Nuveen Investment Trust Iii NCSRS Certified semi-annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number 811-09037

Nuveen Investment Trust III

(Exact name of registrant as specified in charter)

Nuveen Investments

333 West Wacker Drive Chicago, IL 60606

(Address of principal executive offices) (Zip code)

Kevin J. McCarthy

Nuveen Investments

333 West Wacker Drive Chicago, IL 60606

(Name and address of agent for service)

Registrant’s telephone number, including area code: (312) 917-7700

Date of fiscal year end: September 30

Date of reporting period: March 31, 2010

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policy making roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR 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 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. ss.3507.

Item 1. Reports to Stockholders.

Mutual Funds

LOGO

Nuveen Taxable Bond Funds

For investors seeking attractive monthly income and portfolio diversification potential.

Semi-Annual Report

March 31, 2010


Nuveen Short Duration Bond Fund				Nuveen Multi-Strategy Core Bond Fund				Nuveen High Yield Bond Fund

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LOGO


Must be preceded by or accompanied by a prospectus.		NOT FDIC INSURED		MAY LOSE VALUE		NO BANK GUARANTEE

Chairman’s

Letter to Shareholders

LOGO

Dear Shareholder,

The economic environment in which your Fund operates reflects continuing but uneven economic recovery. The U.S. and other major industrial countries are experiencing steady but comparatively low levels of economic growth, while emerging market countries are seeing a resumption of relatively strong economic expansion. The largest source of economic uncertainty is the potential impact of steps being considered by many governments to counteract the extraordinary governmental spending and credit expansion carried out to deal with the financial and economic crisis of 2008. Consequently, the implications for future tax rates, government spending, interest rates and the pace of economic recovery in the U.S. and other leading economies are extremely difficult to predict at the present time. The long term health of the global economy depends on restoring some measure of fiscal discipline around the world, but since all of the corrective steps require economic pain, it is not surprising that governments are reluctant to undertake them.

In the near term, governments remain committed to furthering economic recovery and realizing a meaningful reduction in their national unemployment rates. Such an environment should produce continued economic growth and, consequently, attractive investment opportunities. Over the longer term, the larger uncertainty mentioned earlier carries the risk of unexpected potholes in the road to sustained recovery. For this reason, Nuveen’s investment management teams are working hard to balance return and risk by building well-diversified portfolios, among other strategies. I encourage you to read the following commentary on the management of your Fund. As always, I also encourage you to contact your financial consultant if you have any questions about your Nuveen Fund investment.

On behalf of the other members of your Fund’s Board, we look forward to continuing to earn your trust in the months and years ahead.

Sincerely,

LOGO

Robert P. Bremner

Chairman of the Board

May 21, 2010


Nuveen Investments		1

Portfolio Manager’s Comments

Certain statements in this report are forward-looking statements. Discussions of specific investments are for illustration only and are not intended as recommendations of individual investments. The forward looking statements and other views expressed herein are those of the portfolio manager as of the date of this report. Actual future results or occurrences may differ significantly from those anticipated in any forward-looking statements and the views expressed herein are subject to change at any time, due to numerous market and other factors. The Funds disclaim any obligation to update publicly or revise any forward-looking statements or views expressed herein.

Effective January 31, 2010, the Nuveen Multi-Strategy Income Fund changed its name to the Nuveen Multi-Strategy Core Bond Fund. There was no change in the Fund’s investment objectives, policies or portfolio management personnel.

The Nuveen Short Duration Bond Fund, Nuveen Multi-Strategy Core Bond Fund and Nuveen High Yield Bond Fund feature portfolio management by the Taxable Fixed Income group of Nuveen Asset Management. We recently spoke with Andrew Stenwall, Chief Investment Officer and Co-Director of Taxable Fixed Income at Nuveen Asset Management, and the Funds’ portfolio manager, about the performance and management of the Funds during the six-month reporting period ended March 31, 2010.

How did the Funds perform during the six-month period ended March 31, 2010?

The table on page five provides performance information for the Funds for the six-month, one-year, five-year and since inception periods ended March 31, 2010. The table also compares the Funds’ performance to appropriate benchmarks. Over this period, each Fund outperformed a comparative market index and underperformed the relevant Lipper group index. A more detailed account of each Fund’s relative performance is provided later in this report.

What are the Funds’ investment strategies and how were they applied during the six-month period ended March 31, 2010? How did these strategies influence performance?

Nuveen Short Duration Bond Fund

Over this period, the Nuveen Taxable Fixed Income team maintained its basic strategy of seeking to maximize total return through an active, risk managed approach that employed bottom-up analysis with deep specialization that looked at issuer fundamentals and relative value. By diversifying active investment strategies in the portfolio, we believe that we can manage portfolio returns across a wide array of economic and market environments. We employ fundamental credit analysis in an attempt to limit default risk and enhance returns throughout the credit cycle. We diversify across global interest rates in an effort to capture value in non U.S. bonds on a currency-hedged basis. We also use a quantitative approach to mortgage- and asset-backed securities analysis designed to evaluate both prepayment and credit risk and capture relative value. Lastly, we actively manage our non-U.S. dollar positions, which are designed to take advantage of opportunities in the changes in the value of the dollar versus other currencies.


2		Nuveen Investments

For the reporting period, our position in asset-backed securities (ABS) performed well. In particular, ABS backed by credit cards and automobile loans positively contributed to performance. The Fund also benefited from our high yield positions, especially in the manufacturing, energy, service and utilities sectors. Generally speaking, lower quality, higher yielding sectors outperformed throughout the period. Our corporate bond positions in finance, manufacturing, energy, services and utilities all contributed positively to the Fund’s performance as well.

While our position in commercial mortgage-backed securities (CMBS) aided the Fund’s performance on a relative basis, our significant underweight versus the Lipper group accounted for the Fund’s underperformance against that index. We believe there are opportunities in CMBS, especially in the well-structured senior tranches. We remain wary of the mezzanine bonds and junior tranches. Also contributing to the Fund’s underperformance versus its Lipper group was its slightly shorter duration.

The Fund also used interest rate swaps to manage its exposure to U.S. interest rates. Looking at global fixed-income markets during the period, we generally had long exposure in securities issued in Australia, South Korea, Mexico, Norway, New Zealand, Turkey and Brazil. We generally had short exposure to securities issued in South Africa, the United Kingdom, Poland and Switzerland. Combined, these positions contributed neutrally to the Fund’s performance during the reporting period.

We also employed a currency overlay strategy, which involved taking both long (owning the actual security) and short (the Fund does not own the security, but has sold short through the delivery of a borrowed security) positions to manage the Fund’s currency exposure risk. The strategy detracted from performance, as several times throughout the period we were stopped out of our positions. When we re-entered, we were not able to fully re-coup all the losses. Throughout the period, we had long currency positions in Turkey, Brazil, Mexico, Poland, New Zealand, South Africa and Australia, which we exited by the end of the reporting period. Generally, we were short the Euro, British pound and Japanese yen.

Nuveen Multi-Strategy Core Bond Fund

During the reporting period, we continued to employ an investment strategy similar to the one used for the Nuveen Short Duration Bond Fund. We sought to maximize total return through an active, risk managed, relative value approach. By diversifying active investment strategies in the portfolio, we believed that we could better manage portfolio returns across a wide array of economic and market environments.

As with the Nuveen Short Duration Bond Fund, our position in asset-backed securities (ABS) performed well during the reporting period. In particular, ABS backed by credit cards and automobile loans positively contributed to performance. The Fund also benefited from our high yield positions, especially in the manufacturing, energy, service and utilities sectors. Generally speaking, lower quality, higher yielding sectors outperformed throughout the period. Our corporate bond positions in finance, manufacturing, energy, services and utilities all contributed positively to the Fund’s performance as well.


Nuveen Investments		3

While our position in commercial mortgage-backed securities (CMBS) aided the Fund’s performance on a relative basis, our significant underweight versus the Lipper group accounted for the Fund’s underperformance compared with this index. We believe there are opportunities in CMBS, especially in the well-structured senior tranches. We remain wary of the mezzanine bonds and junior tranches. Also contributing to the Fund’s underperformance versus its Lipper group was its slightly shorter duration.

The Fund also used interest rate swaps to manage its exposure to U.S. interest rates. Looking at global fixed-income markets during the period, we generally had long exposure to securities issued in Australia, South Korea, Mexico, Norway, New Zealand, Turkey and Brazil. We generally held short exposure to securities issued in South Africa, the United Kingdom, Poland and Switzerland. Combined, these positions contributed neutrally to the Fund’s performance during the reporting period.

We also employed a currency overlay strategy, which involved taking both long (owning the actual security) and short (the Fund does not own the security, but has sold short through the delivery of a borrowed security) positions to manage the Fund’s currency exposure risk. The strategy detracted from performance, as several times throughout the period we were stopped out of our positions. When we re-entered we were not able to fully re-coup all the losses. Throughout the period we typically had long currency positions in Turkey, Brazil, Mexico, Poland, New Zealand, South Africa and Australia, which we exited by the end of the reporting period. Generally, we were short the Euro, British pound and Japanese yen.

Nuveen High Yield Bond Fund

Throughout the reporting period, we sought to maximize total return by investing in a diversified portfolio of high yield corporate debt securities. We continued to employ a disciplined, analytical, bottom-up approach with deep specialization that looked at issuer fundamentals and relative value. The Fund focused on BB/B rated credits, seeking securities with improving fundamentals and relatively strong cash flows that appeared under-priced compared to industry peers.

Sector selection continues to play an important role in navigating the high yield market, particularly during periods of high market volatility. The high yield market as a whole performed extremely well over the reporting period, as investors looked to invest in higher-yielding, lower quality sectors.

Our sector selection versus the Citigroup High Yield BB/B index impacted the Fund’s performance. In particular, our overweights in autos, media, metals & mining, secondary oil & gas, publishing and retail were positive contributors to performance. However, our underweights in the chemicals, banks/finance, gaming, homebuilders and transportation sectors negatively impacted relative performance, as these high-beta sectors performed very well.

It is also important to note that the Fund is limited in the amount of CCC-rated issues it can buy. Therefore, in many cases, it could not fully participate in the CCC-rated sectors that showed strong performance over the reporting period. As a result, the Fund underperformed its Lipper group. While our smaller CCC-rated allocation may detract


4		Nuveen Investments

*	Since inception returns for the Funds and the Lipper Indexes are as of 12/20/04. Since inception returns for the Citigroup Indexes are as of 12/31/04.

The Lipper Short Investment Grade Debt Funds Index represents the average total return for the 30 largest funds in the Lipper Short Investment Grade Debt Funds Category. The returns account for the effects of management fees and assume reinvestment of dividends, but do not reflect any applicable sales charges. You cannot invest directly in a Lipper index.

The Citigroup 1-3 Year Treasury Index is an index comprised of U.S. Treasury Notes and Bonds with maturities of one year or greater, but less than three years (minimum amount outstanding is $1 billion per issue). The index returns assume the reinvestment of dividends and do not reflect any sales charges. An index is not available for direct investment.

The Lipper Intermediate Investment Grade Debt Funds Index represents the average total return for the 30 largest funds in the Lipper Intermediate Investment Grade Debt Funds Category. The returns account for the effects of management fees and assume reinvestment of dividends, but do not reflect any applicable sales charges. You cannot invest directly in a Lipper index.

4	The Citigroup Broad Investment Grade Bond Index is an unmanaged index generally considered representative of the U.S. investment grade bond market. The index returns assume the reinvestment of dividends and do not reflect any sales charges. An index is not available for direct investment.

The Lipper High Current Yield Funds Index represents the average total return for the 30 largest funds in the Lipper High Current Yield Funds Category. The returns account for the effects of management fees and assume reinvestment of dividends, but do not reflect any applicable sales charges. You cannot invest directly in a Lipper index.

The Citigroup High Yield BB/B Index is a market capitalization-weighted index that comprises all high-yield issues rated BB or B by Standard & Poor’s for which Citigroup calculates a monthly return. The index returns assume the reinvestment of dividends and do not reflect any sales charges. An index is not available for direct investment.

from performance during strong rallies in the high yield market, we beleve we benefit from our lower allocation when the market sells off.

Class A Shares – Average Annual Total Returns as of 3/31/10


	Cumulative	Average Annual
	6-Month	1-Year	5-Year	Since Inception*
Nuveen Short Duration Bond Fund
A Shares at NAV	2.06%	8.20%	4.59%	4.25%
A Shares at Offer	0.04%	6.02%	4.17%	3.85%
Lipper Short Investment Grade Debt Funds Index¹	3.11%	10.70%	3.57%	3.36%
Citigroup 1-3 Year Treasury Index²	0.70%	1.34%	4.19%	3.94%
Nuveen Multi-Strategy Core Bond Fund
A Shares at NAV	2.93%	13.84%	5.97%	5.49%
A Shares at Offer	-0.95%	9.55%	5.16%	4.73%
Lipper Intermediate Investment Grade Debt Funds Index³	4.35%	16.91%	4.87%	4.53%
Citigroup Broad investment Grade Bond Index⁴	1.56%	6.44%	5.65%	5.28%
Nuveen High Yield Bond Fund
A Shares at NAV	9.63%	42.25%	5.63%	5.01%
A Shares at Offer	4.39%	35.50%	4.60%	4.05%
Lipper High Current Yield Funds Index⁵	10.76%	51.20%	5.52%	5.01%
Citigroup High Yield BB/B Index⁶	8.30%	37.44%	5.14%	4.64%

Six-month returns are cumulative; all other returns are annualized.

Returns quoted represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. Investment returns and principal value will fluctuate so that when shares are redeemed, they may be worth more or less than their original cost. The Class A Share maximum sales charge is 2.00% for the Short Duration Fund, 3.75% for the Multi-Strategy Core Bond Fund and 4.75% for the High Yield Fund. Returns without sales charges would be lower if the sales charge were included. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares. Returns may reflect a contractual agreement between certain Funds and the investment adviser to waive certain fees and expenses; see Notes to Financial Statements, Footnote 7 — Management Fees and Other Transactions with Affiliates for more information. In addition, returns may reflect a voluntary expense limitation by the Funds’ investment adviser that may be modified or discontinued at any time without notice. For the most recent month-end performance, visit www.nuveen.com or call (800) 257-8787.

Please see each Fund’s Spotlight Page later in this report for more complete performance data and expense ratios.


Nuveen Investments		5

Fund Spotlight as of 3/31/10 Nuveen Short Duration Bond Fund


Quick Facts
	*A Shares*	*C Shares*	*R3 Shares*	*I Shares*
Fund Symbol	NSDAX	NSCDX	NSDTX	NSDRX
NAV	$19.74	$19.77	$19.72	$19.70
Latest Monthly Dividend¹	$0.0690	$0.0570	$0.0650	$0.0730
Inception Date	12/20/04	12/20/04	8/04/08	12/20/04

Returns quoted represent past performance which is no guarantee of future results. Investment returns and principal value will fluctuate so that when shares are redeemed, they may be worth more or less than their original cost. Current performance may be higher or lower than the performance shown. Returns without sales charges would be lower if the sales charge were included. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares. For the most recent month-end performance visit www.nuveen.com or call (800) 257-8787.

Class A, C and I Share returns are actual. The returns for Class R3 Shares are actual for the period since class inception on 8/04/08; returns prior to class inception are Class I Share returns adjusted for differences in sales charges and expenses, which are primarily differences in distribution and service fees. Fund returns assume reinvestment of dividends and capital gains. Class A Shares have a 2.00% maximum sales charge. Class A Share purchases of $1 million or more are sold at net asset value without an up-front sales charge but may be subject to a contingent deferred sales charge (CDSC), also known as a backend sales charge, if redeemed within twelve months of purchase. Class C Shares have a 1% CDSC for redemptions within less than one year, which is not reflected in the one-year total return. Class R3 Shares have no sales charge and are available to only certain retirement plan clients of financial intermediaries. Class I Shares have no sales charge and may be purchased under limited circumstances or by specified classes of investors. Returns may reflect an expense limitation by the Fund’s investment adviser.


Average Annual Total Returns as of 3/31/10

*A Shares*	*NAV*	*Offer*
1-Year	8.20%	6.02%
5-Year	4.59%	4.17%
Since Inception	4.25%	3.85%

*C Shares*	*NAV*
1-Year	7.45%
5-Year	3.82%
Since Inception	3.49%

*R3 Shares*	*NAV*
1-Year	7.88%
5-Year	4.31%
Since Inception	3.98%

*I Shares*	*NAV*
1-Year	8.36%
5-Year	4.81%
Since Inception	4.48%
*Yields*

*A Shares*	*NAV*	*Offer*
Dividend Yield⁴	4.19%	4.11%
30-Day Yield⁴	2.09%	—
SEC 30-Day Yield⁵	—	2.04%

*C Shares*	*NAV*
Dividend Yield⁴	3.46%
SEC 30-Day Yield⁴	1.34%

*R3 Shares*	*NAV*
Dividend Yield⁴	3.96%
SEC 30-Day Yield⁴	1.83%

*I Shares*	*NAV*
Dividend Yield⁴	4.45%
SEC 30-Day Yield⁴	2.33%

Portfolio Credit Quality²

Portfolio Allocation³


Net Assets ($000)		$177,798


Expense Ratios
*Share Class*	Gross Expense Ratios	Net Expense Ratios
Class A	1.14%	0.85%
Class C	1.88%	1.60%
Class R3	1.38%	1.10%
Class I	0.86%	0.60%

The expense ratios shown factor in Total Annual Fund Operating Expenses including management fees and other fees and expenses. The Net Expense Ratios reflect a contractual commitment by the Fund’s investment adviser to waive fees and reimburse certain expenses through January 31, 2011. The expense ratios are those shown in the most recent Fund prospectus.

1	Paid April 1, 2010. This is the latest monthly dividend declared during the period ended March 31, 2010.

As a percentage of total investments (excluding structured notes, short-term investments and investments in derivatives) as of March 31, 2010. The ratings disclosed are 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. Holdings are subject to change.

3	As a percentage of total investments (excluding investments in derivatives) as of March 31, 2010. Holdings are subject to change.

Dividend Yield is the most recent dividend per share (annualized) divided by the appropriate price per share. The SEC 30-Day Yield is computed under an SEC standardized formula and is based on the maximum offer price per share. The 30-Day Yield is computed under the same formula but is based on the Net Asset Value (NAV) per share. The Dividend Yield may differ from the SEC 30-Day Yield because the Fund may be paying out more or less than it is earning and it may not include the effect of amortization of bond premium.

5	The SEC 30-Day Yield on A Shares at NAV applies only to A Shares purchased at no-load pursuant to the Fund’s policy permitting waiver of the A Share load in certain specified circumstances.


6		Nuveen Investments

Fund Spotlight as of 3/31/10 Nuveen Short Duration Bond Fund


Corporate Debt: Industries¹
Oil, Gas & Consumable Fuels		11.1%
Commercial Banks		10.3%
Diversified Telecommunication Services		9.5%
Media		7.7%
Metals & Mining		5.2%
Diversified Financial Services		5.0%
Capital Markets		4.1%
Insurance		3.6%
Wireless Telecommunication Services		3.2%
Electric Utilities		3.1%
Commercial Services & Supplies		2.9%
Chemicals		2.7%
Energy Equipment & Services		2.7%
Machinery		2.3%
Food & Staples Retailing		2.2%
Household Products		2.2%
Electronic Equipment & Instruments		2.1%
Aerospace & Defense		1.7%
Tobacco		1.6%
Other		16.8%

As a percentage of total corporate debt holdings as of March 31, 2010. Corporate debt holdings include corporate bonds (high-yield investment grade rated), senior loans, convertible bonds, and any other debt instruments issued by a corporation (or that references a corporation) held by the Fund at the end of the reporting period. The percentage of “Other” corporate debt represents the total of all corporate debt industries that recalculated to less than 1.5% of total corporate debt holdings. Holdings are subject to change.

Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including front and back end sales charges (loads) or redemption fees, where applicable; and (2) ongoing costs, including management fees; distribution and service (12b-1) fees, where applicable; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example below is based on an investment of $1,000 invested at the beginning of the period and held for the period.

The information under “Actual Performance,” together with the amount you invested, allows you to estimate actual expenses incurred over the reporting period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.60) and multiply the result by the cost shown for your share class, in the row entitled “Expenses Incurred During Period” to estimate the expenses incurred on your account during this period.

The information under “Hypothetical Performance,” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expense you incurred for the period. You may use this information to compare the ongoing costs of investing in the Fund and other Funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as front and back end sales charges (loads) or redemption fees, where applicable. Therefore, the hypothetical information is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds or share classes. In addition, if these transactional costs were included, your costs would have been higher.


									*Hypothetical Performance*
	*Actual Performance*								*(5% return before expenses)*
	*A Shares*		*C Shares*		*R3 Shares*		*I Shares*		*A Shares*		*C Shares*		*R3 Shares*		*I Shares*
Beginning Account Value (10/01/09)	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00
Ending Account Value (3/31/10)	$	1,020.60	$	1,017.40	$	1,018.90	$	1,020.90	$	1,021.39	$	1,017.65	$	1,020.14	$	1,022.59
Expenses Incurred During Period	$	3.58	$	7.34	$	4.83	$	2.37	$	3.58	$	7.34	$	4.84	$	2.37

For each class of the Fund, expenses are equal to the Fund’s annualized net expense ratio of .71%, 1.46%, .96% and .47% for Classes A, C, R3 and I, respectively, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).


Nuveen Investments		7

Fund Spotlight as of 3/31/10 Nuveen Multi-Strategy Core Bond Fund


Quick Facts
	*A Shares*	*B Shares*	*C Shares*	*R3 Shares*	*I Shares*
Fund Symbol	NCBAX	NBCBX	NCBCX	NMSTX	NCBRX
NAV	$20.47	$20.58	$20.52	$20.48	$20.45
Latest Monthly Dividend¹	$0.0900	$0.0780	$0.0775	$0.0860	$0.0945
Latest Capital Gain and Ordinary Income Distribution²	$0.0191	$0.0191	$0.0191	$0.0191	$0.0191
Inception Date	12/20/04	12/20/04	12/20/04	8/04/08	12/20/04

Class A, B, C and I Share returns are actual. The returns for Class R3 Shares are actual for the period since class inception on 8/04/08; returns prior to class inception are Class I Share returns adjusted for differences in sales charges and expenses, which are primarily differences in distribution and service fees. Fund returns assume reinvestment of dividends and capital gains. Class A Shares have a 3.75% maximum sales charge. Class A Share purchases of $1 million or more are sold at net asset value without an up-front sales charge but may be subject to a contingent deferred sales charge (CDSC), also known as a backend sales charge, if redeemed within twelve months of purchase. Class B Shares have a CDSC that begins at 5% for redemptions during the first year and declines periodically until after six years when the charge becomes 0%. Class B Shares automatically convert to Class A Shares eight years after purchase. Class C Shares have a 1% CDSC for redemptions within less than one year, which is not reflected in the one-year total return. Class R3 Shares have no sales charge and are available to only certain retirement plan clients of financial intermediaries. Class I Shares have no sales charge and may be purchased under limited circumstances or by specified classes of investors. Returns may reflect an expense limitation by the Fund’s investment adviser.


Average Annual Total Returns as of 3/31/10
*A Shares*	*NAV*	*Offer*
1-Year	13.84%	9.55%
5-Year	5.97%	5.16%
Since Inception	5.49%	4.73%
*B Shares*	*w/o CDSC*	*w/CDSC*
1-Year	12.22%	8.22%
5-Year	5.27%	5.11%
Since Inception	4.80%	4.64%
*C Shares*	*NAV*
1-Year	13.17%
5-Year	5.21%
Since Inception	4.74%
*R3 Shares*	*NAV*
1-Year	13.69%
5-Year	5.72%
Since Inception	5.25%
*I Shares*	*NAV*
1-Year	14.08%
5-Year	6.22%
Since Inception	5.74%
*Yields*
*A Shares*	*NAV*	*Offer*
Dividend Yield⁵	5.28%	5.08%
30-Day Yield⁵	3.49%	—
SEC 30-Day Yield⁶	—	3.36%
*B Shares*	*NAV*
Dividend Yield⁵	4.55%
SEC 30-Day Yield⁵	2.74%
*C Shares*	*NAV*
Dividend Yield⁵	4.53%
SEC 30-Day Yield⁵	2.74%
*R3 Shares*	*NAV*
Dividend Yield⁵	5.04%
SEC 30-Day Yield⁵	3.24%
*I Shares*	*NAV*
Dividend Yield⁵	5.55%
SEC 30-Day Yield⁵	3.70%

Portfolio Credit Quality³

Portfolio Allocation⁴


Net Assets ($000)		$71,169


Expense Ratios
*Share Class*	Gross Expense Ratios	Net Expense Ratios
Class A	1.38%	0.95%
Class B	2.12%	1.70%
Class C	2.16%	1.70%
Class R3	1.61%	1.20%
Class I	1.06%	0.70%

*	Rounds to less than 0.1%.

1	Paid April 1, 2010. This is the latest monthly dividend declared during the period ended March 31, 2010.

2	Paid December 16, 2009. Capital gains are subject to federal taxation.

4	As a percentage of total investments (excluding investments in derivatives) as of March 31, 2010. Holdings are subject to change.

6	The SEC 30-Day Yield on A Shares at NAV applies only to A Shares purchased at no-load pursuant to the Fund’s policy permitting waiver of the A Share load in certain specified circumstances.


8		Nuveen Investments

Fund Spotlight as of 3/31/10 Nuveen Multi-Strategy Core Bond Fund


Corporate Debt: Industries¹
Oil, Gas & Consumable Fuels		14.9%
Diversified Telecommunication Services		9.8%
Media		9.7%
Capital Markets		5.8%
Diversified Financial Services		5.4%
Commercial Banks		5.2%
Energy Equipment & Services		4.2%
Electric Utilities		3.8%
Chemicals		3.1%
Industrial Conglomerates		3.0%
Wireless Telecommunication Services		2.8%
Metals & Mining		2.8%
Food & Staples Retailing		2.4%
Specialty Retail		2.4%
Commercial Services & Supplies		2.0%
Multi-Line Retail		1.8%
Hotels, Restaurants & Leisure		1.7%
Aerospace & Defense		1.6%
Electronic Equipment & Instruments		1.5%
Consumer Finance		1.5%
Other		14.6%

Expense Example

The Example below is based on an investment of $1,000 invested at the beginning of the period and held for the period.


	*Actual Performance*										Hypothetical Performance (5% return before expenses)
	*A Shares*		*B Shares*		*C Shares*		*R3 Shares*		*I Shares*		*A Shares*		*B Shares*		*C Shares*		*R3 Shares*		*I Shares*
Beginning Account Value (10/01/09)	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00
Ending Account Value (3/31/10)	$	1,029.30	$	1,026.10	$	1,027.00	$	1,029.10	$	1,030.10	$	1,020.84	$	1,017.20	$	1,017.15	$	1,019.70	$	1,022.14
Expenses Incurred During Period	$	4.15	$	7.83	$	7.88	$	5.31	$	2.83	$	4.13	$	7.80	$	7.85	$	5.29	$	2.82

For each class of the Fund, expenses are equal to the Fund’s annualized net expense ratio of .82%, 1.55%, 1.56%, 1.05% and .56% for Classes A, B, C, R3 and I, respectively, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).


Nuveen Investments		9

Fund Spotlight as of 3/31/10 Nuveen High Yield Bond Fund


Quick Facts
	*A Shares*	*B Shares*	*C Shares*	*R3 Shares*	*I Shares*
Fund Symbol	NHYAX	NHBYX	NHYCX	NHYTX	NHYRX
NAV	$16.98	$16.97	$16.94	$16.97	$16.97
Latest Monthly Dividend¹	$0.1165	$0.1060	$0.1060	$0.1130	$0.1200
Inception Date	12/20/04	12/20/04	12/20/04	8/04/08	12/20/04

Class A, B, C and I Share returns are actual. The returns for Class R3 Shares are actual for the period since class inception on 8/04/08; returns prior to class inception are Class I Share returns adjusted for differences in sales charges and expenses, which are primarily differences in distribution and service fees. Fund returns assume reinvestment of dividends and capital gains. Class A Shares have a 4.75% maximum sales charge. Class A Share purchases of $1 million or more are sold at net asset value without an up-front sales charge but may be subject to a contingent deferred sales charge (CDSC), also known as a backend sales charge, if redeemed within twelve months of purchase. Class B Shares have a CDSC that begins at 5% for redemptions during the first year and declines periodically until after six years when the charge becomes 0%. Class B Shares automatically convert to Class A Shares eight years after purchase. Class C Shares have a 1% CDSC for redemptions within less than one year, which is not reflected in the one-year total return. Class R3 Shares have no sales charge and are available to only certain retirement plan clients of financial intermediaries. Class I Shares have no sales charge and may be purchased under limited circumstances or by specified classes of investors. Returns may reflect an expense limitation by the Fund’s investment adviser.


Average Annual Total Returns as of 3/31/10
*A Shares*	*NAV*	*Offer*
1-Year	42.25%	35.50%
5-Year	5.63%	4.60%
Since Inception	5.01%	4.05%
*B Shares*	*w/o CDSC*	*w/CDSC*
1-Year	41.27%	37.27%
5-Year	4.82%	4.68%
Since Inception	4.21%	4.07%
*C Shares*	*NAV*
1-Year	41.26%
5-Year	4.79%
Since Inception	4.18%
*R3 Shares*	*NAV*
1-Year	41.94%
5-Year	5.35%
Since Inception	4.74%
*I Shares*	*NAV*
1-Year	42.61%
5-Year	5.88%
Since Inception	5.27%
*Yields*
*A Shares*	*NAV*	*Offer*
Dividend Yield⁴	8.23%	7.84%
30-Day Yield⁴	7.94%	—
SEC 30-Day Yield⁵	—	7.55%
*B Shares*	*NAV*
Dividend Yield⁴	7.50%
SEC 30-Day Yield⁴	7.17%
*C Shares*	*NAV*
Dividend Yield⁴	7.51%
SEC 30-Day Yield⁴	7.18%
*R3 Shares*	*NAV*
Dividend Yield⁴	7.99%
SEC 30-Day Yield⁴	7.68%
*I Shares*	*NAV*
Dividend Yield⁴	8.49%
SEC 30-Day Yield⁴	8.19%

Portfolio Credit Quality²

LOGO

Portfolio Allocation³

LOGO


Net Assets ($000)		$136,977


Expense Ratios
*Share Class*	Gross Expense Ratios	Net Expense Ratios
Class A	1.23%	1.20%
Class B	1.95%	1.95%
Class C	1.97%	1.95%
Class R3	1.46%	1.45%
Class I	0.97%	0.95%

1	Paid April 1, 2010. This is the latest monthly dividend declared during the period ended March 31, 2010.

As a percentage of total investments (excluding short-term investments and investments in derivatives) as of March 31, 2010. The ratings disclosed are 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. Holdings are subject to change.

3	As a percentage of total investments (excluding investments in derivatives) as of March 31, 2010. Holdings are subject to change.

5	The SEC 30-Day Yield on A Shares at NAV applies only to A Shares purchased at no-load pursuant to the Fund’s policy permitting waiver of the A Share load in certain specified circumstances.


10		Nuveen Investments

Fund Spotlight as of 3/31/10 Nuveen High Yield Bond Fund


Corporate Debt: Industries¹
Media		12.4%
Oil, Gas & Consumable Fuels		12.2%
Diversified Telecommunication Services		11.5%
Metals & Mining		8.5%
Wireless Telecommunication Services		5.6%
Commercial Services & Supplies		5.2%
Auto Components		5.0%
Machinery		4.5%
Energy Equipment & Services		3.9%
Containers & Packaging		3.9%
Hotels, Restaurants & Leisure		2.9%
Electronic Equipment & Instruments		2.2%
Chemicals		2.1%
Aerospace & Defense		2.1%
IT Services		1.9%
Multi-Utilities		1.8%
Specialty Retail		1.8%
Household Products		1.7%
Trading Companies & Distributors		1.7%
Semiconductors & Equipment		1.6%
Other		7.5%

As a percentage of total corporate debt holdings as of March 31, 2010. Corporate debt holdings include corporate bonds (high-yield investment grade rated), senior loans, convertible bonds and any other debt instruments issued by a corporation (or that references a corporation) held by the Fund at the end of the reporting period. The percentage of “Other” corporate debt represents the total of all corporate debt industries that recalculated to less than 1.5% of total corporate debt holdings. Holdings are subject to change.

Expense Example

The Example below is based on an investment of $1,000 invested at the beginning of the period and held for the period.


											*Hypothetical Performance*
	*Actual Performance*										*(5% return before expenses)*
	*A Shares*		*B Shares*		*C Shares*		*R3 Shares*		*I Shares*		*A Shares*		*B Shares*		*C Shares*		*R3 Shares*		*I Shares*
Beginning Account Value (10/01/09)	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00
Ending Account Value (3/31/10)	$	1,096.30	$	1,093.10	$	1,092.50	$	1,095.70	$	1,098.40	$	1,020.00	$	1,016.26	$	1,016.26	$	1,018.75	$	1,021.44
Expenses Incurred During Period	$	5.17	$	9.08	$	9.08	$	6.48	$	3.66	$	4.99	$	8.75	$	8.75	$	6.24	$	3.53

For each Class of the Fund, expenses are equal to the Fund’s annualized net expense ratio of .99%, 1.74%, 1.74%, 1.24% and .70% for Classes A, B, C, R3 and I, respectively, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).


Nuveen Investments		11

Portfolio of Investments (Unaudited)

Nuveen Short Duration Bond Fund

March 31, 2010


Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value

		CORPORATE BONDS – 26.7%

		Aerospace & Defense – 0.5%

$	120	BAE Systems Holdings	6.400%	12/15/11	BBB+	$	128,442

	100	Boeing Capital Corporation	6.500%	2/15/12	A		109,293

	235	Global Aviation Holdings, 144A	14.000%	8/15/13	BB–		239,994

	325	Northrop Grumman Corporation	3.700%	8/01/14	BBB		332,886
	780	Total Aerospace & Defense					810,615
		Auto Components – 0.3%

	270	Affinia Group Inc.	9.000%	11/30/14	B3		270,000

	210	ArvinMeritor Inc.	10.625%	3/15/18	Caa2		218,400
	480	Total Auto Components					488,400
		Beverages – 0.4%

	225	Anheuser Busch InBev, 144A	5.375%	11/15/14	BBB+		243,949

	125	Diageo Finance BV	3.875%	4/01/11	A–		128,500

	240	Miller Brewing Company, 144A	5.500%	8/15/13	BBB+		257,154
	590	Total Beverages					629,603
		Capital Markets – 1.1%

	200	Bank of New York Mellon	4.300%	5/15/14	Aa2		210,737

	325	Goldman Sachs Group, Inc.	6.600%	1/15/12	A1		352,790

	585	Goldman Sachs Group, Inc.	5.500%	11/15/14	A1		628,218

	150	Morgan Stanley	5.250%	11/02/12	A		159,984

	575	Morgan Stanley	6.000%	5/13/14	A		621,645
	1,835	Total Capital Markets					1,973,374
		Chemicals – 0.7%

	365	Airgas, Inc.	4.500%	9/15/14	BBB		377,078

	250	E.I. Du Pont de Nemours and Company	4.750%	11/15/12	A		268,825

	110	E.I. Du Pont de Nemours and Company	3.250%	1/15/15	A		110,791

	160	IMC Global Inc.	7.300%	1/15/28	Baa2		171,770

	375	Potash Corporation of Saskatchewan	3.750%	9/30/15	A–		379,919
	1,260	Total Chemicals					1,308,383
		Commercial Banks – 2.8%

	350	BB&T Corporation	5.700%	4/30/14	A1		380,678

	225	Citigroup Inc.	6.000%	2/21/12	A		238,742

	400	Citigroup Inc.	5.850%	7/02/13	A		420,662

	325	Citigroup Inc.	6.500%	8/19/13	A		350,620

	225	Credit Suisse First Boston, Note	6.125%	11/15/11	Aa1		241,811

	260	Fifth Third Bancorp.	6.250%	5/01/13	Baa1		279,811

	300	Household Finance Corporation	6.375%	11/27/12	A3		328,761

	335	KeyCorp.	6.500%	5/14/13	BBB+		358,001

	350	M&I Marshall & Ilsley Bank	4.850%	6/16/15	Baa1		311,592

	200	PNC Funding Corporation	5.400%	6/10/14	A		214,987

	500	Regions Financial Corporation of the Bank of America	7.000%	3/01/11	BB+		503,874

	230	US Bancorp	4.200%	5/15/14	Aa3		241,542

	675	Wells Fargo & Company	5.250%	10/23/12	AA–		727,653

	275	Wells Fargo & Company	4.950%	10/16/13	A+		290,755
	4,650	Total Commercial Banks					4,889,489


12		Nuveen Investments


Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value

		Commercial Services & Supplies – 0.8%

$	60	Allied Waste North America	6.500%	11/15/10	BBB	$	62,011

	230	Browning Ferris-Allied Waste	9.250%	5/01/21	BBB		282,272

	310	GATX Corporation	4.750%	10/01/12	BBB+		323,769

	310	Geokinetics Holdings Inc., 144A	9.750%	12/15/14	B		292,175

	300	Rental Service Corporation	9.500%	12/01/14	B–		298,500

	125	Waste Management Inc.	7.375%	8/01/10	BBB		127,604
	1,335	Total Commercial Services & Supplies					1,386,331
		Communications Equipment – 0.2%

	125	Cisco Systems, Inc.	5.250%	2/22/11	A+		130,117

	230	Paetec Holding Corporation, 144A	8.875%	6/30/17	B1		237,475
	355	Total Communications Equipment					367,592
		Computers & Peripherals – 0.2%

	170	Dell Inc.	3.375%	6/15/12	A2		176,759

	100	Hewlett Packard Company	6.500%	7/01/12	A		110,715

	125	International Business Machines Corporation (IBM)	4.950%	3/22/11	A+		129,992
	395	Total Computers & Peripherals					417,466
		Consumer Finance – 0.3%

	275	American Express Credit Corporation	7.300%	8/20/13	A2		308,897

	300	Provident Funding Associates, 144A, (WI/DD)	10.250%	4/15/17	Ba3		303,750
	575	Total Consumer Finance					612,647
		Containers & Packaging – 0.1%

	135	Rock-Tenn Company	5.625%	3/15/13	BBB–		139,388

	60	Tekni-Plex Inc.	10.875%	8/15/12	N/R		56,400
	195	Total Containers & Packaging					195,788
		Diversified Financial Services – 1.3%

	153	Bank One Corporation	7.875%	8/01/10	A1		156,658

	225	Capital One Financial Corporation	7.375%	5/23/14	Baa1		257,347

	700	General Electric Capital Corporation	5.250%	10/19/12	AA+		751,927

	850	JP Morgan Chase & Company	5.750%	1/02/13	A1		923,068

	250	National Rural Utilities Cooperative Finance Corporation	7.250%	3/01/12	A		275,125
	2,178	Total Diversified Financial Services					2,364,125
		Diversified Telecommunication Services – 2.5%

	210	Cequel Communication Holdings I, 144A	8.625%	11/15/17	B–		216,825

	195	Cincinnati Bell Inc.	8.375%	1/15/14	B2		201,581

	455	Cincinnati Bell Inc.	8.750%	3/15/18	B2		461,256

	575	Citizens Communications Company	9.000%	8/15/31	BB		563,500

	312	Cox Communications, Inc.	5.500%	10/01/15	Baa2		336,661

	250	France Telecom	7.750%	3/01/11	A–		265,480

	250	Paetec Holding Corporation	8.875%	6/30/17	B1		258,125

	790	Qwest Communications International Inc., 144A	7.125%	4/01/18	Ba3		819,625

	310	Telecom Italia Capital	5.250%	10/01/15	BBB		317,783

	200	Telefonica Emisiones SAU	4.949%	1/15/15	A–		211,414

	150	Verizon Communications	5.875%	1/17/12	A		159,843

	400	Verizon Global Funding Company	4.900%	9/15/15	A		429,879


Nuveen Investments		13

Portfolio of Investments (Unaudited)

Nuveen Short Duration Bond Fund (continued)

March 31, 2010


Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value

		Diversified Telecommunication Services (continued)

$	270	Windstream Corporation, 144A	7.875%	11/01/17	Ba3	$	267,300
	4,367	Total Diversified Telecommunication Services					4,509,272
		Electric Utilities – 0.8%

	325	American Electric Power	5.250%	6/01/15	BBB		347,869

	198	Dominion Resources Inc.	5.700%	9/17/12	A–		214,672

	455	Edison Mission Energy	7.625%	5/15/27	B		293,475

	200	Exelon Generation Company LLC	5.350%	1/15/14	A3		213,441

	4	FirstEnergy Corporation	6.450%	11/15/11	Baa3		4,244

	400	Niagara Mohawk Power Company, 144A	3.553%	10/01/14	A–		401,945
	1,582	Total Electric Utilities					1,475,646
		Electrical Equipment – 0.1%

	125	Emerson Electric Company	7.125%	8/15/10	A		128,106
		Electronic Equipment & Instruments – 0.6%

	365	Agilent Technologies Inc.	5.500%	9/14/15	BBB–		391,726

	225	Hewlett Packard Company	4.750%	6/02/14	A		243,147

	350	ViaSystems Inc., 144A	12.000%	1/15/15	B+		380,625
	940	Total Electronic Equipment & Instruments					1,015,498
		Energy Equipment & Services – 0.7%

	310	Crosstex Energy Finance, 144A	8.875%	2/15/18	B+		321,238

	150	Halliburton Company	5.500%	10/15/10	A		154,149

	275	Kinder Morgan Energy Partners, L.P.	5.850%	9/15/12	BBB		298,944

	70	Parker Drilling Company, 144A	9.125%	4/01/18	B+		72,013

	225	Rockies Express Pipeline Company, 144A	6.250%	7/15/13	BBB		245,001

	185	Trico Shipping AS, 144A	11.875%	11/01/14	B1		177,600
	1,215	Total Energy Equipment & Services					1,268,945
		Food & Staples Retailing – 0.6%

	250	CVS Caremark Corporation	5.750%	8/15/11	BBB+		264,375

	325	Kroger Co	3.900%	10/01/15	BBB		329,390

	175	Safeway Inc.	4.950%	8/16/10	BBB		177,801

	250	Safeway Inc.	6.250%	3/15/14	BBB		278,131
	1,000	Total Food & Staples Retailing					1,049,697
		Food Products – 0.3%

	250	General Mills, Inc.	6.000%	2/15/12	BBB+		272,130

	175	Kraft Foods Inc.	5.625%	11/01/11	Baa2		185,938
	425	Total Food Products					458,068
		Health Care Providers & Services – 0.1%

	105	AMR-EmCare Holding Company Inc.	10.000%	2/15/15	Ba2		110,841

	50	HCA Inc.	8.750%	9/01/10	B–		51,250
	155	Total Health Care Providers & Services					162,091
		Hotels, Restaurants & Leisure – 0.3%

	180	Dave & Busters Inc.	11.250%	3/15/14	B–		189,900

	200	Harrah's Operating Company, Inc.	11.250%	6/01/17	B–		216,500

	175	Tricon Golbal Restaurants Incorporated	8.875%	4/15/11	BBB–		187,732
	555	Total Hotels, Restaurants & Leisure					594,132


14		Nuveen Investments


Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value

		Household Products – 0.6%

$	350	Clorox Company	3.550%	11/01/15	BBB+	$	355,154

	310	Norcraft Companies Finance, 144A	10.500%	12/15/15	B2		328,600

	350	Procter and Gamble Company	3.150%	9/01/15	AA–		355,871
	1,010	Total Household Products					1,039,625
		Independent Power Producers & Energy Traders – 0.1%

	285	Dynegy Holdings, Inc., Term Loan	7.750%	6/01/19	B		216,600
		Industrial Conglomerates – 0.4%

	125	Textron Financial Corporation	5.125%	2/03/11	Baa3		127,352

	365	Timken Company	6.000%	9/15/14	BBB–		388,545

	155	Tyco International Group	6.000%	11/15/13	BBB+		171,434
	645	Total Industrial Conglomerates					687,331
		Insurance – 1.0%

	225	Allstate Life Global Funding	5.375%	4/30/13	AA–		245,278

	250	Berkshire Hathaway Inc.	5.000%	8/15/13	AA+		273,232

	400	Genworth Life Institution Funding	5.875%	5/03/13	A		408,488

	275	Met Life Global Funding I	5.125%	4/10/13	AA–		295,446

	475	Prudential Financial Inc.	5.100%	9/20/14	A		502,209
	1,625	Total Insurance					1,724,653
		IT Services – 0.2%

	215	First Data Corporation	9.875%	9/24/15	B–		186,513

	230	Fiserv Inc.	6.125%	11/20/12	Baa2		250,475
	445	Total IT Services					436,988
		Machinery – 0.6%

	250	Caterpillar Financial Services Corporation	6.200%	9/30/13	A		282,567

	250	Greenbrier Companies, Inc.	8.375%	5/15/15	CCC		228,750

	125	John Deere Capital Corporation	5.650%	7/25/11	A		132,525

	200	John Deere Capital Corporation	5.250%	10/01/12	A		217,266

	200	Toys R Us Property Company Inc., 144A	10.750%	7/15/17	B+		224,000
	1,025	Total Machinery					1,085,108
		Media – 2.1%

	300	AOL Time Warner	6.875%	5/01/12	BBB		330,148

	480	Clear Channel Communications, Inc.	10.750%	8/01/16	CCC–		378,000

	20	Clear Channel Worldwide Holdings Inc., 144A	9.250%	12/15/17	B		20,875

	110	Clear Channel Worldwide Holdings Inc., 144A	9.250%	12/15/17	B		115,500

	150	Comcast Corporation	5.450%	11/15/10	BBB+		153,842

	350	Comcast Corporation	5.850%	11/15/15	BBB+		383,975

	150	Cox Communications, Inc.	7.750%	11/01/10	Baa2		155,645

	455	McClatchy Company, 144A	11.500%	2/15/17	B1		466,944

	185	Nielsen Finance LLC Co	11.625%	2/01/14	B–		209,975

	40	Sinclair Broadcast Group	8.000%	3/15/12	CCC+		39,800

	420	Sinclair Television Group, 144A	9.250%	11/01/17	B2		444,150

	150	Time Warner Cable Inc.	5.400%	7/02/12	BBB		161,111

	105	Time Warner Cable Inc.	6.200%	7/01/13	BBB		115,952

	250	TL Acquisitions Inc., 144A	13.250%	7/15/15	CCC+		243,750


Nuveen Investments		15

Portfolio of Investments (Unaudited)

Nuveen Short Duration Bond Fund (continued)

March 31, 2010


Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value

		Media (continued)

$	220	Valassis Communications Inc.	8.250%	3/01/15	B–	$	227,150

	125	Walt Disney Company	5.700%	7/15/11	A		132,544

	75	WMG Acquisition Group	9.500%	6/15/16	BB		80,531
	3,585	Total Media					3,659,892
		Metals & Mining – 1.4%

	500	AK Steel Corporation	7.750%	6/15/12	BB–		505,000

	150	ArcelorMittal	5.375%	6/01/13	BBB		159,778

	200	BHP Billiton Finance Limited	5.500%	4/01/14	A+		220,270

	230	Consol Energy Inc., 144A, (WI/DD)	8.000%	4/01/17	BB		237,475

	230	Consol Energy Inc., 144A, (WI/DD)	8.250%	4/01/20	BB		237,475

	240	Essar Steel Algoma Inc., 144A	9.375%	3/15/15	B+		243,600

	550	Freeport McMoran Copper & Gold, Inc.	3.881%	4/01/15	BBB–		556,188

	140	Steel Dynamics, Inc., 144A	7.625%	3/15/20	BB+		144,200

	160	Steel Dynamics, Inc.	7.375%	11/01/12	BB+		167,200
	2,400	Total Metals & Mining					2,471,186
		Multi-Line Retail – 0.4%

	150	Costco Wholesale Corporation	5.300%	3/15/12	A+		161,210

	200	Home Depot, Inc.	5.400%	3/01/16	BBB+		216,394

	250	Target Corporation	5.875%	3/01/12	A+		271,234
	600	Total Multi-Line Retail					648,838
		Multi-Utilities – 0.2%

	450	Bon-Ton Department Stores Inc.	10.250%	3/15/14	CCC		441,000
		Oil, Gas & Consumable Fuels – 3.0%

	125	Anadarko Petroleum Corporation	7.625%	3/15/14	BBB–		143,831

	100	Apache Corporation	6.250%	4/15/12	A–		109,244

	210	BP Capital Markets PLC	3.625%	5/08/14	Aa1		218,047

	405	Cenovus Energy Inc., 144A	4.500%	9/15/14	BBB+		422,960

	100	Chevron Corporation	3.950%	3/03/14	Aa1		104,529

	200	Conoco Funding Co, Notes	6.350%	10/15/11	A1		215,822

	153	Energy XXI Gulf Coast Inc., 144A	16.000%	6/15/14	B+		176,995

	240	Enterprise Products Operating Group LLP	4.600%	8/01/12	BBB–		253,300

	265	Linn Energy LLC Finance Corporation, 144A, (WI/DD)	8.625%	4/15/20	Ba3		265,994

	300	Massey Energy Company, Global Notes	6.875%	12/15/13	BB–		305,625

	340	McMoran Exploration Corporation	11.875%	11/15/14	B		367,200

	450	NFR Energy LLC/Finance Corporation, 144A	9.750%	2/15/17	B		451,125

	150	Ocean Energy Inc.	7.250%	10/01/11	BBB+		162,403

	150	Phillips Petroleum Company	8.750%	5/25/10	A1		151,765

	180	Sandridge Energy Inc.	8.625%	4/01/15	B+		175,950

	260	Sandridge Energy Inc., 144A	8.750%	1/15/20	B+		254,800

	300	StatOilHydro ASA	2.900%	10/15/14	Aa2		300,315

	225	Stone Energy Corporation	6.750%	12/15/14	CCC+		199,125

	365	Tesoro Petroleum Corporation	6.250%	11/01/12	BB+		367,738

	150	Valero Energy Corporation	6.875%	4/15/12	BBB		162,629

	205	W&T Offshore, Inc., 144A	8.250%	6/15/14	B+		192,700

	250	XTO Energy, Inc.	5.900%	8/01/12	BBB		274,694
	5,123	Total Oil, Gas & Consumable Fuels					5,276,791


16		Nuveen Investments


Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value

		Paper & Forest Products – 0.1%

$	210	Buckeye Technologies Inc.	8.500%	10/01/13	BB	$	215,775
		Pharmaceuticals – 0.1%

	125	American Home Products Corporation, Wyeth	6.950%	3/15/11	AA		132,611
		Real Estate – 0.1%

	205	Potlatch Corporation, 144A	7.500%	11/01/19	Ba1		210,638
		Software – 0.1%

	125	Oracle Corporation	5.000%	1/15/11	A		129,298
		Specialty Retail – 0.3%

	140	Michael's Stores	11.375%	11/01/16	CCC		151,900

	435	TJX Companies, Inc.	4.200%	8/15/15	A		460,652
	575	Total Specialty Retail					612,552
		Tobacco – 0.4%

	225	Altria Group Inc.	8.500%	11/10/13	Baa1		263,207

	75	Reynolds American Inc.	6.500%	7/15/10	BBB		75,887

	400	Reynolds American Inc.	7.250%	6/01/13	BBB		445,098
	700	Total Tobacco					784,192
		Trading Companies & Distributors – 0.0%

	50	GATX Financial Corporation	5.125%	4/15/10	BBB+		50,041
		Wireless Telecommunication Services – 0.9%

	250	AT&T/Cingular Wireless Services	8.125%	5/01/12	A		282,254

	160	Cricket Communications Inc.	10.000%	7/15/15	B–		167,200

	125	IntelSat Jackson Holding, 144A	8.500%	11/01/19	B+		131,875

	215	MetroPCS Wireless Inc.	9.250%	11/01/14	B		220,913

	490	Sprint Capital Corporation	6.900%	5/01/19	BB–		450,800

	125	Vodafone Group PLC	5.500%	6/15/11	A–		131,111

	150	Vodafone Group PLC	5.000%	12/16/13	A–		162,026
	1,515	Total Wireless Telecommunication Services					1,546,179
$	45,690	Total Corporate Bonds (cost $45,611,974)					47,474,566

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 50.7%

		U.S. Treasury Bonds/Notes – 50.7%

$	300	United States of America Treasury Bonds/Notes	8.000%	11/15/21	AAA	$	408,844

	650	United States of America Treasury Bonds/Notes	5.250%	2/15/29	AAA		707,485

	200	United States of America Treasury Bonds/Notes	6.125%	8/15/29	AAA		240,875

	100	United States of America Treasury Bonds/Notes	5.375%	2/15/31	AAA		110,656

	5,250	United States of America Treasury Bonds/Notes	5.125%	6/30/11	AAA		5,550,235

	500	United States of America Treasury Bonds/Notes	4.875%	7/31/11	AAA		528,458

	3,700	United States of America Treasury Bonds/Notes	4.625%	8/31/11	AAA		3,907,115

	5,250	United States of America Treasury Bonds/Notes	4.500%	9/30/11	AAA		5,546,546

	1,700	United States of America Treasury Bonds/Notes (4)	4.500%	11/30/11	AAA		1,804,392

	13,800	United States of America Treasury Bonds/Notes	1.125%	12/15/11	AAA		13,865,769

	18,800	United States of America Treasury Bonds/Notes (4)	1.125%	1/15/12	AAA		18,874,914

	1,400	United States of America Treasury Bonds/Notes	4.750%	1/31/12	AAA		1,498,329


Nuveen Investments		17

Portfolio of Investments (Unaudited)

Nuveen Short Duration Bond Fund (continued)

March 31, 2010


Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value

		U.S. Treasury Bonds/Notes (continued)

$	400	United States of America Treasury Bonds/Notes	4.875%	2/15/12	AAA	$	429,406

	1,000	United States of America Treasury Bonds/Notes	1.375%	2/15/12	AAA		1,008,086

	6,000	United States of America Treasury Bonds/Notes	0.875%	2/29/12	AAA		5,989,456

	1,300	United States of America Treasury Bonds/Notes	4.500%	3/31/12	AAA		1,390,290

	1,000	United States of America Treasury Bonds/Notes	4.500%	4/30/12	AAA		1,071,563

	4,000	United States of America Treasury Bonds/Notes (4)	1.375%	5/15/12	AAA		4,025,940

	1,000	United States of America Treasury Bonds/Notes	1.875%	6/15/12	AAA		1,016,641

	200	United States of America Treasury Bonds/Notes	4.875%	6/30/12	AAA		216,609

	350	United States of America Treasury Bonds/Notes	4.625%	7/31/12	AAA		377,864

	2,000	United States of America Treasury Bonds/Notes	1.750%	8/15/12	AAA		2,025,158

	1,250	United States of America Treasury Bonds/Notes	4.125%	8/31/12	AAA		1,336,329

	1,000	United States of America Treasury Bonds/Notes	1.375%	9/15/12	AAA		1,002,501

	4,000	United States of America Treasury Bonds/Notes	1.125%	12/15/12	AAA		3,966,564

	8,000	United States of America Treasury Bonds/Notes	2.750%	2/28/13	AAA		8,281,878

	500	United States of America Treasury Bonds/Notes	2.625%	12/31/14	AAA		503,751

	100	United States of America Treasury Bonds/Notes	3.500%	2/15/18	AAA		100,336

	1,000	United States of America Treasury Bonds/Notes	3.625%	2/15/20	AAA		983,282

	55	United States of America Treasury Securities, STRIPS (I/O)	0.000%	5/15/14	AAA		50,195

	3,500	United States of America Treasury Securities, STRIPS (P/O)	0.000%	2/15/12	AAA		3,438,218
$	88,305	Total U.S. Government and Agency Obligations (cost $90,011,704)					90,257,685

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		ASSET-BACKED SECURITIES – 14.6%

		Autos – 8.4%

$	700	Bank of America Auto Trust, Series 2009-2A, 144A	2.130%	9/15/13	AAA	$	710,774

	950	Bank of America Auto Trust, Series 2010-1A	1.390%	3/15/14	AAA		951,506

	700	Bank of America Auto Trust	2.670%	7/15/13	AAA		715,367

	225	Capital Auto Receivable Asset Trust, 2008-2, A3A	4.680%	10/15/12	AAA		231,634

	58	Capital Auto Receivables Asset Trust, Series 2007-2-A3A	5.020%	9/15/11	AAA		58,726

	1,000	CarMax Auto Owner Trust Series 2009	1.740%	4/15/14	AAA		1,005,180

	217	Daimler Chrysler Auto Trust 2008-A A3	3.700%	6/08/12	AAA		220,643

	158	Daimler Chrysler Auto Trust 2008B	5.320%	11/10/14	AA		166,745

	700	Ford Credit Auto Owner Trust 2006B-C	5.680%	6/15/12	AAA		727,456

	271	Ford Credit Auto Owner Trust, 2008A-3A	3.960%	4/15/12	AAA		275,797

	1,000	Ford Credit Auto Owners Trust 2009E	2.420%	11/15/14	AAA		1,010,913

	1,480	Ford Credit Floorplan Master Owner Trust Series 2010-3	4.200%	2/15/17	AAA		1,485,625

	60	Harley-Davidson Motorcycle Trust, Series 2007-2A3	5.100%	5/15/12	AAA		60,085

	29	Hyundai Auto Receivables Trust 2007A, Class A3A	5.040%	1/17/12	AAA		29,729

	700	Hyundai Auto Receivables Trust 2009A	2.300%	8/15/13	AAA		710,464

	381	Nissan Auto Receivables Owner Trust 2008-B A3	4.460%	4/16/12	AAA		388,433

	400	Nissan Auto Receivables Owners Trust 2008-C	5.930%	7/16/12	AAA		413,893

	2,535	Nissan Auto Receivables Owners Trust, Series 2009-1	5.000%	9/15/14	AAA		2,640,002

	184	Nissan Auto Receveivables Owners Trust 2008-A3	3.890%	8/15/11	AAA		185,553


18		Nuveen Investments


Principal Amount (000)			Description (1)	Coupon	Maturity	Ratings (2)	Value

			Autos (continued)

$	160		USAA Auto Owner Trust 2007-2	5.070%	6/15/13	AAA	$	166,496

	93		USAA Auto Owners Trust 2006-2	5.370%	2/15/12	AAA		92,797

	1,000		USAA Auto Owners Trust 2010-1	2.140%	9/15/15	AAA		1,000,634

	1,008		Volkswagen Auto Loan Enhanced Trust, 2008-2, Class A3A	5.470%	3/20/13	AAA		1,057,419

	620		World Omni Auto Receeivables Trust, Series 2010A	1.340%	12/16/13	AAA		621,410
	14,629		Total Autos					14,927,281
			Credit Cards – 3.3%

	1,140		Chase Issuance Trust Series 2008-A9	4.260%	5/15/13	AAA		1,184,166

	650		CitiBank Credit Card Issuance Trust, Serie 2006-A4	5.450%	5/10/13	AAA		682,754

	270		Citibank Credit Card Issuance Trust, Series 2007	5.000%	11/08/12	AA		275,409

	2,300		CitiBank Credit Card Issuance Trust, Series 2009-A5	2.250%	12/23/14	AAA		2,314,940

	234		Discover Card Master Trust 2008, Class A3	5.100%	10/15/13	AAA		244,143

	1,080		General Electric Master Credit Card Trust, Series 2009-3A	2.540%	9/15/14	AAA		1,094,715
	5,674		Total Credit Cards					5,796,127
			Home Equity – 2.9%

	1,135		Credit Suisse First Boston Mortgage Securities Corporation, Mortgage-Backed Pass-Through Certificates, Series 2003-23 (3)	5.750%	9/25/33	AAA		1,127,790

	930		CS First Boston Mortgage Securities Corporation, Commercial Mortgage Pass-Through Certificates, Series 2004-C1	4.750%	1/15/37	AAA		955,173

	1,000		CNH Agriculture Equipment Trust, Series 2009C	1.850%	12/16/13	AAA		1,006,925

	850		CNH Equipment Trust 2010-A	1.540%	7/15/14	AAA		849,734

	5,165		Federal National Mortgage Interest Strip Series 366-25	5.000%	10/01/35	AAA		612,124

	217		Federal National Mortgage Pool 838948	5.112%	8/01/35	AAA		225,931

	—	(5)	Master Asset Backed Securities Trust 2005-WMC1, Mortgage Pass Through Certificates, Class N-1	4.940%	3/26/35	CC		—

	350		MBNA Credit Card Master Note Trust Series 2005-A3	4.100%	10/15/12	AAA		351,580

	50		Wells Fargo Mortgage Backed Securties, 2005-AR16 Class 3A2	2.936%	10/25/35	AAA		44,959
	9,697		Total Home Equity					5,174,216
$	30,000		Total Asset-Backed Securities (cost $25,556,766)					25,897,624

Principal
Amount (000) (6)

Description (1)

Coupon

Maturity

Ratings (2)

Value

SOVEREIGN DEBT – 4.8%

Colombia – 2.5%

6,864,000

COP

Republic of Colombia

12.000%

10/22/15

BB+

4,364,034

Germany – 2.3%

4,000

KFW Bankegruppe

4.625%

1/20/11

AAA

4,121,312

Total Sovereign Debt (cost $8,494,902)

8,485,346



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

		STRUCTURED NOTES – 0.9%

$	1,750	FDIC Structured Sales Guaranteed Notes, Series 2010-L1A	0.000%	10/25/13	$	1,616,965
$	1,750	Total Structured Notes (cost $1,615,459)				1,616,965


Nuveen Investments		19

Portfolio of Investments (Unaudited)

Nuveen Short Duration Bond Fund (continued)

March 31, 2010

Principal
Amount (000)

Description (1)

Weighted
Average
Coupon

Maturity (7)

Ratings (2)

Value

VARIABLE RATE SENIOR LOAN INTERESTS – 0.1% (8)

Semiconductors & Equipment – 0.1%

140

Freescale Semiconductor Inc., Incremental Term Loan

12.500%

12/15/14

144,550

140

Total Variable Rate Senior Loan Interests (cost $145,950)

144,550



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

		SHORT-TERM INVESTMENTS – 4.0%

$	7,109	Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/10, repurchase prices $7,108,709, collateralized by $7,235,000 U.S. Treasury Notes, 2.375%, due 8/31/14, value $7,253,087	0.000%	4/01/10	$	7,108,709
		Total Short-Term Investments (cost $7,108,709)				7,108,709
		Total Investments (cost $178,545,464) – 101.8%				180,985,445
		Other Assets Less Liabilities – (1.8)%				(3,187,605)
		Net Assets – 100%			$	177,797,840

Investments in Derivatives

Forward Foreign Currency Exchange Contracts outstanding at March 31, 2010:


Currency Contracts to Deliver	Amount (Local Currency)	In Exchange For Currency	Amount (Local Currency)	Settlement Date	Unrealized Appreciation (Depreciation) (U.S. Dollars)
Brazilian Real	3,699,000	U.S. Dollar	2,059,577	4/05/10	$	(20,441	)
Chilean Peso	710,352,500	U.S. Dollar	1,341,934	4/05/10		(11,764	)
Chilean Peso	1,504,951,500	U.S. Dollar	2,825,139	4/09/10		(43,027	)
Colombian Peso	3,701,050,000	U.S. Dollar	1,949,717	4/30/10		25,764
Colombian Peso	5,000,000,000	U.S. Dollar	2,577,984	4/30/10		(21,214	)
Euro	1,400,000	U.S. Dollar	1,886,500	4/01/10		(4,411	)
Euro	1,400,000	U.S. Dollar	1,883,049	6/01/10		(7,940	)
Japanese Yen	204,326,100	U.S. Dollar	2,200,000	5/06/10		14,097
Mexican Peso	185,360	U.S. Dollar	15,035	4/06/10		43
New Zealand Dollar	48,700	U.S. Dollar	34,184	5/28/10		(291	)
Pound Sterling	1,200,000	U.S. Dollar	1,792,800	4/08/10		(28,176	)
South African Rand	38,900	U.S. Dollar	5,186	4/30/10		(132	)
South African Rand	17,531,750	U.S. Dollar	2,336,570	5/11/10		(55,478	)
Swedish Krona	15,954,972	U.S. Dollar	2,200,000	5/03/10		(9,770	)
U.S. Dollar	2,016,683	Brazilian Real	3,699,000	4/05/10		63,335
U.S. Dollar	1,812,048	Pound Sterling	1,200,000	4/08/10		8,928
U.S. Dollar	2,961,046	Chilean Peso	1,504,951,500	4/09/10		(92,880	)
U.S. Dollar	2,063,112	Mexican Peso	26,104,556	4/16/10		46,182
U.S. Dollar	290,000	South African Rand	2,199,824	4/30/10		10,730
U.S. Dollar	2,047,493	Brazilian Real	3,699,000	5/04/10		20,106
U.S. Dollar	2,352,466	South African Rand	17,531,750	5/11/10		39,582
U.S. Dollar	2,200,000	Indonesian Rupiah	20,112,400,000	7/01/10		(25,691	)
					$	(92,448	)

Interest Rate Swaps outstanding at March 31, 2010:


Counterparty	Notional Amount		Fund Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate*		Fixed Rate Payment Frequency	Term- ination Date	Value (U.S. Dollars)			Unrealized Appreciation (Depreciation) (U.S. Dollars)
Citibank	25,000,000	NOK	Receive	6-Month NIBOR	4.590	%	Annually	12/17/19	$	(85,943	)	$	(85,943	)
Credit Suisse	689,500,000	JPY	Pay	6-Month LIBOR-BBA	0.543		Semi-Annually	11/26/11		7,508			7,508
Credit Suisse	1,153,000,000	JPY	Receive	6-Month LIBOR-BBA	0.793		Semi-Annually	11/26/14		(49,477	)		(49,477	)
Credit Suisse	463,500,000	JPY	Pay	6-Month LIBOR-BBA	1.406		Semi-Annually	11/26/19		11,428			11,428


20		Nuveen Investments


Counterparty	Notional Amount		Fund Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate*		Fixed Rate Payment Frequency	Term- ination Date	Value (U.S. Dollars)			Unrealized Appreciation (Depreciation) (U.S. Dollars)
Deutsche Bank AG	72,000,000	ZAR	Receive	3-Month JIBAR	7.612	%	Quarterly	1/07/12	$	(120,221	)	$	(120,221	)
Deutsche Bank AG	143,000,000	ZAR	Pay	3-Month JIBAR	8.560		Quarterly	1/07/15		627,724			627,724
Deutsche Bank AG	72,000,000	MXN	Pay	28-Day MXN-TIIE	8.225		28-Day	12/30/19		180,390			180,390
Deutsche Bank AG	71,000,000	ZAR	Receive	3-Month JIBAR	8.890		Quarterly	1/07/20		(413,384	)		(413,384	)
Deutsche Bank AG	30,000,000	MXN	Pay	28-Day MXN-TIIE	7.900		28-Day	3/12/20		11,824			11,824
Goldman Sachs	6,650,000	ZAR	Receive	3-Month JIBAR	9.950		Quarterly	10/23/18		(98,181	)		(98,181	)
Goldman Sachs	11,500,000	ZAR	Receive	3-Month JIBAR	8.600		Quarterly	3/11/19		(30,828	)		(4,916	)
JPMorgan	124,700,000	MXN	Receive	28-Day MXN-TIIE	6.000		28-Day	3/28/12		(3,331	)		(3,331	)
JPMorgan	3,268,000,000	CLP	Pay	6-Month CLICP	4.580		Semi-Annually	8/10/14		39,035			41,010
JPMorgan	4,610,000	GBP	Receive	6-Month LIBOR-BBA	3.365		Semi-Annually	1/07/15		(229,101	)		(229,101	)
JPMorgan	10,831,000,000	KRW	Receive	3-Month KRW-CD-KSDA	4.250		Quarterly	3/11/15		(23,903	)		(23,903	)
JPMorgan	230,300,000	MXN	Pay	28-Day MXN-TIIE	7.130		28-Day	3/25/15		1,150			1,150
JPMorgan (3), (9)	16,000,000	BRL	Pay	1-Day BRAZIBOR	13.040		Annually	1/02/17		221,708			221,708
JPMorgan	25,350,000	ZAR	Receive	3-Month JIBAR	9.940		Quarterly	8/07/18		(365,050	)		(158,983	)
JPMorgan	105,600,000	MXN	Receive	28-Day MXN-TIIE	7.870		28-Day	3/18/20		(18,640	)		(18,640	)
RBC	22,500,000	AUD	Pay	3-Month AUD-BBR	5.420		Quarterly	3/30/12		29,919			29,919
RBC	7,070,000	NZD	Pay	3-Month NZD-BBR	6.045		Semi-Annually	6/22/19		151,396			149,496
												$	76,077

*	Annualized.

Credit Default Swaps outstanding at March 31, 2010:


Counterparty	Referenced Entity	Buy/Sell Protection (11)	Current Credit Spread (10)		Notional Amount		Fixed Rate*		Termination Date	Value (U.S. Dollars)			Unrealized Appreciation (Depreciation) (U.S. Dollar)
Bank of America	Boyd Gaming Corporation	Sell	12.40	%	$	600,000	5.000	%	3/20/15	$	(133,027	)	$	4,973
Barclays Bank PLC	TRW Automotive Inc.	Sell	4.58			450,000	5.000		3/20/15		8,095			(5,128	)
Citibank	Masco Corporation	Buy	1.36			1,000,000	5.150		3/20/14		(139,331	)		(139,331	)
Credit Suisse	Harrah's Operating Company, Inc., LCDS	Sell	3.12			780,000	5.000		6/20/10		4,359			90,159
Duetsche Bank AG	Aetna Inc.	Buy	.81			1,000,000	1.150		3/20/14		(13,019	)		(13,019	)
Goldman Sachs	K. Hovnanian Enterprises, Inc.	Sell	10.01			460,000	5.000		6/20/14		(67,671	)		5,929
JPMorgan	Mohawk Industries, Inc.	Buy	1.50			1,000,000	3.700		3/20/14		(82,428	)		(82,428	)
JPMorgan	DJ High Yield CDX	Sell	4.63			9,259,000	5.000		6/20/14		136,930			1,057,396
JPMorgan	DJ Investment Grade CDX	Sell	.82			2,000,000	1.000		12/20/14		16,156			(4,561	)
													$	913,990

*	Annualized.

Futures Contracts outstanding at March 31, 2010:


Type	Contract Position	Number of Contracts		Contract Expiration	Value (U.S. Dollars)			Unrealized Appreciation (Depreciation) (U.S. Dollars)
U.S. 2-Year Treasury Note	Short	(20	)	6/10	$	(4,339,063	)	$	(7,435	)
U.S. 5-Year Treasury Note	Short	(113	)	6/10		(12,977,344	)		56,954
U.S. 10-Year Treasury Note	Short	(91	)	6/10		(10,578,750	)		35,143
U.S. 30-Year Treasury Bond	Short	(27	)	6/10		(3,135,375	)		11,228
								$	95,890

(1)

All percentages shown in the Portfolio of Investments are based on net assets.

(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)

For fair value measurement disclosure purposes, investment categorized as Level 3. See Notes to Financial Statements, Footnote 2 – Fair Value Measurements for more information.

(4)

Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in derivatives.

(5)

Principal Amount (000) rounds to less than $1,000.

(6)

Principal Amount (000) denominated in U.S. Dollars, unless otherwise noted.

(7)

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.


Nuveen Investments		21

Portfolio of Investments (Unaudited)

Nuveen Short Duration Bond Fund (continued)

March 31, 2010

(8)

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.

(9)

Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board of Trustees.

(10)

The credit spread generally serves as an indication of the current status of the payment/preformance risk and therefore the likelihood of default of the credit derivative. The spread also reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into a credit default swap contract. Higher credit spreads are indicative of a higher likelihood of preformance by the seller of protection.

(11)

The Fund entered into the credit default swaps to gain investment exposure to the referenced entity. Selling protection has a similar credit risk position to owning the referenced entity. Buying protection has a similar credit risk position to selling the referenced entity short.

N/R

Not rated.

I/O

Interest only investment.

P/O

Principal only investment.

WI/DD

Purchased on a when-issued or delayed delivery basis.

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.

AUD

Australian Dollar

BRL

Brazilian Real

COP

Colombian Peso

CLP

Chilean Peso

GBP

British Pound

JPY

Japanese Yen

KRW

South Korean Won

MXN

Mexican Peso

NOK

Norwegian Krone

NZD

New Zealand Dollar

ZAR

South African Rand

AUD-BBR

Australian Dollar-Bank Bill Rate

BRAZIBOR

Brazil Inter-Bank Offered Rate

CLICP

Sinacofi Chile Interbank Rate Average

KRW-CD-KSDA

Korean Won-Certificates of Deposit-Korean Securities Dealers Association

JIBAR

Johannesburg Inter-Bank Agreed Rate

LIBOR-BBA

London Inter-Bank Offered Rate-British Bankers’ Assocation

MXN-TIIE

Mexican Peso Inter-Bank Equilibrium Interest Rate

NIBOR

Norwegian Inter-Bank Offered Rate

NZD-BBR

New Zealand Dollar-Bank Bill Rate

See accompanying notes to financial statements.


22		Nuveen Investments

Portfolio of Investments (Unaudited)

Nuveen Multi-Strategy Core Bond Fund

March 31, 2010


Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value

		CONVERTIBLE BONDS – 0.1%

		Diversified Telecommunication Services – 0.1%

$	100	Qwest Communications International Inc.	7.500%	2/15/14	Ba3	$	102,250
$	100	Total Convertible Bonds (cost $93,911)					102,250

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		CORPORATE BONDS – 31.5%

		Aerospace & Defense – 0.5%

$	50	BE Aerospace Inc.	8.500%	7/01/18	BB	$	53,500

	12	Boeing Capital Corporation	5.800%	1/15/13	A		13,215

	35	General Dynamics Corporation	4.250%	5/15/13	A		37,411

	140	Global Aviation Holdings, 144A	14.000%	8/15/13	BB–		142,975

	20	Lockheed Martin Corporation	7.650%	5/01/16	A–		24,099

	85	Raytheon Company	4.400%	2/15/20	A–		83,944

	8	United Technologies Corporation	7.500%	9/15/29	A		9,691
	350	Total Aerospace & Defense					364,835
		Auto Components – 0.4%

	135	Affinia Group Inc.	9.000%	11/30/14	B3		135,000

	80	ArvinMeritor Inc.	10.625%	3/15/18	Caa2		83,200

	100	Cooper Tire & Rubber Company	7.625%	3/15/27	B		89,000
	315	Total Auto Components					307,200
		Beverages – 0.4%

	140	Anheuser Busch InBev, 144A	5.375%	11/15/14	BBB+		151,790

	7	Coca-Cola Enterprises Inc.	6.750%	9/15/28	A		8,054

	5	Diageo Capital, PLC	5.750%	10/23/17	A–		5,426

	55	Miller Brewing Company, 144A	5.500%	8/15/13	BBB+		58,931

	10	Pepsi Bottling Group LLC	5.500%	4/01/16	A		11,006

	65	PepsiCo Inc.	3.750%	3/01/14	Aa3		68,022
	282	Total Beverages					303,229
		Building Products – 0.0%

	40	Dayton Superior Corporation, (3), (4), (13)	13.000%	6/15/10	Caa3		8,000

	4	Masco Corporation	5.875%	7/15/12	BBB		4,185
	44	Total Building Products					12,185
		Capital Markets – 1.9%

	105	Bank of New York Mellon	4.300%	5/15/14	Aa2		110,637

	505	Goldman Sachs Group, Inc.	5.500%	11/15/14	A1		542,308

	170	Jefferies Group Inc.	8.500%	7/15/19	BBB		188,896

	120	Morgan Stanley	5.950%	12/28/17	A		123,474

	185	Morgan Stanley	6.000%	5/13/14	A		200,008

	150	Morgan Stanley	5.625%	9/23/19	A		149,742
	1,235	Total Capital Markets					1,315,065
		Chemicals – 1.0%

	190	Airgas, Inc.	4.500%	9/15/14	BBB		196,287

	75	E.I. Du Pont de Nemours and Company	3.250%	1/15/15	A		75,539


Nuveen Investments		23

Portfolio of Investments (Unaudited)

Nuveen Multi-Strategy Core Bond Fund (continued)

March 31, 2010


Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value

		Chemicals (continued)

$	90	IMC Global Inc.	7.300%	1/15/28	Baa2	$	96,621

	50	Methanex Corporation	8.750%	8/15/12	BBB–		52,750

	195	Potash Corporation of Saskatchewan	3.750%	9/30/15	A–		197,558

	75	Praxair, Inc.	4.500%	8/15/19	A		75,940
	675	Total Chemicals					694,695
		Commercial Banks – 1.7%

	150	Barlcays Bank PLC	5.000%	9/22/16	AA–		154,392

	115	BB&T Corporation	5.700%	4/30/14	A1		125,080

	6	Charter One Bank FSB	6.375%	5/15/12	A3		6,204

	140	Credit Suisse New York	5.500%	5/01/14	Aa1		152,520

	110	Fifth Third Bancorp.	6.250%	5/01/13	Baa1		118,381

	4	Key Bank NA	7.000%	2/01/11	A3		4,192

	140	KeyCorp.	6.500%	5/14/13	BBB+		149,612

	25	National City Bank	6.200%	12/15/11	A		26,956

	60	PNC Funding Corporation	6.700%	6/10/19	A		67,162

	6	SunTrust Banks Inc.	6.375%	4/01/11	A3		6,265

	95	US Bancorp	4.200%	5/15/14	Aa3		99,767

	9	US Bank NA Minnesota	6.375%	8/01/11	Aa2		9,586

	74	Wachovia Corporation	5.250%	8/01/14	A+		77,804

	170	Wells Fargo & Company	5.250%	10/23/12	AA–		183,261
	1,104	Total Commercial Banks					1,181,182
		Commercial Services & Supplies – 0.6%

	85	Browning Ferris-Allied Waste	9.250%	5/01/21	BBB		104,318

	110	GATX Corporation	4.750%	10/01/12	BBB+		114,886

	110	Geokinetics Holdings Inc., 144A	9.750%	12/15/14	B		103,675

	130	Rental Service Corporation	9.500%	12/01/14	B–		129,350
	435	Total Commercial Services & Supplies					452,229
		Communications Equipment – 0.1%

	10	Cisco Systems, Inc.	5.500%	2/22/16	A+		11,157

	1	Motorola, Inc.	7.625%	11/15/10	Baa3		1,037

	3	Motorola, Inc.	7.500%	5/15/25	Baa3		3,099

	80	Paetec Holding Corporation, 144A	8.875%	6/30/17	B1		82,600
	94	Total Communications Equipment					97,893
		Computers & Peripherals – 0.1%

	20	Dell Inc.	3.375%	6/15/12	A2		20,795

	35	Hewlett Packard Company	4.500%	3/01/13	A		37,500

	35	International Business Machines Corporation (IBM)	4.750%	11/29/12	A+		37,889
	90	Total Computers & Peripherals					96,184
		Consumer Finance – 0.5%

	185	American Express Credit Corporation	7.300%	8/20/13	A2		207,803

	120	Provident Funding Associates, 144A, (WI/DD)	10.250%	4/15/17	Ba3		121,500
	305	Total Consumer Finance					329,303


24		Nuveen Investments


Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value

		Containers & Packaging – 0.2%

$	95	Intertape Polymer US Inc.	8.500%	8/01/14	Caa1	$	81,700

	50	Rock-Tenn Company	5.625%	3/15/13	BBB–		51,625

	40	Tekni-Plex Inc.	10.875%	8/15/12	N/R		37,600
	185	Total Containers & Packaging					170,925
		Diversified Financial Services – 1.7%

	185	Capital One Financial Corporation	7.375%	5/23/14	Baa1		211,596

	225	Citigroup Inc.	6.125%	11/21/17	A		231,802

	65	Citigroup Inc.	6.000%	10/31/33	A–		57,161

	65	General Electric Capital Corporation	5.625%	9/15/17	AA+		68,544

	225	General Electric Capital Corporation	6.875%	1/10/39	AA+		243,479

	80	JP Morgan Chase & Company	5.375%	10/01/12	Aa3		86,620

	210	JP Morgan Chase & Company	6.000%	1/15/18	Aa3		228,354

	90	National Rural Utilities Cooperative Finance Corporation	7.250%	3/01/12	A		99,045
	1,145	Total Diversified Financial Services					1,226,601
		Diversified Telecommunication Services – 3.0%

	240	AT&T, Inc.	6.800%	5/15/36	A		254,551

	90	Cequel Communication Holdings I, 144A	8.625%	11/15/17	B–		92,925

	120	Cincinnati Bell Inc.	8.375%	1/15/14	B2		124,050

	190	Cincinnati Bell Inc.	8.750%	3/15/18	B2		192,613

	240	Citizens Communications Company	9.000%	8/15/31	BB		235,200

	145	Cox Communications, Inc.	5.500%	10/01/15	Baa2		156,461

	90	France Telecom	5.375%	7/08/19	A–		95,147

	100	Paetec Holding Corporation	8.875%	6/30/17	B1		103,250

	130	Qwest Communications International Inc., 144A	7.125%	4/01/18	Ba3		134,875

	215	Telecom Italia Capital	5.250%	10/01/15	BBB		220,398

	130	Telefonica Emisiones SAU	4.949%	1/15/15	A–		137,419

	260	Verizon Communications	6.250%	4/01/37	A		264,365

	100	Windstream Corporation, 144A	7.875%	11/01/17	Ba3		99,000
	2,050	Total Diversified Telecommunication Services					2,110,254
		Electric Utilities – 1.2%

	35	American Electric Power	5.250%	6/01/15	BBB		37,463

	20	Carolina Power and Light Company	5.125%	9/15/13	A1		21,891

	14	Duke Capital LLC	5.668%	8/15/14	BBB		15,087

	105	Duke Energy Corporation	6.250%	1/15/12	A–		113,993

	190	Edison Mission Energy	7.625%	5/15/27	B		122,550

	75	Exelon Corporation	4.900%	6/15/15	Baa1		78,257

	2	FirstEnergy Corporation	6.450%	11/15/11	Baa3		2,122

	5	FirstEnergy Corporation	7.375%	11/15/31	Baa3		5,189

	250	Niagara Mohawk Power Company, 144A	3.553%	10/01/14	A–		251,216

	10	Progress Energy, Inc.	7.000%	10/30/31	BBB		10,992

	5	PSE&G Power LLC	8.625%	4/15/31	Baa1		6,419

	190	Tennessee Valley Authority	5.250%	9/15/39	AAA		188,585
	901	Total Electric Utilities					853,764


Nuveen Investments		25

Portfolio of Investments (Unaudited)

Nuveen Multi-Strategy Core Bond Fund (continued)

March 31, 2010


Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value

		Electrical Equipment – 0.0%

$	25	Emerson Electric Company	5.250%	10/15/18	A	$	26,671
		Electronic Equipment & Instruments – 0.5%

	190	Agilent Technologies Inc.	5.500%	9/14/15	BBB–		203,912

	130	ViaSystems Inc., 144A	12.000%	1/15/15	B+		141,375
	320	Total Electronic Equipment & Instruments					345,287
		Energy Equipment & Services – 1.3%

	110	Crosstex Energy Finance, 144A	8.875%	2/15/18	B+		113,988

	33	Halliburton Company	5.500%	10/15/10	A		33,913

	250	Kinder Morgan Energy Partners, L.P.	6.500%	9/01/39	BBB		257,829

	85	Nabors Industries Inc.	9.250%	1/15/19	BBB+		105,897

	25	Parker Drilling Company, 144A	9.125%	4/01/18	B+		25,719

	200	Plains All American Pipeline L.P	5.750%	1/15/20	BBB–		205,473

	50	Rockies Express Pipeline Company, 144A	6.250%	7/15/13	BBB		54,445

	55	Transocean Sedco Inc.	6.000%	3/15/18	BBB+		59,966

	90	Trico Shipping AS, 144A	11.875%	11/01/14	B1		86,400
	898	Total Energy Equipment & Services					943,630
		Food & Staples Retailing – 0.8%

	25	CVS Caremark Corporation	5.750%	8/15/11	BBB+		26,438

	165	Kroger Co	3.900%	10/01/15	BBB		167,229

	2	Kroger Co	7.500%	4/01/31	BBB		2,341

	135	Safeway Inc.	6.250%	3/15/14	BBB		150,191

	135	Wal-Mart Stores, Inc.	3.200%	5/15/14	AA		138,551

	50	Wal-Mart Stores, Inc.	5.800%	2/15/18	AA		55,889
	512	Total Food & Staples Retailing					540,639
		Food Products – 0.3%

	100	General Mills, Inc.	6.000%	2/15/12	BBB+		108,852

	27	Kellogg Company	7.450%	4/01/31	A3		32,949

	85	Kraft Foods Inc.	6.125%	2/01/18	Baa2		93,169
	212	Total Food Products					234,970
		Gas Utilities – 0.0%

	2	Consolidated Natural Gas Company	5.000%	12/01/14	A–		2,133
		Health Care Providers & Services – 0.1%

	35	AMR-EmCare Holding Company Inc.	10.000%	2/15/15	Ba2		36,947

	50	HCA Inc.	8.750%	9/01/10	B–		51,250
	85	Total Health Care Providers & Services					88,197
		Hotels, Restaurants & Leisure – 0.5%

	90	Dave & Busters Inc.	11.250%	3/15/14	B–		94,950

	75	Harrah's Operating Company, Inc.	11.250%	6/01/17	B–		81,188

	85	McDonald's Corporation	5.800%	10/15/17	A		94,963

	100	Tricon Golbal Restaurants Incorporated	8.875%	4/15/11	BBB–		107,275
	350	Total Hotels, Restaurants & Leisure					378,376
		Household Durables – 0.2%

	155	MDC Holdings Inc.	5.625%	2/01/20	BBB–		148,221


26		Nuveen Investments


Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value

		Household Products – 0.4%

$	150	Clorox Company	3.550%	11/01/15	BBB+	$	152,209

	115	Norcraft Companies Finance, 144A	10.500%	12/15/15	B2		121,900

	20	Procter and Gamble Company	4.850%	12/15/15	AA–		21,957
	285	Total Household Products					296,066
		Independent Power Producers & Energy Traders – 0.2%

	160	Dynegy Holdings, Inc., Term Loan	7.750%	6/01/19	B		121,600
		Industrial Conglomerates – 0.9%

	300	Textron Inc.	7.250%	10/01/19	BBB–		324,678

	190	Timken Company	6.000%	9/15/14	BBB–		202,257

	125	Tyco International Group	6.000%	11/15/13	BBB+		138,253
	615	Total Industrial Conglomerates					665,188
		Insurance – 0.4%

	100	Berkshire Hathaway Inc.	5.400%	5/15/18	AA+		106,499

	75	MetLife Inc.	7.717%	2/15/19	A–		87,719

	55	Prudential Financial Inc.	4.750%	4/01/14	A		56,843
	230	Total Insurance					251,061
		IT Services – 0.3%

	150	First Data Corporation	9.875%	9/24/15	B–		130,125

	70	Fiserv Inc.	6.125%	11/20/12	Baa2		76,231
	220	Total IT Services					206,356
		Machinery – 0.4%

	5	Caterpillar Inc.	6.050%	8/15/36	A		5,276

	15	Deere & Company	6.950%	4/25/14	A		17,347

	150	Greenbrier Companies, Inc.	8.375%	5/15/15	CCC		137,250

	125	Toys R Us Property Company Inc., 144A	10.750%	7/15/17	B+		140,000
	295	Total Machinery					299,873
		Media – 3.1%

	200	Clear Channel Communications, Inc.	10.750%	8/01/16	CCC–		157,500

	10	Clear Channel Worldwide Holdings Inc., 144A	9.250%	12/15/17	B		10,438

	40	Clear Channel Worldwide Holdings Inc., 144A	9.250%	12/15/17	B		42,000

	340	Comcast Corporation	5.850%	11/15/15	BBB+		373,004

	55	Comcast Corporation	6.450%	3/15/37	BBB+		56,190

	190	McClatchy Company, 144A	11.500%	2/15/17	B1		194,988

	40	News America, Inc., 144A	6.150%	3/01/37	BBB+		39,556

	115	Nielsen Finance LLC Co	11.625%	2/01/14	B–		130,525

	96	Sinclair Broadcast Group	8.000%	3/15/12	CCC+		95,520

	195	Sinclair Television Group, 144A	9.250%	11/01/17	B2		206,213

	170	Thomson Reuters Corporation	4.700%	10/15/19	A–		171,193

	130	Time Warner Cable Inc.	6.200%	7/01/13	BBB		143,560

	35	Time Warner Cable Inc.	6.550%	5/01/37	BBB		35,888

	210	Time Warner Inc.	4.875%	3/15/20	BBB		205,576

	150	TL Acquisitions Inc., 144A	13.250%	7/15/15	CCC+		146,250

	100	Valassis Communications Inc.	8.250%	3/01/15	B–		103,250

	25	Walt Disney Company	6.000%	7/17/17	A		28,034


Nuveen Investments		27

Portfolio of Investments (Unaudited)

Nuveen Multi-Strategy Core Bond Fund (continued)

March 31, 2010


Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value

		Media (continued)

$	2	Walt Disney Company	7.000%	3/01/32	A	$	2,375

	45	WMG Acquisition Group	9.500%	6/15/16	BB		48,319
	2,148	Total Media					2,190,379
		Metals & Mining – 0.9%

	45	Algoma Acquisition Corporation, 144A	9.875%	6/15/15	CCC+		41,625

	80	BHP Billiton Finance Limited	5.500%	4/01/14	A+		88,108

	95	Consol Energy Inc., 144A, (WI/DD)	8.000%	4/01/17	BB		98,088

	95	Consol Energy Inc., 144A, (WI/DD)	8.250%	4/01/20	BB		98,088

	95	Essar Steel Algoma Inc., 144A	9.375%	3/15/15	B+		96,425

	50	Steel Dynamics, Inc., 144A	7.625%	3/15/20	BB+		51,500

	75	Steel Dynamics, Inc.	7.375%	11/01/12	BB+		78,375

	25	Steel Dynamics, Inc.	7.750%	4/15/16	BB+		26,250

	60	United States Steel Corporation	6.050%	6/01/17	BB		58,050
	620	Total Metals & Mining					636,509
		Multi-Line Retail – 0.6%

	120	Costco Wholesale Corporation	5.300%	3/15/12	A+		128,968

	8	Federated Department Stores, Inc.	6.900%	4/01/29	BB		7,640

	75	Home Depot, Inc.	5.400%	3/01/16	BBB+		81,148

	170	Target Corporation	5.375%	5/01/17	A+		184,417
	373	Total Multi-Line Retail					402,173
		Multi-Utilities – 0.4%

	190	Bon-Ton Department Stores Inc.	10.250%	3/15/14	CCC		186,200

	45	Dominion Resources Inc.	6.250%	6/30/12	A–		49,001

	16	Pacific Gas and Electric Company	6.050%	3/01/34	A3		16,530

	11	Reliant Energy, Centerpoint Energy Inc.	7.750%	2/15/11	BBB		11,584

	9	Virginia Electric and Power Company	4.750%	3/01/13	A–		9,628
	271	Total Multi-Utilities					272,943
		Oil, Gas & Consumable Fuels – 4.7%

	95	Anadarko Petroleum Corporation	7.625%	3/15/14	BBB–		109,311

	40	Apache Corporation	6.000%	1/15/37	A–		42,231

	100	BP Capital Markets PLC	3.625%	5/08/14	Aa1		103,832

	210	Cenovus Energy Inc., 144A	4.500%	9/15/14	BBB+		219,313

	125	Chevron Corporation	3.950%	3/03/14	Aa1		130,662

	10	Devon Energy Corporation	7.950%	4/15/32	BBB+		12,603

	10	Duke Energy Field Services Corporation	7.875%	8/16/10	BBB		10,258

	195	Enbridge Energy Partners LP	5.200%	3/15/20	BBB		196,227

	91	Energy XXI Gulf Coast Inc., 144A	16.000%	6/15/14	B+		105,625

	170	Enterprise Products Operating Group LLP	4.600%	8/01/12	BBB–		179,421

	85	EOG Resources Inc.	5.625%	6/01/19	A–		91,391

	110	Linn Energy LLC Finance Corporation, 144A, (WI/DD)	8.625%	4/15/20	Ba3		110,413

	110	Massey Energy Company, Global Notes	6.875%	12/15/13	BB–		112,063

	165	McMoran Exploration Corporation	11.875%	11/15/14	B		178,200

	190	NFR Energy LLC / Finance Corporation, 144A	9.750%	2/15/17	B		190,475

	20	Occidental Petroleum Corporation	6.750%	1/15/12	A		21,870


28		Nuveen Investments


Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value

		Oil, Gas & Consumable Fuels (continued)

$	140	Occidental Petroleum Corporation	4.125%	6/01/16	A	$	144,436

	90	Sandridge Energy Inc.,	8.625%	4/01/15	B+		87,975

	85	Sandridge Energy Inc., 144A	8.750%	1/15/20	B+		83,300

	510	Shell International Finance BV	4.300%	9/22/19	Aa1		503,826

	115	StatOilHydro ASA	2.900%	10/15/14	Aa2		115,121

	85	Stone Energy Corporation	6.750%	12/15/14	CCC+		75,225

	245	SunCor Energy Inc.	6.100%	6/01/18	BBB+		264,410

	135	Tesoro Petroleum Corporation	6.250%	11/01/12	BB+		136,013

	10	Tosco Corporation	8.125%	2/15/30	A1		12,616

	10	Valero Energy Corporation	7.500%	4/15/32	BBB		10,334

	115	W&T Offshore, Inc., 144A	8.250%	6/15/14	B+		108,100

	10	XTO Energy, Inc.	6.250%	4/15/13	BBB		11,173
	3,276	Total Oil, Gas & Consumable Fuels					3,366,424
		Paper & Forest Products – 0.0%

	8	Westvaco Corporation	8.200%	1/15/30	BBB		8,817
		Pharmaceuticals – 0.0%

	3	Schering-Plough Corporation	6.500%	12/01/33	AA–		3,372
		Real Estate – 0.1%

	90	Potlatch Corporation, 144A	7.500%	11/01/19	Ba1		92,475
		Road & Rail – 0.1%

	18	Burlington Northern Santa Fe Corporation	6.750%	7/15/11	A3		19,158

	13	Canadian National Railways Company	6.250%	8/01/34	A–		14,038

	10	CSX Corporation	5.600%	5/01/17	BBB–		10,573

	17	Norfolk Southern Corporation	7.700%	5/15/17	BBB+		20,230
	58	Total Road & Rail					63,999
		Specialty Retail – 0.8%

	300	CenturyTel Inc.	6.150%	9/15/19	BBB–		297,702

	80	Michael's Stores	11.375%	11/01/16	CCC		86,800

	145	TJX Companies, Inc.	4.200%	8/15/15	A		153,551
	525	Total Specialty Retail					538,053
		Tobacco – 0.2%

	120	Altria Group Inc.	8.500%	11/10/13	Baa1		140,377
		Trading Companies & Distributors – 0.1%

	30	Russel Metals Inc.	6.375%	3/01/14	BB		28,238
		Wireless Telecommunication Services – 0.9%

	95	Cricket Communications Inc.	10.000%	7/15/15	B–		99,275

	40	IntelSat Jackson Holding, 144A	8.500%	11/01/19	B+		42,200

	105	MetroPCS Wireless Inc.	9.250%	11/01/14	B		107,888

	50	Nokia Corporation	5.375%	5/15/19	A		52,759

	60	Rogers Wireless Communications Inc.	6.375%	3/01/14	BBB		66,644

	200	Sprint Capital Corporation	6.900%	5/01/19	BB–		184,000

	80	Vodafone Group PLC	5.350%	2/27/12	A–		85,336
	630	Total Wireless Telecommunication Services					638,102
$	21,726	Total Corporate Bonds (cost $21,299,841)					22,445,673


Nuveen Investments		29

Portfolio of Investments (Unaudited)

Nuveen Multi-Strategy Core Bond Fund (continued)

March 31, 2010


Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value

		U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 34.1%

		U.S. Treasury Bonds/Notes – 34.1%

$	750	United States of America Treasury Bonds/Notes (5)	6.375%	8/15/27	AAA	$	921,680

	675	United States of America Treasury Bonds/Notes	5.250%	11/15/28	AAA		735,118

	1,000	United States of America Treasury Bonds/Notes	5.250%	2/15/29	AAA		1,088,438

	450	United States of America Treasury Bonds/Notes	5.375%	2/15/31	AAA		497,953

	450	United States of America Treasury Bonds/Notes	4.750%	2/15/37	AAA		456,328

	400	United States of America Treasury Bonds/Notes	3.500%	2/15/39	AAA		323,813

	475	United States of America Treasury Bonds/Notes	4.250%	5/15/39	AAA		440,266

	200	United States of America Treasury Bonds/Notes	4.375%	11/15/39	AAA		189,188

	1,200	United States of America Treasury Bonds/Notes	1.125%	12/15/11	AAA		1,205,719

	1,500	United States of America Treasury Bonds/Notes	4.500%	3/31/12	AAA		1,604,181

	1,400	United States of America Treasury Bonds/Notes	1.375%	4/15/12	AAA		1,410,172

	525	United States of America Treasury Bonds/Notes	4.625%	7/31/12	AAA		566,795

	1,150	United States of America Treasury Bonds/Notes	1.750%	8/15/12	AAA		1,164,466

	250	United States of America Treasury Bonds/Notes	1.375%	9/15/12	AAA		250,625

	1,000	United States of America Treasury Bonds/Notes	2.750%	2/28/13	AAA		1,035,235

	1,500	United States of America Treasury Bonds/Notes	3.125%	4/30/13	AAA		1,568,439

	900	United States of America Treasury Bonds/Notes	3.375%	6/30/13	AAA		947,321

	3,500	United States of America Treasury Bonds/Notes (5)	2.625%	12/31/14	AAA		3,526,252

	3,250	United States of America Treasury Bonds/Notes	2.250%	1/31/15	AAA		3,215,724

	500	United States of America Treasury Bonds/Notes	2.375%	2/28/15	AAA		496,722

	400	United States of America Treasury Bonds/Notes	3.750%	11/15/18	AAA		403,156

	400	United States of America Treasury Bonds/Notes	3.625%	2/15/20	AAA		393,313

	1,500	United States of America Treasury Securities, STRIPS (I/O)	0.000%	5/15/12	AAA		1,470,038

	105	United States of America Treasury Securities, STRIPS (I/O)	0.000%	8/15/18	AAA		76,277

	400	United States of America Treasury Securities, STRIPS (I/O)	0.000%	5/15/32	AAA		133,976

	550	United States of America Treasury Securities, STRIPS (P/O)	0.000%	2/15/39	AAA		134,798
$	24,430	Total U.S. Government and Agency Obligations (cost $24,414,473)					24,255,993

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value

		ASSET-BACKED AND MORTGAGE-BACKED SECURITIES – 47.0%

		Autos - Asset-Backed Securities – 8.1%

$	300	Bank of America Auto Trust, Series 2009-2A, 144A	2.130%	9/15/13	AAA	$	304,618

	350	Bank of America Auto Trust, Series 2010-1A	1.390%	3/15/14	AAA		350,555

	450	Bank of America Auto Trust	2.670%	7/15/13	AAA		459,878

	58	Capital Auto Receivables Asset Trust, Series 2007-2-A3A	5.020%	9/15/11	AAA		58,726

	141	Daimler Chrysler Auto Trust 2008B	5.320%	11/10/14	AA		148,804

	300	Ford Credit Auto Owner Trust 2006B-C	5.680%	6/15/12	AAA		311,767

	271	Ford Credit Auto Owner Trust, 2008A-3A	3.960%	4/15/12	AAA		275,797

	590	Ford Credit Floorplan Master Owner Trust Series 2010-3	4.200%	2/15/17	AAA		592,243

	53	Hyundai Auto Receivables Trust 2007A, Class A3A	5.040%	1/17/12	AAA		53,512

	300	Hyundai Auto Receivables Trust 2009A	2.030%	8/15/13	AAA		304,484

	580	Nissan Auto Receivables Owners Trust 2008-C	5.930%	7/16/12	AAA		600,145

	550	Nissan Auto Receivables Owners Trust, Series 2009-1	5.000%	9/15/14	AAA		572,781


30		Nuveen Investments


Principal Amount (000)			Description (1)	Coupon	Maturity	Ratings (2)	Value

			Autos - Asset-Backed Securities (continued)

$	286		Nissan Auto Receveivables Owners Trust 2008-A3	3.890%	8/15/11	AAA	$	288,638

	1,400		Volkswagen Auto Loan Enhanced Trust, 2008-2, Class A3A	5.470%	3/20/13	AAA		1,468,638
	5,629		Total Autos					5,790,586
			Credit Cards – Asset-Backed Securities – 5.5%

	175		American Express Credit Card Master Trust, Class C Series 2007-6	0.510%	1/15/13	A–		174,674

	74		Bank of America Alternative Loan Trust, Series 2005-5 2 CB1	6.000%	6/25/35	Ba1		52,607

	850		Chase Issuance Trust Series 2008-A9	4.260%	5/15/13	AAA		882,931

	750		CitiBank Credit Card Issuance Trust, Serie 2006-A4	5.450%	5/10/13	AAA		787,793

	550		CitiBank Credit Card Issuance Trust, Series 2009-A5	2.250%	12/23/14	AAA		553,573

	205		Discover Card Master Trust 2008, Class A3	5.100%	10/15/13	AAA		213,886

	530		General Electric Master Credit Card Trust, Series 2009-3A	2.540%	9/15/14	AAA		537,221

	700		MBNA Credit Card Master Note Trust Series 2005-A3	4.100%	10/15/12	AAA		703,161
	3,834		Total Credit Cards					3,905,846
			Home Equity – Asset-Backed Securities – 0.5%

	350		CNH Equipment Trust 2010-A	1.540%	7/15/14	AAA		349,891

	—	(6)	Master Asset Backed Securities Trust 2005-WMC1, Mortgage Pass Through Certificates, Class N-1	4.940%	3/26/35	CC		—
	350		Total Home Equity					349,891
			Other – Asset-Backed Securities – 0.1%

	36		SLM Student Loan Trust 2007-7 Class A1	0.389%	10/25/12	AAA		36,035
			Commercial – Mortgage-Backed Securities – 1.8%

	350		Banc of America Commercial Mortgage Pass-Through Certificates, Series 2005	4.933%	7/10/45	AAA		347,573

	427		Credit Suisse First Boston Mortgage Securities Corporation, Mortgage-Backed Pass-Through Certificates, Series 2003-23 (13)	5.750%	9/25/33	AAA		424,049

	500		CS First Boston Mortgage Securities Corporation, Commercial Mortgage Pass-Through Certificates, Series 2004-C1	4.750%	1/15/37	AAA		513,534
	1,277		Total Commercial					1,285,156
			Residential – Mortgage-Backed Securities – 31.0%

	3,033		Federal National Mortgage Interest Strip Series 366-25	5.000%	10/01/35	AAA		359,462

	454		Federal National Mortgage Pool 735060	6.000%	11/01/34	AAA		489,431

	182		Federal National Mortgage Pool 735606	4.377%	5/01/35	AAA		189,907

	265		Federal National Mortgage Pool 824163	5.500%	4/01/35	AAA		280,607

	217		Federal National Mortgage Pool 838948	5.112%	8/01/35	AAA		225,931

	259		Federal National Mortgage Pool 905597	6.068%	12/01/36	AAA		273,818

	661		Federal National Mortgage Pool 946228	6.125%	9/01/37	AAA		697,026

	63		Federal Home Loan Mortgage Corporation, Mortgage Pool 1B3220	5.865%	1/01/37	AAA		67,015

	117		Federal Home Loan Mortgage Corporation, Series 2376	5.500%	11/15/16	AAA		124,309

	150		Federal Home Loan Mortgage Corporation. Mortgage Series 2963	5.500%	5/15/28	AAA		153,788

	165		Federal Home Loan Mortgage Pool 847681	6.162%	12/01/36	AAA		173,349

	4,000		Federal National Mortgage Association	0.284%	9/22/10	N/R		3,995,550

	8,000		Federal National Mortgage Association (MDR) (WI/DD)	5.500%	TBA	AAA		8,557,501

	6,220		Federal National Mortgage Association (MDR) (WI/DD)	5.000%	TBA	AAA		6,417,290

	50		Wells Fargo Mortgage Backed Securties, 2005-AR16 Class 3A2	2.936%	10/25/35	AAA		45,327
	23,836		Total Residential					22,050,311
$	34,962		Total Asset-Backed and Mortgage-Backed Securities (cost $33,018,756)					33,417,825


Nuveen Investments		31

Portfolio of Investments (Unaudited)

Nuveen Multi-Strategy Core Bond Fund (continued)

March 31, 2010

Principal
Amount (000)

Description (1)

Coupon

Maturity

Ratings (2)

Value

CAPITAL PREFERRED SECURITIES – 0.0%

Capital Markets – 0.0%

First Union Institutional Capital Securities I

8.040%

12/01/26

A–

8,205

Total Capital Preferred Securities (cost $8,600)

8,205

Principal
Amount (000) (7)

Description (1)

Coupon

Maturity

Ratings (2)

Value

SOVEREIGN DEBT – 6.0%

Colombia – 3.8%

Republic of Colombia

8.250%

12/22/14

BBB–

11,900

4,225,000

COP

Republic of Colombia

12.000%

10/22/15

BB+

2,686,195

Total Colombia

2,698,095

Germany – 2.2%

1,500

KFW Bankegruppe

4.625%

1/20/11

AAA

1,545,492

Total Sovereign Debt (cost $4,239,486)

4,243,587

Principal
Amount (000)

Description (1)

Optional Call
Provisions (8)

Ratings (2)

Value

MUNICIPAL BONDS – 0.2%

Connecticut – 0.2%

150

Connecticut State, General Obligation Bonds, Series 2008A, 5.850%, 3/15/32

3/18 at 100.00

158,159

150

Total Municipal Bonds (cost $150,000)

158,159



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

		STRUCTURED NOTES – 0.8%

$	650	FDIC Structured Sales Guaranteed Notes, Series 2010-L1A	0.000%	10/25/13	$	600,587
$	650	Total Structured Notes (cost $600,028)				600,587

Principal
Amount (000)

Description (1)

Weighted
Average
Coupon

Maturity (9)

Ratings (2)

Value

VARIABLE RATE SENIOR LOAN INTERESTS – 0.1% (10)

Semiconductors & Equipment – 0.1%

Freescale Semiconductor Inc., Incremental Term Loan

12.500%

12/15/14

51,625

Total Variable Rate Senior Loan Interests (cost $52,125)

51,625



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

		SHORT-TERM INVESTMENTS – 7.5%

$	5,337	Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/10, repurchase price $5,336,757, collateralized by $5,430,000 U.S. Treasury Notes, 2.375%, due 8/31/14, value $5,443,575	0.000%	4/01/10	$	5,336,757
		Total Short-Term Investments (cost $5,336,757)				5,336,757
		Total Investments (cost $89,213,977) – 127.3%				90,620,661
		Other Assets Less Liabilities – (27.3)%				(19,451,710)
		Net Assets – 100%			$	71,168,951


32		Nuveen Investments

Investments in Derivatives

Forward Foreign Currency Exchange Contracts outstanding at March 31, 2010:


Currency Contracts to Deliver	Amount (Local Currency)	In Exchange For Currency	Amount (Local Currency)	Settlement Date	Unrealized Appreciation (Depreciation) (U.S. Dollars) Appreciation
Brazilian Real	1,350,135	U.S. Dollar	751,746	4/05/10	$	(7,461	)
Chilean Peso	332,822,500	U.S. Dollar	628,738	4/05/10		(5,512	)
Chilean Peso	479,367,000	U.S. Dollar	899,882	4/09/10		(13,705	)
Colombian Peso	3,849,400,000	U.S. Dollar	2,027,868	4/30/10		26,797
Colombian Peso	1,400,000,000	U.S. Dollar	721,836	4/30/10		(5,940	)
Euro	500,000	U.S. Dollar	673,750	4/01/10		(1,575	)
Euro	500,000	U.S. Dollar	672,518	6/01/10		(2,836	)
Japanese Yen	85,445,460	U.S. Dollar	920,000	5/06/10		5,895
Mexican Peso	65,648	U.S. Dollar	5,325	4/06/10		15
New Zealand Dollar	18,300	U.S. Dollar	12,845	5/28/10		(109	)
Pound Sterling	440,000	U.S. Dollar	657,360	4/08/10		(10,331	)
South African Rand	6,246,272	U.S. Dollar	832,481	5/11/10		(19,766	)
Swedish Krona	6,672,079	U.S. Dollar	920,000	5/03/10		(4,086	)
U.S. Dollar	736,089	Brazilian Real	1,350,135	4/05/10		23,117
U.S. Dollar	664,418	Pound Sterling	440,000	4/08/10		3,274
U.S. Dollar	943,172	Chilean Peso	479,367,000	4/09/10		(29,585	)
U.S. Dollar	753,036	Mexican Peso	9,528,163	4/16/10		16,857
U.S. Dollar	170,000	South African Rand	1,289,552	4/30/10		6,290
U.S. Dollar	747,335	Brazilian Real	1,350,135	5/04/10		7,339
U.S. Dollar	838,145	South African Rand	6,246,272	5/11/10		14,103
U.S. Dollar	912,000	Indonesian Rupiah	8,337,504,000	7/01/10		(10,650	)
					$	(7,869	)

Interest Rate Swaps outstanding at March 31, 2010:


Counterparty	Notional Amount		Fund Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate*		Fixed Rate Payment Frequency	Term- ination Date	Value (U.S. Dollars)			Unrealized Appreciation (Depreciation) (U.S. Dollars)
Citibank	9,500,000	NOK	Receive	6-Month NIBOR	4.590	%	Annually	12/17/19	$	(32,659	)	$	(32,659	)
Credit Suisse	280,000,000	JPY	Pay	6-Month LIBOR-BBA	0.543		Semi-Annually	11/26/11		3,049			3,049
Credit Suisse	468,000,000	JPY	Receive	6-Month LIBOR-BBA	0.793		Semi-Annually	11/26/14		(20,083	)		(20,083	)
Credit Suisse	188,000,000	JPY	Pay	6-Month LIBOR-BBA	1.406		Semi-Annually	11/26/19		4,635			4,635
Deutsche Bank AG	25,600,000	ZAR	Receive	3-Month JIBAR	7.612		Quarterly	1/07/12		(42,745	)		(42,745	)
Deutsche Bank AG	50,800,000	ZAR	Pay	3-Month JIBAR	8.560		Quarterly	1/07/15		222,996			222,996
Deutsche Bank AG	25,500,000	MXN	Pay	28-Day MXN-TIIE	8.225		28-Day	12/30/19		63,888			63,888
Deutsche Bank AG	25,200,000	ZAR	Receive	3-Month JIBAR	8.890		Quarterly	1/07/20		(146,722	)		(146,722	)
Deutsche Bank AG	18,000,000	MXN	Pay	28-Day MXN-TIIE	7.900		28-Day	3/12/20		7,095			7,095
Goldman Sachs	8,250,000	ZAR	Receive	3-Month JIBAR	9.950		Quarterly	10/23/18		(121,804	)		(121,804	)
JPMorgan	45,800,000	MXN	Receive	28-Day MXN-TIIE	6.000		28-Day	3/28/12		(1,223	)		(1,223	)
JPMorgan	1,452,000,000	CLP	Pay	6-Month CLICP	4.580		Semi-Annually	8/10/14		17,343			17,959
JPMorgan	1,600,000	GBP	Receive	6-Month LIBOR-BBA	3.365		Semi-Annually	1/07/15		(79,515	)		(79,515	)
JPMorgan	4,046,000,000	KRW	Receive	3-Month KRW-CD-KSDA	4.250		Quarterly	3/11/15		(8,929	)		(8,929	)
JPMorgan	84,700,000	MXN	Pay	28-Day MXN-TIIE	7.130		28-Day	3/25/15		423			423
JPMorgan (4), (13)	5,700,000	BRL	Pay	1-Day BRAZIBOR	13.040		Annually	1/02/17		78,984			78,984
JPMorgan	8,900,000	ZAR	Receive	3-Month JIBAR	9.940		Quarterly	8/07/18		(128,164	)		(105,267	)
JPMorgan	38,900,000	MXN	Receive	28-Day MXN-TIIE	7.870		28-Day	3/18/20		(6,866	)		(6,866	)
RBC	9,500,000	AUD	Pay	3-Month AUD-BBR	5.420		Quarterly	3/30/12		12,633			12,633
RBC	2,640,000	NZD	Pay	3-Month NZD-BBR	6.045		Semi-Annually	6/22/19		56,516			55,840
												$	(98,311	)

*	Annualized.


Nuveen Investments		33

Portfolio of Investments (Unaudited)

Nuveen Multi-Strategy Core Bond Fund (continued)

March 31, 2010

Credit Default Swaps outstanding at March 31, 2010:


Counterparty	Referenced Entity	Buy/Sell Protection (12)	Current Credit Spread (11)		Notional Amount		Fixed Rate*		Termination Date	Value (U.S. Dollars)			Unrealized Appreciation (Depreciation) (U.S. Dollars)
Bank of America	Boyd Gaming Corporation	Sell	12.40	%	$	200,000	5.000	%	3/20/15	$	(44,342	)	$	1,658
Barclays Bank PLC	TRW Automotive Inc.	Sell	4.58			200,000	5.000		3/20/15		3,598			(2,279	)
Citibank	Masco Corporation	Buy	1.36			1,300,000	5.150		3/20/14		(181,130	)		(181,130	)
Credit Suisse	Harrah's Operating Company, Inc., LCDS	Sell	3.12			460,000	5.000		6/20/10		2,571			53,171
Deutsche Bank	Aetna Inc.	Buy	.81			1,300,000	1.150		3/20/14		(16,925	)		(16,925	)
Goldman Sachs	DJ High Yield CDX	Sell	4.63			940,000	5.000		6/20/14		13,902			275,927
Goldman Sachs	K. Hovnanian Enterprises, Inc.	Sell	10.01			190,000	5.000		6/20/14		(27,951	)		2,449
JPMorgan	Mohawk Industries Inc.	Buy	1.50			1,300,000	3.700		3/20/14		(107,156	)		(107,156	)
JPMorgan	DJ Investment Grade CDX	Sell	.82			1,500,000	1.000		12/20/14		12,117			(3,420	)
													$	22,295

*	Annualized.

Futures Contracts outstanding at March 31, 2010:


Type	Contract Position	Number of Contracts		Contract Expiration	Value (U.S. Dollars)			Unrealized Appreciation (Depreciation) (U.S. Dollars)
U.S. 10-Year Treasury Note	Short	(26	)	6/10	$	(3,022,500	)	$	(1,611	)

(1)

All percentages shown in the Portfolio of Investments are based on net assets.

(2)

(3)

The Fund’s Adviser has concluded this issue is not likely to meet its future interest payment obligations and has directed the Fund's custodian to cease accruing additional income on the Fund's records.

(4)

Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board of Trustees.

(5)

Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in derivatives.

(6)

Principal Amount (000) rounds to less than $1,000.

(7)

Principal Amount (000) denominated in U.S. Dollars, unless otherwise noted.

(8)

Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns.

(9)

(10)

(11)

(12)

(13)

For fair value measurement disclosure purposes, investment categorized as Level 3. See Notes to Financial Statements, Footnote 2 – Fair Value Measurements for more information.

N/R

Not rated.

TBA

To be announced. Maturity date not known prior to settlement of this transaction.

I/O

Interest only investment.

P/O

Principal only investment.

MDR

Denotes investment is subject to dollar roll transactions.

WI/DD

Purchased on a when-issued or delayed delivery basis.

144A

AUD

Australian Dollar

BRL

Brazilian Real

COP

Colombian Peso

CLP

Chilean Peso


34		Nuveen Investments

GBP

British Pound

JPY

Japanese Yen

KRW

South Korean Won

MXN

Mexican Peso

NOK

Norwegian Krone

NZD

New Zealand Dollar

ZAR

South African Rand

AUD-BBR

Australian Dollar-Bank Bill Rate

BRAZIBOR

Brazil Inter-Bank Offered Rate

CLICP

Sinacofi Chile Interbank Rate Average

KRW-CD-KSDA

Korean Won-Certificates of Deposit-Korean Securities Dealers Association

JIBAR

Johannesburg Inter-Bank Agreed Rate

LIBOR-BBA

London Inter-Bank Offered Rate-British Bankers’ Association

MXN-TIIE

Mexican Peso Inter-Bank Equilibrium Interest Rate

NIBOR

Norwegian Inter-Bank Offered Rate

NZD-BBR

New Zealand Dollar-Bank Bill Rate

See accompanying notes to financial statements.


Nuveen Investments		35

Portfolio of Investments (Unaudited)

Nuveen High Yield Bond Fund

March 31, 2010


Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value

		CONVERTIBLE BONDS – 1.0%

		Diversified Telecommunication Services – 1.0%

$	1,354	Qwest Communications International Inc.	7.500%	2/15/14	Ba3	$	1,384,465
$	1,354	Total Convertible Bonds (cost $1,271,564)					1,384,465

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		CORPORATE BONDS – 89.8%

		Aerospace & Defense – 1.9%

$	2,600	Global Aviation Holdings, 144A	14.000%	8/15/13	BB–	$	2,655,250
		Auto Components – 4.6%

	2,570	Affinia Group Inc.	9.000%	11/30/14	B3		2,570,000

	1,690	ArvinMeritor Inc.	10.625%	3/15/18	Caa2		1,757,600

	2,260	Cooper Tire & Rubber Company	7.625%	3/15/27	B		2,011,400
	6,520	Total Auto Components					6,339,000
		Building Products – 0.1%

	425	Dayton Superior Corporation, (3), (4)	13.000%	6/15/10	Caa3		85,000
		Chemicals – 1.9%

	1,705	IMC Global Inc.	7.300%	1/15/28	Baa2		1,830,425

	800	Methanex Corporation	8.750%	8/15/12	BBB–		844,000
	2,505	Total Chemicals					2,674,425
		Commercial Banks – 1.1%

	1,650	M&I Marshall & Ilsley Bank	4.850%	6/16/15	Baa1		1,468,932
		Commercial Services & Supplies – 4.8%

	2,110	Browning Ferris-Allied Waste	9.250%	5/01/21	BBB		2,589,540

	2,555	Geokinetics Holdings Inc., 144A	9.750%	12/15/14	B		2,408,088

	1,545	Rental Service Corporation	9.500%	12/01/14	B–		1,537,275
	6,210	Total Commercial Services & Supplies					6,534,903
		Communications Equipment – 0.5%

	675	Paetec Holding Corporation, 144A	8.875%	6/30/17	B1		696,938
		Consumer Finance – 1.1%

	1,555	Provident Funding Associates, 144A, (WI/DD)	10.250%	4/15/17	Ba3		1,574,438
		Containers & Packaging – 3.6%

	1,955	Intertape Polymer US Inc.	8.500%	8/01/14	Caa1		1,681,300

	1,410	Rock-Tenn Company	5.625%	3/15/13	BBB–		1,455,825

	1,900	Tekni-Plex Inc.	10.875%	8/15/12	N/R		1,786,000
	5,265	Total Containers & Packaging					4,923,125
		Diversified Telecommunication Services – 9.6%

	1,690	Cequel Communication Holdings I, 144A	8.625%	11/15/17	B–		1,744,925

	2,560	Cincinnati Bell Inc.	8.375%	1/15/14	B2		2,646,400

	2,330	Cincinnati Bell Inc.	8.750%	3/15/18	B2		2,362,038

	2,960	Citizens Communications Company	9.000%	8/15/31	BB		2,900,799

	1,840	Paetec Holding Corporation	8.875%	6/30/17	B1		1,899,800

	50	Qwest Communications International Inc., 144A	7.125%	4/01/18	Ba3		51,875

	1,605	Windstream Corporation, 144A	7.875%	11/01/17	Ba3		1,588,950
	13,035	Total Diversified Telecommunication Services					13,194,787


36		Nuveen Investments


Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value

		Electric Utilities – 1.1%

$	2,330	Edison Mission Energy	7.625%	5/15/27	B	$	1,502,850
		Electronic Equipment & Instruments – 2.0%

	2,500	ViaSystems Inc., 144A	12.000%	1/15/15	B+		2,718,749
		Energy Equipment & Services – 3.6%

	2,555	Crosstex Energy Finance, 144A	8.875%	2/15/18	B+		2,647,619

	400	Parker Drilling Company, 144A	9.125%	4/01/18	B+		411,500

	1,950	Trico Shipping AS, 144A	11.875%	11/01/14	B1		1,872,000
	4,905	Total Energy Equipment & Services					4,931,119
		Health Care Providers & Services – 0.7%

	850	AMR-EmCare Holding Company Inc.	10.000%	2/15/15	Ba2		897,281
		Hotels, Restaurants & Leisure – 2.7%

	1,715	Dave & Busters Inc.	11.250%	3/15/14	B–		1,809,325

	1,705	Harrah's Operating Company, Inc.	11.250%	6/01/17	B–		1,845,663
	3,420	Total Hotels, Restaurants & Leisure					3,654,988
		Household Products – 1.6%

	2,050	Norcraft Companies Finance, 144A	10.500%	12/15/15	B2		2,173,000
		Independent Power Producers & Energy Traders – 1.1%

	2,080	Dynegy Holdings, Inc., Term Loan	7.750%	6/01/19	B		1,580,800
		IT Services – 1.7%

	2,730	First Data Corporation	9.875%	9/24/15	B–		2,368,275
		Machinery – 4.2%

	3,016	Greenbrier Companies, Inc.	8.375%	5/15/15	CCC		2,759,639

	2,655	Toys R Us Property Company Inc., 144A	10.750%	7/15/17	B+		2,973,599
	5,671	Total Machinery					5,733,238
		Media – 11.5%

	2,300	Clear Channel Communications, Inc.	10.750%	8/01/16	CCC–		1,811,250

	170	Clear Channel Worldwide Holdings Inc., 144A	9.250%	12/15/17	B		177,438

	645	Clear Channel Worldwide Holdings Inc., 144A	9.250%	12/15/17	B		677,250

	2,335	McClatchy Company, 144A	11.500%	2/15/17	B1		2,396,294

	2,315	Nielsen Finance LLC Co	11.625%	2/01/14	B–		2,627,525

	2,360	Sinclair Television Group, 144A	9.250%	11/01/17	B2		2,495,700

	2,575	TL Acquisitions Inc., 144A	13.250%	7/15/15	CCC+		2,510,625

	1,655	Valassis Communications Inc.	8.250%	3/01/15	B–		1,708,788

	1,215	WMG Acquisition Group	9.500%	6/15/16	BB		1,304,606
	15,570	Total Media					15,709,476
		Metals & Mining – 7.9%

	1,945	Algoma Acquisition Corporation, 144A	9.875%	6/15/15	CCC+		1,799,125

	1,165	Consol Energy Inc., 144A, (WI/DD)	8.000%	4/01/17	BB		1,202,863

	1,165	Consol Energy Inc., 144A, (WI/DD)	8.250%	4/01/20	BB		1,202,863

	1,640	Essar Steel Algoma Inc., 144A	9.375%	3/15/15	B+		1,664,600

	1,950	Freeport McMoran Copper & Gold, Inc.	3.881%	4/01/15	BBB–		1,971,938

	800	Steel Dynamics, Inc., 144A	7.625%	3/15/20	BB+		824,000

	1,455	Steel Dynamics, Inc.	7.375%	11/01/12	BB+		1,520,475

	580	Steel Dynamics, Inc.	7.750%	4/15/16	BB+		609,000
	10,700	Total Metals & Mining					10,794,864


Nuveen Investments		37

Portfolio of Investments (Unaudited)

Nuveen High Yield Bond Fund (continued)

March 31, 2010


Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value

		Multi-Utilities – 1.7%

$	2,335	Bon-Ton Department Stores Inc.	10.250%	3/15/14	CCC	$	2,288,300
		Oil, Gas & Consumable Fuels – 11.2%

	1,593	Energy XXI Gulf Coast Inc., 144A	16.000%	6/15/14	B+		1,848,172

	1,360	Linn Energy LLC Finance Corporation, 144A, (WI/DD)	8.625%	4/15/20	Ba3		1,365,100

	1,570	Massey Energy Company, Global Notes	6.875%	12/15/13	BB–		1,599,438

	3,220	McMoran Exploration Corporation	11.875%	11/15/14	B		3,477,597

	2,335	NFR Energy LLC / Finance Corporation, 144A	9.750%	2/15/17	B		2,340,838

	1,715	Sandridge Energy Inc.	8.625%	4/01/15	B+		1,676,413

	650	Sandridge Energy Inc., 144A	8.750%	1/15/20	B+		637,000

	430	Stone Energy Corporation	6.750%	12/15/14	CCC+		380,550

	2,180	W&T Offshore, Inc., 144A	8.250%	6/15/14	B+		2,049,200
	15,053	Total Oil, Gas & Consumable Fuels					15,374,308
		Real Estate – 1.3%

	1,685	Potlatch Corporation, 144A	7.500%	11/01/19	Ba1		1,731,338
		Specialty Retail – 1.6%

	2,043	Michael's Stores	11.375%	11/01/16	CCC		2,216,655
		Trading Companies & Distributors – 1.5%

	2,230	Russel Metals Inc.	6.375%	3/01/14	BB		2,098,988
		Wireless Telecommunication Services – 5.2%

	1,725	Cricket Communications Inc.	10.000%	7/15/15	B–		1,802,625

	835	IntelSat Jackson Holding, 144A	8.500%	11/01/19	B+		880,925

	2,160	MetroPCS Wireless Inc.	9.250%	11/01/14	B		2,219,400

	2,380	Sprint Capital Corporation	6.900%	5/01/19	BB–		2,189,600
	7,100	Total Wireless Telecommunication Services					7,092,550
$	123,692	Total Corporate Bonds (cost $114,116,984)					123,013,577

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 1.6%

		U.S. Treasury Bonds/Notes – 1.6%

$	155	United States of America Treasury Bonds/Notes (5)	3.380%	6/30/13	AAA	$	163,150

	500	United States of America Treasury Bonds/Notes (5)	1.500%	12/31/13	AAA		490,938

	1,500	United States of America Treasury Bills (5)	0.000%	6/24/10	AAA		1,499,562
$	2,155	Total U.S. Government and Agency Obligations (cost $2,150,381)					2,153,650

Principal Amount (000)		Description (1)	Weighted Average Coupon	Maturity (6)	Ratings (2)	Value
		VARIABLE RATE SENIOR LOAN INTERESTS – 1.4% (7)

		Semiconductors & Equipment – 1.4%

$	1,904	Freescale Semiconductor Inc., Incremental Term Loan	12.500%	12/15/14	B2	$	1,965,938
$	1,904	Total Variable Rate Senior Loan Interests (cost $2,122,930)					1,965,938


38		Nuveen Investments


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

		SHORT-TERM INVESTMENTS – 8.7%

$	11,927	Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/10, repurchase price $11,926,966, collateralized by $10,980,000 U.S. Treasury Notes, 4.625%, due 11/15/16, value $12,168,036	0.000%	4/01/10	$	11,926,966
		Total Short-Term Investments (cost $11,926,966)				11,926,966
		Total Investments (cost $131,588,825) – 102.5%				140,444,596
		Other Assets Less Liabilities – (2.5)%				(3,468,040)
		Net Assets – 100%			$	136,976,556

Investments in Derivatives

Credit Default Swaps outstanding at March 31, 2010:


Counterparty	Referenced Entity	Buy/Sell Protection (9)	Current Credit Spread (8)		Notional Amount		Fixed Rate*		Termination Date	Value (U.S. Dollars)			Unrealized Appreciation (Depreciation) (U.S. Dollars)
Bank of America	Boyd Gaming Corporation	Sell	12.40	%	$	3,200,000	5.000	%	3/20/15	$	(709,476	)	$	26,524
Barclays Bank PLC	TRW Automotive Inc.	Sell	4.58			2,350,000	5.000		3/20/15		42,274			(26,779	)
Citibank	Masco Corporation	Buy	1.36			2,700,000	5.150		3/20/14		(376,193	)		(376,193	)
Credit Suisse	Harrah's Operating Company Inc., LCDS	Sell	3.12			1,760,000	5.000		6/20/10		9,836			203,436
Credit Suisse	Dynegy Holdings Inc.	Sell	10.87			1,000,000	5.000		3/20/14		(161,711	)		(21,711	)
Deutsche Bank	Aetna Inc.	Buy	.81			2,700,000	1.150		3/20/14		(35,153	)		(35,153	)
Goldman Sachs	K. Hovnanian Enterprises, Inc.	Sell	10.01			2,350,000	5.000		6/20/14		(345,711	)		30,289
JPMorgan	Mohawk Industries, Inc.	Buy	1.50			2,700,000	3.700		3/20/14		(222,555	)		(222,555	)
													$	(422,142	)

*	Annualized.

(1)

All percentages shown in the Portfolio of Investments are based on net assets.

(2)

(3)

Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board of Trustees. For fair value measurement disclosure purposes, investment categorized as Level 3. See Notes to Financial Statements, Footnote 2 – Fair Value Measurements for more information.

(4)

(5)

Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in derivatives.

(6)

(7)

(8)

(9)

N/R

Not rated.

WI/DD

Purchased on a when-issued or delayed delivery basis.

144A

See accompanying notes to financial statements.


Nuveen Investments		39

Statement of Assets and Liabilities

March 31, 2010 (Unaudited)


	Short Duration			Multi-Strategy Core Bond		High Yield
Assets
Investments, at value (cost $178,545,464, $89,213,977 and $131,588,825, respectively)	$	180,985,445		$	90,620,661	$	140,444,596
Deposits with brokers for open futures contracts (at cost, which approximates value)		475,065			30,732		—
Unrealized appreciation on forward foreign currency exchange contracts		228,767			103,687		—
Unrealized appreciation on interest rate swaps		465,748			172,985		—
Unrealized appreciation on credit default swaps		1,071,468			333,205		238,538
Credit default swaps premiums paid		33,939			21,414		69,053
Interest rate swaps premiums paid		1,900			676		—
Receivables:
Due from broker (net of amounts deemed uncollectible of $14,342, $7,996 and $0, respectively)		51,088			82,768		—
From Adviser		—			1,729		—
Interest		1,481,318			746,462		2,792,878
Investments sold		17,561,867			6,820,554		739,703
Paydowns		—			53,256		—
Reclaims		—			—		9,302
Shares sold		1,797,324			182,344		1,777,838
Other assets		322			310		700
Total assets		204,154,251			99,170,783		146,072,608
Liabilities
Cash overdraft		49,674			81,979		—
Cash overdraft denominated in foreign currencies (cost $2,641,032, $860,656 and $0, respectively)		2,661,430			867,398		—
Unrealized depreciation on forward foreign currency exchange contracts		321,215			111,556		—
Unrealized depreciation on interest rate swaps		389,671			271,296		—
Unrealized depreciation on credit default swaps		157,478			310,910		660,680
Interest rate swaps premiums received		233,955			23,512		—
Credit default swaps premiums received		1,217,866			389,025		1,445,600
Payables:
Due to broker		—			—		367,091
Dividends		292,897			134,475		390,683
Investments purchased		19,255,692			22,872,565		5,615,456
Shares redeemed		1,532,154			2,822,576		348,818
Variation margin on futures contracts		69,820			8,125		—
Accrued expenses:
Management fees		22,970			—		37,105
12b-1 distribution and service fees		50,831			20,479		37,175
Other		100,758			87,936		193,444
Total liabilities		26,356,411			28,001,832		9,096,052
Net assets	$	177,797,840		$	71,168,951	$	136,976,556
Class A Shares
Net assets	$	76,419,288		$	23,718,585	$	35,958,395
Shares outstanding		3,871,290			1,158,844		2,117,239
Net asset value per share	$	19.74		$	20.47	$	16.98
Offering price per share (net asset value per share plus maximum sales charge of 2.00%, 3.75% and 4.75%, respectively, of offering price)	$	20.14		$	21.26	$	17.83
Class B Shares
Net assets		N/A		$	2,485,105	$	1,554,838
Shares outstanding		N/A			120,761		91,642
Net asset value and offering price per share		N/A		$	20.58	$	16.97
Class C Shares
Net assets	$	41,662,124		$	15,936,802	$	33,455,913
Shares outstanding		2,107,787			776,700		1,974,802
Net asset value and offering price per share	$	19.77		$	20.52	$	16.94
Class R3 Shares
Net assets	$	854,312		$	188,721	$	138,922
Shares outstanding		43,316			9,216		8,188
Net asset value and offering price per share	$	19.72		$	20.48	$	16.97
Class I Shares
Net assets	$	58,862,116		$	28,839,738	$	65,868,488
Shares outstanding		2,988,166			1,410,096		3,882,263
Net asset value and offering price per share	$	19.70		$	20.45	$	16.97

Net Assets Consist of:
Capital paid-in	$	176,304,626		$	69,452,470	$	119,127,186
Undistributed (Over-distribution of) net investment income		(1,848,449	)		2,692		(1,042,498	)
Accumulated net realized gain (loss) from investments		(83,127	)		394,177		10,458,239
Net unrealized appreciation (depreciation) of investments		3,424,790			1,319,612		8,433,629
Net assets	$	177,797,840		$	71,168,951	$	136,976,556

N/A – Short Duration does not offer Class B Shares.

See accompanying notes to financial statements.


40		Nuveen Investments

Statement of Operations

Six Months Ended March 31, 2010 (Unaudited)


	Short Duration			Multi-Strategy Core Bond			High Yield
Investment Income	$	2,329,727		$	1,511,168		$	7,739,262
Expenses
Management fees		283,532			138,887			465,107
12b-1 service fees – Class A		79,948			22,392			46,825
12b-1 distribution and service fees – Class B		N/A			12,451			8,404
12b-1 distribution and service fees – Class C		173,300			67,772			166,670
12b-1 distribution and service fees – Class R3		1,782			460			340
Shareholders’ servicing agent fees and expenses		40,793			17,161			86,227
Custodian’s fees and expenses		48,783			45,629			23,705
Trustees’ fees and expenses		1,345			742			2,267
Professional fees		18,472			19,609			33,965
Shareholders’ reports – printing and mailing expenses		25,070			13,551			44,980
Federal and state registration fees		59,224			48,071			59,358
Other expenses		15,766			23,313			50,023
Total expenses before custodian fee credit and expense reimbursement		748,015			410,038			987,871
Custodian fee credit		(29	)		(13	)		(85	)
Expense reimbursement		(152,907	)		(147,042	)		(195,948	)
Net expenses		595,079			262,983			791,838
Net investment income		1,734,648			1,248,185			6,947,424
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments and foreign currency		1,086,811			1,230,990			13,109,764
Forward foreign currency exchange contracts		(246,227	)		(142,759	)		—
Futures contracts		(387,233	)		(221,357	)		—
Options written		20,160			12,096			—
Swaps		(304,393	)		(292,135	)		61,339
Swaptions written		10,130			5,559			—
Change in net unrealized appreciation (depreciation) of:
Investments and foreign currency		(157,083	)		(757,969	)		(4,903,039	)
Forward foreign currency exchange contracts		(56,194	)		30,983			—
Futures contracts		214,403			28,631			—
Options written		(19,500	)		(11,700	)		—
Swaps		907,126			444,746			320,947
Swaptions written		25,200			12,600			—
Net realized and unrealized gain (loss)		1,093,200			339,685			8,589,011
Net increase (decrease) in net assets from operations	$	2,827,848		$	1,587,870		$	15,536,435

N/A – Short Duration does not offer Class B Shares.

See accompanying notes to financial statements.


Nuveen Investments		41

Statement of Changes in Net Assets (Unaudited)


	Short Duration						Multi-Strategy Core Bond						High Yield
	Six Months Ended 3/31/10			Year Ended 9/30/09			Six Months Ended 3/31/10			Year Ended 9/30/09			Six Months Ended 3/31/10			Year Ended 9/30/09
Operations
Net investment income	$	1,734,648		$	1,656,399		$	1,248,185		$	2,137,186		$	6,947,424		$	12,247,648
Net realized gain (loss) from:
Investments and foreign currency		1,086,811			165,510			1,230,990			2,209,681			13,109,764			(9,819,964	)
Forward foreign currency exchange contracts		(246,227	)		(194	)		(142,759	)		69,336			—			—
Futures contracts		(387,233	)		431,456			(221,357	)		5,743			—			245,299
Options written		20,160			11,152			12,096			16,728			—			—
Swaps		(304,393	)		(280,031	)		(292,135	)		(846,410	)		61,339			(12,564,076	)
Swaptions written		10,130			(124,234	)		5,559			(156,462	)		—			—
Change in net unrealized appreciation (depreciation) of:
Investments and foreign currency		(157,083	)		2,912,957			(757,969	)		2,570,820			(4,903,039	)		23,210,400
Forward foreign currency exchange contracts		(56,194	)		(117,620	)		30,983			(172,312	)		—			—
Futures contracts		214,403			(171,727	)		28,631			(95,104	)		—			(14,152	)
Options written		(19,500	)		19,500			(11,700	)		11,700			—			—
Swaps		907,126			206,176			444,746			(218,663	)		320,947			4,373,617
Swaptions written		25,200			(29,395	)		12,600			(22,442	)		—			—
Net increase (decrease) from operations		2,827,848			4,679,949			1,587,870			5,509,801			15,536,435			17,678,772
Distributions to Shareholders
From undistributed net investment income:
Class A		(1,384,388	)		(1,239,633	)		(475,643	)		(602,256	)		(1,549,342	)		(2,371,574	)
Class B		N/A			N/A			(54,715	)		(90,074	)		(63,997	)		(140,140	)
Class C		(620,677	)		(545,395	)		(305,481	)		(238,878	)		(1,280,378	)		(1,801,579	)
Class R3		(14,337	)		(15,588	)		(4,500	)		(6,877	)		(5,555	)		(9,511	)
Class I		(1,122,861	)		(811,528	)		(628,680	)		(1,445,316	)		(3,617,429	)		(7,086,325	)
From accumulated net realized gains:
Class A		—			—			(16,686	)		(125,105	)		—			—
Class B		N/A			N/A			(2,296	)		(21,683	)		—			—
Class C		—			—			(12,043	)		(38,816	)		—			—
Class R3		—			—			(171	)		(1,602	)		—			—
Class I		—			—			(20,247	)		(442,996	)		—			—
From tax return of capital:
Class A		—			—			—			—			—			(496,961	)
Class B		N/A			N/A			—			—			—			(33,282	)
Class C		—			—			—			—			—			(414,306	)
Class R3		—			—			—			—			—			(2,079	)
Class I		—			—			—			—			—			(1,450,408	)
Decrease in net assets from distributions to shareholders		(3,142,263	)		(2,612,144	)		(1,520,462	)		(3,013,603	)		(6,516,701	)		(13,806,165	)
Fund Share Transactions
Proceeds from sale of shares		131,512,257			102,074,997			32,484,736			34,724,796			35,875,926			113,340,687
Proceeds from shares issued to shareholders due to reinvestment of distributions		1,535,783			1,205,766			679,618			1,021,299			3,512,182			7,527,982
		133,048,040			103,280,763			33,164,354			35,746,095			39,388,108			120,868,669
Cost of shares redeemed		(52,575,351	)		(41,230,133	)		(10,240,555	)		(50,439,988	)		(95,582,048	)		(63,599,542	)
Net increase (decrease) in net assets from Fund share transactions		80,472,689			62,050,630			22,923,799			(14,693,893	)		(56,193,940	)		57,269,127
Capital contribution from Adviser		—			27,589			—			—			—			—
Net increase (decrease) in net assets		80,158,274			64,146,024			22,991,207			(12,197,695	)		(47,174,206	)		61,141,734
Net assets at the beginning of period		97,639,566			33,493,542			48,177,744			60,375,439			184,150,762			123,009,028
Net assets at the end of period	$	177,797,840		$	97,639,566		$	71,168,951		$	48,177,744		$	136,976,556		$	184,150,762
Undistributed (Over-distribution of) net investment income at the end of period	$	(1,848,449	)	$	(440,834	)	$	2,692		$	223,526		$	(1,042,498	)	$	(1,473,221	)

N/A – Short Duration does not offer Class B Shares.

See accompanying notes to financial statements.


42		Nuveen Investments

Notes to Financial Statements (Unaudited)

1. General Information and Significant Accounting Policies

The Nuveen Investment Trust III (the “Trust”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended. The Trust comprises the Nuveen Short Duration Bond Fund (“Short Duration”), Nuveen Multi-Strategy Core Bond Fund (“Multi-Strategy Core Bond”) and Nuveen High Yield Bond Fund (“High Yield”) (collectively, the “Funds”). The Trust was organized as a Massachusetts business trust in 1998.

Effective January 31, 2010, Nuveen Multi-Strategy Core Bond Fund changed its name from Nuveen Multi-Strategy Income Fund. There have been no changes in the Fund’s investment objectives, policies or portfolio management personnel.

Short Duration’s investment objective is to provide high current income consistent with minimal fluctuations of principal. Under normal market conditions, the Fund invests at least 80% of its net assets in short duration securities using a risk-controlled, multi-strategy approach that invests across multiple sectors of the taxable fixed-income market. Typically, the Fund’s average duration will be between approximately one and two years but it will not exceed three years.

Multi-Strategy Core Bond’s investment objective is to provide total return by investing in fixed-income securities. Under normal market conditions, the Fund invests at least 80% of its net assets in fixed-income securities using a risk-controlled, multi-strategy approach that invests across multiple sectors of the taxable fixed-income market. Typically, the Fund’s average duration will be five years or less and is not expected to be more than six years.

Short Duration and Multi-Strategy Core Bond principally invest in corporate debt securities, including bonds, notes and debentures; U.S. government securities; mortgage-related securities issued by governments, their agencies or instrumentalities, or corporations; asset-backed securities; and non-U.S. debt securities. Short Duration and Multi-Strategy Core Bond normally invests at least 80% and 75%, respectively, of their net assets in securities rated investment grade (AAA/Aaa to BBB/Baa) at the time of purchase by at least one independent rating agency and unrated securities judged to be of comparable quality by Nuveen Asset Management (the “Adviser”), a wholly-owned subsidiary of Nuveen Investments, Inc. (“Nuveen”). Short Duration and Multi-Strategy Core Bond may invest up to 35% of their net assets in debt securities issued by non-U.S. companies. Although a substantial majority of the assets of Short Duration and Multi-Strategy Core Bond are invested in U.S. dollar-denominated securities, up to 20% of the their net assets may have non-U.S. dollar currency exposure from non-U.S. dollar-denominated securities and currency derivatives, calculated on an absolute notional basis (i.e., adding together the absolute value of net long and net short exposures to individual non-U.S. dollar currencies). On a net basis (netting out long and short non-U.S. currency exposures in the aggregate), Short Duration’s and Multi-Strategy Core Bond’s non-U.S. dollar exposure will not exceed 5% of net assets. Short Duration and Multi-Strategy Core Bond also may invest up to 20% and 25%, respectively, of their net assets in securities rated below investment grade (BB/Ba or lower) at the time of purchase, which are commonly referred to as “high yield,” “high risk” or “junk” bonds. In addition, Short Duration and Multi-Strategy Core Bond may engage in repurchase, reverse repurchase and forward purchase agreements.

In an effort to enhance returns and manage risk, Short Duration and Multi-Strategy Core Bond also employ a variety of strategies that may include the use of futures, options, swaps, credit derivatives and other derivatives to create debt or non-U.S. currency exposures designed to take advantage of the Adviser’s outlook for the global economic environment and the expected relative performance of different sectors of and securities in the fixed-income market.

High Yield’s investment objective is to maximize total return by investing in a diversified portfolio of high yield debt securities. Under normal market conditions, High Yield invests at least 80% of its net assets in U.S. and non-U.S. corporate high yield debt securities, including zero coupon, payment in-kind, corporate loans and convertible bonds. These securities generally are rated BB/Ba or below at the time of purchase by independent rating agencies or are unrated but judged to be of comparable quality by the Adviser. These below investment grade securities are commonly referred to as “high yield,” “high risk” or “junk” bonds. In addition to investing in U.S. and non-U.S. corporate high yield debt securities, the Fund may also invest in U.S. and non-U.S. corporate investment grade securities; U.S. government securities, including U.S. Treasury securities and securities issued by U.S. government agencies or instrumentalities; and cash equivalents and other short duration investments. In an effort to hedge risk, enhance returns, or as a substitute for a position in the underlying asset, the Fund also may invest in futures, options, interest rate or total return swaps, credit derivatives or other derivative instruments. In doing so, the Fund may, in certain circumstances, invest a substantial portion of its assets in such derivative instruments. Substantially all of the Fund’s assets will be invested in U.S. dollar-denominated securities. In building the Fund’s investment portfolio from these individual securities, the Adviser seeks to diversify the portfolio’s holdings across multiple factors, including individual issuers and industries, to manage the inherent credit risk associated with a high yield debt strategy.

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements in accordance with accounting principles generally accepted in the United States.

Investment Valuation

The prices of fixed-income securities and derivative instruments in each Fund’s investment portfolio are generally provided by one or more independent pricing services approved by the Fund’s Board of Trustees. The pricing services typically value exchange-listed securities at the last sales price on that day; and value bonds and other securities traded in the over-the-counter (“OTC”) market at the mean of the bid and asked prices when current quotations are readily available. Futures contracts are valued using the closing settlement price or, in the absence of such a price, at the mean of the bid and asked prices. Prices of interest rate swaps are provided


Nuveen Investments		43

Notes to Financial Statements (Unaudited) (continued)

by an independent pricing service approved by each Fund’s Board of Trustees. Credit default swaps are valued using a market quote provided by major broker/dealers in such investments. Total return swaps are valued by comparing the return of the underlying index, bonds or groups of bonds at the valuation date with the value at the original effective date of the contract. Exchange traded options are valued on last price or the average of the bid/ask if no trades occurred. OTC option values are modeled using market implied volatilities. When market price quotes are not readily available, the pricing service or, in the absence of a pricing service for a particular investment or derivative instrument, the Fund’s Board of Trustees, or its designee, may establish fair value using a wide variety of market data including yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligor’s credit characteristics considered relevant. If significant market events occur between the time of determination of the closing price of a foreign security on an exchange and the time that the Fund’s net asset value (NAV) is determined, or if under the Fund’s procedures, the closing price of a foreign security is not deemed to be reliable, and there could be a material effect on the Fund’s NAV, the security would be valued at fair value as determined in accordance with procedures established in good faith by the Fund’s Board of Trustees. Repurchase agreements are valued at amortized cost, which approximates value.

The senior and subordinated loans in which the Funds invest are not listed on an organized exchange and the secondary market for such investments may be less liquid relative to markets for other fixed-income securities. Consequently, the value of senior and subordinated loans, determined as described above, may differ significantly from the value that would have been determined had there been an active market for that loan.

Investment Transactions

Investment transactions are recorded on a trade date basis. Trade date for senior and subordinated loans purchased in the “primary market” is considered the date on which the loan allocations are determined. Trade date for senior and subordinated loans purchased in the “secondary market” is the date on which the transaction is entered into. Realized gains and losses from investment transactions are determined on the specific identification method. Investments purchased on a when-issued/delayed delivery basis may have extended settlement periods. Any investments so purchased are subject to market fluctuation during this period. The Funds have instructed the custodian to segregate assets with a current value at least equal to the amount of the when-issued/delayed delivery purchase commitments. At March 31, 2010, Short Duration, Multi-Strategy Core Bond and High Yield had outstanding when-issued/delayed delivery purchase commitments of $1,021,216, $15,441,285 and $5,615,456, respectively.

Investment Income

Interest income, which includes the amortization of premiums and accretion of discounts for financial reporting purposes, is recorded on an accrual basis. Investment income also includes paydown gains and losses, if any. Fee income consists primarily of amendment fees. Amendment fees are earned as compensation for evaluating and accepting charges to an original senior loan agreement and are recognized when received.

Income Taxes

Each Fund is a separate taxpayer for federal income tax purposes. Each Fund intends to distribute substantially all of its net investment income and net capital gains to shareholders and to otherwise comply with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies. Therefore, no federal income tax provision is required.

For all open tax years and all major taxing jurisdictions, management of the Funds has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Open tax years are those that are open for examination by taxing authorities (i.e., generally the last four tax year ends and the interim tax period since then). Furthermore, management of the Funds is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

Dividends and Distributions to Shareholders

Dividends from net investment income are declared monthly. Net realized capital gains from investment transactions, if any, are declared and distributed to shareholders at least annually. Furthermore, capital gains are distributed only to the extent they exceed available capital loss carryforwards.

Distributions to shareholders are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States.

Sales Charges and 12b-1 Fees

Class A Shares are generally sold with an up-front sales charge and incur a .25% annual 12b-1 service fee. Class A Share purchases of $1 million or more are sold at net asset value without an up-front sales charge but may be subject to a contingent deferred sales charge (“CDSC”) if redeemed within twelve months of purchase. Class B Shares are sold without an up-front sales charge but incur a .75% annual 12b-1 distribution fee and a .25% annual 12b-1 service fee. An investor purchasing Class B Shares is subject to a CDSC of up to 5% depending upon the length of time the shares are held by the investor (CDSC is reduced to 0% at the end of six years). Class B Shares convert to Class A Shares eight years after purchase. Class C Shares are sold without an up-front sales charge but incur a .75% annual 12b-1 distribution fee and a .25% annual 12b-1 service fee. Class C Shares are subject to a CDSC of 1% if redeemed within one year of purchase. Class R3 Shares are sold without an up-front sales charge but incur a .50% annual 12b-1 distribution and service fee. Class I Shares are not subject to any sales charge or 12b-1 distribution or service fees.


44		Nuveen Investments

Expense Allocation

Expenses of the Funds that are not directly attributable to a specific class of shares are prorated among the classes based on the relative net assets of each class. Expenses directly attributable to a class of shares, which presently only include 12b-1 distribution and service fees, are recorded to the specific class.

Dollar Roll Transactions

Each Fund is authorized to enter into dollar roll transactions (“dollar rolls”) in which a Fund purchases or sells mortgage-backed securities (“MBS”) for delivery in the future and simultaneously contracts to sell or repurchase substantially similar (same type, coupon, and maturity) MBS on a different specified future date. Dollar rolls are identified in the Portfolio of Investments as “MDR” for each of the Funds, when applicable. During the roll period, the Fund foregoes principal and interest paid on the MBS. The Fund is compensated by fee income or the difference between the current sales price and the lower forward price for the future purchase. Such compensation is amortized over the life of the dollar rolls and is recognized as a component of “Investment Income” on the Statement of Operations. Dollar rolls are valued daily. Multi-Strategy Core Bond invested in dollar rolls during the six months ended March 31, 2010.

Dollar rolls involve the risk that the market value of the MBS the Fund is obligated to repurchase under an agreement may decline below the repurchase price. These transactions also involve some risk to the Fund if the other party should default on its obligation and the Fund is delayed or prevented from completing the transaction. In the event that the buyer of securities under a dollar roll files for bankruptcy or becomes insolvent, the Fund’s use of proceeds of the dollar roll may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the Fund’s obligation to repurchase the securities.

Foreign Currency Transactions

Each Fund is authorized to engage in foreign currency exchange transactions, including foreign currency forward, futures, options and swap contracts. To the extent that the Funds invest in securities and/or contracts that are denominated in a currency other than U.S. dollars, the Funds will be subject to currency risk, which is the risk that an increase in the U.S. dollar relative to the foreign currency will reduce returns or portfolio value. Generally, when the U.S. dollar rises in value against a foreign currency, the Fund’s investments denominated in that currency will lose value because its currency is worth fewer U.S. dollars; the opposite effect occurs if the U.S. dollar falls in relative value. Investments and other assets and liabilities denominated in foreign currencies are converted into U.S. dollars on a spot (i.e. cash) basis at the spot rate prevailing in the foreign currency exchange market at the time of valuation. Purchases and sales of investments and income denominated in foreign currencies are translated into U.S. dollars on the respective dates of such transactions.

The books and records of the Funds are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars at 4:00 p.m. Eastern time. Investments, income and expenses are translated on the respective dates of such transactions. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date of the transactions, foreign currency transactions, and the difference between the amounts of interest and dividends recorded on the books of a Funds and the amounts actually received.

The realized and unrealized gains or losses resulting from changes in foreign exchange rates are recognized as a component of “Net realized gain (loss) from investments and foreign currency” and “Change in net unrealized appreciation (depreciation) of investments and foreign currency” on the Statement of Operations, when applicable.

Forward Foreign Currency Exchange Contracts

Each Fund is subject to foreign currency exchange rate risk in the normal course of pursuing its investment objectives and is authorized to enter into forward foreign currency exchange contracts in an attempt to manage such risk under two circumstances: (i) when a Fund enters into a contract for the purchase or sale of a security denominated in a foreign currency to “lock in” the U.S. exchange rate of the transaction, with such period being a shortdated contract covering the period between transaction date and settlement date; or (ii) when the Adviser, believes that the currency of a particular foreign country may experience a substantial movement against the U.S. dollar or against another foreign currency. Forward foreign currency exchange contracts are valued daily at the forward rate and are recognized as “Unrealized appreciation or depreciation on forward foreign currency exchange contracts” on the Statement of Assets and Liabilities. The change in value of the contracts during the reporting period is recognized as a component of “Change in net unrealized appreciation (depreciation) of forward foreign currency exchange contracts” on the Statement of Operations. When the contract is closed or offset with the same counterparty, a Fund recognizes the difference between the value of the contract at the time it was opened and the value at the time it was closed or offset as “Net realized gain (loss) from forward foreign currency exchange contracts” on the Statement of Operations.

Forward foreign currency exchange contracts will generally not be entered into for terms greater than three months, but may have maturities of up to six months or more. The use of forward foreign currency exchange contracts does not eliminate fluctuations in the underlying prices of a Fund’s investment securities; however, it does establish a rate of exchange that can be achieved in the future. The use of forward foreign currency exchange contracts involves the risk that anticipated currency movements will not be accurately predicted. A forward foreign currency exchange contract would limit the risk of loss due to a decline in the value of a particular currency; however, it also would limit any potential gain that might result should the value of the currency increase instead of decrease. These contracts may involve market risk in excess of the amount of unrealized gain or loss reflected on the Statement of Assets and Liabilities. High Yield did not invest in forward foreign currency exchange contracts during the six months ended March 31, 2010.


Nuveen Investments		45

Notes to Financial Statements (Unaudited) (continued)

The average number of forward foreign currency exchange contracts outstanding during the six months ended March 31, 2010, was as follows:


	Short Duration	Multi- Strategy Core Bond
Average number of forward foreign currency exchange contracts outstanding	19	19

Refer to Footnote 3 – Derivative Instruments and Hedging Activities for further details on forward foreign currency exchange contract activity.

Futures Contracts

Each Fund is subject to interest rate risk in the normal course of pursuing its investment objectives and is authorized to invest in futures contracts in an attempt to manage such risk. Upon entering into a futures contract, a Fund is required to deposit with the broker an amount of cash or liquid securities equal to a specified percentage of the contract amount. This is known as the “initial margin.” Cash held by the broker to cover initial margin requirements on open futures contracts, if any, is recognized as “Deposits with brokers for open futures contracts” on the Statement of Assets and Liabilities. Subsequent payments (“variation margin”) are made or received by a Fund each day, depending on the daily fluctuation of the value of the contract. Variation margin is recognized as a receivable or payable for “Variation margin on futures contracts” on the Statement of Assets and Liabilities, when applicable.

During the period the futures contract is open, changes in the value of the contract are recorded as an unrealized gain or loss by “marking-to-market” on a daily basis to reflect the changes in market value of the contract and is recognized as “Change in net unrealized appreciation (depreciation) of futures contracts” on the Statement of Operations. When the contract is closed or expired, a Fund records a realized gain or loss equal to the difference between the value of the contract on the closing date and value of the contract when originally entered into and is recognized as “Net realized gain (loss) from futures contracts” on the Statement of Operations.

Risks of investments in futures contracts include the possible adverse movement of the securities or indices underlying the contracts, the possibility that there may not be a liquid secondary market for the contracts and/or that a change in the value of the contract may not correlate with a change in the value of the underlying securities or indices. High Yield did not invest in futures contracts during the six months ended March 31, 2010.

The average number of futures contracts outstanding during the six months ended March 31, 2010, was as follows:


	Short Duration	Multi- Strategy Core Bond
Average number of futures contracts outstanding	248	69

Refer to Footnote 3 – Derivative Instruments and Hedging Activities for further details on futures contract activity.

Options Transactions

Each Fund is subject to foreign currency exchange rate risk and interest rate risk in the normal course of pursuing its investment objectives and is authorized to purchase and write (sell) call and put options on securities, futures, swaps (“swaptions”) or currencies in an attempt to manage such risks. The purchase of options involves the risk of loss of all or a part of the cash paid for the options. Options purchased are accounted for in the same manner as portfolio securities. The risk associated with purchasing options is limited to the premium paid. When a Fund writes an option, an amount equal to the net premium received (the premium less commission) is recognized as a component of “Call and/or Put options and/or swaptions written, at value” on the Statement of Assets and Liabilities and is subsequently adjusted to reflect the current value of the written option until the option expires or a Fund enters into a closing purchase transaction. The changes in value of the options written during the reporting period are recognized as “Change in net unrealized appreciation (depreciation) of options and/or swaptions written” on the Statement of Operations. When a call or put option expires or a Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid at expiration or on executing a closing purchase transaction, including commission, is recognized as “Net realized gain (loss) from options and/or swaptions written” on the Statement of Operations. The Fund, as a writer of an option, has no control over whether the underlying instrument may be sold (called) or purchased (put) and as a result bears the risk of an unfavorable change in the market value of the instrument underlying the written option. There is also the risk a Fund may not be able to enter into a closing transaction because of an illiquid market. High Yield did not enter into option or swaption transactions during the six months ended March 31, 2010.

The Fund did not purchase call or put options or swaptions during the six months ended March 31, 2010. The average number of option and swaption contracts written outstanding during the six months ended March 31, 2010, was as follows:


	Short Duration		Multi- Strategy Core Bond
Average number of option contracts written outstanding*	10	**	6	**


46		Nuveen Investments


	Short Duration		Multi- Strategy Core Bond
Average number of swaption contracts written outstanding*	1	**	1	**

*	Includes both calls and puts, where applicable.

**	The average number of contracts is calculated based on the outstanding contracts at the beginning of the fiscal year and at the end of each fiscal quarter within the current fiscal year. The Funds were not invested in written options or swaptions at the end of the current period.

Refer to Footnote 3 – Derivative Instruments and Hedging Activities for further details on options activity.

Swap Contracts

Each Fund is authorized to enter into swap contracts consistent with their investment objectives and policies to reduce, increase or otherwise alter its risk profile or to alter its portfolio characteristics (i.e. duration, yield curve positioning and credit quality).

Each Fund is subject to interest rate risk in the normal course of pursuing its investment objectives and policies in an attempt to obtain a desired return at a lower cost than if the Funds had invested directly in the asset that yielded the desired return. In connection with these contracts, securities in the Funds’ portfolios of investments may be identified as collateral in accordance with the terms of the respective swap contract. Interest rate swap contracts involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (i.e., an exchange of floating rate payments for fixed rate payments with respect to a specified notional amount of principal). Interest rate swap contracts are valued daily. The Funds accrue daily the periodic payments expected to be paid and received on each interest rate swap contract and recognize the daily change in the market value of the Funds’ contractual rights and obligations under the contracts. The net amount recorded on these transactions for each counterparty is recognized on the Statement of Assets and Liabilities as “Unrealized appreciation or depreciation on interest rate swaps” with the change during the fiscal period recognized on the Statement of Operations as a component of “Change in net unrealized appreciation (depreciation) of swaps.” Income received or paid by the Funds is recognized as a component of “Net realized gain (loss) from swaps” on the Statement of Operations, in addition to the net realized gains or losses recognized upon the termination of an interest rate swap contract and are equal to the difference between the Funds’ basis in the interest rate swap and the proceeds from (or cost of) the closing transaction. The amount of the payment obligation is based on the notional amount of the interest rate swap contract. Payments received or made at the beginning of the measurement period are recognized as “Interest rate swap premiums paid and/or received” on the Statement of Assets and Liabilities. For tax purposes, periodic payments are treated as ordinary income or expense. High Yield did not invest in interest rate swap contracts during the six months ended March 31, 2010.

The average number of interest rate swap contracts outstanding during the six months ended March 31, 2010, was as follows:


	Short Duration	Multi- Strategy Core Bond
Average number of interest rate swap contracts outstanding	21	20

Each Fund is subject to credit risk in the normal course of pursuing its investment objectives. A Fund may enter into a credit default swap contract to seek to maintain a total return on a particular investment or portion of its portfolio, or to take an active long or short position with respect to the likelihood of a particular issuer’s default. Credit default swap contracts involve one party making a stream of payments to another party in exchange for the right to receive a specified return if/when there is a credit event by a third party. Generally, a credit event means bankruptcy, failure to pay, or restructuring. The specific credit events applicable for each credit default swap are stated in the terms of the particular swap agreement. As a purchaser of a credit default swap contract, the Fund pays to the counterparty a periodic interest fee based on the notional amount of the credit default swap. This interest fee is accrued daily and recognized with the daily change in the market value of the contract as a component of “Unrealized appreciation or depreciation on credit default swaps” on the Statement of Assets and Liabilities and is recorded as a realized loss upon payment. Upon occurrence of a specific credit event with respect to the underlying referenced entity, the Fund is obligated to deliver that security, or an equivalent amount of cash, to the counterparty in exchange for receipt of the notional amount from the counterparty. The difference between the value of the security delivered and the notional amount received is recorded as a realized gain. Payments received or made at the beginning of the measurement period are recognized as “Credit default swap premiums paid and/or received” on the Statement of Assets and Liabilities. As a seller of a credit default swap contract, the Fund generally receives from the counterparty a periodic interest fee based on the notional amount of the credit default swap. This interest fee is accrued daily as a component of unrealized appreciation or depreciation and is recorded as a realized gain upon payment. Upon occurrence of a specific credit event with respect to the underlying referenced entity, the Fund will either receive that security, or an equivalent amount of cash, from the counterparty in exchange for payment of the notional amount to the counterparty, or pay a net settlement amount of the credit default swap contract less the recovery value of the referenced obligation or underlying securities comprising the referenced index. The difference between the value of the security received and the notional amount paid is recorded as a realized loss. Changes in the value of a credit default swap during the fiscal period are recognized as a component of “change in net unrealized appreciation (depreciation) of swaps. Realized gains and losses are recognized as a component of “Net realized gain (loss) from swaps” on the Statement of Operations. The maximum potential amount of future payments the Fund could incur as a seller of protection in a credit default swap contract is limited to the notional amount of the contract. The maximum potential amount would be offset by the recovery value, if any, of the respective referenced entity.


Nuveen Investments		47

Notes to Financial Statements (Unaudited) (continued)

The average notional amount of credit default swap contracts outstanding during the six months ended March 31, 2010, was as follows:


	Short Duration		Multi- Strategy Core Bond		High Yield
Average notional amount of credit default swap contracts outstanding	$	14,339,000	$	9,445,067	$	23,050,000

Refer to Footnote 3 – Derivative Instruments and Hedging Activities for further details on swap contract activity.

Each Fund is subject to price risk in the normal course of pursuing its investment objectives. A Fund may enter into total return swaps to manage its exposure to the market or certain sectors of the market, or to create exposure to certain debt securities to which it is otherwise not exposed. Total return swap contracts involve commitments to pay interest in exchange for a market-linked return, both based on specified notional amounts. To the extent the total return of the security or index underlying the transaction exceeds or falls short of offsetting the interest rate obligation, a Fund will receive a payment from or make a payment to the counterparty. Payments received or made at the beginning of the measurement period are recognized as “Total return swap premiums paid and/or received” on the Statement of Assets and Liabilities. As a seller of a total return swap contract, the Fund generally receives from the counterparty a periodic interest fee based on the notional amount of the total return swap. This interest fee is accrued daily as a component of unrealized appreciation or depreciation and is recorded as a realized gain upon payment. None of the Funds invested in total return swap contracts during the fiscal year ended March 31, 2010.

Market and Counterparty Credit Risk

In the normal course of business each Fund may invest in financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the other party to the transaction to perform (counterparty credit risk). The potential loss could exceed the value of the financial assets recorded on the financial statements. Financial assets, which potentially expose each Fund to counterparty credit risk, consist principally of cash due from counterparties on forward, option and swap transactions, when applicable. The extent of each Fund’s exposure to counterparty credit risk in respect to these financial assets approximates their carrying value as recorded on the Statement of Assets and Liabilities. Futures contracts, when applicable, expose a Fund to minimal counterparty credit risk as they are exchange traded and the exchange’s clearinghouse, which is counterparty to all exchange traded futures, guarantees the futures contracts against default.

Each Fund helps manage counterparty credit risk by entering into agreements only with counterparties the Adviser believes have the financial resources to honor their obligations and by having the Adviser monitor the financial stability of the counterparties. Additionally, counterparties may be required to pledge collateral daily (based on the daily valuation of the financial asset) on behalf of each Fund with a value approximately equal to the amount of any unrealized gain above a pre-determined threshold. Reciprocally, when each Fund has an unrealized loss, the Funds have instructed the custodian to pledge assets of the Funds as collateral with a value approximately equal to the amount of the unrealized loss above a pre-determined threshold. Collateral pledges are monitored and subsequently adjusted if and when the valuations fluctuate, either up or down, by at least the predetermined threshold amount.

Zero Coupon Securities

Each Fund is authorized to invest in zero coupon securities. A zero coupon security does not pay a regular interest coupon to its holders during the life of the security. Tax-exempt income to the holder of the security comes from accretion of the difference between the original purchase price of the security at issuance and the par value of the security at maturity and is effectively paid at maturity. Such securities are included in the Portfolio of Investments with a 0.000% coupon rate in their description. The market prices of zero coupon securities generally are more volatile than the market prices of securities that pay interest periodically.

Repurchase Agreements

In connection with transactions in repurchase agreements, it is each Fund’s policy that its custodian take possession of the underlying collateral securities, the fair value of which exceeds the principal amount of the repurchase transaction, including accrued interest, at all times. If the seller defaults, and the fair value of the collateral declines, realization of the collateral may be delayed or limited.

Custodian Fee Credit

Each Fund has an arrangement with the custodian bank whereby certain custodian fees and expenses are reduced by net credits earned on each Fund’s cash on deposit with the bank. Such deposit arrangements are an alternative to overnight investments. Credits for cash balances may be offset by charges for any days on which a Fund overdraws its account at the custodian bank.

Indemnifications

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, in the normal course of business, the Trust enters into contracts that provide general indemnifications to other parties. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

Use of Estimates

The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial


48		Nuveen Investments

statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results may differ from those estimates.

2. Fair Value Measurements

In determining the value of each 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 each Fund’s fair value measurements as of March 31, 2010:


Short Duration	Level 1			Level 2			Level 3		Total
Investments:
Corporate Bonds	$	—		$	47,474,566		$	—	$	47,474,566
U.S. Government and Agency Obligations		86,769,272			3,488,413			—		90,257,685
Asset-Backed Securities		—			24,769,834			1,127,790		25,897,624
Sovereign Debt		—			8,485,346			—		8,485,346
Structured Notes		—			1,616,965			—		1,616,965
Variable Rate Senior Loan Interests		—			144,550			—		144,550
Short-Term Investments		7,108,709			—			—		7,108,709
Derivatives:
Forward Foreign Currency Exchange Contracts*		—			(92,448	)		—		(92,448	)
Interest Rate Swaps*		—			(145,631	)		221,708		76,077
Credit Default Swaps*		—			913,990			—		913,990
Futures Contracts*		95,890			—			—		95,890
Total	$	93,973,871		$	86,655,585		$	1,349,498	$	181,978,954

Multi-Strategy Core Bond	Level 1			Level 2			Level 3		Total
Investments:
Convertible Bonds	$	—		$	102,250		$	—	$	102,250
Corporate Bonds		—			22,437,673			8,000		22,445,673
U.S. Government and Agency Obligations		22,440,904			1,815,089			—		24,255,993
Asset-Backed and Mortgage-Backed Securities		—			32,993,776			424,049		33,417,825
Preferred Securities**		—			8,205			—		8,205
Sovereign Debt		—			4,243,587			—		4,243,587
Municipal Bonds		—			158,159			—		158,159
Structured Notes		—			600,587			—		600,587
Variable Rate Senior Loan Interests		—			51,625			—		51,625
Short-Term Investments		5,336,757			—			—		5,336,757
Derivatives:
Forward Foreign Currency Exchange Contracts*		—			(7,869	)		—		(7,869	)
Interest Rate Swaps*		—			(177,295	)		78,984		(98,311	)
Credit Default Swaps*		—			22,295			—		22,295
Futures Contracts*		(1,611	)		—			—		(1,611	)
Total	$	27,776,050		$	62,248,082		$	511,033	$	90,535,165

High Yield	Level 1			Level 2			Level 3		Total
Investments:
Convertible Bonds	$	—		$	1,384,465		$	—	$	1,384,465
Corporate Bonds		—			122,928,577			85,000		123,013,577
U.S. Government and Agency Obligations		2,153,650			—			—		2,153,650
Variable Rate Senior Loan Interests		—			1,965,938			—		1,965,938
Short-Term Investments		11,926,966			—			—		11,926,966
Derivatives:
Credit Default Swaps*		—			(422,142	)		—		(422,142	)
Total	$	14,080,616		$	125,856,838		$	85,000	$	140,022,454

*	Represents net unrealized appreciation (depreciation).

**	Preferred Securities includes Convertible Preferred Securities, $25 Par (or similar) Preferred Securities and Capital Preferred Securities held by the Fund at the end of the reporting period, if any.


Nuveen Investments		49

Notes to Financial Statements (Unaudited) (continued)

The following is a reconciliation of each Fund’s Level 3 investments held at the beginning and end of the measurement period:


Short Duration	Level 3 Asset-Backed Securities			Level 3 Interest Rate Swaps*		Level 3 Total
Balance at the beginning of period	$	—		$	—	$	—
Gains (losses):
Net realized gains (losses)		(49	)		—		(49	)
Net change in unrealized appreciation (depreciation)		(12,787	)		—		(12,787	)
Net purchases at cost (sales at proceeds)		1,140,626			221,708		1,140,626
Net discounts (premiums)		—			—		—
Net transfers in to (out of) at end of period fair value		—			—		221,708
Balance at the end of period	$	1,127,790		$	221,708	$	1,349,498

*	Represents net unrealized appreciation (depreciation).


Multi-Strategy Core Bond	Level 3 Corporate Bonds		Level 3 Asset-Backed Securities			Level 3 Interest Rate Swaps*		Level 3 Total
Balance at the beginning of period	$	—	$	—		$	—	$	—
Gains (losses):
Net realized gains (losses)		—		(18	)		—		(18	)
Net change in unrealized appreciation (depreciation)		—		(4,808	)		—		(4,808	)
Net purchases at cost (sales at proceeds)		—		428,875			78,984		428,875
Net discounts (premiums)		—		—			—		—
Net transfers in to (out of) at end of period fair value		8,000		—			—		86,984
Balance at the end of period	$	8,000	$	424,049		$	78,984	$	511,033

*	Represents net unrealized appreciation (depreciation).


High-Yield	Level 3 Corporate Bonds
Balance at the beginning of period	$	—
Gains (losses):
Net realized gains (losses)		—
Net change in unrealized appreciation (depreciation)		—
Net purchases at cost (sales at proceeds)		—
Net discounts (premiums)		—
Net transfers in to (out of) at end of period fair value		85,000
Balance at the end of period	$	85,000

“Change in net unrealized appreciation (depreciation) of investments and foreign currency” and “change in net unrealized appreciation (depreciation) of swaps” presented on the Statement of Operations includes net unrealized appreciation (depreciation) related to securities classified as Level 3 at period end as follows:


	Short Duration		Multi-Strategy Core Bond		High Yield
Level 3 net appreciation (depreciation)	$	208,921	$	68,876	$	(56,313	)

3. Derivative Instruments and Hedging Activities

The Funds record derivative instruments at fair value, with changes in fair value recognized on the Statement of Operations, when applicable. Even though the Funds’ investments in derivatives may represent economic hedges, they are considered to be non-hedge transactions for financial reporting purposes. For additional information on the derivative instruments in which each Fund has invested during and at the end of the reporting period, refer to the Portfolios of Investments, Financial Statements and Footnote 1 – General Information and Significant Accounting Policies.


50		Nuveen Investments

The following tables present the fair value of all derivative instruments held by the Funds as of March 31, 2010, the location of these instruments on the Statement of Assets and Liabilities, and the primary underlying risk exposure.

Short Duration

Location on the Statement of Assets and Liabilities

Underlying
Risk Exposure

Derivative
Instrument

Asset Derivatives

Liability Derivatives

Location

Value

Location

Value

Foreign Currency
Exchange Rate

Forward Foreign Currency Exchange Contracts

Unrealized appreciation on forward foreign currency exchange contracts

228,767

Unrealized depreciation on forward foreign currency exchange contracts

321,215

Interest Rate

Futures Contracts

Deposits with brokers for open futures contracts and Receivable for variation margin on futures contracts*

103,325

Deposits with brokers for open futures contracts and Payable for variation margin on futures contracts*

7,435

Interest Rate

Swaps

Unrealized appreciation on interest rate swaps**

1,282,157

Unrealized depreciation on interest rate swaps**

1,206,080

Credit

Swaps

Unrealized appreciation on credit default swaps**

1,158,457

Unrealized depreciation on credit default swaps**

244,467

Total

2,772,706

1,779,197

*	Value represents cumulative unrealized appreciation (depreciation) of futures contracts as reported in the Portfolio of Investments and not the deposits with brokers, if any, or the receivable or payable for variation margin on futures contracts presented on the Statement of Assets and Liabilities.

Represents cumulative appreciation (depreciation) of swap contracts as reported in the Portfolio of Investments. Some swap contracts require a counterparty to pay or receive a premium, which is disclosed on the Statement of Assets and Liabilities but is not reflected in the cumulative appreciation (depreciation) presented above.

Multi-Strategy Core Bond

Location on the Statement of Assets and Liabilities

Underlying
Risk Exposure

Derivative
Instrument

Asset Derivatives

Liability Derivatives

Location

Value

Location

Value

Foreign Currency
Exchange Rate

Forward Foreign Currency Exchange Contracts

Unrealized appreciation on forward foreign currency exchange contracts

103,687

Unrealized depreciation on forward foreign currency exchange contracts

111,556

Interest Rate

Futures Contracts

—

Deposits with brokers for open futures contracts and Payable for variation margin on futures contracts*

1,611

Interest Rate

Swaps

Unrealized appreciation on interest rate swaps**

467,502

Unrealized depreciation on interest rate swaps**

565,813

Credit

Swaps

Unrealized appreciation on credit default swaps**

333,205

Unrealized depreciation on credit default swaps**

310,910

Total

904,394

989,890

*	Value represents cumulative unrealized appreciation (depreciation) of futures contracts as reported in the Portfolio of Investments and not the deposits with brokers, if any, or the receivable or payable for variation margin on futures contracts presented on the Statement of Assets and Liabilities.

High Yield

Location on the Statement of Assets and Liabilities

Underlying
Risk Exposure

Derivative
Instrument

Asset Derivatives

Liability Derivatives

Location

Value

Location

Value

Credit

Swaps

Unrealized appreciation on credit default swaps*

260,249

Unrealized depreciation on credit default swaps*

682,391


Nuveen Investments		51

Notes to Financial Statements (Unaudited) (continued)

The following tables present the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized for the six months ended March 31, 2010, on derivative instruments, as well as the primary risk exposure associated with each.


Net Realized Gain (Loss) from Forward Foreign Currency Exchange Contracts	Short Duration			Multi-Strategy Core Bond			High Yield
Risk Exposure
Foreign Currency Exchange Rate	$	(246,227	)	$	(142,759	)	$	—

Net Realized Gain (Loss) from Futures Contracts	Short Duration			Multi-Strategy Core Bond			High Yield
Risk Exposure
Interest Rate	$	(387,233	)	$	(221,357	)	$	—

Net Realized Gain (Loss) from Options Written	Short Duration			Multi-Strategy Core Bond			High Yield
Risk Exposure
Interest Rate	$	20,160		$	12,096		$	—

Net Realized Gain (Loss) from Swaps	Short Duration			Multi-Strategy Core Bond			High Yield
Risk Exposure
Interest Rate	$	(360,135	)	$	(330,695	)	$	—
Credit		55,742			38,560			61,339
Total	$	(304,393	)	$	(292,135	)	$	61,339

Net Realized Gain (Loss) from Swaptions Written	Short Duration			Multi-Strategy Core Bond			High Yield
Risk Exposure
Interest Rate	$	10,130		$	5,559		$	—

Change in Net Unrealized Appreciation (Depreciation) of Forward Foreign Currency Exchange Contracts	Short Duration			Multi-Strategy Core Bond			High Yield
Risk Exposure
Foreign Currency Exchange Rate	$	(56,194	)	$	30,983		$	—

Change in Net Unrealized Appreciation (Depreciation) of Futures Contracts	Short Duration			Multi-Strategy Core Bond			High Yield
Risk Exposure
Interest Rate	$	214,403		$	28,631		$	—

Change in Net Unrealized Appreciation (Depreciation) of Options Written	Short Duration			Multi-Strategy Core Bond			High Yield
Risk Exposure
Interest Rate	$	(19,500	)	$	(11,700	)	$	—

Change in Net Unrealized Appreciation (Depreciation) of Swaps	Short Duration			Multi-Strategy Core Bond			High Yield
Risk Exposure
Interest Rate	$	463,299		$	357,067		$	—
Credit		443,827			87,679			320,947
Total	$	907,126		$	444,746		$	320,947

Change in Net Unrealized Appreciation (Depreciation) of Swaptions Written	Short Duration			Multi-Strategy Core Bond			High Yield
Risk Exposure
Interest Rate	$	25,200		$	12,600		$	—


52		Nuveen Investments

4. Fund Shares

Transactions in Fund shares were as follows:


	Short Duration
	Six Months Ended 3/31/10					Year Ended 9/30/09
	Shares		Amount			Shares		Amount
Shares sold:
Class A	3,401,777		$	67,438,712		3,004,226		$	57,897,705
Class C	1,033,643			20,503,051		1,198,374			23,098,270
Class R3	10,135			200,329		25,434			485,768
Class I	2,188,752			43,370,165		1,072,928			20,593,254
Shares issued to shareholders due to reinvestment of distributions:
Class A	45,923			907,625		38,238			734,790
Class C	21,173			418,941		15,497			299,182
Class R3	51			1,005		—			—
Class I	10,557			208,212		8,935			171,794
	6,712,011			133,048,040		5,363,632			103,280,763
Shares redeemed:
Class A	(1,988,426	)		(39,456,941	)	(1,171,616	)		(22,470,079	)
Class C	(222,456	)		(4,416,272	)	(355,839	)		(6,838,308	)
Class R3	—			—		—			—
Class I	(436,870	)		(8,702,138	)	(624,387	)		(11,921,746	)
	(2,647,752	)		(52,575,351	)	(2,151,842	)		(41,230,133	)
Net increase (decrease)	4,064,259		$	80,472,689		3,211,790		$	62,050,630


	Multi-Strategy Core Bond
	Six Months Ended 3/31/10					Year Ended 9/30/09
	Shares		Amount			Shares		Amount
Shares sold:
Class A	704,793		$	14,500,281		765,201		$	14,552,874
Class A – automatic conversion of Class B Shares	—			—		4,104			79,132
Class B	17,161			354,263		56,642			1,073,292
Class C	285,569			5,893,127		536,066			10,371,707
Class R3	265			5,436		1,052			21,582
Class I	567,801			11,731,629		441,252			8,626,209
Shares issued to shareholders due to reinvestment of distributions:
Class A	15,239			312,706		20,396			387,179
Class B	2,058			42,440		3,929			75,611
Class C	9,426			193,823		5,968			116,061
Class R3	28			582		4			74
Class I	6,351			130,067		23,651			442,374
	1,608,691			33,164,354		1,858,265			35,746,095
Shares redeemed:
Class A	(234,683	)		(4,850,783	)	(472,361	)		(9,121,286	)
Class B	(16,306	)		(338,427	)	(20,728	)		(400,121	)
Class B – automatic conversion to Class A Shares	—			—		(4,052	)		(79,132	)
Class C	(72,756	)		(1,503,649	)	(120,259	)		(2,309,575	)
Class R3	(7	)		(147	)	—			—
Class I	(170,041	)		(3,547,549	)	(2,048,728	)		(38,529,874	)
	(493,793	)		(10,240,555	)	(2,666,128	)		(50,439,988	)
Net increase (decrease)	1,114,898		$	22,923,799		(807,863	)	$	(14,693,893	)


Nuveen Investments		53

Notes to Financial Statements (Unaudited) (continued)


	High Yield
	Six Months Ended 3/31/10					Year Ended 9/30/09
	Shares		Amount			Shares		Amount
Shares sold:
Class A	558,610		$	9,318,402		2,340,250		$	33,280,190
Class A – automatic conversion of Class B Shares	2,061			34,168		1,962			28,035
Class B	2,849			48,245		15,390			218,470
Class C	359,071			5,957,082		1,327,279			18,635,505
Class R3	—			—		—			—
Class I	1,233,471			20,518,029		4,447,362			61,178,487
Shares issued to shareholders due to reinvestment of distributions:
Class A	58,047			967,429		109,532			1,547,761
Class B	2,225			37,019		5,738			80,038
Class C	37,939			630,890		69,574			980,987
Class R3	—			—		—			—
Class I	113,008			1,876,844		350,471			4,919,196
	2,367,281			39,388,108		8,667,558			120,868,669
Shares redeemed:
Class A	(1,097,801	)		(18,203,379	)	(1,175,736	)		(16,676,662	)
Class B	(19,547	)		(325,866	)	(63,919	)		(912,201	)
Class B – automatic conversion to Class A Shares	(2,063	)		(34,168	)	(1,963	)		(28,035	)
Class C	(416,881	)		(6,930,663	)	(627,810	)		(8,890,931	)
Class R3	—			—		—			—
Class I	(4,173,229	)		(70,087,972	)	(2,659,622	)		(37,091,713	)
	(5,709,521	)		(95,582,048	)	(4,529,050	)		(63,599,542	)
Net increase (decrease)	(3,342,240	)	$	(56,193,940	)	4,138,508		$	57,269,127

5. Investment Transactions

Purchases and sales (including maturities but excluding derivative, dollar roll and put and call option and swaption transactions and short-term investments) for the six months ended March 31, 2010, were as follows:


	Short Duration		Multi- Strategy Core Bond		High Yield
Purchases:
Investment securities	$	62,934,185	$	55,045,647	$	104,752,495
U.S. Government and agency obligations		67,519,969		24,156,450		1,498,703
Sales and maturities:
Investment securities		30,939,396		46,905,844		155,858,767
U.S. Government and agency obligations		21,686,424		11,597,643		9,409,020

Transactions in call and put options written for Short Duration and Multi-Strategy Core Bond during the six months ended March 31, 2010, were as follows:


	Short Duration					Multi-Strategy Core Bond
	Number of Contracts		Premiums Received			Number of Contracts		Premiums Received
Options outstanding, beginning of period	30		$	20,250		18		$	12,150
Options written	30			20,160		18			12,096
Options terminated in closing purchase transactions	(30	)		(20,160	)	(18	)		(12,096	)
Options expired	(30	)		(20,250	)	(18	)		(12,150	)
Options outstanding, end of period	—		$	—		—		$	—

Transactions in call and put swaptions written for Short Duration and Multi-Strategy Core Bond during the six months ended March 31, 2010, were as follows:


	Short Duration					Multi-Strategy Core Bond
	Number of Contracts		Premiums Received			Number of Contracts		Premiums Received
Swaptions outstanding, beginning of period	1		$	39,760		1		$	19,880
Swaptions written	10			178,381		10			70,602
Swaptions terminated in closing purchase transactions	(6	)		(128,950	)	(6	)		(55,181	)
Swaptions expired	(5	)		(89,191	)	(5	)		(35,301	)
Swaptions outstanding, end of the period	—		$	—		—		$	—


54		Nuveen Investments

6. 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 foreign currency transaction gains and losses, paydown gains and losses, amortization of premium 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 values of the Funds.

At March 31, 2010, the cost of investments was as follows:


	Short Duration		Multi- Strategy Core Bond		High Yield
Cost of investments	$	179,550,212	$	89,251,157	$	131,657,041

Gross unrealized appreciation and gross unrealized depreciation of investments at March 31, 2010, were as follows:


	Short Duration			Multi- Strategy Core Bond			High Yield
Gross unrealized:
Appreciation	$	2,279,958		$	1,676,094		$	10,125,278
Depreciation		(844,725	)		(306,590	)		(1,337,723	)
Net unrealized appreciation (depreciation) of investments	$	1,435,233		$	1,369,504		$	8,787,555

The tax components of undistributed net ordinary income and net long-term capital gains at September 30, 2009, the Funds’ last tax year end, were as follows:


	Short Duration		Multi- Strategy Core Bond		High Yield
Undistributed net ordinary income*	$	571,871	$	637,134	$	—
Undistributed net long-term capital gains		—		—		—

* Undistributed net ordinary income has not been reduced for the dividend declared on September 10, 2009, paid on October 1, 2009. Net ordinary income consists of net taxable income derived from dividends, interest, and net short-term capital gains, if any.

The tax character of distributions paid during the Funds’ last tax year ended September 30, 2009, was designated for purposes of the dividends paid deduction as follows:


	Short Duration		Multi- Strategy Core Bond		High Yield
Distributions from net ordinary income*	$	2,405,917	$	3,058,328	$	10,974,688
Distributions from net long-term capital gains		—		47,004		—
Tax return of capital		—		—		2,397,036

* Net ordinary income consists of net taxable income derived from dividends, interest, and net short-term capital gains, if any.

At September 30, 2009, the Funds’ last tax year end, the following Funds had unused capital loss carryforwards available for federal income tax purposes to be applied against future capital gains, if any. If not applied, the carryforwards will expire as follows:


	Short Duration		High Yield
Expiration:
September 30, 2014	$	54,933	$	87,327
September 30, 2015		141,618		131,724
September 30, 2016		—		139,565
September 30, 2017		48,855		6,367,477
Total	$	245,406	$	6,726,093

The Funds have elected to defer net realized losses from investments incurred from November 1, 2008 through September 30, 2009, the Funds’ last tax year end, (“post-October losses”) in accordance with federal income tax regulations. Post-October losses are treated as having arisen on the first day of the current fiscal year:


	Short Duration		Multi- Strategy Core Bond		High Yield
Post-October capital losses	$	451,023	$	176,923	$	15,989,476
Post-October currency losses		—		5,753		—


Nuveen Investments		55

Notes to Financial Statements (Unaudited) (continued)

7. Management Fees and Other Transactions with Affiliates

Each Fund’s management fee is separated into two components – a fund-level Fee, based only on the amount of assets within each individual Fund, and a complex-level fee, based on the aggregate amount of all fund assets managed by the Adviser. This pricing structure enables each Fund’s shareholders to benefit from growth in the assets within their respective Fund as well as from growth in the amount of complex-wide assets managed by the Adviser.

The annual fund-level fee for each Fund, payable monthly, is calculated according to the following schedule:


Average Daily Net Assets*	Short Duration Fund-Level Fee Rate		Multi-Strategy Core Bond Fund-Level Fee Rate		High Yield Fund-Level Fee Rate
For the first $125 million	.2000	%	.3000	%	.4000	%
For the next $125 million	.1875		.2875		.3875
For the next $250 million	.1750		.2750		.3750
For the next $500 million	.1625		.2625		.3625
For the next $1 billion	.1500		.2500		.3500
For net assets over $2 billion	.1250		.2250		.3250

The annual complex-level fee for each Fund, payable monthly, is calculated according to the following schedule:


Complex-Level Asset Breakpoint Level*	Effective Rate at Breakpoint Level
$55 billion	.2000	%
$56 billion	.1996
$57 billion	.1989
$60 billion	.1961
$63 billion	.1931
$66 billion	.1900
$71 billion	.1851
$76 billion	.1806
$80 billion	.1773
$91 billion	.1691
$125 billion	.1599
$200 billion	.1505
$250 billion	.1469
$300 billion	.1445

The complex-level fee is calculated based upon the aggregate daily managed assets of all Nuveen funds, with such daily managed assets defined separately for each fund in its management agreement, but excluding assets attributable to investments in other Nuveen funds. For the complex-level and fund-level fees, daily managed assets include assets managed by the Adviser that are attributable to financial leverage. For these purposes, financial leverage includes the funds’ use of preferred stock and borrowings and investments in the residual interest certificates also called inverse floating rate securities in tender option bond (TOB) trusts, including the portion of assets held by a TOB trust that has been effectively financed by the trust’s issuance of floating rate securities, subject to an agreement by the Adviser to limit the amount of such assets for determining managed assets in certain circumstances. As of March 31, 2010, the complex-level fee rate was .1867%.

During the period October 1, 2009, through January 31, 2010, the Adviser agreed to reimburse all expenses for each fund other than management fees, 12b-1 distribution and service fees, interest expenses, taxes, fees incurred in acquiring and disposing of portfolio securities and extraordinary expenses. Effective February 1, 2010, the Adviser has agreed to waive fees and reimburse expenses so that total annual fund operating expenses (excluding management fees, 12b-1 distribution and service fees, interest expenses, taxes, fees incurred in acquiring and disposing of portfolio securities and extraordinary expenses) do not exceed the average daily net assets of any class of Fund shares in the amounts and for the time periods stated in the following table.


	Current Expense Cap		Current Expense Cap Expiration Date
Short Duration	.600	%	January 31, 2011
Multi-Strategy Core Bond	.700	%	January 31, 2011
High Yield	.950	%	January 31, 2011

The Adviser may also voluntarily reimburse additional expenses from time to time in any of the Funds. Voluntary reimbursements may be terminated at any time at the Adviser’s discretion.

The management fee compensates the Adviser for overall investment advisory and administrative services and general office facilities. The Trust pays no compensation directly to those of its trustees who are affiliated with the Adviser or to its officers, all of whom receive remuneration for their services to the Trust from the Adviser or its affiliates. The Board of Trustees has adopted a deferred compensation plan for independent trustees that enables trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from certain Nuveen advised funds. Under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of select Nuveen advised funds.


56		Nuveen Investments

During the six months ended March 31, 2010, Nuveen Investments, LLC (the “Distributor”), a wholly-owned subsidiary of Nuveen, collected sales charges on purchases of Class A Shares, the majority of which were paid out as concessions to financial intermediaries as follows:


	Short Duration		Multi- Strategy Core Bond		High Yield
Sales charges collected	$	142,462	$	108,427	$	98,605
Paid to financial intermediaries		125,813		95,647		88,281

The Distributor also received 12b-1 service fees on Class A Shares, substantially all of which were paid to compensate financial intermediaries for providing services to shareholders relating to their investments.

During the six months ended March 31, 2010, the Distributor compensated financial intermediaries directly with commission advances at the time of purchase as follows:

Short
Duration

Multi-
Strategy
Core Bond

High

Yield

Commission advances

222,337

66,353

50,094

To compensate for commissions advanced to financial intermediaries, all 12b-1 service fees collected on Class B Shares during the first year following a purchase, all 12b-1 distribution fees collected on Class B Shares, and all 12b-1 service and distribution fees collected on Class C Shares during the first year following a purchase are retained by the Distributor. During the six months ended March 31, 2010, the Distributor retained such 12b-1 fees as follows:

Short
Duration

Multi-
Strategy
Core Bond

High

Yield

12b-1 fees retained

128,749

56,652

85,585

The remaining 12b-1 fees charged to the Funds were paid to compensate financial intermediaries for providing services to shareholders relating to their investments.

The Distributor also collected and retained CDSC on share redemptions during the six months ended March 31, 2010, as follows:

Short
Duration

Multi-
Strategy
Core Bond

High

Yield

CDSC retained

11,669

6,407

16,706

At March 31, 2010, Nuveen owned 7,696, 7,874 and 8,188 shares of Class R3 of Short Duration, Multi-Strategy Core Bond and High Yield, respectively.

8. New Accounting Pronouncements

Fair Value Measurements

On January 21, 2010, the Financial Accounting Standards Board issued changes to the authoritative guidance under generally accepted accounting principles for fair value measurements. The objective of this guidance is to provide guidance on how investment assets and liabilities are to be valued and disclosed. Specifically, the amendment requires reporting entities to disclose i) the input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements, for both Level 2 and Level 3 positions, ii) transfers between all levels (including Level 1 and Level 2) on a gross basis (i.e., transfers out must be disclosed separately from transfers in) as well as the reason(s) for the transfer and iii) purchases, sales, issuances and settlements in the Level 3 rollforward must be shown on a gross basis rather than as one net number. The effective date of the amendment is for interim and annual periods beginning after December 15, 2009, however, the requirement to provide the Level 3 activity for purchases, sales, issuances and settlements on a gross basis will be effective for interim and annual periods beginning after December 15, 2010. At this time, management is evaluating the implications of this guidance and the impact it will have to the financial statement amounts and footnote disclosures, if any.

9. Subsequent Events

Dividends and Distributions — Policy Change

Effective April 1, 2010, each Fund began declaring dividends from its net investment income daily. Each Fund will continue to pay such dividends monthly, and Fund shareholders will begin to accrue dividends on the business day after the day when the monies used to purchase Fund shares are collected by the Funds’ transfer agent.


Nuveen Investments		57

Notes to Financial Statements (Unaudited) (continued)

Distributions to Shareholders

The Funds declared dividend distributions from their net investment income for the period April 1, 2010 through April 30, 2010, which were paid on May 3, 2010, to daily shareholders of record as follows:


	Short Duration				Multi-Strategy Core Bond				High Yield
	Daily Distribution		Monthly Distribution		Daily Distribution		Monthly Distribution		Daily Distribution		Monthly Distribution
Dividend per share:*
Class A	$	.0023	$	.0690	$	.0030	$	.0900	$	.0039	$	.1165
Class B		N/A		N/A		.0026		.0780		.0035		.1060
Class C		.0019		.0570		.0026		.0775		.0035		.1060
Class R3		.0022		.0730		.0029		.0860		.0038		.1130
Class I		.0024		.0650		.0032		.0945		.0040		.1200

* Rounds to four decimal places.

N/A – Short Duration is not authorized to issue Class B Shares


58		Nuveen Investments

Financial Highlights (Unaudited)


Nuveen Investments		59

Financial Highlights (Unaudited)


Class (Commencement Date)
			Investment Operations									Less Distributions

SHORT DURATION
Year Ended September 30,	Beginning Net Asset Value		Net Invest- ment Income(a)			Net Realized/ Unrealized Gain (Loss)			Total			Net Invest- ment Income			Capital Gains		Total			Ending Net Asset Value		Total Return(b)
Class A (12/04)
2010(h)	$	19.74	$	.25		$	.16		$	.41		$	(.41	)	$	—	$	(.41	)	$	19.74	2.06	%
2009		19.31		.56			.72			1.28			(.85	)		—		(.85	)		19.74	7.02
2008		19.40		.84			(.05	)		.79			(.88	)		—		(.88	)		19.31	4.03
2007		19.24		.91			.12			1.03			(.87	)		—		(.87	)		19.40	5.49
2006		19.69		.77			(.14	)		.63			(1.08	)		—		(1.08	)		19.24	3.29
2005(e)		20.00		.43			(.53	)		(.10	)		(.21	)		—		(.21	)		19.69	.66
Class C (12/04)
2010(h)		19.77		.17			.17			.34			(.34	)		—		(.34	)		19.77	1.74
2009		19.33		.43			.72			1.15			(.71	)		—		(.71	)		19.77	6.27
2008		19.42		.70			(.05	)		.65			(.74	)		—		(.74	)		19.33	3.19
2007		19.26		.73			.16			.89			(.73	)		—		(.73	)		19.42	4.71
2006		19.69		.63			(.14	)		.49			(.92	)		—		(.92	)		19.26	2.54
2005(e)		20.00		.31			(.48	)		(.17	)		(.14	)		—		(.14	)		19.69	.09
Class R3 (8/08)
2010(h)		19.72		.27			.12			.39			(.39	)		—		(.39	)		19.72	1.89
2009		19.31		.53			.68			1.21			(.80	)		—		(.80	)		19.72	6.82
2008(g)		19.49		—	**		(.04	)		(.04	)		(.14	)		—		(.14	)		19.31	(.40	)
Class I (12/04)(f)
2010(h)		19.71		.26			.17			.43			(.44	)		—		(.44	)		19.70	2.09
2009		19.30		.61			.70			1.31			(.90	)		—		(.90	)		19.71	7.29
2008		19.38		.88			(.03	)		.85			(.93	)		—		(.93	)		19.30	4.29
2007		19.21		.92			.17			1.09			(.92	)		—		(.92	)		19.38	5.82
2006		19.68		.77			(.11	)		.66			(1.13	)		—		(1.13	)		19.21	3.46
2005(e)		20.00		.47			(.56	)		(.09	)		(.23	)		—		(.23	)		19.68	.79


60		Nuveen Investments



Ratios/Supplemental Data
	Ratios to Average Net Assets Before Reimbursement				Ratios to Average Net Assets After Reimbursement(c)
Ending Net Assets (000)	Expenses		Net Invest- ment Income (Loss)		Expenses		Net Invest- ment Income (Loss)		Portfolio Turnover Rate(d)

$76,419	.92	%*	2.27	%*	.71	%*	2.48	%*	38	%
47,607	1.14		2.44		.65		2.93		117
10,450	1.63		3.26		.64		4.26		90
4,101	1.93		3.37		.62		4.67		138
439	3.41		1.25		.64		4.02		234
2	1.52	*	2.15	*	.91	*	2.75	*	140

41,662	1.67	*	1.51	*	1.46	*	1.72	*	38
25,215	1.88		1.73		1.40		2.21		117
8,068	2.42		2.54		1.39		3.57		90
2,260	2.42		2.71		1.38		3.76		138
1,067	3.52		1.09		1.36		3.25		234
2	2.27	*	1.40	*	1.66	*	2.00	*	140

854	1.17	*	2.49	*	.96	*	2.70	*	38
653	1.38		2.29		.90		2.77		117
149	2.98	*	(2.24	)*	.87	*	(.13	)*	90

58,862	.67	*	2.47	*	.47	*	2.67	*	38
24,164	.86		2.70		.40		3.16		117
14,827	1.36		3.52		.39		4.49		90
9,717	1.34		3.76		.38		4.72		138
9,602	1.44		3.07		.53		3.97		234
9,835	1.27	*	2.40	*	.66	*	3.00	*	140

*	Annualized.

**	Rounds to less than $.01 per share.

(a)	Per share Net Investment Income is calculated using the average daily shares method.

(b)	Total return is the combination of changes in net asset value without any sales charge, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, if any. Total returns are not annualized.

(c)	After expense reimbursement from the Adviser, where applicable. Expense ratios do not reflect the reduction of custodian fee credits earned on the Fund’s net cash on deposit with the custodian bank, where applicable.

(d)	Excluding dollar roll transactions, where applicable.

(e)	For the period December 20, 2004 (commencement of operations) through September 30, 2005.

(f)	Effective May 1, 2008, Class R Shares were renamed Class I Shares.

(g)	For the period August 4, 2008 (commencement of operations) through September 30, 2008.

(h)	For the six months ended March 31, 2010.

See accompanying notes to financial statements.


Nuveen Investments		61

Financial Highlights (Unaudited) (continued)


Class (Commencement Date)
			Investment Operations								Less Distributions

MULTI-STRATEGY CORE BOND
Year Ended September 30,	Beginning Net Asset Value		Net Invest- ment Income(a)		Net Realized/ Unrealized Gain (Loss)			Total			Net Invest- ment Income			Capital Gains			Total			Ending Net Asset Value		Total Return(b)
Class A (12/04)
2010(h)	$	20.40	$	.46	$	.15		$	.61		$	(.52	)	$	(.02	)	$	(.54	)	$	20.47	2.93	%
2009		19.06		.87		1.58			2.45			(.91	)		(.20	)		(1.11	)		20.40	13.76
2008		19.28		.95		(.23	)		.72			(.94	)		—			(.94	)		19.06	3.57
2007		19.29		1.00		(.08	)		.92			(.93	)		—			(.93	)		19.28	4.92
2006		19.73		.88		(.34	)		.54			(.98	)		—			(.98	)		19.29	2.86
2005(e)		20.00		.54		(.55	)		(.01	)		(.26	)		—			(.26	)		19.73	1.37
Class B (12/04)
2010(h)		20.50		.39		.16			.55			(.45	)		(.02	)		(.47	)		20.58	2.61
2009		19.15		.70		1.63			2.33			(.78	)		(.20	)		(.98	)		20.50	12.87
2008		19.34		.85		(.25	)		.60			(.79	)		—			(.79	)		19.15	3.04
2007		19.30		.88		(.06	)		.82			(.78	)		—			(.78	)		19.34	4.35
2006		19.73		.74		(.35	)		.39			(.82	)		—			(.82	)		19.30	2.06
2005(e)		20.00		.42		(.49	)		(.07	)		(.20	)		—			(.20	)		19.73	.81
Class C (12/04)
2010(h)		20.42		.39		.18			.57			(.45	)		(.02	)		(.47	)		20.52	2.70
2009		19.08		.76		1.55			2.31			(.77	)		(.20	)		(.97	)		20.42	12.91
2008		19.30		.80		(.23	)		.57			(.79	)		—			(.79	)		19.08	2.84
2007		19.29		.84		(.05	)		.79			(.78	)		—			(.78	)		19.30	4.19
2006		19.73		.73		(.35	)		.38			(.82	)		—			(.82	)		19.29	2.01
2005(e)		20.00		.42		(.49	)		(.07	)		(.20	)		—			(.20	)		19.73	.81
Class R3 (8/08)
2010(h)		20.39		.47		.14			.61			(.50	)		(.02	)		(.52	)		20.48	2.91
2009		19.04		.80		1.61			2.41			(.86	)		(.20	)		(1.06	)		20.39	13.49
2008(g)		19.05		.05		.09			.14			(.15	)		—			(.15	)		19.04	.64
Class I (12/04)(f)
2010(h)		20.39		.49		.14			.63			(.55	)		(.02	)		(.57	)		20.45	3.01
2009		19.05		.83		1.67			2.50			(.96	)		(.20	)		(1.16	)		20.39	14.05
2008		19.28		.86		(.10	)		.76			(.99	)		—			(.99	)		19.05	3.83
2007		19.26		1.01		(.01	)		1.00			(.98	)		—			(.98	)		19.28	5.29
2006		19.72		.86		(.29	)		.57			(1.03	)		—			(1.03	)		19.26	3.03
2005(e)		20.00		.58		(.58	)		(.00	)		(.28	)		—			(.28	)		19.72	1.51


62		Nuveen Investments



Ratios/Supplemental Data
	Ratios to Average Net Assets Before Reimbursement				Ratios to Average Net Assets After Reimbursement(c)
Ending Net Assets (000)	Expenses		Net Invest- ment Income		Expenses		Net Invest- ment Income		Portfolio Turnover Rate(d)

$23,719	1.33	%*	3.96	%*	.82	%*	4.47	%*	83	%
13,740	1.38		3.88		.75		4.50		360
6,787	1.72		3.91		.74		4.90		289
3,281	2.32		3.59		.73		5.17		278
1,282	4.46		.90		.75		4.62		241
2	1.76	*	2.69	*	1.02	*	3.43	*	155

2,485	2.08	*	3.30	*	1.55	*	3.82	*	83
2,416	2.12		3.00		1.50		3.62		360
1,572	2.30		3.36		1.27		4.39		289
474	3.14		2.85		1.42		4.57		278
51	3.54		1.68		1.38		3.84		241
2	2.51	*	1.94	*	1.77	*	2.69	*	155

15,937	2.08	*	3.26	*	1.56	*	3.77	*	83
11,323	2.16		3.29		1.50		3.95		360
2,531	2.48		3.14		1.49		4.14		289
1,578	2.98		2.85		1.48		4.34		278
266	3.65		1.69		1.44		3.90		241
2	2.51	*	1.94	*	1.77	*	2.69	*	155

189	1.57	*	4.03	*	1.05	*	4.55	*	83
182	1.61		3.58		1.00		4.19		360
150	1.76	*	1.00	*	.99	*	1.77	*	289

28,840	1.08	*	4.24	*	.56	*	4.76	*	83
20,516	1.06		3.80		.50		4.36		360
49,336	1.40		3.55		.49		4.47		289
9,689	1.86		3.87		.48		5.24		278
9,623	1.84		3.24		.63		4.44		241
9,854	1.51	*	2.94	*	.77	*	3.68	*	155

*	Annualized.

(a)	Per share Net Investment Income is calculated using the average daily shares method.

(b)	Total return is the combination of changes in net asset value without any sales charge, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, if any. Total returns are not annualized.

(c)	After expense reimbursement from the Adviser, where applicable. Expense ratios do not reflect the reduction of custodian fee credits earned on the Fund’s net cash on deposit with the custodian bank, where applicable.

(d)	Excluding dollar roll transactions.

(e)	For the period December 20, 2004 (commencement of operations) through September 30, 2005.

(f)	Effective May 1, 2008, Class R Shares were renamed Class I Shares.

(g)	For the period August 4, 2008 (commencement of operations) through September 30, 2008.

(h)	For the six months ended March 31, 2010.

See accompanying notes to financial statements.


Nuveen Investments		63

Financial Highlights (Unaudited) (continued)


Class (Commencement Date)
			Investment Operations								Less Distributions

HIGH YIELD
Year Ended September 30,	Beginning Net Asset Value		Net Invest- ment Income(a)		Net Realized/ Unrealized Gain (Loss)			Total			Net Invest- ment Income			Capital Gains		Tax Return of Capital			Total			Ending Net Asset Value		Total Return(b)
Class A (12/04)
2010(g)	$	16.15	$	.73	$	.80		$	1.53		$	(.70	)	$	—	$	—		$	(.70	)	$	16.98	9.63	%
2009		16.92		1.30		(.62	)		.68			(1.19	)		—		(.26	)		(1.45	)		16.15	5.94
2008		19.55		1.25		(2.41	)		(1.16	)		(1.35	)		—		(.12	)		(1.47	)		16.92	(6.41	)
2007		19.37		1.55		.08			1.63			(1.45	)		—		—			(1.45	)		19.55	8.61
2006		19.39		1.33		.16			1.49			(1.51	)		—		—			(1.51	)		19.37	8.01
2005(d)		20.00		.86		(1.04	)		(.18	)		(.43	)		—		—			(.43	)		19.39	1.56
Class B (12/04)
2010(g)		16.13		.67		.81			1.48			(.64	)		—		—			(.64	)		16.97	9.31
2009		16.91		1.22		(.66	)		.56			(1.09	)		—		(.25	)		(1.34	)		16.13	5.11
2008		19.53		1.08		(2.37	)		(1.29	)		(1.25	)		—		(.08	)		(1.33	)		16.91	(7.17	)
2007		19.36		1.34		.14			1.48			(1.31	)		—		—			(1.31	)		19.53	7.82
2006		19.39		1.13		.19			1.32			(1.35	)		—		—			(1.35	)		19.36	7.07
2005(d)		20.00		.75		(.99	)		(.24	)		(.37	)		—		—			(.37	)		19.39	.99
Class C (12/04)
2010(g)		16.11		.67		.80			1.47			(.64	)		—		—			(.64	)		16.94	9.25
2009		16.88		1.20		(.63	)		.57			(1.09	)		—		(.25	)		(1.34	)		16.11	5.12
2008		19.51		1.10		(2.40	)		(1.30	)		(1.22	)		—		(.11	)		(1.33	)		16.88	(7.13	)
2007		19.35		1.38		.09			1.47			(1.31	)		—		—			(1.31	)		19.51	7.72
2006		19.39		1.13		.18			1.31			(1.35	)		—		—			(1.35	)		19.35	7.01
2005(d)		20.00		.75		(.99	)		(.24	)		(.37	)		—		—			(.37	)		19.39	.99
Class R3 (8/08)
2010(g)		16.13		.72		.80			1.52			(.68	)		—		—			(.68	)		16.97	9.57
2009		16.91		1.28		(.64	)		.64			(1.17	)		—		(.25	)		(1.42	)		16.13	5.66
2008(f)		18.32		.09		(1.26	)		(1.17	)		(.17	)		—		(.07	)		(.24	)		16.91	(6.57	)
Class I (12/04)(e)
2010(g)		16.13		.74		.82			1.56			(.72	)		—		—			(.72	)		16.97	9.84
2009		16.90		1.34		(.62	)		.72			(1.23	)		—		(.26	)		(1.49	)		16.13	6.20
2008		19.53		1.31		(2.42	)		(1.11	)		(1.39	)		—		(.13	)		(1.52	)		16.90	(6.18	)
2007		19.35		1.45		.23			1.68			(1.50	)		—		—			(1.50	)		19.53	8.89
2006		19.40		1.37		.14			1.51			(1.56	)		—		—			(1.56	)		19.35	8.14
2005(d)		20.00		.90		(1.05	)		(.15	)		(.45	)		—		—			(.45	)		19.40	1.79


64		Nuveen Investments



Ratios/Supplemental Data
	Ratios to Average Net Assets Before Reimbursement				Ratios to Average Net Assets After Reimbursement(c)
Ending Net Assets (000)	Expenses		Net Invest- ment Income		Expenses		Net Invest- ment Income		Portfolio Turnover Rate

$35,958	1.23	%*	8.59	%*	.99	%*	8.83	%*	69	%
41,921	1.23		8.77		.85		9.15		124
22,339	1.21		6.35		.84		6.72		141
9,100	1.83		6.85		.83		7.85		160
438	1.94		5.87		.85		6.96		115
2	1.68	*	5.10	*	1.17	*	5.61	*	69

1,555	1.98	*	7.83	*	1.74	*	8.08	*	69
1,745	1.95		8.36		1.60		8.72		124
2,585	2.00		5.35		1.59		5.76		141
1,855	2.50		5.86		1.58		6.78		160
217	2.69		4.86		1.57		5.97		115
2	2.43	*	4.35	*	1.92	*	4.86	*	69

33,456	1.98	*	7.85	*	1.74	*	8.09	*	69
32,131	1.97		8.08		1.60		8.45		124
20,690	1.99		5.50		1.59		5.91		141
8,620	2.54		6.06		1.58		7.02		160
678	2.69		4.89		1.59		5.99		115
2	2.43	*	4.35	*	1.92	*	4.86	*	69

139	1.48	*	8.38	*	1.24	*	8.63	*	69
132	1.46		8.75		1.10		9.12		124
138	1.70	*	2.44	*	1.07	*	3.07	*	141

65,868	.95	*	8.75	*	.70	*	9.00	*	69
108,222	.97		9.09		.60		9.45		124
77,255	.97		6.64		.59		7.03		141
10,534	1.43		6.51		.58		7.35		160
9,692	1.44		6.39		.76		7.06		115
9,692	1.43	*	5.35	*	.92	*	5.85	*	69

*	Annualized.

(a)	Per share Net Investment Income is calculated using the average daily shares method.

(b)	Total return is the combination of changes in net asset value without any sales charge, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, if any. Total returns are not annualized.

(c)	After expense reimbursement from the Adviser, where applicable. Expense ratios do not reflect the reduction of custodian fee credits earned on the Fund’s net cash on deposit with the custodian bank, where applicable.

(d)	For the period December 20, 2004 (commencement of operations) through September 30, 2005.

(e)	Effective May 1, 2008, Class R Shares were renamed Class I Shares.

(f)	For the period August 4, 2008 (commencement of operations) through September 30, 2008.

(g)	For the six months ended March 31, 2010.

See accompanying notes to financial statements.


Nuveen Investments		65

Notes


66		Nuveen Investments

Notes


Nuveen Investments		67

Glossary of Terms Used in this Report

Average Annual Total Return: This is a commonly used method to express an investment’s performance over a particular, usually multi-year time period. It expresses the return that would have been necessary each year to equal the investment’s actual cumulative performance (including change in NAV or offer price and reinvested dividends and capital gains distributions, if any) over the time period being considered.

Average Duration: Duration is a measure of the expected period over which a bond’s principal and interest will be paid, and consequently is a measure of the sensitivity of a bond’s (or bond fund’s) value to changes when market interest rates change. Generally, the longer a bond or Fund’s duration, the more the price of the bond or Fund will change as interest rates change.

Dividend Yield (also known as Market Yield or Current Yield): An investment’s current annualized dividend divided by its current offering price.

Net Asset Value (NAV): A Fund’s NAV is the dollar value of one share in the Fund. It is calculated by subtracting the liabilities of the Fund from its total assets and then dividing the remainder by the number of shares outstanding. Fund NAVs are calculated at the end of each business day.

SEC 30-Day Yield: A standardized measure of a Fund’s yield that accounts for the future amortization of premiums or discounts of bonds held in the Fund’s portfolio.

Zero Coupon Bond: A zero coupon bond does not pay a regular interest coupon to its holders during the life of the bond. Tax-exempt income to the holder of the bond comes from accretion of the difference between the original purchase price of the bond at issuance and the par value of the bond at maturity and is effectively paid at maturity. The market prices of zero coupon bonds generally are more volatile than the market prices of bonds that pay interest periodically.


68		Nuveen Investments

Fund Information

Fund Manager

Nuveen Asset Management

333 West Wacker Drive

Chicago, IL 60606

Legal Counsel

Chapman and Cutler LLP

Chicago, IL

Independent Registered Public Accounting Firm

PricewaterhouseCoopers LLP

Chicago, IL

Custodian

State Street Bank & Trust Company

Boston, MA

Transfer Agent and Shareholder Services

Boston Financial

Data Services, Inc.

Nuveen Investor Services

P.O. Box 8530

Boston, MA 02266-8530

(800) 257-8787

Quarterly Portfolio of Investments and Proxy Voting information: You may obtain (i) each Fund’s quarterly portfolio of investments, (ii) information regarding how the Funds voted proxies relating to portfolio securities held during the most recent twelve-month period ended June 30, 2009, and (iii) a description of the policies and procedures that the Funds used to determine how to vote proxies relating to portfolio securities without charge, upon request, by calling Nuveen Investments at (800) 257-8787 or on Nuveen’s website at www.nuveen.com.

You may also obtain this and other Fund information directly from the Securities and Exchange Commission (“SEC”). The SEC may charge a copying fee for this information. Visit the SEC on-line at http://www.sec.gov or in person at the SEC’s Public Reference Room in Washington, D.C. Call the SEC at (202) 942-8090 for room hours and operation. You may also request Fund information by sending an e-mail request to publicinfo@sec.gov or by writing to the SEC’s Public Reference Section at 100 F Street NE, Washington, D.C. 20549.

The Financial Industry Regulatory Authority (FINRA) provides a Public Disclosure Program which supplies certain information regarding the disciplinary history of FINRA members and their associated persons in response to either telephone inquiries at (800) 289-9999 or written inquiries at www.finra.org. Financial Industry Regulatory Authority also provides an investor brochure that includes information describing the Public Disclosure Program.


Nuveen Investments		69

Nuveen Investments:

Serving Investors For Generations

Since 1898, financial advisors and their clients have relied on Nuveen Investments to provide dependable investment solutions through continued adherence to proven, long-term investing principles. Today, we offer a range of high quality equity and fixed-income solutions designed to be integral components of a well-diversified core portfolio.

Focused on meeting investor needs.

Nuveen Investments is a global investment management firm that seeks to help secure the long-term goals of institutions and high net worth investors as well as the consultants and financial advisors who serve them. We market our growing range of specialized investment solutions under the high-quality brands of HydePark, NWQ, Nuveen, Santa Barbara, Symphony, Tradewinds and Winslow Capital. In total, Nuveen Investments managed approximately $150 billion of assets on March 31, 2010.

Find out how we can help you.

To learn more about how the products and services of Nuveen Investments may be able to help you meet your financial goals, talk to your financial advisor, or call us at (800) 257-8787. Please read the information provided carefully before you invest.

Investors should consider the investment objective and policies, risk considerations, charges and expenses of any investment carefully. Where applicable, be sure to obtain a prospectus, which contains this and other relevant information. To obtain a prospectus, please contact your securities representative or Nuveen Investments, 333 W. Wacker Dr., Chicago, IL 60606. Please read the prospectus carefully before you invest or send money.

Learn more about Nuveen Funds at: www.nuveen.com/mf

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Distributed by

Nuveen Investments, LLC

333 West Wacker Drive

Chicago, IL 60606

www.nuveen.com

MSA-INV3-0310P

Item 2. Code of Ethics.

Not applicable to this filing.

Item 3. Audit Committee Financial Expert.

Not applicable to this filing.

Item 4. Principal Accountant Fees and Services.

Not applicable to this filing.

Item 5. Audit Committee of Listed Registrants.

Not applicable to this registrant.

Item 6. Schedule of Investments.

(a) See Portfolio of Investments in Item 1.

(b) Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to this registrant.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to this registrant.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to this registrant.

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board implemented after the registrant last provided disclosure in response to this Item.

Item 11. 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 Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”) (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 second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Exhibits.

File the exhibits listed below as part of this Form.

(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit: Not applicable to this filing.

(a)(2) 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)) in the exact form set forth below: See EX-99.CERT attached hereto.

(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons: Not applicable to this registrant.

(b) If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the 1940 Act (17 CFR 270.30a-2(b)), Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)), and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an Exhibit. A certification furnished pursuant to this paragraph will not be deemed “filed” for purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registration specifically incorporates it by reference: See EX-99.906 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 Investment Trust III

(Signature and Title)

/s/ Kevin J. McCarthy

Kevin J. McCarthy

Vice President and Secretary

Date June 7, 2010

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

(Signature and Title)

/s/ Gifford R. Zimmerman

Gifford R. Zimmerman

Chief Administrative Officer

(principal executive officer)

Date June 7, 2010

(Signature and Title)

/s/ Stephen D. Foy

Stephen D. Foy

Vice President and Controller

(principal financial officer)

Date June 7, 2010

Nuveen Investment Trust Iii N-CSRSCertified semi-annual shareholder report (management investment company)