Nuveen Long/short Commodity Total Return Fund (CTF) 10-Q 2013 Q1 Quarterly report

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form 10-Q

(Mark One)

x QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended March 31, 2013

Or

¨ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from               to             

Commission File Number 001-35710

Nuveen Long/Short Commodity Total Return Fund

(Exact name of registrant as specified in its charter)

Delaware	45-2470177
(State or other jurisdiction of incorporation or organization)	(I.R.S. Employer Identification No.)
333 West Wacker Drive Chicago Illinois	60606
(Address of principal executive offices)	(Zip Code)

(877) 827-5920

(Registrant’s telephone number, including area code)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.    Yes  x    No  ¨

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Website, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§229.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).    Yes  x    No  ¨

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated file, or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):

Large accelerated filer	¨		Accelerated filer	¨
Non-accelerated filer	x	(Do not check if smaller reporting company)	Smaller reporting company	¨

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).    Yes  ¨    No  x

As of May 9, 2013, the registrant had 18,791,340 shares outstanding.

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

TABLE OF CONTENTS

		Page No.
PART I. FINANCIAL INFORMATION
Item 1.	Financial Statements:
	Statements of Financial Condition at March 31, 2013 (Unaudited) and December 31, 2012		3
	Schedule of Investments at March 31, 2013 (Unaudited)		4
	Statements of Operations for the three months ended March 31, 2013 and March 31, 2012 (Unaudited)		9
	Statements of Changes in Shareholders’ Capital for the three months ended March 31, 2013 (Unaudited) and the year ended December 31, 2012		10
	Statements of Cash Flows for the three months ended March 31, 2013 and March 31, 2012 (Unaudited)		11
	Notes to Financial Statements (Unaudited)		12
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations		24
Item 3.	Quantitative and Qualitative Disclosures About Market Risk		32
Item 4.	Controls and Procedures		35
PART II. OTHER INFORMATION
Item 1.	Legal Proceedings		36
Item 1A.	Risk Factors		36
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds		36
Item 3.	Defaults Upon Senior Securities		36
Item 4.	Mine Safety Disclosures		36
Item 5.	Other Information		36
Item 6.	Exhibits		36
Signatures			38

2

PART I. FINANCIAL INFORMATION

Item 1. Financial Statements

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

STATEMENTS OF FINANCIAL CONDITION

At March 31, 2013 (Unaudited) and December 31, 2012

	March 31, 2013			December 31, 2012
ASSETS
Short-term investments, at value (cost $347,526,145 and $372,233,128, respectively)	$	347,585,797		$	372,303,955
Deposits with brokers		60,822,477			63,184,990
Unrealized appreciation on futures contracts		4,910,579			1,499,470
Receivable for investments sold		3,498,214			—
Total assets		416,817,067			436,988,415
LIABILITIES
Cash overdraft		1,902			928,991
Options written, at value (premiums received $3,671,121 and $4,747,719, respectively)		4,016,116			3,465,424
Unrealized depreciation on futures contracts		2,399,932			4,755,125
Distributions payable		2,914,130			—
Accrued expenses:
Management fees		435,414			460,442
Independent Committee fees		28,394			25,800
Other		342,187			241,070
Total liabilities		10,138,075			9,876,852
SHAREHOLDERS’ CAPITAL
Paid-in capital, unlimited number of shares authorized, 18,800,840 shares issued and outstanding at March 31, 2013 and 18,800,840 shares issued and outstanding at December 31, 2012		447,930,055			447,930,055
Accumulated undistributed earnings (deficit)		(41,251,063	)		(20,818,492	)
Total shareholders’ capital (Net assets)		406,678,992			427,111,563
Total liabilities and shareholders’ capital	$	416,817,067		$	436,988,415
Net assets	$	406,678,992		$	427,111,563
Shares outstanding		18,800,840			18,800,840
Net asset value per share outstanding (net assets divided by shares outstanding)	$	21.63		$	22.72
Market value per share outstanding	$	20.23		$	21.22

See accompanying notes to financial statements.

3

SCHEDULE

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

SCHEDULE OF INVESTMENTS (Unaudited)

March 31, 2013

Investments

Principal Amount (000)	Description	Coupon			Maturity		Ratings(1)		Value
	Short-Term Investments
	U.S. Government and Agency Obligations
$    46,500	U.S. Treasury Bills		0.000	%		5/02/13		Aaa	$	46,498,000
47,500	U.S. Treasury Bills		0.000	%		5/30/13		Aaa		47,495,155
47,500	U.S. Treasury Bills		0.000	%		7/25/13		Aaa		47,488,980
38,500	U.S. Treasury Bills		0.000	%		6/27/13		Aaa		38,493,494
44,000	U.S. Treasury Bills		0.000	%		9/19/13		Aaa		43,978,572
40,000	U.S. Treasury Bills		0.000	%		12/12/13		Aaa		39,968,840
44,500	U.S. Treasury Bills		0.000	%		1/09/14		Aaa		44,459,817
39,250	U.S. Treasury Bills		0.000	%		3/06/14		Aaa		39,202,939
347,750	Total U.S. Government And Agency Obligations (cost $347,526,145)									347,585,797
	Total Short-Term Investments (cost $347,526,145)								$	347,585,797

Investments in Derivatives

Futures Contracts outstanding:

Commodity Group	Contract	Contract Position		Contract Expiration	Number of Contracts(2)		Notional Amount at  Value(3)		Unrealized Appreciation (Depreciation)
Energy	Crude Oil
	ICE Brent Crude Oil Futures Contract		Long	May 2013		213	$	23,434,260	$	(299,550	)
	ICE Brent Crude Oil Futures Contract		Long	June 2013		155		17,017,450		302,337
	NYMEX Crude Oil Futures Contract		Long	May 2013		69		6,708,870		178,651
	NYMEX Crude Oil Futures Contract		Long	June 2013		338		32,951,620		860,079
	Total Crude Oil									1,041,517
	Heating Oil
	ICE Gas Oil Futures Contract		Long	June 2013		406		37,372,300		348,312
	NYMEX Heating Oil Futures Contract		Long	May 2013		79		10,109,946		114,126
	NYMEX Heating Oil Futures Contract		Long	June 2013		134		17,069,724		163,341
	Total Heating Oil									625,779
	Natural Gas
	NYMEX Natural Gas Futures Contract		Long	May 2013		106		4,265,440		106,205
	NYMEX Natural Gas Futures Contract		Long	June 2013		280		11,384,800		126,000
	NYMEX Natural Gas Futures Contract		Long	July 2013		284		11,680,920		244,507
	Total Natural Gas									476,712
	Unleaded Gas
	NYMEX Gasoline RBOB Futures Contract		Long	May 2013		164		21,425,813		(538,762	)
	NYMEX Gasoline RBOB Futures Contract		Long	June 2013		50		6,475,560		60,194
	Total Unleaded Gas									(478,568	)
	Total Energy									1,665,440

4

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

March 31, 2013

Investments in Derivatives (Continued)

Futures Contracts outstanding (Continued):

Commodity Group	Contract	Contract Position		Contract Expiration	Number of Contracts(2)			Notional Amount at  Value(3)			Unrealized Appreciation (Depreciation)
Agriculture	Corn
	CBOT Corn Futures Contract		Long	May 2013		290		$	10,081,125		$	(81,840	)
	CBOT Corn Futures Contract		Long	July 2013		558			18,860,400			(546,107	)
	Total Corn											(627,947	)
	Soybean
	CBOT Soybean Futures Contract		Short	May 2013		(74	)		(5,197,575	)		4,887
	CBOT Soybean Futures Contract		Long	July 2013		423			29,303,325			(768,166	)
	Total Soybean											(763,279	)
	Wheat
	CBOT Wheat Futures Contract		Short	May 2013		(60	)		(2,063,250	)		97,580
	CBOT Wheat Futures Contract		Short	July 2013		(308	)		(10,641,400	)		485,243
	Total Wheat											582,823
	Soybean Meal
	CBOT Soybean Meal Futures Contract		Short	May 2013		(28	)		(1,132,880	)		11,288
	CBOT Soybean Meal Futures Contract		Short	July 2013		(136	)		(5,446,800	)		30,203
	Total Soybean Meal											41,491
	Soybean Oil
	CBOT Soybean Oil Futures Contract		Short	May 2013		(55	)		(1,653,630	)		10,986
	CBOT Soybean Oil Futures Contract		Short	July 2013		(188	)		(5,679,480	)		19,369
	Total Soybean Oil											30,355
	Cotton
	ICE Cotton Futures Contract		Long	May 2013		110			4,865,300			364,071
	ICE Cotton Futures Contract		Long	July 2013		5			224,525			(2,630	)
	Total Cotton											361,441
	Sugar
	ICE Sugar Futures Contract		Short	May 2013		(221	)		(4,371,203	)		74,511
	ICE Sugar Futures Contract		Short	July 2013		(445	)		(8,821,680	)		122,130
	Total Sugar											196,641
	Coffee
	ICE Coffee C Futures Contract		Short	May 2013		(128	)		(6,583,200	)		576,225
	ICE Coffee C Futures Contract		Short	July 2013		(14	)		(733,163	)		562
	Total Coffee											576,787
	Total Agriculture											398,312

5

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

March 31, 2013

Investments in Derivatives (Continued)

Futures Contracts outstanding (Continued):

Commodity Group	Contract	Contract Position		Contract Expiration	Number of Contracts(2)			Notional Amount at  Value(3)			Unrealized Appreciation (Depreciation)
Metals	Copper
	CEC Copper Futures Contract		Short	July 2013		(112	)	$	(9,581,600	)	$	121,788
	Gold
	CEC Gold Futures Contract		Short	June 2013		(257	)		(41,009,490	)		31,940
	Silver
	CEC Silver Futures Contract		Short	May 2013		(106	)		(15,011,190	)		325,295
	Total Metals											479,023
Livestock	Live Cattle
	CME Live Cattle Futures Contract		Short	April 2013		(41	)		(2,113,960	)		47,080
	CME Live Cattle Futures Contract		Short	June 2013		(221	)		(10,994,750	)		(162,877	)
	Total Live Cattle											(115,797	)
	Lean Hogs
	CME Lean Hogs Futures Contract		Short	April 2013		(33	)		(1,063,920	)		64,669
	CME Lean Hogs Futures Contract		Short	June 2013		(144	)		(5,245,920	)		19,000
	Total Lean Hogs											83,669
	Total Livestock											(32,128	)
	Total Futures Contracts outstanding										$	2,510,647

Call Options Written outstanding:

Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Energy	Crude Oil
	ICE Brent Crude Oil Futures Options		May 2013		(55	)	$	105.0	$	(283,800	)
	NYMEX Crude Oil Futures Options		April 2013		(63	)		94.5		(206,010	)
	Total Crude Oil									(489,810	)
	Heating Oil
	NYMEX Heating Oil Futures Options		April 2013		(77	)		3.0		(255,809	)
	Natural Gas
	NYMEX Natural Gas Futures Options		April 2013		(100	)		3,550.0		(481,000	)
	Unleaded Gas
	NYMEX Gasoline RBOB Futures Options		April 2013		(33	)		27,900.0		(452,252	)
	Total Energy									(1,678,871	)

6

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

March 31, 2013

Investments in Derivatives (Continued)

Call Options Written outstanding (Continued):

Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Agriculture	Corn
	CBOT Corn Futures Options		April 2013		(127	)	$	675.0	$	(143,669	)
	Soybean
	CBOT Soybean Futures Options		April 2013		(74	)		1,440.0		(43,475	)
	Soybean Meal
	CBOT Soybean Meal Futures Options		April 2013		(25	)		410.0		(18,875	)
	Cotton
	ICE Cotton Futures Options		April 2013		(17	)		76.0		(106,165	)
	Total Agriculture									(312,184	)
	Total Call Options Written outstanding (premiums received $1,922,905)				(571	)			$	(1,991,055	)

Put Options Written outstanding:

Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Agriculture	Soybean
	CBOT Soybean Futures Options		April 2013		(74	)	$	1,440.0	$	(173,900	)
	Wheat
	CBOT Wheat Futures Options		April 2013		(55	)		800.0		(309,375	)
	Soybean Meal
	CBOT Soybean Meal Futures Options		April 2013		(25	)		410.0		(32,375	)
	Soybean Oil
	CBOT Soybean Oil Futures Options		April 2013		(36	)		540.0		(85,968	)
	Sugar
	ICE Sugar Futures Options		April 2013		(98	)		21.3		(394,038	)
	Coffee
	ICE Coffee C Futures Options		April 2013		(21	)		177.5		(317,835	)
	Total Agriculture									(1,313,491	)
Metals	Gold
	CEC Gold Futures Options		May 2013		(39	)		1,665.0		(303,420	)
	Silver
	CEC Silver Futures Options		April 2013		(16	)		3,100.0		(217,200	)
	Total Metals									(520,620	)

7

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

March 31, 2013

Investments in Derivatives (Continued)

Put Options Written outstanding (Continued):

Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Livestock	Live Cattle
	CME Live Cattle Futures Options		April 2013		(39	)	$	136.0	$	(110,760	)
	Lean Hogs
	CME Lean Hogs Futures Options		April 2013		(27	)		88.0		(80,190	)
	Total Livestock									(190,950	)
	Total Put Options Written outstanding (premiums received $1,748,216)				(430	)			$	(2,025,061	)
	Total Options Written outstanding (premiums received $3,671,121)				(1,001	)			$	(4,016,116	)

(1)	Ratings: Using the highest of Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. rating.
(2)	The aggregate number of contracts for long and short futures contracts is 3,664 and (2,571), respectively.
(3)	The aggregate notional amount at value for long and short futures contracts is $263,231,378 and $(137,345,091), respectively.
CBOT	Chicago Board of Trade
CEC	Commodities Exchange Center
CME	Chicago Mercantile Exchange
ICE	Intercontinental Exchange
NYMEX	New York Mercantile Exchange
RBOB	Reformulated Gasoline Blendstock for Oxygen Blending

See accompanying notes to financial statements.

8

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

STATEMENTS OF OPERATIONS (Unaudited)

For the three months ended March 31, 2013 and March 31, 2012

	Three Months Ended March 31,
	2013			2012(1)
Investment Income:
Interest	$	133,431		$	—
Total Investment Income		133,431			—
Expenses:
Management fees		1,288,541			—
Brokerage commissions		211,178			—
Custodian fees and expenses		33,514			—
Organization expenses		—			64,000
Independent Committee fees and expenses		29,557			—
Professional fees		113,552			—
Shareholder reporting expenses		37,719			—
Licensing fees		103,746			—
Other expenses		6,084			—
Total expenses before expense reimbursement		1,823,891			64,000
Expense reimbursement		—			(64,000	)
Net expenses		1,823,891			—
Net investment income (loss)		(1,690,460	)		—
Net realized gain (loss) from:
Short-term investments		3,363			—
Futures contracts		(21,185,094	)		—
Options written		7,054,173			—
Change in net unrealized appreciation (depreciation) of:
Short-term investments		(11,175	)		—
Futures contracts		5,766,302			—
Options written		(1,627,290	)		—
Net realized gain (loss) and change in net unrealized appreciation (depreciation)		(9,999,721	)		—
Net income (loss)	$	(11,690,181	)	$	—
Net income (loss) per weighted-average share	$	(.62	)	$	—	(2)
Weighted-average shares outstanding		18,800,840			840	(2)

⁽¹⁾  The Fund was organized as a statutory trust under Delaware law on May 25, 2011, and commenced operations on October 25, 2012.

⁽²⁾  The Fund issued 840 shares (initial issuance of shares to the Manager) on August 31, 2011.

See accompanying notes to financial statements.

9

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

STATEMENTS OF CHANGES IN SHAREHOLDERS’ CAPITAL

For the Three Months Ended March 31, 2013 (Unaudited) and the Year Ended December 31, 2012

	Three Months Ended March 31, 2013			Year Ended December 31, 2012(1)
Shareholders’ capital—beginning of period	$	427,111,563		$	20,055
Issuance of shares, net of offering costs		—			447,910,000
Net increase (decrease) in shareholders’ capital resulting from operations:
Net investment income (loss)		(1,690,460	)		(1,275,616	)
Net realized gain (loss) from:
Short-term investments		3,363			13
Futures contracts		(21,185,094	)		(15,702,338	)
Options written		7,054,173			976,112
Change in net unrealized appreciation (depreciation) of:
Short-term investments		(11,175	)		70,827
Futures contracts		5,766,302			(3,255,655	)
Options written		(1,627,290	)		1,282,295
Net income (loss)		(11,690,181	)		(17,904,362	)
Distributions to shareholders		(8,742,390	)		(2,914,130	)
Shareholders’ capital—end of period	$	406,678,992		$	427,111,563
Shares—beginning of period		18,800,840			840
Issuance of shares		—			18,800,000
Shares—end of period		18,800,840			18,800,840

⁽¹⁾  The Fund was organized as a statutory trust under Delaware law on May 25, 2011, and commenced operations on October 25, 2012.

See accompanying notes to financial statements.

10

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

STATEMENTS OF CASH FLOWS (Unaudited)

For the three months ended March 31, 2013 and March 31, 2012

	Three Months Ended March 31,
	2013			2012(1)
Cash flows from operating activities:
Net income (loss)	$	(11,690,181	)	$	—
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term investments		(150,886,875	)		—
Proceeds from sales and maturities of short-term investments		175,730,632			—
Premiums received for options written		7,895,929			—
Cash paid for options written		(1,918,354	)		—
Amortization (Accretion)		(133,411	)		—
(Increase) Decrease in:
Deposits with brokers		2,362,513			—
Receivable from investments sold		(3,498,214	)		—
Receivable from Manager		—			(64,000	)
Increase (Decrease) in:
Payable for organization expenses		—			64,000
Accrued management fees		(25,028	)		—
Accrued independent committee fees		2,594			—
Accrued other expenses		101,117			—
Net realized (gain) loss from:
Short-term investments		(3,363	)		—
Options written		(7,054,173	)		—
Change in net unrealized (appreciation) depreciation of:
Short-term investments		11,175			—
Futures contracts		(5,766,302	)		—
Options written		1,627,290			—
Net cash provided by (used in) operating activities		6,755,349			—
Cash flows from financing activities:
Increase (Decrease) in cash overdraft		(927,089	)		—
Cash distributions paid to shareholders		(5,828,260	)		—
Net cash provided by (used in) financing activities		(6,755,349	)		—
Net increase (decrease) in cash		—			—
Cash—beginning of period		—			20,055
Cash—end of period	$	—		$	20,055

⁽¹⁾  The Fund was organized as a statutory trust under Delaware law on May 25, 2011, and commenced operations on October 25, 2012.

See accompanying notes to financial statements.

11

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Unaudited)

March 31, 2013

1. Organization

The Nuveen Long/Short Commodity Total Return Fund (the “Fund”) was organized as a Delaware statutory trust on May 25, 2011, to operate as a commodity pool. Nuveen Commodities Asset Management, LLC, the Fund’s manager (“NCAM” or the “Manager”), a wholly-owned subsidiary of Nuveen Investments, Inc. (“Nuveen Investments”), is a Delaware limited liability company registered as a commodity pool operator with the Commodity Futures Trading Commission (the “CFTC”) and is a member of the National Futures Association (the “NFA”). The Fund commenced operations on October 25, 2012, with its initial public offering of 18,800,000 shares. The Fund operates pursuant to an Amended and Restated Trust Agreement dated September 14, 2012 (the “Trust Agreement”). The Fund’s shares represent units of fractional undivided beneficial interest in, and ownership of, the Fund. The Fund’s shares trade on the NYSE MKT under the ticker symbol “CTF.” The Fund is not a mutual fund, a closed-end fund, or any other type of “investment company” within the meaning of the Investment Company Act of 1940, as amended, and is not subject to regulation thereunder.

Prior to its initial public offering, the Fund had no operations other than those related to organizational matters, the initial contribution of $20,055 by the Manager, the recording of the Fund’s organizational expenses of $452,000 and their reimbursement by Nuveen Securities, LLC, (“Nuveen”), a wholly-owned subsidiary of Nuveen Investments. The initial contribution of $20,055 by the Manager was received on August 31, 2011, in exchange for 840 Fund shares.

The Manager has selected its affiliate, Gresham Investment Management LLC (“Gresham LLC”), acting through its Near Term Active division (in that capacity, “Gresham” or the “Commodity Sub-advisor”), to manage the Fund’s commodity investment strategy and its options strategy. Gresham LLC is a Delaware limited liability company, the successor to Gresham Investment Management, Inc., formed in July 1992. Gresham LLC is registered with the CFTC as a commodity trading advisor and commodity pool operator, is a member of the NFA and is registered with the Securities and Exchange Commission (“SEC”) as an investment adviser.

The Manager has selected its affiliate, Nuveen Asset Management, LLC (“Nuveen Asset Management” or the “Collateral Sub-advisor”), to manage the Fund’s collateral invested in cash equivalents, U.S. government securities and other short-term, high grade debt securities. Nuveen Asset Management is a Delaware limited liability company and is registered with the SEC as an investment adviser.

The Fund’s investment objective is to generate attractive total returns. The Fund is actively managed and seeks to outperform its benchmark, the Morningstar^® Long/Short Commodity Index^SM(the “Index”). In pursuing its investment objective, the Fund will invest directly in a diverse portfolio of exchange-traded commodity futures contracts that represent the main commodity sectors and are among the most actively traded futures contracts in the global commodity markets. Generally, individual commodity futures positions may be either long or short (or flat in the case of energy futures contracts) depending upon market conditions. The Fund’s Commodity Sub-advisor uses a rules based approach to determine the commodity futures contracts in which the Fund will invest, their respective weightings, and whether the futures positions in each commodity are held long, short or flat. The Fund’s commodity investments will, at all times, be fully collateralized. The Fund is not leveraged, and the notional amount of its combined long, short and flat futures positions will not exceed 100% of the Fund’s net assets. The Fund will also employ a commodity option writing strategy that seeks to produce option premiums for the purpose of enhancing the Fund’s risk-adjusted total return over time. The Fund’s investment strategy will utilize the Commodity Sub-advisor’s proprietary long/short commodity investment program, which has three principal elements:

• An actively managed long/short portfolio of exchange-traded commodity futures contracts;

• A portfolio of exchange-traded commodity option contracts; and

12

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

March 31, 2013

1. Organization (continued)

• A collateral portfolio of cash equivalents, U.S. government securities and other short-term, high grade debt securities.

2. Summary of Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements in accordance with accounting principles generally accepted in the United States (“U.S. GAAP”). The presentation of “Unrealized appreciation and depreciation on futures contracts” on the Statements of Financial Condition has been reclassified to conform to the March 31, 2013 presentation.

The accompanying unaudited financial statements were prepared in accordance with U.S. GAAP for interim financial information and with the instructions for Form 10-Q and the rules and regulations of the SEC. In the opinion of management, all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements and the notes thereto should be read in conjunction with the Fund’s financial statements, included in the Fund’s Annual Report on Form 10-K for the year ended December 31, 2012.

Basis of Accounting

The accompanying financial statements have been prepared in conformity with U.S. GAAP. The preparation of financial statements in conformity with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Futures Contracts

The Fund invests in commodity futures contracts. Upon execution of a futures contract, the Fund is obligated to deposit cash or eligible securities, also known as “initial margin,” into an account at its clearing broker. Generally investments in futures contracts also obligate the investor and the clearing broker to settle monies on a daily basis representing changes in the prior days “mark-to-market” of the open contracts. If the investor has unrealized appreciation the clearing broker would credit the investors account with an amount equal to appreciation and conversely if the investor has unrealized depreciation the clearing broker would debit the investors account with an amount equal to depreciation. These daily cash settlements are also known as “variation margin.” In lieu of posting variation margin daily, the Fund has deposited cash with the clearing broker, generally representing approximately twice the required initial margin to cover the initial margin and the daily changes in the market value of its futures investments. Cash held by the clearing broker to cover both margin requirements on open futures contracts is recognized as “Deposits with brokers” on the Statements of Financial Condition.

During the period the futures contract is open, changes in the value of the contract are recognized as an unrealized gain or loss by “marking-to-market” on a daily basis to reflect the changes in market value of the contract, which are recognized as a component of “Unrealized appreciation or depreciation on futures contracts” on the Statements of Financial Condition and “Change in net unrealized appreciation (depreciation) of futures contracts” on the Statements of Operations. When the contract is closed, the Fund records a realized gain or loss

13

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

March 31, 2013

2. Summary of Significant Accounting Policies (continued)

equal to the difference between the value of the contract on the closing date and the value of the contract when originally entered into, which is recognized as a component of “Net realized gain (loss) from futures contracts” on the Statements of Operations.

Risks of investments in commodity futures contracts include possible adverse movement in the price of the commodities underlying the contracts, the possibility that there may not be a liquid secondary market for the contracts and the possibility that a change in the value of the contract may not correlate with a change in the value of the underlying commodities.

The average number of long and short futures contracts outstanding during the three months ended March 31, 2013 and the period October 31, 2012 (date on which the Fund began entering into futures contracts) through December 31, 2012 was as follows:

	Three Months Ended March 31, 2013		For the Period October 31, 2012 through December 31, 2012
Average number of long and short futures contracts outstanding*		5,788		5,255

* The average number of contracts is calculated based on the absolute aggregate value of outstanding number of contracts at the beginning of the fiscal year and at the end of each quarter within the current fiscal year. For the period October 31, 2012 through December 31, 2012, the average number of contracts is calculated based on the outstanding number of contracts at the beginning of the period and at the end of each month within the remainder of the period.

Refer to Note 3 – Derivative Instruments and Hedging Activities within these Notes to Financial Statements for further details on futures contract activity.

Options Contracts

The Fund may write (sell) and purchase options on commodity futures contracts to enhance the Fund’s risk-adjusted total return. When the Fund writes an option, an amount equal to the premium received is recognized as a component of “Options written, at value” on the Statements of Financial Condition and is subsequently adjusted to reflect the current value of the written option until the option expires or the Fund enters into a closing purchase transaction. The changes in value of the options written during the reporting period are recognized as a component of “Change in net unrealized appreciation (depreciation) of options written” on the Statements of Operations. When an option is exercised or expires, or the 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 is recognized as a component of “Net realized gain (loss) from options written” on the Statements of Operations. The Fund, as writer of an option, has no control over whether the underlying instrument may be sold (called) 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 the Fund may not be able to enter into a closing transaction because of an illiquid market. During the three months ended March 31, 2013 and the period November 1, 2012 (date on which the Fund began entering into option contracts) through December 31, 2012 the Fund wrote call and put options on futures contracts.

The Fund did not purchase options on futures contracts during the three months ended March 31, 2013 and the period October 25, 2012 (commencement of operations) through December 31, 2012. The purchase of

14

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

March 31, 2013

2. Summary of Significant Accounting Policies (continued)

options involves the risk of loss of all or part of the cash paid for the options (the premium). The market risk associated with purchasing options is limited to the premium paid. The counterparty credit risk of purchasing options, however, needs to take into account the current value of the option, as this is the performance expected from the counterparty.

Transactions in both call and put options written were as follows:

	Three Months Ended March 31, 2013					Year Ended December 31, 2012
	Number of Contracts		Premiums Received			Number of Contracts			Premiums Received
Outstanding, beginning of period		1,024	$	4,747,719			—		$	—
Options written		2,008		7,895,929			2,228			9,526,927
Options terminated in closing purchase transactions		(388)		(1,989,796	)		(1,110	)		(4,375,188	)
Options expired		(533)		(2,480,257	)		(62	)		(213,570	)
Options exercised		(1,110)		(4,502,474	)		(32	)		(190,450	)
Outstanding, end of the period		1,001	$	3,671,121			1,024		$	4,747,719

The average number of options written outstanding during the three months ended March 31, 2013 and the period November 1, 2012 (date on which the Fund began entering into options contracts) through December 31, 2012 was as follows:

	Three Months Ended March 31, 2013		For the Period November 1, 2012 through December 31, 2012
Average number of options written outstanding*		1,013		709

* The average number of contracts is calculated based on the outstanding number of contracts at the beginning of the fiscal year and at the end of each quarter within the current fiscal year. For the period November 1, 2012 through December 31, 2012, the average number of contracts is calculated based on the outstanding number of contracts at the beginning of the period and at the end of each month within the remainder of the period.

Refer to Note 3 – Derivative Instruments and Hedging Activities within these Notes to Financial Statements for further details on options activity.

Collateral Investments

Currently approximately 15% of the Fund’s net assets are committed to secure the Fund’s futures contract positions. These assets are placed in a commodity futures account maintained by the Fund’s clearing broker, and are held in high-quality instruments permitted under CFTC regulations.

The Fund’s remaining assets are held in a separate collateral investment account managed by the Collateral Sub-advisor. The Fund’s assets held in the separate collateral account are invested in cash equivalents, U.S. government securities and other high-quality short-term debt securities with final terms not exceeding one year at the time of investment. These collateral investments (other than U.S. government securities) shall be rated at the applicable highest short-term or long-term debt or deposit rating or money market fund rating as determined by

15

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

March 31, 2013

2. Summary of Significant Accounting Policies (continued)

at least one nationally recognized statistical rating organization, or if unrated, judged by the Collateral Sub-advisor to be of comparable quality.

Investment Valuation

Commodity futures contracts and options on commodity futures contracts traded on an exchange will be valued at the final settlement price or official closing price as determined by the principal exchange on which the instruments are traded as supplied by independent pricing services. These investments are generally classified as Level 1 for fair value measurement purposes. OTC commodity futures contracts and options on commodity futures contracts not traded on an exchange will be valued, in order of hierarchy, by independent pricing services, price quotations obtained from counterparty broker-dealers, or through fair valuation methodologies as determined by the Manager. These investments are generally classified as Level 2. Additionally, events may occur after the close of the market, but prior to the determination of the Fund’s net asset value, that may affect the values of the Fund’s investments. In such circumstances, the Manager will determine a fair valuation for such investments that in its opinion is reflective of fair market value. These investments are generally classified as Level 2 or Level 3 depending on the priority of the significant inputs.

Prices of fixed-income securities, including, but not limited to, highly rated zero coupon fixed-income securities and U.S. Treasury bills, are provided by a pricing service approved by the Fund’s Manager. These securities are generally classified as Level 2. The pricing service establishes a security’s fair value using methods that may include consideration of the following: 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. These securities are generally classified as Level 2 or Level 3 depending on the priority of the significant inputs.

Fair Value Measurements

Fair value is defined as the price that the Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market 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-tier hierarchy of valuation inputs.

Level 1—Inputs are unadjusted and prices are determined by 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, prepayment speeds, credit risk, etc.).

Level 3—Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments).

16

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

March 31, 2013

2. Summary of Significant Accounting Policies (continued)

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 March 31, 2013 and December 31, 2012:

	March 31, 2013
	Level 1			Level 2		Level 3		Total
Short-Term Investments:
U.S. Government and Agency Obligations	$	—		$	347,585,797	$	—	$	347,585,797
Derivatives:
Futures Contracts*		2,510,647			—		—		2,510,647
Options Written		(4,016,116	)		—		—		(4,016,116	)
Total	$	(1,505,469	)	$	347,585,797	$	—	$	346,080,328

	December 31, 2012
	Level 1			Level 2		Level 3		Total
Short-Term Investments:
U.S. Government and Agency Obligations	$	—		$	372,303,955	$	—	$	372,303,955
Derivatives:
Futures Contracts*		(3,255,655	)		—		—		(3,255,655	)
Options Written		(3,465,424	)		—		—		(3,465,424	)
Total	$	(6,721,079	)	$	372,303,955	$	—	$	365,582,876

* Represents net unrealized appreciation (depreciation) as reported in the Schedule of Investments as of the end of each reporting period.

The Manager is responsible for the Fund’s valuation process and has delegated daily oversight of the process to the Manager’s Valuation Committee. The Valuation Committee, pursuant to its valuation policies and procedures, is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Manager’s senior management. The Valuation Committee is aided in its efforts by the Manager’s Securities Valuation Team, which is responsible for administering the daily valuation process and applying fair value methodologies as approved by the Valuation Committee. When determining the reliability of independent pricing services for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of the pricing services and monitors the quality of security prices received through various testing reports conducted by the Securities Valuation Team.

For each portfolio instrument that has been fair valued pursuant to the Valuation Committee’s policies, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such testing and fair valuation occurrences are reported to the Manager’s senior management.

Investment Transactions

Investment transactions are recorded on a trade date basis. Realized gains and losses from investment transactions are determined on the specific identification method, which is the same for federal income tax purposes.

17

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

March 31, 2013

2. Summary of Significant Accounting Policies (continued)

Investment Income

Interest income, which reflects the amortization of premiums and includes accretion of discount for financial reporting purposes, is recorded on an accrual basis.

Brokerage Commissions and Fees

The Fund pays brokerage commissions, including applicable clearing costs, exchange fees, NFA fees, give-up fees, pit brokerage fees and other transaction-related fees and expenses, incurred in connection with its commodity trading activities.

Income Taxes

No provision for federal, state, and local income taxes has been made in the accompanying financial statements because the Fund has elected to be classified as a partnership for U.S. federal income tax purposes. Each owner of the Fund’s shares will be required to take into account its allocable share of the Fund’s income, gains, losses, deductions and other items for the Fund’s taxable year.

For all open tax years and all major taxing jurisdictions, the Manager of the Fund 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, the Manager of the Fund 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.

Expense Recognition

All expenses of the Fund are recognized on an accrual basis. The Fund pays all routine and extraordinary costs and expenses of its operations, brokerage expenses, custody fees, transfer agent expenses, professional fees, expenses of preparing, printing and distributing reports, notices, information statements, proxy statements, reports to governmental agencies, and taxes, if any.

Organizational Expenses and Offering Costs

In connection with the Fund’s initial public offering on October 25, 2012, Nuveen (i) reimbursed all organizational expenses of the Fund and (ii) paid all offering costs (other than sales load and underwriting commissions) that exceeded $.05 per share. The Fund’s share of offering costs ($940,000) was recorded as a reduction of the proceeds from the sale of the shares.

Calculation of Net Asset Value

The net asset value per share of the Fund on any given day is computed by dividing the value of all assets of the Fund (including any accrued interest), less all liabilities (including accrued expenses and distributions declared but unpaid), by the total number of shares outstanding.

Distributions

The Fund intends to make regular monthly distributions to its shareholders (stated in terms of a fixed cents per share distribution rate) based on the past and projected performance of the Fund. Among other factors, the

18

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

March 31, 2013

2. Summary of Significant Accounting Policies (continued)

Fund seeks to establish a distribution rate that roughly corresponds to the Manager’s projections of the total return that could reasonably be expected to be generated by the Fund over an extended period of time. Each monthly distribution is not solely dependent on the amount of income earned or capital gains realized by the Fund, and such distributions may from time to time represent a return of capital and may require that the Fund liquidate investments. As market conditions and portfolio performance may change, the rate of distribution on the shares and the Fund’s distribution policy could change. The Fund reserves the right to change its distribution policy and the basis for establishing the rate of its monthly distributions, or may temporarily suspend or reduce distributions without a change in policy, at any time and may do so without prior notice to shareholders.

Distributions to shareholders are recorded on the ex-dividend date.

Commitments and Contingencies

Under the Fund’s organizational documents, the Manager, Wilmington Trust Company (the Fund’s Delaware trustee) and the Manager’s independent committee members are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund enters into contracts that provide general indemnifications to other parties. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, the Fund believes the risk of loss pursuant to these contracts to be remote.

Financial Instrument Risk

The Fund utilizes commodity futures and options, whose values are based upon an underlying asset and generally represent future commitments that have a reasonable possibility of being settled in cash or through physical delivery. As of March 31, 2013 and December 31, 2012, the financial instruments held by the Fund were traded on an exchange and are standardized contracts.

Market risk is the potential for changes in the value of the financial instruments traded by the Fund due to market changes, including fluctuations in commodity prices. Investing in commodity futures contracts involves the Fund entering into contractual commitments to purchase or sell a particular commodity at a specified date and price. The market risk associated with the Fund’s commitments to purchase commodities will be limited to the gross or face amount of the contracts held. The Fund’s exposure to market risk may be influenced by a number of factors, including changes in international balances of payments and trade, currency devaluations and revaluations, changes in interest and foreign currency exchange rates, price volatility of commodity futures contracts and market liquidity, weather, geopolitical events and other factors. These factors also affect the Fund’s investments in options on commodity futures contracts. The inherent uncertainty of the Fund’s investments as well as the development of drastic market occurrences could ultimately lead to a loss of all, or substantially all, of investors’ capital.

Credit risk is the possibility that a loss may occur due to failure of a counterparty performing according to the terms of the futures and option contracts. The Fund may be exposed to credit risk from its investments in commodity futures contracts and options on commodity futures contracts resulting from the clearing house associated with a particular exchange failing to meet its obligations to the Fund. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the

19

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

March 31, 2013

2. Summary of Significant Accounting Policies (continued)

nonperformance of one of their members, which should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., as in some foreign exchanges), it may be backed by a consortium of banks or other financial institutions. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to the Fund.

The Fund is subject to short exposure when it sells short a futures contract or writes a put option.Short sales are transactions in which the Fund initiates a position by selling a futures contract short. A short futures position allows the short seller to profit from declines in the price of the underlying commodity to the extent such declines exceed the transaction costs. In a short sale transaction, the Fund must deliver the underlying commodity at the contract price to a buyer of the contract who stands for delivery under the rules of the exchange that lists the contract or must offset the contract by entering into an opposite and offsetting transaction in the market. Likewise, the writer of a call option is required to deliver the underlying futures contract at the strike price or offset the option by entering into an opposite and offsetting transaction in the market. The price at such time may be higher or lower than the price at which the futures contract was sold short or the strike price of the call option when the option was written. If the underlying price of the futures contract goes down between the time that the Fund sells the contract short and offsets the contract, the Fund will realize a gain on the transaction. If the price of the underlying futures contract drops below the strike price of the call option written, the option will expire worthless and the Fund also will realize a gain to the extent of the option premium received. Conversely, if the price of the underlying short futures contract goes up during the period, the Fund will realize a loss on the transaction. If the price of the underlying futures contract is higher than the strike price of a call option written, the option will become in-the-money and the Fund may realize a loss less any premium received for writing the option. A short sale creates the risk of an unlimited loss since the price of the underlying commodity in a futures contract or the underlying futures contract in a call option written could theoretically increase without limit, thus increasing the cost of covering the short positions. In circumstances where a market has reached its maximum price limits imposed by the exchange, the short seller may be unable to offset its short position until the next trading day, when prices could increase again in rapid trading.

The commodity markets have volatility risk.The commodity markets have experienced periods of extreme volatility. General market uncertainty and consequent repricing risk have led to market imbalances of sellers and buyers, which in turn have resulted in significant reductions in values of a variety of commodities. Similar future market conditions may result in rapid and substantial valuation increases or decreases in the Fund’s holdings. In addition, volatility in the commodity and securities markets may directly and adversely affect the setting of distribution rates on the Fund’s shares.

3. Derivative Instruments and Hedging Activities

The Fund records derivative instruments at fair value, with changes in fair value recognized on the Statements of Operations.

20

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

March 31, 2013

3. Derivative Instruments and Hedging Activities (continued)

The following tables present the fair value of all derivative instruments held by the Fund, the location of these instruments on the Statements of Financial Condition and the primary underlying risk exposure.

		Three Months Ended March 31, 2013
		Location on the Statements of Financial Condition
Underlying Risk Exposure	Derivative Instrument	Asset Derivatives			Liability Derivatives
		Location	Value		Location	Value
Commodity	Futures Contracts	Unrealized appreciation on futures contracts*	$	4,910,579	Unrealized depreciation on futures contracts*	$	(2,399,932	)
Commodity	Call Options	—		—	Options written, at value		(1,991,055	)
Commodity	Put Options	—		—	Options written, at value		(2,025,061	)
Total			$	4,910,579		$	(6,416,048	)

		Year Ended December 31, 2012
		Location on the Statements of Financial Condition
Underlying Risk Exposure	Derivative Instrument	Asset Derivatives**			Liability Derivatives
		Location	Value		Location	Value
Commodity	Futures Contracts	Unrealized appreciation on futures contracts*	$	1,499,470	Unrealized depreciation on futures contracts*	$	(4,755,125	)
Commodity	Call Options	—		—	Options written, at value		(2,274,790	)
Commodity	Put Options	—		—	Options written, at value		(1,190,634	)
Total			$	1,499,470		$	(8,220,549	)

* Value represents cumulative gross unrealized appreciation (depreciation) of futures contracts as reported in the Schedule of Investments as of the end of each reporting period and not the “Deposits with brokers” as presented on the Statements of Financial Condition.

** Amounts have been reclassified to conform to the current presentation.

The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized on derivative instruments and the primary underlying risk exposure.

Commodity Risk Exposure	Three Months Ended March 31, 2013			Three Months Ended March 31, 2012***
Net realized gain (loss) from:
Futures contracts Call options written Put options written	$	(21,185,094 5,792,479 1,261,694	)	$	—   —   —
Change in net unrealized appreciation (depreciation) of:
Futures contracts Call options written Put options written	$	5,766,302 (1,356,258 (271,032	)  )	$	—   —   —

*** The Fund was organized as a statutory trust under Delaware law on May 25, 2011, and commenced operations on October 25, 2012.

4. Related Parties

The Manager, the Commodity Sub-advisor and the Collateral Sub-advisor are considered to be related parties to the Fund.

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NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

March 31, 2013

4. Related Parties (continued)

For the services and facilities provided by the Manager, the Fund pays the Manager an annual management fee, payable monthly, based on the Fund’s average daily net assets, according to the following schedule:

Average Daily Net Assets	Management Fee
For the first $500 million		1.250	%
For the next $500 million		1.225
For the next $500 million		1.200
For the next $500 million		1.175
For net assets over $2 billion		1.150

“Average daily net assets” means the total assets of the Fund, minus the sum of its total liabilities.

The Manager and the Fund have entered into sub-advisory agreements with the Commodity Sub-advisor and the Collateral Sub-advisor. Both the Commodity Sub-advisor and the Collateral Sub-advisor are compensated for their services to the Fund from the management fees paid to the Manager, and the Fund does not reimburse the Manager for those fees.

5. Share Repurchase Program

On March 14, 2013, the Fund announced the adoption of an open-market share repurchase program pursuant to which it is authorized to repurchase an aggregate of up to 10% of its outstanding common shares (approximately 1,800,000 shares) in open-market transactions. As of March 31, 2013, the Fund has not repurchased any of its common shares outstanding.

6. Financial Highlights

The following financial highlights relate to investment performance and operations for a Fund share outstanding during the three months ended March 31, 2013. As of March 31, 2012, the Fund had no operations other than those related to organizational matters and therefore there are no financial highlights presented. The Net Asset Value presentation is calculated using average daily shares outstanding. The Ratios to Average Net Assets are calculated using average daily net assets and have been annualized for periods less than a full fiscal year. The Total Returns at Net Asset Value and Market Value are based on the change in net asset value and

22

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

March 31, 2013

6. Financial Highlights (continued)

market value, respectively, for a share during the period. An investor’s return and ratios will vary based on the timing of purchasing and selling Fund shares.

	Three Months Ended March 31, 2013
Net Asset Value:
Net asset value per share—beginning of period	$	22.72
Net investment income (loss)		(.09	)
Net realized and unrealized gain (loss)		(.53	)
Distributions		(.47	)
Net asset value per share—end of period	$	21.63
Market Value:
Market value per share—beginning of period	$	21.22
Market value per share—end of period	$	20.23
Ratios to Average Net Assets:(a)
Net investment income (loss)		(1.64	)%
Expenses		1.77	%
Total Returns:(b)
Based on Net Asset Value		(2.77	)%
Based on Market Value		(2.58	)%

(a) Annualized.

(b) Total Return Based on Net Asset Value is the combination of changes in net asset value per share and the assumed reinvestment of distributions, if any, at net asset value per share on the distribution payment date. The last distribution declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the net asset value per share at the end of the period. Total returns are not annualized.

Total Return Based on Market Value is the combination of changes in the market price per share and the assumed reinvestment of distributions, if any, at the ending market price per share on the distribution payment date. The last distribution declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price per share at the end of the period. Total returns are not annualized.

7. Subsequent Events

Share Repurchase Program

Subsequent to March 31, 2013, the Fund began repurchasing its outstanding common shares. During April 2013, the Fund repurchased 9,500 common shares at a weighted average price of $18.76 per share.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

This information should be read in conjunction with the financial statements and notes to financial statements included in Item 1 of Part I of this Quarterly Report (the “Report”). The discussion and analysis includes forward-looking statements that generally relate to future events or future performance. In some cases, you can identify forward-looking statements by terminology such as “may,” “will,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential” or the negative of these terms or other comparable terminology. These forward-looking statements are based on information currently available to Nuveen Commodities Asset Management, LLC (“NCAM” or the “Manager”), Gresham Investment Management LLC and its Near Term Active division (such division referred to herein as “Gresham” or the “Commodity Sub-advisor”) and Nuveen Asset Management, LLC (“Nuveen Asset Management” or the “Collateral Sub-advisor”) and are subject to a number of risks, uncertainties and other factors, both known and unknown, that could cause the actual results, performance, prospects or opportunities of the Nuveen Long/Short Commodity Total Return Fund (the “Fund”) to differ materially from those expressed in, or implied by, these forward-looking statements.

You should not place undue reliance on any forward-looking statements. Except as expressly required by the federal securities laws or otherwise, the Fund and the Manager undertake no obligation to publicly update or revise any forward-looking statements or the risks, uncertainties or other factors described in this Report, as a result of new information, future events or changed circumstances or for any other reason after the date of this Report.

Introduction

The Fund is a commodity pool, which was organized as a Delaware statutory trust on May 25, 2011 and commenced operations on October 25, 2012, with the public offering of 18,800,000 shares. The shares of the Fund trade on the NYSE MKT under the ticker symbol “CTF”. Prior to the initial public offering, the Fund was inactive except for matters relating to its organization and registration. The Fund’s investment objective is to generate attractive total returns. The Fund is actively managed and seeks to outperform its benchmark, the Morningstar^® Long/Short Commodity Index^SM (the “Index”). In pursuing its investment objective, the Fund invests directly in a diverse portfolio of exchange-traded commodity futures contracts that are among the most actively traded futures contracts in the global commodity markets. Individual commodity futures positions may be either long or short (or flat in the case of energy futures) depending upon market conditions. The Fund also employs a commodity option writing strategy that seeks to produce option premiums for the purpose of enhancing the Fund’s risk-adjusted total return over time. The Fund is unleveraged, and the Fund’s commodity contract positions are fully collateralized with cash equivalents, U.S. government securities and other short-term, high grade debt securities.

Results of Operations

The Quarter Ended March 31, 2013 – Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $20.23 on the close of business on March 28, 2013 (the last trading day of the quarter). This represents a decrease of 4.67% in share price (not including an assumed reinvestment of distributions) from the $21.22 price at which the shares of the Fund traded on the close of business on December 31, 2012. The high and low intra-day share prices for the year were $23.93 (January 28, 2013) and $19.52 (March 11, 2013), respectively. During the quarter, the Fund declared distributions totaling $0.465 per share to shareholders, of which $0.155 was paid on April 1, 2013. The Fund’s total return on market value for the quarter, which assumes reinvestment of such distributions, was -2.58%. At March 28, 2013 (the last trading day of the quarter), shares of the Fund traded at a 6.47% discount to the Fund’s net asset value of $21.63 per share.

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The Quarter Ended March 31, 2013 – Net Assets of the Fund

The Fund’s net assets decreased from $427.1 million at December 31, 2012, to $406.7 million at March 31, 2013, a decrease of $20.4 million. The decrease in the Fund’s net assets was due to $14.1 million in net realized losses and $4.1 million in net unrealized appreciation on the Fund’s commodity portfolio during the year, a net investment loss of $1.7 million, and $8.7 million of distributions to shareholders.

For the quarter the Fund’s commodity portfolio returned -2.48%, before considering the expenses of the Fund, and underperformed the Index, which returned 2.72% for the quarter. The Fund’s total return on net asset value for the quarter, which includes the effect of the Fund’s expenses and the performance of the collateral portfolio and assumes the reinvestment of the Fund’s distribution, was -2.77%.

Overall commodities prices had a favorable start to 2013 with a rise in January, but fell sharply in February, and saw a modest recovery in March. As measured by the Dow Jones-UBS Commodity Index, a long-only, broad-based commodity benchmark, the commodity markets fell 1.2% during the first quarter of 2013. In contrast to 2012, when commodities prices moved in reaction to macroeconomic and geopolitical forces, during the quarter commodity prices responded to the supply and demand fundamentals of individual markets. In agriculture, prices were weak in reaction to large pending harvests. Energy commodities saw a volatile period, but ended up for the quarter. Livestock commodities were challenged by continuing supply issues, and metals experienced a weak quarter as well.

Agriculture commodities generally declined during the quarter. Markets continued to moderate from the severe drought conditions and record high grains prices experienced during the summer of 2012, as well as the large supplies being brought to the world market from South America’s record crops in soybeans, sugar and coffee. Moreover, on the last day of the quarter, grains sold off sharply in response to reports from the United States (“U.S.”) Department of Agriculture showing larger-than-expected U.S. inventories in March, and forecasting greater supplies of corn, soybeans and wheat for the coming U.S. crop year. Agriculture’s one bright spot was cotton, where markets were optimistic about large export sales to China, as well as a smaller U.S. crop, as growers favor corn and soybeans due to their higher prices. Energy markets had a positive quarter, with WTI Crude Oil experiencing gains, aided by the slow-but-steady pace of economic growth in the U.S., as well as Brent crude oil, which also gained on an apparent reduction in geopolitical tensions. Natural gas prices experienced a sharp rise from very low levels, as unseasonably cold weather in March spurred heating demand, reducing inventories from their sustained record levels. Livestock markets saw a steady decline during the quarter due to high grain prices which have led ranchers to bring their herds to market early, increasing available supplies, as well as the fact that in March, China placed bans on feed additives in pork imports, possibly constraining a large portion of U.S. export sales. In metals, copper was lower on growing supplies and the slow pace of global manufacturing, while gold and silver were down on reduced demand for safe investment havens as investors worldwide moved to risk assets during the quarter.

The Fund’s portfolio saw losses in three out of four commodity groups in first quarter 2013 (metals, agriculture, and energy) and a gain in livestock. The Fund lost approximately 7% on its positions in metals during the quarter, including losses of approximately 8%, 6%, and 3% in gold, silver, and copper, respectively. For agricultural commodities, a large loss in soybeans (approximately 10%), as well as losses in wheat (approximately 5%), soybean meal (approximately 1%), and corn (approximately less than 1%), outweighed gains in sugar, coffee, and cotton (approximately 7%, 5%, and 4%, respectively), leading to a loss of approximately 2% for the group overall. In energy, the portfolio experienced a loss of approximately 1% during the quarter, made up of losses in heating oil, WTI crude oil, and natural gas of approximately 5%, 5% and 4%, respectively, which were partly offset by a large gain in Reformulated Gasoline Blendstock for Oxygen Blending (“RBOB”) gasoline (more commonly known as unleaded gasoline) and a gain in Brent crude oil of approximately 8% and 2%, respectively. In livestock, the Fund experienced gains in both live cattle and lean hogs of approximately 4% and 2%, respectively, resulting in earnings of approximately 4% for the quarter.

Relative to the Index, considering both the return and the portfolio weightings of the specific commodities, the commodity portfolio underperformed in all four commodities groups, for a total underperformance of

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approximately 5%. Metals detracted approximately 2% of relative performance, with underperformance in all three commodities, with the largest detractor being gold. Agriculture detracted approximately 2% from relative performance, as the Fund underperformed in its positions in soybeans, wheat and sugar, but outperformed in cotton and corn. In soybean meal, soybean oil and coffee, the Fund performed in line with the Index. The Fund underperformed in all energy positions, detracting from relative performance by approximately 1.5%, primarily from losses in natural gas, heating oil and WTI crude oil. In livestock the Fund underperformed in both live cattle and lean hogs, detracting from relative performance by approximately 0.1%.

The Fund’s long, short or flat positioning of the contracts in its portfolio versus the Index varied by commodity and group during the quarter. Of the 19 commodities in the portfolio during the quarter, the long, short or flat positions of eight were closely in line with those of the Index. Of the 11 commodities where positions varied significantly between the Fund and the Index, 10 detracted from performance. In the metals group, the Fund moved between long and short positions on gold several times early in the quarter, but held a short position for most of the period, while the Index made only one change and spent nearly the entire period holding a short position. The Fund underperformed in gold with a return of approximately -8% versus a return of approximately 6% for the Index. In agriculture, the Fund experienced large relative underperformance in soybeans. The market showed no distinctive trend during the quarter, and the Fund moved from long to short several times, contributing to underperformance against the Index with a return of approximately -10%, while the Index held a long position for the majority of the period and experienced a return of approximately 1%. In wheat, which declined for most of the quarter, the Index moved from a long to a short position early in the quarter, while the Fund moved in mid-quarter, leading to a return of approximately -5% for the Fund’s wheat positions, versus a return of approximately 17% for the Index. Positioning contributed to the Fund’s return in cotton, a market which rose during the quarter, where the Index moved from short to long midway through the quarter, while the Fund held a long position during most of the quarter, outperforming the Index by approximately 7%.

The key driver of the Index’s long positions is the upward momentum in the prices of its constituents relative to the moving averages of commodity prices, and the key driver, conversely, of the Index’s short or flat positions is the downward momentum in the prices of other constituents relative to the moving averages of commodity prices. The Fund’s long and short/flat positions share the same drivers as the Index, but are established more actively and with greater frequency. This dependence on momentum puts the Index and the Fund at risk to price patterns that seem to demonstrate upward momentum (causing a shift from short/flat to long) but then shift to an equally compelling semblance of downward momentum (causing a shift from long to short/flat). This phenomenon is customarily described as a “whipsaw,” and the Fund’s greater potential for trading activity exposes it to greater whipsaw risk than the more passive Index. The whipsaw effect during the quarter explains a significant portion of the Fund’s underperformance relative to the Index.

The Fund also employs a strategy of writing covered options on commodities futures positions in the portfolio, with the goals of limiting the volatility of the Fund’s returns and providing cash flow for the Fund’s distributions. Gresham utilizes a strategy in which exchange-traded commodity put and/or call options are sold on up to 25% of the notional value of each of its commodity futures contracts that are deemed to have sufficient trading volume and liquidity. During the period, the Fund sold options on approximately 15% of the notional value of each commodity position. If the Fund holds a long position in a specific commodity, it will sell covered calls on those contracts; if a short position is held, it will sell covered puts on contracts in that commodity. Typically, the options sold are at or in the money, which results in the collecting of premiums. Though the majority of the Fund’s option positions expire in the money, which can limit the returns of the portfolio, they are an important tool for reducing the Fund’s volatility. From December 31, 2012, through March 31, 2013, the Fund had lower volatility than the Index, as measured by the standard deviation of returns.

The Fund has the flexibility to sell both puts and calls on a single commodity, should such commodity “flip” positions (i.e. go from a long position to a short position or vice-versa) during the life of a particular option. In such a case, the Fund can collect additional premiums. During the reporting period, the Fund was able to sell both puts and calls on several commodities, including lean hogs, gold, silver, cotton, corn, soybeans and soybean

26

meal which benefitted the Fund to a modest degree. The Fund’s option strategy generated net realized gains of $7,054,173 and change in net unrealized depreciation of $1,627,290 for the period.

During the quarter ended March 31, 2013, the Fund’s collateral investments generated interest income of $133,431, which represents 0.03% of average net assets for the quarter ended March 31, 2013.

The net asset value per share on March 31, 2013, was $21.63. This represents a decrease of 4.80% in net asset value (not including an assumed reinvestment of distributions) from the $22.72 net asset value as of December 31, 2012. The Fund declared distributions totaling $0.465 per share to shareholders during the quarter. When an assumed reinvestment of these distributions is taken into account, the total return for the Fund on net asset value was -2.77% for the quarter ended March 31, 2013.

The Fund generated a net loss of $11.7 million for the quarter ended March 31, 2013, resulting from interest income of $0.1 million, net expenses of $1.8 million, net realized losses of $14.1 million, and net unrealized appreciation of $4.1 million.

Fund Total Returns

The following table presents selected total returns for the Fund as of March 31, 2013. Total returns based on market value and net asset value are based on the change in market value and net asset value, respectively, for a share during the period presented. The total returns presented assume the reinvestment of distributions at market value on the distribution payment date for returns based on market value, and at net asset value on the distribution payment date for returns based on net asset value. The last distribution declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the market price per share at the end of the period for total returns based on market value, and at the ending net asset value per share at the end of the period for total returns based on net asset value.

	Cumulative
	1 Month			3 Month			Since Inception
Market Value		-4.83	%		-2.58	%		-16.71	%
Net Asset Value		-0.75	%		-2.77	%		-6.84	%

“Since inception” returns present performance for the period since the Fund’s commencement of operations on October 25, 2012.

Returns represent past performance, which is no guarantee of future performance.

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Commodity Weighting

The table below presents the composition of the Fund’s commodity portfolio and the Index as of March 31, 2013. The March 31, 2013 composition serves as a guide to how the composition of the Fund’s commodity portfolio compared to that of the Index.

		Fund				Index
Commodity Group	Commodity	Exposure (1)	Composition			Exposure (1)	Composition
Energy	Crude Oil -Brent	Long		10.10	%	Long		10.03	%
	Crude Oil - WTI	Long		9.90	%	Flat		9.73	%
	Heating Oil	Long		16.12	%	Long		16.13	%
	Natural Gas	Long		6.82	%	Long		6.89	%
	Unleaded Gas	Long		6.97	%	Long		6.95	%
				49.91	%			49.73	%
Agriculture	Corn	Long		7.22	%	Long		7.19	%
	Soybean	Long		8.61	%	Long		8.55	%
	Wheat	Short		3.17	%	Short		3.54	%
	Soybean Meal	Short		1.64	%	Long		1.64	%
	Soybean Oil	Short		1.83	%	Short		1.87	%
	Cotton	Long		1.27	%	Long		1.27	%
	Sugar	Short		3.29	%	Short		3.31	%
	Coffee	Short		1.83	%	Short		1.80	%
				28.86	%			29.17	%
Metals	Copper	Short		2.39	%	Short		2.42	%
	Gold	Short		10.24	%	Short		10.23	%
	Silver	Short		3.75	%	Short		3.78	%
				16.38	%			16.43	%
Livestock	Live Cattle	Short		3.27	%	Short		3.12	%
	Lean Hogs	Short		1.58	%	Short		1.55	%
				4.85	%			4.67	%
Total				100.00	%			100.00	%

(1) The Fund and the Index may take long and short positions on commodity futures contracts. The Fund and the Index will not short energy futures contracts due to prices of energy futures contracts generally being more sensitive to geopolitical events than to economic factors. References to a flat position mean that instead of shorting an energy futures contracts when market signals dictate, the Fund will not have a futures contract position for that energy commodity, and will instead move that position to cash.

Liquidity and Capital Resources

The Fund implements its strategy by taking long and/or short positions in commodity futures contracts with a portion of the Fund’s assets, writing put and call options pursuant to the long/short commodity investment program and by investing the remaining assets of the Fund as collateral in cash equivalents, U.S. government securities and other short-term, high grade debt securities. The Fund’s investment activity in futures contracts and writing commodity options does not require a significant outlay of capital. The Fund currently expects to post approximately 15% of its assets in a margin account with BCI to cover its futures contracts; the remaining assets are held by the Fund in a separate collateral pool managed by the Collateral Sub-advisor. The Fund believes the higher allocation to initial margin will provide a significant buffer to accommodate variations in the required margin posting that may result from market volatility, potential gains and losses on the contracts, and changes in margin rules, and will minimize the frequency of cash transfers from the Fund’s other collateral pool to meet variation margin requirements. The Fund does not intend to utilize leverage and its commodity contract

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positions are fully collateralized. Ordinary expenses and distributions are met by cash on hand, although distributions may at times consist of return of capital and may require that the Fund liquidate investments. The Fund earns interest on its continuing investments in cash equivalents, U.S. government securities and other short-term, high grade debt securities. The Fund also generates cash from the premiums it receives when writing options on the Fund’s futures contracts.

The Fund’s investments in commodity futures contracts and options on commodity futures contracts may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, commodity exchanges limit fluctuations in certain commodity futures contract prices during a single day by regulations referred to as “daily limits.” During a single day, no trades may be executed at prices beyond the daily limit. Once the price of a futures contract for a particular commodity has increased or decreased by an amount equal to the daily limit, positions in the futures contract can neither be taken nor liquidated unless the traders are willing to effect trades at or within the limit. Commodity futures prices have occasionally moved the daily limit for several consecutive days with little or no trading. Such market conditions could prevent the Fund from promptly liquidating its commodity futures positions.

The Fund’s shares trade on the NYSE MKT, and shares are not redeemed by the Fund in the normal course of business (although the Manager may decide to do so at its discretion), thereby alleviating the need for the Fund to have liquidity available for possible shareholder redemptions. On March 14, 2013, the Fund announced the adoption of an open-market share repurchase program pursuant to which it is authorized to repurchase an aggregate of up to 10% of its outstanding common shares. As of March 31, 2013, the Fund had not repurchased any shares through this program. During April 2013, the Fund repurchased 9,500 shares at a weighted average price of $18.76 per share.

The Fund is unaware of any other trends, demands, conditions or events that are reasonably likely to result in material changes to the Fund’s liquidity needs.

Because the Fund invests in commodity futures contracts, its capital is at risk from changes in the value of these contracts (market risk) or the potential inability of clearing brokers or counterparties to perform under the terms of the contracts (credit risk).

Market Risk

Investing in commodity futures contracts involves the Fund entering into contractual commitments to purchase or sell a particular commodity at a specified date and price. The market risk associated with the Fund’s commitments to purchase commodities will be limited to the gross or face amount of the contracts held.

The Fund’s exposure to market risk may be influenced by a number of factors, including changes in international balances of payments and trade, currency devaluations and revaluations, changes in interest and foreign currency exchange rates, price volatility of commodity futures contracts and market liquidity, weather, geopolitical events and other factors. These factors also affect the Fund’s investments in options on commodity futures contracts. The inherent uncertainty of the Fund’s investments as well as the development of drastic market occurrences could ultimately lead to a loss of all, or substantially all, of investors’ capital.

Credit Risk

The Fund may be exposed to credit risk from its investments in commodity futures contracts and options on commodity futures contracts resulting from the clearing house associated with a particular exchange failing to meet its obligations to the Fund. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance of one of their members, which should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., as in some foreign exchanges), it may be backed by a consortium of banks or other financial

29

institutions. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to the Fund.

The Fund attempts to minimize market risks, and the Commodity Sub-advisor attempts to minimize credit risks, by abiding by various investment limitations and policies, which include limiting margin accounts, investing only in liquid markets and permitting the use of stop-loss orders. The Commodity Sub-advisor implements procedures which include, but are not limited to:

• Employing the options strategy to limit directional risk (although there is no guarantee that the Fund’s options strategy will be successful);

• Executing and clearing trades only with counterparties the Commodity Sub-advisor believes are creditworthy;

• Limiting the amount of margin or premium required for any one commodity contract or all commodity contracts combined; and

• Generally limiting transactions to contracts which are traded in sufficient volume to permit the taking and liquidating of positions.

A commodity broker, when acting as the Fund’s futures commission merchant, is required by the Commodity Futures Trading Commission (the “CFTC”) regulations to separately account for and segregate all assets of the Fund relating to domestic futures investments. A commodity broker is not allowed to commingle such assets with other assets of the commodity broker. In addition, CFTC regulations require a commodity broker, when acting as the Fund’s futures commission merchant, to hold in a “secured” account assets of the Fund related to foreign futures investments and not commingle such assets with assets of the commodity broker.

As it relates to the Fund’s assets held as collateral for its investments in commodity futures contracts, there is credit risk present in the securities used to invest the Fund’s cash. While these consist of cash equivalents, U.S. government securities and other short-term, high-grade debt securities, like any investment, these too would be affected by any credit difficulties that might be experienced by their issuers.

Off-Balance Sheet Arrangements

As of March 31, 2013, the Fund has not utilized, nor does it expect to utilize in the future, special purpose entities to facilitate off-balance sheet financing arrangements and has no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Fund. While the Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on the Fund’s financial position.

Contractual Obligations

The Fund’s contractual obligations are with the Manager, the Commodity Sub-advisor, the Collateral Sub-advisor, the custodian, the transfer agent and the commodity broker. Management fee payments made to the Manager are calculated as a percentage of the Fund’s assets. The custodian fee is primarily based on the Fund’s assets and trading activity. The transfer agent fee is calculated based on the Fund’s total number of registered accounts. Commission payments to the commodity broker are on a contract-by-contract or round-turn basis. The Manager cannot anticipate the amount of payments that will be required under these arrangements for future periods, as these payments are based on figures which are not known until a future date. Additionally, these agreements may be terminated by either party for various reasons.

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Critical Accounting Policies

The Fund’s critical accounting policies are as follows:

• Preparation of the financial statements and related disclosures in conformity with accounting principles generally accepted in the United States of America requires the application of appropriate accounting rules and guidance, as well as the use of estimates. The Fund’s application of these policies involves judgments and actual results may differ from the estimates used.

• The Fund holds a significant portion of its assets in futures contracts, options contracts, and short-term, high grade debt instruments, all of which are recorded on a trade date basis and recognized at fair value in the financial statements, with changes in fair value reported on the Statements of Operations as changes in net unrealized appreciation (depreciation).

• The use of fair value to measure financial instruments, with related unrealized appreciation or depreciation recognized in earnings in each period, is fundamental to the Fund’s financial statements.

• The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.

• Generally, commodity futures contracts and options on commodity futures contracts traded on an exchange will be valued at the final settlement price or official closing price as determined by the principal exchange on which the instruments are traded as supplied by independent pricing services. Options on commodity futures contracts not traded on an exchange will be valued, in order of hierarchy, by independent pricing services, price quotations obtained from counterparty broker-dealers, or through fair valuation methodologies as determined by the Manager.

• Market quotations for exchange-traded commodity futures contracts and options on commodity futures contracts may not be readily available as a result of significant events, which can include, but are not limited to: trading halts or suspensions, market disruptions, or the absence of market makers willing to make a market in such instruments. In addition, events may occur after the close of the market, but prior to the determination of the Fund’s net asset value, which may affect the values of the Fund’s investments. In such circumstances, the Manager will determine a fair valuation for such investments that in its opinion is reflective of fair market value.

• Realized gains (losses) and changes in unrealized appreciation (depreciation) on open positions are determined on a specific identification basis and recognized in the Statements of Operations during the period in which the contract is closed or the changes occur, respectively.

• Interest income, which reflects the amortization of premiums and includes accretion of discount for financial reporting purposes, is recorded on an accrual basis.

Refer to note 2 of the Fund’s notes to financial statements in “Part 1 - Item 1. Financial Statements” of this Report for the summary of significant accounting policies of the Fund.

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Item 3. Quantitative and Qualitative Disclosures About Market Risk

Quantitative Disclosures

The Fund is exposed to commodity price risk through the futures contracts and the options on futures contracts that the Fund invests in as part of its investment strategy. These instruments have been entered into for trading purposes. The following table provides information about the Fund’s futures contracts and options on futures contracts, which are sensitive to changes in commodity prices, as of March 31, 2013.

Long Futures Contracts

Commodity Group	Contract	Contract Position		Contract Expiration		Number of Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Energy	Crude Oil
	ICE Brent Crude Oil Futures Contract		Long		May 2013		213	$	110.0200		1,000	$	23,434,260
	ICE Brent Crude Oil Futures Contract		Long		June 2013		155		109.7900		1,000		17,017,450
	NYMEX Crude Oil Futures Contract		Long		May 2013		69		97.2300		1,000		6,708,870
	NYMEX Crude Oil Futures Contract		Long		June 2013		338		97.4900		1,000		32,951,620
	Heating Oil
	ICE Gas Oil Futures Contract		Long		June 2013		406		920.5000		100		37,372,300
	NYMEX Heating Oil Futures Contract		Long		May 2013		79		3.0470		42,000		10,109,946
	NYMEX Heating Oil Futures Contract		Long		June 2013		134		3.0330		42,000		17,069,724
	Natural Gas
	NYMEX Natural Gas Futures Contract		Long		May 2013		106		4.0240		10,000		4,265,440
	NYMEX Natural Gas Futures Contract		Long		June 2013		280		4.0660		10,000		11,384,800
	NYMEX Natural Gas Futures Contract		Long		July 2013		284		4.1130		10,000		11,680,920
	Unleaded Gas
	NYMEX Gasoline RBOB Futures Contract		Long		May 2013		164		3.1106		42,000		21,425,813
	NYMEX Gasoline RBOB Futures Contract		Long		June 2013		50		3.0836		42,000		6,475,560
Agriculture	Corn
	CBOT Corn Futures Contract		Long		May 2013		290		6.9525		5,000		10,081,125
	CBOT Corn Futures Contract		Long		July 2013		558		6.7600		5,000		18,860,400
	Soybean
	CBOT Soybean Futures Contract		Long		July 2013		423		13.8550		5,000		29,303,325
	Cotton
	ICE Cotton Futures Contract		Long		May 2013		110		0.8846		50,000		4,865,300
	ICE Cotton Futures Contract		Long		July 2013		5		0.8981		50,000		224,525

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Short Futures Contracts

Commodity Group	Contract	Contract Position		Contract Expiration		Number of Contracts			Valuation Price		Contract Multiplier		Notional Amount at Value
Agriculture	Soybean
	CBOT Soybean Futures Contract		Short		May 2013		(74	)	$	14.0475		5000	$	(5,197,575	)
	Wheat
	CBOT Wheat Futures Contract		Short		May 2013		(60	)		6.8775		5000		(2,063,250	)
	CBOT Wheat Futures Contract		Short		July 2013		(308	)		6.91		5000		(10,641,400	)
	Soybean Meal
	CBOT Soybean Meal Futures Contract		Short		May 2013		(28	)		404.6		100		(1,132,880	)
	CBOT Soybean Meal Futures Contract		Short		July 2013		(136	)		400.5		100		(5,446,800	)
	Soybean Oil
	CBOT Soybean Oil Futures Contract		Short		May 2013		(55	)		0.5011		60000		(1,653,630	)
	CBOT Soybean Oil Futures Contract		Short		July 2013		(188	)		0.5035		60000		(5,679,480	)
	Sugar
	ICE Sugar Futures Contract		Short		May 2013		(221	)		0.1766		112000		(4,371,203	)
	ICE Sugar Futures Contract		Short		July 2013		(445	)		0.177		112000		(8,821,680	)
	Coffee
	ICE Coffee C Futures Contract		Short		May 2013		(128	)		1.3715		37500		(6,583,200	)
	ICE Coffee C Futures Contract		Short		July 2013		(14	)		1.3965		37500		(733,163	)
Metals	Copper
	CEC Copper Futures Contract		Short		July 2013		(112	)		3.422		25000		(9,581,600	)
	Gold
	CEC Gold Futures Contract		Short		June 2013		(257	)		1595.7		100		(41,009,490	)
	Silver
	CEC Silver Futures Contract		Short		May 2013		(106	)		28.323		5000		(15,011,190	)
Livestock	Live Cattle
	CME Live Cattle Futures Contract		Short		April 2013		(41	)		1.289		40000		(2,113,960	)
	CME Live Cattle Futures Contract		Short		June 2013		(221	)		1.24375		40000		(10,994,750	)
	Lean Hogs
	CME Lean Hogs Futures Contract		Short		April 2013		(33	)		0.806		40000		(1,063,920	)
	CME Lean Hogs Futures Contract		Short		June 2013		(144	)		0.91075		40000		(5,245,920	)

Commodity Call Options Written

Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Energy	Crude Oil
	ICE Brent Crude Oil Futures Options		May 2013		(55	)	$	105.0	$	(283,800	)
	NYMEX Crude Oil Futures Options		April 2013		(63	)		94.5		(206,010	)
	Heating Oil
	NYMEX Heating Oil Futures Options		April 2013		(77	)		3.0		(255,809	)
	Natural Gas
	NYMEX Natural Gas Futures Options		April 2013		(100	)		3,550.0		(481,000	)
	Unleaded Gas
	NYMEX Gasoline RBOB Futures Options		April 2013		(33	)		27,900.0		(452,252	)
Agriculture	Corn
	CBOT Corn Futures Options		April 2013		(127	)		675.0		(143,669	)
	Soybean
	CBOT Soybean Futures Options		April 2013		(74	)		1,440.0		(43,475	)
	Soybean Meal
	CBOT Soybean Meal Futures Options		April 2013		(25	)		410.0		(18,875	)
	Cotton
	ICE Cotton Futures Options		April 2013		(17	)		76.0		(106,165	)

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Commodity Put Options Written

Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Agriculture	Soybean
	CBOT Soybean Futures��Options		April 2013		(74	)	$	1,440.0	$	(173,900	)
	Wheat
	CBOT Wheat Futures Options		April 2013		(55	)		800.0		(309,375	)
	Soybean Meal
	CBOT Soybean Meal Futures Options		April 2013		(25	)		410.0		(32,375	)
	Soybean Oil
	CBOT Soybean Oil Futures Options		April 2013		(36	)		540.0		(85,968	)
	Sugar
	ICE Sugar Futures Options		April 2013		(98	)		21.3		(394,038	)
	Coffee
	ICE Coffee C Futures Options		April 2013		(21	)		177.5		(317,835	)
Metals	Gold
	CEC Gold Futures Options		May 2013		(39	)		1,665.0		(303,420	)
	Silver
	CEC Silver Futures Options		April 2013		(16	)		3,100.0		(217,200	)
Livestock	Live Cattle
	CME Live Cattle Futures Options		April 2013		(39	)		136.0		(110,760	)
	Lean Hogs
	CME Lean Hogs Futures Options		April 2013		(27	)		88.0		(80,190	)

CBOT	Chicago Board of Trade
CEC	Commodities Exchange Center
CME	Chicago Mercantile Exchange
ICE	Intercontinental Exchange
NYMEX	New York Mercantile Exchange

The Fund also invests the assets held as collateral for its investments in commodity futures contracts in short-term, high grade debt securities, which exposes the Fund to interest rate risk. These instruments are deemed to be entered into for non-trading purposes, with an emphasis on current income, liquidity and preservation of capital. As of March 31, 2013, the Fund held U.S. Treasury Bills worth $347,585,797 with a par value of $347,750,000.

Qualitative Disclosure

The Fund’s primary trading risk exposure is commodity price risk, which affects the futures contracts and options on futures contracts in which the Fund invests. There are numerous uncertainties, contingencies and risks associated with these investments (as discussed in Part I—Item 1A. Risk Factors in the Fund’s annual report on Form 10-K for the year ended December 31, 2012, filed with the Securities and Exchange Commission (SEC)) which include, but are not limited to, government interventions, defaults and expropriations, adverse weather conditions, commodity supply factors, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, and increased regulation. Investors may lose all or substantially all of their investment in the Fund.

The Fund invests in a diversified portfolio of commodity futures contracts to obtain broad exposure to all principal groups in the global commodity markets, thereby limiting its exposure to the commodity price risk of any one futures contract or any specific commodity group. To further help manage commodity price risk, the Fund uses its options strategy in an attempt to enhance the Fund’s risk-adjusted total returns. The impact of the options strategy on the Fund’s total returns in varying market environments is described below.

34

If the Commodity Sub-advisor determines the Fund should have long exposure to an individual commodity futures contract, it will invest long in the commodity futures contract and sell a call option on the same underlying commodity futures contract with the same strike price and expiration date. In up markets where commodity prices increase, the portion of the Fund on which call options have been sold will forego potential appreciation in the value of the underlying contracts to the extent the price of those contracts exceeds the exercise price of call options sold plus the premium collected by selling the options. In flat or sideways markets, the portion of the Fund on which call options have been sold will generate current gains from the call option premiums collected by selling the options. In down markets where commodity prices decrease, the call options sold by the Fund will expire worthless. Regardless of the price performance of the long commodity futures position, the Fund will retain the net call option premiums received by the Fund.

If the Commodity Sub-advisor determines the Fund should have short exposure to an individual commodity futures contract, it will short the commodity futures contract and sell a put option on the same underlying commodity futures contract with the same strike price and expiration date. In down markets where commodity prices decrease, the portion of the Fund on which put options have been sold will forego potential appreciation in the value of the underlying futures contracts to the extent that the price of those contracts exceeds the exercise price of put options sold plus the premium collected by selling the options. In flat or sideways markets, the portion of the Fund on which put options have been sold will generate current gains from the put option premiums collected by selling the options. In up markets where commodity prices increase, the put options sold by the Fund will expire worthless. Regardless of the price performance of the short commodity futures position, the Fund will retain the net put option premiums received by the Fund.

There can be no assurance that the Fund’s options strategy will be successful. The Fund’s risk-adjusted returns over any particular period may be positive or negative.

The Fund’s primary non-trading risk exposure is interest rate risk as it relates to its collateral investments in short-term, high-quality debt securities which is mitigated due to the short-term nature of these debt securities, as well as by ensuring that the collateral investments (other than U.S. government securities) are rated at the highest rating applicable for the type of investment as determined by at least one nationally recognized statistical rating organization or, if unrated, judged by the Collateral Sub-advisor to be of comparable quality.

Item 4. Controls and Procedures

Evaluation of Disclosure Controls and Procedures

Under the supervision and with the participation of the principal executive officer and principal financial officer of the Manager of the Fund, the Manager has evaluated the effectiveness of the Fund’s disclosure controls and procedures pursuant to Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934. Based upon that evaluation, the principal executive officer and principal financial officer concluded that the Fund’s disclosure controls and procedures were effective as of the end of the period covered by this Report.

Changes in Internal Control Over Financial Reporting

There were no changes in the Fund’s internal control over financial reporting (as defined in Rules 13a-15(f) and 15d-15(f) of the Securities Exchange Act of 1934) that occurred during the reporting period covered by this Report that have materially affected, or are reasonably likely to materially affect, the Fund’s internal control over financial reporting.

35

PART II. OTHER INFORMATION

Item 1. Legal Proceedings

None.

Item 1A. Risk Factors

There have been no changes to the Risk Factors since last reported on Part 1, Item 1A of the Fund’s annual report on Form 10-K filed with the SEC.

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds

(a) None.

(b) The Fund did not issue new shares within the three month period ended on March 31, 2013.

(c) On March 14, 2013, the Fund adopted an open-market share repurchase program allowing the fund to repurchase an aggregate of up to 10% of its outstanding common shares (approximately 1,800,000 shares) in open-market transactions at the Manager’s discretion. As of March 31, 2013, no shares had been repurchased through the repurchase program and no shares have been repurchased outside of the program described. During April 2013, the Fund repurchased 9,500 common shares at a weighted average price of $18.76 per share.

Item 3. Defaults Upon Senior Securities

None.

Item 4. Mine Safety Disclosures

Not applicable.

Item 5. Other Information

None.

Item 6. Exhibits

4.1	Amended and Restated Trust Agreement of the Fund. (1)
31.1	Certification of Principal Executive Officer Pursuant to Rule 13a-14(a) or Rule 15d-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
31.2	Certification of Principal Financial Officer Pursuant to Rule 13a-14(a) or Rule 15d-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
32.1	Certification of Principal Executive Officer Pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
32.2	Certification of Principal Financial Officer Pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
101.INS	XBRL Instance Document.
101.SCH	XBRL Taxonomy Extension Schema Document.
101.CAL	XBRL Taxonomy Extension Calculation Linkbase Document.
101.LAB	XBRL Taxonomy Extension Label Linkbase Document.

36

101.PRE	XBRL Taxonomy Extension Presentation Linkbase Document.
101.DEF	XBRL Taxonomy Extension Definition Linkbase Document.

(1) Filed on September 20, 2012 with Amendment No. 6 to Registrant’s Registration Statement on Form S-1 (File No. 333-174764) and incorporated by reference herein.

37

SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized, in the City of Chicago, State of Illinois, on May 10, 2013.

Nuveen Long/Short Commodity Total Return Fund
By:	Nuveen Commodities Asset Management, LLC, its Manager
By:	/s/ William Adams IV
	President (Principal Executive Officer)

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

Nuveen Commodities Asset Management, LLC

Manager of Registrant

/s/ William Adams IV

President

(Principal Executive Officer)

May 10, 2013

/s/ Stephen D. Foy

Chief Financial Officer

(Principal Financial and Accounting Officer)

May 10, 2013

38