Nuveen Tax Advantaged Total Return Strategy Fund NPORTP Nuveen Tax-Advantaged Total Return Strategy Fund (Mar 2020 report)

JTA

NuveenTax-Advantaged Total
Return Strategy Fund

Portfolio of Investments March 31, 2020

(Unaudited)


Shares		Description (1)	Value

		LONG-TERM INVESTMENTS – 141.0% (100.0% of Total Investments)

		COMMON STOCKS – 94.1% (66.7% of Total Investments)

		Aerospace & Defense – 3.4%

	13,370	General Dynamics Corp, (2)	$	1,768,985
	23,183	Thales SA, (3)		1,919,917
		Total Aerospace & Defense		3,688,902

		Air Freight & Logistics – 3.3%

	133,505	Deutsche Post AG, (3)		3,579,080

		Banks – 7.6%

	86,460	Bank of America Corp, (4)		1,835,546
	67,445	Citigroup Inc, (4)		2,840,783
	248,900	ING Groep NV, (4)		1,281,835
	25,322	JPMorgan Chase & Co		2,279,740
		Total Banks		8,237,904

		Capital Markets – 2.5%

	198,460	Deutsche Boerse AG, (3), (4)		2,683,179

		Chemicals – 2.9%

	43,161	DuPont de Nemours Inc, (4)		1,471,790
	48,670	Nutrien Ltd		1,663,834
		Total Chemicals		3,135,624

		Communications Equipment – 1.8%

	51,160	Cisco Systems Inc, (2)		2,011,100

		Diversified Telecommunication Services – 3.7%

	98,499	Nippon Telegraph & Telephone Corp, (3)		2,326,546
	175,604	Telefonica Brasil SA		1,671,180
		Total Diversified Telecommunication Services		3,997,726

		Electric Utilities – 1.8%

	48,760	FirstEnergy Corp		1,953,813

		Electrical Equipment – 1.8%

	25,260	Eaton Corp PLC, (4)		1,962,449

		Energy Equipment & Services – 0.0%

	3,683	Transocean Ltd		4,272

		Entertainment – 3.9%

	10,908	Nintendo Co Ltd, (3)		4,239,432

		Food & Staples Retailing – 2.6%

	84,500	Seven & i Holdings Co Ltd, (3)		2,790,602

		Health Care Providers & Services – 3.5%

	10,510	Anthem Inc, (4)		2,386,190
	21,505	Fresenius Medical Care AG & Co KGaA, (3)		1,403,759
	6,594	Millennium Health LLC, (3)		363
	6,140	Millennium Health LLC, (5)		6,496
	5,767	Millennium Health LLC, (5)		5,813
		Total Health Care Providers & Services		3,802,621



JTA		NuveenTax-Advantaged Total Return Strategy Fund(continued)
JTA		Portfolio of Investments March 31, 2020
		(Unaudited)


Shares		Description (1)	Value

		Household Products – 1.3%

	17,480	Henkel AG & Co KGaA, (3)	$	1,398,078

		Industrial Conglomerates – 1.6%

	21,075	Siemens AG, (3)		1,764,715

		Insurance – 7.0%

	71,823	Ageas, (3)		2,993,007
	9,499	Allianz SE, (3)		1,617,655
	46,120	CNA Financial Corp, (4)		1,431,565
	105,370	Old Republic International Corp, (4)		1,606,892
		Total Insurance		7,649,119

		IT Services – 1.5%

	30,630	Amdocs Ltd		1,683,731

		Machinery – 1.4%

	95,600	Komatsu Ltd, (3)		1,547,135

		Media – 2.9%

	24,326	Clear Channel Outdoor Holdings Inc		15,569
	83,519	Comcast Corp, Class A		2,871,383
	5,025	Cumulus Media Inc		27,235
	10,344	iHeartMedia Inc		75,615
	2,099	Metro-Goldwyn-Mayer Inc, (3)		141,682
	3,185	Tribune Co, (5)		701
		Total Media		3,132,185

		Multi-Utilities – 4.6%

	249,521	National Grid PLC, (3)		2,915,471
	100,226	Veolia Environnement SA, (3)		2,116,860
		Total Multi-Utilities		5,032,331

		Oil, Gas & Consumable Fuels – 4.4%

	23,434	Chevron Corp, (2)		1,698,028
	218,790	Enterprise Products Partners LP, (4)		3,128,697
	1,923	Fieldwood Energy Inc, (3)		1,923
	388	Fieldwood Energy Inc, (3)		388
		Total Oil, Gas & Consumable Fuels		4,829,036

		Pharmaceuticals – 13.0%

	46,285	AstraZeneca PLC, Sponsored ADR, (4)		2,067,088
	29,095	Bayer AG, (3)		1,667,098
	47,530	Bristol-Myers Squibb Co		2,649,322
	97,690	GlaxoSmithKline PLC, Sponsored ADR, (4)		3,701,474
	42,915	Roche Holding AG, (3), (4)		1,741,062
	26,789	Sanofi, (3)		2,319,252
		Total Pharmaceuticals		14,145,296

		Semiconductors & Semiconductor Equipment – 2.6%

	7,088	Broadcom Inc, (2)		1,680,565
	75,900	Infineon Technologies AG, (3)		1,095,673
		Total Semiconductors & Semiconductor Equipment		2,776,238

		Software – 6.2%

	23,911	Microsoft Corp, (4)		3,771,004
	60,530	Oracle Corp		2,925,415
		Total Software		6,696,419

		Specialty Retail – 1.4%

	17,880	Lowe’s Cos Inc		1,538,574


Shares		Description (1)											Value

		Technology Hardware, Storage & Peripherals – 2.1%

	70,420	Samsung Electronics Co Ltd, (3)											$	2,294,820

		Tobacco – 1.5%

	22,005	Philip Morris International Inc, (4)												1,605,485

		Trading Companies & Distributors – 1.6%

	123,600	Mitsui & Co Ltd, (3)												1,716,025

		Wireless Telecommunication Services – 2.2%

	150,450	SK Telecom Co Ltd, Sponsored ADR												2,447,821
		Total Common Stocks (cost $105,528,897)												102,343,712

Principal Amount (000)		Description (1)	Coupon (6)		Reference Rate (6)		Spread (6)		Maturity (7)		Ratings (8)		Value

		VARIABLE RATE SENIOR LOAN INTERESTS – 31.4% (22.3% of Total Investments) (6)

		Aerospace & Defense – 0.6%

$	143	Dynasty Acquisition Co Inc		4.950%		3-Month LIBOR		3.500%		4/08/26		B	$	116,246
	77	Standard Aero Ltd		4.950%		3-Month LIBOR		3.500%		4/08/26		B		62,498
	482	Transdigm, Inc., Term Loan		3.239%		1-Month LIBOR		2.250%		12/09/25		Ba3		443,761
	702	Total Aerospace & Defense												622,505

		Airlines – 0.4%

	485	American Airlines, Inc., Term Loan B		2.705%		1-Month LIBOR		2.000%		12/14/23		Ba1		392,608

		Auto Components – 0.1%

	149	Johnson Controls Inc., Term Loan B		4.441%		1-Month LIBOR		3.500%		4/30/26		BB		137,310

		Beverages – 0.4%

	418	Jacobs Douwe Egberts, Term Loan B		3.625%		1-Month LIBOR		2.000%		11/01/25		Ba1		394,627

		Biotechnology – 0.5%

	623	Grifols Worldwide Operations USA Inc		2.684%		1-Week LIBOR		2.000%		11/15/27		Ba2		594,862

		Building Products – 0.2%

	232	Advanced Drainage Systems Inc		3.813%		1-Month LIBOR		2.250%		9/24/26		Ba1		216,469

		Capital Markets – 0.4%

	315	RPI 2019 Intermediate Finance Trust		2.739%		1-Month LIBOR		1.750%		2/11/27		BBB–		294,462
	111	RPI Intermediate Finance Trust		2.739%		3-Month LIBOR		1.750%		2/11/27		BBB–		104,528
	426	Total Capital Markets												398,990

		Chemicals – 0.9%

	561	Axalta Coating Systems, Term Loan, First Lien		3.200%		3-Month LIBOR		1.750%		6/01/24		Ba1		535,764
	387	H.B. Fuller Company, Term Loan B		2.773%		1-Month LIBOR		2.000%		10/21/24		BB+		340,507
	118	Mineral Technologies, Inc., Term Loan B2		4.750%		N/A		N/A		5/07/21		BB+		109,421
	1,066	Total Chemicals												985,692

		Commercial Services & Supplies – 1.2%

	510	Formula One Group, Term Loan B		3.500%		1-Month LIBOR		2.500%		2/01/24		B+		460,202
	517	GFL Environmental, Term Loan		3.991%		1-Month LIBOR		3.000%		5/31/25		BB–		504,094
	100	Sabert Corp		5.500%		3-Month LIBOR		4.500%		12/10/26		B		93,000
	216	Trans Union LLC		2.739%		1-Month LIBOR		1.750%		11/13/26		BB+		207,823
	42	West Corporation, Incremental Term Loan B1		4.950%		3-Month LIBOR		3.500%		10/10/24		BB+		31,407
	1,385	Total Commercial Services & Supplies												1,296,526

		Communications Equipment – 1.0%

	457	Avaya, Inc., Tranche B Term Loan		4.955%		1-Month LIBOR		4.250%		12/15/24		BB–		393,734
	395	CommScope, Inc., Term Loan B		4.239%		1-Month LIBOR		3.250%		4/04/26		Ba3		375,576



JTA		NuveenTax-Advantaged Total Return Strategy Fund(continued)
JTA		Portfolio of Investments March 31, 2020
		(Unaudited)



Principal Amount (000)		Description (1)	Coupon (6)		Reference Rate (6)		Spread (6)		Maturity (7)		Ratings (8)		Value

		Communications Equipment(continued)

$	368	Univision Communications, Inc., Term Loan C5, (DD1)		3.750%		1-Month LIBOR		2.750%		3/15/24		B	$	317,067
	1,220	Total Communications Equipment												1,086,377

		Consumer Finance – 0.3%

	366	Verscend Technologies, Tern Loan B		5.489%		1-Month LIBOR		4.500%		8/27/25		B+		347,687

		Containers & Packaging – 0.6%

	349	Berry Global Inc		2.863%		3-Month LIBOR		2.000%		10/01/22		BBB–		336,985
	383	Reynolds Consumer Products LLC		3.577%		3-Month LIBOR		1.750%		2/04/27		BB+		363,261
	732	Total Containers & Packaging												700,246

		Diversified Consumer Services – 0.2%

	247	Refinitiv, Term Loan B		4.239%		1-Month LIBOR		3.250%		10/01/25		BB+		238,337

		Diversified Financial Services – 0.4%

	337	Lions Gate Entertainment Corp., Term Loan B		3.239%		1-Month LIBOR		2.250%		3/24/25		Ba2		307,362
	223	Travelport LLC, Term Loan B		6.072%		3-Month LIBOR		5.000%		5/30/26		B		146,544
	560	Total Diversified Financial Services												453,906

		Diversified Telecommunication Services – 1.8%

	1,019	CenturyLink Inc		3.239%		1-Month LIBOR		2.250%		3/15/27		BB+		957,334
	500	Front Range BidCo Inc		3.989%		1-Month LIBOR		3.000%		3/09/27		B1		475,000
	40	Intelsat Jackson Holdings, S.A., Term Loan B4		6.432%		6-Month LIBOR		4.500%		1/02/24		B1		37,280
	64	Intelsat Jackson Holdings, S.A., Term Loan B5		6.625%		N/A		N/A		1/02/24		B1		60,080
	494	Numericable Group S.A., Term Loan B13		4.705%		1-Month LIBOR		4.000%		8/14/26		B		472,766
	2,117	Total Diversified Telecommunication Services												2,002,460

		Electric Utilities – 0.0%

	3	Vistra Operations Co., Term Loan B3		2.703%		1-Month LIBOR		1.750%		12/31/25		Baa3		2,859

		Electrical Equipment – 0.4%

	279	Avolon TLB Borrower 1 US LLC		2.273%		1-Month LIBOR		1.500%		2/10/27		Baa2		242,452
	250	Vertiv Group Corp		4.581%		1-Month LIBOR		3.000%		3/02/27		B+		217,500
	529	Total Electrical Equipment												459,952

		Entertainment – 0.5%

	347	AMC Entertainment Holdings Inc		4.080%		1-Month LIBOR		3.000%		4/22/26		BB–		258,322
	351	Springer Nature Deutschland GmbH		4.500%		1-Month LIBOR		3.500%		8/14/24		B2		312,863
	698	Total Entertainment												571,185

		Food Products – 0.7%

	249	B&G Foods Inc		3.489%		1-Month LIBOR		2.500%		10/10/26		BB		234,758
	500	Froneri US Inc		3.239%		1-Month LIBOR		2.250%		1/31/27		B1		480,000
	749	Total Food Products												714,758

		Health Care Providers & Services – 1.6%

	60	Air Medical Group Holdings, Inc., Term Loan B		4.932%		2-Month LIBOR		3.250%		4/28/22		B1		56,190
	541	HCA Inc		2.739%		1-Month LIBOR		1.750%		3/18/26		BBB–		517,076
	721	HCA, Inc., Term Loan B10		2.739%		1-Month LIBOR		1.750%		3/13/25		BBB–		690,569
	209	Lifepoint Health, Inc., Term Loan		4.739%		1-Month LIBOR		3.750%		11/16/25		B+		195,113
	193	Millennium Laboratories, Inc., Term Loan B, First Lien, (9)		7.500%		1-Month LIBOR		6.500%		12/21/20		Caa3		72,835
	229	Phoenix Guarantor Inc		4.113%		1-Month LIBOR		3.250%		3/05/26		B1		209,502
	1,953	Total Health Care Providers & Services												1,741,285

		Health Care Technology – 0.9%

	748	Emdeon, Inc., Term Loan		3.500%		1-Month LIBOR		2.500%		3/01/24		B+		713,821
	249	Zelis Payments Buyer Inc		5.739%		1-Month LIBOR		4.750%		9/30/26		B		231,919
	997	Total Health Care Technology												945,740



Principal Amount (000)		Description (1)	Coupon (6)		Reference Rate (6)		Spread (6)		Maturity (7)		Ratings (8)		Value

		Hotels, Restaurants & Leisure – 3.8%

$	876	1011778 BC ULC		2.739%		1-Month LIBOR		1.750%		11/19/26		BB+	$	812,498
	504	24 Hour Fitness Worldwide, Inc., Term Loan B		4.950%		3-Month LIBOR		3.500%		5/31/25		B–		119,005
	466	Aramark Corporation, Term Loan		2.739%		1-Month LIBOR		1.750%		3/11/25		BBB–		439,907
	82	Caesars Entertainment Operating Company, Inc., Term Loan B		2.989%		1-Month LIBOR		2.000%		10/06/24		BB		67,912
	610	Caesars Resort Collection, Term Loan, First Lien		3.739%		1-Month LIBOR		2.750%		12/22/24		BB		499,752
	496	Carrols Restaurant Group Inc., Term Loan B		4.210%		1-Month LIBOR		3.250%		4/30/26		B–		365,364
	261	Hilton Hotels, Term Loan B2		2.697%		1-Month LIBOR		1.750%		6/21/26		BBB–		248,881
	496	Marriott Ownership Resorts Inc		2.739%		1-Month LIBOR		1.750%		8/31/25		BBB–		441,663
	220	PCI Gaming Authority		3.489%		1-Month LIBOR		2.500%		5/31/26		BBB–		182,021
	610	Seaworld Parks and Entertainment, Inc., Term Loan B5		3.989%		1-Month LIBOR		3.000%		3/31/24		B2		508,429
	483	YUM Brands, Term Loan B		2.362%		1-Month LIBOR		1.750%		4/03/25		BBB–		460,954
	5,104	Total Hotels, Restaurants & Leisure												4,146,386

		Household Products – 0.6%

	740	Reynolds Group Holdings, Inc., Term Loan, First Lien		3.739%		1-Month LIBOR		2.750%		2/05/23		B+		704,529

		Insurance – 0.7%

	250	Acrisure LLC		5.207%		3-Month LIBOR		3.500%		2/15/27		B		223,750
	348	Asurion LLC, Term Loan B6		3.989%		1-Month LIBOR		3.000%		11/03/23		Ba3		335,979
	200	BroadStreet Partners Inc		4.294%		1-Month LIBOR		3.250%		1/27/27		B		178,542
	798	Total Insurance												738,271

		Internet & Direct Marketing Retail – 0.3%

	290	Uber Technologies, Inc., Term Loan		5.000%		1-Month LIBOR		4.000%		4/04/25		B1		273,245

		IT Services – 0.9%

	486	Tempo Acquisition LLC, Term Loan B		3.739%		1-Month LIBOR		2.750%		5/01/24		B1		441,515
	157	West Corporation, Term Loan B		5.450%		3-Month LIBOR		4.000%		10/10/24		BB–		119,446
	482	WEX Inc		3.239%		1-Month LIBOR		2.250%		5/17/26		Ba2		423,140
	1,125	Total IT Services												984,101

		Life Sciences Tools & Services – 0.2%

	194	Inventiv Health, Inc., Term Loan B		2.739%		1-Month LIBOR		1.750%		8/01/24		BB		187,989

		Machinery – 0.2%

	206	Gates Global LLC, Term Loan B		3.750%		1-Month LIBOR		2.750%		4/01/24		B1		181,279

		Marine – 0.1%

	112	Harvey Gulf International Marine, Inc., Exit Term Loan		7.713%		3-Month LIBOR		6.000%		7/02/23		B		64,917

		Media – 3.7%

	875	Cequel Communications LLC, Term Loan B		2.862%		1-Month LIBOR		2.250%		1/15/26		BB		844,190
	468	Charter Communications Operating LLC		2.740%		1-Month LIBOR		1.750%		2/01/27		BBB–		451,639
	204	Cineworld Group PLC, Term Loan B		3.322%		6-Month LIBOR		2.250%		2/28/25		B		142,553
	446	Clear Channel Outdoor Holdings Inc		4.489%		1-Month LIBOR		3.500%		8/21/26		B+		378,879
	99	CSC Holdings LLC, Refinancing Term Loan		2.862%		1-Month LIBOR		2.250%		7/17/25		BB		95,675
	120	Cumulus Media New Holdings Inc		4.822%		6-Month LIBOR		3.750%		3/31/26		B		97,841
	476	iHeartCommunications Inc		3.989%		1-Month LIBOR		3.000%		5/01/26		BB–		405,808
	261	Intelsat Jackson Holdings, S.A., Term Loan B		5.682%		6-Month LIBOR		3.750%		11/27/23		B1		241,888
	386	Meredith Corp		3.489%		1-Month LIBOR		2.500%		1/31/25		BB		345,313
	25	Metro-Goldwyn-Mayer, Inc., Term Loan, First Lien		3.490%		1-Month LIBOR		2.500%		7/03/25		BB		22,454
	43	Nexstar Broadcasting, Inc., Term Loan B3		3.831%		1-Month LIBOR		2.250%		1/17/24		BB		40,467
	166	Nexstar Broadcasting, Inc., Term Loan B3		3.191%		1-Month LIBOR		2.250%		1/17/24		BB		156,901
	490	Sinclair Television Group, Term Loan B2		3.240%		1-Month LIBOR		2.250%		1/03/24		BB+		472,728
	149	Terrier Media Buyer Inc		5.700%		3-Month LIBOR		4.250%		12/17/26		BB–		135,785
	257	WideOpenWest Finance LLC, Term Loan B		4.250%		1-Month LIBOR		3.250%		8/19/23		B		239,670
	4,465	Total Media												4,071,791

		Multiline Retail – 0.2%

	245	EG America LLC, Term Loan, First Lien		5.072%		6-Month LIBOR		4.000%		2/07/25		B		182,282



JTA		NuveenTax-Advantaged Total Return Strategy Fund(continued)
JTA		Portfolio of Investments March 31, 2020
		(Unaudited)



Principal Amount (000)		Description (1)	Coupon (6)		Reference Rate (6)		Spread (6)		Maturity (7)		Ratings (8)		Value

		Oil, Gas & Consumable Fuels – 0.1%

$	208	Fieldwood Energy LLC, Exit Term Loan		7.027%		3-Month LIBOR		5.250%		4/11/22		BB–	$	74,146
	267	Fieldwood Energy LLC, Exit Term Loan, second Lien		9.027%		3-Month LIBOR		7.250%		4/11/23		B+		27,248
	475	Total Oil, Gas & Consumable Fuels												101,394

		Pharmaceuticals – 0.6%

	249	Endo International PLC		5.250%		1-Month LIBOR		4.250%		4/29/24		B+		225,670
	480	Valeant Pharmaceuticals International, Inc., Term Loan, First Lien		3.612%		1-Month LIBOR		3.000%		6/02/25		BB		459,416
	729	Total Pharmaceuticals												685,086

		Professional Services – 0.6%

	299	ASGN Inc		2.739%		1-Month LIBOR		1.750%		4/02/25		Ba1		278,575
	387	Nielsen Finance LLC, Term Loan B4		3.005%		1-Month LIBOR		2.000%		10/04/23		BBB–		361,655
	686	Total Professional Services												640,230

		Road & Rail – 0.8%

	220	Avolon LLC, Term Loan B		2.523%		1-Month LIBOR		1.750%		1/15/25		Baa2		198,840
	233	Fly Funding II Sarl		3.480%		N/A		N/A		8/09/25		BBB–		203,727
	500	Genesee & Wyoming Inc		3.450%		3-Month LIBOR		2.000%		12/30/26		BB+		482,502
	953	Total Road & Rail												885,069

		Semiconductors & Semiconductor Equipment – 0.5%

	144	Microchip Technology, Inc., Term Loan B		2.990%		1-Month LIBOR		2.000%		5/29/25		Baa3		139,411
	442	MKS Instruments Inc		2.739%		1-Month LIBOR		1.750%		2/02/26		BB+		403,702
	586	Total Semiconductors & Semiconductor Equipment												543,113

		Software – 2.6%

	660	Ellucian, Term Loan B, First Lien		4.700%		3-Month LIBOR		3.250%		9/30/22		B		633,339
	248	Epicor Software Corp., Term Loan, First Lien		4.250%		1-Month LIBOR		3.250%		6/01/22		N/R		228,444
	502	Infor (US), Inc., Term Loan B		3.750%		1-Month LIBOR		2.750%		2/01/22		Ba3		486,895
	165	McAfee LLC, Term Loan B		4.691%		1-Month LIBOR		3.750%		9/29/24		B		156,229
	123	Micro Focus International PLC, New Term Loan		3.489%		1-Month LIBOR		2.500%		6/21/24		BB		111,605
	833	Micro Focus International PLC, Term Loan B		3.489%		1-Month LIBOR		2.500%		6/21/24		BB		753,697
	260	SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B3		2.739%		1-Month LIBOR		1.750%		4/16/25		BB+		245,795
	186	SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B4		2.739%		1-Month LIBOR		1.750%		4/16/25		BB+		175,392
	2,977	Total Software												2,791,396

		Specialty Retail – 0.4%

	98	Petco Animal Supplies, Inc., Term Loan B1		5.027%		3-Month LIBOR		3.250%		1/26/23		B2		68,472
	436	Petsmart Inc., Term Loan B, First Lien		5.000%		6-Month LIBOR		4.000%		3/11/22		B		419,593
	534	Total Specialty Retail												488,065

		Technology Hardware, Storage & Peripherals – 1.7%

	304	BMC Software, Inc., Term Loan B		5.239%		1-Month LIBOR		4.250%		10/02/25		B2		255,972
	705	Dell International LLC, Refinancing Term Loan B1		2.990%		1-Month LIBOR		2.000%		9/19/25		Baa3		677,066
	249	NCR Corp		3.490%		1-Month LIBOR		2.500%		8/28/26		BBB–		227,606
	735	Western Digital, Term Loan B		3.353%		3-Month LIBOR		1.750%		4/29/23		BBB–		713,159
	1,993	Total Technology Hardware, Storage & Peripherals												1,873,803

		Trading Companies & Distributors – 0.3%

	377	Univar, Inc., Term Loan B		3.700%		3-Month LIBOR		2.250%		7/01/24		BB+		362,251
$	38,246	Total Variable Rate Senior Loan Interests (cost $38,072,386)												34,209,578



Shares			Description (1)	Coupon				Ratings (8)		Value

			$25 PAR (OR SIMILAR) RETAIL PREFERRED – 5.3% (3.8% of Total Investments)

			Banks – 2.7%

	5,000		Citigroup Inc		7.125%				BB+	$	129,450
	4,625		CoBank ACB, 144A, (3)		6.250%				BBB+		453,250
	3,250		CoBank ACB, (3)		6.125%				BBB+		320,190
	8,622		Fifth Third Bancorp		6.625%				Baa3		220,551
	8,662		FNB Corp/PA		7.250%				Ba1		205,636
	15,475		Huntington Bancshares Inc/OH		6.250%				Baa3		378,209
	5,550		KeyCorp		6.125%				Baa3		138,750
	5,900		People’s United Financial Inc		5.625%				BB+		138,414
	16,344		Regions Financial Corp		6.375%				BB+		391,766
	7,100		SVB Financial Group		5.250%				Baa2		162,519
	16,300		US Bancorp		6.500%				A3		419,888
			Total Banks								2,958,623

			Capital Markets – 0.9%

	15,400		Charles Schwab Corp		6.000%				BBB		388,850
	14,325		Morgan Stanley		7.125%				BB+		375,028
	4,796		Stifel Financial Corp		6.250%				BB–		116,626
	4,650		Stifel Financial Corp		6.250%				BB–		112,623
			Total Capital Markets								993,127

			Consumer Finance – 0.1%

	6,448		Synchrony Financial		5.625%				BB–		110,003

			Food Products – 0.4%

	8,257		CHS Inc		7.875%				N/R		206,425
	7,632		CHS Inc		7.100%				N/R		176,147
	1,705		CHS Inc		6.750%				N/R		37,970
			Total Food Products								420,542

			Insurance – 0.8%

	18,000		Athene Holding Ltd		6.350%				BBB–		408,960
	10,900		Enstar Group Ltd		7.000%				BB+		238,928
	6,675	��	National General Holdings Corp		7.500%				N/R		123,821
	4,682		PartnerRe Ltd		7.250%				BBB		116,535
			Total Insurance								888,244

			Thrifts & Mortgage Finance – 0.4%

	14,400		Federal Agricultural Mortgage Corp		5.700%				N/R		350,640
	4,700		New York Community Bancorp Inc		6.375%				Ba2		102,836
			Total Thrifts & Mortgage Finance								453,476
			Total $25 Par (or similar) Retail Preferred (cost $6,174,304)								5,824,015

Principal Amount (000)			Description (1)	Coupon		Maturity		Ratings (8)		Value

			$1,000 PAR (OR SIMILAR) INSTITUTIONAL PREFERRED – 4.8% (3.4% of Total Investments)

			Automobiles – 0.1%

$	215		General Motors Financial Co Inc		6.500%		N/A (10)		BB+	$	149,963

			Banks – 3.2%

	300		Bank of America Corp		6.500%		N/A (10)		BBB–		316,500
	70		Bank of America Corp		6.300%		N/A (10)		BBB–		73,500
	350		CIT Group Inc		5.800%		N/A (10)		Ba3		304,500
	350		Citigroup Inc		6.250%		N/A (10)		BB+		360,500
	275		Citizens Financial Group Inc,(3-Month LIBOR reference rate + 3.960% spread), (11)		5.500%		N/A (10)		BB+		236,500
	50		CoBank ACB, 144A		6.250%		N/A (10)		BBB+		49,000
	500		JPMorgan Chase & Co		6.750%		N/A (10)		Baa2		522,500
	450		M&T Bank Corp		6.450%		N/A (10)		Baa2		427,140
	550		PNC Financial Services Group Inc		6.750%		N/A (10)		Baa2		519,409
	225		Wells Fargo & Co		5.875%		N/A (10)		Baa2		228,375



JTA		NuveenTax-Advantaged Total Return Strategy Fund(continued)
JTA		Portfolio of Investments March 31, 2020
		(Unaudited)



Principal Amount (000)		Description (1)					Coupon		Maturity		Ratings (8)		Value

		Banks(continued)

$	500	Zions Bancorp NA						7.200%		N/A (10)		BB+	$	489,055
	3,620	Total Banks												3,526,979

		Capital Markets – 0.1%

	95	Morgan Stanley						5.550%		N/A (10)		BB+		83,556

		Consumer Finance – 0.6%

	540	Capital One Financial Corp						5.550%		N/A (10)		Baa3		466,533
	175	Discover Financial Services						5.500%		N/A (10)		Ba2		140,000
	715	Total Consumer Finance												606,533

		Diversified Financial Services – 0.2%

	225	Voya Financial Inc						6.125%		N/A (10)		BBB–		203,625

		Food Products – 0.3%

	300	Land O’ Lakes Inc, 144A						8.000%		N/A (10)		BB		270,000

		Industrial Conglomerates – 0.1%

	165	General Electric Co, (4)						5.000%		N/A (10)		BBB–		136,125

		Insurance – 0.2%

	250	Progressive Corp						5.375%		N/A (10)		BBB+		211,630
$	5,585	Total $1,000 Par (or similar) Institutional Preferred (cost $5,641,853)												5,188,411

Shares		Description (1)					Coupon				Ratings (8)		Value

		CONVERTIBLE PREFERRED SECURITIES – 4.1% (2.9% of Total Investments)

		Banks – 0.4%

	125	Bank of America Corp						7.250%				BBB–	$	158,253
	170	Wells Fargo & Co						7.500%				Baa2		216,583
		Total Banks												374,836

		Health Care Technology – 1.0%

	27,480	Change Healthcare Inc						6.000%				N/R		1,118,711

		Life Sciences Tools & Services – 0.8%

	19,900	Avantor Inc						6.250%				N/R		862,864

		Semiconductors & Semiconductor Equipment – 1.9%

	2,225	Broadcom Inc						8.000%				N/R		2,078,951
		Total Convertible Preferred Securities (cost $5,719,393)												4,435,362

Shares		Description (1)	Coupon		Issue Price		Cap Price		Maturity				Value

		STRUCTURED NOTES – 1.2% (0.9% of Total Investments)													��

	23,200	Merrill Lynch International & Co. C.V., Mandatory Exchangeable Note, Linked to Common Stock of Activision Blizzard (Cap 116.71% of Issue Price), 144A, (3)		10.000%	$	55.7410	$	65.0550		5/15/20			$	1,357,766
		Total Structured Notes (cost $1,323,076)												1,357,766

Principal
Amount (000)

Description (1)

Coupon

Maturity

Ratings (8)

Value

CORPORATE BONDS – 0.1% (0.0% of Total Investments)

Media – 0.1%

106

iHeartCommunications Inc

8.375%

5/01/27

B–

90,278

106

Total Corporate Bonds (cost $111,093)

90,278

Total Long-Term Investments (cost $162,571,002)

153,449,122

Borrowings – (35.9)% (12), (13)

(39,100,000

)

Other Assets Less Liabilities – (5.1)% (14)

(5,549,911

)

Net Assets Applicable to Common Shares – 100%

108,799,211

Investments in Derivatives

Interest Rate Swaps – OTC Uncleared

Counterparty

Notional
Amount

Fund
Pay/Receive
Floating Rate

Floating Rate Index

Fixed Rate
(Annualized)

Fixed Rate
Payment
Frequency

Effective
Date (15)

Optional
Termination
Date

Maturity
Date

Value

Unrealized
Appreciation
(Depreciation)

JPMorgan Chase Bank, N.A.

41,800,000

Receive

1-Month LIBOR

1.969

Monthly

6/01/18

7/01/25

7/01/27

(4,497,619

)

(4,497,619

)

Part F of FormN-PORT was prepared in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) and in conformity with the applicable rules and regulations of the U.S. Securities and Exchange Commission (“SEC”) related to interim filings. Part F of FormN-PORT does not include all information and footnotes required by U.S. GAAP for complete financial statements. Certain footnote disclosures normally included in financial statements prepared in accordance with U.S. GAAP have been condensed or omitted from this report pursuant to the rules of the SEC. For a full set of the Fund’s notes to financial statements, please refer to the Fund’s most recently filed annual or semi-annual report.

Fair Value Measurements

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


Level 1 –		Inputs are unadjusted and prices are determined using quoted prices in active markets for identical securities.
Level 2 –		Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, credit spreads, etc.).
Level 3 –		Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments).



JTA		NuveenTax-Advantaged Total Return Strategy Fund(continued)
JTA		Portfolio of Investments March 31, 2020
		(Unaudited)

The inputs or methodologies used for valuing securities are not an indication of the risks associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of the end of the reporting period:


	Level 1		Level 2			Level 3		Total
Long-Term Investments:
Common Stocks	$	58,056,980	$	44,273,722		$	13,010	$	102,343,712
Variable Rate Senior Loan Interests		—		34,209,578			—		34,209,578
$25 Par (or similar) Retail Preferred		5,050,575		773,440			—		5,824,015
$1,000 Par (or similar) Institutional Preferred		—		5,188,411			—		5,188,411
Convertible Preferred Securities		4,435,362		—			—		4,435,362
Structured Notes		—		1,357,766			—		1,357,766
Corporate Bonds		—		90,278			—		90,278

Investments in Derivatives:
Interest Rate Swaps*		—		(4,497,619	)		—		(4,497,619	)
Total	$	67,542,917	$	81,395,576		$	13,010	$	148,951,503

*	Represents net unrealized appreciation (depreciation).

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

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

(2)	Investment, or portion of investment, has been pledged to collateralized the net payment obligations for investments in derivatives.

(3)	For fair value measurement disclosure purposes, investment classified as Level 2.

(4)	Investment, or portion of investment, is hypothecated. The total value of investments hypothecated as of the end of the reporting period was $29,435,102.

(5)	Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board. For fair value measurement disclosure purposes, investment classified as Level 3.

(6)

Senior loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate (Reference Rate) plus an assigned fixed rate (Spread). 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. The rate shown is the coupon as of the end of the reporting period.

(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.

(8)

For financial reporting purposes, the ratings disclosed are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.

(9)	Defaulted security. A security whose issuer has failed to fully pay principal and/or interest when due, or is under the protection of bankruptcy.

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

(11)	Variable rate security. The rate shown is the coupon as of the end of the reporting period.

(12)	Borrowings as a percentage of Total Investments is 25.5%.

(13)

The Fund may pledge up to 100% of its eligible investments (excluding any investments separately pledged as collateral for specific investments in derivatives, when applicable) in the Portfolio of Investments as collateral for borrowings. As of the end of the reporting period investments with a value of $97,960,351 have been pledged as collateral for borrowings.

(14)	Other assets less liabilities includes the unrealized appreciation (depreciation) of certainover-the-counter (“OTC”) derivatives as well as the OTC cleared and exchange-traded derivatives, when applicable.

(15)	Effective date represents the date on which both the Fund and counterparty commence interest payment accruals on each contract.

144A	Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration, which are normally those transactions with qualified institutional buyers.

ADR	American Depositary Receipt

DD1	Portion of investment purchased on a delayed delivery basis.

LIBOR

London Inter-Bank Offered Rate

N/A	Not applicable

Nuveen Tax Advantaged Total Return Strategy Fund (JTA) NPORT-PNuveen Tax-Advantaged Total Return Strategy Fund (Mar 2020 report)