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)

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:    9/30/2010   

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)
September 30, 2010

Shares				Description (1)														Value
				Common Stocks – 92.7% (67.1% of Total Investments)
				Aerospace & Defense – 4.8%
	62,200			Lockheed Martin Corporation														$	4,433,616
	68,600			Raytheon Company															3,135,706
				Total Aerospace & Defense															7,569,322
				Biotechnology – 1.5%
	43,000			Amgen Inc., (7)															2,369,730
				Commercial Banks – 1.7%
	106,500			Wells Fargo & Company															2,676,345
				Commercial Services & Supplies – 2.8%
	207,300			Pitney Bowes Inc.															4,432,074
				Communications Equipment – 3.6%
	667,000			Motorola, Inc., (7)															5,689,510
				Computers & Peripherals – 1.9%
	73,000			Hewlett-Packard Company															3,071,110
				Containers & Packaging – 1.0%
	69,800			Packaging Corp. of America															1,617,266
				Diversified Financial Services – 3.8%
	1,546,500			Citigroup Inc., (7)															6,031,350
				Diversified Telecommunication Services – 2.5%
	308,616			Frontier Communications Corporation															2,521,393
	46,600			Verizon Communications Inc.															1,518,694
				Total Diversified Telecommunication Services															4,040,087
				Food & Staples Retailing – 2.1%
	151,500			Kroger Co.															3,281,490
				Household Products – 1.7%
	40,600			Kimberly-Clark Corporation															2,641,030
				Industrial Conglomerates – 1.8%
	175,000			General Electric Company															2,843,750
				Insurance – 18.6%
	266,400			Genworth Financial Inc., Class A, (7)															3,255,408
	243,600			Hartford Financial Services Group, Inc.															5,590,620
	72,500			Loews Corporation															2,747,750
	136,900			MetLife, Inc.															5,263,805
	362,944			Symetra Financial Corporation															3,796,394
	99,000			Travelers Companies, Inc.															5,157,900
	172,700			Unum Group															3,825,305
				Total Insurance															29,637,182
				Machinery – 3.3%
	75,000			Ingersoll Rand Company Limited, Class A															2,678,250
	118,000			Trinity Industries Inc.															2,627,860
				Total Machinery															5,306,110
				Metals & Mining – 8.0%
	109,800			AngloGold Ashanti Limited, Sponsored ADR, (13)															5,077,152
	114,500			Barrick Gold Corporation, (13)															5,300,205
	60,000			Nucor Corporation															2,292,000
				Total Metals & Mining															12,669,357
				Oil, Gas & Consumable Fuels – 7.7%
	87,000			Eni S.p.A., Sponsored ADR															3,756,660
	28,000			Exxon Mobil Corporation															1,730,120
	32,400			Occidental Petroleum Corporation															2,536,920
	81,600			Total S.A., Sponsored ADR															4,210,560
				Total Oil, Gas & Consumable Fuels															12,234,260
				Pharmaceuticals – 16.0%
	94,500			GlaxoSmithKline PLC, ADR															3,734,640
	185,500			Merck & Company Inc.															6,828,255
	325,000			Pfizer Inc.															5,580,250
	154,200			Sanofi-Aventis, ADR															5,127,150
	169,800			Valeant Pharmaceuticals International															4,253,490
				Total Pharmaceuticals															25,523,785
				Road & Rail – 1.7%
	33,000			Union Pacific Corporation, (13)															2,699,400
				Software – 6.0%
	338,600			CA Inc.															7,151,232
	100,700			Microsoft Corporation															2,466,143
				Total Software															9,617,375
				Tobacco – 2.2%
	62,200			Philip Morris International															3,484,444
				Total Common Stocks (cost $142,978,571)															147,434,977
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			$	503,000
				Total Convertible Preferred Securities (cost $421,350)															503,000
Shares				Description (1)						Coupon				Ratings (2)				Value
				$25 Par (or similar) Preferred Securities – 7.0% (5.1% of Total Investments)
				Capital Markets – 0.4%
	19,900			Deutsche Bank Capital Funding Trust V							8.050	%		A				$	531,131
	1,800			Goldman Sachs Group Inc.							6.200	%		A-					45,216
				Total Capital Markets															576,347
				Commercial Banks – 0.7%
	10,000			Banco Santander Finance							10.500	%			A				282,800
	5,000			Barclays Bank PLC							8.125	%			A				129,650
	1,000			HSBC Holdings PLC							8.000	%			A-				26,980
	22,500			PNC Financial Services, Series F							9.875	%			A3				657,000
				Total Commercial Banks															1,096,430
				Consumer Finance – 0.5%
	6,000			Heller Financial Inc.							6.687	%			A+				577,500
	11,300			HSBC Finance Corporation							6.360	%		A					268,262
				Total Consumer Finance															845,762
				Diversified Financial Services – 0.4%
	25,000			Bank of America Corporation							8.200	%		BBB-					651,500
				Electric Utilities – 1.9%
	25,000			Alabama Power Company							6.500	%		A-					701,563
	12,000			Connecticut Power & Light Company							4.960	%		Baa3					520,500
	5,000			Gulf Power Company							6.450	%		BBB+					523,436
	7,000			Mississippi Power Company							5.250	%		A-					174,930
	25,000			PPL Electric Utilities Corporation							6.250	%		BBB					624,220
	5,000			Southern California Edison Company							6.125	%		BBB+					501,562
				Total Electric Utilities															3,046,211
				Insurance – 2.8%
	10,000			Allianz SE							8.375	%			A+				272,500
	22,800			Arch Capital Group Limited							8.000	%		BBB					582,540
	25,000			Aspen Insurance Holdings Limited							7.401	%		BBB-					606,500
	25,000			Axis Capital Holdings Limited							7.250	%		BBB					625,250
	25,000			Endurance Specialty Holdings Limited							7.750	%		BBB-					649,250
	25,000			MetLife Inc., Series B							6.500	%		Baa2					616,250
	5,000			Principal Financial Group							5.563	%		BBB					426,406
	28,500			Prudential PLC							6.750	%			A-				715,635
				Total Insurance															4,494,331
				Multi-Utilities – 0.3%
	5,000			Consolidated Edison Company of New York Inc.							5.000	%		BBB					471,300
				Total $25 Par (or similar) Preferred Securities (cost $10,663,743)															11,181,881
						Weighted
Principal						Average
Amount (000)				Description (1)		Coupon				Maturity (4)				Ratings (2)				Value
				Variable Rate Senior Loan Interests – 30.5% (22.1% of Total Investments) (3)
				Chemicals – 0.5%
$	751			Rockwood Specialties Group, Inc., Term Loan H			6.000	%			5/15/14			BB+				$	752,813
				Commercial Services & Supplies – 0.6%
	990			Universal City Development Partners, Ltd., Term Loan			5.500	%			11/06/14			Ba2					995,564
				Containers & Packaging – 0.7%
	150			Reynolds Group Holdings, Inc., Term Loan A, WI/DD			TBD				TBD			Ba3					150,281
	900			Reynolds Group Holdings, Inc., Term Loan D, WI/DD			TBD				TBD			Ba3					905,412
	1,050			Total Containers & Packaging															1,055,693
				Diversified Financial Services – 1.9%
	1,995			MSCI Inc., Term Loan			4.750	%			6/01/16			BB+					2,007,469
	1,050			Pinafore LLC, Term Loan, WI/DD			TBD				TBD			BB					1,060,824
	3,045			Total Diversified Financial Services															3,068,293
				Diversified Telecommunication Services – 0.6%
	329			Intelsat, Tranche B2, Term Loan A			3.033	%			1/03/14			BB-					317,581
	329			Intelsat, Tranche B2, Term Loan B			3.033	%			1/03/14			BB-					317,484
	329			Intelsat, Tranche B2, Term Loan C			3.033	%			1/03/14			BB-					317,484
	987			Total Diversified Telecommunication Services															952,549
				Electric Utilities – 1.6%
	777			Dynegy Holdings, Inc., Delayed Term Loan			4.010	%			4/02/13			Ba3					769,463
	215			Dynegy Holdings, Inc., Term Loan			4.010	%			4/02/13			Ba3					212,987
	1,940			TXU Corporation, Term Loan B2			3.923	%			10/10/14				B+				1,509,832
	2,932			Total Electric Utilities															2,492,282
				Food Products – 1.4%
	1,297			Michael Foods Group, Inc., Term Loan B			6.250	%			6/29/16			BB-					1,308,907
	900			NBTY, Inc., Term Loan, WI/DD			TBD				TBD			BB-					910,446
	2,197			Total Food Products															2,219,353
				Health Care Providers & Services – 4.8%
	97			Community Health Systems, Inc., Delayed Term Loan			2.549	%			7/25/14			BB					92,224
	1,889			Community Health Systems, Inc., Term Loan			2.549	%			7/25/14			BB					1,794,130
	996			MultiPlan, Inc., Term Loan			6.500	%			8/26/17			Ba3					998,520
	953			Quintiles Transnational Corporation, Term Loan B			2.290	%			3/31/13			BB					934,722
	1,807			Rehabcare Group, Inc., Term Loan B			6.000	%			11/24/15			BB					1,808,343
	2,000			Universal Health Services, Term Loan, WI/DD			TBD				TBD			BB+					2,011,718
	7,742			Total Health Care Providers & Services															7,639,657
				Hotels, Restaurants & Leisure – 4.9%
	1,995			24 Hour Fitness Worldwide, Inc., New Term Loan			6.750	%			4/22/16			Ba2					1,907,719
	640			CBRL Group, Inc., Term Loan B1			1.960	%			4/27/13			BB-					630,031
	24			CBRL Group, Inc., Term Loan B2			1.960	%			4/26/13			BB-					23,965
	988			Reynolds Group Holdings, Inc., US Term Loan			6.250	%			11/05/15			BB-					994,328
	1,985			SW Acquisitions Co., Inc., Term Loan			5.750	%			6/01/16			BB+					1,993,994
	89			Travelport LLC, Letter of Credit			2.789	%			8/23/13			Ba3					86,110
	445			Travelport LLC, Term Loan			2.760	%			8/23/13			Ba3					429,155
	385			Venetian Casino Resort LLC, Delayed Term Loan			3.030	%			11/23/16				B				350,524
	1,524			Venetian Casino Resort LLC, Tranche B, Term Loan			3.030	%			11/23/16				B				1,387,910
	8,075			Total Hotels, Restaurants & Leisure															7,803,736
				Household Products – 0.5%
	750			Visant Holding Corporation, Tranche B, Term Loan			7.000	%			12/22/16			BB-					755,100
				Industrial Conglomerates – 0.3%
	485			CF Industries, Inc., Term Loan			4.500	%			4/05/15			BBB					488,280
				Insurance – 0.7%
	498			Conseco, Inc., Term Loan			7.500	%			10/10/13				B2				489,999
	625			Fidelity National Information Services, Inc., Term Loan B			5.250	%			7/18/16			BBB-					630,524
	1,123			Total Insurance															1,120,523
				IT Services – 2.2%
	1,864			First Data Corporation, Term Loan B1			3.006	%			9/24/14				B+				1,645,083
	1,981			SunGard Data Systems, Inc., Term Loan B			2.008	%			2/28/14			BB					1,916,531
	3,845			Total IT Services															3,561,614
				Machinery – 0.4%
	672			Manitowoc Company, Term Loan			8.000	%			11/06/14			BB					674,304
				Media – 5.5%
	908			Charter Communications Operating Holdings LLC, Term Loan C			3.540	%			9/06/16			BB+					887,785
	235			Charter Communications Operating Holdings LLC, Term Loan			2.260	%			3/06/14			BB+					229,459
	1,197			Interactive Data Corporation, Term Loan			6.750	%			1/29/17			Ba3					1,214,078
	297			Mediacom Broadband LLC, Tranche D, Term Loan			5.500	%			3/31/17			BB-					294,309
	1,995			Mediacom Broadband LLC, Tranche F, Term Loan			4.500	%			10/23/17			BB-					1,977,544
	958			Metro-Goldwyn-Mayer Studios, Inc., Term Loan B, (5), (10)			0.000	%			4/09/12				N/R				422,569
	17			Nielsen Finance LLC, Term Loan A			2.258	%			8/09/13			BB-					16,167
	607			Nielsen Finance LLC, Term Loan B			4.008	%			5/02/16			BB-					593,215
	269			Nielsen Finance LLC, Term Loan C			4.008	%			5/02/16			BB-					259,549
	700			SuperMedia, Term Loan			11.000	%			12/31/15				B-				547,189
	975			Tribune Company, Term Loan B, (5), (6)			0.000	%			6/04/14			Ca					637,929
	1,975			Univision Communications, Inc., Term Loan			2.506	%			9/29/14				B2				1,734,989
	10,133			Total Media															8,814,782
				Pharmaceuticals – 1.5%
	1,124			Mylan Laboratories, Inc., Term Loan			3.563	%			10/02/14			BB+					1,124,310
	177			Warner Chilcott Corporation, Add on Term Loan			6.250	%			4/30/15			BB					177,003
	470			Warner Chilcott Corporation, Term Loan A			6.000	%			10/30/14			BB					468,869
	227			Warner Chilcott Corporation, Term Loan B1			6.250	%			4/30/15			BB					227,403
	378			Warner Chilcott Corporation, Term Loan B2			6.250	%			4/30/15			BB					378,668
	2,376			Total Pharmaceuticals															2,376,253
				Real Estate Management & Development – 0.4%
	568			LNR Property Corporation, Term Loan B			3.760	%			7/12/11				B2				552,740
				Road & Rail – 1.1%
	1,731			Swift Transportation Company, Inc., Term Loan			8.250	%			5/12/14				B				1,694,483
				Textiles, Apparel & Luxury Goods – 0.4%
	681			Phillips-Van Heusen Corporation, Tommy Hilfiger B.V., U.S. Tranche B, Term Loan			4.750	%			5/06/16			BBB					687,997
				Trading Companies & Distributors – 0.5%
	116			Brenntag Holdings GmbH & Co. KG, Acquisition Facility			4.032	%			1/20/14			BBB-					116,284
	666			Brenntag Holdings GmbH & Co. KG, Facility B2			4.023	%			1/20/14			BBB-					668,273
	782			Total Trading Companies & Distributors															784,557
$	50,915			Total Variable Rate Senior Loan Interests (cost $50,436,144)															48,490,573
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 (11)				A			$	264,375
				Diversified Financial Services – 0.3%
	500			JPMorgan Chase & Company			7.900	%			N/A (11)			A					537,636
				Total Capital Preferred Securities (cost $687,721)															802,011
Principal
Amount (000)				Description (1)		Coupon				Maturity								Value
				Short-Term Investments – 7.0% (5.1% of Total Investments)
$	6,338			Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/10, repurchase price $6,338,073, collateralized by $5,925,000 U.S. Treasury Notes, 3.125%, due 1/31/17, value $6,465,656			0.080	%			10/01/10							$	6,338,059
	4,840			Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/10, repurchase price $4,840,111, collateralized by $4,525,000 U.S. Treasury Notes, 3.375%, due 11/15/19, value $4,937,906			0.080	%			10/01/10								4,840,100
$	11,178			Total Short-Term Investments (cost $11,178,159)															11,178,159
				Total Investments (cost $216,365,688) – 138.0%															219,590,601
				Borrowings – (33.1)% (8), (9)															(52,600,000	)
				Other Assets Less Liabilities – (4.9)%															(7,909,169	)
				Net Assets Applicable to Common Shares – 100%														$	159,081,432
Investments in Derivatives
Call Options Written at September 30, 2010:
Number of						Notional				Expiration				Strike
Contracts				Type		Amount (12)				Date				Price				Value
	(820	)		Anglogold Ashanti Limited		$	(3,280,000	)			10/16/10				$    40.0			$	(516,600	)
	(535	)		Barrick Gold Corporation			(2,621,500	)			1/22/11				49.0				(110,210	)
	(330	)		Union Pacific Corporation			(2,805,000	)			1/22/11				85.0				(115,500	)
	(1,685	)		Total Call Options Written (premiums received $555,680)		$	(8,706,500	)										$	(742,310	)

Fair Value Measurements

In determining the fair 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 3 – 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 September 30, 2010:

		Level 1				Level 2				Level 3				Total
Investments:
Common Stocks		$	147,434,977			$	—			$	—			$	147,434,977
Preferred Securities*			7,537,194				4,949,698				—				12,486,892
Variable Rate Senior Loan Interests			—				48,490,573				—				48,490,573
Short-Term Investments			11,178,159				—				—				11,178,159
Derivatives:
Call Options Written			(742,310	)			—				—				(742,310	)
Total		$	165,408,020			$	53,440,271			$	—			$	218,848,291

*		Preferred Securities includes Convertible Preferred Securities, $25 Par (or similar) Preferred Securities and Capital Preferred Securities held by the Fund at 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 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.

The following table presents the fair value of all derivative instruments held by the Fund as of September 30, 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 Exposure

Instrument

Location

Value

Location

Value

Equity Price

Options

—

$

—

Call options written, at value

$

742,310

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 September 30, 2010, the cost of investments (excluding investments in derivatives) was $219,497,510.

Gross unrealized appreciation and gross unrealized depreciation of investments (excluding investments in derivatives) at September 30, 2010, were as follows:

Gross unrealized:
Appreciation		$	23,094,430
Depreciation			(23,001,339	)
Net unrealized appreciation (depreciation) of investments		$	93,091

		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)		Ratings: Using the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investor 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.
(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)		At or subsequent to September 30, 2010, this issue was under the protection of the Federal Bankruptcy Court.
(6)		Non-income producing; denotes that the issuer has defaulted on the payment of principal or interest or has filed for bankruptcy.
(7)		Non-income producing; issuer has not declared a dividend within the past twelve months.
(8)		The Fund may pledge up to 100% of its eligible investments in the Portfolio of Investments as collateral for Borrowings. As of September 30, 2010, investments with a value of $110,678,427 have been pledged as collateral for Borrowings.
(9)		Borrowings as a percentage of Total Investments is 24.0%.
(10)		The Fund’s Adviser has 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.
(11)		Perpetual security. Maturity date is not applicable.
(12)		For disclosure purposes, Notional Amount is calculated by multiplying the Number of Contracts by the Strike Price by 100.
(13)		Investment, or portion of investment, has been pledged as collateral for call options written.
WI/DD		Purchased on a when-issued or delayed delivery basis.
N/R		Not rated.
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.

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 November 29, 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 November 29, 2010

Date November 29, 2010