INVESTMENT ADVISER NAME CHANGE

 

Effective January 1, 2011, Nuveen Asset Management, the Fund’s investment adviser, changed its name to Nuveen Fund Advisors, Inc. (“Nuveen Fund Advisors”). Concurrently, Nuveen Fund Advisors formed a wholly-owned subsidiary, Nuveen Asset Management, LLC, to house its portfolio management capabilities.

 

NUVEEN INVESTMENTS COMPLETES STRATEGIC COMBINATION WITH FAF ADVISORS

 

On December 31, 2010, Nuveen Investments completed the strategic combination between Nuveen Asset Management, LLC, the largest investment affiliate of Nuveen Investments, and FAF Advisors. As part of this transaction, U.S. Bancorp—the parent of FAF Advisors—received cash consideration and a 9.5% stake in Nuveen Investments in exchange for the long term investment business of FAF Advisors, including investment-management responsibilities for the non-money market mutual funds of the First American Funds family.

 

The approximately $27 billion of mutual fund and institutional assets managed by FAF Advisors, along with the investment professionals managing these assets and other key personnel, have become part of Nuveen Asset Management, LLC. With these additions to Nuveen Asset Management, LLC, this affiliate now manages more than $100 billion of assets across a broad range of strategies from municipal and taxable fixed income to traditional and specialized equity investments.

 

This combination does not affect the investment objectives or strategies of this Fund. Over time, Nuveen Investments expects that the combination will provide even more ways to meet the needs of investors who work with financial advisors and consultants by enhancing the multi-boutique model of Nuveen Investments, which also includes highly respected investment teams at HydePark, NWQ Investment Management, Santa Barbara Asset Management, Symphony Asset Management, Tradewinds Global Investors and Winslow Capital. Nuveen Investments managed approximately $195 billion of assets as of December 31, 2010.

 

Table of Contents

 

Chairman’s Letter to Shareholders		4
Portfolio Managers’ Comments		5
Common Share Distribution and Share Price Information		11
Performance Overview		14
Report of Independent Registered Public Accounting Firm		15
Portfolio of Investments		16
Statement of Assets & Liabilities		22
Statement of Operations		23
Statement of Changes in Net Assets		24
Statement of Cash Flows		25
Financial Highlights		26
Notes to Financial Statements		28
Board Members & Officers		36
Annual Investment Management Agreement Approval Process		42
Reinvest Automatically Easily and Conveniently		47
Glossary of Terms Used in this Report		49
Other Useful Information		51

 

Chairman’s
Letter to Shareholders

 

 

Dear Shareholders,

 

The global economy recorded another year of recovery from the financial and economic crises of 2008, but many of the factors that caused the crises still weigh on the prospects for continued recovery. In the U.S., ongoing weakness in housing values is putting pressure on homeowners and mortgage lenders. Similarly, the strong earnings recovery for corporations and banks has not been translated into increased hiring or more active lending. In addition, media and analyst reports on the fiscal conditions of various state and local entities have raised concerns with some investors. Globally, deleveraging by private and public borrowers is inhibiting economic growth and this process is far from complete.

 

Encouragingly, a variety of constructive actions are being taken by governments around the world to stimulate further recovery. In the U.S., the recent passage of a stimulatory tax bill relieves some of the pressure on the Federal Reserve System to promote economic expansion through quantitative easing and offers the promise of faster economic growth. A number of European governments are undertaking programs that could significantly reduce their budget deficits. Governments across the emerging markets are implementing various steps to deal with global capital flows without undermining international trade and investment.

 

The success of these government actions could have an important impact on whether 2011 brings further economic recovery and financial market progress. One risk associated with the extraordinary efforts to strengthen U.S. economic growth is that the debt of the U.S. government will continue to grow to unprecedented levels. Another risk is that over time there could be upward pressures on asset values in the U.S. and abroad, because what happens in the U.S. impacts the rest of the world economy. We must hope that the progress made on the fiscal front in 2010 will continue into 2011. In this environment, your Nuveen investment team continues to seek sustainable investment opportunities and to remain alert to potential risks in a recovery still facing many headwinds. On your behalf, we monitor their activities to assure they maintain their investment disciplines.

 

As you will note elsewhere in this report, on January 1, 2011, Nuveen Investments completed the acquisition of FAF Advisors, Inc., the manager of the First American Funds. The acquisition adds highly respected and distinct investment teams to meet the needs of investors and their advisors and is designed to benefit all fund shareholders by creating a fund organization with the potential for further economies of scale and the ability to draw from even greater talent and expertise to meet these investor needs.

 

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 and Lead Independent Director

February 22, 2011

4		Nuveen Investments

 

Portfolio Managers’ Comments

 

 

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 28 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 December 31, 2010.

 

What were the general market conditions during the reporting period?

 

During this reporting period, the U.S. economy remained under considerable stress, and both the Federal Reserve and the federal government continued their efforts to improve the overall economic environment. For its part, the Fed held the benchmark fed funds rate in a target range of zero to 0.25% after cutting it to this record low level in December 2008. At its September 2010 meeting, the central bank renewed its commitment to keep the fed funds rate at “exceptionally low levels” for an “extended period.” The Fed also stated that it was “prepared to take further policy actions as needed” to support economic recovery. The federal government continued to focus on implementing the economic stimulus package passed early in 2009 that was intended to provide job creation, tax relief, fiscal assistance to state and local governments, and expand unemployment benefits and other federal social welfare programs. Cognizant of the fragility of the financial system, in the fall of 2010 the Federal Reserve announced a second round of quantitative easing designed to help stimulate increased economic growth.

 

Nearly all recent U.S. indicators of production, spending, and labor market activity have pointed toward an acceleration in economic growth. At the same time, inflation remained relatively tame, as the Consumer Price Index rose just 1.5% year-over-year as of December 31, 2010. However, unemployment remained at historically high levels. As of December 2010, the national unemployment rate was 9.4%. In addition, the housing market

Nuveen Investments		5

continued to show signs of weakness with the average home price in the Standard & Poor’s/Case-Shiller Index of 20 large metro areas falling 1.6% over the twelve months ended November 2010 (the latest available figures at the time this report was prepared).

 

Overall, the U.S. stock market performed well during the twelve-month period, with the Dow Jones Industrial Average climbing 14%, the S&P 500 Index advancing 15% and the NASDAQ-100 Index gaining 19%. Looking overseas, Europe’s central bankers announced a $1 trillion bailout package to contain the situation with Greece and possibly help Portugal, Spain, Italy and Ireland. Ireland subsequently applied for a bailout to rescue its banking system.

 

The liquidity environment for credit improved as the period progressed despite macro concerns about several European countries. An accommodative central bank policy in the United States and in Europe fostered declining volatility in the equity markets - supportive earnings were a byproduct of adequate fiscal and monetary support. Preferred securities, in particular, did well against a good fundamental backdrop and a lower interest rate trend over the period. Global bank capital improvement was a very strong theme for the improving credit environment of financial institutions. Bank capital reform led the headlines with new rules coming from the Basel Committee on Banking that will seek to forestall future financial shocks and broaden credit support in the industry. As a result, the structure of the preferred market will be changing with newer, more equity-like hybrids (i.e., higher yielding preferred securities) that will replace existing structures as they are retired. Rating agency changes in equity credit analysis also have helped to increase the likelihood of tenders and early retirement of some preferred securities. Consequently, the hybrid preferred securities market experienced a number of tender events from issuers, which have led to better prices and are leading to expectations for a generally lower volatility environment for preferred securities going forward.

 

The senior loan market represented an attractive asset class in 2010, driven by a strong risk-return relationship featuring interest income and principal appreciation from secured positions in the capital structure. Further, a recovering primary market generated more new loan deals than 2008 and 2009 combined, allowing companies to refinance debt and extend loan maturities while offering investors attractive terms.

 

Fundamentals on the year were positive as demonstrated by a significant decline in defaults and decreased corporate leverage with improved corporate earnings. For example, leveraged loans finished 2010 at a 2.58% default rate, according to Credit Suisse, compared with 2009 defaults of 9.58%. Similarly, Credit Suisse reported that high yield bonds experienced a significant improving default environment, finishing 2010 with defaults of 1.51% compared to 2009 defaults of 9.36%. An improving leveraged loan and high yield primary market enabled companies to refinance deals and extend maturities.

 

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

 

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. In attempting to achieve this objective, the Fund primarily invests at least 60% of its managed assets in dividend-paying common stocks that at the time of investment the Fund believes are eligible to pay dividends that may be eligible for favorable income taxation. The Fund also invests to a more limited extent in preferred stocks that are

6		Nuveen Investments

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 emerging catalysts that can 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 protection, 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.

 

In the senior loan and other debt portion of the Fund’s portfolio, we focused on macro, technical, and fundamental factors. One strategy we employed was capturing value from the loan new issue market through high quality new issues. New loan issuance tripled in 2010 compared with 2009, according to Credit Suisse, with many high quality new issues coming to market with attractive features for investors, such as LIBOR floors, call protection, and original issue discounts. This strategy enabled us to select high quality new issues and realize higher interest income return through the benefit of higher spreads and LIBOR floors.

 

How did the Fund perform over this twelve-month period?

 

The performance of JTA, as well as a comparative benchmark and general market index, is presented in the accompanying table.

 

Average Annual Total Returns on Common Share Net Asset Value

For periods ended 12/31/10

 

		1-Year		5-Year
JTA		14.99%		-3.32%
Comparative Benchmark1		12.38%		1.59%
S&P 500 Index2		15.06%		2.29%

 

For the twelve-month period ended December 31, 2010, the total return on common share net asset value for the Fund outperformed its comparative benchmark, but slightly underperformed the general market index.

 

For the equity portion of the Fund, Citigroup Inc. outperformed due to an attractive valuation and the emergence of several catalysts, most notably the U.S. Treasury’s earlier-than-expected sale of its remaining stake in the company in early-December. The Treasury’s exit removes an overhang on the stock, and accelerates the company’s ability to return capital to shareholders through increased dividend payments and/or share repurchases. Although earnings will likely be pressured by still relatively high credit costs and low interest rates, we believe Citigroup remains an attractive investment opportunity given its strong capital levels, excess loan loss reserves, and growth potential from emerging markets.

 

Biovail Corporation, a specialty pharmaceutical company added to the portfolio in May, rose sharply as the company agreed to merge with Valeant Pharmaceutical (the transaction closed in September with the new entity taking the Valeant Pharmaceutical name). Together, the two companies should be able to generate stronger cash flow with a lower risk profile

Nuveen Investments		7

than they were able to do on a standalone basis. Post the merger, the shares have continued to outperform as the cost synergies have been greater than originally expected.

 

Union Pacific Corporation outperformed on expectations that demand for railroad services is set to recover as inventory destocking appears to have come to an end in many sectors of the economy. As the economic recovery continues to unfold, volume growth, operating leverage, and earnings power for railroads are expected to continue to improve. Union Pacific is also poised to achieve pricing gains as lower priced legacy contracts roll off and are replaced with market-based pricing. Approximately 18% of Union Pacific’s revenue base consists of legacy contracts that will be re-priced over the next five years.

 

Several positions detracted from performance, including defense stocks Lockheed Martin Corporation and Raytheon Co. These companies underperformed as investors feared lower margins and continued to price in expectations of a tougher U.S. defense spending environment brought on, in part, by a new Defense Department initiative that seeks to control costs and increase efficiency. Sanofi-Aventis S.A., ADR declined as the company’s ongoing hostile bid for Genzyme Corporation has taken investor focus away from the compelling valuation and fundamental improvements occurring at the company.

 

We added several new holdings to the portfolio during the year, including investments in Amgen Inc., AngloGold Ashanti Ltd., ADR, Hewlett-Packard Co., Nucor Corporation, Symetra Financial Corporation, Unum Group, and Vodafone Group PLC ADR. We also purchased shares of Occidental Petroleum Corporation, one of the largest integrated oil companies in the U.S. The company has a strong balance sheet, low cost structure, and one of the highest returns on capital employed in the industry with an asset base/project list that should allow this to continue. Occidental has a favorable commodity mix (73% oil), and should generate significant free cash flow and earnings growth at existing oil prices. In mid-November we invested in General Motors Co. (GM) when the U.S. government reduced its ownership stake. The company has massively improved its balance sheet and financial flexibility. In addition, GM has lowered its breakeven to trough sales levels and has considerable margin and earnings leverage. We believe there is significant hidden value that has not been fully reflected in GM’s stock price. We also purchased Time Warner Inc. as the shares had been pressured by concerns of an increase in subscriber losses at HBO Networks as viewers move to Over-The-Top (OTT) providers such as Netflix and Google TV. We believe the threat of OTT providers to Time Warner is exaggerated given the strength of HBO’s original content offerings which should continue to attract subscribers to the channel. Time Warner offers meaningful downside protection and attractive catalysts for upside potential given the high quality assets, balance sheet strength, high single digit free-cash-flow yield, and a strong management team (including its well respected CEO, Jeff Bewkes).

 

We also eliminated several positions including cable operator, Comcast Corporation, based on valuation. We were also disappointed in management’s decision to enter into a joint-venture with GE to own a majority stake in NBC Universal. AT&T Inc. was sold following the company’s successful restructuring efforts and concerns over slower growth in the wireless market. Though AT&T has shown success in reducing its wireline costs, we see little opportunity for further meaningful cost-savings for the company and decided to exit our position. After initially reducing our investment in ConocoPhillips and investing in Occidental Petroleum, we eliminated the remaining position in ConocoPhillips as we believed the share price reflected the company’s current restructuring efforts and therefore had a less

8		Nuveen Investments

attractive risk/reward valuation. Other holdings eliminated from the portfolio during the year were Banco Santander S.A. ADR, Caterpillar Inc., EDP-Energias de Portugal S.A. ADS, Northrop Grumman Corporation, Reinsurance Group of America Inc, Travelers Cos. Inc., Trinity Industries Inc., and Verizon Communications Inc.

 

Looking at the Fund’s preferred stock holdings, we increased our weighting in the insurance sector due to the sector’s attractive yield and positive fundamental outlook. Additionally, we reduced our European holdings, such as Barclays and Santander, as their valuations recovered from the European sovereign debt scare.

 

Positive performers include insurance names such as Principal Financial Group and Endurance Specialty. Our Heller Financial preferred detracted from performance due to selling pressure as investors took profits.

 

During the period, we also wrote call options on individual stocks held in the Fund’s portfolio to enhance returns while foregoing some upside potential.

 

The 2010 senior loan market performance was driven by continued principal recovery of lower-rated and higher leveraged loans in addition to higher interest income from new loan deals offering higher spreads and LIBOR floors. For example, CCC-rated loans returned 18.73% in 2010 according to Credit Suisse, relative to BB and B-rated loans that returned 7.49% and 9.93%, respectively. The Fund’s holdings experienced a similar divergence of returns. Despite a focus on higher quality names, some of the lower-dollar priced assets in the portfolio drove performance. Examples of this include Tribune Company and Univision, whose loan securities continued to appreciate in 2010 as they did in 2009 due to cyclical revenue streams coupled with high levels of tangible assets. From the perspective of new loan issuance in the primary market, the Fund’s performance benefited from new loan deals from companies like Swift Transportation, Cedar Fair, and Reynolds Group, which brought attractive new deals to market with higher spreads and LIBOR floors driving the Fund’s interest income. The Cedar Fair position was eliminated before the end of the period as the position approached our target valuation.

 

The Fund’s core portfolio of higher quality assets with strong interest income and low discounts to par underperformed more risky loan assets, which benefited from greater relative price appreciation over the course of the year stemming from improving fundamental and strong technical environments. However, on a risk-adjusted basis the Fund performed well, maximizing current income while minimizing risk.

 

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 a 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 a Fund generally are rising. Leverage made a positive contribution to the performance of the Fund over this reporting period.

Nuveen Investments		9

 

RECENT EVENTS CONCERNING THE FUND’S REDEMPTION OF AUCTION RATE PREFERRED SHARES

 

Shortly after its inception, the Fund issued auction rate preferred shares (ARPS) to create financial 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 financial leverage.

 

During 2010, 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 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 name Nuveen Asset Management as a defendant, together with current and former Officers and interested Director/Trustees of each of the funds (together with the nominal defendants, collectively, the “Defendants”). The Complaint contains the same basic allegations contained in the demand letters. The suits seek a declaration that the Defendants have breached their fiduciary duties, an order directing the Defendants not to redeem any ARPS at their liquidation value using fund assets, indeterminate monetary damages in favor of the funds and an award of plaintiffs’ costs and disbursements in pursuing the action. Nuveen Asset Management believes that the Complaint is without merit, and intends to defend vigorously against these charges.

10		Nuveen Investments

 

Common Share Distribution
and Share Price Information

 

 

The following information regarding your Fund’s distributions is current as of December 31, 2010, 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 during 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—as noted earlier—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 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 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

Nuveen Investments		11

	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, 2010. 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 12/31/10 (Common Shares)		JTA
Inception date			1/27/04
Calendar year ended December 31, 2010:
Per share distribution:
From net investment income		$	0.94
From short-term capital gains			0.00
From long-term capital gains			0.00
Return of capital			0.00
Total per share distribution		$	0.94
Distribution rate on NAV			7.62%
Average annual total returns:
Excluding retained gain tax credit/refund3:
1-Year on NAV			14.99%
5-Year on NAV			-3.32%
Since inception on NAV			1.49%
Including retained gain tax credit/refund3:
1-Year on NAV			14.99%
5-Year on NAV			-2.65%
Since inception on NAV			1.94%

 

The qualified dividend income provisions of the federal tax code, originally scheduled to expire on December 31, 2010, were extended through 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.

 

Common Share Repurchases and Share Price Information

 

As of December 31, 2010, 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

% of Outstanding

Repurchased and Retired

Common Shares

79,700

0.6%

12		Nuveen Investments

 

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

 

At December 31, 2010, the Fund’s common share price was trading at a discount of -8.91% to its NAV, compared with an average discount of -6.13% for the twelve-month period.

Nuveen Investments		13

JTA Performance OVERVIEW			Nuveen Tax-Advantaged Total Return Strategy Fund
			as of December 31, 2010

 

 

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

2009-2010 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 Share 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, 2010 through December 31, 2008 or for the tax years ended prior to December 31, 2006.

14		Nuveen Investments

 

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, 2010, 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 audits.

 

We conducted our audits 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 audits 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, 2010, by correspondence with the custodian, 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 audits provide 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, 2010, 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 25, 2011

Nuveen Investments		15