Edgar Filing: NUVEEN TAX ADVANTAGED TOTAL RETURN STRATEGY FUND

nvq

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: 3/31/2011

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, 2011


Shares			Description (1)									Value


			Common Stocks – 92.4% (69.2% of Total Investments)


			Aerospace & Defense – 4.2%

	42,400		Lockheed Martin Corporation									$	3,408,960
	80,000		Raytheon Company										4,069,600

			Total Aerospace & Defense										7,478,560


			Automobiles – 2.2%

	124,400		General Motors Company, (2)										3,860,132


			Biotechnology – 1.4%

	47,500		Amgen Inc., (2)										2,538,875


			Commercial Banks – 1.9%

	106,500		Wells Fargo & Company										3,376,050


			Commercial Services & Supplies – 3.0%

	207,300		Pitney Bowes Inc.										5,325,537


			Communications Equipment – 5.1%

	195,775		Motorola Mobility Holdings Inc., (2), (8)										4,776,910
	95,285		Motorola Solutions Inc. (2)										4,258,287

			Total Communications Equipment										9,035,197


			Computers & Peripherals – 1.7%

	73,000		Hewlett-Packard Company, (8)										2,990,810


			Containers & Packaging – 1.1%

	69,800		Packaging Corp. of America										2,016,522


			Diversified Financial Services – 2.5%

	1,014,900		Citigroup Inc.										4,485,858


			Diversified Telecommunication Services – 2.0%

	428,016		Frontier Communications Corporation, (8)										3,518,291


			Food & Staples Retailing – 2.1%

	78,000		CVS Caremark Corporation										2,676,960
	43,100		Kroger Co.										1,033,107

			Total Food & Staples Retailing										3,710,067


			Industrial Conglomerates – 2.0%

	175,000		General Electric Company										3,508,750


			Insurance – 15.1%

	365,900		Genworth Financial Inc., Class A, (2)										4,925,014
	215,600		Hartford Financial Services Group, Inc.										5,806,108
	63,000		Loews Corporation										2,714,670
	121,900		MetLife, Inc., (8)										5,452,587
	255,444		Symetra Financial Corporation										3,474,038
	172,700		Unum Group										4,533,375

			Total Insurance										26,905,792


			Machinery – 2.0%

	75,000		Ingersoll Rand Company Limited, Class A										3,623,250


			Media – 4.1%

	17,337		Metro-Goldwyn-Mayer, (10)										392,973
	99,000		National CineMedia, Inc.										1,848,330
	140,400		Time Warner Inc.										5,012,280

			Total Media										7,253,583


			Metals & Mining – 8.2%

	112,300		AngloGold Ashanti Limited, Sponsored ADR										5,384,785
	114,500		Barrick Gold Corporation										5,943,695
	72,500		Nucor Corporation										3,336,450

			Total Metals & Mining										14,664,930


			Oil, Gas & Consumable Fuels – 7.5%

	53,000		Eni S.p.A., Sponsored ADR										2,603,890
	28,000		Exxon Mobil Corporation										2,355,640
	32,400		Occidental Petroleum Corporation										3,385,476
	81,600		Total S.A., Sponsored ADR										4,975,152

			Total Oil, Gas & Consumable Fuels										13,320,158


			Pharmaceuticals – 14.9%

	94,500		GlaxoSmithKline PLC, ADR										3,629,745
	111,700		Merck & Company Inc.										3,687,217
	410,000		Pfizer Inc.										8,327,100
	228,000		Sanofi-Aventis, ADR										8,030,160
	58,900		Valeant Pharmaceuticals International										2,933,809

			Total Pharmaceuticals										26,608,031


			Professional Services – 0.8%

	52,200		Nielsen Holdings BV										1,425,582


			Software – 6.1%

	312,500		CA Inc.										7,556,250
	132,200		Microsoft Corporation										3,352,592

			Total Software										10,908,842


			Tobacco – 1.8%

	48,600		Philip Morris International										3,189,618


			Wireless Telecommunication Services – 2.7%

	170,000		Vodafone Group PLC, Sponsored ADR										4,887,500

			Total Common Stocks (cost $148,568,706)										164,631,935


Shares			Description (1)				Coupon			Ratings (3)		Value


			Convertible Preferred Securities – 0.3% (0.2% of Total Investments)

			Commercial Banks – 0.3%

	500		Wells Fargo & Company, Convertible Bond					7.500	%		A	$	517,600

			Total Convertible Preferred Securities (cost $421,350)										517,600


Shares			Description (1)				Coupon			Ratings (3)		Value


			$25 Par (or similar) Preferred Securities – 6.9% (5.1% of Total Investments)


			Capital Markets – 0.0%

	1,800		Goldman Sachs Group Inc.					6.200	%	A-		$	44,837


			Commercial Banks – 0.4%

	5,000		Barclays Bank PLC					8.125	%	A			131,450
	1,000		HSBC Holdings PLC					8.000	%		A+		27,280
	17,594		PNC Financial Services					9.875	%	A-			506,707

			Total Commercial Banks										665,437


			Consumer Finance – 0.6%

	6,000		Heller Financial Inc.					6.687	%		A+		582,938
	20,000		HSBC Finance Corporation					6.360	%	A			471,200

			Total Consumer Finance										1,054,138


			Diversified Financial Services – 0.6%

	15,000		Bank of America Corporation					8.200	%	BBB			394,050
	26,300		Citigroup Inc., Series F					8.500	%	BBB			685,115

			Total Diversified Financial Services										1,079,165


			Electric Utilities – 2.1%

	25,000		Alabama Power Company					6.500	%	A-			647,658
	12,000		Connecticut Power & Light Company					4.960	%	Baa3			518,626
	5,000		Georgia Power Company					6.500	%	A-			517,500
	5,000		Gulf Power Company					6.450	%	BBB+			503,411
	25,000		PPL Electric Utilities Corporation					6.250	%	BBB-			623,437
	5,000		Southern California Edison Company					6.500	%	Baa2			496,719
	5,000		Southern California Edison Company					6.125	%	BBB+			494,844

			Total Electric Utilities										3,802,195


			Insurance – 2.9%

	10,000		Allianz SE					8.375	%		A+		267,188
	22,800		Arch Capital Group Limited					8.000	%	BBB			581,172
	25,000		Aspen Insurance Holdings Limited					7.401	%	BBB-			609,000
	25,000		Axis Capital Holdings Limited					7.250	%	BBB			617,250
	25,000		Endurance Specialty Holdings Limited					7.750	%	BBB-			639,750
	25,000		MetLife Inc., Series B					6.500	%	Baa2			621,500
	25,000		Principal Financial Group					6.518	%	BBB			606,250
	5,000		Principal Financial Group					5.563	%	BBB			469,219
	28,500		Prudential PLC					6.750	%		A-		713,640

			Total Insurance										5,124,969


			Multi-Utilities – 0.3%

	5,000		Consolidated Edison Company of New York Inc.					5.000	%	BBB			464,000

			Total $25 Par (or similar) Preferred Securities (cost $11,845,234)										12,234,741



Principal				Weighted Average
Amount (000)			Description (1)	Coupon			Maturity (4)			Ratings (3)		Value

			Variable Rate Senior Loan Interests – 27.7% (20.7% of Total Investments) (5)

			Air Freight & Logistics – 0.2%

$	424		Transdigm, Inc., Term Loan		4.000	%		6/30/17		Ba2		$	428,248


			Biotechnology – 0.5%

	900		Grifols, Term Loan, WI/DD		TBD			TBD		BB			907,684


			Building Products – 0.6%

	995		Goodman Global Inc., Term Loan		5.750	%		10/28/16			B+		1,002,382


			Chemicals – 0.6%

	998		Univar, Inc., Term Loan		5.000	%		6/30/17			B		1,002,666


			Communications Equipment – 1.0%

	335		Avaya, Inc., Term Loan B3		4.811	%		10/26/17			B1		320,518
	664		Avaya, Inc., Term Loan		3.061	%		10/27/14			B1		648,944
	867		Intelsat, Term Loan		5.250	%		4/02/18		BB-			873,503

	1,866		Total Communications Equipment										1,842,965


			Diversified Financial Services – 0.6%

	1,033		Pinafore LLC, Term Loan		4.250	%		9/29/16		BB			1,038,788


			Electric Utilities – 0.9%

	1,930		TXU Corporation, Term Loan B2		3.783	%		10/10/14			B2		1,629,126

			Food & Staples Retailing – 0.5%
	995		U.S. Foodservice, Inc., Term Loan		2.753	%		7/03/14			B2		966,576


			Food Products – 0.8%

	64		Darling International, Inc., Term Loan		5.141	%		12/17/16		BB+			64,600
	1,378		Michael Foods Group, Inc., Term Loan		4.250	%		2/25/18			B1		1,387,739

	1,442		Total Food Products										1,452,339


			Health Care Providers & Services – 4.4%

	65		Community Health Systems, Inc., Delayed Term Loan		2.561	%		7/25/14		BB			64,852
	142		Community Health Systems, Inc., Extended Term Loan		3.811	%		1/25/17		BB			141,783
	1,272		Community Health Systems, Inc., Term Loan		2.561	%		7/25/14		BB			1,260,307
	998		DaVita, Inc., Tranche B, Term Loan		4.500	%		10/20/16		BB			1,003,374
	917		Kindred Healthcare, Term Loan, WI/DD		TBD			TBD		Ba3			914,089
	962		MultiPlan, Inc., Term Loan B		4.750	%		8/26/17		Ba3			966,226
	1,642		Rehabcare Group, Inc., Term Loan B		6.000	%		11/24/15		BB			1,651,415
	1,841		Universal Health Services, Inc., Term Loan B		4.000	%		11/15/16		BB+			1,850,640

	7,839		Total Health Care Providers & Services										7,852,686


			Hotels, Restaurants & Leisure – 5.6%

	1,985		24 Hour Fitness Worldwide, Inc., New Term Loan		6.750	%		4/22/16		Ba3			1,967,135
	1,347		Burger King Corporation, Tranche B		4.500	%		10/19/16		BB-			1,346,500
	1,075		Reynolds Group Holdings, Inc., US Term Loan		4.250	%		2/09/18		BB			1,081,645
	2,177		Seaworld Parks and Entertainment, Inc., Term Loan B		4.000	%		8/17/17		BB+			2,193,091
	1,050		Six Flags Theme Parks, Inc., Tranche B, Term Loan		5.250	%		6/30/16		BB			1,060,238
	89		Travelport LLC, Letter of Credit		4.807	%		8/21/15		Ba3			88,372
	445		Travelport LLC, Term Loan		4.963	%		8/21/15		Ba3			440,425
	383		Venetian Casino Resort LLC, Delayed Term Loan		3.000	%		11/23/16		BB-			374,068
	1,516		Venetian Casino Resort LLC, Tranche B, Term Loan		3.000	%		11/23/16		BB-			1,480,560

	10,067		Total Hotels, Restaurants & Leisure										10,032,034


			Household Products – 0.6%

	998		Visant Holding Corporation, Tranche B, Term Loan		5.250	%		12/22/16		Ba3			997,874


			Insurance – 0.4%

	622		Fidelity National Information Services, Inc., Term Loan B		5.250	%		7/18/16		BBB-			626,345


			IT Services – 2.1%

	1,864		First Data Corporation, Term Loan B1		3.002	%		9/24/14			B+		1,788,464
	1,937		SunGard Data Systems, Inc., Term Loan B		2.008	%		2/28/14		BB			1,926,675

	3,801		Total IT Services										3,715,139


			Machinery – 0.1%

	237		Manitowoc Company, Term Loan		8.000	%		11/06/14		BB			239,303


			Media – 4.2%

	623		Bresnan Broadband Holdings LLC, Term Loan B		4.500	%		12/14/17		BB+			628,308
	1,301		Interactive Data Corporation, Term Loan B		4.750	%		2/11/18		Ba3			1,308,468
	296		Mediacom Broadband LLC, Tranche D, Term Loan		5.500	%		3/31/17		BB-			295,808
	1,985		Mediacom Broadband LLC, Tranche F, Term Loan		4.500	%		10/23/17		BB-			1,979,210
	16		Nielsen Finance LLC, Term Loan A		2.259	%		8/09/13		Ba2			16,263
	268		Nielsen Finance LLC, Term Loan C		3.759	%		5/02/16		Ba2			267,586
	681		SuperMedia, Term Loan		11.000	%		12/31/15			B-		453,690
	975		Tribune Company, Term Loan B, (6), (7)		0.000	%		6/04/14		Ca			681,891
	1,956		Univision Communications, Inc., Term Loan		4.496	%		3/31/17			B		1,909,156

	8,101		Total Media										7,540,380


			Metals & Mining – 1.1%

	748		Novelis, Inc., Term Loan		4.000	%		3/10/17		Ba2			750,997
	1,167		Walter Energy, Term Loan, WI/DD		TBD			TBD		BB-			1,175,708

	1,915		Total Metals & Mining										1,926,705


			Personal Products – 0.5%

	933		NBTY, Inc., Term Loan B1, WI/DD		TBD			TBD		BB-			936,353


			Pharmaceuticals – 0.5%

	420		Warner Chilcott Corporation, Term Loan B1		4.250	%		3/17/18		BBB-			422,422
	210		Warner Chilcott Corporation, Term Loan B2		4.250	%		3/17/18		BBB-			211,211
	289		Warner Chilcott Corporation, Term Loan B3		4.250	%		3/17/18		BBB-			290,415

	919		Total Pharmaceuticals										924,048


			Real Estate – 0.6%

	1,000		iStar Financial, Inc., Tranche A1		5.000	%		6/28/13			B2		991,794



			Real Estate Management & Development – 0.3%

	568		LNR Property Corporation, Term Loan B		3.760	%		7/12/11			B2		568,594


			Road & Rail – 0.6%

	973		Swift Transportation Company, Inc., Term Loan		6.000	%		12/21/16		BB-			978,792


			Semiconductors & Equipment – 0.6%

	1,000		NXP Semiconductor LLC, Term Loan, WI/DD		TBD			TBD			B-		1,011,875


			Specialty Retail – 0.4%

	750		Burlington Coat Factory Warehouse Corporation, Term Loan B		6.250	%		2/23/17			B-		741,680

$	50,306		Total Variable Rate Senior Loan Interests (cost $50,021,151)										49,354,376


Principal
Amount (000)/
Shares			Description (1)	Coupon			Maturity			Ratings (3)		Value


			Capital Preferred Securities – 0.8% (0.6% of Total Investments)


			Commercial Banks – 0.3%

	420		U.S. Bancorp.		7.189	%		N/A (9)			A	$	357,004
	250		Wells Fargo & Company, Series K		7.980	%		N/A (9)			A		273,750

			Total Commercial Banks										630,754


			Commercial Services & Supplies – 0.2%

	300		Pitney Bowes Interntational Holdings, 144A		6.125	%		N/A (9)		Baa1			292,594



			Diversified Financial Services – 0.3%

	500		JPMorgan Chase & Company		7.900	%		N/A (9)		A			547,055



			Total Capital Preferred Securities (cost $1,309,422)										1,470,403


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


			Short-Term Investments – 5.5% (4.2% of Total Investments)

$	7,686		Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/11, repurchase price $7,686,271, collateralized by $7,950,000 U.S. Treasury Notes, 0.500%, due 11/15/13, value $7,840,688		0.010	%		4/01/11				$	7,686,269

	2,155		Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/11, repurchase price $2,155,140, collateralized by $2,130,000 U.S. Treasury Notes, 3.625%, due 2/15/20, value $2,199,225		0.010	%		4/01/11					2,155,139

$	9,841		Total Short-Term Investments (cost $9,841,408)										9,841,408

			Total Investments (cost $222,007,271) – 133.6%										238,050,463

			Borrowings – (31.4)% (11), (12)										(55,900,000	)

			Other Assets Less Liabilities – (2.2)% (13)										(3,928,215	)

			Net Assets Applicable to Common Shares – 100%									$	178,222,248

Investments in Derivatives
Call Options Written outstanding at March 31, 2011:

Number of				Notional			Expiration			Strike
Contracts			Type	Amount (14)			Date			Price		Value

	(3,690	)	Frontier Communications Corporation	$	(3,321,000	)		5/21/11		$	9.0	$	(18,450	)
	(730	)	Hewlett-Packard Company		(3,358,000	)		5/21/11			46.0		(13,870	)
	(300	)	MetLife Inc.		(1,440,000	)		6/18/11			48.0		(26,850	)
	(550	)	Motorola Mobility Holdings Inc.		(1,650,000	)		7/16/11			30.0		(33,000	)

	(5,270	)	Total Call Options Written (premiums received $637,689)	$	(9,769,000	)						$	(92,170	)

Interest Rate Swaps outstanding at March 31, 2011:

Fund

Fixed Rate

Unrealized

Notional

Pay/Receive

Floating Rate

Fixed

Payment

Termination

Appreciation

Counterparty

Amount

Floating Rate

Index

Rate*

Frequency

Date

(Depreciation)

JPMorgan

13,975,000

Receive

1-Month USD- LIBOR

1.412

Monthly

3/29/14

11,462

Morgan Stanley

13,975,000

Receive

1-Month USD- LIBOR

0.409

Monthly

3/29/12

(4,076

)

Morgan Stanley

13,975,000

Receive

1-Month USD- LIBOR

2.323

Monthly

3/29/16

14,782

22,168


* Annualized.

Fair Value Measurements

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

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

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

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

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 March 31, 2011:


	Level 1			Level 2		Level 3		Total

Investments:
Common Stocks*	$	164,238,962		$	392,973	$	—	$	164,631,935
Convertible Preferred Securities		517,600			—		—		517,600
$25 Par (or similar) Preferred Securities		7,113,202			5,121,539		—		12,234,741
Variable Rate Senior Loan Interests		—			49,354,376		—		49,354,376
Capital Preferred Securities		357,004			1,113,399		—		1,470,403
Short-Term Investments		—			9,841,408		—		9,841,408
Derivatives:
Call Options Written		(92,170	)		—		—		(92,170	)
Interest Rate Swaps**		—			22,168		—		22,168

Total	$	172,134,598		$	65,845,863	$	—	$	237,980,461


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

**		Represents net unrealized appreciation (depreciation).

During the period ended March 31, 2011, the Fund recognized no significant transfers to/from Level 1, Level 2 or Level 3.

Derivative Instruments and Hedging Activities

The Fund records derivative instruments at fair value, with changes in fair value recognized on the Statement of Operations, when applicable. Even though the Fund’s investments in derivatives may represent economic hedges, they are not considered to be hedge transactions for financial reporting purposes.

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

Location on the Statement of Assets and Liabilities

Underlying

Derivative

Asset Derivatives

Liability Derivatives

Risk Exposure

Instrument

Location

Value

Location

Value

Equity Price

Options

—

Call options written, at value

92,170

Interest Rate

Swaps

Unrealized appreciation on
interest rate swaps*

26,244

Unrealized depreciation on
interest rate swaps*

4,076

Total

26,244

96,246


*		Represents cumulative gross unrealized appreciation (depreciation) of swap contracts as reported in the Portfolio of Investments.

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, 2011, the cost of investments (excluding investments in derivatives) was $225,198,156.

Gross unrealized appreciation and gross unrealized depreciation of investments (excluding investments in derivatives) at March 31, 2011, were as follows:



Gross unrealized:
Appreciation	$	30,696,358
Depreciation		(17,844,051	)

Net unrealized appreciation (depreciation) of investments	$	12,852,307


		For Fund portfolio compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications into sectors for reporting ease.

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


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

(3)		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.

(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)		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.

(6)		At or subsequent to March 31, 2011, this issue was under the protection of the Federal Bankruptcy Court.

(7)		Non-income producing; denotes that the issuer has defaulted on the payment of principal or interest or has filed for bankruptcy.

(8)		Investment, or portion of investment, has been pledged as collateral for call options written.

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

(10)		For fair value measurement disclosure purposes, Common Stock categorized as Level 2.

(11)		The Fund may pledge up to 100% of its eligible investments in the Portfolio of Investments as collateral for Borrowings. As of March 31, 2011, investments with a value of $120,500,518 have been pledged as collateral for Borrowings.

(12)		Borrowings as a percentage of Total Investments is 23.5%.

(13)		Other Assets Less Liabilities includes Value and/or the Unrealized Appreciation (Depreciation) of derivative instruments as listed within Investments in Derivatives.

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

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

N/A		Not applicable.

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.

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

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

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



By (Signature and Title)	/s/ Kevin J. McCarthy
	Kevin J. McCarthy
	Vice President and Secretary

Date May 27, 2011

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/ Gifford R. Zimmerman
	Gifford R. Zimmerman
	Chief Administrative Officer (principal executive officer)

Date May 27, 2011



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

Date May 27, 2011