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:    3/31/2009   

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

Nuveen Tax-Advantaged Total Return Strategy Fund (JTA)
March 31, 2009

Shares				Description (1)								Value
				Common Stocks – 88.8% (63.8% of Total Investments)
				Aerospace & Defense – 6.7%
	40,400			Lockheed Martin Corporation								$	2,788,812
	117,300			Raytheon Company									4,567,662
				Total Aerospace & Defense									7,356,474
				Commercial Banks – 6.0%
	164,400			JPMorgan Chase & Co.									4,369,752
	150,000			Wells Fargo & Company									2,136,000
				Total Commercial Banks									6,505,752
				Commercial Services & Supplies – 6.2%
	290,300			Pitney Bowes Inc.									6,778,505
				Containers & Packaging – 2.4%
	201,800			Packaging Corp. of America									2,627,436
				Diversified Telecommunication Services – 5.8%
	105,500			AT&T Inc.									2,658,600
	121,300			Verizon Communications Inc.									3,663,260
				Total Diversified Telecommunication Services									6,321,860
				Electric Utilities – 1.9%
	60,400			EDP – Energias de Portugal, S.A., Sponsored ADR									2,109,772
				Food Products – 2.2%
	105,006			Kraft Foods Inc.									2,340,584
				Household Products – 2.5%
	60,000			Kimberly-Clark Corporation									2,766,600
				Industrial Conglomerates – 1.6%
	175,000			General Electric Company									1,769,250
				Insurance – 7.7%
	210,600			Hartford Financial Services Group, Inc.									1,653,210
	174,100			MetLife, Inc.									3,964,257
	69,000			Travelers Companies, Inc.									2,804,160
				Total Insurance									8,421,627
				Machinery – 1.9%
	75,000			Caterpillar Inc.									2,097,000
				Media – 0.7%
	200,000			CBS Corporation, Class B									768,000
				Metals & Mining – 4.0%
	72,000			Barrick Gold Corporation									2,334,240
	30,800			POSCO, ADR									2,058,364
				Total Metals & Mining									4,392,604
				Multi-Utilities – 1.8%
	139,090			United Utilities PLC, Sponsored ADR									1,919,442
				Oil, Gas & Consumable Fuels – 12.3%
	50,000			Chevron Corporation									3,362,000
	90,000			ConocoPhillips									3,524,400
	87,000			Eni S.p.A., Sponsored ADR									3,333,840
	66,000			Total S.A., Sponsored ADR									3,237,960
				Total Oil, Gas & Consumable Fuels									13,458,200
				Pharmaceuticals – 13.4%
	94,500			GlaxoSmithKline PLC, ADR									2,936,115
	137,500			Merck & Co. Inc.									3,678,125
	224,300			Pfizer Inc.									3,054,966
	180,000			Sanofi-Aventis, ADR									5,027,400
				Total Pharmaceuticals									14,696,606
				Road & Rail – 1.7%
	46,000			Union Pacific Corporation									1,891,060
				Software – 4.5%
	138,500			CA Inc.									2,438,985
	132,100			Microsoft Corporation									2,426,677
				Total Software									4,865,662
				Tobacco – 5.5%
	45,000			Lorillard Inc.									2,778,300
	91,900			Philip Morris International									3,269,802
				Total Tobacco									6,048,102
				Total Common Stocks (cost $132,673,662)									97,134,536

Shares				Description (1)		Coupon				Ratings (2)		Value
				$25 Par (or Similar) Preferred Securities – 6.5% (4.7% of Total Investments)
				Capital Markets – 0.3%
	25,000			Deutsche Bank Capital Funding Trust V		8.050%				Aa3		$	348,500
				Commercial Banks – 2.0%
	25,000			Banco Santander Finance		6.500%				Aa3			349,750
	20,000			Bank of America Corporation		8.200%				BB-			219,200
	15,000			Bank of America Corporation, Series D		6.204%				BB-			149,850
	25,000			Barclays Bank PLC		6.625%				A			269,750
	17,100			Credit Suisse		7.900%				Aa3			291,042
	44,295			HSBC USA Inc.		6.500%				A-			577,607
	25,000			Royal Bank of Scotland Group PLC, Series M		6.400%				Ba2			143,500
	25,000			Royal Bank of Scotland Group PLC		6.600%				Ba2			144,500
				Total Commercial Banks									2,145,199
				Diversified Financial Services – 0.3%
	25,000			ING Groep N.V.		7.200%				A3			244,500
	5,000			ING Groep N.V.		7.050%				BBB			45,600
				Total Diversified Financial Services									290,100
				Electric Utilities – 2.7%
	5,400			Consolidated Edison Company of New York Inc.		5.000%				A3			468,450
	27,400			Georgia Power Company		6.125%				N/A			670,615
	5,000			Gulf Power Company		6.450%				BBB+			498,375
	19,100			Mississippi Power Company		5.250%				A3			463,175
	25,000			PPL Electric Utilities Corporation		6.250%				BBB			497,658
	5,000			Southern California Edison Company		6.125%				Baa2			377,187
				Total Electric Utilities									2,975,460
				Insurance – 1.2%
	31,900			Aegon N.V.		6.375%				Baa1			204,160
	22,800			Arch Capital Group Limited		8.000%				BBB-			452,580
	20,500			Endurance Specialty Holdings Limited		7.750%				BBB-			273,675
	30,000			Prudential PLC		6.750%				A-			383,100
				Total Insurance									1,313,515
				Total $25 Par (or Similar) Preferred Securities (cost $11,918,906)									7,072,774

						Weighted
Principal						Average
Amount (000)				Description (1)		Coupon		Maturity (4)		Ratings (2)		Value
				Variable Rate Senior Loan Interests – 34.4% (24.7% of Total Investments) (3)
				Aerospace & Defense – 1.3%
$	775			Hexcel Corporation, Term Loan B		3.400%		3/01/12		BB+		$	690,029
	694			Vought Aircraft Industries, Inc., Term Loan		3.020%		12/22/11		Ba3			551,444
	242			Vought Aircraft Industries, Inc., Tranche B, Letter of Credit		2.936%		12/22/10		Ba3			179,394
	1,711			Total Aerospace & Defense									1,420,867
				Chemicals – 1.1%
	874			Georgia Gulf Corporation, Term Loan		8.696%		10/03/13		B			383,307
	906			Rockwood Specialties Group, Inc., Term Loan E		2.268%		7/30/12		BB+			796,303
	1,780			Total Chemicals									1,179,610
				Containers & Packaging – 1.9%
	1,872			Graham Packaging Company, L.P., Term Loan		3.567%		10/07/11		B+			1,606,046
	74			Smurfit-Stone Container Corporation, Deposit-Funded Commitment, (5)		4.500%		11/01/10		BB-			49,564
	84			Smurfit-Stone Container Corporation, Term Loan B, (5)		2.750%		11/01/11		BB-			56,406
	158			Smurfit-Stone Container Corporation, Term Loan C, (5)		2.750%		11/01/11		BB-			106,760
	122			Smurfit-Stone Container Corporation, Term Loan, Canadian Revolver, (5)		3.070%		11/01/09		BB-			81,985
	312			Smurfit-Stone Container Corporation, Term Loan, US Revolver, (5)		3.070%		11/01/09		BB-			192,384
	48			Smurfit-Stone Container Corporation, Tranche C1, (5)		2.750%		11/01/11		BB-			32,278
	2,670			Total Containers & Packaging									2,125,423
				Diversified Consumer Services – 0.8%
	958			Weight Watchers International, Inc., Term Loan B		2.381%		1/26/14		BB+			893,714
				Diversified Telecommunication Services – 0.8%
	953			MetroPCS Wireless, Inc., Term Loan		3.213%		11/03/13		Ba2			869,341
				Electric Utilities – 2.8%
	1,702			Dynegy Holdings, Inc., Delayed Term Loan		2.020%		4/02/13		Ba1			1,490,426
	293			Dynegy Holdings, Inc., Term Loan		2.020%		4/02/13		Ba1			256,912
	1,970			TXU Corporation, Term Loan B2		4.033%		10/10/14		Ba3			1,306,972
	3,965			Total Electric Utilities									3,054,310
				Electrical Equipment – 1.2%
	1,409			Sensus Metering Systems, Inc., Term Loan B1		2.856%		12/17/10		BB			1,274,870
				Health Care Providers & Services – 2.3%
	460			IASIS Healthcare LLC, Delayed Term Loan		2.518%		3/14/14		Ba2			392,221
	124			IASIS Healthcare LLC, Letter of Credit		0.418%		3/14/14		Ba2			105,382
	1,330			IASIS Healthcare LLC, Term Loan		2.518%		3/14/14		Ba2			1,133,442
	970			Quintiles Transnational Corporation, Term Loan B		2.957%		3/29/13		BB			870,575
	2,884			Total Health Care Providers & Services									2,501,620
				Hotels, Restaurants & Leisure – 3.3%
	1,940			24 Hour Fitness Worldwide, Inc., Term Loan B		3.489%		6/08/12		Ba3			989,400
	763			CBRL Group, Inc., Term Loan B1		2.688%		4/27/13		BB-			657,589
	92			CBRL Group, Inc., Term Loan B2		2.000%		4/28/13		BB-			79,108
	89			Travelport LLC, Letter of Credit		3.470%		8/23/13		Ba2			52,344
	445			Travelport LLC, Term Loan		3.023%		8/23/13		Ba2			260,869
	595			Venetian Casino Resort LLC, Delayed Term Loan		2.270%		5/23/14		B-			318,965
	2,358			Venetian Casino Resort LLC, Term Loan		2.270%		5/23/14		B-			1,263,004
	6,282			Total Hotels, Restaurants & Leisure									3,621,279
				Insurance – 0.3%
	1,152			Conseco, Inc., Term Loan		2.564%		10/10/13		Caa1			374,294
				IT Services – 2.8%
	1,970			First Data Corporation, Term Loan B1		3.272%		9/24/14		Ba3			1,334,552
	2,017			SunGard Data Systems, Inc., Term Loan B		2.696%		2/28/14		BB			1,719,112
	3,987			Total IT Services									3,053,664
				Machinery – 1.3%
	1,995			Manitowoc Company, Term Loan		6.500%		11/06/14		BB+			1,433,906
				Media – 8.1%
	1,965			CanWest Mediaworks LP, Term Loan		3.256%		7/10/15		B3			751,612
	1,960			Cequel Communications LLC, Term Loan B		2.521%		11/05/13		BB-			1,699,755
	2,172			Charter Communications Operating Holdings LLC, Term Loan		3.211%		3/06/14		B1			1,783,261
	1,955			Idearc, Inc., Term Loan, (5), (6)		3.220%		11/17/14		B3			755,119
	965			Metro-Goldwyn-Mayer Studios, Inc., Term Loan B		3.768%		4/08/12		N/R			435,915
	953			Neilsen Finance LLC, Term Loan		2.533%		8/09/13		Ba3			745,656
	1,975			Tribune Company, Term Loan B, (5), (6)		3.920%		6/04/14		Ca			522,316
	341			Tribune Company, Term Loan X, (5), (6)		3.420%		6/04/09		Ca			88,576
	2,000			Univision Communications, Inc., Term Loan		2.768%		9/29/14		B2			1,048,750
	1,124			WMG Acquisition Corporation, Term Loan		2.982%		2/28/11		BB			992,670
	15,410			Total Media									8,823,630
				Metals & Mining – 2.0%
	1,010			Amsted Industries, Inc., Delayed Term Loan		3.243%		4/06/13		BB			913,760
	1,390			Amsted Industries, Inc., Term Loan		3.124%		4/06/13		BB			1,258,211
	2,400			Total Metals & Mining									2,171,971
				Pharmaceuticals – 1.0%
	1,128			Mylan Laboratories, Inc., Term Loan		4.367%		10/02/14		BB			1,050,485
				Real Estate Management & Development – 0.6%
	1,320			LNR Property Corporation, Term Loan B		4.000%		7/12/11		BB			717,750
				Road & Rail – 0.8%
	1,767			Swift Transportation Company, Inc., Term Loan		3.750%		5/10/14		B-			905,815
				Specialty Retail – 0.6%
	1,480			TRU 2005 RE Holding Co I LLC, Term Loan		3.497%		12/08/09		B3			680,949
				Trading Companies & Distributors – 1.4%
	912			Ashtead Group Public Limited Company, Term Loan		2.375%		8/31/11		BB+			775,200
	196			Brenntag Holdings GmbH & Co. KG, Acquisition Facility		2.598%		1/20/14		B+			144,327
	804			Brenntag Holdings GmbH & Co. KG, Facility B2		3.206%		1/20/14		B+			590,673
	1,912			Total Trading Companies & Distributors									1,510,200
$	55,163			Total Variable Rate Senior Loan Interests (cost $55,072,737)									37,663,698

Principal
Amount (000)				Description (1)		Coupon		Maturity				Value
				Short-Term Investments – 9.5% (6.8% of Total Investments)
$	10,423			Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/09, repurchase price $10,423,336, collateralized by $10,570,000 U.S. Treasury Notes, 1.750%, due 1/31/14, value $10,636,063		0.100%		4/01/09				$	10,423,307
				Total Short-Term Investments (cost $10,423,307)									10,423,307
				Total Investments (cost $210,088,612) – 139.2%									152,294,315
				Borrowings – (14.2)% (7), (8)									(15,500,000	)
				Other Assets Less Liabilities – 1.4%									1,430,233
				FundPreferred Shares, at Liquidation Value – (26.4)% (7)									(28,850,000	)
				Net Assets Applicable to Common Shares – 100%								$	109,374,548

During the current fiscal period, the Fund adopted the provisions of Statement of Financial Accounting Standards No. 157 (SFAS No. 157) “Fair Value Measurements.” SFAS No. 157 defines fair value, establishes a framework for measuring fair value in generally accepted accounting principles, and expands disclosure about 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, 2009:

		Level 1		Level 2		Level 3		Total
Investments		$109,228,183		$43,066,132	$	—	$	152,294,315

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, 2009, the cost of investments was $212,602,942.

Gross unrealized appreciation and gross unrealized depreciation of investments at March 31, 2009, were as follows:

Gross unrealized:
Appreciation		$	8,955,171
Depreciation			(69,263,798	)
Net unrealized appreciation (depreciation) of investments		$	(60,308,627	)

(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)		This issue is 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)		Borrowings and FundPreferred Shares, at Liquidation Value as a percentage of Total Investments are 10.2% and 18.9%, respectively.
(8)		The Fund may pledge up to 100% of its eligible investments in the Portfolio of Investments as collateral for Borrowings. As of March 31, 2009, investments with a value of $55,906,785 have been pledged as collateral for Borrowings.
N/A		Not applicable/not available.
N/R		Not rated.
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 29, 2009

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 29, 2009

Date May 29, 2009