UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number 811-09037

Nuveen Investment Trust III

(Exact name of registrant as specified in charter)

Nuveen Investments

333 West Wacker Drive Chicago, IL 60606

(Address of principal executive offices) (Zip code)

Kevin J. McCarthy

Nuveen Investments

333 West Wacker Drive Chicago, IL 60606

(Name and address of agent for service)

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

Date of fiscal year end: September 30

Date of reporting period: March 31, 2008

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

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss.3507.

Item 1. Reports to Stockholders.

NUVEEN INVESTMENTS MUTUAL FUNDS

Semi-Annual Report   dated March 31, 2008   Attractive Monthly Income and Portfolio Diversification Potential

Nuveen Investments

Taxable Bond Funds

Nuveen Short Duration Bond Fund

Nuveen Multi-Strategy Income Fund

Nuveen High Yield Bond Fund

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

“No one knows what the future will bring, which is why we think a well balanced portfolio that is structured and carefully monitored with the help of an investment professional is an important component in achieving your long term financial goals.”

Dear Shareholder:

I am pleased to report that over the six-month period covered by this report your Fund continued to provide you with attractive monthly income. For more details about the performance and management strategy of your Fund, please read the Portfolio Manager’s Comments and Fund Spotlight sections of this report.

With the recent volatility in the stock market, many have begun to wonder which way the market is headed, and whether they need to adjust their holdings of investments. No one knows what the future will bring, which is why we think a well-balanced portfolio that is structured and carefully monitored with the help of an investment professional is an important component in achieving your long term financial goals. A well diversified portfolio may actually help to reduce your overall investment risk, and we believe that investments like your Nuveen Investments Fund can be important building blocks in a portfolio crafted to perform well through a variety of market conditions.

As you look through this report, be sure to review the inside front cover. This contains information on how you can receive future Fund reports and other Fund information faster by using e-mails and the internet. You may also help your Fund reduce expenses. Sign up is quick and easy – just follow the step-by-step instructions.

At Nuveen Investments, our mission continues to be to assist you and your financial advisor by offering investment services and products that can help you to secure your financial objectives. We are grateful that you have chosen us as a partner as you pursue your financial goals, and we look forward to continuing to earn your trust in the months and years ahead.

Sincerely,

Timothy R. Schwertfeger

Chairman of the Board

May 15, 2008

Semi-Annual Report    Page 1

Portfolio Manager’s Comments for the Nuveen Short Duration Bond Fund,

the Nuveen Multi-Strategy Income Fund¹ and the Nuveen High Yield Bond Fund

These Funds feature portfolio management by the Taxable Fixed Income group of Nuveen Asset Management. We recently spoke with Andrew Stenwall, Chief Investment Officer and Co-Director of Taxable Fixed Income at Nuveen Asset Management, and the Funds’ portfolio manager, about the economic environment, performance and management of the Funds during the six-month reporting period ended March 31, 2008.

How did the Funds perform during the six-month period ended March 31, 2008?

The table on page three provides performance information for the Funds’ Class A shares for the six-month, one-year, and since inception periods ended March 31, 2008. Each Fund’s returns are compared with a comparative index and Lipper peer fund category.

The six-month total returns on net asset value (NAV) of the Nuveen Short Duration Bond Fund and the Nuveen Multi-Strategy Income Fund underperformed their respective unmanaged benchmark indexes and exceeded their Lipper peer group averages. The Nuveen High Yield Bond Fund outperformed both its unmanaged benchmark index and Lipper peer group average during the reporting period.

What strategies were used to manage the Funds during the period? How did these strategies influence performance?

We continued to manage the Nuveen Short Duration Bond Fund and the Nuveen Multi-Strategy Income Fund with similar strategies. Both Funds invested principally in U.S. government securities; mortgage-related securities issued by governments, or their agencies, or instrumentalities; corporate debt securities; foreign debt securities; and asset-backed securities. In addition, in an effort to enhance returns and manage risk, both Funds employed a variety of strategies that might at various times include the use of futures, options, swaps, and other derivative instruments to create debt or foreign currency exposures, with each position designed to take advantage of the current global economic environment and the expected relative performance of different sectors of the fixed-income market.

Our exposure to U.S. Treasury securities, which performed well during the six-month period, provided the portfolios with their largest component of absolute return. The Funds also benefited from a relative lack of exposure to securities issued by U.S. government agencies, and from some foreign currency positions as the U.S. dollar weakened. In addition, the Funds exposure to U.K. debt did relatively well as the Bank of England cut rates as expected in early December – although not as much or as quickly as some had hoped.

On the negative side, one of the largest detractors to relative performance came from the Funds’ exposure to foreign interest rates and credit markets. As one example, our long exposure to Brazilian government and corporate debt lost ground as Brazilian futures unexpectedly rose sharply, implying potential rate hikes as inflationary pressures grew faster than anticipated. Inflation concerns were also an issue in New Zealand, where our two- and ten-year positions did not perform as anticipated.

Later in the period, the Funds’ net exposure to high yield bonds, which significantly underperformed U.S. Treasuries, was a large detractor to relative performance.

Discussions of specific investments are for illustration only and are not intended as recommendations of individual investments. The views expressed herein represent those of the portfolio manager as of the date of this report and are subject to change at any time, based on market conditions and other factors. The Funds disclaim any obligation to advise shareholders of such changes.

1 Effective August 1, 2007, the Nuveen Core Bond Fund changed its name to Nuveen Multi-Strategy Income Fund to better reflect the investment process of the manager. There have been no changes in the Fund’s investment objectives, policies or portfolio management personnel.

Semi-Annual Report    Page 2

Class A Shares—

Total Returns as of 3/31/08

		Average Annual
	Cumulative 6-Month	1-Year	Since Inception (12/20/2004)
Nuveen Short Duration Bond Fund A Shares at NAV A Shares at Offer	3.73% 1.63%	6.70% 4.59%	4.00% 3.36%
Lipper Short Investment Grade Debt Funds Index2	1.33%	3.46%	3.40%
Citigroup 1-3 Year Treasury Index3	5.46%	9.01%	4.82%
Nuveen Multi-Strategy Income Fund A Shares at NAV A Shares at Offer	3.26% -0.61%	5.29% 1.32%	3.77% 2.57%
Lipper Intermediate Investment Grade Debt Funds Index4	2.20%	4.01%	3.77%
Citigroup Broad Investment Grade Bond Index5	5.86%	8.41%	5.33%
Nuveen High Yield Bond Fund A Shares at NAV A Shares at Offer	-2.89% -7.48%	-1.48% -6.17%	4.53% 3.00%
Lipper High Current Yield Funds Index6	-4.65%	-4.05%	3.57%
Citigroup High Yield BB/B Index7	-3.11%	-2.31%	4.34%

Returns quoted represent past performance, which is no guarantee of future results. Returns at NAV would be lower if the sales charge were included. Returns less than one year are cumulative. Current performance may be higher or lower than the performance shown. Investment returns and principal value will fluctuate so that when shares are redeemed, they may be worth more or less than their original cost. Maximum sales charges for Class A shares of each Fund are 2.00% for Nuveen Short Duration Bond Fund, 3.75% for Nuveen Multi-Strategy Income Fund, and 4.75% for Nuveen High Yield Bond Fund. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares. For the most recent month-end performance, visit www.nuveen.com or call (800) 257-8787.

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

Despite no direct exposure to sub-prime mortgages, the Funds’ were relatively overweight in higher-coupon 30-year fixed mortgage-backed securities. These holdings suffered along with other mortgage-related securities which detracted from the Funds’ performance.

In the Nuveen High Yield Bond Fund, we generally invested at least 80% of the Fund’s assets in both domestic and foreign corporate high-yield debt securities. Generally, these securities were rated BB or below, or were unrated, at the time of purchase. The Fund focused primarily on BB and B rated credits while limiting exposure to CCC rated bonds to 10%. At times, in an effort to hedge risk, enhance returns, or substitute for a position, the Fund also invested in futures, total return swaps, credit derivatives or other fixed income derivative instruments.

2 The Lipper Short Investment Grade Debt Funds Index represents the cumulative or average annualized total returns for the 30 largest funds in the Lipper Short Investment Grade Debt Funds Category for the period ended March 31, 2008. The returns account for the effects of management fees and assume reinvestment of dividends, but do not reflect any applicable sales charges. You cannot invest directly in a Lipper index.

3 The Citigroup 1-3 Year Treasury Index is an index comprised of U.S. Treasury Notes and Bonds with maturities of one year or greater, but less than three years (minimum amount outstanding is $1 billion per issue). The since inception data for the Index represents returns for the period 12/31/04 – 3/31/08, as returns for the Index are calculated on a calendar-month basis. An index is not available for direct investment.

4 The Lipper Intermediate Investment Grade Debt Funds Index represents the cumulative or average annualized total returns for the 30 largest funds in the Lipper Intermediate Investment Grade Debt Funds Category for the period ended March 31, 2008. The returns account for the effects of management fees and assume reinvestment of dividends, but do not reflect any applicable sales charges. You cannot invest directly in a Lipper index.

5 The Citigroup Broad Investment Grade Bond Index (the “BIG” Index) is an unmanaged index generally considered representative of the U.S. investment grade bond market. The since inception data for the Index represents returns for the period 12/31/04 – 3/31/08, as returns for the Index are calculated on a calendar-month basis. An index is not available for direct investment.

6 The Lipper High Current Yield Funds Index represents the cumulative or average annualized total returns for the 30 largest funds in the Lipper High Current Yield Funds Category for the period ended March 31, 2008. The returns account for the effects of management fees and assume reinvestment of dividends, but do not reflect any applicable sales charges. You cannot invest directly in a Lipper index.

7 The Citigroup High Yield BB/B Index is a market capitalization-weighted index that comprises all high-yield issues rated BB or B by Standard & Poor’s for which Citigroup calculates a monthly return. The since inception data for the Index represents returns for the period 12/31/04 – 3/31/08, as returns for the Index are calculated on a calendar-month basis. An index is not available for direct investment.

Semi-Annual Report    Page 3

In general, high yield securities did not perform as well as higher-rated or government issues, but their yields did tend to cushion some of their price volatility.

The Fund benefited from both sector and individual security selection. For example, the Fund had relative underweights in some of the period’s worst performing sectors such as autos, finance, forest & paper products and gaming. Conversely, it had relative overweights in better performing sectors such as aerospace, health care, utilities and chemicals. The portfolio also continued to benefit from investments in total return swaps.

On the negative side, the Fund also had relative overweights to sectors such as the retail, transportation, broadcasting and cable, which underperformed the broader high yield market. In addition, a relative underweight to energy and electric utilities sectors was a negative contributor to relative performance.

Dividend Information

Each Fund seeks to pay dividends at a rate that reflects the past and projected performance of the Fund. To permit a Fund to maintain a more stable monthly dividend, the Fund may pay dividends at a rate that may be more or less than the amount of net investment income actually earned by the Fund during the period. If the Fund has cumulatively earned more than it has paid in dividends, it will hold the excess in reserve as undistributed net investment income (UNII) as part of the Fund’s net asset value. Conversely, if the Fund has cumulatively paid in dividends more than it has earned, the excess will constitute a negative UNII that will likewise be reflected in the Fund’s net asset value. Each Fund will, over time, pay all its net investment income as dividends to shareholders.

As of March 31, 2008, the Nuveen Short Duration Bond Fund, the Nuveen Multi-Strategy Income Fund, and the Nuveen High Yield Bond Fund had a negative UNII balance for financial statement purposes and a positive UNII balance, based upon our best estimate, for tax purposes.

During this reporting period, the Short Duration Bond Fund’s A and R shares had no change in their regular monthly dividends, while the C shares had one monthly decrease. The Multi-Strategy Income Fund’s A and R shares had no change in their regular monthly dividends, while the B and C shares each had one monthly decrease. The High Yield Bond Fund’s A and R shares had one increase and one decrease in their regular monthly dividends, while the B and C share classes had no change.

Semi-Annual Report    Page 4

Fund Spotlight as of 3/31/08 Nuveen Short Duration Bond Fund

Quick Facts
	A Shares	C Shares	R Shares6
NAV	$19.68	$19.70	$19.66
Latest Monthly Dividend1	$0.0730	$0.0605	$0.0770
Inception Date	12/20/04	12/20/04	12/20/04

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

Returns reflect differences in sales charges and expenses, which are primarily differences in distribution and service fees. Fund returns assume reinvestment of dividends and capital gains. Class A shares have a 2% maximum sales charge. Class C shares have a 1% CDSC for redemptions within less than one year, which is not reflected in the one-year total return. Class R shares have no sales charge and may be purchased under limited circumstances or by specified classes of investors.

Average Annual Total Returns as of 3/31/08
A Shares	NAV	Offer
1-Year	6.70%	4.59%
Since Inception	4.00%	3.36%
C Shares	NAV
1-Year	5.97%
Since Inception	3.24%
R Shares	NAV
1-Year	7.03%
Since Inception	4.23%
Yields
A Shares	NAV	Offer
Dividend Yield4	4.45%	4.36%
30-Day Yield4	2.72%	—
SEC 30-Day Yield5	—	2.66%
C Shares	NAV
Dividend Yield4	3.69%
SEC 30-Day Yield5	1.95%
R Shares	NAV
Dividend Yield4	4.70%
SEC 30-Day Yield5	3.01%

Portfolio Credit Quality²

Portfolio Allocation³

Net Assets ($000) $26,460

Expense Ratios
Share Class	Gross Expense Ratios	Net Expense Ratios	As of Date
Class A	1.93%	0.58%	9/30/07
Class C	2.42%	1.34%	9/30/07
Class R	1.34%	0.34%	9/30/07

The expense ratios shown factor in Total Annual Fund Operating Expenses including management fees and other fees and expenses. The Net Expense Ratios reflect a contractual commitment by the Fund’s investment adviser to waive fees and reimburse certain expenses through January 31, 2009, and a custodian fee credit whereby certain fees and expenses are reduced by credits earned of the Fund’s cash on deposit with the bank. Absent the waiver, reimbursement and credit, expenses would be higher and total returns would be less.

1 Paid April 1, 2008. This is the latest monthly dividend declared during the period ended March 31, 2008.

2 As a percentage of total investments (excluding repurchase agreements, call swaptions written and derivative transactions) as of March 31, 2008. The ratings disclosed are using the higher of Standard & Poor’s Group (“Standard & Poor’s”) or Moody’s Investor Service, Inc. (“Moody’s”) rating. Ratings below BBB by Standard & Poor’s or Baa by Moody’s are considered to be below investment grade. Holdings are subject to change.

3 As a percentage of total investments (excluding call swaptions written and derivative transactions) as of March 31, 2008. Holdings are subject to change.

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

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

6 Effective May 1, 2008, Class R Shares will be renamed Class I Shares. See the Fund’s prospectus for more information.

Semi-Annual Report    Page 5

Fund Spotlight as of 3/31/08 Nuveen Short Duration Bond Fund

Corporate Debt: Industries1
Electric Utilities	12.9%
Diversified Telecommunications Services	7.9%
Commercial Banks	6.7%
Aerospace & Defense	6.1%
Commercial Services & Supplies	5.6%
Multi-Utilities	5.0%
Computers & Peripherals	4.8%
Diversified Financial Services	4.5%
Media	4.2%
Wireless Telecommunications Services	4.0%
Beverages	3.2%
Oil, Gas & Consumable Fuels	3.1%
Food Products	2.9%
Road & Rail	2.2%
Energy Equipment & Services	2.2%
Household Products	2.1%
Electrical Equipment	1.9%
Communications Equipment	1.9%
Industrial Conglomerates	1.8%
Software	1.8%
Other	15.2%

1 As a percentage of total corporate debt holdings as of March 31, 2008. Corporate debt holdings include corporate bonds (high-yield investment grade rated), senior loans, and any other debt instruments issued by a corporation (or that references a corporation) held by the Fund at the end of the reporting period. Other corporate debt represents the total of all corporate debt industries that recalculated to less than 1.5% of total corporate debt holdings. Holdings are subject to change.

Expense Example

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

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

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

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

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

							Hypothetical Performance
	Actual Performance						(5% return before expenses)
	A Shares		C Shares		R Shares		A Shares		C Shares		R Shares
Beginning Account Value (10/01/07)	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00
Ending Account Value (3/31/08)	$	1,037.30	$	1,033.40	$	1,038.60	$	1,021.90	$	1,018.20	$	1,023.20
Expenses Incurred During Period	$	3.16	$	6.91	$	1.83	$	3.13	$	6.86	$	1.82

For each class of the Fund, expenses are equal to the Fund’s annualized expense ratio of .62%, 1.36% and .36% for Classes A, C and R, respectively, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period).

Semi-Annual Report    Page 6

Fund Spotlight as of 3/31/08Nuveen Multi-Strategy Income Fund

Quick Facts
	A Shares	B Shares6	C Shares	R Shares6
NAV	$19.45	$19.51	$19.47	$19.45
Latest Monthly Dividend1	$0.0775	$0.0650	$0.0650	$0.0815
Inception Date	12/20/04	12/20/04	12/20/04	12/20/04

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

Returns reflect differences in sales charges and expenses, which are primarily differences in distribution and service fees. Fund returns assume reinvestment of dividends and capital gains. Class A shares have a 3.75% maximum sales charge. Class B shares have a contingent deferred sales charge (CDSC), also known as a back-end sales charge, that for redemptions begins at 5% and declines periodically until after 6 years when the charge becomes 0%. Class B shares automatically convert to Class A shares eight years after purchase. Class C shares have a 1% CDSC for redemptions within less than one year, which is not reflected in the one-year total return. Class R shares have no sales charge and may be purchased under limited circumstances or by specified classes of investors.

Average Annual Total Returns as of 3/31/08
A Shares	NAV	Offer
1-Year	5.29%	1.32%
Since Inception	3.77%	2.57%
B Shares	w/o CDSC	w/CDSC
1-Year	4.60%	0.60%
Since Inception	3.08%	2.24%
C Shares	NAV
1-Year	4.50%
Since Inception	3.02%
R Shares	NAV
1-Year	5.61%
Since Inception	4.04%
Yields
A Shares	NAV	Offer
Dividend Yield4	4.78%	4.60%
30-Day Yield4	4.48%	—
SEC 30-Day Yield5	—	4.31%
B Shares	NAV
Dividend Yield4	4.00%
SEC 30-Day Yield5	3.72%
C Shares	NAV
Dividend Yield4	4.01%
SEC 30-Day Yield5	3.73%
R Shares	NAV
Dividend Yield4	5.03%
SEC 30-Day Yield5	4.74%

Portfolio Credit Quality²

Portfolio Allocation³

Net Assets ($000) $20,010

Expense Ratios
Share Class	Gross Expense Ratios	Net Expense Ratios	As of Date
Class A	2.32%	0.72%	9/30/07
Class B	3.14%	1.41%	9/30/07
Class C	2.98%	1.47%	9/30/07
Class R	1.86%	0.47%	9/30/07

The expense ratios shown factor in Total Annual Fund Operating Expenses including management fees and other fees and expenses. The Net Expense Ratios reflect a contractual commitment by the Fund’s investment adviser to waive fees and reimburse certain expenses through January 31, 2009, and a custodian fee credit whereby certain fees and expenses are reduced by credits earned of the Fund’s cash on deposit with the bank. Absent the waiver, reimbursement and credit, expenses would be higher and total returns would be less.

1 Paid April 1, 2008. This is the latest monthly dividend declared during the period ended March 31, 2008.

2 As a percentage of total investments (excluding repurchase agreements, call swaptions written and derivative transactions) as of March 31, 2008. The ratings disclosed are using the higher of Standard & Poor’s Group (“Standard & Poor’s”) or Moody’s Investor Service, Inc. (“Moody’s”) rating. Ratings below BBB by Standard & Poor’s or Baa by Moody’s are considered to be below investment grade. Holdings are subject to change.

3 As a percentage of total investments (excluding call swaptions written and derivative transactions) as of March 31, 2008. Holdings are subject to change.

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

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

6 Effective May 1, 2008 Class B Shares will only be issued upon exchange of Class B Shares from another Nuveen fund or for purposes of dividend reinvestment. Effective December 31, 2008 the reinstatement privilege for Class B Shares will no longer be available. Effective May 1, 2008, Class R Shares will be renamed Class I Shares. See the Fund’s prospectus for more information.

Semi-Annual Report    Page 7

Fund Spotlight as of 3/31/08 Nuveen Multi-Strategy Income Fund

Corporate Debt: Industries1
Electric Utilities	9.2%
Media	7.5%
Metals & Mining	7.4%
Diversified Telecommunications Services	7.0%
Oil, Gas & Consumable Fuels	5.9%
Road & Rail	4.9%
Wireless Telecommunications Services	4.2%
Aerospace & Defense	4.2%
Commercial Banks	4.0%
Commercial Services & Supplies	3.9%
Paper & Forest Products	3.7%
Diversified Financial Services	3.0%
Energy Equipment & Services	3.0%
Health Care Providers & Services	2.4%
Multi-Line Retail	2.3%
Thrifts & Mortgage Finance	2.2%
Insurance	2.1%
Capital Markets	1.9%
Chemicals	1.8%
Independent Power Producers & Energy Traders	1.7%
Pharmaceuticals	1.7%
Hotels, Restaurants & Leisure	1.6%
Containers & Packaging	1.5%
Other	12.9%

1 As a percentage of total corporate debt holdings as of March 31, 2008. Corporate debt holdings include corporate bonds (high-yield investment grade rated), senior loans, and any other debt instruments issued by a corporation (or that references a corporation) held by the Fund at the end of the reporting period. Other corporate debt represents the total of all corporate debt industries that recalculated to less than 1.5% of total corporate debt holdings. Holdings are subject to change.

Expense Example

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

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

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

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

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

									Hypothetical Performance
	Actual Performance								(5% return before expenses)
	A Shares		B Shares		C Shares		R Shares		A Shares		B Shares		C Shares		R Shares
Beginning Account Value (10/01/07)	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00
Ending Account Value (3/31/08)	$	1,032.60	$	1,029.20	$	1,029.20	$	1,034.40	$	1,021.35	$	1,017.55	$	1,017.60	$	1,022.65
Expenses Incurred During Period	$	3.71	$	7.56	$	7.51	$	2.39	$	3.69	$	7.52	$	7.47	$	2.38

For each class of the Fund, expenses are equal to the Fund’s annualized expense ratio of .73%, 1.49%, 1.48% and .47% for Classes A, B, C and R, respectively, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period).

Semi-Annual Report    Page 8

Fund Spotlight as of 3/31/08 Nuveen High Yield Bond Fund

Quick Facts
	A Shares	B Shares6	C Shares	R Shares6
NAV	$18.27	$18.26	$18.23	$18.26
Latest Monthly Dividend1	$0.1220	$0.1105	$0.1105	$0.1260
Inception Date	12/20/04	12/20/04	12/20/04	12/20/04

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

Returns reflect differences in sales charges and expenses, which are primarily differences in distribution and service fees. Fund returns assume reinvestment of dividends and capital gains. Class A shares have a 4.75% maximum sales charge. Class B shares have a contingent deferred sales charge (CDSC), also known as a back-end sales charge, that for redemptions begins at 5% and declines periodically until after 6 years when the charge becomes 0%. Class B shares automatically convert to Class A shares eight years after purchase. Class C shares have a 1% CDSC for redemptions within less than one year, which is not reflected in the one-year total return. Class R shares have no sales charge and may be purchased under limited circumstances or by specified classes of investors.

Average Annual Total Returns as of 3/31/08
A Shares	NAV	Offer
1-Year	-1.48%	-6.17%
Since Inception	4.53%	3.00%
B Shares	w/o CDSC	w/CDSC
1-Year	-2.17%	-5.83%
Since Inception	3.72%	2.95%
C Shares	NAV
1-Year	-2.23%
Since Inception	3.68%
R Shares	NAV
1-Year	-1.24%
Since Inception	4.76%
Yields
A Shares	NAV	Offer
Dividend Yield4	8.01%	7.63%
30-Day Yield4	11.32%	—
SEC 30-Day Yield5	—	10.77%
B Shares	NAV
Dividend Yield4	7.26%
SEC 30-Day Yield5	10.55%
C Shares	NAV
Dividend Yield4	7.27%
SEC 30-Day Yield5	10.55%
R Shares	NAV
Dividend Yield4	8.28%
SEC 30-Day Yield5	11.57%

Portfolio Credit Quality²

Portfolio Allocation³

Net Assets ($000) $77,692

Expense Ratios
Share Class	Gross Expense Ratios	Net Expense Ratios	As of Date
Class A	1.83%	0.82%	9/30/07
Class B	2.50%	1.57%	9/30/07
Class C	2.54%	1.57%	9/30/07
Class R	1.43%	0.56%	9/30/07

The expense ratios shown factor in Total Annual Fund Operating Expenses including management fees and other fees and expenses. The Net Expense Ratios reflect a contractual commitment by the Fund’s investment adviser to waive fees and reimburse certain expenses through January 31, 2009, and a custodian fee credit whereby certain fees and expenses are reduced by credits earned of the Fund’s cash on deposit with the bank. Absent the waiver, reimbursement and credit, expenses would be higher and total returns would be less.

1 Paid April 1, 2008. This is the latest monthly dividend declared during the period ended March 31, 2008.

2 As a percentage of total investments (excluding repurchase agreements and derivative transactions) as of March 31, 2008. The ratings disclosed are using the higher of Standard & Poor’s Group (“Standard & Poor’s”) or Moody’s Investor Service, Inc. (“Moody’s”) rating. Ratings below BBB by Standard & Poor’s or Baa by Moody’s are considered to be below investment grade. Holdings are subject to change.

3 As a percentage of total investments (excluding derivative transactions) as of March 31, 2008. Holdings are subject to change.

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

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

6 Effective May 1, 2008 Class B Shares will only be issued upon exchange of Class B Shares from another Nuveen fund or for purposes of dividend reinvestment. Effective December 31, 2008 the reinstatement privilege for Class B Shares will no longer be available. Effective May 1, 2008, Class R Shares will be renamed Class I Shares. See the Fund’s prospectus for more information.

Semi-Annual Report    Page 9

Fund Spotlight as of 3/31/08 Nuveen High Yield Bond Fund

Corporate Debt: Industries1
Media	7.4%
Wireless Telecommunications Services	7.3%
Diversified Telecommunications Services	7.2%
Energy Equipment & Services	6.9%
Consumer Finance	5.4%
Metals & Mining	5.0%
Road & Rail	4.8%
Health Care Providers & Services	4.6%
Computers & Peripherals	3.9%
Hotels, Restaurants & Leisure	3.5%
Diversified Financial Services	3.4%
Containers & Packaging	3.2%
Commercial Services & Supplies	3.2%
Oil, Gas & Consumable Fuels	3.2%
Aerospace & Defense	3.0%
Electric Utilities	2.9%
Multi-Utilities	2.6%
IT Services	2.2%
Diversified Consumer Services	2.0%
Paper & Forest Products	2.0%
Auto Components	1.8%
Independent Power Producers & Energy Traders	1.8%
Pharmaceuticals	1.6%
Thrifts & Mortgage Finance	1.6%
Real Estate Investment Trust	1.5%
Other	8.0%

1 As a percentage of total corporate debt holdings as of March 31, 2008. Corporate debt holdings include corporate bonds (high-yield investment grade rated), senior loans, and any other debt instruments issued by a corporation (or that references a corporation) held by the Fund at the end of the reporting period. Other corporate debt represents the total of all corporate debt industries that recalculated to less than 1.5% of total corporate debt holdings. Holdings are subject to change.

Expense Example

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

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

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

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

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

									Hypothetical Performance
	Actual Performance								(5% return before expenses)
	A Shares		B Shares		C Shares		R Shares		A Shares		B Shares		C Shares		R Shares
Beginning Account Value (10/01/07)	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00
Ending Account Value (3/31/08)	$	971.10	$	967.40	$	967.40	$	972.30	$	1,020.90	$	1,017.15	$	1,017.15	$	1,022.15
Expenses Incurred During Period	$	4.04	$	7.72	$	7.72	$	2.81	$	4.14	$	7.92	$	7.92	$	2.88

For each class of the Fund, expenses are equal to the Fund’s annualized expense ratio of .82%, 1.57%, 1.57% and .57% for Classes A, B, C and R, respectively, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period).

Semi-Annual Report    Page 10

Portfolio of Investments (Unaudited)

Nuveen Short Duration Bond Fund

March 31, 2008

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		CORPORATE BONDS – 26.7%
		Aerospace & Defense – 1.6%
$	50	DI Finance/DynCorp International, Series B	9.500%	2/15/13	B	$	51,125
	150	Honeywell International Inc.	7.500%	3/01/10	A		161,743
	200	Lockheed Martin Corporation	8.200%	12/01/09	A–		214,638
	400	Total Aerospace & Defense					427,506
		Auto Components – 0.1%
	50	Goodyear Tire & Rubber Company	8.663%	12/01/09	BB–		49,938
		Beverages – 0.9%
	125	Diageo Fiannce BV	3.875%	4/01/11	A–		125,525
	100	Miller Brewing Company, 144A	4.250%	8/15/08	BBB+		100,412
	225	Total Beverages					225,937
		Commercial Banks – 1.8%
	125	Nationsbank Corporation	6.600%	5/15/10	Aa2		131,943
	100	US Bank National Association	6.300%	7/15/08	AA		100,778
	100	Wachovia Corporation	6.250%	8/04/08	A+		100,654
	135	Wells Fargo & Company	4.200%	1/15/10	AA+		137,312
	460	Total Commercial Banks					470,687
		Commercial Services & Supplies – 1.5%
	60	Allied Waste North America	6.500%	11/15/10	BB		60,300
	50	Interface, Inc.	10.375%	2/01/10	BB–		52,500
	150	International Lease Finance Corporation, Commercial Paper Notes	6.375%	3/15/09	AA–		151,808
	125	Waste Management Inc.	7.375%	8/01/10	BBB		131,758
	385	Total Commercial Services & Supplies					396,366
		Communications Equipment – 0.5%
	125	Cisco Systems, Inc.	5.250%	2/22/11	A+		130,573
		Computers & Peripherals – 1.3%
	50	GSC Holdings Corporation, 144A	8.000%	10/01/12	BB		53,125
	100	Hewlett Packard Company	6.500%	7/01/12	A		109,275
	125	International Business Machines Corporation (IBM)	4.950%	3/22/11	A+		130,857
	50	Seagate Technology HDD Holdings	5.569%	10/01/09	BB+		48,500
	325	Total Computers & Peripherals					341,757
		Consumer Finance – 0.1%
	50	SLM Corporation	4.000%	1/15/09	Baa2		45,029
		Diversified Financial Services – 1.2%
	153	Bank One Corporation	7.875%	8/01/10	Aa3		163,584
	150	General Electric Capital Corporation	4.125%	9/01/09	AAA		151,994
	303	Total Diversified Financial Services					315,578
		Diversified Telecommunication Services – 2.1%
	225	BellSouth Corporation	4.200%	9/15/09	A		226,567
	125	GTE Corporation – Verizon	7.510%	4/01/09	A		129,296
	50	Qwest Capital Funding Inc.	7.000%	8/03/09	B+		50,000
	100	Sprint Capital Corporation, Unsecured Note	6.125%	11/15/08	BBB–		99,265
	50	US West Communications Inc.	5.625%	11/15/08	BBB–		50,000
	550	Total Diversified Telecommunication Services					555,128

11

Portfolio of Investments (Unaudited)

Nuveen Short Duration Bond Fund (continued)

March 31, 2008

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		Electric Utilities – 3.4%
$	150	American Electric Power	5.375%	3/15/10	BBB	$	153,543
	100	Cinergy Corporation	6.530%	12/16/08	BBB+		101,903
	100	FirstEnergy Corporation	6.450%	11/15/11	BBB–		104,760
	100	Niagara Mohawk Power Corporation, Series 1998G	7.750%	10/01/08	A3		101,768
	100	Ohio Edison Company	4.000%	5/01/08	Baa2		99,995
	150	Pacific Gas and Electric Company	3.600%	3/01/09	A3		149,662
	100	Public Service Electric & Gas Company, Series 2003C	4.000%	11/01/08	A–		100,082
	100	Puget Sound Energy Inc.	3.363%	6/01/08	BBB+		99,909
	900	Total Electric Utilities					911,622
		Electrical Equipment – 0.5%
	125	Emerson Electric Company, Note	7.125%	8/15/10	A		135,629
		Energy Equipment & Services – 0.6%
	150	El Paso Energy Corporation	6.750%	5/15/09	BB–		152,291
		Food Products – 0.8%
	100	Campbell Soup Company	5.875%	10/01/08	A		101,557
	100	Kellogg Company	2.875%	6/01/08	A3		99,895
	200	Total Food Products					201,452
		Hotels, Restaurants & Leisure – 0.4%
	100	Tricon Global Restaurants Inc.	7.650%	5/15/08	Baa2		100,534
		Household Durables – 0.3%
	50	KB Home	7.750%	2/01/10	Ba2		48,063
	25	Toll Corporation	8.250%	2/01/11	BB+		22,813
	75	Total Household Durables					70,876
		Household Products – 0.6%
	150	Clorox Company	4.200%	1/15/10	BBB+		150,587
		Industrial Conglomerates – 0.5%
	125	Textron Financial Corporation	5.125%	2/03/11	A–		130,085
		Insurance – 0.4%
	100	Prudential Financial Inc.	3.750%	5/01/08	A+		99,992
		IT Services – 0.4%
	100	First Data Corporation (3)	3.375%	8/01/08	Caa1		97,620
		Machinery – 0.4%
	100	John Deere Capital Corporation, Series 2005D	4.500%	8/25/08	A		100,498
		Media – 1.1%
	50	Echostar DBS Corporation	5.750%	10/01/08	BB–		49,875
	40	Sinclair Broadcasting Group	8.000%	3/15/12	BB–		40,500
	75	Valassis Communications Inc.	6.625%	1/15/09	BB		74,063
	125	Walt Disney Company	5.700%	7/15/11	A		132,680
	290	Total Media					297,118
		Multi-Line Retail – 0.4%
	100	Federated Department Stores, Inc.	6.625%	9/01/08	Baa2		100,475

12

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		Multi-Utilities – 1.3%
$	100	Duke Energy Corporation	4.200%	10/01/08	A–	$	100,364
	100	MidAmerican Energy Holdings Company	3.500%	5/15/08	BBB+		99,983
	150	Sempra Energy	4.750%	5/15/09	BBB+		151,389
	350	Total Multi-Utilities					351,736
		Oil, Gas & Consumable Fuels – 0.8%
	50	Alpha Natural Resources, Inc.	10.000%	6/01/12	B		52,500
	150	Phillips Petroleum Company	8.750%	5/25/10	A1		167,492
	200	Total Oil, Gas & Consumable Fuels					219,992
		Paper & Forest Products – 0.1%
	40	Rock-Tenn Company	8.200%	8/15/11	BB		41,200
		Pharmaceuticals – 0.4%
	100	Bristol-Myers Squibb Company	4.000%	8/15/08	A+		100,060
		Real Estate Investment Trust – 0.1%
	50	Istar Financial Inc.	8.750%	8/15/08	BBB		47,629
		Road & Rail – 0.6%
	150	Kansas City Southern Railway Company	9.500%	10/01/08	BB–		152,813
		Software – 0.5%
	125	Oracle Corporation	5.000%	1/15/11	A		128,315
		Thrifts & Mortgage Finance – 0.4%
	100	Washington Mutual Bank	5.187%	8/25/08	BBB+		96,139
		Tobacco – 0.3%
	75	Reymolds American Inc.	6.500%	7/15/10	BBB		76,875
		Trading Companies & Distributors – 0.2%
	50	GATX Financial Corporation	5.125%	4/15/10	BBB+		50,566
		Wireless Telecommunication Services – 1.1%
	100	Airtouch Communications Inc.	6.650%	5/01/08	A–		100,165
	50	Rogers Wireless Communications Inc.	8.000%	12/15/12	BB+		52,000
	125	Vodafone Group PLC	5.500%	6/15/11	A–		127,210
	275	Total Wireless Telecommunication Services					279,375
$	6,903	Total Corporate Bonds (cost $7,035,055)					7,051,978
Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 42.9%
		U.S. Treasury Bonds/Notes – 42.9%
$	1,000	United States of America Treasury Bonds/Notes	4.500%	2/28/11	AAA	$	1,077,891
	3,450	United States of America Treasury Bonds/Notes	4.750%	11/15/08	AAA		3,521,429
	1,200	United States of America Treasury Bonds/Notes	4.875%	1/31/09	AAA		1,233,095
	3,350	United States of America Treasury Bonds/Notes	3.500%	11/15/09	AAA		3,453,381
	1,000	United States of America Treasury Bonds/Notes	6.500%	2/15/10	AAA		1,089,376
	920	United States of America Treasury Bonds/Notes	4.375%	12/15/10	AAA		985,334
$	10,920	Total U.S. Government and Agency Obligations (cost $11,144,534)					11,360,506

13

Portfolio of Investments (Unaudited)

Nuveen Short Duration Bond Fund (continued)

March 31, 2008

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		ASSET-BACKED SECURITIES – 17.4%
		Autos – 8.6%
$	300	Banc of America Securities Auto Trust 2006-G1	5.180%	6/18/10	AAA	$	303,026
	230	Capital Auto Receivables Asset Trust, Series 2007-2-A3A	5.020%	9/15/11	AAA		234,459
	340	Daimler Chrysler Auto Trust 2008-A A3	3.700%	6/08/12	AAA		339,438
	8	Daimler Chrysler Auto Trust, Class A3, Series 2005B	4.040%	9/08/09	AAA		7,552
	400	Ford Credit Auto Owner Trust, 2008A-3A	3.960%	4/15/12	AAA		401,641
	450	Harley-Davidson Motorcycle Trust, Series 2007-2A3	5.100%	5/15/12	AAA		457,028
	100	Hyundai Auto Receivables Trust 2007A, Class A3A	5.040%	1/17/12	AAA		101,317
	270	USAA Auto Owner Trust 2006-2	5.370%	2/15/12	AAA		276,623
	160	USAA Auto Owner Trust 2007-2	5.070%	6/15/13	AAA		163,319
	2,258	Total Autos					2,284,403
		Cards – 7.7%
	310	Bank One Issuance Trust, 2003 Class A9	3.860%	6/15/11	AAA		311,163
	160	Citibank Credit Card Issuance Trust, 2006 Class B2	5.150%	3/07/11	A		160,643
	270	Citibank Credit Card Issuance Trust, Series 2007	5.000%	11/08/12	A		266,716
	300	General Electric Master Credit Card Note Trust, Class A, Series 2006-1	5.080%	9/15/12	AAA		307,288
	300	Household Credit Card Master Note Trust, Class A, Series 2006-1	5.100%	6/15/12	AAA		305,055
	450	MBNA Master Credit Card Trust 1999-B A	5.900%	8/15/11	AAA		461,503
	210	MBNA Master Credit Card Trust Class 99-J	7.000%	2/15/12	AAA		221,275
	2,000	Total Cards					2,033,643
		Home Equity – 1.1%
	289	Federal National Mortgage Association Pool 838948	5.080%	8/01/35	AAA		294,787
	(4)          —	Master Asset Backed Securities Trust 2005-WMC1, Mortgage Pass Through Certificates, Class N-1	4.940%	3/26/35	A+		—
	289	Total Home Equity					294,787
$	4,547	Total Asset-Backed Securities (cost $4,581,424)					4,612,833
Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		SOVEREIGN DEBT – 2.3%
		Turkey – 2.3%
$	200	Republic of Turkey, Government Bond	14.000%	1/19/11	Ba3	$	139,624
	400	Republic of Turkey, Government Bond	10.840%	2/15/12	BB		324,037
	200	Republic of Turkey, Government Bond	16.000%	3/07/12	BB		141,273
	800	Total Turkey					604,934
$	800	Total Sovereign Debt (cost $563,179)					604,934
Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		SHORT-TERM INVESTMENTS – 10.8%
		U.S. Government and Agency Obligations – 10.0%
$	600	Federal Home Loan Banks, Discount Notes	0.000%	4/09/08	AAA	$	599,471
	600	Federal Home Loan Banks, Discount Notes	0.000%	4/23/08	AAA		599,219
	1,450	Federal National Mortgage Association	0.000%	4/16/08	AAA		1,448,731
	2,650	Total U.S. Government and Agency Obligations					2,647,421

14

Principal Amount (000)		Description (1)	Coupon	Maturity	Value
		Repurchase Agreements – 0.8%
$	206	Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/08, repurchase price $205,697, collateralized by $145,000 U.S. Treasury Bonds, 8.750%, due 8/15/20, value $213,875	1.100%	4/01/08	$	205,691
$	2,856	Total Short-Term Investments (cost $2,853,112)				2,853,112
		Total Investments (cost $26,177,304) – 100.1%				26,483,363

Description

Counterparty

Floating Rate Index

Pay/Receive Floating Rate

Exercise Rate

Expiration Date

Notional Amount

Premium

Value

Call Swaptions Written – 0.0%

OTC-10-Year Interest Rate Swap

Lehman Brothers

6-Month LIBOR

Receive

4.890%

4/14/08

(1,300,000)

GBP

(3,120)  GBP

$

(1,318)

Total Call Swaptions Written (premiums received $6,334)

(1,318

)

Other Assets Less Liabilities – (0.1)%

(22,509

)

Net Assets – 100.0%

$

26,459,536

15

Portfolio of Investments (Unaudited)

Nuveen Short Duration Bond Fund (continued)

March 31, 2008

Forward Foreign Currency Exchange Contracts outstanding at March 31, 2008:

Currency Contracts to Deliver	Amount (Local Currency)	In Exchange For Currency	Amount (Local Currency)	Settlement Date	Unrealized Appreciation (Depreciation) (U.S. Dollars)
Australian Dollar	200,000	Canadian Dollar	182,028	4/22/08	$	(5,013	)
Brazilian Real	458,600	U.S. Dollar	269,369	4/02/08		8,116
Canadian Dollar	200,000	Swiss Franc	220,448	4/08/08		27,170
Canadian Dollar	180,316	Australian Dollar	200,000	4/22/08		6,680
Czech Koruna	3,914,550	Euro	157,464	4/22/08		3,642
Euro	150,000	Czech Koruna	3,914,550	4/22/08		8,132
Euro	40,000	Iceland Krona	3,886,800	9/24/08		(12,689	)
Euro	84,608	Iceland Krona	8,119,800	9/24/08		(28,143	)
Iceland Krona	12,006,600	Euro	105,256	9/24/08		10,557
Indian Rupee	8,092,000	U.S. Dollar	200,000	6/09/08		(587	)
Indonesian Rupiah	1,728,780,000	U.S. Dollar	181,690	4/04/08		(6,058	)
Indonesian Rupiah	1,827,000,000	U.S. Dollar	195,401	6/10/08		(1,467	)
Japanese Yen	21,260,000	U.S. Dollar	200,000	5/01/08		(13,705	)
Mexican Peso	1,990,533	U.S. Dollar	183,481	4/24/08		(2,953	)
New Taiwan Dollar	2,415,000	U.S. Dollar	75,000	4/07/08		(4,634	)
New Taiwan Dollar	3,951,000	U.S. Dollar	122,626	4/15/08		(7,918	)
New Turkish Lira	128,530	U.S. Dollar	100,000	5/14/08		5,233
New Turkish Lira	127,290	U.S. Dollar	100,000	5/14/08		6,147
New Turkish Lira	669,433	U.S. Dollar	530,791	5/14/08		37,208
New Zealand Dollar	250,000	U.S. Dollar	195,254	5/05/08		(89	)
Singapore Dollar	250,000	U.S. Dollar	176,900	5/14/08		(5,093	)
South African Rand	800,000	U.S. Dollar	98,436	4/21/08		324
South Korean Won	159,613,000	U.S. Dollar	170,673	4/22/08		9,421
Swiss Franc	245,110	Canadian Dollar	220,448	4/08/08		(32,086	)
U.S. Dollar	273,334	Brazilian Real	458,600	4/02/08		(12,081	)
U.S. Dollar	38,000	Indonesian Rupiah	358,530,000	4/04/08		937
U.S. Dollar	150,000	Indonesian Rupiah	1,370,250,000	4/04/08		(1,189	)
U.S. Dollar	79,245	New Taiwan Dollar	2,415,000	4/07/08		388
U.S. Dollar	129,882	New Taiwan Dollar	3,951,000	4/15/08		662
U.S. Dollar	191,616	Colombian Peso	372,118,900	4/18/08		10,870
U.S. Dollar	100,000	South African Rand	778,200	4/21/08		(4,561	)
U.S. Dollar	102,640	South African Rand	800,000	4/21/08		(4,528	)
U.S. Dollar	183,527	Mexican Peso	1,990,533	4/24/08		2,907
U.S. Dollar	212,818	Japanese Yen	21,260,000	5/01/08		888
U.S. Dollar	194,655	New Zealand Dollar	250,000	5/05/08		688
U.S. Dollar	181,806	Singapore Dollar	250,000	5/14/08		187
U.S. Dollar	200,000	Indonesian Rupiah	1,827,000,000	6/10/08		(3,132	)
U.S. Dollar	125,000	Argentine Peso	397,375	6/17/08		(715	)
					$	(6,484	)

Interest Rate Swaps outstanding at March 31, 2008:

Counterparty	Notional Amount		Fund Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate (Annualized)	Fixed Rate Payment Frequency		Termination Date	Value at March 31, 2008			Unrealized Appreciation (Depreciation) (U.S. Dollars)
BNP Paribas	900,000	USD	Pay	12-Month CPI-U	2.840%	3/04/15	(5)	3/04/15	$	(1,177	)	$	(1,177	)
BNP Paribas	900,000	USD	Receive	12-Month CPI-U	2.650	3/04/10	(5)	3/04/10		(1,762	)		(1,762	)
Deutsche Bank AG	1,300,000	GBP	Pay	6-Month LIBOR	4.800	Semi-Annually		1/24/10		(13,008	)		(13,008	)
Goldman Sachs	1,550,000	EUR	Pay	6-Month EURIBOR	4.021	Annually		1/26/14		(5,661	)		(5,661	)
Goldman Sachs	650,000	EUR	Receive	6-Month EURIBOR	4.410	Annually		1/26/19		914			914
Goldman Sachs	900,000	EUR	Receive	6-Month EURIBOR	3.675	Annually		1/26/11		6,027			6,027
Morgan Stanley	12,250,000	NOK	Pay	6-Month NIBOR	5.625	Annually		11/12/09		(15,361	)		(15,215	)
Morgan Stanley	2,500,000	NOK	Pay	6-Month NIBOR	5.500	Annually		11/12/17		9,179			9,179
Morgan Stanley	2,625,000	USD	Pay	3-Month USD-LIBOR	3.198	Semi-Annually		1/21/11		17,991			17,991
Morgan Stanley	3,000,000	BRL	Pay	1-Day BZDIRA	12.720	1/05/10	(6)	1/04/10		(210	)		(210	)
Morgan Stanley	4,000,000	BRL	Pay	1-Day BZDIRA	11.270	1/05/10	(6)	1/04/10		(60,097	)		(60,097	)
Morgan Stanley	625,000	USD	Receive	3-Month USD-LIBOR	4.490	Semi-Annually		1/21/19		(8,047	)		(8,047	)
Morgan Stanley	9,750,000	NOK	Receive	6-Month NIBOR	5.423	Annually		11/12/12		(3,168	)		(3,168	)
												$	(74,234	)

16

Credit Default Swaps outstanding at March 31, 2008:

Counterparty	Referenced Entity	Buy/Sell Protection	Notional Amount		Fixed Rate		Termination Date	Value at March 31, 2008		Unrealized Appreciation (Depreciation) (U.S. Dollars)
Bank of America	Macy’s Inc.	Buy	$	125,000	2.800	%	3/20/13	$	153	$	153
Goldman Sachs	DJ Investment Grade CDX	Sell		742,500	3.750		12/20/12		(78,775)		(76,920)
Lehman Brothers	Harrah’s Entertainment Inc.	Sell		125,000	3.750		9/20/08		(1,609)		(1,611)
										$	(78,378)

Futures Contracts outstanding at March 31, 2008:

Type	Contract Position	Number of Contracts		Contract Expiration	Value at March 31,2008 (U.S. Dollars)			Unrealized Appreciation (Depreciation) (U.S. Dollars)
U.S. 2-Year Treasury Note	Long	33		6/08	$	7,083,656		$	32,901
U.S. 5-Year Treasury Note	Long	9		6/08		1,028,109			(1,644	)
U.S. 10-Year Treasury Note	Short	(10	)	6/08		(1,189,531	)		(14,093	)
								$	17,164

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

(2) Ratings: Using the higher of Standard & Poor’s Group (“Standard & Poor’s”) or Moody’s Investor Service, Inc. (“Moody’s”) rating. Ratings below BBB by Standard & Poor’s or Baa by Moody’s are considered to be below investment grade.

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

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

(5) Fixed Rate Payment due upon contract termination.

(6) Fixed Rate Payment due one business day subsequent to contract termination.

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

OTC Over-The-Counter market transaction.

BRL Brazil Real

GBP British Pound

EUR Euro

NOK Norwegian Krone

USD United States Dollar

BZDIRA Brazil Inter-Bank Deposit Rate Annualized

CPI-U USA-Non-Revised Consumer Price Index-Urban

EURIBOR Europe Inter-Bank Offered Rate

LIBOR London Inter-Bank Offered Rate

NIBOR Norwegian Inter-Bank Offered Rate

See accompanying notes to financial statements.

17

Portfolio of Investments (Unaudited)

Nuveen Multi-Strategy Income Fund

March 31, 2008

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		CORPORATE BONDS – 22.4%
		Aerospace & Defense – 0.9%
$	12	Boeing Capital Corporation	5.800%	1/15/13	A+	$	12,963
	50	DI Finance/DynCorp International, Series B	9.500%	2/15/13	B		51,125
	40	Hawker Beechcraft Acquistion Company	9.750%	4/01/17	B–		40,000
	20	Honeywell International Inc.	7.500%	3/01/10	A		21,566
	40	L-3 Communications Corporation	6.125%	1/15/14	BB+		39,200
	10	Lockheed Martin Corporation	7.650%	5/01/16	A–		11,758
	8	United Technologies Corporation	7.500%	9/15/29	A		9,618
	180	Total Aerospace & Defense					186,230
		Auto Components – 0.1%
	20	Lear Corporation	8.750%	12/01/16	B–		17,175
		Beverages – 0.1%
	7	Coca-Cola Enterprises Inc.	6.750%	9/15/28	A		7,714
	5	Diageo Capital, PLC	5.750%	10/23/17	A–		5,130
	10	Pepsi Bottling Group LLC	5.500%	4/01/16	A		10,410
	22	Total Beverages					23,254
		Building Products – 0.3%
	40	Dayton Superior Corporation	13.000%	6/15/09	CCC+		34,900
	4	Masco Corporation	5.875%	7/15/12	BBB+		4,036
	20	Norcraft Holdings LP	9.750%	9/01/12	B–		17,600
	64	Total Building Products					56,536
		Capital Markets – 0.4%
	80	JP Morgan Chase & Company	5.375%	10/01/12	Aa2		83,149
	1	Merril Lynch & Company	3.700%	4/21/08	A+		999
	81	Total Capital Markets					84,148
		Chemicals – 0.4%
	6	Dow Chemical Company	7.375%	11/01/29	A–		6,455
	30	Equistar Chemicals LP	7.550%	2/15/26	B+		19,350
	30	MacDermid, Inc.	9.500%	4/15/17	CCC+		27,000
	30	NOVA Chemicals Corporation	7.863%	11/15/13	Ba3		25,275
	2	Praxair, Inc.	6.375%	4/01/12	A		2,173
	98	Total Chemicals					80,253
		Commercial Banks – 0.9%
	50	Bank of America Corporation	6.000%	9/01/17	Aa1		52,663
	6	Charter One Bank FSB	6.375%	5/15/12	Aa3		6,304
	4	Key Bank NA	7.000%	2/01/11	A2		4,222
	25	National City Bank	6.200%	12/15/11	A		23,506
	18	PNC Funding Corporation	7.500%	11/01/09	A		18,914
	6	SunTrust Banks Inc.	6.375%	4/01/11	Aa3		6,236
	9	US Bank NA Minnesota	6.375%	8/01/11	AA		9,752
	39	Wachovia Corporation	5.250%	8/01/14	A+		38,573
	20	Wells Fargo & Company	5.250%	10/23/12	AA+		20,762
	177	Total Commercial Banks					180,932

18

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		Commercial Services & Supplies – 0.9%
$	30	Ahern Rentals Inc.	9.250%	8/15/13	B+	$	23,925
	50	Browning Ferris-Allied Waste	9.250%	5/01/21	BB		52,000
	40	Interface, Inc.	10.375%	2/01/10	BB–		42,000
	35	Quebecor Media Inc.	7.750%	3/15/16	B2		32,113
	30	Rental Service Corporation	9.500%	12/01/14	B–		25,200
	185	Total Commercial Services & Supplies					175,238
		Communications Equipment – 0.1%
	10	Cisco Systems, Inc.	5.500%	2/22/16	A+		10,363
	1	Motorola, Inc.	7.625%	11/15/10	Baa1		1,037
	3	Motorola, Inc.	7.500%	5/15/25	Baa1		2,623
	14	Total Communications Equipment					14,023
		Computers & Peripherals – 0.2%
	35	International Business Machines Corporation (IBM)	4.750%	11/29/12	A+		36,261
		Consumer Finance – 0.0%
	12	SLM Corporation	5.375%	1/15/13	Baa2		9,206
		Containers & Packaging – 0.3%
	50	Caraustar Industries	7.375%	6/01/09	B–		34,250
	40	Intertape Polymer US Inc.	8.500%	8/01/14	CCC+		33,400
	90	Total Containers & Packaging					67,650
		Diversified Financial Services – 0.7%
	35	Citigroup Inc.	6.000%	10/31/33	A+		29,993
	65	General Electric Capital Corporation, Medium Term Notes	5.625%	9/15/17	AAA		66,633
	20	International Lease Finance Corporation	5.650%	6/01/14	AA–		19,230
	18	Sanwa Finance Aruba AEC	8.350%	7/15/09	Aa3		18,956
	138	Total Diversified Financial Services					134,812
		Diversified Telecommunication Services – 1.6%
	50	AT&T, Inc.	6.800%	5/15/36	A		51,540
	40	Cincinnati Bell Inc.	7.000%	2/15/15	Ba3		36,400
	40	Citizens Communications Company	9.000%	8/15/31	BB+		35,200
	50	FairPoint Communications Inc.	13.125%	4/01/18	B+		48,250
	50	Sprint Capital Corporation	6.900%	5/01/19	BBB–		39,445
	55	Verizon Communications	6.250%	4/01/37	A		52,677
	50	Windstream Corporation, 144A	8.625%	8/01/16	BB		49,375
	335	Total Diversified Telecommunication Services					312,887
		Electric Utilities – 2.1%
	35	American Electric Power	5.250%	6/01/15	BBB		34,679
	20	Carolina Power and Light Company	5.125%	9/15/13	A2		20,999
	20	Dominion Resources Inc.	6.250%	6/30/12	A–		21,302
	14	Duke Capital LLC	5.668%	8/15/14	Baa1		14,095
	55	Duke Energy Corporation	6.250%	1/15/12	A–		59,115
	50	Edison Mission Energy	7.000%	5/15/17	BB–		50,000
	40	Energy Future Holdings	10.875%	11/01/17	B–		40,600

19

Portfolio of Investments (Unaudited)

Nuveen Multi-Strategy Income Fund (continued)

March 31, 2008

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		Electric Utilities (continued)
$	40	Exelon Corporation	4.900%	6/15/15	Baa1	$	38,162
	45	FirstEnergy Corporation	6.450%	11/15/11	BBB–		47,142
	5	FirstEnergy Corporation	7.375%	11/15/31	BBB–		5,455
	16	Pacific Gas and Electric Company	6.050%	3/01/34	A3		15,736
	10	Progress Energy, Inc.	7.000%	10/30/31	BBB		10,895
	5	PSE&G Power LLC	8.625%	4/15/31	Baa1		6,150
	25	Reliant Energy Inc.	7.875%	6/15/17	B		25,000
	11	Reliant Energy, Centerpoint Energy Inc.	7.750%	2/15/11	BBB		11,891
	9	Virginia Electric and Power Company	4.750%	3/01/13	A–		9,220
	400	Total Electric Utilities					410,441
		Electrical Equipment – 0.1%
	15	UCAR Finance Inc.	10.250%	2/15/12	B+		15,600
		Energy Equipment & Services – 0.7%
	40	Allis Chalmers Energy Inc., 144A	8.500%	3/01/17	B		35,400
	50	Helix Energy Solutions	9.500%	1/15/16	BB–		50,250
	50	Kinder Morgan Finance	5.700%	1/05/16	BB		47,625
	140	Total Energy Equipment & Services					133,275
		Food & Staples Retailing – 0.0%
	2	Kroger Co.	7.500%	4/01/31	Baa2		2,173
		Food Products – 0.3%
	27	Kellogg Company	7.450%	4/01/31	A3		31,382
	35	Pinnacle Foods Finance LLC, 144A	10.625%	4/01/17	CCC		29,925
	62	Total Food Products					61,307
		Gas Utilities – 0.1%
	2	Consolidated Natural Gas Company	5.000%	12/01/14	A–		1,944
	10	Duke Energy Field Services Corporation	7.875%	8/16/10	BBB+		10,726
	12	Total Gas Utilities					12,670
		Health Care Providers & Services – 0.5%
	50	HealthSouth Corporation	10.750%	6/15/16	CCC+		52,750
	55	Tenet Healthcare Corporation	9.875%	7/01/14	B		53,488
	105	Total Health Care Providers & Services					106,238
		Hotels, Restaurants & Leisure – 0.3%
	50	Harrah’s Operating Company, Inc.	10.750%	2/01/16	B+		42,375
	30	Mohegan Tribal Gaming Authority	8.000%	4/01/12	Ba2		27,600
	80	Total Hotels, Restaurants & Leisure					69,975
		Household Durables – 0.2%
	12	Pulte Homes, Inc.	4.875%	7/15/09	BB+		11,400
	25	Toll Corporation	8.250%	2/01/11	BB+		22,813
	37	Total Household Durables					34,213
		Household Products – 0.1%
	20	Procter and Gamble Company	4.850%	12/15/15	AA–		20,966

20

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		Independent Power Producers & Energy Traders – 0.4%
$	25	Intergen NV, 144A	9.000%	6/30/17	BB–	$	26,250
	50	NRG Energy Inc.	7.375%	2/01/16	B1		49,125
	75	Total Independent Power Producers & Energy Traders					75,375
		Industrial Conglomerates – 0.3%
	50	SPX Corporation	7.625%	12/15/14	BB		51,563
		Insurance – 0.5%
	35	Allstate Corporation	7.200%	12/01/09	A+		37,039
	55	Prudential Financial Inc.	4.750%	4/01/14	A+		54,588
	90	Total Insurance					91,627
		IT Services – 0.1%
	40	First Data Corporation	9.875%	9/24/15	B		32,950
		Machinery – 0.3%
	40	American Railcar Industries	7.500%	3/01/14	BB–		35,400
	5	Caterpillar Inc.	6.050%	8/15/36	A		5,134
	15	Deere & Company	6.950%	4/25/14	A		16,661
	60	Total Machinery					57,195
		Media – 1.7%
	100	AOL Time Warner	6.875%	5/01/12	BBB+		103,325
	55	Comcast Corporation	6.450%	3/15/37	BBB+		51,992
	40	Echostar DBS Corporation	7.125%	2/01/16	BB–		37,500
	40	News America, Inc., 144A	6.150%	3/01/37	BBB+		37,909
	40	Sinclair Broadcasting Group	8.000%	3/15/12	BB–		40,500
	35	Time Warner Cable Inc.	6.550%	5/01/37	BBB+		33,143
	25	Walt Disney Company	6.000%	7/17/17	A		26,828
	2	Walt Disney Company	7.000%	3/01/32	A		2,293
	337	Total Media					333,490
		Metals & Mining – 1.6%
	40	California Steel Industries Inc.	6.125%	3/15/14	BB–		31,400
	30	Claymont Steel Inc., 144A	8.875%	2/15/15	B3		31,650
	30	Freeport McMoran Copper & Gold, Inc.	8.375%	4/01/17	BB		31,913
	30	Noranda Aluminum Acquisition Corporation	8.738%	5/15/15	B–		23,700
	30	Russel Metals Inc.	6.375%	3/01/14	BB		27,900
	40	Steel Dynamics, Inc.	7.375%	11/01/12	BB+		40,600
	50	Steel Dynamics, Inc. (WI/DD)	7.750%	4/15/16	BB+		50,313
	40	Tube City IMS Corporation	9.750%	2/01/15	B–		35,400
	60	United States Steel Corporation	6.050%	6/01/17	Baa3		55,593
	350	Total Metals & Mining					328,469
		Multi-Line Retail – 0.5%
	8	Federated Department Stores, Inc.	6.900%	4/01/29	Baa2		6,787
	35	J.C. Penney Corporation Inc.	5.750%	2/15/18	BBB–		32,374
	65	Target Corporation	5.375%	5/01/17	A+		64,628
	108	Total Multi-Line Retail					103,789

21

Portfolio of Investments (Unaudited)

Nuveen Multi-Strategy Income Fund (continued)

March 31, 2008

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		Multi-Utilities – 0.2%
$	50	Dynegy Holdings, Inc.	7.750%	6/01/19	B	$	47,000
		Oil, Gas & Consumable Fuels – 1.3%
	40	Apache Corporation	6.000%	1/15/37	A–		40,519
	10	Devon Energy Corporation	7.950%	4/15/32	BBB+		12,368
	18	Halliburton Company	5.500%	10/15/10	A		18,963
	10	Occidental Petroleum Corporation	6.750%	1/15/12	A–		11,076
	50	Premcor Refining Group Inc.	7.500%	6/15/15	BBB		52,360
	10	Tosco Corporation	8.125%	2/15/30	A1		12,618
	10	Valero Energy Corporation	7.500%	4/15/32	BBB		10,440
	100	W&T Offshore, Inc.	8.250%	6/15/14	B		93,250
	10	XTO Energy, Inc.	6.250%	4/15/13	BBB		10,880
	258	Total Oil, Gas & Consumable Fuels					262,474
		Paper & Forest Products – 0.8%
	43	Buckeye Technologies Inc.	8.000%	10/15/10	B		43,161
	30	Mercer International Inc.	9.250%	2/15/13	B		25,050
	40	Rock-Tenn Company	8.200%	8/15/11	BB		41,200
	50	Rock-Tenn Company	5.625%	3/15/13	BB		46,250
	8	Westvaco Corporation	8.200%	1/15/30	BBB		8,244
	171	Total Paper & Forest Products					163,905
		Pharmaceuticals – 0.4%
	40	Axcan Intermediate Holdings	9.250%	3/01/15	Ba2		39,700
	10	Schering-Plough Corporation	6.000%	9/15/17	A–		10,068
	3	Schering-Plough Corporation	6.750%	12/01/33	A–		2,957
	20	Wyeth	5.500%	3/15/13	A+		21,201
	73	Total Pharmaceuticals					73,926
		Real Estate Investment Trust – 0.2%
	50	Istar Financial Inc.	8.750%	8/15/08	BBB		47,629
		Real Estate Management & Development – 0.1%
	12	ERP Operating LP	6.625%	3/15/12	BBB+		12,204
		Road & Rail – 1.1%
	18	Burlington Northern Santa Fe Corporation	6.750%	7/15/11	Baa1		19,257
	13	Canadian National Railways Company	6.250%	8/01/34	A–		12,658
	10	CSX Corporation	5.600%	5/01/17	BBB–		9,518
	50	Kansas City Southern de Mexico, RL de CV	7.375%	6/01/14	BB–		46,250
	100	Kansas City Southern Railway Company	9.500%	10/01/08	BB–		101,875
	17	Norfolk Southern Corporation	7.700%	5/15/17	BBB+		19,701
	10	Union Pacific Corporation	5.650%	5/01/17	BBB		9,996
	218	Total Road & Rail					219,255
		Software – 0.1%
	14	Computer Associates International, Inc.	4.750%	12/01/09	Ba1		14,163
		Thrifts & Mortgage Finance – 0.5%
	100	Washington Mutual Bank	5.187%	8/25/08	BBB+		96,139

22

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		Trading Companies & Distributors – 0.1%
$	50	Neff Corporation	10.000%	6/01/15	B–	$	24,000
		Wireless Telecommunication Services – 0.9%
	50	Metro Wireless Inc.	9.250%	11/01/14	B–		46,250
	60	Rogers Wireless Communications Inc.	6.375%	3/01/14	BBB–		59,560
	80	Vodafone Group PLC	5.350%	2/27/12	A–		81,079
	190	Total Wireless Telecommunication Services					186,889
$	4,620	Total Corporate Bonds (cost $4,639,197)					4,467,505
Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 15.5%
		U.S. Treasury Bond/Notes – 15.5%
$	60	United States of America Treasury Bonds/Notes	0.000%	11/15/08	AAA	$	59,408
	1,525	United States of America Treasury Bonds/Notes	0.000%	11/15/10	AAA		1,459,166
	425	United States of America Treasury Bonds/Notes	0.000%	11/15/12	AAA		380,104
	950	United States of America Treasury Bonds/Notes	0.000%	5/15/17	AAA		673,892
	395	United States of America Treasury Bonds/Notes	0.000%	2/15/25	AAA		182,775
	965	United States of America Treasury Bonds/Notes	0.000%	2/15/31	AAA		347,288
$	4,320	Total U.S. Government and Agency Obligations (cost $2,938,540)					3,102,633
Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		ASSET-BACKED AND MORTGAGE-BACKED SECURITIES – 59.5%
		Autos – Asset-Backed Securities – 6.1%
$	300	Banc of America Securities Auto Trust 2006-G1	5.180%	6/18/10	AAA	$	303,026
	230	Capital Auto Receivables Asset Trust, Series 2007-2-A3A	5.020%	9/15/11	AAA		234,459
	180	Daimer Chrysler Auto Trust, Series 2006D	4.980%	2/08/11	AAA		182,209
	8	Daimler Chrysler Auto Trust, Class A3, Series 2005B	4.040%	9/08/09	AAA		7,552
	400	Ford Credit Auto Owner Trust, 2008A-3A	3.960%	4/15/12	AAA		401,641
	100	Hyundai Auto Receivables Trust 2007A, Class A3A	5.040%	1/17/12	AAA		101,317
	1,218	Total Autos					1,230,204
		Cards – Asset-Backed Securities – 9.3%
	175	American Express Credit Card Master Trust, Class C Series 2007-6	3.208%	1/15/13	BBB		159,791
	86	Bank of America Alternative Loan Trust, Series 2005-5 2 CB1	6.000%	6/25/35	Aaa		87,542
	100	Bank One Issuance Trust 03-A3 A3	2.928%	12/15/10	AAA		100,000
	310	Bank One Issuance Trust, 2003 Class A9	3.860%	6/15/11	AAA		311,163
	160	Chase Issuance Trust 05- A3 A	2.838%	10/17/11	AAA		158,810
	200	Citibank Credit Card Issuance Trust, 2006 Class B2	5.150%	3/07/11	A		200,804
	300	General Electric Master Credit Card Note Trust, Class A, Series 2006-1	5.080%	9/15/12	AAA		307,288
	300	Household Credit Card Master Note Trust, Class A, Series 2006-1	5.100%	6/15/12	AAA		305,055
	217	MBNA Master Credit Card Trust Class 99-J	7.000%	2/15/12	AAA		228,650
	1,848	Total Cards					1,859,103

23

Portfolio of Investments (Unaudited)

Nuveen Multi-Strategy Income Fund (continued)

March 31, 2008

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		Home Equity – Asset-Backed Securities – 0.0%
$	(3)      —	Master Asset Backed Securities Trust 2005-WMC1, Mortgage Pass Through Certificates, Class N-1	4.940%	3/26/35	A+	$	—
		Other – Asset-Backed Securities – 0.7%
	145	SLM Student Loan Trust 2007-7 Class A1	3.471%	10/25/12	AAA		143,770
		Commercial – Mortgage-Backed Securities – 1.7%
	350	Banc of America Commercial Mortgage Pass-Through Certificates, Series 2005	4.933%	7/10/45	AAA		343,127
		Residential – Mortgage-Backed Securities – 41.7%
	56	Federal National Mortgage Association Pool 255814	5.500%	8/01/35	AAA		56,302
	685	Federal National Mortgage Association Pool 735060	6.000%	11/01/34	AAA		704,352
	323	Federal National Mortgage Association Pool 735606	4.443%	5/01/35	AAA		328,081
	343	Federal National Mortgage Association Pool 824163	5.500%	4/01/35	AAA		347,041
	289	Federal National Mortgage Association Pool 838948	5.080%	8/01/35	AAA		294,787
	299	Federal National Mortgage Association Pool 847681	6.241%	12/01/36	AAA		307,451
	353	Federal National Mortgage Association Pool 905597	6.088%	12/01/36	AAA		360,036
	825	Federal National Mortgage Association Pool 946228	6.172%	9/01/37	AAA		828,718
	1,200	Federal National Mortgage Association Pool (MDR) (WI/DD)	6.000%	TBA	AAA		1,229,437
	1,700	Federal National Mortgage Association Pool (MDR) (WI/DD)	5.500%	TBA	AAA		1,716,203
	1,220	Federal National Mortgage Association Pool (MDR) (WI/DD)	5.000%	TBA	AAA		1,207,610
	127	Federal Home Loan Mortgage Corporation, Mortgage Pool 1B3220	5.936%	1/01/37	AAA		129,128
	800	Government National Mortgage Association (MDR) (WI/DD)	6.000%	TBA	AAA		825,625
	8,220	Total Residential					8,334,771
$	11,781	Total Asset-Backed and Mortgage-Backed Securities (cost $11,792,716)					11,910,975
Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		CAPITAL PREFERRED SECURITIES – 0.0%
		Capital Markets – 0.0%
$	8	First Union Institutional Capital Securities I	8.040%	12/01/26	A1	$	8,062
$	8	Total Capital Preferred Securities (cost $8,635)					8,062
Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		SOVEREIGN DEBT – 5.5%
		Colombia – 0.1%
$	10	Republic of Colombia	8.250%	12/22/14	BBB–	$	11,650
		Hungary – 0.3%
	60	Republic of Hungary	4.750%	2/03/15	A2		61,706
		Israel – 0.3%
	65	State of Israel	5.500%	11/09/16	A		68,382
		Malaysia – 0.6%
	100	Republic of Malaysia	7.500%	7/15/11	A–		111,964
		Mexico – 0.4%
	65	United Mexican States	6.625%	3/03/15	BBB+		72,800

24

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		Poland – 0.3%
$	60	Republic of Poland	5.000%	10/19/15	A2	$	63,099
		South Korea – 0.5%
	100	Republic of Korea	5.125%	12/07/16	A		102,242
		Turkey – 3.0%
	200	Republic of Turkey, Government Bond	14.000%	1/19/11	Ba3		139,624
	400	Republic of Turkey, Government Bond	10.840%	2/15/12	BB		324,037
	200	Republic of Turkey, Government Bond	16.000%	3/07/12	BB		141,273
	800	Total Turkey					604,934
$	1,260	Total Sovereign Debt (cost $1,028,944)					1,096,777
Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		SHORT-TERM INVESTMENTS – 22.1%
		U.S. Government and Agency Obligations – 17.0%
$	3,000	Federal Home Loan Banks, Discount Notes	0.000%	4/07/08	AAA	$	2,999,000
	400	Federal Home Loan Banks, Discount Notes	0.000%	4/09/08	AAA		399,747
	3,400	Total U.S. Government and Agency Obligations (cost $3,398,747)					3,398,747
		Repurchase Agreements – 5.1%
	1,018	Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/08, repurchase price $1,017,722, collateralized by $995,000 U.S. Treasury Bonds, 4.500%, due 2/15/36, value $1,041,019	1.100%	4/01/08	N/A		1,017,691
$	4,418	Total Short-Term Investments (cost $4,416,438)					4,416,438
		Total Investments (cost $24,824,470) – 125.0%					25,002,390

Description	Counterparty	Floating Rate Index	Pay/Receive Floating Rate	Exercise Rate	Expiration Date	Notional Amount		Premium	Value
	Call Swaptions Written – 0.0%
OTC-10-Year Interest Rate Swap	Lehman Brothers	6-Month LIBOR	Receive	4.890%	4/14/08	(1,300,000)	GBP	(3,120) GBP	$	(1,318	)

Total Call Swaptions Written (premiums received $6,334) (1,318 )

Other Assets Less Liabilities – (25.0)% (4,991,399 )

Net Assets – 100% $     20,009,673

25

Portfolio of Investments (Unaudited)

Nuveen Multi-Strategy Income Fund (continued)

March 31, 2008

Forward Foreign Currency Exchange Contracts outstanding at March 31, 2008:

Currency Contracts to Deliver	Amount (Local Currency)	In Exchange For Currency	Amount (Local Currency)	Settlement Date	Unrealized Appreciation (Depreciation) (U.S. Dollars)
Australian Dollar	200,000	Canadian Dollar	182,028	4/22/08	$	(5,013	)
Brazilian Real	458,600	U.S. Dollar	269,369	4/02/08		8,116
Canadian Dollar	200,000	Swiss Franc	220,448	4/08/08		27,170
Canadian Dollar	180,316	Australian Dollar	200,000	4/22/08		6,680
Czech Koruna	3,914,550	Euro	157,464	4/22/08		3,642
Euro	150,000	Czech Koruna	3,914,550	4/22/08		8,132
Euro	40,000	Iceland Krona	3,886,800	9/24/08		(12,689	)
Euro	84,608	Iceland Krona	8,119,800	9/24/08		(28,143	)
Iceland Krona	12,006,600	Euro	105,256	9/24/08		10,557
Indian Rupee	8,092,000	U.S. Dollar	200,000	6/09/08		(587	)
Indonesian Rupiah	1,917,480,000	U.S. Dollar	201,522	4/04/08		(6,719	)
Indonesian Rupiah	1,827,000,000	U.S. Dollar	195,401	6/10/08		(1,467	)
Japanese Yen	21,260,000	U.S. Dollar	200,000	5/01/08		(13,705	)
Mexican Peso	2,231,024	U.S. Dollar	205,649	4/24/08		(3,310	)
New Taiwan Dollar	2,511,600	U.S. Dollar	78,000	4/07/08		(4,819	)
New Taiwan Dollar	3,951,000	U.S. Dollar	122,626	4/15/08		(7,918	)
New Turkish Lira	128,530	U.S. Dollar	100,000	5/14/08		5,233
New Turkish Lira	127,290	U.S. Dollar	100,000	5/14/08		6,147
New Turkish Lira	669,433	U.S. Dollar	530,791	5/14/08		37,208
New Zealand Dollar	250,000	U.S. Dollar	195,254	5/05/08		(89	)
Singapore Dollar	250,000	U.S. Dollar	176,900	5/14/08		(5,093	)
South African Rand	800,000	U.S. Dollar	98,436	4/21/08		324
South Korean Won	159,613,000	U.S. Dollar	170,673	4/22/08		9,421
Swiss Franc	245,110	Canadian Dollar	220,448	4/08/08		(32,086	)
U.S. Dollar	273,334	Brazilian Real	458,600	4/02/08		(12,081	)
U.S. Dollar	58,000	Indonesian Rupiah	547,230,000	4/04/08		1,430
U.S. Dollar	150,000	Indonesian Rupiah	1,370,250,000	4/04/08		(1,189	)
U.S. Dollar	82,415	New Taiwan Dollar	2,511,600	4/07/08		404
U.S. Dollar	129,882	New Taiwan Dollar	3,951,000	4/15/08		662
U.S. Dollar	193,739	Colombian Peso	376,241,000	4/18/08		10,990
U.S. Dollar	100,000	South African Rand	778,200	4/21/08		(4,561	)
U.S. Dollar	102,640	South African Rand	800,000	4/21/08		(4,528	)
U.S. Dollar	205,700	Mexican Peso	2,231,024	4/24/08		3,258
U.S. Dollar	212,818	Japanese Yen	21,260,000	5/01/08		888
U.S. Dollar	194,655	New Zealand Dollar	250,000	5/05/08		688
U.S. Dollar	181,806	Singapore Dollar	250,000	5/14/08		187
U.S. Dollar	200,000	Indonesian Rupiah	1,827,000,000	6/10/08		(3,132	)
U.S. Dollar	100,000	Argentine Peso	371,900	6/17/08		(572	)
					$	(6,564	)

Interest Rate Swaps outstanding at March 31, 2008:

Counterparty	Notional Amount		Fund Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate (Annualized)		Fixed Rate Payment Frequency		Termination Date	Value at March 31, 2008			Unrealized Appreciation (Depreciation) (U.S. Dollars)
BNP Paribas	900,000	USD	Pay	12-Month CPI-U	2.840	%	3/04/15	(4)	3/04/15	$	(1,777	)	$	(1,177	)
BNP Paribas	900,000	USD	Receive	12-Month CPI-U	2.650		3/04/10	(4)	3/04/10		(1,762	)		(1,762	)
Deutsche Bank AG	1,300,000	GBP	Pay	6-Month LIBOR	4.800		Semi-Annually		1/24/10		(13,008	)		(13,008	)
Goldman Sachs	1,550,000	EUR	Pay	6-Month EURIBOR	4.021		Annually		1/26/14		(5,661	)		(5,661	)
Goldman Sachs	650,000	EUR	Receive	6-Month EURIBOR	4.410		Annually		1/26/19		914			914
Goldman Sachs	900,000	EUR	Receive	6-Month EURIBOR	3.675		Annually		1/26/11		6,027			6,027
Morgan Stanley	12,250,000	NOK	Pay	6-Month NIBOR	5.625		Annually		11/12/09		(15,361	)		(15,215	)
Morgan Stanley	2,500,000	NOK	Pay	6-Month NIBOR	5.500		Annually		11/12/17		9,179			9,179
Morgan Stanley	2,625,000	USD	Pay	3-Month USD-LIBOR	3.198		Semi-Annually		1/21/11		17,991			17,991
Morgan Stanley	3,000,000	BRL	Pay	1-Day BZDIRA	12.720		1/05/10	(5)	1/04/10		(210	)		(210	)
Morgan Stanley	4,000,000	BRL	Pay	1-Day BZDIRA	11.270		1/05/10	(5)	1/04/10		(60,097	)		(60,097	)
Morgan Stanley	625,000	USD	Receive	3-Month USD-LIBOR	4.490		Semi-Annually		1/21/19		(8,047	)		(8,047	)
Morgan Stanley	9,750,000	NOK	Receive	6-Month NIBOR	5.423		Annually		11/12/12		(3,168	)		(3,168	)
													$	(74,234	)

26

Credit Default Swaps outstanding at March 31, 2008:

Counterparty	Referenced Entity	Buy/Sell Protection	Notional Amount		Fixed Rate		Termination Date	Value at March 31, 2008		Unrealized Appreciation (Depreciation) (U.S. Dollars)
Bank of America	Macy’s Inc.	Buy	$	125,000	2.800	%	3/20/13	$	153	$	153
Goldman Sachs	DJ Investment Grade CDX	Sell		742,500	3.750		12/20/12		(78,775)		(76,920)
Lehman Brothers	Harrah’s Entertainment Inc.	Sell		125,000	3.750		9/20/08		(1,609)		(1,611)
										$	(78,378)

Futures Contracts outstanding at March 31, 2008:

Type	Contract Position	Number of Contracts	Contract Expiration	Value at March 31, 2008 (U.S. Dollars)		Unrealized Appreciation (Depreciation) (U.S. Dollars)
U.S. Treasury Bond	Long	1	6/08	$	118,797	$	247
U.S. 2-Year Treasury Note	Long	6	6/08		1,287,938		7,013
U.S. 5-Year Treasury Note	Long	6	6/08		685,406		(1,096)
U.S. 10-Year Treasury Note	Long	2	6/08		237,906		(475)
						$	5,689

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

(2) Ratings: Using the higher of Standard & Poor’s Group (“Standard & Poor’s”) or Moody’s Investor Service, Inc. (“Moody’s”) rating. Ratings below BBB by Standard & Poor’s or Baa by Moody’s are considered to be below investment grade.

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

(4) Fixed Rate Payment is due upon contract termination.

(5) Fixed Rate Payment due one business day subsequent to contract termination.

MDR Denotes investment is subject to dollar roll transactions.

N/A Not applicable.

OTC Over-The-Counter market transaction.

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

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

WI/DD Purchased on a when-issued or delayed delivery basis.

BRL Brazil Real

GBP British Pound

EUR Euro

NOK Norwegian Krone

USD United States Dollar

BZDIRA Brazil Inter-Bank Deposit Rate Annualized

CPI-U USA-Non-Revised Consumer Price Index-Urban

EURIBOR Europe Inter-Bank Offered Rate

LIBOR London Inter-Bank Offered Rate

NIBOR Norwegian Inter-Bank Offered Rate

See accompanying notes to financial statements.

27

Portfolio of Investments (Unaudited)

Nuveen High Yield Bond Fund

March 31, 2008

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		CORPORATE BONDS – 79.3%
		Aerospace & Defense – 2.4%
$	125	Bombardier Inc., 144A	6.750%	5/01/12	BB	$	124,375
	991	DI Finance/DynCorp International, Series B	9.500%	2/15/13	B		1,013,298
	460	Hawker Beechcraft Acquistion Company	9.750%	4/01/17	B–		460,000
	260	L-3 Communications Corporation	6.125%	1/15/14	BB+		254,800
	1,836	Total Aerospace & Defense					1,852,473
		Auto Components – 1.5%
	950	Goodyear Tire & Rubber Company	8.663%	12/01/09	BB–		948,813
	220	Lear Corporation	8.750%	12/01/16	B–		188,925
	1,170	Total Auto Components					1,137,738
		Building Products – 0.7%
	425	Dayton Superior Corporation	13.000%	6/15/09	CCC+		370,813
	205	Norcraft Holdings LP	9.750%	9/01/12	B–		180,400
	630	Total Building Products					551,213
		Capital Markets – 0.7%
	565	Lehman Brothers Holdings Inc.	3.500%	8/07/08	A+		556,391
		Chemicals – 0.9%
	175	Equistar Chemicals LP	7.550%	2/15/26	B+		112,875
	220	MacDermid, Inc.	9.500%	4/15/17	CCC+		198,000
	100	Methanex Corporation	8.750%	8/15/12	BBB–		107,750
	365	NOVA Chemicals Corporation	7.863%	11/15/13	Ba3		307,513
	860	Total Chemicals					726,138
		Commercial Services & Supplies – 2.5%
	100	Ahern Rentals Inc.	9.250%	8/15/13	B+		79,750
	350	Aramark Corproation	6.739%	2/01/15	B		310,625
	400	Browning Ferris-Allied Waste	9.250%	5/01/21	BB		416,000
	375	Interface, Inc.	10.375%	2/01/10	BB–		393,750
	500	International Lease Finance Corporation, Commercial Paper Notes	6.375%	3/15/09	AA–		506,027
	180	Quebecor Media Inc., 144A	7.750%	3/15/16	B2		165,150
	130	Rental Service Corporation	9.500%	12/01/14	B–		109,200
	2,035	Total Commercial Services & Supplies					1,980,502
		Computers & Peripherals – 3.1%
	950	GSC Holdings Corporation, 144A	8.000%	10/01/12	BB		1,009,375
	1,450	Seagate Technology HDD Holdings	5.569%	10/01/09	BB+		1,406,500
	2,400	Total Computers & Peripherals					2,415,875
		Construction Materials – 0.1%
	40	Texas Industries Inc.	7.250%	7/15/13	BB–		39,100
		Consumer Finance – 4.3%
	750	Ford Motor Credit Company	6.625%	6/16/08	B1		741,562
	925	Ford Motor Credit Company	6.750%	8/15/08	B1		912,038
	85	Ford Motor Credit Company	5.625%	10/01/08	B1		83,576
	750	GMAC LLC	3.749%	9/23/08	BB+		707,663

28

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		Consumer Finance (continued)
$	470	SLM Corporation, Series MTNA	5.294%	7/25/08	Baa2	$	461,980
	450	SLM Corporation	4.000%	1/15/09	Baa2		405,264
	3,430	Total Consumer Finance					3,312,083
		Containers & Packaging – 2.6%
	200	Caraustar Industries	7.375%	6/01/09	B–		137,000
	425	Intertape Polymer US Inc.	8.500%	8/01/14	CCC+		354,875
	1,500	Owens-Illinois Inc.	7.350%	5/15/08	B+		1,505,625
	2,125	Total Containers & Packaging					1,997,500
		Diversified Consumer Services – 1.6%
	500	Carriage Services Inc.	7.875%	1/15/15	B1		488,750
	835	CIT Group Inc.	5.019%	8/15/08	A–		770,901
	1,335	Total Diversified Consumer Services					1,259,651
		Diversified Financial Services – 2.7%
	1,000	Bear Stearns Co Inc.	2.755%	12/04/08	AA–		990,908
	100	CIT Group Inc.	4.000%	5/08/08	A–		98,189
	1,000	GMAC LLC Notes	5.125%	5/09/08	B+		994,157
	2,100	Total Diversified Financial Services					2,083,254
		Diversified Telecommunication Services – 5.8%
	50	Cincinnati Bell Inc.	8.375%	1/15/14	B2		47,125
	510	Cincinnati Bell Inc.	7.000%	2/15/15	Ba3		464,100
	760	Citizens Communications Company	9.000%	8/15/31	BB+		668,800
	700	FairPoint Communications Inc.	13.125%	4/01/18	B+		675,500
	40	Hughes Network Systems LLC, 144A	9.500%	4/15/14	B1		40,000
	1,000	PanAmSat Corporation	9.000%	8/15/14	BB–		1,012,500
	950	Qwest Capital Funding Inc.	7.000%	8/03/09	B+		950,000
	200	US West Communications Inc.	5.625%	11/15/08	BBB–		200,000
	415	Windstream Corporation, 144A	8.625%	8/01/16	BB		409,813
	4,625	Total Diversified Telecommunication Services					4,467,838
		Electric Utilities – 2.3%
	300	Edison Mission Energy	7.000%	5/15/17	BB–		300,000
	670	Energy Future Holdings	10.875%	11/01/17	B–		680,050
	325	Reliant Energy Inc.	7.875%	6/15/17	B		325,000
	500	Texas Competitive Electric Holdings Company LLC., Series B	10.250%	11/01/15	B3		500,625
	1,795	Total Electric Utilities					1,805,675
		Electrical Equipment – 0.7%
	541	UCAR Finance Inc.	10.250%	2/15/12	B+		562,640
		Energy Equipment & Services – 5.5%
	700	Allis Chalmers Energy Inc., 144A	8.500%	3/01/17	B		619,500
	1,850	El Paso Energy Corporation	6.750%	5/15/09	BB–		1,878,250
	950	Helix Energy Solutions	9.500%	1/15/16	BB–		954,750
	665	Kinder Morgan Finance	5.700%	1/05/16	BB		633,413
	100	Seitel Inc.	9.750%	2/15/14	B–		84,750
	90	Targa Resources Inc.	8.500%	11/01/13	B3		83,250
	4,355	Total Energy Equipment & Services					4,253,913

29

Portfolio of Investments (Unaudited)

Nuveen High Yield Bond Fund (continued)

March 31, 2008

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		Food Products – 0.4%
$	330	Pinnacle Foods Finance LLC, 144A	10.625%	4/01/17	CCC	$	282,150
		Health Care Providers & Services – 3.6%
	500	Community Health Systems, Inc.	8.875%	7/15/15	B		504,375
	380	HCA Inc.	8.750%	9/01/10	B–		381,900
	250	HCA Inc.	9.250%	11/15/16	BB–		260,000
	500	HealthSouth Corporation	10.829%	6/15/14	CCC+		485,000
	700	HealthSouth Corporation	10.750%	6/15/16	CCC+		738,500
	450	Tenet Healthcare Corporation	9.875%	7/01/14	B		437,625
	2,780	Total Health Care Providers & Services					2,807,400
		Hotels, Restaurants & Leisure – 2.7%
	930	Harrah’s Operating Company, Inc.	10.750%	2/01/16	B+		788,175
	1,000	Mandalay Resort	9.500%	8/01/08	BB		1,005,000
	100	MGM Mirage Inc.	6.625%	7/15/15	BB		87,500
	270	Mohegan Tribal Gaming Authority	8.000%	4/01/12	Ba2		248,400
	2,300	Total Hotels, Restaurants & Leisure					2,129,075
		Household Durables – 0.4%
	250	KB Home	7.750%	2/01/10	Ba2		240,313
	90	Toll Corporation	8.250%	2/01/11	BB+		82,125
	340	Total Household Durables					322,438
		Independent Power Producers & Energy Traders – 1.4%
	312	AES Corporation	8.750%	5/15/13	BB+		326,040
	275	Intergen NV, 144A	9.000%	6/30/17	BB–		288,750
	515	NRG Energy Inc.	7.375%	2/01/16	B1		505,988
	1,102	Total Independent Power Producers & Energy Traders					1,120,778
		Industrial Conglomerates – 0.6%
	430	SPX Corporation	7.625%	12/15/14	BB		443,438
		IT Services – 1.7%
	900	First Data Corporation (3)	3.375%	8/01/08	Caa1		878,582
	420	First Data Corporation	9.875%	9/24/15	B		345,975
	130	Sungard Data Systems Inc.	3.750%	1/15/09	B+		127,725
	1,450	Total IT Services					1,352,282
		Machinery – 0.6%
	420	American Railcar Industries	7.500%	3/01/14	BB–		371,700
	100	Columbus McKinnon Corporation	8.875%	11/01/13	B+		104,000
	520	Total Machinery					475,700
		Media – 5.9%
	1,250	Cablevision Systems Corporation	7.250%	7/15/08	BB		1,253,125
	100	CMP Susquehanna Corporation	9.875%	5/15/14	Caa1		69,500
	90	Dex Media Inc.	9.000%	11/15/13	B		65,250
	895	Echostar DBS Corporation	5.750%	10/01/08	BB–		892,763
	260	Echostar DBS Corporation	7.125%	2/01/16	BB–		243,750
	25	Jones Intercable	7.625%	4/15/08	BBB+		25,030

30

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		Media (continued)
$	600	Mediacom LLC	9.500%	1/15/13	B–	$	555,000
	50	Paxson Communications Corporation, 144A	10.508%	1/15/13	Caa1		37,625
	515	Sinclair Broadcasting Group	8.000%	3/15/12	BB–		521,438
	925	Valassis Communications Inc.	6.625%	1/15/09	BB		913,438
	4,710	Total Media					4,576,919
		Metals & Mining – 4.0%
	250	Algoma Acquisition Corporation, 144A	9.875%	6/15/15	B–		217,500
	200	California Steel Industries Inc.	6.125%	3/15/14	BB–		157,000
	220	Claymont Steel Inc., 144A	8.875%	2/15/15	B3		232,100
	220	Freeport McMoran Copper & Gold, Inc.	8.375%	4/01/17	BB		234,025
	100	Nalco Finance Holdings Inc.	9.000%	2/01/14	B–		90,500
	220	Noranda Aluminum Acquisition Corporation	8.738%	5/15/15	B–		173,800
	250	PNA Intermediate Holding Corporation	10.065%	2/15/13	B–		195,625
	100	Russel Metals Inc.	6.375%	3/01/14	BB		93,000
	625	Steel Dynamics, Inc.	7.375%	11/01/12	BB+		634,375
	700	Steel Dynamics, Inc. (WI/DD)	7.750%	4/15/16	BB+		704,375
	425	Tube City IMS Corporation	9.750%	2/01/15	B–		376,125
	3,310	Total Metals & Mining					3,108,425
		Multi-Utilities – 2.1%
	750	Aquila, Inc.	14.875%	7/01/12	BB–		928,125
	750	Dynegy Holdings, Inc., Term Loan	7.750%	6/01/19	B		705,000
	1,500	Total Multi-Utilities					1,633,125
		Oil, Gas & Consumable Fuels – 2.5%
	150	Alpha Natural Resources, Inc.	10.000%	6/01/12	B		157,500
	250	Energy Partners Limited, 144A	9.750%	4/15/14	B–		207,500
	100	Mariner Energy Corporation	8.000%	5/15/17	B		96,000
	240	Markwest Energy Partners LP, Series B	8.500%	7/15/16	B		243,000
	250	Massey Energy Company, Global Notes	6.625%	11/15/10	B+		249,063
	250	Plains Exploration and Production	7.750%	6/15/15	BB–		250,625
	110	Sabine Energy LNG LP	7.500%	11/30/16	BB		106,700
	250	Southwestern Energy Company	7.500%	2/01/18	BB+		260,000
	400	W&T Offshore, Inc.	8.250%	6/15/14	B		373,000
	2,000	Total Oil, Gas & Consumable Fuels					1,943,388
		Paper & Forest Products – 1.6%
	217	Buckeye Technologies Inc.	8.000%	10/15/10	B		217,814
	220	Mercer International Inc.	9.250%	2/15/13	B		183,700
	200	Millar Western Forest Products Ltd	7.750%	11/15/13	B2		136,000
	380	Rock-Tenn Company	8.200%	8/15/11	BB		391,400
	250	Rock-Tenn Company	5.625%	3/15/13	BB		231,250
	100	Verso Paper Holdings LLC., Series B	9.125%	8/01/14	B+		97,000
	1,367	Total Paper & Forest Products					1,257,164

31

Portfolio of Investments (Unaudited)

Nuveen High Yield Bond Fund (continued)

March 31, 2008

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		Pharmaceuticals – 1.3%
$	460	Axcan Intermediate Holdings	9.250%	3/01/15	Ba2	$	456,550
	550	Valeant Pharmaceuticals International	7.000%	12/15/11	Ba3		526,625
	1,010	Total Pharmaceuticals					983,175
		Real Estate Investment Trust – 1.2%
	1,000	Istar Financial Inc.	8.750%	8/15/08	BBB		952,587
		Road & Rail – 3.8%
	200	Kansas City Southern de Mexico, RL de CV	7.375%	6/01/14	BB–		185,000
	2,700	Kansas City Southern Railway Company	9.500%	10/01/08	BB–		2,750,624
	2,900	Total Road & Rail					2,935,624
		Semiconductors & Equipment – 0.3%
	300	Freescale Semiconductor Inc., 144A	10.125%	12/15/16	B–		204,000
		Textiles, Apparel & Luxury Goods – 0.3%
	250	HBI Branded Apparel Limited, Inc., Term Loan, Second Lien	8.204%	12/15/14	B2		223,125
		Thrifts & Mortgage Finance – 1.2%
	1,000	Washington Mutual Bank	5.187%	8/25/08	BBB+		961,394
		Trading Companies & Distributors – 0.5%
	100	H&E Equipment Limited, 144A	8.375%	7/15/16	BB–		83,000
	700	Neff Corporation	10.000%	6/01/15	B–		336,000
	800	Total Trading Companies & Distributors					419,000
		Wireless Telecommunication Services – 5.8%
	415	Metro Wireless Inc.	9.250%	11/01/14	B–		383,875
	950	Rogers Wireless Communications Inc.	8.000%	12/15/12	BB+		988,000
	537	Rural Cellular Corporation	8.250%	3/15/12	Ba3		553,110
	1,000	Rural Cellular Corporation	8.124%	6/01/13	CCC		1,005,000
	1,500	Triton PCS Inc.	8.500%	6/01/13	A–		1,569,369
	4,402	Total Wireless Telecommunication Services					4,499,354
$	63,643	Total Corporate Bonds (cost $63,283,338)					61,632,525
Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		ASSET-BACKED SECURITIES – 6.8%
		Autos – 4.2%
$	1,325	Capital Auto Receivables Asset Trust, Series 2006-2, Class A3B	2.878%	5/15/11	AAA	$	1,315,615
	1,000	Fifth Third Auto Trust 2008-1a-2B (3)	3.954%	2/15/11	AAA		1,000,250
	1,000	Nissna Auto Receivables Owner Trust, Series 2008-A2	3.318%	5/17/10	AAA		996,993
	3,325	Total Autos					3,312,858
		Cards – 2.6%
	1,020	Citibank Credit Card Issuance Trust, Series 2004-A3	3.788%	7/25/11	AAA		1,009,920
	1,000	MBNA Credit Card Master Note Trust, Class A4, Series 2006	2.808%	9/15/11	AAA		991,107
	2,020	Total Cards					2,001,027
$	5,345	Total Asset-Backed Securities (cost $5,308,376)					5,313,885

32

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		SHORT-TERM INVESTMENTS – 16.6%
		U.S. Government and Agency Obligations – 15.6%
$	4,000	Federal Farm Credit Bank Discount Notes	0.000%	4/04/08	AAA	$	3,999,333
	1,100	Federal Home Loan Banks, Discount Notes	0.000%	4/04/08	AAA		1,099,799
	5,000	Federal Home Loan Banks, Discount Notes	0.000%	4/15/08	AAA		4,996,014
	2,000	Federal National Mortgage Association (4)	0.000%	4/07/08	AAA		1,999,333
	12,100	Total U.S. Government and Agency Obligations (cost $12,094,479)					12,094,479
		Repurchase Agreements – 1.0%
	768	Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/08, repurchase price $768,465, collateralized by $750,000 U.S. Treasury Bonds, 4.500%, due 2/15/36, value $784,688	1.100%	4/01/08	N/A		768,442
$	12,868	Total Short-Term Investments (cost $12,862,921)					12,862,921
		Total Investments (cost $81,454,635) – 102.7%					79,809,331
		Other Assets Less Liabilities – (2.7)%					(2,117,210)
		Net Assets – 100%				$	77,692,121

Credit Default Swaps outstanding at March 31, 2008:

Counterparty	Referenced Entity	Buy/Sell Protection	Notional Amount		Fixed Rate		Termination Date	Value at March 31, 2008		Unrealized Appreciation (Depreciation) (U.S. Dollars)
Bank of America	Freescale Seminconductor, Inc.	Sell	$	1,000,000	3.250	%	12/20/08	$	(15,114)	$	(15,114)
Bank of America	Macy’s Inc.	Buy		750,000	2.800		3/20/13		916		916
Citibank	GMAC LLC	Sell		1,000,000	8.400		3/20/09		(56,299)		(56,299)
Goldman Sachs	DJ Investment Grade CDX	Sell		8,265,000	3.750		12/20/12		(877,099)		(520,671)
JPMorgan	Ford Motor Credit Company LLC	Sell		1,000,000	6.500		3/20/09		(33,280)		(33,297)
Lehman Brothers	Harrah’s Entertainment Inc.	Sell		750,000	3.750		9/20/08		(9,655)		(9,667)
										$	(634,132)

Total Return Swaps outstanding at March 31, 2008:

Counterparty	Receive	Pay	Expiration Date	Notional Amount		Unrealized Appreciation (Depreciation)
Bear Stearns International, Ltd. (3)	Lehman Brothers U.S. High Yield Index	1-Month USD-LIBOR-BBA less 35 basis points	11/30/08	$	15,000,000	$	(49,610	)
Bear Stearns International, Ltd. (3)	Lehman Brothers U.S. High Yield Index	1-Month USD-LIBOR-BBA less 35 basis points	3/01/09		15,000,000		(49,609	)
						$	(99,219	)

Futures Contracts outstanding at March 31, 2008:

Type	Contract Position	Number of Contracts	Contract Expiration	Value at March 31, 2008 (U.S. Dollars)		Unrealized Appreciation (Depreciation) (U.S. Dollars)
U.S. 5-Year Treasury Note	Long	50	6/08	$	5,711,719	$	94,772

33

Portfolio of Investments (Unaudited)

Nuveen High Yield Bond Fund (continued)

March 31, 2008

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

(2) Ratings: Using the higher of Standard & Poor’s Group (“Standard & Poor’s”) or Moody’s Investor Service, Inc. (“Moody’s”) rating. Ratings below BBB by Standard & Poor’s or Baa by Moody’s are considered to be below investment grade.

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

(4) Portion of investment, with an aggregate market value of $1,699,433, has been pledged to collateralize the net payment obligations under credit default swap contracts.

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

N/A Not applicable.

WI/DD Purchased on a when-issued or delayed delivery basis.

USD-LIBOR-BBA United States Dollar-London Inter-Bank Offered Rate-British Bankers’ Association.

See accompanying notes to financial statements.

34

Statement of Assets and Liabilities

March 31, 2008 (Unaudited)

	Short Duration			Multi-Strategy Income			High Yield
Assets
Investments, at value (cost $23,324,192, $20,408,032 and $68,591,714, respectively)	$	23,630,251		$	20,585,952		$	66,946,410
Short-term investments (at cost, which approximates value)		2,853,112			4,416,438			12,862,921
Cash denominated in foreign currencies (cost $328, $424 and $ –, respectively)		272			337			—
Deposits with brokers for open futures contracts (cost $258,984, $205,341 and $638,809, respectively)		258,984			205,335			638,809
Unrealized appreciation on forward foreign currency exchange contracts		140,157			141,137			—
Unrealized appreciation on interest rate swaps		1,280			1,280			—
Unrealized appreciation on credit default swaps		153			153			—
Credit default swaps premiums paid		—			—			29
Receivables:
Reimbursement from Adviser		30,547			46,929			71,876
Interest		256,773			130,456			1,250,735
Investments sold		80,899			36,360			1,310,938
Shares sold		21,241			3,613			156,320
Variation margin on futures contracts		3,337			2,948			11,719
Other assets		83			89			167
Total assets		27,277,089			25,571,027			83,249,924
Liabilities
Call swaptions written, at value (premiums received $6,334, $6,334 and $ –, respectively)		1,318			1,318			—
Unrealized depreciation on forward foreign currency exchange contracts		146,641			147,701			—
Unrealized depreciation on interest rate swaps		75,514			75,514			—
Unrealized depreciation on credit default swaps		78,531			78,531			634,132
Unrealized depreciation on total return swaps		—			—			99,219
Credit default swaps premiums received		2,001			2,001			356,428
Payables:
Investments purchased		287,673			5,085,611			3,873,368
Shares redeemed		136,544			70,498			200,085
Accrued expenses:
12b-1 distribution and service fees		7,023			4,592			15,833
Other		27,978			37,861			65,822
Dividends payable		54,330			57,727			312,916
Total liabilities		817,553			5,561,354			5,557,803
Net assets	$	26,459,536		$	20,009,673		$	77,692,121
Class A Shares
Net assets	$	8,775,142		$	6,250,268		$	13,436,572
Shares outstanding		445,835			321,300			735,279
Net asset value per share	$	19.68		$	19.45		$	18.27
Offering price per share (net asset value per share plus maximum sales charge of 2.00%, 3.75% and 4.75%, respectively, of offering price)	$	20.08		$	20.21		$	19.18
Class B Shares
Net assets		N/A		$	1,550,608		$	2,584,723
Shares outstanding		N/A			79,479			141,532
Net asset value and offering price per share		N/A		$	19.51		$	18.26
Class C Shares
Net assets	$	6,322,542		$	2,299,644		$	13,162,001
Shares outstanding		320,947			118,109			721,816
Net asset value and offering price per share	$	19.70		$	19.47		$	18.23
Class R Shares
Net assets	$	11,361,852		$	9,909,153		$	48,508,825
Shares outstanding		577,841			509,519			2,657,027
Net asset value and offering price per share	$	19.66		$	19.45		$	18.26
Net Assets Consist of:
Capital paid-in	$	26,511,136		$	20,220,329		$	82,143,102
Undistributed (Over-distribution of) net investment income		(98,149	)		(45,467	)		(386,650	)
Accumulated net realized gain (loss) from investments and derivative transactions		(122,538	)		(194,545	)		(1,780,448	)
Net unrealized appreciation (depreciation) of investments and derivative transactions		169,087			29,356			(2,283,883	)
Net assets	$	26,459,536		$	20,009,673		$	77,692,121

N/A – Short Duration is not authorized to issue Class B shares.

See accompanying notes to financial statements.

35

Statement of Operations

Six Months Ended March 31, 2008 (Unaudited)

	Short Duration			Multi-Strategy Income			High Yield
Investment Income	$	459,732		$	502,504		$	2,085,765
Expenses
Management fees		37,967			44,314			166,736
12b-1 service fees – Class A		7,222			6,678			13,151
12b-1 distribution and service fees – Class B		N/A			4,936			10,899
12b-1 distribution and service fees – Class C		17,903			10,334			56,026
Shareholders’ servicing agent fees and expenses		1,944			4,149			15,843
Custodian’s fees and expenses		20,299			31,729			28,274
Trustees’ fees and expenses		199			264			541
Professional fees		17,854			17,707			37,360
Shareholders’ reports – printing and mailing expenses		2,404			7,795			25,165
Federal and state registration fees		34,156			45,457			47,828
Other expenses		150			182			505
Total expenses before custodian fee credit and expense reimbursement		140,098			173,545			402,328
Custodian fee credit		(2,385	)		(742	)		(3,580	)
Expense reimbursement		(77,005	)		(107,284	)		(155,514	)
Net expenses		60,708			65,519			243,234
Net investment income		399,024			436,985			1,842,531
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments		80,779			65,301			(689,883	)
Forwards		(64,308	)		(63,855	)		—
Futures		228,193			148,008			818,994
Swaps		26,896			25,888			(1,707,767	)
Foreign currencies		(19,273	)		(19,410	)		—
Change in net unrealized appreciation (depreciation) of:
Investments		104,974			65,033			(1,124,630	)
Forwards		55,214			55,134			—
Futures		(3,667	)		(4,456	)		94,772
Swaps		(145,233	)		(145,233	)		(854,511	)
Call swaptions written		5,016			5,016			—
Foreign currencies		(107	)		(102	)		—
Net realized and unrealized gain (loss)		268,484			131,324			(3,463,025	)
Net increase (decrease) in net assets from operations	$	667,508		$	568,309		$	(1,620,494	)

N/A – Short Duration is not authorized to issue Class B Shares.

See accompanying notes to financial statements.

36

Statement of Changes in Net Assets (Unaudited)

	Short Duration						Multi-Strategy Income						High Yield
	Six Months Ended 3/31/08			Year Ended 9/30/07			Six Months Ended 3/31/08			Year Ended 9/30/07			Six Months Ended 3/31/08			Year Ended 9/30/07
Operations
Net investment income	$	399,024		$	561,484		$	436,985		$	642,173		$	1,842,531		$	1,565,971
Net realized gain (loss) from:
Investments		80,779			6,611			65,301			2,534			(689,883	)		153,907
Forwards		(64,308	)		(48,734	)		(63,855	)		(48,639	)		—			—
Futures		228,193			24,783			148,008			(146	)		818,994			65,944
Swaps		26,896			(30,427	)		25,888			(30,102	)		(1,707,767	)		(28,110	)
Call options written		—			(2,476	)		—			(2,476	)		—			—
Foreign currencies		(19,273	)		5,971			(19,410	)		6,035			—			—
Change in net unrealized appreciation (depreciation) of:
Investments		104,974			220,666			65,033			134,521			(1,124,630	)		(484,710	)
Forwards		55,214			(59,326	)		55,134			(59,326	)		—			—
Futures		(3,667	)		17,097			(4,456	)		1,980			94,772			2,403
Swaps		(145,233	)		(12,090	)		(145,233	)		(12,090	)		(854,511	)		92,502
Call swaptions written		5,016			—			5,016			—			—			—
Foreign currencies		(107	)		(309	)		(102	)		(385	)		—			—
Net increase (decrease) in net assets from operations		667,508			683,250			568,309			634,079			(1,620,494	)		1,367,907
Distributions to Shareholders
From undistributed net investment income:
Class A		(139,691	)		(48,349	)		(129,384	)		(79,802	)		(422,462	)		(358,595	)
Class B		N/A			N/A			(21,303	)		(6,419	)		(78,329	)		(82,930	)
Class C		(71,213	)		(49,880	)		(42,167	)		(39,516	)		(404,273	)		(322,597	)
Class R		(245,995	)		(461,428	)		(248,392	)		(489,073	)		(1,458,714	)		(775,076	)
Decrease in net assets from distributions to shareholders		(456,899	)		(559,657	)		(441,246	)		(614,810	)		(2,363,778	)		(1,539,198	)
Fund Share Transactions
Proceeds from sale of shares		13,635,356			7,140,810			6,380,271			5,378,109			65,613,947			23,979,450
Proceeds from shares issued to shareholders due to reinvestment of distributions		174,341			31,208			114,863			38,228			948,310			251,687
		13,809,697			7,172,018			6,495,134			5,416,337			66,562,257			24,231,137
Cost of shares redeemed		(3,638,186	)		(2,326,533	)		(1,633,721	)		(1,636,087	)		(14,994,973	)		(4,975,626	)
Net increase (decrease) in net assets from Fund share transactions		10,171,511			4,845,485			4,861,413			3,780,250			51,567,284			19,255,511
Net increase (decrease) in net assets		10,382,120			4,969,078			4,988,476			3,799,519			47,583,012			19,084,220
Net assets at the beginning of period		16,077,416			11,108,338			15,021,197			11,221,678			30,109,109			11,024,889
Net assets at the end of period	$	26,459,546		$	16,077,416		$	20,009,683		$	15,021,197		$	77,692,121		$	30,109,109
Undistributed (Over-distribution of) net investment income at the end of period	$	(98,149	)	$	(40,274	)	$	(45,467	)	$	(41,206	)	$	(386,650	)	$	134,597

N/A – Short Duration is not authorized to issue Class B Shares.

See accompanying notes to financial statements.

37

Notes to Financial Statements (Unaudited)

1. General Information and Significant Accounting Policies

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

As previously approved by the Fund’s Board of Trustees effective August 1, 2007, the Nuveen Core Bond Fund changed its name to Nuveen Multi-Strategy Income Fund.

Short Duration ordinarily invests at least 80% of its net assets in income producing short-term securities with the objective of providing high current income consistent with minimal fluctuations of principal.

Multi-Strategy Income ordinarily invests at least 80% of its net assets in fixed income securities with the objective of providing total return.

High Yield ordinarily invests at least 80% of its net assets in domestic and foreign corporate high yield debt securities, including zero coupon, payment in-kind, corporate loans and convertible bonds with the objective of maximizing total return.

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements in accordance with accounting principles generally accepted in the United States.

Investment Valuation

The prices of bonds and other securities in the Funds’ investment portfolios are generally provided by one or more independent pricing services approved by the Funds’ Board of Trustees. The pricing services typically value exchange-listed securities at the last sales price on that day; and value senior loans, bonds and other securities traded in the over-the-counter market at the mean of the bid and asked prices when current quotations are readily available. Futures contracts are valued using the closing settlement price or, in the absence of such a price, at the mean of the bid and asked prices. Prices of interest rate swaps are provided by and independent pricing service approved by each Fund’s Board of Trustees. Credit default swaps are valued using a market quote provided by a major broker/dealer in such investments. Total return swaps are valued by comparing the return of the underlying index at the valuation date with the value at the original effective date of the contract. The value of put options and options written are based on the last sale price in the case of exchange-traded options or, in the case of options traded in the OTC market, the last asked price. The pricing services or, in the absence of a pricing service for a particular investment, the Board of Trustees of the Funds, or its designee, may establish fair market value using a wide variety of market data including yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligor’s credit characteristics considered relevant by the pricing service or the Board of Trustees’ designee. If significant market events occur between the time of determination of the closing price of a foreign security on an exchange and the time that the Funds’ NAV is determined, or if under the Funds’ procedures, the closing price of a foreign security is not deemed to be reliable, and there could be a material effect on the Funds’ NAV, the security would be valued at fair value as determined in accordance with procedures established in good faith by the Funds’ Board of Trustees. Short-term investments are valued at amortized cost, which approximates market value.

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. Investments purchased on a when-issued/delayed delivery basis may have extended settlement periods. Any investments so purchased are subject to market fluctuation during this period. The Funds have instructed the custodian to segregate assets with a current value at least equal to the amount of the when-issued/delayed delivery purchase commitments. At March 31, 2008, Multi-Strategy Income and High Yield had outstanding when-issued/delayed delivery purchase commitments of $4,931,902 and $700,000, respectively. There were no such outstanding purchase commitments in Short Duration.

Investment Income

Interest income, which includes the amortization of premiums and accretion of discounts for financial reporting purposes, is recorded on an accrual basis. Investment income also includes paydown gains and losses, if any.

Federal Income Taxes

Each Fund is a separate taxpayer for federal income tax purposes. Each Fund intends to distribute substantially all of its net investment income and net capital gains to shareholders and to otherwise comply with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies. Therefore, no federal income tax provision is required.

Effective March 31, 2008, the Funds adopted Financial Accounting Standards Board (FASB) Interpretation No. 48 “Accounting for Uncertainty in Income Taxes” (FIN 48). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the affirmative evaluation of tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether it is “more-likely-than-not,” (i.e., a greater than 50-percent likelihood) of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold may result in a tax benefit or expense in the current year.

38

Implementation of FIN 48 required management of the Funds to analyze all open tax years, as defined by the status of limitations, for all major jurisdictions, which includes federal and certain states. 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). The Funds have no examinations in progress.

For all open tax years and all major taxing jurisdictions through the end of the reporting period, management of the Funds has reviewed all tax positions taken or expected to be taken in the preparation of the Funds’ tax returns and concluded the adoption of FIN 48 resulted in no impact to the Funds’ net assets or results of operations as of and during the six months ended March 31, 2008.

The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

Dividends and Distributions to Shareholders

Dividends from net investment income are declared monthly. Net realized capital gains from investment transactions, if any, are declared and distributed to shareholders at least annually. Furthermore, capital gains are distributed only to the extent they exceed available capital loss carryforwards.

Distributions to shareholders are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States.

Flexible Sales Charge Program

Each Fund offers Class A, C and R Shares. Multi-Strategy Income and High Yield also offer Class B Shares. Class A Shares are generally sold with an up-front sales charge and incur a .25% annual 12b-1 service fee. Class A Share purchases of $1 million or more are sold at net asset value without an up-front sales charge but may be subject to a contingent deferred sales charge (“CDSC”) if redeemed within 18 months of purchase. Class B Shares are sold without an up-front sales charge but incur a .75% annual 12b-1 distribution fee and a .25% annual 12b-1 service fee. An investor purchasing Class B Shares agrees to pay a CDSC of up to 5% depending upon the length of time the shares are held by the investor (CDSC is reduced to 0% at the end of six years). Class C Shares are sold without an up-front sales charge but incur a .75% annual 12b-1 distribution fee and a .25% annual 12b-1 service fee. An investor purchasing Class C Shares agrees to pay a CDSC of 1% if Class C Shares are redeemed within one year of purchase. Class R Shares are not subject to any sales charge or 12b-1 distribution or service fees. Class R Shares are available only under limited circumstances.

Expense Allocation

Expenses of the Funds that are not directly attributable to a specific class of shares are prorated among the classes based on the relative net assets of each class. Expenses directly attributable to a class of shares, which presently only include 12b-1 distribution and service fees, are recorded to the specific class.

Repurchase Agreements

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

Futures Contracts

Each Fund is authorized to invest in futures contracts. Upon entering into a futures contract, a Fund is required to deposit with the broker an amount of cash or liquid securities equal to a specified percentage of the contract amount. This is known as the “initial margin.” Subsequent payments (“variation margin”) are made or received by a Fund each day, depending on the daily fluctuation of the value of the contract.

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. When the contract is closed or expired, a Fund records a realized gain or loss equal to the difference between the value of the contract on the closing date and value of the contract when originally entered into. Cash held by the broker to cover initial margin requirements on open futures contracts, if any, is recognized on the Statement of Assets and Liabilities. Additionally, the Statement of Assets and Liabilities reflects a receivable or payable for the variation margin when applicable.

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

Swap Contracts

Each Fund is authorized to enter into swap contracts consistent with their investment objectives and policies to obtain a desired return at a lower cost than if the Funds had invested directly in the asset that yielded the desired return. In connection with these contracts, securities in the Funds’ portfolios may be identified as collateral in accordance with the terms of the respective swap contract.

Interest rate swap contracts involve the exchange by a Fund with another party of their respective commitments to pay or receive interest, (i.e., an exchange of floating rate payments for fixed rate payments with respect to a specified notional amount of principal).

39

Notes to Financial Statements (Unaudited)(continued)

Total return swap contracts involve commitments to pay interest in exchange for a market-linked return, both based on specified notional amounts. To the extent the total return of the security or index underlying the transaction exceeds or falls short of offsetting the interest rate obligation, a Fund will receive a payment from or make a payment to the counterparty.

Credit default swap contracts involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default by a third party. A Fund may enter into a credit default contract to seek to maintain a total return on a particular investment or portion of its portfolio, or to take an active long or short position with respect to the likelihood of a particular issuer’s default. As a purchaser of a credit default swap contract, the Fund pays a periodic interest fee on the notional amount to the counterparty. This interest fee is accrued daily as a component of unrealized appreciation or depreciation and is recorded as a realized loss upon payment. Upon occurrence of a specific credit event with respect to the underlying referenced debt obligation, the Fund is obligated to deliver that security, or an equivalent amount of cash, to the counterparty in exchange for receipt of the notional amount from the counterparty. The difference between the value of the security delivered and the notional amount received is recorded as a realized gain. Payments received or made at the beginning of the measurement period are reflected on the Statement of Assets Liabilities. As a seller of a credit default contract, the Fund generally receives a periodic interest fee on the notional amount from the counterparty. This interest fee is accrued daily as a component of unrealized appreciation or depreciation and is recorded as a realized gain upon payment. Upon occurrence of a specific credit event with respect to the underlying referenced debt obligation, the Fund receives that security, or an equivalent amount of cash, from the counterparty in exchange for payment of the notional amount to the counterparty. The difference between the value of the security received and the notional amount paid is recorded as a realized loss.

Swap contracts are valued daily. Unrealized gains are reported as an asset and unrealized losses are reported as a liability on the Statement of Assets and Liabilities. Income received or paid by the Fund on a swap contract is reported as a realized gain or loss on the Statement of Operations. Additionally, realized gains or losses are recorded upon the termination of a swap contract and are equal to the difference between the Fund’s basis in the swap and the proceeds from (or cost of) the closing transaction. Notional principal amounts are used to express the extent of involvement in these transactions, reducing the amounts potentially subject to counterparty credit risk are generally much smaller, except with respect to credit default swaps.

Entering into these contracts involves, to varying degrees, elements of credit, market and documentation risk in excess of the amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these contracts, that there may be unfavorable changes in interest rates, and default by the counterparty on its obligation to perform or disagree as to the meaning of the contractual terms in the contracts. If there is a default by the counterparty to a swap contract, a Fund will be limited to contractual remedies pursuant to the contracts related to the transaction. There is no assurance that the swap contract counterparties will be able to meet their obligations pursuant to the swap contracts or that, in the event of default, a Fund will succeed in pursuing contractual remedies. A Fund thus assumes the risk that it may be delayed in, or prevented from, obtaining payments owed to it pursuant to the swap contracts. The creditworthiness of the swap contract counterparties is closely monitored in order to minimize this risk.

Dollar Rolls

Each Fund is authorized to enter into “dollar rolls” in which a Fund purchases or sells mortgage-backed securities for delivery in the future and simultaneously contracts to sell or repurchase substantially similar (same type, coupon, and maturity) securities on a different specified future date. Dollar rolls are identified in the Portfolio of Investments as “MDR” for each of the Funds, when applicable. During the roll period, the Fund foregoes principal and interest paid on the mortgage-backed securities. The Fund is compensated by fee income or the difference between the current sales price and the lower forward price for the future purchase. Such compensation is amortized over the life of the dollar rolls and included in Investment Income on the Statement of Operations. Dollar rolls are valued daily. Multi-Strategy Income was the only Fund to invest in dollar rolls during the six-months ended March 31, 2008.

Short Sales

Each Fund is authorized to make short sales of debt securities. To secure its obligation to deliver securities sold short, the Funds have instructed the custodian to segregate assets in an equivalent amount of the securities sold short. The Funds are obligated to pay to the parties to which the securities were sold short, interest earned on the debt securities and records such amounts as an expense in the Statement of Operations. Short sales are valued daily and the corresponding unrealized gains or losses are included in “Change in net unrealized appreciation (depreciation) of investments” in the Statement of Operations. None of the Funds invested in short sales during the six months ended March 31, 2008.

Options Transactions

Each Fund is authorized to purchase put options and write (sell) call options on securities, swaps or currencies. The purchase of put options involves the risk of loss of all or a part of the cash paid for the options. Put options purchased are accounted for in the same manner as portfolio securities. The risk associated with purchasing put options is limited to the premium paid. When a Fund writes a call option, an amount equal to the net premium received (the premium less commission) is recorded as a liability and is subsequently adjusted to the current value of the written option until the option expires or a Fund enters into a closing purchase transaction. When a call option expires or a Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid at expiration or on effecting a closing purchase transaction, including commission, is treated

40

as a net realized gain on option contracts written or, if the net premium received is less than the amount paid, as a net realized loss on option contracts written. The Fund, as a writer of a call option, bears the risk of an unfavorable change in the market value of the security, swap or currency underlying the written option. There is the risk a Fund may not be able to enter into a closing transaction because of an illiquid market. High Yield did not enter into option transactions during the six months ended March 31, 2008.

Foreign Currency Transactions

Each Fund is authorized to engage in foreign currency exchange transactions, including foreign currency forward, swap, options and futures contracts. To the extent that a Fund invests in securities and/or contracts that are denominated in a currency other than U.S. dollars, the Fund will be subject to currency risk, which is the risk that an increase in the U.S. dollar relative to the foreign currency will reduce returns or portfolio value. Generally, when the U.S. dollar rises in value against a foreign currency, the Fund’s investments denominated in that currency will lose value because its currency is worth fewer U.S. dollars; the opposite effect occurs if the U.S. dollar falls in relative value. Investments and other assets and liabilities denominated in foreign currencies are converted into U.S. dollars on a spot (i.e. cash) basis at the spot rate prevailing in the foreign currency exchange market at the time of valuation. Purchases and sales of investments and income denominated in foreign currencies are translated into U.S. dollars on the respective dates of such transactions. The gains or losses resulting from changes in foreign exchange rates are included in “Net realized gain (loss) from foreign currencies” and “Change in net unrealized appreciation (depreciation) of foreign currencies” in the Statement of Operations.

The books and records of the Funds are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars at 4:00 p.m. Eastern time. Investments and income and expenses are translated on the respective dates of such transactions. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date of the transactions, foreign currency transactions, and the difference between the amounts of interest and dividends recorded on the books of a Fund and the amounts actually received.

Forward Foreign Currency Exchange Contracts

Each Fund is authorized to enter into forward foreign currency exchange contracts. Generally, each Fund may enter into forward foreign currency exchange contracts only under two circumstances: (i) when a Fund enters into a contract for the purchase or sale of a security denominated in a foreign currency to “lock in” the U.S. exchange rate of the transaction, with such period being a short-dated contract covering the period between transaction date and settlement date; or (ii) when Nuveen Asset Management (the “Adviser”), a wholly owned subsidiary of Nuveen Investments, Inc. (“Nuveen”), believes that the currency of a particular foreign country may experience a substantial movement against the U.S. dollar or against another foreign currency. Forward foreign currency contracts are valued daily at the forward rate. The change in market value is recorded as an unrealized gain or loss by a Fund. When the contract is closed or offset with the same counterparty, a Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed or offset.

Forward foreign currency contracts will generally not be entered into for terms greater than three months. The use of forward foreign currency contracts does not eliminate fluctuations in the underlying prices of a Fund’s investment securities; however, it does establish a rate of exchange that can be achieved in the future. The use of forward foreign currency contracts involves the risk that anticipated currency movements will not be accurately predicted. A forward foreign currency contract would limit the risk of loss due to a decline in the value of a particular currency; however, it also would limit any potential gain that might result should the value of the currency increase instead of decrease. These contracts may involve market risk in excess of the unrealized gain or loss reflected in the Statements of Assets and Liabilities. In addition, a Fund could be exposed to risks if counterparties to the contracts are unable to meet the terms of their contracts. The counterparty risk exposure is, therefore, closely monitored and contracts are only executed with high credit quality financial institutions. High Yield did not enter into any forward foreign currency exchange contracts during the six months ended March 31, 2008.

Custodian Fee Credit

Each Fund has an arrangement with the custodian bank whereby certain custodian fees and expenses are reduced by net credits earned on each Fund’s cash on deposit with the bank. Such deposit arrangements are an alternative to overnight investments. Credits for cash balances may be offset by charges for any days on which a Fund overdraws its account at the custodian bank.

Zero Coupon Securities

Each Fund is authorized to invest in zero coupon securities. A zero coupon security does not pay a regular interest coupon to its holders during the life of the security. Tax-exempt income to the holder of the security comes from accretion of the difference between the original purchase price of the security at issuance and the par value of the security at maturity and is effectively paid at maturity. Such securities are included in the Portfolios of Investments with a 0.000% coupon rate in their description. The market prices of zero coupon securities generally are more volatile than the market prices of securities that pay interest periodically.

Indemnifications

Under the Trust’s organizational documents, its Officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, in the normal course of business, the Trust enters into contracts that provide general indemnifications to other parties. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

41

Notes to Financial Statements (Unaudited)(continued)

Use of Estimates

The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results may differ from those estimates.

2. Fund Shares

Transactions in Fund shares were as follows:

	Short Duration
	Six Months Ended 3/31/08					Year Ended 9/30/07
	Shares		Amount			Shares		Amount
Shares sold:
Class A	326,927		$	6,449,103		266,251		$	5,129,398
Class C	270,925			5,347,537		102,474			1,977,713
Class R	93,387			1,838,716		1,748			33,699
Shares issued to shareholders due to reinvestment of distributions:
Class A	6,717			131,850		1,348			26,049
Class C	1,507			29,656		246			4,744
Class R	652			12,835		22			415
	700,115			13,809,697		372,089			7,172,018
Shares redeemed:
Class A	(99,208	)		(1,955,530	)	(79,036	)		(1,518,522	)
Class C	(67,853	)		(1,334,734	)	(41,757	)		(805,880	)
Class R	(17,608	)		(347,922	)	(110	)		(2,131	)
	(184,669	)		(3,638,186	)	(120,903	)		(2,326,533	)
Net increase (decrease)	515,446		$	10,171,511		251,186		$	4,845,485
	Multi-Strategy Income
	Six Months Ended 3/31/08					Year Ended 9/30/07
	Shares		Amount			Shares		Amount
Shares sold:
Class A	202,351		$	3,943,660		172,467		$	3,309,211
Class B	62,657			1,225,537		27,876			536,200
Class C	52,113			1,014,635		76,524			1,476,814
Class R	10,051			196,439		2,921			55,884
Shares issued to shareholders due to reinvestment of distributions:
Class A	3,852			75,002		1,076			20,725
Class B	757			14,795		79			1,516
Class C	1,081			21,054		784			15,125
Class R	206			4,012		45			862
	333,068			6,495,134		281,772			5,416,337
Shares redeemed:
Class A	(55,059	)		(1,074,417	)	(69,873	)		(1,339,777	)
Class B	(8,447	)		(165,070	)	(6,071	)		(117,155	)
Class C	(16,820	)		(328,549	)	(9,342	)		(179,155	)
Class R	(3,329	)		(65,685	)	—			—
	(83,655	)		(1,633,721	)	(85,286	)		(1,636,087	)
Net increase (decrease)	249,413		$	4,861,413		196,486		$	3,780,250

42

	High Yield
	Six Months Ended 3/31/08					Year Ended 9/30/07
	Shares		Amount			Shares		Amount
Shares sold:
Class A	425,172		$	8,007,197		584,929		$	11,523,605
Class B	48,723			915,686		112,044			2,216,388
Class C	373,736			7,060,285		475,139			9,391,628
Class R	2,605,409			49,630,779		42,711			847,829
Shares issued to shareholders due to reinvestment of distributions:
Class A	11,207			211,661		7,423			146,461
Class B	1,345			25,362		1,310			25,834
Class C	6,709			125,936		3,422			67,280
Class R	31,542			585,351		619			12,112
	3,503,843			66,562,257		1,227,597			24,231,137
Shares redeemed:
Class A	(166,590	)		(3,182,641	)	(149,463	)		(2,903,480	)
Class B	(3,510	)		(66,347	)	(29,580	)		(575,728	)
Class C	(100,520	)		(1,876,411	)	(71,712	)		(1,403,784	)
Class R	(519,325	)		(9,869,574	)	(4,811	)		(92,634	)
	(789,945	)		(14,994,973	)	(255,566	)		(4,975,626	)
Net increase (decrease)	(2,713,898		$	51,567,284		972,031		$	19,255,511

3. Investment Transactions

Purchases and sales (including maturities but excluding put options purchased, call swaptions written, dollar roll and derivative transactions and short-term investments) for the six months ended March 31, 2008, were as follows:

	Short Duration		Multi- Strategy Income		High Yield
Purchases:
Investment securities	$	7,779,829	$	19,668,054	$	66,161,869
U.S. Government and agency obligations		10,120,090		3,262,206		—
Sales and maturities:
Investment securities		1,725,401		15,261,139		21,897,213
U.S. Government and agency obligations		5,353,227		1,802,751		—

Transactions in call swaptions written for Short Duration and Multi-Strategy Income during the six months ended March 31, 2008, were as follows:

	Short Duration		Multi-Strategy Income
	Number of Contracts	Premiums Received	Number of Contracts	Premiums Received
Outstanding, beginning of period	—	—	—	—
Call swaptions written	1,300,000	6,334	1,300,000	6,334
Outstanding, end of the period	1,300,000	6,334	1,300,000	6,334

4. Income Tax Information

The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to the treatment of foreign currency transaction gains and losses, paydown gains and losses, amortization of premium and timing differences in recognizing certain gains and losses on investment transactions. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts on the Statement of Assets and Liabilities presented in the annual report, based on their federal tax basis treatment; temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset values of the Funds.

43

Notes to Financial Statements (Unaudited)(continued)

At March 31, 2008, the cost of investments was as follows:

	Short Duration		Multi- Strategy Income		High Yield
Cost of investments	$	26,239,579	$	24,852,410	$	81,546,649

Gross unrealized appreciation and gross unrealized depreciation of investments at March 31, 2008, were as follows:

	Short Duration			Multi- Strategy Income			High Yield
Gross unrealized:
Appreciation	$	315,061		$	422,480		$	265,568
Depreciation		(71,277	)		(272,500	)		(2,002,886	)
Net unrealized appreciation (depreciation) of investments	$	243,784		$	149,980		$	(1,737,318	)

The tax components of undistributed net ordinary income and net long-term capital gains at September 30, 2007, the Funds’ last tax year end, were as follows:

	Short Duration		Multi- Strategy Income		High Yield
Undistributed net ordinary income*	$	190,573	$	193,788	$	472,351
Undistributed net long-term capital gains		—		—		—

* Net ordinary income consists of net taxable income derived from dividends, interest, and net short-term capital gains, if any.

The tax character of distributions paid during the Funds’ last tax year ended September 30, 2007, was designated for purposes of the dividends paid deduction as follows:

	Short Duration		Multi- Strategy Income		High Yield
Distributions from net ordinary income*	$	543,810	$	598,765	$	1,427,691
Distributions from net long-term capital gains		—		—		—

* Net ordinary income consists of net taxable income derived from dividends, interest, and net short-term capital gains, if any.

At September 30, 2007, the Funds’ last tax year end, the Funds had unused capital loss carryforwards available for federal income tax purposes to be applied against future capital gains, if any. If not applied, the carryforwards will expire as follows:

	Short Duration		Multi- Strategy Income		High Yield
Expiration Year:
2014	$	178,461	$	114,399	$	64,821
2015		141,618		161,925		144,218
Total	$	320,079	$	276,324	$	209,039

The Funds elected to defer net realized losses from investments incurred from November 1, 2006 through September 30, 2007, the Funds’ last tax year end, (“post-October losses”) in accordance with federal income tax regulations. Post-October losses are treated as having arisen on the first day of the following current year:

Short Duration		Multi- Strategy Income
$	36,073	$	63,924

44

5. Management Fees and Other Transactions with Affiliates

Each Fund’s management fee is separated into two components – a complex-level component, based on the aggregate amount of all fund assets managed by the Adviser, and a specific fund-level component, based only on the amount of assets within each individual Fund. This pricing structure enables Nuveen fund shareholders to benefit from growth in the assets within each individual fund as well as from growth in the amount of complex-wide assets managed by the Adviser.

The annual fund-level fee, payable monthly, for each Fund is based upon the average daily net assets of each Fund as follows:

Average Daily Net Assets	Short Duration Fund-Level Fee Rate		Multi-Strategy Income Fund-Level Fee Rate		High Yield Fund-Level Fee Rate
For the first $125 million	.2000	%	.3000	%	.4000	%
For the next $125 million	.1875		.2875		.3875
For the next $250 million	.1750		.2750		.3750
For the next $500 million	.1625		.2625		.3625
For the next $1 billion	.1500		.2500		.3500
For net assets over $2 billion	.1250		.2250		.3250

The annual complex-level fee, payable monthly, which is additive to the fund-level fee, for all Nuveen sponsored funds in the U.S., is based on the aggregate amount of total fund assets managed as stated in the table below. As of September 30, 2007, the complex-level fee rate was .1870%.

The complex-level fee schedule is as follows:

Complex-Level Asset Breakpoint Level (1)	Effective Rate at Breakpoint Level
$55 billion	.2000	%
$56 billion	.1996
$57 billion	.1989
$60 billion	.1961
$63 billion	.1931
$66 billion	.1900
$71 billion	.1851
$76 billion	.1806
$80 billion	.1773
$91 billion	.1691
$125 billion	.1599
$200 billion	.1505
$250 billion	.1469
$300 billion	.1445

(1) The complex-level fee component of the management fee for the funds is calculated based upon the aggregate Managed Assets (“Managed Assets” means the average daily net assets of each fund including assets attributable to preferred stock issued by or borrowings by the Nuveen funds) of Nuveen-sponsored funds in the U.S.

The management fee compensates the Adviser for overall investment advisory and administrative services and general office facilities. The Trust pays no compensation directly to those of its Trustees who are affiliated with the Adviser or to its Officers, all of whom receive remuneration for their services to the Trust from the Adviser or its affiliates. The Board of Trustees has adopted a deferred compensation plan for independent Trustees that enables Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from certain Nuveen advised funds. Under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of select Nuveen advised funds.

The Adviser agreed to reimburse all expenses other than management fees, 12b-1 distribution and service fees, interest expenses taxes, fees incurred in acquiring and disposing of portfolio securities and extraordinary expenses for each of the Funds through January 31, 2009. The Adviser may also voluntarily reimburse additional expenses from time to time in any of the Funds. Voluntary reimbursements may be terminated at any time at the Adviser’s discretion.

During the six months ended March 31, 2008, Nuveen Investments, LLC (the “Distributor”), a wholly owned subsidiary of Nuveen, collected sales charges on purchases of Class A Shares, the majority of which were paid out as concessions to financial intermediaries as follows:

	Short Duration		Multi- Strategy Income		High Yield
Sales charges collected	$	1,115	$	6,817	$	116,350
Paid to financial intermediaries		895		6,003		102,815

45

Notes to Financial Statements (Unaudited)(continued)

The Distributor also received 12b-1 service fees on Class A Shares, substantially all of which were paid to compensate financial intermediaries for providing services to shareholders relating to their investments.

During the six months ended March 31, 2008, the Distributor compensated financial intermediaries directly with commission advances at the time of purchase as follows:

	Short Duration		Multi- Strategy Income		High Yield
Commission advances	$	2,536	$	5,032	$	65,802

To compensate for commissions advanced to financial intermediaries, all 12b-1 service fees collected on Class B Shares during the first year following a purchase, all 12b-1 distribution fees collected on Class B Shares, and all 12b-1 service and distribution fees collected on Class C Shares during the first year following a purchase are retained by the Distributor. During the six months ended March 31, 2008, the Distributor retained such 12b-1 fees as follows:

	Short Duration		Multi- Strategy Income		High Yield
12b-1 fees retained	$	5,385	$	7,608	$	48,279

The remaining 12b-1 fees charged to the Funds were paid to compensate financial intermediaries for providing services to shareholders relating to their investments.

The Distributor also collected and retained CDSC on share redemptions during the six months ended March 31, 2008, as follows:

	Short Duration		Multi- Strategy Income		High Yield
CDSC retained	$	2,261	$	2,022	$	4,850

At March 31, 2008, Nuveen owned 499,500 shares of Class R of Short Duration and Multi-Strategy Income. At March 31, 2008, the Adviser owned 125, 125 and 250 shares of Short Duration Class A, C and R, respectively, and 125 shares of each of Multi-Strategy Income’s Class A, B, C and R.

6. New Accounting Pronouncements

Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157

In September 2006, the Financial Accounting Standards Board (FASB) issued Statement of Financial Accounting Standards (SFAS) No. 157, “Fair Value Measurements.” This standard establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and requires additional disclosures about fair value measurements. SFAS No. 157 applies to fair value measurements already required or permitted by existing standards. SFAS No. 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007, and interim periods within those fiscal years. The changes to current generally accepted accounting principles from the application of this standard relate to the definition of fair value, the methods used to measure fair value, and the expanded disclosures about fair value measurements. As of March 31, 2008, management does not believe the adoption of SFAS No. 157 will impact the financial statement amounts; however, additional disclosures may be required about the inputs used to develop the measurements and the effect of certain of the measurements included within the Statement of Operations for the period.

Financial Accounting Standards Board Statement of Financial Accounting Standards No. 161

In March 2008, the FASB issued SFAS No. 161, “Disclosures about Derivative Instruments and Hedging Activities.” This standard is intended to enhance financial statement disclosures for derivative instruments and hedging activities and enable investors to understand: a) how and why a fund uses derivative instruments, b) how derivative instruments and related hedge items are accounted for, and c) how derivative instruments and related hedge items affect a fund’s financial position, results of operations and cash flows. SFAS No. 161 is effective for financial statements issued for fiscal years beginning after November 15, 2008, and interim periods within those fiscal years. As of March 31, 2008, management does not believe the adoption of SFAS No. 161 will impact the financial statement amounts; however, additional footnote disclosures may be required about the use of derivative instruments and hedging items.

46

7. Subsequent Events

Distributions to Shareholders

The Funds declared dividend distributions from their net investment income which were paid on May 1, 2008, to shareholders of record on April 29, 2008, as follows:

	Short Duration		Multi- Strategy Income		High Yield
Dividend per share:
Class A	$	.0730	$	.0775	$	.1220
Class B		N/A		.0650		.1105
Class C		.0605		.0650		.1105
Class R		.0770		.0815		.1260

N/A – Short Duration is not authorized to issue Class B shares.

Recent Fund Policy Changes

On March 31, 2008, the Nuveen mutual funds announced the following policy changes applicable to the Funds effective May 1, 2008:

• The period after purchase for which a 1% CDSC is imposed on Class A Share purchases of $1 million or more will be reduced from 18 months to 12 months for all purchases occurring on or after May 1, 2007. Class A Shares purchased prior to May 1, 2007 that have not been redeemed prior to May 1, 2008, will no longer be subject to a CDSC;

• Multi-Strategy Income and High Yield will cease offering new Class B Shares to the public and will only issue Class B Shares upon exchange of Class B shares from another Nuveen fund or for purposes of dividend reinvestment; and

• Class R Shares will be renamed Class I Shares.

47

Financial Highlights (Unaudited)

Class (Commencement Date)
			Investment Operations								Less Distributions												Ratios/Supplemental Data
SHORT DURATION																									Ratios to Average Net Assets Before Credit/ Reimbursement				Ratios to Average Net Assets After Reimbursement(c)				Ratios to Average Net Assets After Credit/ Reimbursement(d)
Year Ended September 30,	Beginning Net Asset Value		Net Invest- ment Income(a)		Net Realized/ Unrealized Gain (Loss)			Total			Net Invest- ment Income			Capital Gains		Total			Ending Net Asset Value		Total Return(b)		Ending Net Assets (000)		Expenses		Net Invest- ment Income		Expenses		Net Invest- ment Income		Expenses		Net Invest- ment Income		Portfolio Turnover Rate(e)
Class A (12/04)
2008(g)	$	19.40	$	.40	$	.32		$	.72		$	(.44	)	$	—	$	(.44	)	$	19.68	3.73	%	$	8,775	1.45	%*	3.22	%*	.63	%*	4.03	%*	.62	%*	4.05	%*	41	%
2007		19.24		.91		.12			1.03			(.87	)		—		(.87	)		19.40	5.49			4,101	1.93		3.37		.62		4.67		.58		4.71		138
2006		19.69		.77		(.14	)		.63			(1.08	)		—		(1.08	)		19.24	3.29			439	3.41		1.25		.64		4.02		.61		4.05		234
2005(f)		20.00		.43		(.53	)		(.10	)		(.21	)		—		(.21	)		19.69	.66			2	1.52	*	2.15	*	.91	*	2.75	*	.89	*	2.77	*	140
Class C (12/04)
2008(g)		19.42		.32		.33			.65			(.37	)		—		(.37	)		19.70	3.34			6,323	2.25	*	2.38	*	1.38	*	3.25	*	1.36	*	3.27	*	41
2007		19.26		.73		.16			.89			(.73	)		—		(.73	)		19.42	4.71			2,260	2.42		2.71		1.38		3.76		1.34		3.80		138
2006		19.69		.63		(.14	)		.49			(.92	)		—		(.92	)		19.26	2.54			1,067	3.52		1.09		1.36		3.25		1.33		3.28		234
2005(f)		20.00		.31		(.48	)		(.17	)		(.14	)		—		(.14	)		19.69	.09			2	2.27	*	1.40	*	1.66	*	2.00	*	1.64	*	2.02	*	140
Class R (12/04)
2008(g)		19.38		.42		.32			.74			(.46	)		—		(.46	)		19.66	3.86			11,362	1.12	*	3.55	*	.38	*	4.29	*	.36	*	4.31	*	41
2007		19.21		.92		.17			1.09			(.92	)		—		(.92	)		19.38	5.82			9,717	1.34		3.76		.38		4.72		.34		4.76		138
2006		19.68		.77		(.11	)		.66			(1.13	)		—		(1.13	)		19.21	3.46			9,602	1.44		3.07		.53		3.97		.51		4.00		234
2005(f)		20.00		.47		(.56	)		(.09	)		(.23	)		—		(.23	)		19.68	.79			9,835	1.27	*	2.40	*	.66	*	3.00	*	.64	*	3.02	*	140

* Annualized.

(a) Per share Net Investment Income is calculated using the average daily shares method.

(b) Total return is the combination of changes in net asset value without any sales charge, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, if any. Total returns are not annualized.

(c) After expense reimbursement from the Adviser.

(d) After custodian fee credit and expense reimbursement.

(e) Excluding dollar roll transactions.

(f) For the period December 20, 2004 (commencement of operations) through September 30, 2005.

(g) For the six months ended March 31, 2008.

See accompanying notes to financial statements.

48

Class (Commencement Date)
			Investment Operations								Less Distributions												Ratios/Supplemental Data
MULTI-STRATEGY INCOME																									Ratios to Average Net Assets Before Credit/ Reimbursement				Ratios to Average Net Assets After Reimbursement(c)				Ratios to Average Net Assets After Credit/ Reimbursement(d)
Year Ended September 30,	Beginning Net Asset Value		Net Invest- ment Income(a)		Net Realized/ Unrealized Gain (Loss)			Total			Net Invest- ment Income			Capital Gains		Total			Ending Net Asset Value		Total Return(b)		Ending Net Assets (000)		Expenses		Net Invest- ment Income		Expenses		Net Invest- ment Income		Expenses		Net Invest- ment Income		Portfolio Turnover Rate(e)
Class A (12/04)
2008(g)	$	19.28	$	.47	$	.17		$	.64		$	(.47	)	$	—	$	(.47	)	$	19.45	3.26	%	$	6,250	1.94	%*	3.56	%*	.73	%*	4.75	%*	.73	%*	4.76	%*	91	%
2007		19.29		1.00		(.08	)		.92			(.93	)		—		(.93	)		19.28	4.92			3,281	2.32		3.59		.73		5.17		.72		5.18		278
2006		19.73		.88		(.34	)		.54			(.98	)		—		(.98	)		19.29	2.86			1,282	4.46		.90		.75		4.62		.71		4.66		241
2005(f)		20.00		.54		(.55	)		(.01	)		(.26	)		—		(.26	)		19.73	1.37			2	1.76	*	2.69	*	1.02	*	3.43	*	1.00	*	3.46	*	155
Class B (12/04)
2008(g)		19.34		.39		.17			.56			(.39	)		—		(.39	)		19.51	2.92			1,551	2.84	*	2.62	*	1.48	*	3.98	*	1.49	*	3.98	*	91
2007		19.30		.88		(.06	)		.82			(.78	)		—		(.78	)		19.34	4.35			474	3.14		2.85		1.42		4.57		1.41		4.58		278
2006		19.73		.74		(.35	)		.39			(.82	)		—		(.82	)		19.30	2.06			51	3.54		1.68		1.38		3.84		1.34		3.88		241
2005(f)		20.00		.42		(.49	)		(.07	)		(.20	)		—		(.20	)		19.73	.81			2	2.51	*	1.94	*	1.77	*	2.69	*	1.75	*	2.71	*	155
Class C (12/04)
2008(g)		19.30		.39		.17			.56			(.39	)		—		(.39	)		19.47	2.92			2,300	2.67	*	2.84	*	1.48	*	4.02	*	1.48	*	4.03	*	91
2007		19.29		.84		(.05	)		.79			(.78	)		—		(.78	)		19.30	4.19			1,578	2.98		2.85		1.48		4.34		1.47		4.36		278
2006		19.73		.73		(.35	)		.38			(.82	)		—		(.82	)		19.29	2.01			266	3.65		1.69		1.44		3.90		1.39		3.94		241
2005(f)		20.00		.42		(.49	)		(.07	)		(.20	)		—		(.20	)		19.73	.81			2	2.51	*	1.94	*	1.77	*	2.69	*	1.75	*	2.71	*	155
Class R (12/04)
2008(g)		19.28		.49		.17			.66			(.49	)		—		(.49	)		19.45	3.44			9,909	1.62	*	3.88	*	.48	*	5.02	*	.47	*	5.03	*	91
2007		19.26		1.01		(.01	)		1.00			(.98	)		—		(.98	)		19.28	5.29			9,689	1.86		3.87		.48		5.24		.47		5.26		278
2006		19.72		.86		(.29	)		.57			(1.03	)		—		(1.03	)		19.26	3.03			9,623	1.84		3.24		.63		4.44		.59		4.48		241
2005(f)		20.00		.58		(.58	)		(.00	)		(.28	)		—		(.28	)		19.72	1.51			9,854	1.51	*	2.94	*	.77	*	3.68	*	.75	*	3.71	*	155

* Annualized.

(a) Per share Net Investment Income is calculated using the average daily shares method.

(b) Total return is the combination of changes in net asset value without any sales charge, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, if any. Total returns are not annualized.

(c) After expense reimbursement from the Adviser.

(d) After custodian fee credit and expense reimbursement.

(e) Excluding dollar roll transactions.

(f) For the period December 20, 2004 (commencement of operations) through September 30, 2005.

(g) For the six months ended March 31, 2008.

See accompanying notes to financial statements.

49

Financial Highlights (Unaudited)(continued)

Class (Commencement Date)
			Investment Operations								Less Distributions												Ratios/Supplemental Data
HIGH YIELD																									Ratios to Average Net Assets Before Credit/ Reimbursement				Ratios to Average Net Assets After Reimbursement(c)				Ratios to Average Net Assets After Credit/ Reimbursement(d)
Year Ended September 30,	Beginning Net Asset Value		Net Invest- ment Income(a)		Net Realized/ Unrealized Gain (Loss)			Total			Net Invest- ment Income			Capital Gains		Total			Ending Net Asset Value		Total Return(b)		Ending Net Assets (000)		Expenses		Net Invest- ment Income		Expenses		Net Invest- ment Income		Expenses		Net Invest- ment Income		Portfolio Turnover Rate
Class A (12/04)
2008(f)	$	19.55	$	.62	$	(1.16	)	$	(.54	)	$	(.74	)	$	—	$	(.74	)	$	18.27	(2.89	)%	$	13,437	1.38	%*	6.00	%*	.83	%*	6.55	%*	.82	%*	6.56	%*	54	%
2007		19.37		1.55		.08			1.63			(1.45	)		—		(1.45	)		19.55	8.61			9,100	1.83		6.85		.83		7.85		.82		7.87		160
2006		19.39		1.33		.16			1.49			(1.51	)		—		(1.51	)		19.37	8.01			438	1.94		5.87		.85		6.96		.78		7.03		115
2005(e)		20.00		.86		(1.04	)		(.18	)		(.43	)		—		(.43	)		19.39	1.56			2	1.68	*	5.10	*	1.17	*	5.61	*	1.14	*	5.63	*	69
Class B (12/04)
2008(f)		19.53		.55		(1.16	)		(.61	)		(.66	)		—		(.66	)		18.26	(3.26	)		2,585	2.11	*	5.31	*	1.58	*	5.84	*	1.57	*	5.85	*	54
2007		19.36		1.34		.14			1.48			(1.31	)		—		(1.31	)		19.53	7.82			1,855	2.50		5.86		1.58		6.78		1.57		6.79		160
2006		19.39		1.13		.19			1.32			(1.35	)		—		(1.35	)		19.36	7.07			217	2.69		4.86		1.57		5.97		1.51		6.04		115
2005(e)		20.00		.75		(.99	)		(.24	)		(.37	)		—		(.37	)		19.39	.99			2	2.43	*	4.35	*	1.92	*	4.86	*	1.89	*	4.88	*	69
Class C (12/04)
2008(f)		19.51		.55		(1.17	)		(.62	)		(.66	)		—		(.66	)		18.23	(3.26	)		13,162	2.10	*	5.30	*	1.58	*	5.81	*	1.57	*	5.83	*	54
2007		19.35		1.38		.09			1.47			(1.31	)		—		(1.31	)		19.51	7.72			8,620	2.54		6.06		1.58		7.02		1.57		7.03		160
2006		19.39		1.13		.18			1.31			(1.35	)		—		(1.35	)		19.35	7.01			678	2.69		4.89		1.59		5.99		1.52		6.05		115
2005(e)		20.00		.75		(.99	)		(.24	)		(.37	)		—		(.37	)		19.39	.99			2	2.43	*	4.35	*	1.92	*	4.86	*	1.89	*	4.88	*	69
Class R (12/04)
2008(f)		19.53		.64		(1.15	)		(.51	)		(.76	)		—		(.76	)		18.26	(2.77	)		48,509	1.14	*	6.12	*	.58	*	6.68	*	.57	*	6.69	*	54
2007		19.35		1.45		.23			1.68			(1.50	)		—		(1.50	)		19.53	8.89			10,534	1.43		6.51		.58		7.35		.56		7.37		160
2006		19.40		1.37		.14			1.51			(1.56	)		—		(1.56	)		19.35	8.14			9,692	1.44		6.39		.76		7.06		.70		7.13		115
2005(e)		20.00		.90		(1.05	)		(.15	)		(.45	)		—		(.45	)		19.40	1.79			9,692	1.43	*	5.35	*	.92	*	5.85	*	.89	*	5.88	*	69

* Annualized.

(a) Per share Net Investment Income is calculated using the average daily shares method.

(b) Total return is the combination of changes in net asset value without any sales charge, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, if any. Total returns are not annualized.

(c) After expense reimbursement from the Adviser.

(d) After custodian fee credit and expense reimbursement.

(e) For the period December 20, 2004 (commencement of operations) through September 30, 2005.

(f) For the six months ended March 31, 2008.

See accompanying notes to financial statements.

50

Notes

51

Fund Information

Fund Manager Nuveen Asset Management 333 West Wacker Drive Chicago, IL 60606 Legal Counsel Chapman and Cutler LLP Chicago, IL   Independent Registered Public Accounting Firm PricewaterhouseCoopers LLP Chicago, IL   Custodian State Street Bank & Trust Company Boston, MA Transfer Agent and Shareholder Services Boston Financial Data Services, Inc.   Nuveen Investor Services P.O. Box 8530 Boston, MA 02266-8530 (800) 257-8787

Quarterly Portfolio of Investments and Proxy Voting information: You may obtain (i) each Fund’s quarterly portfolio of investments, (ii) information regarding how the Funds voted proxies relating to portfolio securities held during the most recent 12-month period ended June 30, 2007, and (iii) a description of the policies and procedures that the Funds used to determine how to vote proxies relating to portfolio securities without charge, upon request, by calling Nuveen Investments at (800) 257-8787 or on Nuveen’s website at www.nuveen.com. You may also obtain this and other Fund information directly from the Securities and Exchange Commission (“SEC”). The SEC may charge a copying fee for this information. Visit the SEC on-line at http://www.sec.gov or in person at the SEC’s Public Reference Room in Washington, D.C. Call the SEC at (202) 942-8090 for room hours and operation. You may also request Fund information by sending an e-mail request to publicinfo@sec.gov or by writing to the SEC’s Public Reference Section at 100 F Street NE, Washington, D.C. 20549.

The Financial Industry Regulatory Authority (FINRA) provides a Public Disclosure Program which supplies certain information regarding the disciplinary history of FINRA members and their associated persons in response to either telephone inquiries at (800) 289-9999 or written inquiries at www.finra.org. Financial Industry Regulatory Authority also provides an investor brochure that includes information describing the Public Disclosure Program.

52

Glossary of Terms Used in this Report

Average Annual Total Return: This is a commonly used method to express an investment’s performance over a particular, usually multi-year time period. It expresses the return that would have been necessary each year to equal the investment’s actual cumulative performance (including change in NAV or offer price and reinvested dividends and capital gains distributions, if any) over the time period being considered.

Average Effective Maturity: The average of the number of years to maturity of the bonds in a Fund’s portfolio, computed by weighting each maturity date (the date the security comes due) by the market value of the security. This figure does not account for the likelihood of prepayments or the exercise of call provisions unless an escrow account has been established to redeem the bond before maturity.

Average Duration: Duration is a measure of the expected period over which a bond’s principal and interest will be paid, and consequently is a measure of the sensitivity of a bond’s (or bond fund’s) value to changes when market interest rates change. Generally, the longer a bond or Fund’s duration, the more the price of the bond or Fund will change as interest rates change.

Dividend Yield (also known as Market Yield or Current Yield): An investment’s current annualized dividend divided by its current offering price.

Net Asset Value (NAV): A Fund’s NAV is the dollar value of one share in the Fund. It is calculated by subtracting the liabilities of the Fund from its total assets and then dividing the remainder by the number of shares outstanding. Fund NAVs are calculated at the end of each business day.

SEC 30-Day Yield: A standardized measure of a Fund’s yield that accounts for the future amortization of premiums or discounts of bonds held in the Fund’s portfolio.

53

Learn more

about Nuveen Funds at

www.nuveen.com/mf

Nuveen Investments:

SERVING Investors

For GENERATIONS

Since 1898, financial advisors and their clients have relied on Nuveen Investments to provide dependable investment solutions. Over this time, Nuveen Investments has adhered to the belief that the best approach to investing is to apply conservative risk-management principles to help minimize volatility.

Building on this tradition, we today offer a range of high quality equity and fixed-income solutions that can be integral parts of a well-diversified core portfolio. Our clients have come to appreciate this diversity, as well as our continued adherence to proven, long-term investing principles.

We offer many different investing solutions for our clients’ different needs.

Managing approximately $153 billion in assets as of March 31, 2008, Nuveen Investments offers access to a number of different asset classes and investing solutions through a variety of products. Nuveen Investments markets its capabilities under six distinct brands: NWQ, specializing in value-style equities; Nuveen, managing fixed-income investments; Santa Barbara, committed to growth equities; Tradewinds, specializing in global value equities; Rittenhouse, focused on “blue-chip” growth equities; and Symphony, with expertise in alternative investments as well as equity and income portfolios.

Find out how we can help you reach your financial goals.

An investor should carefully consider the Fund’s objectives, risks, charges and expenses before investing. For a prospectus containing this and other information about the Fund, please contact your financial advisor or Nuveen Investments at (800) 257-8787. Read the prospectus carefully before you invest or send money.

• Share prices

• Fund details

• Daily financial news

• Investor education

MSA-INV3-0308D

Item 2. Code of Ethics.

Not applicable to this filing.

Item 3. Audit Committee Financial Expert.

Not applicable to this filing.

Item 4. Principal Accountant Fees and Services.

Not applicable to this filing.

Item 5. Audit Committee of Listed Registrants

Not applicable to this registrant.

Item 6. Schedule of Investments

See Portfolio of Investments in Item 1

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies

Not applicable to this registrant.

Item 8. Portfolio Managers of Closed-End Management Investment Companies

Not applicable to this registrant.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

Not applicable to this registrant.

Item 10. Submission of Matters to a Vote of Security Holders

There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board implemented after the registrant last provided disclosure in response to this Item.

Item 11. Controls and Procedures.

(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”) (17 CFR 240.13a-15(b) or 240.15d-15(b)).

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Exhibits

File the exhibits listed below as part of this Form.

(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit: Not applicable to this filing.

(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)) in the exact form set forth below: EX-99.CERT Attached hereto.

(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons: Not applicable to this registrant.

(b) If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the 1940 Act (17 CFR 270.30a-2(b)), Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)), and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an Exhibit. A certification furnished pursuant to this paragraph will not be deemed “filed” for purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registration specifically incorporates it by reference. EX-99.906 CERT attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant) Nuveen Investment Trust III

By	(Signature and Title)*	/s/ Kevin J. McCarthy
		Kevin J. McCarthy Vice President and Secretary

Date June 6, 2008

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By	(Signature and Title)*	/s/ Gifford R. Zimmerman
		Gifford R. Zimmerman Chief Administrative Officer (principal executive officer)

Date June 6, 2008

By	(Signature and Title)*	/s/ Stephen D. Foy
		Stephen D. Foy Vice President and Controller (principal financial officer)

Date June 6, 2008

* Print the name and title of each signing officer under his or her signature.