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:    9/30/2008   

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)
September 30, 2008

Shares				Description (1)								Value
				Common Stocks – 119.2% (68.3% of Total Investments)
				Aerospace & Defense – 7.6%
	53,500			Lockheed Martin Corporation								$	5,867,345
	166,700			Raytheon Company									8,920,117
				Total Aerospace & Defense									14,787,462
				Capital Markets – 7.4%
	311,400			JPMorgan Chase & Co.									14,542,378
				Commercial Banks – 4.6%
	240,000			Wells Fargo & Company									9,007,200
				Commercial Services & Supplies – 7.0%
	410,500			Pitney Bowes Inc.									13,653,230
				Communications Equipment – 4.0%
	1,093,800			Motorola, Inc.									7,809,732
				Containers & Packaging – 2.4%
	201,800			Packaging Corp. of America									4,677,724
				Diversified Financial Services – 2.4%
	229,000			Citigroup Inc.									4,696,790
				Diversified Telecommunication Services – 12.0%
	244,600			AT&T Inc.									6,829,232
	343,000			KT Corporation, Sponsored ADR									5,758,970
	235,000			Telecom Italia S.p.A., Sponsored ADR									2,667,250
	256,500			Verizon Communications Inc.									8,231,085
				Total Diversified Telecommunication Services									23,486,537
				Electric Utilities – 4.1%
	95,300			EDP – Energias de Portugal, S.A., Sponsored ADR									3,934,241
	323,000			Korea Electric Power Corporation, Sponsored ADR									4,001,970
				Total Electric Utilities									7,936,211
				Food Products – 1.9%
	114,806			Kraft Foods Inc.									3,759,897
				Household Durables – 2.7%
	307,000			Newell Rubbermaid Inc.									5,298,820
				Household Products – 5.3%
	160,000			Kimberly-Clark Corporation									10,374,400
				Industrial Conglomerates – 3.3%
	250,000			General Electric Company									6,375,000
				Insurance – 6.1%
	377,400			Genworth Financial Inc., Class A									3,249,414
	210,600			Hartford Financial Services Group, Inc.									8,632,494
				Total Insurance									11,881,908
				Machinery – 2.3%
	75,000			Caterpillar Inc.									4,470,000
				Media – 2.9%
	200,000			CBS Corporation, Class B									2,916,000
	168,100			Gannett Company Inc.									2,842,571
				Total Media									5,758,571
				Metals & Mining – 2.0%
	41,000			POSCO, ADR									3,828,170
				Multi-Utilities – 1.8%
	139,090			United Utilities PLC, Sponsored ADR									3,446,080
				Oil, Gas & Consumable Fuels – 14.0%
	80,000			Chevron Corporation									6,598,400
	113,400			ConocoPhillips									8,306,550
	132,500			Eni S.p.A., Sponsored ADR									7,015,875
	90,000			Total S.A., Sponsored ADR									5,461,200
				Total Oil, Gas & Consumable Fuels									27,382,025
				Paper & Forest Products – 4.3%
	220,000			International Paper Company									5,759,600
	270,200			Stora Enso Oyj, Sponsored ADR									2,592,245
				Total Paper & Forest Products									8,351,845
				Pharmaceuticals – 10.6%
	175,000			GlaxoSmithKline PLC, Sponsored ADR									7,605,500
	341,200			Pfizer Inc.									6,291,728
	206,000			Sanofi-Aventis, Sponsored ADR									6,771,220
				Total Pharmaceuticals									20,668,448
				Road & Rail – 1.6%
	46,000			Union Pacific Corporation									3,273,360
				Tobacco – 8.9%
	165,900			Altria Group, Inc.									3,291,458
	108,600			Lorillard Inc.									7,726,890
	133,900			Philip Morris International									6,440,590
				Total Tobacco									17,458,938
				Total Common Stocks (cost $244,718,940)									232,924,726

Shares				Description (1)		Coupon				Ratings (2)		Value
				$25 Par (or similar) Preferred Securities – 12.7% (7.3% of Total Investments)
				Capital Markets – 1.1%
	30,000			Deutsche Bank Capital Funding Trust V		8.050%				Aa3		$	606,000
	30,000			JP Morgan Chase & Company		8.625%				A1			749,700
	1,000,000			JP Morgan Chase & Company		7.900%				A1			844,131
				Total Capital Markets									2,199,831
				Commercial Banks – 4.4%
	25,000			Banco Santander Finance		6.800%				Aa3			425,000
	75,000			Banco Santander Finance		6.500%				Aa3			1,239,750
	50,000			Bank of America Corporation		8.200%				A+			1,137,500
	33,100			Bank of America Corporation		6.204%				A			600,765
	25,000			Barclays Bank PLC		8.125%				Aa3			427,500
	50,000			Barclays Bank PLC		6.625%				Aa3			745,000
	40,000			Credit Suisse		7.900%				Aa3			816,000
	19,200			HSBC Holdings PLC		6.200%				A1			329,280
	62,200			HSBC USA Inc.		6.500%				A			1,212,900
	40,000			Royal Bank of Scotland Group PLC, Series M		6.400%				A1			370,400
	40,000			Royal Bank of Scotland Group PLC, Series N		6.350%				A1			386,000
	20,000			Royal Bank of Scotland Group PLC		6.600%				A1			173,000
	85,000			Wachovia Corporation		8.000%				A-			709,750
				Total Commercial Banks									8,572,845
				Diversified Financial Services – 1.2%
	60,000			Citigroup Inc., Series M		8.125%				A			990,000
	1,000,000			Citigroup Inc.		8.400%				A			681,910
	25,000			ING Groep N.V.		7.200%				A1			343,750
	12,200			ING Groep N.V.		7.050%				A			160,552
	15,000			ING Groep N.V.		6.125%				A			180,000
				Total Diversified Financial Services									2,356,212
				Electric Utilities – 4.5%
	38,900			Alabama Power Company, Series A		5.300%				BBB+			820,012
	50,000			Alabama Power Company		5.625%				BBB+			1,132,815
	8,600			Consolidated Edison Company of New York Inc.		5.000%				A3			747,340
	40,000			Georgia Power Company		6.125%				A			1,000,000
	5,000			Gulf Power Company		6.450%				BBB+			467,336
	34,700			Interstate Power and Light Company		7.100%				Baa2			828,983
	36,400			Mississippi Power Company		5.250%				A3			748,020
	65,000			PPL Electric Utilities Corporation		6.250%				BBB			1,574,222
	10,000			Southern California Edison Company, Series C		6.000%				Baa2			956,250
	5,000			Southern California Edison Company		6.125%				Baa2			478,125
				Total Electric Utilities									8,753,103
				Insurance – 1.1%
	31,900			Aegon N.V.		6.375%				A-			272,107
	22,800			Arch Capital Group Limited		8.000%				BBB-			462,840
	50,000			Endurance Specialty Holdings Limited		7.750%				BBB-			700,000
	30,000			Prudential PLC		6.750%				A-			316,500
	30,000			Prudential PLC		6.500%				A-			324,000
				Total Insurance									2,075,447
				U.S. Agency – 0.4%
	25,000			Federal Home Loan Mortgage Corporation		5.570%				Ca			31,250
	40,000			Federal Home Loan Mortgage Corporation		6.550%				Ca			51,400
	25,000			Federal Home Loan Mortgage Corporation		6.420%				C			45,000
	18,400			Federal Home Loan Mortgage Corporation		6.000%				Ca			44,160
	20,000			Federal Home Loan Mortgage Corporation		5.700%				Ca			37,400
	52,300			Federal Home Loan Mortgage Corporation		5.660%				Ca			44,131
	21,200			Federal Home Loan Mortgage Corporation		5.000%				Ca			45,474
	74,600			Federal Home Loan Mortgage Corporation		8.375%				C			121,598
	47,000			Federal National Mortgage Association		8.250%				C			96,350
	20,000			Federal National Mortgage Association		6.750%				Ca			36,000
	15,000			Federal National Mortgage Association		5.500%				Ca			49,500
	19,800			Federal National Mortgage Association		5.125%				Ca			69,300
	100,000			Federal National Mortgage Association		8.250%				C			218,000
				Total U.S. Agency									889,563
				Total $25 Par (or similar) Preferred Securities (cost $48,285,370)									24,847,001

						Weighted
Principal						Average
Amount (000)				Description (1)		Coupon		Maturity (3)		Ratings (2)		Value
				Variable Rate Senior Loan Interests – 40.4% (23.1% of Total Investments) (4)
				Aerospace & Defense – 1.3%
$	777			Hexcel Corporation, Term Loan B		4.938%		3/01/12		BB+		$	754,012
	1,579			Vought Aircraft Industries, Inc., Term Loan		6.210%		12/22/11		Ba3			1,433,575
	364			Vought Aircraft Industries, Inc., Tranche B, Letter of Credit		4.953%		12/22/10		Ba3			330,227
	2,720			Total Aerospace & Defense									2,517,814
				Building Products – 0.3%
	776			Armstrong World Industries, Inc., Tranche B, Term Loan		4.943%		10/02/13		BBB-			717,893
	2,000			Manitowoc Company, Inc., Delayed Draw Term Loan, (5), (6)		0.500%		8/30/14		BB+			(83,500	)
	2,776			Total Building Products									634,393
				Chemicals – 1.3%
	878			Georgia Gulf Corporation, Term Loan		2.500%		10/03/13		Ba3			788,108
	1,930			Rockwood Specialties Group, Inc., Term Loan E		4.299%		7/30/12		BB+			1,753,888
	2,808			Total Chemicals									2,541,996
				Commercial Services & Supplies – 2.0%
	675			Allied Waste North America, Inc., Letter of Credit		3.863%		3/28/14		BBB-			651,947
	944			Allied Waste North America, Inc., Term Loan B		5.471%		3/28/14		BBB-			912,246
	105			Aramark Corporation, Letter of Credit		4.801%		1/24/14		BB			91,622
	1,658			Aramark Corporation, Term Loan		5.637%		1/24/14		BB			1,442,192
	1,094			Berry Plastics Holding Corporation, Term Loan		4.798%		4/03/15		BB-			890,057
	4,476			Total Commercial Services & Supplies									3,988,064
				Containers & Packaging – 1.3%
	1,905			Graham Packaging Company, L.P., Term Loan		5.059%		10/07/11		B+			1,708,172
	175			Smurfit-Stone Container Corporation, Deposit-Funded Commitment		4.713%		11/01/10		BB			160,978
	196			Smurfit-Stone Container Corporation, Term Loan B		4.729%		11/01/11		BB			180,476
	371			Smurfit-Stone Container Corporation, Term Loan C		4.741%		11/01/11		BB			341,322
	116			Smurfit-Stone Container Corporation, Tranche C-1		4.500%		11/01/11		BB			107,125
	2,763			Total Containers & Packaging									2,498,073
				Diversified Consumer Services – 1.0%
	1,965			Weight Watchers International, Inc., Term Loan B		4.313%		1/26/14		BB+			1,870,025
				Diversified Telecommunication Services – 0.9%
	1,960			MetroPCS Wireless, Inc., Term Loan		5.402%		11/03/13		BB-			1,754,900
				Electric Utilities – 2.2%
	1,702			Dynegy Holdings, Inc., Delayed Term Loan		5.210%		4/02/13		Ba1			1,460,426
	295			Dynegy Holdings, Inc., Term Loan		5.210%		4/02/13		Ba1			253,019
	1,980			TXU Corporation, Term Loan B-2		6.228%		10/10/14		Ba3			1,680,525
	992			TXU Corporation, Term Loan B-3		6.280%		10/10/14		Ba3			840,951
	4,969			Total Electric Utilities									4,234,921
				Electrical Equipment – 0.7%
	1,409			Sensus Metering Systems, Inc., Term Loan B-1		4.715%		12/17/10		BB			1,384,043
				Food Products – 1.0%
	2,000			Wrigley Wm. Jr. Company, Term Loan B, WI/DD		TBD		TBD		N/R			1,965,893
				Health Care Equipment & Supplies – 1.9%
	260			Bausch & Lomb, Delayed Term Loan, (5)		4.707%		4/24/15		BB-			230,277
	1,719			Bausch & Lomb, Term Loan		7.012%		4/24/15		BB-			1,599,821
	1,990			Biomet, Inc., Term Loan		6.762%		3/24/15		BB-			1,838,228
	3,969			Total Health Care Equipment & Supplies									3,668,326
				Health Care Providers & Services – 3.7%
	96			Community Health Systems, Inc., Delayed Draw, Term Loan, (5), (6)		1.000%		7/25/14		BB			(11,492	)
	1,872			Community Health Systems, Inc., Term Loan		5.277%		7/25/14		BB			1,647,598
	1,317			Davita, Inc., Term Loan B-1		4.880%		10/05/12		BB+			1,192,845
	1,965			HCA, Inc., Term Loan		6.012%		11/18/13		BB			1,727,972
	463			IASIS Healthcare LLC, Delayed Term Loan		5.704%		3/14/14		Ba2			415,634
	124			IASIS Healthcare LLC, Letter of Credit		3.604%		3/14/14		Ba2			111,113
	1,337			IASIS Healthcare LLC, Term Loan		5.704%		3/14/14		Ba2			1,201,178
	–	(9)		LifePoint Hospitals, Inc., Term Loan B		4.435%		4/18/12		Ba1			2
	975			Quintiles Transnational Corporation, Term Loan B		5.770%		3/29/13		BB			866,531
	8,149			Total Health Care Providers & Services									7,151,381
				Hotels, Restaurants & Leisure – 3.5%
	1,950			24 Hour Fitness Worldwide, Inc., Term Loan B		5.677%		6/08/12		Ba3			1,716,000
	767			CBRL Group, Inc., Term Loan B-1		4.300%		4/28/13		BB-			673,110
	92			CBRL Group, Inc., Term Loan B-2		4.300%		4/28/13		BB-			80,927
	1,940			Penn National Gaming, Inc., Term Loan B		4.484%		10/03/12		BB+			1,753,760
	89			Travelport LLC, Letter of Credit		6.012%		8/23/13		BB-			71,898
	445			Travelport LLC, Term Loan		6.012%		8/23/13		BB-			358,325
	599			Venetian Casino Resort LLC, Delayed Term Loan		5.520%		5/23/14		BB-			455,608
	2,370			Venetian Casino Resort LLC, Term Loan		5.520%		5/23/14		BB-			1,804,162
	8,252			Total Hotels, Restaurants & Leisure									6,913,790
				Household Products – 0.6%
	1,184			Solo Cup Company, Term Loan		6.466%		2/27/11		B			1,117,764
				Independent Power Producers & Energy Traders – 0.6%
	469			NRG Energy, Inc., Credit-Linked Deposit		2.701%		2/01/13		Ba1			414,014
	954			NRG Energy, Inc., Term Loan		5.262%		2/01/13		Ba1			842,710
	1,423			Independent Power Producers & Energy Traders									1,256,724
				Insurance – 0.4%
	1,159			Conseco, Inc., Term Loan		5.709%		10/10/13		B+			872,349
				IT Services – 1.8%
	1,980			First Data Corporation, Term Loan B-1		5.963%		9/24/14		BB-			1,697,025
	2,022			SunGard Data Systems, Inc., Term Loan B		4.553%		2/28/14		BB			1,764,563
	4,002			Total IT Services									3,461,588
				Life Sciences Tools & Services – 1.0%
	2,000			Invitrogen Corporation, Term Loan, WI/DD		TBD		TBD		BBB-			1,957,084
				Media – 7.7%
	1,975			CanWest Mediaworks LP, Term Loan		4.810%		7/10/15		Ba2			1,723,188
	1,970			Cequel Communications LLC, Term Loan B		4.792%		11/05/13		BB-			1,718,826
	2,184			Charter Communications Operating Holdings LLC, Term Loan		4.800%		3/06/14		B+			1,744,071
	1,950			CSC Holdings, Inc., Term Loan		4.569%		3/29/13		BBB-			1,727,142
	1,965			Idearc, Inc., Term Loan		5.767%		11/17/14		BB			1,161,315
	970			Metro-Goldwyn-Mayer Studios, Inc., Term Loan B		7.012%		4/08/12		Ba3			692,652
	1,960			Neilsen Finance LLC, Term Loan		4.803%		8/09/13		Ba3			1,701,293
	1,975			Tribune Company, Term Loan B		5.786%		6/04/14		B			1,051,688
	341			Tribune Company, Term Loan X		5.541%		6/04/09		B			315,733
	2,000			Univision Communications, Inc., Term Loan		5.121%		9/29/14		B1			1,297,000
	2,134			WMG Acquisition Corporation, Term Loan		5.073%		2/28/11		BB			1,934,114
	19,424			Total Media									15,067,022
				Metals & Mining – 1.1%
	1,015			Amsted Industries, Inc., Delayed Term Loan		5.035%		4/08/13		BB			934,037
	1,398			Amsted Industries, Inc., Term Loan		4.842%		4/08/13		BB			1,285,710
	2,413			Total Metals & Mining									2,219,747
				Paper & Forest Products – 0.8%
	1,861			Georgia-Pacific Corporation, Term Loan B		4.694%		12/21/12		BB+			1,648,890
				Pharmaceuticals – 2.0%
	2,167			Mylan Laboratories, Inc., Term Loan		7.037%		10/02/14		BB			2,020,689
	1,970			Royalty Pharma Finance Trust, Term Loan		6.012%		4/16/13		Baa2			1,873,962
	4,137			Total Pharmaceuticals									3,894,651
				Real Estate Management & Development – 0.4%
	1,320			LNR Property Corporation, Term Loan B		6.040%		7/12/11		BB			866,800
				Road & Rail – 0.6%
	1,767			Swift Transportation Company, Inc., Term Loan		6.063%		5/10/14		B+			1,153,256
				Specialty Retail – 0.7%
	1,500			TRU 2005 RE Holding Co., LLC, Term Loan		5.486%		12/08/08		B3			1,317,000
				Textiles, Apparel & Luxury Goods – 0.7%
	1,395			HBI Branded Apparel Limited, Inc., Term Loan		4.709%		9/05/13		BB+			1,275,227
				Trading Companies & Distributors – 0.9%
	912			Ashtead Group Public Limited Company, Term Loan		4.563%		8/31/11		Ba2			852,720
	196			Brenntag Holdings GMBH & Co. KG, Acquisition Facility		5.071%		1/20/14		B+			165,927
	804			Brenntag Holdings GMBH & Co. KG, Facility B2		5.071%		1/20/14		B+			679,071
	1,912			Total Trading Companies & Distributors									1,697,718
$	93,713			Total Variable Rate Senior Loan Interests (cost $91,246,094)									78,929,439

Principal
Amount (000)				Description (1)		Coupon				Maturity				Value
				Short-Term Investments – 2.3% (1.3% of Total Investments)
$	4,499			Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/08, repurchase price $4,499,328, collateralized by $4,515,000 U.S. Treasury Notes, 4.750%, due 2/28/09, value $4,594,013			0.100%			10/01/08				$	4,499,315
				Total Short-Term Investments (cost $4,499,315)											4,499,315
				Total Investments (cost $388,749,719) – 174.6%											341,200,481
				Borrowings – (48.9)% (7), (8)											(95,500,000	)
				Other Assets Less Liabilities – (2.7)%											(5,323,362	)
				FundPreferred Shares, at Liquidation Value – (23.0)% (7)											(45,000,000	)
				Net Assets Applicable to Common Shares – 100%										$	195,377,119

(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 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.
(4)		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.
(5)		Position or portion of position represents an unfunded Senior Loan commitment outstanding at September 30, 2008. At September 30, 2008, the Fund had unfunded Senior Loan Commitments of $2,269,291.
(6)		Negative value represents unrealized depreciation on unfunded Senior Loan commitment outstanding at September 30, 2008.
(7)		Borrowings and FundPreferred Shares, at Liquidation Value as a percentage of Total Investments are 28.0% and 13.2%, respectively.
(8)		The Fund may pledge up to 100% of its eligible securities in the Portfolio of Investment as collateral for Borrowings.
(9)		Principal Amount (000) rounds to less than $1,000.
N/R		Not rated.
ADR		American Depositary Receipt.
WI/DD		Purchased on a when-issued or delayed delivery basis.
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.

Fair Value Measurements

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 September 30, 2008:

		Level 1				Level 2				Level 3				Total
Investments			$  246,088,306				$  95,112,175				$  —				$  341,200,481

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, 2008, the cost of investments was $394,542,359.

Gross unrealized appreciation and gross unrealized depreciation of investments at September 30, 2008, were as follows:

Gross unrealized:
Appreciation		$	39,756,990
Depreciation			(93,098,868	)
Net unrealized appreciation (depreciation) of investments		$	(53,341,878	)

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 28, 2008

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 28, 2008

Date November 28, 2008