Nuveen Long/short Commodity Total Return Fund (CTF) 10-Q 2016 Q1 Quarterly report

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form 10-Q

(Mark One)

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

For the quarterly period ended March 31, 2016

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 May 5, 2016, 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 March 31, 2016 (Unaudited)		3
	Statements of Financial Condition at March 31, 2016 (Unaudited) and December 31, 2015		8
	Statements of Operations (Unaudited) for the three months ended March 31, 2016 and March 31, 2015		9
	Statements of Changes in Shareholders’ Capital for the three months ended March 31, 2016 (Unaudited) and the year ended December 31, 2015		10
	Statements of Cash Flows (Unaudited) for the three months ended March 31, 2016 and March 31, 2015		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		36
Item 4.	Controls and Procedures		39
PART II. OTHER INFORMATION
Item 1.	Legal Proceedings		40
Item 1A.	Risk Factors		40
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds		40
Item 3.	Defaults Upon Senior Securities		40
Item 4.	Mine Safety Disclosures		40
Item 5.	Other Information		40
Item 6.	Exhibits		41
Signatures			42

2

PART I. FINANCIAL INFORMATION

Item 1. Financial Statements

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

SCHEDULE OF INVESTMENTS (Unaudited)

March 31, 2016

Investments

Principal Amount (000)	Description	Coupon			Maturity		Ratings(1)		Value
	Short-Term Investments
	U.S. Government and Agency Obligations
$    35,000	U.S. Treasury Bills		0.000	%		4/28/16		Aaa	$	34,995,520
45,000	U.S. Treasury Bills		0.000	%		5/26/16		Aaa		44,988,255
10,000	U.S. Treasury Bills		0.000	%		7/21/16		Aaa		9,991,690
50,000	U.S. Treasury Bills		0.000	%		9/15/16		Aaa		49,922,350
6,000	U.S. Treasury Bills		0.000	%		11/10/16		Aaa		5,989,494
12,000	U.S. Treasury Bills		0.000	%		12/08/16		Aaa		11,971,512
11,500	U.S. Treasury Bills		0.000	%		1/05/17		Aaa		11,457,496
16,000	U.S. Treasury Bills		0.000	%		2/02/17		Aaa		15,928,592
9,000	U.S. Treasury Bills		0.000	%		3/02/17		Aaa		8,953,794
25,000	U.S. Treasury Bills		0.000	%		3/30/17		Aaa		24,853,100
$ 219,500	Total U.S. Government And Agency Obligations (cost $218,996,426)								$	219,051,803
	Repurchase Agreements
$ 30,804	Repurchase Agreement with State Street Bank, dated 3/31/16, repurchase price $30,803,707, collateralized by $31,170,000 U.S. Treasury Notes, 1.000%, due 5/15/18, value $31,421,261		0.010	%		4/01/16		N/A	$	30,803,698
	Total Repurchase Agreements (cost $30,803,698)								$	30,803,698
	Total Short-Term Investments (cost $249,800,124)								$	249,855,501

3

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

March 31, 2016

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		May 2016		266	$	(12,112,975	)	$	(385,156	)
	CBOT Soybean Futures Contract		Short		July 2016		193		(8,856,288	)		(83,000	)
	Total Soybean											(468,156	)
	Corn
	CBOT Corn Futures Contract		Short		May 2016		519		(9,121,425	)		527,633
	CBOT Corn Futures Contract		Short		July 2016		434		(7,719,775	)		404,338
	Total Corn											931,971
	Soybean Meal
	CBOT Soybean Meal Futures Contract		Short		May 2016		63		(1,702,890	)		(35,726	)
	CBOT Soybean Meal Futures Contract		Short		July 2016		241		(6,581,710	)		16,380
	Total Soybean Meal											(19,346	)
	Wheat
	CBOT Wheat Futures Contract		Short		May 2016		68		(1,609,900	)		(20,600	)
	CBOT Wheat Futures Contract		Short		July 2016		250		(6,009,375	)		(30,875	)
	Total Wheat											(51,475	)
	Coffee
	ICE Coffee C Futures Contract		Short		May 2016		17		(812,494	)		(68,063	)
	ICE Coffee C Futures Contract		Short		July 2016		94		(4,566,637	)		120,805
	Total Coffee											52,742
	Sugar
	ICE Sugar Futures Contract		Long		May 2016		72		1,237,824			117,097
	ICE Sugar Futures Contract		Long		July 2016		236		4,083,744			(180,891	)
	Total Sugar											(63,794	)
	Soybean Oil
	CBOT Soybean Oil Futures Contract		Long		May 2016		213		4,373,316			383,705
	CBOT Soybean Oil Futures Contract		Long		July 2016		17		351,288			6,078
	Total Soybean Oil											389,783
	Cotton
	ICE Cotton Futures Contract		Short		May 2016		22		(642,840	)		7,925
	ICE Cotton Futures Contract		Short		July 2016		122		(3,556,910	)		(60,221	)
	Total Cotton											(52,296	)
	Cocoa
	ICE Cocoa Futures Contract		Short		May 2016		17		(501,500	)		15,394
	ICE Cocoa Futures Contract		Short		July 2016		94		(2,781,460	)		16,340
	Total Cocoa											31,734
	Total Agriculture											751,163

4

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

March 31, 2016

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)
Metals	Gold
	CEC Gold Futures Contract		Long		June 2016		172	$	21,252,320		$	179,900
	Silver
	CEC Silver Futures Contract		Long		May 2016		90		6,958,800			2,004
	CEC Silver Futures Contract		Long		July 2016		12		930,120			8
	Total Silver											2,012
	Copper
	CEC Copper Futures Contract		Short		July 2016		109		(5,970,475	)		163,150
	Total Metals											345,062
Livestock	Live Cattle
	CME Live Cattle Futures Contract		Short		April 2016		26		(1,382,420	)		15,692
	CME Live Cattle Futures Contract		Short		June 2016		152		(7,540,720	)		157,059
	Total Live Cattle											172,751
	Lean Hogs
	CME Lean Hogs Futures Contract		Short		April 2016		19		(519,460	)		2,575
	CME Lean Hogs Futures Contract		Long		June 2016		8		258,720			(9,524	)
	Total Lean Hogs											(6,949	)
	Total Livestock											165,802
	Total Futures Contracts outstanding						3,526				$	1,262,027

Call Options Written outstanding:

Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Agriculture	Sugar
	ICE Sugar Futures Options		April 2016		(46	)	$	13.50	$	(96,342	)
	Soybean Oil
	CBOT Soybean Oil Futures Options		April 2016		(34	)		31.00		(66,606	)
	Cocoa
	ICE Cocoa Futures Options		April 2016		(17	)		3,100.00		(170	)
	Total Agriculture									(163,118	)
Metals	Gold
	CEC Gold Futures Options		May 2016		(26	)		1,150.00		(236,860	)
	Silver
	CEC Silver Futures Options		April 2016		(15	)		15.25		(35,625	)
	Total Metals									(272,485	)

5

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

March 31, 2016

Investments in Derivatives (Continued)

Call Options Written outstanding (Continued):

Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Livestock	Lean Hogs
	CME Lean Hogs Futures Options		April 2016		(16	)	$	69.00	$	(3,200	)
	Total Livestock									(3,200	)
	Total Call Options Written outstanding (premiums received $339,783)				(154	)			$	(438,803	)

Put Options Written outstanding:

Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Agriculture	Soybean
	CBOT Soybean Futures Options		April 2016		(70	)	$	920.00	$	(58,625	)
	Corn
	CBOT Corn Futures Options		April 2016		(142	)		400.00		(346,125	)
	Soybean Meal
	CBOT Soybean Meal Futures Options		April 2016		(46	)		300.00		(138,000	)
	Wheat
	CBOT Wheat Futures Options		April 2016		(47	)		510.00		(91,650	)
	Coffee
	ICE Coffee C Futures Options		April 2016		(17	)		135.00		(50,490	)
	Sugar
	ICE Sugar Futures Options		April 2016		(46	)		13.50		(1,030	)
	Soybean Oil
	CBOT Soybean Oil Futures Options		April 2016		(34	)		31.00		(918	)
	Cotton
	ICE Cotton Futures Options		April 2016		(22	)		64.00		(61,820	)
	Cocoa
	ICE Cocoa Futures Options		April 2016		(17	)		3,100.00		(25,500	)
	Total Agriculture									(774,158	)
Metals	Silver
	CEC Silver Futures Options		April 2016		(15	)		15.25		(19,575	)
	Total Metals									(19,575	)

6

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

March 31, 2016

Investments in Derivatives (Continued)

Put Options Written outstanding (Continued):

Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Livestock	Live Cattle
	CME Live Cattle Futures Options		April 2016		(26	)	$	148.00	$	(156,780	)
	CME Live Cattle Futures Options		June 2016		(1	)		134.00		(4,200	)
	Total Live Cattle									(160,980	)
	Lean Hogs
	CME Lean Hogs Futures Options		April 2016		(16	)		69.00		(7,360	)
	Total Livestock									(168,340	)
	Total Put Options Written outstanding (premiums received $1,167,262)				(499	)			$	(962,073	)
	Total Options Written outstanding (premiums received $1,507,045)				(653	)			$	(1,400,876	)

(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 820 and 2,706, respectively.
(3)	The aggregate notional amount at value for long and short futures contracts outstanding is $39,446,132 and $(81,989,254), respectively.
(4)	The gross unrealized appreciation (depreciation) on futures contracts outstanding is $2,136,083 and $(874,056), 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 March 31, 2016 (Unaudited) and December 31, 2015

	March 31, 2016			December 31, 2015
ASSETS
Short-term investments, at value:
U.S. Government and Agency Obligations (cost $218,996,426 and $228,672,757)	$	219,051,803		$	228,580,099
Repurchase Agreements (cost approximates value)		30,803,698			1,293,949
Deposits with brokers		37,032,441			40,100,175
Unrealized appreciation on futures contracts		2,136,083			3,698,613
Receivable for interest		9			—
Total assets	$	289,024,034		$	273,672,836
LIABILITIES
Options written, at value (premiums received $1,507,045 and $2,323,340, respectively)	$	1,400,876		$	2,283,151
Unrealized depreciation on futures contracts		874,056			1,146,669
Payable for:
Distributions		1,471,114			—
Investments purchased		24,854,674			—
Accrued expenses:
Conversion		408,872			427,718
Management fees		276,635			286,701
Independent Committee fees		31,478			30,574
Professional fees		265,489			308,014
Other		195,903			229,342
Total liabilities		29,779,097			4,712,169
SHAREHOLDERS’ CAPITAL
Paid-in capital, unlimited number of shares authorized, 16,345,840 shares issued and outstanding at March 31, 2016 and December 31, 2015		409,376,279			409,376,279
Accumulated undistributed earnings (deficit)		(150,131,342	)		(140,415,612	)
Total shareholders’ capital (Net assets)		259,244,937			268,960,667
Total liabilities and shareholders’ capital	$	289,024,034		$	273,672,836
Net assets	$	259,244,937		$	268,960,667
Shares outstanding		16,345,840			16,345,840
Net asset value per share outstanding (net assets divided by shares outstanding)	$	15.86		$	16.45
Market value per share outstanding	$	15.06		$	15.54

See accompanying notes to financial statements.

8

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

STATEMENTS OF OPERATIONS (Unaudited)

For the Three Months Ended March 31, 2016 and March 31, 2015

	Three Months Ended March 31,
	2016			2015
Investment Income:
Interest	$	206,756		$	48,480
Total Investment Income		206,756			48,480
Expenses:
Management fees		820,835			896,666
Brokerage commissions		78,465			62,258
Custodian fees and expenses		21,918			24,789
Independent Committee fees and expenses		32,382			30,045
Professional fees		112,890			114,875
Shareholder reporting expenses		30,155			34,965
Licensing fees		66,094			71,804
Other expenses		8,519			8,070
Total expenses		1,171,258			1,243,472
Net investment income (loss)		(964,502	)		(1,194,992	)
Net realized gain (loss) from:
Short-term investments		(5	)		177
Futures contracts		(5,864,976	)		(602,725	)
Options written		2,602,997			3,228,578
Change in net unrealized appreciation (depreciation) of:
Short-term investments		148,035			46,418
Futures contracts		(1,289,917	)		1,865,883
Options written		65,980			(712,651	)
Net realized gain (loss) and change in net unrealized appreciation (depreciation)		(4,337,886	)		3,825,680
Net income (loss)	$	(5,302,388	)	$	2,630,688
Net income (loss) per weighted-average share	$	(0.32	)	$	0.16
Weighted-average shares outstanding		16,345,840			16,345,840

See accompanying notes to financial statements.

9

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

STATEMENTS OF CHANGES IN SHAREHOLDERS’ CAPITAL

For the Three Months Ended March 31, 2016 (Unaudited) and the Year Ended December 31, 2015

	Three Months Ended March 31, 2016			Year Ended December 31, 2015
Shareholders’ capital-beginning of period	$	268,960,667		$	293,176,735
Repurchase of shares		—			—
Net increase (decrease) in shareholders’ capital resulting from operations:
Net investment income (loss)		(964,502	)		(5,167,444	)
Net realized gain (loss) from:
Short-term investments		(5	)		336
Futures contracts		(5,864,976	)		(9,480,921	)
Options written		2,602,997			12,277,005
Change in net unrealized appreciation (depreciation) of:
Short-term investments		148,035			(87,321	)
Futures contracts		(1,289,917	)		(144,470	)
Options written		65,980			(35,394	)
Net income (loss)		(5,302,388	)		(2,638,209	)
Distributions to shareholders		(4,413,342	)		(21,577,859	)
Shareholders’ capital—end of period	$	259,244,937		$	268,960,667
Shares—beginning of period		16,345,840			16,345,840
Repurchase of shares		—			—
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 Three Months Ended March 31, 2016 and March 31, 2015

	Three Months Ended March 31,
	2016			2015
Cash flows from operating activities:
Net income (loss)	$	(5,302,388	)	$	2,630,688
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of U.S. government and agency obligations		(61,141,325	)		(36,918,617	)
Proceeds from sales and maturities of U.S. government and agency obligations		70,999,597			43,999,978
Proceeds from (Purchases of) repurchase agreements, net		(29,509,749	)		(1,837,671	)
Premiums received for options written		2,317,068			4,051,073
Cash paid for options written		(530,366	)		(652,023	)
Amortization (Accretion) of short-term investments		(181,946	)		(48,481	)
(Increase) Decrease in:
Deposits with brokers		3,067,734			(2,494,476	)
Receivable for interest		(9	)		—
Other assets		—			(11,303	)
Increase (Decrease) in:
Payable for investments purchased		24,854,674			—
Accrued conversion expenses		(18,846	)		—
Accrued management fees		(10,066	)		(4,580	)
Accrued Independent Committee fees		904			824
Accrued professional fees		(42,525	)		(121,852	)
Accrued other expenses		(33,439	)		(11,962	)
Net realized (gain) loss from:
Short-term investments		5			(177	)
Options written		(2,602,997	)		(3,228,578	)
Change in net unrealized (appreciation) depreciation of:
Short-term investments		(148,035	)		(46,418	)
Futures contracts		1,289,917			(1,865,883	)
Options written		(65,980	)		712,651
Net cash provided by (used in) operating activities		2,942,228			4,153,193
Cash flows from financing activities:
Cash distributions paid to shareholders		(2,942,228	)		(4,153,193	)
Net cash provided by (used in) financing activities		(2,942,228	)		(4,153,193	)
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)

March 31, 2016

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”), 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 Exchange-Traded Fund (“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 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. As of March 31, 2016, the Conversion remains subject to the receipt of regulatory approvals.

On March 2, 2016, the Fund announced an update on the expected time frame for the Conversion. Assuming receipt of regulatory approvals, the Conversion is expected to be completed in the second quarter of 2016. The Conversion requires regulatory clearance, including the adoption of a new exchange rule pursuant to which the Fund’s shares will trade following the Conversion. The Fund has been working with the NYSE MKT, which has initiated the rule making process for the new rule, which will ultimately require approval by the SEC. There can be no assurance that such clearance will be obtained, or if obtained, that the Conversion will be completed in the anticipated time frame.

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 the 1940 Act. Until the Conversion occurs, the Fund will continue to operate as currently structured.

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 SEC 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 (Unaudited)

March 31, 2016

1. Organization (Continued)

The Manager, the Commodity Sub-adviser and the Collateral Sub-adviser are subsidiaries of Nuveen Investments, Inc. (“Nuveen Investments”). Nuveen Investments is a subsidiary of TIAA Global Asset Management.

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. Fund assets that are not committed as margin to the Fund’s clearing broker will be invested by the Collateral Sub-adviser in 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, 2015.

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 (Unaudited)

March 31, 2016

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 three months ended March 31, 2016 and year ended December 31, 2015 was as follows:

	Three Months Ended March 31, 2016		Year Ended December 31,  2015
Average number of long and short futures contracts outstanding*		3,743		3,782

* 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 respective 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 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

14

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Unaudited)

March 31, 2016

2. Summary of Significant Accounting Policies (Continued)

“Change in net unrealized appreciation (depreciation) of options written” on the Statements of Operations. When an option is exercised or expires, or the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid at expiration or on executing a closing purchase transaction is recognized as a component of “Net realized gain (loss) from options written” on the Statements of Operations. The Fund, as writer of an option, has no control over whether the underlying instrument may be sold (called) and as a result bears the risk of an unfavorable change in the market value of the instrument underlying the written option. There is also the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. During the three months ended March 31, 2016 and year ended December 31, 2015, the Fund wrote call and put options on futures contracts.

The Fund did not purchase options on futures contracts during the three months ended March 31, 2016 and the year ended December 31, 2015. 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 three months ended March 31, 2016 and the year ended December 31, 2015, were as follows:

	Three Months Ended March 31, 2016						Year Ended December 31, 2015
	Number of Contracts			Premiums Received			Number of Contracts			Premiums Received
Outstanding, beginning of period		705		$	2,323,340			597		$	2,636,904
Options written		1,207			2,317,068			4,982			18,059,094
Options terminated in closing purchase transactions		(501	)		(911,842	)		(1,872	)		(7,032,710	)
Options expired		(177	)		(220,370	)		(701	)		(1,206,726	)
Options exercised		(581	)		(2,001,151	)		(2,301	)		(10,133,222	)
Outstanding, end of period		653		$	1,507,045			705		$	2,323,340

The average number of both call and put options written outstanding during the three months ended March 31, 2016 and year ended December 31, 2015, was as follows:

	Three Months Ended March 31, 2016		Year Ended December 31,  2015
Average number of options written outstanding*		679		704

* 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 respective period.

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

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

15

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Unaudited)

March 31, 2016

2. Summary of Significant Accounting Policies (Continued)

counterparty based on the terms of the agreements. The Fund manages its cash collateral and securities collateral on a counterparty basis. As of March 31, 2016 and December 31, 2015, 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 March 31, 2016 and December 31, 2015, 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.

	March 31, 2016
	Counterparty		Short-Term Investments, at Value		Collateral Pledged (From) Counterparty*			Net Exposure
Repurchase Agreements		State Street Bank	$	30,803,698	$	(30,803,698	)	$	—
	December 31, 2015
	Counterparty		Short-Term Investments, at Value		Collateral Pledged (From) Counterparty*			Net Exposure
Repurchase Agreements		State Street Bank	$	1,293,949	$	(1,293,949	)	$	—

* As of March 31, 2016 and December 31, 2015, 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 March 31, 2016 and December 31, 2015 was $31,421,261 and $1,321,469, 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 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.

16

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

March 31, 2016

2. Summary of Significant Accounting Policies (Continued)

Investment Valuation

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

Level 1—Inputs are unadjusted and prices are determined by quoted prices in active markets for identical securities.

Level 2—Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

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

17

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

March 31, 2016

2. Summary of Significant Accounting Policies (Continued)

The inputs or methodologies used for valuing securities are not an indication of the risks associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of March 31, 2016 and December 31, 2015:

	March 31, 2016
	Level 1			Level 2		Level 3		Total
Short-Term Investments:
U.S. Government and Agency Obligations	$	—		$	219,051,803	$	—	$	219,051,803
Repurchase Agreements		—			30,803,698		—		30,803,698
Investments in Derivatives:
Futures Contracts*		1,262,027			—		—		1,262,027
Options Written		(1,400,876	)		—		—		(1,400,876	)
Total	$	(138,849	)	$	249,855,501	$	—	$	249,716,652
	December 31, 2015
	Level 1			Level 2		Level 3		Total
Short-Term Investments:
U.S. Government and Agency Obligations	$	—		$	228,580,099	$	—	$	228,580,099
Repurchase Agreements		—			1,293,949		—		1,293,949
Investments in Derivatives:
Futures Contracts*		2,551,944			—		—		2,551,944
Options Written		(2,283,151	)		—		—		(2,283,151	)
Total	$	268,793		$	229,874,048	$	—	$	230,142,841

* 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.

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.

18

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

March 31, 2016

2. Summary of Significant Accounting Policies (Continued)

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 costs and expenses of its operations, including 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 has incurred certain costs and expenses. Such amounts are recognized as a component of “Accrued conversion expenses” on the Statements of Financial Condition and “Conversion expenses” on the Statements of Operations, when applicable.

Calculation of Net Asset Value

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

Distributions

The Fund intends to make regular monthly distributions to its shareholders stated in terms of a fixed cents per share distribution rate. 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

19

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

March 31, 2016

2. Summary of Significant Accounting Policies (Continued)

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.

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 March 31, 2016 and December 31, 2015, the financial instruments held by the Fund were traded on an exchange and are standardized contracts.

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

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

20

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

March 31, 2016

2. Summary of Significant Accounting Policies (Continued)

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)

March 31, 2016

3. Derivative Instruments and Hedging Activities (Continued)

The following tables present the fair value of all derivative instruments held by the Fund as of March 31, 2016 and December 31, 2015, the location of these instruments on the Statements of Financial Condition and the primary underlying risk exposure.

		March 31, 2016
		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	$	2,136,083	Unrealized depreciation on futures contracts	$	874,056
Commodity	Call Options	—		—	Options written, at value		438,803
Commodity	Put Options	—		—	Options written, at value		962,073
Total			$	2,136,083		$	2,274,932

		December 31, 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	$	3,698,613	Unrealized depreciation on futures contracts	$	1,146,669
Commodity	Call Options	—		—	Options written, at value		160,940
Commodity	Put Options	—		—	Options written, at value		2,122,211
Total			$	3,698,613		$	3,429,820

The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized on derivative instruments during the three months ended March 31, 2016 and March 31, 2015, the location of these instruments on the Statements of Operations and the primary underlying risk exposure.

Commodity Risk Exposure	Three Months Ended March 31, 2016			Three Months Ended March 31, 2015
Net realized gain (loss) from:
Futures contracts	$	(5,864,976	)	$	(602,725	)
Options written (call options)		280,180			588,609
Options written (put options)		2,322,817			2,639,969
Change in net unrealized appreciation (depreciation) of:
Futures contracts	$	(1,289,917	)	$	1,865,883
Options written (call options)		(167,048	)		(119,161	)
Options written (put options)		233,028			(593,490	)

22

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

March 31, 2016

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) 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) in open-market transactions at the Manager’s discretion.

The Fund did not have any transactions in share repurchases during the three months ended March 31, 2016 and year ended December 31, 2015.

23

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

March 31, 2016

6. Financial Highlights

The following financial highlights relate to investment performance and operations for a Fund share outstanding during the three months ended March 31, 2016 and March 31, 2015. 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 March 31,
	2016			2015
Net Asset Value:
Net asset value per share—beginning of period	$	16.45		$	17.94
Net investment income (loss)		(0.06	)		(0.07	)
Net realized and unrealized gain (loss)		(0.26	)		0.22
Distributions		(0.27	)		(0.37	)
Net asset value per share—end of period	$	15.86		$	17.72
Market Value:
Market value per share—beginning of period	$	15.54		$	16.60
Market value per share—end of period	$	15.06		$	16.68
Ratios to Average Net Assets(a):
Net investment income (loss)		(1.47	)%		(1.67	)%
Expenses		1.78	%		1.73	%
Total Returns:(b)
Based on Net Asset Value		(1.95	)%		0.86	%
Based on Market Value		(1.37	)%		2.73	%

(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, U.S. government securities and other 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 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. As of March 31, 2016 the Conversion remains subject to the receipt of regulatory approvals.

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, and changes to the Fund’s investment strategy, name and distribution policy. 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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On March 2, 2016, the Fund announced an update on the expected time frame for the Conversion. Assuming receipt of regulatory approvals, the Conversion is expected to be completed in the second quarter of 2016. The Conversion requires regulatory clearance, including the adoption of a new exchange rule pursuant to which the Fund’s shares will trade following the Conversion. The Fund has been working with the NYSE MKT, which has initiated the rule making process for the new rule, which will ultimately require approval by the SEC. There can be no assurance that such clearance will be obtained, or if obtained, that the Conversion will be completed in the anticipated time frame.

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 the 1940 Act. Until the Conversion occurs, the Fund will continue to operate as currently structured.

Results of Operations

The Quarter Ended March 31, 2016 – Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $15.06 on the close of business on March 31, 2016. This represents a decrease of 3.09% in share price (not including an assumed reinvestment of distributions) from the $15.54 price at which the shares of the Fund traded on the close of business on December 31, 2015. The high and low intra-day share prices for the quarter were $15.72 (January 12, 2016) and $14.92 (March 30, 2016), respectively. During the quarter, the Fund declared distributions totaling $0.270 per share to shareholders, of which $0.090 was paid on April 1, 2016. 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 -1.37%. At March 31, 2016, shares of the Fund traded at a 5.04% discount to the Fund’s net asset value of $15.86 per share.

The Quarter Ended March 31, 2015 – Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $16.68 on the close of business on March 31, 2015. This represents an increase of 0.48% 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 quarter were $17.06 (January 26, 2015) and $16.31 (February 26, 2015), respectively. During the quarter, the Fund declared distributions totaling $0.373 per share to shareholders, of which $0.119 was paid on April 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 2.73%. At March 31, 2015, shares of the Fund traded at a 5.87% discount to the Fund’s net asset value of $17.72 per share.

The Quarter Ended March 31, 2016 – Net Assets of the Fund

The Fund’s net assets decreased from $269.0 million at December 31, 2015, to $259.2 million at March 31, 2016, a decrease of $9.8 million. The decrease in the Fund’s net assets was due to a net loss of $5.3 million, in addition to approximately $4.5 million of distributions to shareholders.

The Fund generated a net loss of $5.3 million for the quarter ended March 31, 2016, resulting from interest income of $0.2 million, offset by expenses of $1.2 million, net realized losses of $3.2 million and change in net unrealized depreciation of $1.1 million.

During the quarter ended March 31, 2016, the Fund’s collateral investments generated interest income of $206,756, which represents 0.08% of average net assets for the quarter ended March 31, 2016.

The net asset value per share on March 31, 2016, was $15.86. This represents a decrease of 3.59% in net asset value (not including an assumed reinvestment of distributions) from the $16.45 net asset value as of December 31, 2015. During the quarter, the Fund declared distributions totaling $0.270 per share to shareholders, of which $0.090 was paid on April 1, 2016. When an assumed reinvestment of these distributions is taken into account, the cumulative total return for the Fund on net asset value was -1.95% for the quarter ended March 31, 2016.

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The Quarter Ended March 31, 2015 – Net Assets of the Fund

The Fund’s net assets decreased from $293.2 million at December 31, 2014, to $289.7 million at March 31, 2015, a decrease of $3.5 million. The decrease in the Fund’s net assets was due to net income of $2.6 million, offset by $6.1 million of distributions to shareholders.

The Fund generated net income of $2.6 million for the quarter ended March 31, 2015, resulting from net realized gains of $2.6 million, change in net unrealized appreciation of $1.2 million, offset by total expenses of $1.2 million.

During the quarter ended March 31, 2015, the Fund’s collateral investments generated interest income of $48,480, which represents 0.02% of average net assets for the quarter ended March 31, 2015.

The net asset value per share on March 31, 2015, was $17.72. This represents a decrease of 1.23% in net asset value (not including an assumed reinvestment of distributions) from the $17.94 net asset value as of December 31, 2014. The Fund declared distributions totaling $0.373 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 0.86% for the quarter ended March 31, 2015.

The Quarter Ended March 31, 2016 – Overall Commodity Market Commentary

After a volatile start, the broad commodity market, as measured by the long-only Bloomberg Commodity Index (“BCOM”), ended with a slight gain for the first quarter of 2016. In early January, worldwide financial market turmoil sent global equity and commodity prices tumbling. Risk aversion intensified as the World Bank downgraded its global growth forecast, persistent global supply gluts pushed crude oil prices below $30 per barrel, and concerns about how quickly the U.S. Federal Reserve (the “Fed”) intended to raise short-term interest rates. The Bank of Japan added to the turmoil in the markets with its surprise decision in January to join Europe in adopting a negative interest rate policy.

However, later in February, the commodity market began to rebound. Investor sentiment improved amid signals that fewer-than-expected Fed rate increases were likely in 2016 and speculation that members of the Organization of the Petroleum Exporting Countries (OPEC) and Russia might agree to a production freeze at an upcoming April meeting. With the Fed’s more dovish tone, the U.S. dollar weakened appreciably relative to major world currencies, including those of emerging markets, which provided an additional tailwind to commodity prices.

Weather continued to influence commodities, as El Niño-induced droughts bolstered soybean oil and sugar prices, in particular, during the quarter. However, the El Niño pattern is now waning and investors are monitoring forecasts for a 2016 La Niña weather phenomenon, which produces the opposite effects. Additionally during the quarter, terrorist attacks at Belgium’s Brussels airport and transit system, an Ivory Coast beach and a Nigerian oil pipeline, disrupted financial markets, although the impact on commodity markets of these attacks was temporary.

The fundamental outlook for many commodities continued to be challenging. Notably, crude oil, natural gas, corn, copper and nickel remained in oversupply conditions, which pressured prices for these commodities during the quarter. The long-only BCOM as a whole gained 0.4% for the quarter, buoyed by a double-digit return in gold, while the Fund’s benchmark index, the Morningstar^® Long/Short Commodity Index^SM (the “Index”), fell 3.6%. Within the Index, the livestock group was the best-performing group, followed by agriculture and metals, although all three groups had negative absolute performance for the quarter. Energy was flat in the Index.

The Quarter Ended March 31, 2015 – Overall Commodity Market Commentary

The BCOM fell 5.9% for the quarter, while the Index (the Morningstar^® Long/Short Commodity Index^SM, which is the Fund’s benchmark), rose 2.7%. Within the Index, the agriculture and livestock groups advanced, the energy group was held as a flat position, and the metals group declined for the quarter.

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The largest group by weight, energy commodities represented 49.5% of the Index at the end of the quarter. In the broad market, all energy commodities except unleaded gasoline traded lower over the quarter. Crude oil continued to reel from the OPEC decision at year-end to maintain production levels despite falling prices, as well as expectations for weakening global demand amid a strong U.S. dollar and weak economic data in China and Europe. Natural gas prices also suffered amid plentiful supply due to record production and softer demand expectations driven by mild weather forecasts. Unleaded gas and heating oil fared slightly better, as a U.S. refinery strike in February and cold weather hampered refining capacity. Lower gas prices also bolstered consumer demand in the U.S., China and India. The Index maintained flat positions across all energy commodities for the period.

Agriculturalcommodities made up 29.6% of the Index at the end of the quarter. All agriculture commodities except for cotton declined in the broad market during the first quarter. Wheat was dragged down by its sensitivity to the strong U.S. dollar, which makes foreign crops seem cheaper in comparison. Corn prices fell on news that U.S. stockpiles and spring planting estimates were larger than analysts expected. Sugar and Arabica coffee, which are predominantly produced in Brazil, experienced sharp sell-offs as growing conditions were expected to improve with favorable weather forecasts and as weakness in the Brazilian currency encourages exports, which could further contribute to global supply gluts. Cocoa futures also lost value amid waning chocolate demand, especially in the emerging markets, and an expected bumper crop in the Ivory Coast. In contrast, cotton prices rallied on the back of strong U.S. export sales and lower expected plantings in the U.S. The Index’s agriculture group gained 9.4% for the period.

The Index includes three metals: gold, silver and copper, which totaled 14.4% of the Index at the end of the quarter. Gold prices were volatile in the broad market during the quarter, topping $1,300 per ounce in January, then falling below $1,150 in mid-March, and advancing in the final weeks of the period to end close to where they started. Silver, however, was one of the few commodities in the broad market with a positive return for the quarter, bolstered by a rally early in the quarter and a late-March short-covering rally in which traders drove prices higher as they bought back contracts to cover open short positions. Concerns about China’s economic slowdown and the strengthening U.S. dollar continued to hamper copper prices. The metals group was down 1.5% in the Index for the period.

Livestock is the smallest group, comprising 6.5% of the Index at the end of the quarter. Lean hogs were the worst performing commodity in the broad market, plunging 23.7% in the BCOM during the quarter. Supply continued to outpace demand for several reasons. U.S. exports slackened, due to the stronger U.S. dollar and a port strike in California that created a bottleneck for sales to Asia. Meanwhile, a seasonal increase in a fatal pig virus did not materialize as expected, and cheaper feed costs resulting from weaker grain prices continued to encourage farmers to bulk up their hogs. Live cattle had a slightly negative return in the broad market for the quarter. Overall, the Index’s livestock group rose 8.2% for the period.

The Quarter Ended March 31, 2016 – Fund Commodity Portfolio Commentary

The Fund’s commodity portfolio declined 1.7% for the quarter (before considering the expenses of the Fund or the performance of its collateral portfolio). The Fund underperformed the BCOM, which was up 0.4%, but beat the Index, which lost 3.6%. 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 -1.95%.

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

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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 for soybean oil, gold and lean hogs, 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.

On an absolute performance basis, the Fund outperformed the Index in the metals and agriculture groups but lagged in the livestock group during the quarter. The energy group had neutral performance.

In the metals group, the Fund significantly outpaced the Index on an absolute return basis, largely due to its better performance in gold. Gold and silver benefited from robust investor demand for perceived “safe haven” assets during the quarter, as well as weakness in the U.S. dollar. Although both the Fund and Index began the quarter with short positions, which hurt performance as gold rallied, the Fund benefited from an earlier flip to a long position that captured more of the price increase. During the flip from short to long, the Fund sold call options on gold and collected additional premiums which benefited its performance.

Although both the Fund and the Index experienced negative performance in the agriculture group, the Fund’s loss was partly mitigated by more advantageous timing in establishing a long position in sugar. As sugar prices advanced later in the quarter, the Fund’s earlier move resulted in significant outperformance relative to the Index. Sugar rallied in the broad market on expectations for a global production deficit, rising demand for sugar-based ethanol, and favorable currency movements. The Fund’s cotton position also posted a better return than the Index’s. Cotton prices were pressured lower by concerns about China selling state reserves and weakening demand. The Fund was short cotton the entire quarter, benefiting fully from the price decline, whereas the Index established a short position in mid-January. Elsewhere in the group, a choppy trading environment for soybean oil caused the Fund to suffer some whipsaw effect, which was detrimental to performance, whereas the Index experienced less frequent position changes. However, during these position changes, the Fund was able to sell additional options on soybean oil and collect premiums that contributed positively to performance.

The Fund’s livestock position trailed that of the Index on an absolute return basis, with relatively weaker results mainly in lean hogs. Lean hogs prices rose in the broad market due to supply disruptions and stronger demand. Both the Fund and the Index began the quarter short lean hogs, and the Fund incurred further losses flipping between long and short positions during February and March. The Index flipped to long lean hogs once during the quarter, in March. However, the Fund collected additional premiums from call options it wrote on lean hogs during the position changes, which was beneficial to performance.

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

The Quarter Ended March 31, 2015 – Fund Commodity Portfolio Commentary

The Fund’s commodity portfolio returned 1.3% 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 fell 5.9%, but underperformed the Index, which returned 2.7%. The Fund’s total return on net asset value for the same period,

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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 0.86%.

The Fund may write – that is, sell – put and call options on up to 25% of the value 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 soybean meal, gold, cocoa, 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 agriculture position was the largest detractor from performance relative to the Index, followed by livestock and metals, while energy had a neutral impact.

The Fund’s agriculture position gained 6.7% for the period, but lagged the Index’s 9.4% return. The Fund’s relative underperformance was primarily due to its soybean meal position. Soybean meal prices were choppy during the quarter, which caused excess flipping activity for the Fund, resulting in the Fund experiencing a whipsaw effect. However, the Fund collected additional option premium by selling both puts and calls on soybean meal during these position changes, which helped offset some of the negative impact of the whipsaw effect. The Fund’s coffee position was another relative detractor within the group. Although coffee was the best performing commodity in the Index, up 24.4% for the quarter, the Fund’s coffee options, flipping activity and contract selection were unfavorable during the quarter as the Fund’s coffee positions only gained 17.9% for the quarter. The Fund also sold additional call options on cocoa, collecting extra premium for the Fund and mitigating some of the drag on performance caused by the Fund’s intra-quarter flip in cocoa.

The Fund’s livestock position was up 2.7% for the period, falling short of the Index’s 8.2% gain. The Fund’s underperformance was chiefly driven by its live cattle position. Here the Fund had been long since the third quarter of 2013 but experienced unfavorable flipping activity from late January through late March, while the Index flipped only once from long to short in March, hurting relative performance against the Index. However, during this time, the Fund did benefit from selling additional options on live cattle and collecting the premiums.

In the metals group, the Fund was down 2.9% for the period, underperforming the Index, which was down 1.5%. The Fund continued to hold short positions in all three metals, as it has since the third quarter of 2014. Relative performance was hurt by flipping activity in the Fund’s gold position. However, the Fund was able to collect additional option premium by selling more gold options during that time, which offset some of the underperformance.

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Within the energy group, both the Fund and the Index have maintained flat positions across all energy commodities since the third quarter of 2014.

Fund Total Returns

The following table presents selected total returns for the Fund and Index as of March 31, 2016. 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 March 31, 2016
	Cumulative			Average Annual
	3 Months			1 Year			Since Inception
Market Value		-1.37	%		-2.55	%		-5.53	%
Net Asset Value		-1.95	%		-3.76	%		-3.74	%
Index		-3.58	%		-3.88	%		-0.84	%

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

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

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.

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.

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Commodity Portfolio Composition and Weightings

The table below presents the composition and weightings of the Fund’s commodity portfolio and the Index as of March 31, 2016. 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 March 31, 2016.

		Fund				Index
Commodity Group	Commodity	Exposure (1)	Composition			Exposure (1)	Composition
Energy	Crude Oil	Flat		20.49	%	Flat		20.52	%
	Heating Oil	Flat		16.68	%	Flat		16.71	%
	Natural Gas	Flat		7.12	%	Flat		7.13	%
	Unleaded Gas	Flat		6.58	%	Flat		6.59	%
				50.87	%			50.95	%
Agriculture	Soybean	Short		7.88	%	Short		7.91	%
	Corn	Short		7.28	%	Short		7.13	%
	Soybean Meal	Short		3.14	%	Short		3.13	%
	Wheat	Short		2.80	%	Short		2.82	%
	Coffee	Short		2.30	%	Short		2.27	%
	Sugar	Long		2.10	%	Long		2.08	%
	Soybean Oil	Long		1.82	%	Long		1.84	%
	Cotton	Short		1.55	%	Short		1.57	%
	Cocoa	Short		1.42	%	Short		1.40	%
				30.29	%			30.15	%
Metals	Gold	Long		8.22	%	Long		8.26	%
	Silver	Long		3.04	%	Long		3.07	%
	Copper	Short		2.53	%	Short		2.51	%
				13.79	%			13.84	%
Livestock	Live Cattle	Short		3.74	%	Short		3.75	%
	Lean Hogs	Short		1.31	%	Long		1.31	%
				5.05	%			5.06	%
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 three months ended March 31, 2016.

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 March 31, 2016, 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 March 31, 2016.

Long Futures Contracts

Commodity Group	Contract	Contract Position		Contract Expiration		Number of Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Agriculture	Sugar
	ICE Sugar Futures Contract		Long		May 2016		72	$	0.1535		112,000	$	1,237,824
	ICE Sugar Futures Contract		Long		July 2016		236		0.1545		112,000		4,083,744
	Soybean Oil
	CBOT Soybean Oil Futures Contract		Long		May 2016		213		0.3422		60,000		4,373,316
	CBOT Soybean Oil Futures Contract		Long		July 2016		17		0.3444		60,000		351,288
Metals	Gold
	CEC Gold Futures Contract		Long		June 2016		172		1,235.6000		100		21,252,320
	Silver
	CEC Silver Futures Contract		Long		May 2016		90		15.4640		5,000		6,958,800
	CEC Silver Futures Contract		Long		July 2016		12		15.5020		5,000		930,120
Livestock	Lean Hogs
	CME Lean Hogs Futures Contract		Long		June 2016		8		0.8085		40,000		258,720

Short Futures Contracts

Commodity Group	Contract	Contract Position		Contract Expiration		Number of Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Agriculture	Soybean
	CBOT Soybean Futures Contract		Short		May 2016		266	$	9.1075		5,000	$	(12,112,975	)
	CBOT Soybean Futures Contract		Short		July 2016		193		9.1775		5,000		(8,856,288	)
	Corn
	CBOT Corn Futures Contract		Short		May 2016		519		3.5150		5,000		(9,121,425	)
	CBOT Corn Futures Contract		Short		July 2016		434		3.5575		5,000		(7,719,775	)
	Soybean Meal
	CBOT Soybean Meal Futures Contract		Short		May 2016		63		270.3000		100		(1,702,890	)
	CBOT Soybean Meal Futures Contract		Short		July 2016		241		273.1000		100		(6,581,710	)
	Wheat
	CBOT Wheat Futures Contract		Short		May 2016		68		4.7350		5,000		(1,609,900	)
	CBOT Wheat Futures Contract		Short		July 2016		250		4.8075		5,000		(6,009,375	)
	Coffee
	ICE Coffee C Futures Contract		Short		May 2016		17		1.2745		37,500		(812,494	)
	ICE Coffee C Futures Contract		Short		July 2016		94		1.2955		37,500		(4,566,637	)
	Cotton
	ICE Cotton Futures Contract		Short		May 2016		22		0.5844		50,000		(642,840	)
	ICE Cotton Futures Contract		Short		July 2016		122		0.5831		50,000		(3,556,910	)
	Cocoa
	ICE Cocoa Futures Contract		Short		May 2016		17		2,950.0000		10		(501,500	)
	ICE Cocoa Futures Contract		Short		July 2016		94		2,959.0000		10		(2,781,460	)
Metals	Copper
	CEC Copper Futures Contract		Short		July 2016		109		2.1910		25,000		(5,970,475	)
Livestock	Live Cattle
	CME Live Cattle Futures Contract		Short		April 2016		26		1.3293		40,000		(1,382,420	)
	CME Live Cattle Futures Contract		Short		June 2016		152		1.2403		40,000		(7,540,720	)
	Lean Hogs
	CME Lean Hogs Futures Contract		Short		April 2016		19		0.6835		40,000		(519,460	)

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Commodity Call Options Written

Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price			Value
Agriculture	Sugar
	ICE Sugar Futures Options		April 2016		(46	)	$	13.50		$	(96,342	)
	Soybean Oil
	CBOT Soybean Oil Futures Options		April 2016		(34	)		31.00			(66,606	)
	Cocoa
	ICE Cocoa Futures Options		April 2016		(17	)		3,100.00			(170	)
Metals	Gold
	CEC Gold Futures Options		May 2016		(26	)		1,150.00			(236,860	)
	Silver								��
	CEC Silver Futures Options		April 2016		(15	)		15.25			(35,625	)
Livestock	Lean Hogs
	CME Lean Hogs Futures Options		April 2016		(16	)		69.00			(3,200	)

Commodity Put Options Written

Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Agriculture	Soybean
	CBOT Soybean Futures Options		April 2016		(70	)	$	920.00	$	(58,625	)
	Corn
	CBOT Corn Futures Options		April 2016		(142	)		400.00		(346,125	)
	Soybean Meal
	CBOT Soybean Meal Futures Options		April 2016		(46	)		300.00		(138,000	)
	Wheat
	CBOT Wheat Futures Options		April 2016		(47	)		510.00		(91,650	)
	Coffee
	ICE Coffee C Futures Options		April 2016		(17	)		135.00		(50,490	)
	Sugar
	ICE Sugar Futures Options		April 2016		(46	)		13.50		(1,030	)
	Soybean Oil
	CBOT Soybean Oil Futures Options		April 2016		(34	)		31.00		(918	)
	Cotton
	ICE Cotton Futures Options		April 2016		(22	)		64.00		(61,820	)
	Cocoa
	ICE Cocoa Futures Options		April 2016		(17	)		3,100.00		(25,500	)
Metals	Silver
	CEC Silver Futures Options		April 2016		(15	)		15.25		(19,575	)
Livestock	Live Cattle
	CME Live Cattle Futures Options		April 2016		(26	)		148.00		(156,780	)
	CME Live Cattle Futures Options		June 2016		(1	)		134.00		(4,200	)
	Lean Hogs
	CME Lean Hogs Futures Options		April 2016		(16	)		69.00		(7,360	)

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 March 31, 2016, the Fund held U.S. Treasury bills worth $219,051,803 with a par value of $219,500,000, and a repurchase agreement worth $30,803,698.

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, 2015, 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

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, 2015, filed with the SEC.

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

a) None.

b) The Fund did not issue new shares within the three month period ended on March 31, 2016.

c) On March 14, 2013, the Fund adopted an open-market share repurchase program, pursuant to which it was authorized to repurchase an aggregate of up to 10% of its outstanding common shares (approximately 1,800,000 shares) in open-market transactions at the Manager’s discretion. On March 6, 2014, the Fund reauthorized its share repurchase program, pursuant to which it may repurchase an aggregate of up to 10% of its outstanding common shares as of the reauthorization date (approximately 1,775,000 shares). During the three month period ended March 31, 2016, the Fund did not repurchase any shares. 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 May 9, 2016.

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

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

Nuveen Commodities Asset Management, LLC

Manager of Registrant

/s/ William Adams IV

President

(Principal Executive Officer)

May 9, 2016

/s/ Stephen D. Foy

Chief Financial Officer

(Principal Financial and Accounting Officer)

May 9, 2016

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