31, 2010, the cost of investments was $213,883,636.

Gross unrealized appreciation and gross unrealized depreciation of investments at March 31, 2010, were as follows:

Gross unrealized:
Appreciation		$	29,594,535
Depreciation			(20,970,270	)
Net unrealized appreciation (depreciation) of investments		$	8,624,265

(1)		All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted.
(2)		Ratings: Using the higher of Standard & Poor’s Group (“Standard & Poor’s”) or Moody’s Investor Service, Inc. (“Moody’s”) rating. Ratings below BBB by Standard & Poor’s or Baa by Moody’s are considered to be below investment grade.
(3)		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.
(4)		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.
(5)		Non-income producing; denotes that the issuer has defaulted on the payment of principal or interest or has filed for bankruptcy.
(6)		At or subsequent to March 31, 2010, this issue was under the protection of the Federal Bankruptcy Court.
(7)		The Fund may pledge up to 100% of its eligible investments in the Portfolio of Investments as collateral for Borrowings. As of March 31, 2010, investments with a value of $108,846,859 have been pledged as collateral for Borrowings.
(8)		Borrowings as a percentage of Total Investments is 23.6%.
(9)		Perpetual security. Maturity date is not applicable.
(10)		For disclosure purposes, Notional Amount is calculated by multiplying the Number of Contracts by the Strike Price by 100.
(11)		For fair value measurement disclosure purposes, Common Stock categorized as Level 2.
(12)		At or Subsequent to March 31, 2010, the Fund’s Adviser concluded this issue is not likely to meet its future interest payment obligations and has directed the Fund’s custodian to cease accruing additional income and “write-off” any remaining recorded balances on the Fund’s records.
N/A		Not applicable.
N/R		Not rated.
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.

Item 2. Controls and Procedures.

	a.		The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (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)).
	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

Date May 28, 2010

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.

Date May 28, 2010

Date May 28, 2010