Nuveen Long/short Commodity Total Return Fund (CTF) 10-Q 2015 Q3 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 September 30, 2015

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	x
Non-accelerated filer	¨	(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 November 3, 2015, the registrant had 16,345,840 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:		3
	Schedule of Investments at September 30, 2015 (Unaudited)		3
	Statements of Financial Condition at September 30, 2015 (Unaudited) and December 31, 2014		8
	Statements of Operations (Unaudited) for the three months ended September 30, 2015 and September  30, 2014 and for the nine months ended September 30, 2015 and September 30, 2014		9
	Statements of Changes in Shareholders’ Capital for the nine months ended September 30, 2015 (Unaudited) and the year ended December 31, 2014		10
	Statements of Cash Flows (Unaudited) for the nine months ended September 30, 2015 and September 30, 2014		11
	Notes to Financial Statements (Unaudited)		12
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations		25
Item 3.	Quantitative and Qualitative Disclosures About Market Risk		40
Item 4.	Controls and Procedures		43
PART II. OTHER INFORMATION
Item 1.	Legal Proceedings		44
Item 1A.	Risk Factors		44
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds		44
Item 3.	Defaults Upon Senior Securities		44
Item 4.	Mine Safety Disclosures		44
Item 5.	Other Information		44
Item 6.	Exhibits		45
Signatures			46

2

PART I. FINANCIAL INFORMATION

Item 1. Financial Statements

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

SCHEDULE OF INVESTMENTS (Unaudited)

September 30, 2015

Investments

Principal Amount (000)	Description	Coupon			Maturity		Ratings(1)		Value
	Short-Term Investments
	U.S. Government and Agency Obligations
$    10,000	U.S. Treasury Bills		0.000	%		10/15/15		Aaa	$	10,000,200
8,000	U.S. Treasury Bills		0.000	%		11/12/15		Aaa		8,000,120
10,000	U.S. Treasury Bills		0.000	%		12/10/15		Aaa		10,000,700
13,000	U.S. Treasury Bills		0.000	%		1/07/16		Aaa		12,999,779
17,000	U.S. Treasury Bills		0.000	%		2/04/16		Aaa		16,998,878
12,000	U.S. Treasury Bills		0.000	%		3/03/16		Aaa		11,998,656
30,000	U.S. Treasury Bills		0.000	%		3/31/16		Aaa		29,988,630
35,000	U.S. Treasury Bills		0.000	%		4/28/16		Aaa		34,986,490
45,000	U.S. Treasury Bills		0.000	%		5/26/16		Aaa		44,976,195
10,000	U.S. Treasury Bills		0.000	%		7/21/16		Aaa		9,980,810
42,000	U.S. Treasury Bills		0.000	%		9/15/16		Aaa		41,875,470
$232,000	Total U.S. Government And Agency Obligations (cost $231,650,254)								$	231,805,928
	Repurchase Agreements
$3,662	Repurchase Agreement with State Street Bank, dated 9/30/15, repurchase price $3,661,731, collateralized by $3,410,000 U.S. Treasury Notes, 3.125%, due 5/15/21, value $3,735,549		0.000	%		10/01/15		N/A	$	3,661,731
	Total Repurchase Agreements (cost $3,661,731)									3,661,731
	Total Short-Term Investments (cost $235,311,985)								$	235,467,659

3

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

September 30, 2015

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)(4)
Agriculture	Soybean
	CBOT Soybean Futures Contract		Short		November 2015		(164	)	$	(7,314,400	)	$	(145,550	)
	CBOT Soybean Futures Contract		Short		January 2016		(256	)		(11,443,200	)		(194,825	)
	Total Soybean												(340,375	)
	Corn
	CBOT Corn Futures Contract		Short		December 2015		(674	)		(13,067,175	)		(109,525	)
	Sugar
	ICE Sugar Futures Contract		Short		March 2016		(923	)		(13,314,829	)		(771,375	)
	Coffee
	ICE Coffee C Futures Contract		Short		December 2015		(203	)		(9,237,769	)		(312,112	)
	Wheat
	CBOT Wheat Futures Contract		Short		December 2015		(255	)		(6,537,562	)		(204,000	)
	Soybean Meal
	CBOT Soybean Meal Futures Contract		Short		December 2015		(120	)		(3,708,000	)		(9,600	)
	CBOT Soybean Meal Futures Contract		Short		January 2016		(64	)		(1,972,480	)		(8,320	)
	Total Soybean Meal												(17,920	)
	Soybean Oil
	CBOT Soybean Oil Futures Contract		Short		December 2015		(314	)		(5,150,856	)		(118,692	)
	Cotton
	ICE Cotton Futures Contract		Short		December 2015		(97	)		(2,931,340	)		16,975
	Cocoa
	ICE Cocoa Futures Contract		Long		December 2015		91			2,833,740			(179,270	)
	Total Agriculture												(2,036,294	)
Metals	Gold
	CEC Gold Futures Contract		Short		December 2015		(234	)		(26,095,680	)		411,840
	Silver
	CEC Silver Futures Contract		Short		December 2015		(104	)		(7,549,360	)		365,560
	Copper
	CEC Copper Futures Contract		Short		December 2015		(125	)		(7,315,625	)		148,438
	Total Metals												925,838

4

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

September 30, 2015

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)(4)
Livestock	Live Cattle
	CME Live Cattle Futures Contract		Short		October 2015		(26	)	$	(1,296,620	)	$	128,180
	CME Live Cattle Futures Contract		Short		December 2015		(189	)		(9,897,930	)		657,930
	Total Live Cattle												786,110
	Lean Hogs
	CME Lean Hogs Futures Contract		Short		October 2015		(156	)		(4,587,960	)		(118,560	)
	CME Lean Hogs Futures Contract		Short		December 2015		(87	)		(2,322,030	)		(33,381	)
	Total Lean Hogs												(151,941	)
	Total Livestock												634,169
	Total Futures Contracts outstanding											$	(476,287	)

Call Options Written outstanding:

Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Agriculture	Soybean
	CBOT Soybean Futures Options		November 2015		(61	)	$	980.00	$	(2,669	)
	Soybean Meal
	CBOT Soybean Meal Futures Options		December 2015		(27	)		320.00		(16,470	)
	Soybean Oil
	CBOT Soybean Oil Futures Options		December 2015		(47	)		33.50		(1,128	)
	Cotton
	ICE Cotton Futures Options		December 2015		(15	)		63.00		(6,000	)
	Cocoa
	ICE Cocoa Futures Options		December 2015		(14	)		3,000.00		(21,840	)
	Total Agriculture									(48,107	)
	Total Call Options Written outstanding (premiums received $75,022)				(164	)			$	(48,107	)

5

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

September 30, 2015

Investments in Derivatives (Continued)

Put Options Written outstanding:

Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Agriculture	Soybean
	CBOT Soybean Futures Options		November 2015		(61	)	$	980.00	$	(271,069	)
	Corn
	CBOT Corn Futures Options		December 2015		(103	)		400.00		(111,368	)
	Sugar
	ICE Sugar Futures Options		March 2016		(141	)		15.50		(451,651	)
	Coffee
	ICE Coffee C Futures Options		December 2015		(30	)		170.00		(549,675	)
	Wheat
	CBOT Wheat Futures Options		December 2015		(37	)		540.00		(69,144	)
	Soybean Meal
	CBOT Soybean Meal Futures Options		December 2015		(27	)		320.00		(46,170	)
	Soybean Oil
	CBOT Soybean Oil Futures Options		December 2015		(47	)		33.50		(174,699	)
	Cotton
	ICE Cotton Futures Options		December 2015		(15	)		63.00		(25,200	)
	Total Agriculture									(1,698,976	)
Metals	Gold
	CEC Gold Futures Options		December 2015		(34	)		1,200.00		(309,400	)
	Silver
	CEC Silver Futures Options		December 2015		(16	)		16.50		(168,000	)
	Total Metals									(477,400	)
Livestock	Live Cattle
	CME Live Cattle Futures Options		October 2015		(26	)		152.00		(291,720	)
	CME Live Cattle Futures Options		December 2015		(6	)		153.00		(53,580	)
	Total Live Cattle									(345,300	)
	Lean Hogs
	CME Lean Hogs Futures Options		October 2015		(36	)		84.00		(150,840	)
	Total Livestock									(496,140	)
	Total Put Options Written outstanding (premiums received $2,779,745)				(579	)			$	(2,672,516	)
	Total Options Written outstanding (premiums received $2,854,767)				(743	)			$	(2,720,623	)

6

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

September 30, 2015

Investments in Derivatives (Continued)

Put Options Written outstanding (Continued):

(1)	Ratings: Using the highest of Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. rating.
(2)	The aggregate number of long and short futures contracts outstanding is 91 and (3,991), respectively.
(3)	The aggregate notional amount at value for long and short futures contracts outstanding is $2,833,740 and $(133,742,816), respectively.
(4)	The gross unrealized appreciation (depreciation) on futures contracts outstanding is $1,728,923 and $(2,205,210), respectively.
N/A	Not applicable
CBOT	Chicago Board of Trade
CEC	Commodities Exchange Center
CME	Chicago Mercantile Exchange
ICE	Intercontinental Exchange

See accompanying notes to financial statements.

7

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

STATEMENTS OF FINANCIAL CONDITION

At September 30, 2015 (Unaudited) and December 31, 2014

	September 30, 2015			December 31, 2014
ASSETS
Short-term investments, at value (cost $235,311,985 and $249,880,682, respectively)	$	235,467,659		$	249,875,345
Deposits with brokers		43,395,229			44,088,266
Unrealized appreciation on futures contracts		1,728,923			3,601,270
Other assets		3,780			—
Total assets	$	280,595,591		$	297,564,881
LIABILITIES
Options written, at value (premiums received $2,854,767 and $2,636,904, respectively)		2,720,623			2,561,321
Unrealized depreciation on futures contracts		2,205,210			904,856
Payable for distributions		1,634,584			—
Accrued expenses:
Conversion fees		487,311			—
Management fees		283,314			312,862
Independent Committee fees		29,328			28,397
Professional fees		254,071			292,335
Other		171,766			288,375
Total liabilities		7,786,207			4,388,146
SHAREHOLDERS’ CAPITAL
Paid-in capital, unlimited number of shares authorized, 16,345,840 shares issued and outstanding at September 30, 2015 and December 31, 2014		409,376,284			409,376,279
Accumulated undistributed earnings (deficit)		(136,566,900	)		(116,199,544	)
Total shareholders’ capital (Net assets)		272,809,384			293,176,735
Total liabilities and shareholders’ capital	$	280,595,591		$	297,564,881
Net assets	$	272,809,384		$	293,176,735
Shares outstanding		16,345,840			16,345,840
Net asset value per share outstanding (net assets divided by shares outstanding)	$	16.69		$	17.94
Market value per share outstanding	$	16.00		$	16.60

See accompanying notes to financial statements.

8

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

STATEMENTS OF OPERATIONS (Unaudited)

For the Three Months ended September 30, 2015 and September 30, 2014

For the Nine Months ended September 30, 2015 and September 30, 2014

	Three Months Ended September 30,						Nine Months Ended September 30,
	2015			2014			2015			2014
Investment Income:
Interest	$	119,171		$	64,461		$	291,280		$	215,662
Total Investment Income		119,171			64,461			291,280			215,662
Expenses:
Management fees		873,582			1,021,872			2,662,183			3,182,890
Brokerage commissions		60,562			72,857			197,656			355,999
Conversion expenses		516,171			—			746,204			—
Custodian fees and expenses		22,553			38,800			80,709			107,975
Independent Committee fees and expenses		30,019			31,291			92,176			86,698
Professional fees		118,506			117,096			329,482			355,455
Shareholder reporting expenses		36,023			32,364			90,181			105,322
Licensing fees		70,889			81,649			219,646			254,412
Other expenses		11,078			4,565			25,073			17,637
Total expenses		1,739,383			1,400,494			4,443,310			4,466,388
Net investment income (loss)		(1,620,212	)		(1,336,033	)		(4,152,030	)		(4,250,726	)
Net realized gain (loss) from:
Short-term investments		—			103			177			132
Futures contracts		145,471			(17,997,985	)		(6,237,273	)		(38,011,111	)
Options written		2,018,639			4,035,253			9,812,475			19,945,682
Change in net unrealized appreciation (depreciation) of:
Short-term investments		71,633			21,261			161,011			28,542
Futures contracts		(1,347,940	)		16,412,637			(3,172,701	)		11,430,225
Options written		199,285			(1,400,587	)		58,561			(811,171	)
Net realized gain (loss) and change in net unrealized appreciation (depreciation)		1,087,088			1,070,682			622,250			(7,417,701	)
Net income (loss)	$	(533,124	)	$	(265,351	)	$	(3,529,780	)	$	(11,668,427	)
Net income (loss) per weighted-average share	$	(0.03	)	$	(0.02	)	$	(0.22	)	$	(0.66	)
Weighted-average shares outstanding		16,345,840			17,501,025			16,345,840			17,663,321

See accompanying notes to financial statements.

9

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

STATEMENTS OF CHANGES IN SHAREHOLDERS’ CAPITAL

For the Nine Months Ended September 30, 2015 (Unaudited) and the Year Ended December 31, 2014

	Nine Months Ended September 30, 2015			Year Ended December 31, 2014
Shareholders’ capital-beginning of period	$	293,176,735		$	364,380,747
Repurchase of shares		—			(21,026,758	)
Net increase (decrease) in shareholders’ capital resulting from operations:
Net investment income (loss)		(4,152,030	)		(5,465,243	)
Net realized gain (loss) from:
Short-term investments		177			579
Futures contracts		(6,237,273	)		(35,085,916	)
Options written		9,812,475			21,702,917
Change in net unrealized appreciation (depreciation) of:
Short-term investments		161,011			(46,410	)
Futures contracts		(3,172,701	)		(2,198,050	)
Options written		58,561			472,931
Net income (loss)		(3,529,780	)		(20,619,192	)
Distributions to shareholders		(16,837,571	)		(29,558,062	)
Shareholders’ capital—end of period	$	272,809,384		$	293,176,735
Shares—beginning of period		16,345,840			17,755,840
Repurchase of shares		—			(1,410,000	)
Shares—end of period		16,345,840			16,345,840

See accompanying notes to financial statements.

10

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

STATEMENTS OF CASH FLOWS (Unaudited)

For the Nine Months Ended September 30, 2015 and September 30, 2014

	Nine Months Ended September 30,
	2015			2014
Cash flows from operating activities:
Net income (loss)	$	(3,529,780	)		(11,668,427	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of U.S. government and agency obligations		(203,485,263	)		(273,004,043	)
Proceeds from sales and maturities of U.S. government and agency obligations		220,999,978			316,249,960
Proceeds from (purchases of) repurchase agreements, net		(2,654,562	)		(2,078,328	)
Premiums received for options written		15,033,624			20,924,794
Cash paid for options written		(5,003,287	)		(1,916,371	)
Amortization (accretion) of short-term investments		(291,278	)		(215,663	)
(Increase) decrease in:
Deposits with brokers		693,037			12,332,278
Other assets		(3,780	)		(3,779	)
Increase (decrease) in:
Accrued conversion fees		487,311			—
Accrued management fees		(29,548	)		(62,740	)
Accrued Independent Committee fees		931			(965	)
Accrued professional fees		(38,264	)		—
Accrued other expenses		(116,609	)		(3,256	)
Net realized (gain) loss from:
Short-term investments		(177	)		(132	)
Options written		(9,812,475	)		(19,945,682	)
Change in net unrealized (appreciation) depreciation of:
Short-term investments		(161,011	)		(28,542	)
Futures contracts		3,172,701			(11,430,225	)
Options written		(58,561	)		811,171
Net cash provided by (used in) operating activities		15,202,987			29,960,050
Cash flows from financing activities:
Cash paid for shares repurchased		—			(9,428,893	)
Cash distributions paid to shareholders		(15,202,987	)		(20,531,157	)
Net cash provided by (used in) financing activities		(15,202,987	)		(29,960,050	)
Net increase (decrease) in cash		—			—
Cash—beginning of period		—			—
Cash—end of period	$	—		$	—

See accompanying notes to financial statements.

11

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Unaudited)

September 30, 2015

1. Organization

Fund Information

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.

Proposed Conversion to ETF Structure

On December 19, 2014, the Fund issued a press release announcing that the Manager had approved a plan to convert the Fund (the “Conversion”) into an open-ended exchange-traded fund (“ETF”). On May 15, 2015, shareholders of the Fund approved amendments to the Fund’s Declaration of Trust that are necessary to complete the Conversion. To facilitate the Conversion, on July 9, 2015, the Fund filed a registration statement with the Securities and Exchange Commission (the “SEC) to register common shares that may be issued from time to time after the Conversion. The Conversion remains subject to the receipt of certain regulatory approvals. The Fund is not currently, and after the Conversion will not be, a mutual fund or any other type of investment company within the meaning of 1940 Act. Until the Conversion occurs, the Fund will continue to operate as currently structured.

In connection with the Conversion, the Manager intends to implement a number of additional changes to the Fund that the Manager believes will better align a number of the Fund’s features with its newly-adopted ETF structure, including a reduction of the management fee, adoption of an expense cap, and changes to the Fund’s investment strategy, name, distribution policy and the exchange on which the Fund’s shares trade. None of these expected changes have been finalized, and they remain subject to further revision by the Manager. In addition, following the Conversion, the Manager will continue to have the ability, without shareholder approval, to make subsequent changes to the operation of the Fund.

Investment Adviser

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-adviser”), 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 adviser and commodity pool operator, is a member of the NFA and is registered with the Securities and Exchange Commission as an investment adviser.

The Manager has selected its affiliate, Nuveen Asset Management, LLC (“Nuveen Asset Management” or the “Collateral Sub-adviser”), 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.

12

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2015

1. Organization (Continued)

Investment Objectives and Principal Investment Strategies

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, short, or flat, depending upon market conditions. The Fund’s Commodity Sub-adviser 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-adviser’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

• 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 Fund follows accounting and reporting guidance under Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) Topic 946 “Financial Services-Investment Companies.” 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 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, 2014.

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.

13

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2015

2. Summary of Significant Accounting Policies (Continued)

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 Fund has unrealized appreciation the clearing broker would credit the Fund’s account with an amount equal to appreciation and conversely if the Fund has unrealized depreciation the clearing broker would debit the Fund’s 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 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 nine months ended September 30, 2015 and the year ended December 31, 2014 was as follows:

	Nine Months Ended September 30, 2015		Year Ended December 31, 2014
Average number of long and short futures contracts outstanding*		3,738		4,894

* The average number of contracts is calculated based on the absolute aggregate number of contracts outstanding at the beginning of the year and at the end of each quarter within the current period.

Refer to Note 3—Derivative Instruments and Hedging Activities within these Notes to Financial Statements for further details on futures contracts 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

14

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2015

2. Summary of Significant Accounting Policies (Continued)

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 nine months ended September 30, 2015 and year ended December 31, 2014, the Fund wrote call and put options on futures contracts.

The Fund did not purchase options on futures contracts during the nine months ended September 30, 2015 and the year ended December 31, 2014. The purchase of 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 during the nine months ended September 30, 2015 and the year December 31, 2014, were as follows:

	Nine Months Ended September 30, 2015						Year Ended December 31, 2014
	Number of Contracts			Premiums Received			Number of Contracts			Premiums Received
Outstanding, beginning of period		597		$	2,636,904			1,029		$	4,635,134
Options written		4,114			15,033,624			6,301			24,701,944
Options terminated in closing purchase transactions		(1,517	)		(5,612,528	)		(1,276	)		(5,507,366	)
Options expired		(566	)		(1,178,601	)		(1,523	)		(3,741,042	)
Options exercised		(1,885	)		(8,024,632	)		(3,934	)		(17,451,766	)
Outstanding, end of the period		743		$	2,854,767			597		$	2,636,904

The average number of both call and put options written outstanding during the nine months ended September 30, 2015 and the year ended December 31, 2014, was as follows:

	Nine Months Ended September 30, 2015		Year Ended December 31, 2014
Average number of options written outstanding*		704		891

* The average number of contracts is calculated based on the outstanding number of contracts at the beginning of the year and at the end of each quarter within the current period.

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

15

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2015

2. Summary of Significant Accounting Policies (Continued)

Netting Agreements

In the ordinary course of business, the Fund has entered into transactions subject to enforceable master repurchase agreements or other similar arrangements (“netting agreements”). Generally, the right to offset in netting agreements allows the Fund to offset any exposure to a specific counterparty with any collateral received or delivered to that counterparty based on the terms of the agreements. The Fund manages its cash collateral and securities collateral on a counterparty basis. As of September 30, 2015 and December 31, 2014, the Fund was not invested in any portfolio securities or derivatives, other than the repurchase agreements further described below, that are subject to netting agreements.

Repurchase Agreements

In connection with transactions in repurchase agreements, it is the Fund’s policy that its custodian take possession of the underlying collateral securities, the fair value of which exceeds the principal amount of the repurchase transaction, including accrued interest, at all times. If the counterparty defaults, and the fair value of the collateral declines, realization of the collateral may be delayed or limited.

The following tables present the repurchase agreements for the Fund, presented on the Statements of Financial Condition as of September 30, 2015 and December 31, 2014, and recognized as a component of “Short-term investments, at value,” that are subject to netting agreements as of the end of the reporting period, and the collateral delivered related to those repurchase agreements.

	September 30, 2015
	Counterparty		Short-Term Investments, at Value		Collateral Pledged (From) Counterparty*			Net Exposure
Repurchase Agreements		State Street Bank	$	3,661,731	$	(3,661,731	)	$	—

	December 31, 2014
	Counterparty		Short-Term Investments, at Value		Collateral Pledged (From) Counterparty*			Net Exposure
Repurchase Agreements		State Street Bank	$	1,007,169	$	(1,007,169	)	$	—

* As of September 30, 2015 and December 31, 2014, the value of the collateral pledged from the counterparty exceeded the value of the repurchase agreements. The value of the collateral pledged from the counterparty as of September 30, 2015 and December 31, 2014 was $3,735,549 and $1,029,007, respectively.

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-adviser. 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

16

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2015

2. Summary of Significant Accounting Policies (Continued)

the time of investment. The collateral portfolio’s debt securities (other than U.S. government securities) are rated at the highest applicable rating as determined by at least one nationally recognized statistical rating organization, or if unrated, judged by the Collateral Sub-adviser to be of comparable quality.

Investment Valuation

Commodity futures contracts and options on commodity futures contracts traded on an exchange are 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. Over-the-counter commodity futures contracts and options on commodity futures contracts not traded on an exchange are 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 determines 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 agency discount notes 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, 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.

Repurchase agreements are valued at contract amount plus accrued interest, which approximates market value. These securities are generally classified as Level 2.

Fair Value Measurements

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

17

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2015

2. Summary of Significant Accounting Policies (Continued)

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

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 September 30, 2015 and December 31, 2014:

	September 30, 2015
	Level 1			Level 2		Level 3		Total
Short-Term Investments:
U.S. Government and Agency Obligations	$	—		$	231,805,928	$	—	$	231,805,928
Repurchase Agreements		—			3,661,731		—		3,661,731
Investments in Derivatives:
Futures Contracts*		(476,287	)		—		—		(476,287	)
Options Written		(2,720,623	)		—		—		(2,720,623	)
Total	$	(3,196,910	)	$	235,467,659	$	—	$	232,270,749

	December 31, 2014
	Level 1			Level 2		Level 3		Total
Short-Term Investments:
U.S. Government and Agency Obligations	$	—		$	248,868,176	$	—	$	248,868,176
Repurchase Agreements		—			1,007,169		—		1,007,169
Investments in Derivatives:
Futures Contracts*		2,696,414			—		—		2,696,414
Options Written		(2,561,321	)		—		—		(2,561,321	)
Total	$	135,093		$	249,875,345	$	—	$	250,010,438

* Represents the net unrealized appreciation (depreciation) on futures contracts as reported on the Statements of Financial Condition.

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.

18

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2015

2. Summary of Significant Accounting Policies (Continued)

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.

Investment Income

Interest income, which reflects the amortization of premiums and includes accretion of discounts 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.

In connection with the Conversion described previously, the Fund incurred certain costs and expenses. Such amounts are recognized as a component of “Accrued other expenses” on the Statements of Financial Condition and “Conversion expenses” on the Statements of Operations.

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.

19

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2015

2. Summary of Significant Accounting Policies (Continued)

Distributions

The Fund intends to make regular monthly distributions to its shareholders stated in terms of a fixed cents per share distribution rate. Among other factors, the Manager seeks to establish a distribution rate that roughly corresponds to its projections of the total return that could reasonably be expected to be generated by the Fund over an extended period of time. In the event that the amount of income earned or capital gains realized by the Fund is not sufficient to cover the Fund’s distributions, the Fund may be required to liquidate investments to fund distributions at times or on terms that are disadvantageous to the Fund and its shareholders. As market conditions and portfolio performance may change, the rate of distribution on the shares and the Fund’s distribution policy could change. The Manager reserves the right to change the Fund’s distribution policy and the basis for establishing the rate of the Fund’s 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.

During the nine months ended September 30, 2015, the Fund’s monthly per share distribution rate decreased from $0.135 to $0.119 effective with the distribution payable March 2, 2015 and from $0.119 to $0.100 effective with the distribution payable August 3, 2015.

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 has not had prior claims or losses pursuant to these contracts and believes the risk of loss 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 September 30, 2015 and December 31, 2014, 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

20

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2015

2. Summary of Significant Accounting Policies (Continued)

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 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.

21

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2015

3. Derivative Instruments and Hedging Activities (Continued)

The following tables present the fair value of all derivative instruments held by the Fund as of September 30, 2015 and December 31, 2014, the location of these instruments on the Statements of Financial Condition and the primary underlying risk exposure.

		September 30, 2015
		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	$	1,728,923	Unrealized depreciation on futures contracts	$	2,205,210
Commodity	Call Options	—		—	Options written, at value		48,107
Commodity	Put Options	—		—	Options written, at value		2,672,516
Total			$	1,728,923		$	4,925,833

		December 31, 2014
		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	$	3,601,270	Unrealized depreciation on futures contracts	$	904,856
Commodity	Call Options	—		—	Options written, at value		273,834
Commodity	Put Options	—		—	Options written, at value		2,287,487
Total			$	3,601,270		$	3,466,177

The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized on derivative instruments during the nine months ended September 30, 2015 and September 30, 2014, the location of these instruments on the Statements of Operations and the primary underlying risk exposure.

Commodity Risk Exposure	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
Net realized gain (loss) from:
Futures contracts	$	(6,237,273	)	$	(38,011,111	)
Options written (call options)		1,472,295			14,449,638
Options written (put options)		8,340,180			5,496,044
Change in net unrealized appreciation (depreciation) of:
Futures contracts	$	(3,172,701	)	$	11,430,225
Options written (call options)		(102,641	)		441,934
Options written (put options)		161,202			(1,253,105	)

22

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2015

4. Related Parties

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

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” represents 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-adviser and the Collateral Sub-adviser. Both the Commodity Sub-adviser and the Collateral Sub-adviser 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 adopted an open-market share repurchase program, pursuant to which it was authorized to repurchase up to 10% of its outstanding common shares (approximately 1,800,000 shares) inopen-market transactions at the Manager’s discretion.

On March 6, 2014, the Fund reauthorized its share repurchase program, pursuant to which it may repurchase up to 10% of its outstanding common shares as of the reauthorization date (approximately 1,775,000 shares) in open-market transactions at the Manager’s discretion.

Transactions in share repurchases during the nine months ended September 30, 2015 and the year ended December 31, 2014 were as follows:

	Nine Months Ended September 30, 2015		Year Ended December 31, 2014
Shares repurchased		—		1,410,000
Weighted average price per share repurchased		—	$	14.89
Weighted average discount per share repurchased		—		19.02	%

23

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2015

6. Financial Highlights

The following financial highlights relate to investment performance and operations for a Fund share outstanding during the three and nine months ended September 30, 2015 and September 30, 2014. 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 are annualized for periods less than a full year. The Total Returns at Net Asset Value and Market Value are based on the change in net asset value and 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 September 30,						Nine Months Ended September 30,
	2015			2014			2015			2014
Net Asset Value:
Net asset value per share—beginning of period	$	17.02		$	19.00		$	17.94		$	20.52
Net investment income (loss)		(0.10	)		(0.08	)		(0.25	)		(0.24	)
Net realized and unrealized gain (loss)		0.07			0.08			0.03			(0.40	)
Distributions		(0.30	)		(0.40	)		(1.03	)		(1.30	)
Discount from shares repurchased		—			0.10			—			0.12
Net asset value per share—end of period	$	16.69		$	18.70		$	16.69		$	18.70
Market Value:
Market value per share—beginning of period	$	16.43		$	16.16		$	16.60		$	17.22
Market value per share—end of period	$	16.00		$	14.76		$	16.00		$	14.76
Ratios to Average Net Assets(a):
Net investment income (loss)		(2.32	)%		(1.63	)%		(1.95	)%		(1.67	)%
Expenses		2.49	%		1.71	%		2.09	%		1.75	%
Total Returns:(b)
Based on Net Asset Value		(0.19	)%		0.60	%		(1.29	)%		(2.51	)%
Based on Market Value		(0.80	)%		(6.18	)%		2.60	%		(7.12	)%

(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.

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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-adviser”) and Nuveen Asset Management, LLC (“Nuveen Asset Management” or the “Collateral Sub-adviser”) 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 its public offering. The Fund’s shares trade on the NYSE MKT under the ticker symbol “CTF”. 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”). The Index tracks the historical total return performance of a diverse portfolio of commodity futures, which may be invested long, short or flat. The Index uses a momentum rule to determine if each commodity futures position is long, short or flat. In pursuing its investment objective, the Fund invests 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, and also invests in commodity options contracts (the futures and options are sometimes referred to as the “commodity portfolio”). Individual commodity futures positions may be either long or short (or flat in the case of energy futures) depending upon market conditions. The Fund’s options strategy 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, and short-term, high-grade debt securities.

Proposed Conversion to ETF Structure

On December 19, 2014, the Fund issued a press release announcing that the Manager had approved a plan to convert the Fund (the “Conversion”) into an open-ended exchange-traded fund (“ETF”). On June 15, 2015, shareholders of the Fund approved amendments to the Fund’s Declaration of Trust that are necessary to complete the Conversion. To facilitate the Conversion, on July 9, 2015, the Fund filed a registration statement with the Securities and Exchange Commission (the “SEC”) to register common shares that may be issued from time to time after the Conversion. The Conversion remains subject to the receipt of certain regulatory approvals. The Fund is not currently, and after the Conversion will not be, a mutual fund or any other type of investment company within the meaning of 1940 Act. Until the Conversion occurs, the Fund will continue to operate as currently structured.

In connection with the Conversion, the Manager intends to implement a number of additional changes to the Fund that the Manager believes will better align a number of the Fund’s features with its newly-adopted ETF structure, including a reduction of the management fee, adoption of an expense cap, and changes to the Fund’s investment strategy, name, distribution policy, and the exchange on which the Fund’s shares trade. None of these expected changes have been finalized, and they remain subject to further revision by the Manager. In addition, following the Conversion, the Manager will continue to have the ability, without shareholder approval, to make subsequent changes to the operation of the Fund.

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Results of Operations

The Quarter Ended September 30, 2015 – Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $16.00 on the close of business on September 30, 2015, a decrease of 2.62% in share price (not including an assumed reinvestment of distributions) from the $16.43 price at which the shares of the Fund traded on the close of business on June 30, 2015. The high and low intra-day share prices for the quarter were $16.70 (August 25, 2015) and $15.70 (September 28, 2015), respectively. During the quarter, the Fund declared distributions totaling $0.300 per share to shareholders, of which $0.100 was paid on October 1, 2015. The remainder was paid during the quarter. The Fund’s cumulative total return on market value for the quarter, which assumes reinvestment of such distributions, was -0.80%. At September 30, 2015, shares of the Fund traded at a 4.13% discount to the Fund’s net asset value of $16.69 per share.

The Quarter Ended September 30, 2014 – Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $14.76 on the close of business on September 30, 2014, a decrease of 8.66% in share price (not including an assumed reinvestment of distributions) from the $16.16 price at which the shares of the Fund traded on the close of business on June 30, 2014. The high and low intra-day share prices for the quarter were $16.38 (July 18, 2014) and $14.63 (August 14, 2014 and August 15, 2014), respectively. During the quarter, the Fund declared distributions totaling $0.405 per share to shareholders, of which $0.135 was paid on October 1, 2014. The remainder was paid during the quarter. The Fund’s cumulative total return on market value for the quarter, which assumes reinvestment of such distributions, was -6.18%. At September 30, 2014, shares of the Fund traded at a 21.07% discount to the Fund’s net asset value of $18.70 per share. During the quarter the Fund repurchased 580,000 shares.

The Quarter Ended September 30, 2015 – Net Assets of the Fund

The Fund’s net assets decreased from $278.2 million at June 30, 2015, to $272.8 million at September 30, 2015, a decrease of $5.4 million. The decrease in the Fund’s net assets was due to a net loss of $0.5 million, in addition to $4.9 million of distributions to shareholders.

The Fund generated a net loss of $0.5 million for the quarter ended September 30, 2015, resulting from interest income of $0.1 million and net realized gains of $2.2 million offset by change in net unrealized depreciation of $1.1 million and total expenses of $1.7 million.

During the quarter ended September 30, 2015, the Fund’s collateral investments generated interest income of $119,171, which represents 0.04% of average net assets for the quarter ended September 30, 2015.

The net asset value per share on September 30, 2015, was $16.69, a decrease of 1.94% in net asset value (not including an assumed reinvestment of distributions) from the $17.02 net asset value as of June 30, 2015. During the quarter, the Fund declared distributions totaling $0.300 per share to shareholders, of which $0.100 was paid on October 1, 2015. When an assumed reinvestment of these distributions is taken into account, the cumulative total return for the Fund on net asset value was -0.19% for the quarter ended September 30, 2015.

The Quarter Ended September 30, 2014 – Net Assets of the Fund

The Fund’s net assets decreased from $336.3 million at June 30, 2014, to $320.2 million at September 30, 2014, a decrease of $16.1 million. The decrease in the Fund’s net assets was due to $8.8 million of share repurchases, $7.0 million of distributions to shareholders, and a net loss of $0.3 million.

The Fund generated a net loss of $0.3 million for the quarter ended September 30, 2014, resulting from interest income of $0.1 million and net unrealized appreciation of $15 million, offset by total expenses of $1.4 million, and net realized losses of $14.0 million.

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During the quarter ended September 30, 2014, the Fund’s collateral investments generated interest income of $64,461, which represents 0.02% of average net assets for the quarter ended September 30, 2014.

The net asset value per share on September 30, 2014, was $18.70, a decrease of 1.58% in net asset value (not including an assumed reinvestment of distributions) from the $19.00 net asset value as of June 30, 2014. The Fund declared distributions totaling $0.405 per share to shareholders during the quarter. When an assumed reinvestment of these distributions is taken into account, the cumulative total return for the Fund on net asset value was 0.60% for the quarter ended September 30, 2014.

The Quarter Ended September 30, 2015 – Overall Commodity Market Commentary

The broad commodity market, as measured by the long-only Bloomberg Commodity Index (“BCOM”), declined 14.5% during the third quarter of 2015. Declines were widespread, with all six commodity groups in the BCOM finishing the quarter lower. By comparison, the Index (the Morningstar^® Long/Short Commodity Index^SM, which is the Fund’s benchmark) posted a small positive return of 0.4% for the quarter. Within the Index, at the commodity group level, metals and livestock delivered gains, agriculture declined, and energy was flat.

The largest group by weight, energy commodities represented 50.4% of the Index at the end of the period. In the broad market, the energy group led the BCOM’s decline, down 22.4% for the quarter. An ongoing supply glut, particularly for crude oil, and global macroeconomic worries, especially in China, weighed heavily on energy prices. The finalization of Iran’s nuclear deal, which lifts sanctions on oil exports, also disrupted oil markets, even though Iranian exports aren’t expected to impact the global oil supply until 2016. West Texas Intermediate (WTI) and Brent crude were the worst-performing individual commodities in the BCOM, falling 27.4% and 26.3%, respectively. The Index maintained flat positions across all energy commodities for the period.

Agriculturalcommodities comprised 26.7% of the Index at the end of the period. The broad commodity market sustained double-digit losses across all agriculture commodities for the quarter. Abundant crop yields in South America, favorable growing conditions in the U.S. Midwest and a weak Brazilian currency continued to put downward pressure on grains, and foods and fibers prices. The Index was down 2.5% for the quarter, as its short positions helped mitigate the downside.

In the metals group, gold, silver and copper collectively represented 15.9% of the Index at the end of the period. Gold and silver prices were choppy in the broad market over the quarter, driven by global macroeconomic concerns, fluctuating currencies and the U.S. Federal Reserve’s decision to leave interest rates unchanged at its September meeting. Copper continued its decline on concerns about China’s economy, which currently accounts for 43% of the world’s copper demand. Investors reacted negatively to the country’s unexpected currency devaluation and other policy measures taken seeking to counteract its slackening growth rate. Adding to the bearish tone were rumors of inventory reductions and/or liquidations following the collapse of Swiss mining giant Glencore PLC’s stock price. The Index’s short positions across all three metals commodities resulted in a 6.3% gain for the quarter.

The livestock group, at 7.0% of the Index at the end of the period, is the smallest group. Lean hogs prices rallied 13.4% in the broad market and were the only commodity posting a gain in the third quarter for the long-only BCOM. Hot summer weather stifled weight gain in pigs, and U.S. retail demand was strong as pork continued to be cheaper than beef. However, live cattle prices fell 14.6% in the broad market, as beef’s supply-demand imbalance persisted amid reports of higher carcass weights, price competition from pork and a strong dollar, which slowed exports and encouraged imports. The Index’s short position in live cattle was beneficial amid falling prices, helping the Index’s overall livestock position to appreciate 5.5% for the quarter.

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The Quarter Ended September 30, 2014 – Overall Commodity Market Commentary

The broad commodity market, as measured by the BCOM, declined 11.8% during the quarter, as a strengthening U.S. dollar and unfavorable supply-demand dynamics led to widespread losses in commodity contracts during the third quarter of 2014. Anticipation of the U.S. Federal Reserve’s first rate hike prompted a rally in the dollar. Because most commodities are priced in dollars, a stronger dollar makes commodities more expensive, which softens demand and puts downward pressure on commodity prices. At the same time, China announced some disappointing economic data and another stimulus measure, prompting concerns about weakening global demand for raw materials. Additionally, energy and grain commodities began to report oversupply, which weighed on prices.

While the long-only BCOM fell 11.8% in this environment, the Index (Morningstar^® Long/Short Commodity Index^SM and the Fund’s benchmark index), was down 1.2% for the quarter. Within the Index, the agriculture group led performance, with a double-digit gain. Livestock and metals were modestly down, and energy was the weakest performer during the quarter.

Energy commodities, representing 49.9% of the Index at the end of the quarter, declined 8.5%. In the broad market, prices fell for all energy commodities. Crude oil suffered a double-digit loss, as measured by the BCOM, as the dollar gained, demand from Europe and China slowed, and the Organization of the Petroleum Exporting Countries (OPEC) increased production amid booming North American shale oil production. Natural gas prices were dampened by ample storage injections, less cooling demand this summer, and moderate fall weather forecasts.

Agricultural commodities, which made up 29.4% of the Index at the end of the quarter, gained 15.8%. In the broad market, all agriculture commodities finished the quarter lower, except coffee. Corn prices dropped to a five-year low on expectations of a record U.S. crop yield with a high percentage of crops rated good or excellent. Abundant supply and favorable crop ratings dragged soybean prices to a four-year low. Coffee prices rallied, however. Arabica coffee supply continued to shrink as crops were damaged by heat and drought in Brazil, the world’s leading Arabica producer, and by a coffee-plant fungus in Central America.

The Index includes three metals: gold, silver and copper, which made up 14.4% of the Index at the end of the quarter. The Index’s metals group dropped 1.6% during the quarter. Gold and silver prices declined in the broad market, as a strengthening dollar sapped demand for these commodities as a hedge against dollar weakness. In fact, holdings in gold-backed exchange-traded products fell to the lowest level in five years. In the broad market copper prices also tumbled, hurt by concerns about languishing demand from China.

Livestock, down 1.6% during the quarter, comprised 6.4% of the Index at the end of the quarter. Live cattle prices advanced in the broad market on concerns about smaller herd sizes and underweight cows. In contrast, lean hogs prices were choppy, ending the quarter lower. Producers were able to offset shortages by bulking up hogs, as lower grain prices this year have reduced the cost of feed. As a result, lean hog supply was larger than expected, causing prices to fall.

The Quarter Ended September 30, 2015 – Fund Commodity Portfolio Commentary

The Fund’s commodity portfolio was up 0.3% for the quarter (before considering the expenses of the Fund or the performance of the collateral portfolio). The Fund outperformed the BCOM, which lost 14.5%, but performed nearly in line with the Index, which returned 0.4%. The Fund’s total return on net asset value for the same period, 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 -0.19%.

The Fund may write – that is, sell – put and call options on up to 25% of the value of each of the Fund’s commodity futures contracts. During the period, Gresham generally wrote options on approximately 15% of each commodity futures contract seeking to limit return volatility and to provide cash flow to support the Fund’s

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distributions. The Fund receives cash premiums in return for writing options. 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, and the Fund receives cash for the related premiums. Though the majority of the Fund’s option positions expire in the money, which can limit the Fund’s full participation in gains related to that commodity position, they are an important tool for reducing the Fund’s return volatility. For the period, the Fund had lower volatility than the Index, as measured by standard deviation of NAV return.

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) during the life of a particular option. In this case, the Fund can collect additional premiums. During the period, the Fund did so in corn and cotton, which contributed positively to performance.

It is important to remember that a key driver of the Index’s long (and short) positions is the upward (or downward) momentum in the prices of its constituents relative to the moving averages of commodity prices. The Fund’s commodity portfolio long and short/flat positions share the same drivers as the Index, but are established more actively and with greater frequency (intra-month versus the Index’s once per month methodology). This dependence on momentum puts the Index and the Fund’s commodity portfolio 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 in certain periods.

Disappointing results in the livestock and metals positions drove the Fund’s underperformance relative to the Index, overwhelming the positive relative performance in the agriculture group.

Performance in the livestock group was hampered by the Fund’s live cattle position. The Fund suffered from excess flipping activity as live cattle prices were choppy throughout the quarter. In the metals group, the Fund had positive performance on an absolute basis across all three positions (gold, silver, and copper), but lagged the Index’s returns. Both the Fund and Index maintained short positions across these metals for the quarter, which generated gains due to the decline in the prices of these commodities.

Agriculture commodities, in aggregate, contributed positively to the Fund’s relative performance against the Index during the quarter, primarily due to outperformance in corn and soybeans. The Fund benefited from more advantageous timing in flipping both of these positions from long to short.

The Fund had no trading activity in the energy group during the quarter. Both the Fund and the Index have maintained flat positions across all energy commodities since the third quarter of 2014.

The Quarter Ended September 30, 2014 – Fund Commodity Portfolio Commentary

The Fund’s commodity portfolio returned 0.4% for the three-month period (before considering the expenses of the Fund or the performance of the collateral portfolio). The Fund outperformed the BCOM, which lost 11.8%, and the Index, which declined 1.2%. 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 0.60%.

The Fund may write – that is, sell – put and call options on up to 25% of the value of each of the Fund’s commodity futures contracts. During the period, Gresham generally wrote options on approximately 15% of each commodity futures contract seeking to limit return volatility and to provide cash flow to support the Fund’s distributions. The Fund receives cash premiums in return for writing options. 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

29

puts on contracts in that commodity. Typically, the options sold are at or in the money, and the Fund receives cash for the related premiums. Though the majority of the Fund’s option positions expire in the money, which can limit the Fund’s full participation in gains related to that commodity position, they are an important tool for reducing the Fund’s return volatility. For the period, the Fund had lower volatility than the Index, as measured by standard deviation of NAV return.

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) during the life of a particular option. In this case, the Fund can collect additional premiums.

It is important to remember that a key driver of the Index’s long (and short) positions is the upward (or downward) momentum in the prices of its constituents relative to the moving averages of commodity prices. The Fund’s commodity portfolio long and short/flat positions share the same drivers as the Index, but are established more actively and with greater frequency (intra-month versus the Index’s once per month methodology). This dependence on momentum puts the Index and the Fund’s commodity portfolio 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 in certain periods.

In terms of commodity groups, the Fund led the Index in energy and metals, but lagged in livestock and agriculture. Relative outperformance was driven by the Fund’s more advantageous timing in changing its positions from long to flat across all of the energy commodities and from long to short in gold and silver, as prices fell for all of these contracts. Selling puts on both gold and silver during the quarter also earned additional premiums for the Fund.

Conversely, choppy trading environments for lean hogs and soybeans contracts caused excess trading activity in the Fund, which was unfavorable to relative performance. Excess trading occurs when the Fund changes from long to short (or flat in the case of energy) or vice versa, as signal prices are crossed multiple times. As the Fund seeks to outperform and get ahead of the Index, excess switching activity can adversely affect returns relative to the Index, which changes direction only once per month. Offsetting some of the relative weakness was the Fund’s position in soybean meal, which benefited from switching from long to short earlier than the Index. The Fund also sold put options on both soybeans and soybean meal, collecting additional premiums.

The Nine Months Ended September 30, 2015 – Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $16.00 on the close of business on September 30, 2015, a decrease of 3.61% in share price (not including an assumed reinvestment of distributions) from the $16.60 price at which the shares of the Fund traded on the close of business on December 31, 2014. The high and low intra-day share prices for the nine month period were $17.06 (January 26, 2015) and $15.70 (September 28, 2015), respectively. During the nine month period, the Fund declared distributions totaling $1.030 per share to shareholders, of which $0.100 was paid on October 1, 2015. The remainder was paid during the period. The Fund’s cumulative total return on market value for the nine month period, which assumes reinvestment of such distributions, was 2.60%. At September 30, 2015, shares of the Fund traded at a 4.13% discount to the Fund’s net asset value of $16.69.

The Nine Months Ended September 30, 2014 – Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $14.76 on the close of business on September 30, 2014, a decrease of 14.29% in share price (not including an assumed reinvestment of distributions) from the $17.22 price at which the shares of the Fund traded on the close of business on December 31, 2013. The high and

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low intra-day share prices for the nine month period were $17.60 (January 22, 2014) and $14.63 (August 14, 2014 and August 15, 2014), respectively. During the nine month period, the Fund declared distributions totaling $1.295 per share to shareholders, of which $0.135 was paid on October 1, 2014. The remainder was paid during the period. The Fund’s cumulative total return on market value for the nine month period, which assumes reinvestment of such distributions, was -7.12%. At September 30, 2014, shares of the Fund traded at a 21.07% discount to the Fund’s net assets value of $18.70 per share. During the nine month period the Fund repurchased 635,000 shares.

The Nine Months Ended September 30, 2015 – Net Assets of the Fund

The Fund’s net assets decreased from $293.2 million at December 31, 2014, to $272.8 million at September 30, 2015, a decrease of $20.4 million. The decrease in the Fund’s net assets was due to a net loss of $3.5 million, in addition to approximately $16.9 million of distributions to shareholders.

The Fund generated a net loss of $3.5 million for the nine month period ended September 30, 2015, resulting from interest income of $0.3 million and net realized gains of $3.6 million offset by change in net unrealized depreciation of $3.0 million and expenses of $4.4 million.

During the nine month period ended September 30, 2015, the Fund’s collateral investments generated interest income of $291,280, which represents 0.10% of average net assets for the nine month period ended September 30, 2015.

The net asset value per share on September 30, 2015, was $16.69, a decrease of 6.97% in net asset value (not including an assumed reinvestment of distributions) from the $17.94 net asset value as of December 31, 2014. During the nine month period, the Fund declared distributions totaling $1.030 per share to shareholders, of which $0.100 was paid on October 1, 2015. When an assumed reinvestment of these distributions is taken into account, the cumulative total return for the Fund on net asset value was -1.29% for the nine month period ended September 30, 2015.

The Nine Months Ended September 30, 2014 – Net Assets of the Fund

The Fund’s net assets decreased from $364.4 million at December 31, 2013, to $320.2 million at September 30, 2014, a decrease of $44.2 million. The decrease in the Fund’s net assets was due to $22.8 million of distributions to shareholders, a net loss of $11.7 million, and $9.7 million in share repurchases.

The Fund generated a net loss of $11.7 million for the nine month period ended September 30, 2014, resulting from interest income of $0.2 million, and net unrealized appreciation of $10.6 million, offset by net realized losses of $18.1 million, and total expenses of $4.4 million.

During the nine month period ended September 30, 2014, the Fund’s collateral investments generated interest income of $215,662, which represents 0.06% of average net assets for the nine month period ended September 30, 2014.

The net asset value per share on September 30, 2014, was $18.70, a decrease of 8.87% in net asset value (not including an assumed reinvestment of distributions) from the $20.52 net asset value as of December 31, 2013. The Fund declared distributions totaling $1.295 per share to shareholders during the nine month period. When an assumed reinvestment of these distributions is taken into account, the cumulative total return for the Fund on net asset value was -2.51% for the nine month period ended September 30, 2014.

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The Nine Months Ended September 30, 2015 – Overall Commodity Market Commentary

The broad commodity market continued to face significant headwinds, falling 15.8% for the nine-month period, as measured by the BCOM. The Index (the Morningstar^® Long/Short Commodity Index^SM, which is the Fund’s benchmark) rose 1.0% for the same period.

In the energy group, oversupply conditions persisted, while global macroeconomic uncertainties, led by worries about China’s economy, continued to undermine demand expectations. Despite a 10.9% rally in the second quarter of 2015, the energy group suffered considerable volatility early in 2015 and again in the third quarter to finish the nine-month period down 20.9% in the broad market. Crude oil and natural gas saw the largest declines in the sector over this period. The Index remained flat in all energy positions over the nine-month period.

Agriculture commodities followed a similar trajectory to energy commodities in the broad market. A turbulent first quarter was followed by a 10.4% rebound in the second quarter, but expectations for abundant crops and the weakness in Brazil’s currency drove grain prices lower once again. The agriculture group posted a 12.3% loss in the long-only BCOM for the nine-month period, whereas the Index’s agriculture group was down 1.9%.

The Index’s metals group advanced 6.9% for the nine-month period. Gold and silver prices remained choppy throughout the period, amid waning demand, anticipation of rising interest rates in the U.S. and the strength of the U.S. dollar. The Index was short in both gold and silver throughout much of the nine-month period. Copper prices experienced a double-digit decline in the broad market, hit hard by China’s economic woes and fears of rising inventories. Declines were compounded by periods of aggressive selling of long positions in the marketplace. The Index has been short copper since the third quarter of 2014.

The livestock group, up 14.6% in the Index, was the best-performing group in the Index for the nine-month period. The Index’s short position in lean hogs benefited when prices fell sharply early in the year, as supply outpaced demand. However, the lean hogs position gave back some of its gains when prices rallied strongly in the third quarter on rising U.S. demand and lower-than-expected weight gain in pigs. Live cattle prices were choppy in the broad market as herd rebuilding continued from last year, cold and rainy weather in the U.S. hampered weight gain and transport, price competition with pork and poultry tempered beef demand, and exports slowed while imports increased.

The Nine Months Ended September 30, 2014 – Overall Commodity Market Commentary

After rising in the first half of 2014, the broad commodity market gave back all of its gains during a turbulent third quarter. For the nine months ended September 30, 2014, the broad commodity market was down 5.6%, as measured by the BCOM, and the Index lost 3.3%. The Index’s metals and energy groups traded lower over the period, while the livestock and agriculture groups appreciated.

The metals group sustained the largest decline during the period, down 11.7% in the Index. Gold prices rallied in the broad market throughout the first half of the year on speculation of higher inflation in the U.S. But, in the third quarter, a rising U.S. dollar and deflation fears weighed on prices.

The Index’s energy group slid 8.9%, as all energy commodities finished the period lower. Natural gas was the weakest performer in the group. Strong demand during the polar vortex helped natural gas prices rally in the broad market early in 2014. But demand weakened during a milder-than-usual summer, and with no major cold snaps in the fall forecast, prices retreated from earlier highs.

In contrast, the livestock group rose strongly over the period, up 23.8% in the Index. Prices for both live cattle and lean hogs increased in the broad market during the period, and the Index’s long positions in these contracts benefited. Lean hog prices reached all-time highs early in 2014 as a highly infectious pig virus was expected to decrease supply. Live cattle prices rallied on supply concerns as well, with the harsh winter weather early in 2014 hindering breeding, weight gain, and slaughter.

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The Index’s agriculture group gained 10.1% during the period, led by strong results in soybeans and soybean oil. Although prices for soybeans and soybean oil contracts declined in the broad market over the period as a whole, the Index benefited from long positions during rallies and short positions during downturns.

The Nine Months Ended September 30, 2015 – Fund Commodity Portfolio Commentary

The Fund’s commodity portfolio had a nearly flat return of 0.1% for the nine-month period (before considering the expenses of the Fund or the performance of the collateral portfolio). The Fund outperformed the BCOM, which declined 15.8%, but underperformed the Index, which gained 1.0%. The Fund’s total return on net asset value for the same period, 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 -1.29%.

The Fund may write – that is, sell – put and call options on up to 25% of the value of each of the Fund’s commodity futures contracts. During the period, Gresham generally wrote options on approximately 15% of each commodity futures contract seeking to limit return volatility and to provide cash flow to support the Fund’s distributions. The Fund receives cash premiums in return for writing options. 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, and the Fund receives cash for the related premiums. Though the majority of the Fund’s option positions expire in the money, which can limit the Fund’s full participation in gains related to that commodity position, they are an important tool for reducing the Fund’s return volatility. For the period, the Fund had lower volatility than the Index, as measured by standard deviation of NAV return.

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) during the life of a particular option. In this case, the Fund can collect additional premiums. During the period, the Fund did so in agriculture commodities, gold, and live cattle, which contributed positively to performance. It is important to remember that a key driver of the Index’s long (and short) positions is the upward (or downward) momentum in the prices of its constituents relative to the moving averages of commodity prices. The Fund’s commodity portfolio long and short/flat positions share the same drivers as the Index, but are established more actively and with greater frequency(intra-month versus the Index’s once per month methodology). This dependence on momentum puts the Index and the Fund’s commodity portfolio 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 in certain periods.

The Fund’s underperformance relative to the Index was driven mostly by the livestock position and, to a lesser extent, the metals positions. The agriculture group had a moderately positive effect on relative returns, while energy was neutral.

In the livestock group, the Fund’s live cattle position was the main detractor from performance. A choppy trading environment for live cattle futures caused the Fund to experience excess flipping activity and the whipsaw effect, whereas the Index experienced less frequent position changes. However, during some of these periods, the Fund collected additional options premium by selling both puts and calls on live cattle during these position changes, which helped offset some of the negative impact of the whipsaw effect. In addition, the Fund’s lean hogs position slightly detracted from relative performance during this period.

Relative weakness in the Fund’s metals group came from its gold and copper positions. Early in the year, volatility in gold prices led to unfavorable flipping activity in the Fund’s position, as the Fund experienced the whipsaw effect. However, the Fund remained short gold for the second and third quarters, which helped mitigate earlier losses, as did the additional premium the Fund collected from selling both puts and calls during the first quarter position changes. The Fund also experienced the whipsaw effect in its copper position during the second quarter, which resulted in underperformance relative to the Index.

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The agriculture group had a positive impact on relative performance. The Fund’s soybean, corn, wheat and cocoa positions were the main contributors, as the Fund benefited from more advantageous timing in flipping its positions in periods when prices changed course. Grain prices rallied early in the summer on expectations of reduced supply. The Fund flipped to long positions in corn, wheat and soybeans, enabling it to capture some of the price appreciation in these commodities. However, toward the end of the summer, the Fund switched to short positions, which were more favorable as grain prices pulled back on reports of improved growing conditions. Cocoa prices rose strongly in the second quarter on supply-side concerns, and the Fund flipped from short to long a month sooner than the Index. Additionally, the Fund sold additional options on some of these commodities during their position changes, collecting additional premiums that benefited performance.

The Fund had no trading activity in the energy group during the nine-month period, as both the Fund and the Index have maintained flat positions across all energy commodities since the third quarter of 2014.

The Nine Months Ended September 30, 2014 – Fund Commodity Portfolio Commentary

The Fund’s commodity portfolio returned -2.1% for the nine-month period (before considering the expenses of the Fund or the performance of the collateral portfolio). The Fund outperformed the BCOM, which returned-5.6%, and the Index, which returned -3.3%. The Fund’s total return on net asset value for the period, 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 -2.51%.

The Fund may write – that is, sell – put and call options on up to 25% of the value of each of the Fund’s commodity futures contracts. During the period, Gresham generally wrote options on approximately 15% of each commodity futures contract seeking to limit return volatility and to provide cash flow to support the Fund’s distributions. The Fund receives cash premiums in return for writing options. 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, and the Fund receives cash for the related premiums. Though the majority of the Fund’s option positions expire in the money, which can limit the Fund’s full participation in gains related to that commodity position, they are an important tool for reducing the Fund’s return volatility. For the period, the Fund had lower volatility than the Index, as measured by standard deviation of NAV return.

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) during the life of a particular option. In this case, the Fund can collect additional premiums. During the period, the Fund was able to sell calls on coffee; puts on soybeans, and soybean meal; and both puts and calls on sugar, corn, wheat, cotton, and gold, which contributed positively to Fund performance.

It is important to remember that a key driver of the Index’s long (and short) positions is the upward (or downward) momentum in the prices of its constituents relative to the moving averages of commodity prices. The Fund’s commodity portfolio long and short/flat positions share the same drivers as the Index, but are established more actively and with greater frequency (intra-month versus the Index’s once per month methodology). This dependence on momentum puts the Index and the Fund’s commodity portfolio 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 in certain periods.

In terms of commodity groups, the Fund outperformed the Index in energy and metals, but underperformed in agriculture and livestock.

The Fund’s relative outperformance was bolstered by favorable long/short positioning in natural gas and gold. In natural gas, a switch to long in the first quarter’s price rally and a move from long to flat in the third quarter as

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prices fell added to relative performance. The Fund’s gold position switched to long during a March rally then flipped to short as prices came down a week later, whereas the Index went long as prices began to fall. In the third quarter, the Fund advantageously flipped to short ahead of the Index when gold prices declined.

In the Fund’s agriculture position, relative losses resulted from excess trading activity – resulting from switching from long to short (or flat in the case of energy) or vice versa, as signal prices are crossed multiple times – in the Fund’s sugar position during the first half of 2014. As the Fund seeks to outperform and get ahead of the Index, excess switching activity can adversely affect returns relative to the Index, which changes direction only once per month.

The Fund’s lean hogs position was the primary detractor from relative returns in the livestock group. Unfavorable contract positioning and roll timing in the second quarter and flipping activity in the third quarter were especially detrimental.

Fund Total Returns

The following table presents selected total returns for the Fund and Index as of September 30, 2015. Market value and net asset value total returns 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 at the end of the period for total returns based on market value, and at the net asset value at the end of the period for total returns based on net asset value.

	Total Returns as of September 30, 2015
	Cumulative						Average Annual
	3 Months			Year to Date			1 Year			Since Inception
Market Value		-0.80	%		2.60	%		18.49	%		-5.65	%
Net Asset Value		-0.19	%		-1.29	%		-3.16	%		-3.82	%
Index		0.41	%		0.97	%		-1.32	%		-0.17	%

“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.

Distributions

The Fund makes regular monthly distributions to its shareholders stated in terms of a fixed cents per share distribution rate. The Manager seeks to establish a distribution rate that, among other factors, roughly corresponds to its projections of the total return that could reasonably be expected to be generated by the Fund over an extended period of time. The Fund’s projected or actual distribution rate is not a prediction of what the Fund’s actual total returns will be over any specific future period.

The Fund’s ability to make distributions will depend on a number of factors, including, most importantly, the long-term total returns generated by the Fund’s commodity investments and the gains generated through the Fund’s options strategy. The Fund’s actual financial performance will likely vary significantly frommonth-to-month and from year-to-year, and there may be periods, perhaps of extended durations of up to several years, when the distribution rate exceeds the Fund’s actual total returns. In the event that the amount of income earned or capital gains realized by the Fund is not sufficient to cover the Fund’s distributions, the Fund may be required to liquidate investments to fund distributions at times or on terms that could be disadvantageous to the Fund and its shareholders.

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Because the Fund’s investment performance since its inception has not been sufficient to cover the distributions made, the Fund has effectively been drawing upon its assets to meet payments prescribed by its distribution policy. The Fund also has paid fees and expenses that have also been drawn from the Fund’s assets.

As market conditions and portfolio performance may change, the rate of distributions on the shares and the Fund’s distribution policy could change. The Manager reserves the right to change the Fund’s 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. The reduction or elimination of the Fund’s distributions could have the effect of increasing the Manager’s management fees.

Commodity Portfolio Composition and Weightings

The table below presents the composition and weightings of the Fund’s commodity portfolio and the Index as of September 30, 2015. The table below serves as a guide to how the composition and weightings of the Fund’s commodity portfolio compared to that of the Index as of September 30, 2015.

		Fund				Index
Commodity Group	Commodity	Exposure (1)	Composition			Exposure (1)	Composition
Energy	Crude Oil	Flat		19.68	%	Flat		19.67	%
	Heating Oil	Flat		15.39	%	Flat		15.37	%
	Natural Gas	Flat		8.95	%	Flat		9.00	%
	Unleaded Gas	Flat		6.39	%	Flat		6.37	%
				50.41	%			50.41	%
Agriculturals	Soybean	Short		6.59	%	Short		6.68	%
	Corn	Short		4.60	%	Short		4.57	%
	Sugar	Short		3.97	%	Short		3.96	%
	Coffee	Short		3.25	%	Short		3.26	%
	Wheat	Short		2.16	%	Short		2.21	%
	Soybean Meal	Short		2.08	%	Short		2.10	%
	Soybean Oil	Short		1.77	%	Short		1.75	%
	Cotton	Short		1.10	%	Short		1.08	%
	Cocoa	Long		1.06	%	Long		1.04	%
				26.58	%			26.65	%
Metals	Gold	Short		10.12	%	Short		10.07	%
	Silver	Short		3.06	%	Short		3.04	%
	Copper	Short		2.77	%	Short		2.80	%
				15.95	%			15.91	%
Livestock	Live Cattle	Short		4.69	%	Short		4.62	%
	Lean Hogs	Short		2.37	%	Short		2.41	%
				7.06	%			7.03	%
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, if any, mean that instead of taking a futures contracts position (long or short) when market signals dictate, the Fund will not have a futures contract position for that commodity, and will instead hold cash. The Fund may also have flat positions in other commodity groups for short periods of time in the course of implementing its investment strategy.

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Liquidity and Capital Resources

The Fund pursues its investment objective 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 10% to 25% of its net assets in a margin account with the Fund’s clearing broker to cover its futures contracts; the remaining assets are held by the Fund in a separate collateral pool managed by the Collateral Sub-adviser. 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 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 the authorization date in open-market transactions. On March 6, 2014 the Fund reauthorized its share repurchase program, pursuant to which it may repurchase up to 10% of its outstanding common shares as of the reauthorization date (approximately 1,775,000 shares) in open-market transactions, at the Manager’s discretion. Refer to “Part II—Item 2. Unregistered Sales of Equity Securities and Use of Proceeds” in this Report for details of repurchase activity during the nine months ended September 30, 2015.

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.

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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 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-adviser 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-adviser 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-adviser 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 efficient taking and liquidating of positions.

A commodity broker, when acting as the Fund’s futures commission merchant, is required by Commodity Futures Trading Commission (“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 also require a commodity broker, when acting as the Fund’s futures commission merchant, to hold in a “secured” account the assets of the Fund related to foreign commodity 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 September 30, 2015, 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.

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Contractual Obligations

The Fund’s contractual obligations are with the Manager, the Commodity Sub-adviser, the Collateral Sub-adviser, 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 net 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.

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 requires the application of appropriate accounting rules and guidance, as well as the use of estimates and assumptions. 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 change in net unrealized appreciation (depreciation).

• The use of fair value to measure financial instruments, with related unrealized appreciation (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. Over-the-counter (“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.

• 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) on closed positions 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 discounts 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 Disclosure

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 September 30, 2015.

Long Futures Contracts

Commodity Group

Contract

Contract Position

Contract Expiration

Number of Contracts

Valuation Price

Contract Multiplier

Notional Amount at Value

Agriculture

Cocoa

ICE Cocoa Futures Contract

Long

December 2015

91

$

3,114.0000

10

$

2,833,740

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		November 2015		(164	)	$	8.9200		5,000	$	(7,314,400	)
	CBOT Soybean Futures Contract		Short		January 2016		(256	)		8.9400		5,000		(11,443,200	)
	Corn
	CBOT Corn Futures Contract		Short		December 2015		(674	)		3.8775		5,000		(13,067,175	)
	Sugar
	ICE Sugar Futures Contract		Short		March 2016		(923	)		0.1288		112,000		(13,314,829	)
	Coffee
	ICE Coffee C Futures Contract		Short		December 2015		(203	)		1.2135		37,500		(9,237,769	)
	Wheat
	CBOT Wheat Futures Contract		Short		December 2015		(255	)		5.1275		5,000		(6,537,562	)
	Soybean Meal
	CBOT Soybean Meal Futures Contract		Short		December 2015		(120	)		309.0000		100		(3,708,000	)
	CBOT Soybean Meal Futures Contract		Short		January 2016		(64	)		308.2000		100		(1,972,480	)
	Soybean Oil
	CBOT Soybean Oil Futures Contract		Short		December 2015		(314	)		0.2734		60,000		(5,150,856	)
	Cotton
	ICE Cotton Futures Contract		Short		December 2015		(97	)		0.6044		50,000		(2,931,340	)
Metals	Gold
	CEC Gold Futures Contract		Short		December 2015		(234	)		1,115.2000		100		(26,095,680	)
	Silver
	CEC Silver Futures Contract		Short		December 2015		(104	)		14.5180		5,000		(7,549,360	)
	Copper
	CEC Copper Futures Contract		Short		December 2015		(125	)		2.3410		25,000		(7,315,625	)
Livestock	Live Cattle
	CME Live Cattle Futures Contract		Short		October 2015		(26	)		1.2468		40,000		(1,296,620	)
	CME Live Cattle Futures Contract		Short		December 2015		(189	)		1.3093		40,000		(9,897,930	)
	Lean Hogs
	CME Lean Hogs Futures Contract		Short		October 2015		(156	)		0.7353		40,000		(4,587,960	)
	CME Lean Hogs Futures Contract		Short		December 2015		(87	)		0.6673		40,000		(2,322,030	)

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Commodity Call Options Written

Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Agriculture	Soybean
	CBOT Soybean Futures Options		November 2015		(61	)	$	980.00	$	(2,669	)
	Soybean Meal
	CBOT Soybean Meal Futures Options		December 2015		(27	)		320.00		(16,470	)
	Soybean Oil
	CBOT Soybean Oil Futures Options		December 2015		(47	)		33.50		(1,128	)
	Cotton
	ICE Cotton Futures Options		December 2015		(15	)		63.00		(6,000	)
	Cocoa
	ICE Cocoa Futures Options		December 2015		(14	)		3,000.00		(21,840	)

Commodity Put Options Written

Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Agriculture	Soybean
	CBOT Soybean Futures Options		November 2015		(61	)	$	980.0	$	(271,069	)
	Corn
	CBOT Corn Futures Options		December 2015		(103	)		400.00		(111,368	)
	Sugar
	ICE Sugar Futures Options		March 2016		(141	)		15.50		(451,651	)
	Coffee
	ICE Coffee C Futures Options		December 2015		(30	)		170.00		(549,675	)
	Wheat
	CBOT Wheat Futures Options		December 2015		(37	)		540.00		(69,144	)
	Soybean Meal
	CBOT Soybean Meal Futures Options		December 2015		(27	)		320.00		(46,170	)
	Soybean Oil
	CBOT Soybean Oil Futures Options		December 2015		(47	)		33.50		(174,699	)
	Cotton
	ICE Cotton Futures Options		December 2015		(15	)		63.00		(25,200	)
Metals	Gold
	CEC Gold Futures Options		December 2015		(34	)		1,200.00		(309,400	)
	Silver
	CEC Silver Futures Options		December 2015		(16	)		16.50		(168,000	)
Livestock	Live Cattle
	CME Live Cattle Futures Options		October 2015		(26	)		152.00		(291,720	)
	CME Live Cattle Futures Options		December 2015		(6	)		153.00		(53,580	)
	Lean Hogs
	CME Lean Hogs Futures Options		October 2015		(36	)		84.00		(150,840	)

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

The Fund also invests the assets held as collateral for its investments in commodity futures contracts in cash equivalents, U.S. government securities, and other short-term, high-grade debt securities, which exposes the Fund

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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 September 30, 2015, the Fund held U.S. Treasury bills worth $231,805,928 with a par value of $232,000,000, and a repurchase agreement worth $3,661,731.

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, 2014, and Part II—Item 1A. Risk Factors in the Fund’s subsequent quarterly reports on Form 10-Q, filed with the 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.

If the Commodity Sub-adviser 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-adviser 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 exposures are interest rate risk and credit risk related to the collateral portfolio. Interest rate risk is mitigated by the short-term nature of the collateral portfolio’s debt securities. Credit risk is mitigated by the fact that the collateral portfolio’s debt securities (other than U.S. government securities) are rated at the highest applicable rating as determined by at least one nationally recognized statistical rating organization (“NRSRO”) or, if unrated, judged by the Collateral Sub-adviser to be of comparable quality.

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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 (the “Exchange Act”). 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 to provide reasonable assurance that information required to be disclosed in the reports that the Fund files or submits to the SEC under the Exchange Act is recorded, processed, summarized and reported, within the time periods specified in the applicable rules and forms, and that it is accumulated and communicated to the management of the Manager as appropriate to allow timely decisions regarding required disclosure.

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 Exchange Act) 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.

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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 I, Item 1A of the Fund’s annual report on Form 10-K dated December 31, 2014, 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 nine month period ended on September 30, 2015.

c) On March 14, 2013, the Fund adopted an open-market share repurchase program, pursuant to which it was authorized to repurchase up to 10% of its outstanding common shares (approximately 1,800,000 shares) in open-market transactions at the Manager’s discretion. On March 6, 2014, the Fund reauthorized its share repurchase program, pursuant to which it may repurchase up to 10% of its outstanding common shares as of the reauthorization date (approximately 1,775,000 shares). No shares have been repurchased during the fiscal year to date period ended September 30, 2015. A cumulative total of 2,455,000 shares have been repurchased through the repurchase program described above. No shares have been repurchased outside of the program described.

Item 3. Defaults Upon Senior Securities

None.

Item 4. Mine Safety Disclosures

Not applicable.

Item 5. Other Information

None.

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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.
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.

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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 November 5, 2015.

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)

November 5, 2015

/s/ Stephen D. Foy

Chief Financial Officer

(Principal Financial and Accounting Officer)

November 5, 2015

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