UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT

INVESTMENT COMPANY

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, Illinois 60606

(Address of principal executive offices) (Zip code)

Kevin J. McCarthy—Vice President and Secretary

333 West Wacker Drive, Chicago, Illinois 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: June 30, 2008

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q 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 the 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. § 3507.

Item 1. Schedule of Investments.

Portfolio of Investments (Unaudited)

Nuveen Short Duration Bond Fund

June 30, 2008

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		CORPORATE BONDS – 37.0%
		Aerospace & Defense – 2.1%
$	50	DI Finance/DynCorp International, Series B	9.500%	2/15/13	B	$	50,000
	150	Honeywell International Inc.	7.500%	3/01/10	A		159,669
	200	Lockheed Martin Corporation	8.200%	12/01/09	A–		210,715
	400	Total Aerospace & Defense					420,384
		Auto Components – 0.2%
	50	Goodyear Tire & Rubber Company	8.663%	12/01/09	BB–		49,875
		Automobiles – 0.2%
	50	General Motors Finance of Nova Scotia	6.850%	10/15/08	B		48,500
		Beverages – 1.1%
	125	Diageo Finance BV	3.875%	4/01/11	A–		122,853
	100	Miller Brewing Company, 144A	4.250%	8/15/08	BBB+		100,139
	225	Total Beverages					222,992
		Chemicals – 0.6%
	65	ARCO Chemical Company	10.250%	11/01/10	B		65,975
	50	NOVA Chemicals Corporation	7.400%	4/01/09	B+		49,750
	115	Total Chemicals					115,725
		Commercial Banks – 2.3%
	125	Nationsbank Corporation	6.600%	5/15/10	AA–		128,337
	100	US Bank National Association	6.300%	7/15/08	AA		100,093
	100	Wachovia Corporation	6.250%	8/04/08	A+		100,103
	135	Wells Fargo & Company	4.200%	1/15/10	AA+		135,443
	460	Total Commercial Banks					463,976
		Commercial Services & Supplies – 1.9%
	60	Allied Waste North America	6.500%	11/15/10	BB		60,300
	50	Interface, Inc.	10.375%	2/01/10	BB–		52,750
	150	International Lease Finance Corporation, Commercial Paper Notes	6.375%	3/15/09	A+		149,301
	125	Waste Management Inc.	7.375%	8/01/10	BBB		130,635
	385	Total Commercial Services & Supplies					392,986
		Communications Equipment – 0.6%
	125	Cisco Systems, Inc.	5.250%	2/22/11	A+		128,778
		Computers & Peripherals – 1.4%
	100	Hewlett Packard Company	6.500%	7/01/12	A		106,580
	125	International Business Machines Corporation (IBM)	4.950%	3/22/11	A+		128,110
	50	Seagate Technology HDD Holdings	3.538%	10/01/09	BB+		48,875
	275	Total Computers & Peripherals					283,565
		Consumer Finance – 0.5%
	50	Ford Motor Credit Company	5.800%	1/12/09	B1		47,749
	50	SLM Corporation	4.000%	1/15/09	Baa2		49,391
	100	Total Consumer Finance					97,140
		Containers & Packaging – 0.6%
	50	Owens-Brockway Glass Containers, Guaranteed Senior Note	8.250%	5/15/13	BB		51,500

1

Portfolio of Investments (Unaudited)

Nuveen Short Duration Bond Fund (continued)

June 30, 2008

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		Containers & Packaging (continued)
$	60	Tekni-Plex Inc.	10.875%	8/15/12	Caa1	$	61,200
	110	Total Containers & Packaging					112,700
		Diversified Financial Services – 1.5%
	153	Bank One Corporation	7.875%	8/01/10	Aa3		162,029
	150	General Electric Capital Corporation	4.125%	9/01/09	AAA		150,602
	303	Total Diversified Financial Services					312,631
		Diversified Telecommunication Services – 2.5%
	225	BellSouth Corporation	4.200%	9/15/09	A		225,524
	125	GTE Corporation – Verizon	7.510%	4/01/09	A		128,366
	50	Qwest Capital Funding Inc.	7.000%	8/03/09	B+		50,125
	50	Sprint Capital Corporation	6.375%	5/01/09	Baa3		50,010
	50	US West Communications Inc.	5.625%	11/15/08	BBB–		50,125
	500	Total Diversified Telecommunication Services					504,150
		Electric Utilities – 4.0%
	150	American Electric Power	5.375%	3/15/10	BBB		151,637
	100	Cinergy Corporation	6.530%	12/16/08	BBB+		100,919
	100	FirstEnergy Corporation	6.450%	11/15/11	BBB–		102,687
	100	Niagara Mohawk Power Corporation, Series 1998G	7.750%	10/01/08	A3		100,853
	50	Orion Power Holdings	12.000%	5/01/10	BB+		54,250
	150	Pacific Gas and Electric Company	3.600%	3/01/09	A3		149,902
	100	Public Service Electric & Gas Company, Series 2003C	4.000%	11/01/08	A–		100,009
	50	TNP Enterprises Inc.	6.250%	1/15/09	Baa3		49,961
	800	Total Electric Utilities					810,218
		Electrical Equipment – 0.7%
	125	Emerson Electric Company, Note	7.125%	8/15/10	A		133,593
		Energy Equipment & Services – 1.3%
	150	El Paso Energy Corporation	6.750%	5/15/09	BB–		151,382
	50	Sonat Inc.	7.625%	7/15/11	BB–		50,723
	60	Southwestern Energy Company	7.625%	5/01/27	Ba2		61,885
	260	Total Energy Equipment & Services					263,990
		Food & Staples Retailing – 0.6%
	125	CVS Caremark Corporation	5.750%	8/15/11	BBB+		128,167
		Food Products – 0.5%
	100	Campbell Soup Company	5.875%	10/01/08	A		100,721
		Hotels, Restaurants & Leisure – 0.6%
	50	MGM Grand Inc.	6.000%	10/01/09	BB		49,438
	80	Universal City Development Partners	11.750%	4/01/10	B+		82,400
	130	Total Hotels, Restaurants & Leisure					131,838
		Household Durables – 0.6%
	50	KB Home	8.625%	12/15/08	B+		50,500
	50	KB Home	7.750%	2/01/10	B+		51,028

2

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		Household Durables (continued)
$	25	Toll Corporation	8.250%	2/01/11	BB+	$	24,250
	125	Total Household Durables					125,778
		Household Products – 0.7%
	150	Clorox Company	4.200%	1/15/10	BBB+		148,820
		Independent Power Producers & Energy Traders – 0.3%
	50	AES Corporation	8.750%	5/15/13	BB+		52,125
		Industrial Conglomerates – 0.6%
	125	Textron Financial Corporation	5.125%	2/03/11	A–		126,456
		IT Services – 0.5%
	100	First Data Corporation	3.375%	8/01/08	Caa1		99,875
		Machinery – 0.5%
	100	John Deere Capital Corporation, Series 2005D	4.500%	8/25/08	A		100,185
		Media – 1.9%
	50	Cablevision Systems Corporation	8.125%	7/15/09	BB		50,500
	50	Clear Channel Communications, Inc.	4.250%	5/15/09	Baa3		48,260
	50	Echostar DBS Corporation	5.750%	10/01/08	BB–		50,125
	40	Sinclair Broadcasting Group	8.000%	3/15/12	BB–		40,400
	75	Valassis Communications Inc.	6.625%	1/15/09	BB		75,000
	125	Walt Disney Company	5.700%	7/15/11	A		130,671
	390	Total Media					394,956
		Metals & Mining – 0.7%
	50	Freeport McMoran Copper & Gold, Inc.	5.883%	4/01/15	BBB–		50,556
	80	Ispat Inland Inc.	9.750%	4/01/14	BBB+		85,518
	130	Total Metals & Mining					136,074
		Multi-Line Retail – 0.5%
	100	Federated Department Stores, Inc.	6.625%	9/01/08	BBB–		100,118
		Multi-Utilities – 1.5%
	50	Aquila, Inc.	14.875%	7/01/12	BB–		58,375
	100	Duke Energy Corporation	4.200%	10/01/08	A–		100,150
	150	Sempra Energy	4.750%	5/15/09	BBB+		150,567
	300	Total Multi-Utilities					309,092
		Oil, Gas & Consumable Fuels – 1.6%
	100	Apache Corporation	6.250%	4/15/12	A–		105,171
	50	Massey Energy Company, Global Notes	6.625%	11/15/10	B+		50,250
	150	Phillips Petroleum Company	8.750%	5/25/10	A1		163,309
	300	Total Oil, Gas & Consumable Fuels					318,730
		Paper & Forest Products – 0.2%
	40	Rock-Tenn Company	8.200%	8/15/11	BB		41,400
		Pharmaceuticals – 1.1%
	125	American Home Products Corporation, Wyeth	6.950%	3/15/11	A+		132,405
	100	Bristol-Myers Squibb Company	4.000%	8/15/08	A+		100,022
	225	Total Pharmaceuticals					232,427

3

Portfolio of Investments (Unaudited)

Nuveen Short Duration Bond Fund (continued)

June 30, 2008

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		Real Estate Investment Trust – 0.2%
$	50	Istar Financial Inc.	8.750%	8/15/08	BBB	$	49,752
		Road & Rail – 0.3%
	50	Kansas City Southern Railway Company	7.500%	6/15/09	BB–		50,750
		Software – 0.6%
	125	Oracle Corporation	5.000%	1/15/11	A		127,509
		Thrifts & Mortgage Finance – 0.5%
	100	Washington Mutual Bank	2.738%	8/25/08	BBB+		98,119
		Tobacco – 0.4%
	75	Reynolds American Inc.	6.500%	7/15/10	BBB		76,500
		Trading Companies & Distributors – 0.2%
	50	GATX Financial Corporation	5.125%	4/15/10	BBB+		49,944
		Wireless Telecommunication Services – 0.9%
	50	Rogers Wireless Communications Inc.	8.000%	12/15/12	BB+		51,875
	125	Vodafone Group PLC	5.500%	6/15/11	A–		126,310
	175	Total Wireless Telecommunication Services					178,185
$	7,398	Total Corporate Bonds (cost $7,564,199)					7,538,724
Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 26.7%
		U.S. Treasury Bonds/Notes – 26.7%
$	1,725	United States of America Treasury Bonds/Notes	4.750%	11/15/08	AAA	$	1,742,115
	1,200	United States of America Treasury Bonds/Notes	4.875%	1/31/09	AAA		1,219,406
	1,850	United States of America Treasury Bonds/Notes	3.500%	11/15/09	AAA		1,879,485
	300	United States of America Treasury Bonds/Notes	6.500%	2/15/10	AAA		319,313
	250	United States of America Treasury Bonds/Notes	4.500%	5/15/10	AAA		258,888
$	5,325	Total U.S. Government and Agency Obligations (cost $5,350,128)					5,419,207
Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		ASSET-BACKED SECURITIES – 29.8%
		Autos – 15.2%
$	283	Banc of America Securities Auto Trust 2006-G1	5.180%	6/18/10	AAA	$	285,483
	225	Capital Auto Receivable Asset Trust, 2008-2, A3A	4.680%	10/15/12	AAA		225,692
	230	Capital Auto Receivables Asset Trust, Series 2007-2-A3A	5.020%	9/15/11	AAA		233,546
	340	Daimler Chrysler Auto Trust 2008-A A3	3.700%	6/08/12	AAA		337,711
	158	Daimler Chrysler Auto Trust 2008B	5.320%	11/10/14	AAA		159,096
	400	Ford Credit Auto Owner Trust, 2008A-3A	3.960%	4/15/12	AAA		399,316
	450	Harley-Davidson Motorcycle Trust, Series 2007-2A3	5.100%	5/15/12	AAA		455,950
	100	Hyundai Auto Receivables Trust 2007A, Class A3A	5.040%	1/17/12	AAA		101,824
	450	Nissan Auto Receivables Owner Trust 2008-B A3	4.460%	4/16/12	AAA		452,010
	270	USAA Auto Owner Trust 2006-2	5.370%	2/15/12	AAA		275,176
	160	USAA Auto Owner Trust 2007-2	5.070%	6/15/13	AAA		161,600
	3,066	Total Autos					3,087,404

4

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		Cards – 12.8%
$	310	Bank One Issuance Trust, 2003 Class A9	3.860%	6/15/11	AAA	$	310,751
	350	Chase Issuance Trust 2008 Class A9	4.260%	5/15/13	Aaa		347,976
	160	Citibank Credit Card Issuance Trust, 2006 Class B2	5.150%	3/07/11	A		160,761
	270	Citibank Credit Card Issuance Trust, Series 2007	5.000%	11/08/12	A		265,427
	234	Discover Card Master Trust 2008, Class A3	5.100%	10/15/13	AAA		235,824
	300	General Electric Master Credit Card Note Trust, Class A, Series 2006-1	5.080%	9/15/12	AAA		304,789
	300	Household Credit Card Master Note Trust, Class A, Series 2006-1	5.100%	6/15/12	AAA		302,936
	450	MBNA Master Credit Card Trust 1999-B A	5.900%	8/15/11	AAA		458,235
	210	MBNA Master Credit Card Trust Class 99-J	7.000%	2/15/12	AAA		218,579
	2,584	Total Cards					2,605,278
		Home Equity – 1.8%
	279	Federal National Mortgage Association Pool 838948	5.086%	8/01/35	AAA		284,105
(3)	—	Master Asset Backed Securities Trust 2005-WMC1, Mortgage Pass Through Certificates, Class N-1	4.940%	3/26/35	CC		—
	75	Wells Fargo Mortgage Backed Securties, 2005-AR16 Class 3A2	4.995%	10/25/35	AAA		71,915
	354	Total Home Equity					356,020
$	6,004	Total Asset-Backed Securities (cost $6,030,414)					6,048,702
Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		SOVEREIGN DEBT – 3.1%
		Turkey – 3.1%
$	200	Republic of Turkey, Government Bond	14.000%	1/19/11	Ba3	$	139,250
	454	Republic of Turkey, Government Bond	10.840%	2/15/12	BB		356,459
	200	Republic of Turkey, Government Bond	16.000%	3/07/12	BB		141,783
	854	Total Turkey					637,492
$	854	Total Sovereign Debt (cost $608,490)					637,492
Principal Amount (000)		Description (1)	Coupon	Maturity		Value
		SHORT-TERM INVESTMENTS – 1.0%
$	200	Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/08, repurchase price $200,108, collateralized by $200,000 U.S. Treasury Notes, 4.875%, due 5/15/09, value $205,500	1.350%	7/01/08		$	200,100
		Total Short-Term Investments (cost $200,100)					200,100
		Total Investments (cost $19,753,331) – 97.6%					19,844,225
		Other Assets Less Liabilities – 2.4%					481,849
		Net Assets – 100%				$	20,326,074

5

Portfolio of Investments (Unaudited)

Nuveen Short Duration Bond Fund (continued)

June 30, 2008

Forward Foreign Currency Exchange Contracts outstanding at June 30, 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	250,000	U.S. Dollar	234,283	7/11/08	$	(5,004	)
Australian Dollar	450,000	U.S. Dollar	420,705	7/28/08		(8,971	)
Australian Dollar	211,102	U.S. Dollar	199,247	7/28/08		(2,321	)
Brazilian Real	332,400	U.S. Dollar	207,103	7/02/08		(140	)
Canadian Dollar	265,239	U.S. Dollar	260,000	7/11/08		(70	)
Colombian Peso	372,118,900	U.S. Dollar	208,470	7/18/08		14,974
Czech Koruna	3,780,150	Euro	150,000	8/05/08		(13,128	)
Danish Krone	963,600	U.S. Dollar	200,000	9/09/08		(2,660	)
Euro	80,000	U.S. Dollar	125,900	7/17/08		55
Euro	150,000	Hungarian Forint	38,329,500	8/05/08		19,064
Euro	150,000	U.S. Dollar	230,498	9/09/08		(4,827	)
Euro	84,608	Iceland Krona	8,119,800	9/24/08		(30,766	)
Euro	40,000	Iceland Krona	3,886,800	9/24/08		(13,943	)
Hungarian Forint	42,403,400	U.S. Dollar	260,279	7/09/08		(22,818	)
Iceland Krona	12,006,600	Euro	105,256	9/24/08		14,374
Japanese Yen	26,501,540	U.S. Dollar	260,000	7/07/08		10,321
Japanese Yen	20,958,000	U.S. Dollar	200,000	9/09/08		1,871
Mexican Peso	2,786,680	U.S. Dollar	262,751	7/03/08		(7,336	)
Mexican Peso	2,086,840	U.S. Dollar	202,649	7/03/08		391
New Russian Ruble	6,027,888	U.S. Dollar	254,879	7/17/08		(2,048	)
New Taiwan Dollar	7,826,000	U.S. Dollar	260,000	7/11/08		1,964
New Turkish Lira	487,866	U.S. Dollar	371,453	8/14/08		(19,928	)
New Turkish Lira	334,880	U.S. Dollar	260,000	8/14/08		(8,650	)
New Zealand Dollar	540,000	Australian Dollar	431,103	7/28/08		2,102
Norwegian Krone	1,314,430	U.S. Dollar	254,537	7/17/08		(3,069	)
Singapore Dollar	358,020	U.S. Dollar	260,000	7/11/08		(3,281	)
South African Rand	1,038,739	U.S. Dollar	134,201	7/07/08		1,803
South African Rand	778,200	U.S. Dollar	100,076	7/25/08		1,390
South Korean Won	159,613,000	U.S. Dollar	160,965	7/22/08		8,524
Swiss Franc	262,750	U.S. Dollar	260,000	7/07/08		2,770
Swiss Franc	209,062	U.S. Dollar	200,000	9/23/08		(4,800	)
U.S. Dollar	200,000	Brazilian Real	332,400	7/02/08		7,243
U.S. Dollar	260,000	Mexican Peso	2,786,680	7/03/08		10,087
U.S. Dollar	200,000	Mexican Peso	2,086,840	7/03/08		2,258
U.S. Dollar	257,622	Japanese Yen	26,501,540	7/07/08		(7,943	)
U.S. Dollar	130,000	South African Rand	1,038,739	7/07/08		2,398
U.S. Dollar	255,035	Swiss Franc	262,750	7/07/08		2,195
U.S. Dollar	260,000	Hungarian Forint	42,403,400	7/09/08		23,097
U.S. Dollar	229,525	Australian Dollar	250,000	7/11/08		9,762
U.S. Dollar	124,918	Euro	80,000	7/17/08		927
U.S. Dollar	125,900	New Russian Ruble	2,972,238	7/17/08		786
U.S. Dollar	130,000	New Russian Ruble	3,055,650	7/17/08		241
U.S. Dollar	260,000	Norwegian Krone	1,314,430	7/17/08		(2,394	)
U.S. Dollar	204,124	Colombian Peso	372,118,900	7/18/08		(10,630	)
U.S. Dollar	156,101	South Korean Won	159,613,000	7/22/08		(3,659	)
U.S. Dollar	99,081	South African Rand	778,200	7/25/08		(395	)
U.S. Dollar	219,560	Australian Dollar	230,000	7/28/08		52
U.S. Dollar	236,001	New Zealand Dollar	300,000	7/28/08		(8,484	)
U.S. Dollar	185,652	New Zealand Dollar	240,000	7/28/08		(3,638	)
U.S. Dollar	205,490	Brazilian Real	332,400	8/04/08		42
U.S. Dollar	200,000	New Turkish Lira	250,620	8/14/08		1,055
U.S. Dollar	196,887	Japanese Yen	20,958,000	9/09/08		1,243
U.S. Dollar	204,047	Swiss Franc	209,062	9/23/08		754
U.S. Dollar	188,930	Australian Dollar	200,000	9/26/08		621
U.S. Dollar	194,355	New Zealand Dollar	260,000	9/26/08		1,015
U.S. Dollar	100,000	Indian Rupee	4,371,000	9/29/08		105
U.S. Dollar	100,000	Indonesian Rupiah	937,000,000	9/29/08		(85	)
U.S. Dollar	200,234	Mexican Peso	2,086,840	9/29/08		(496	)
U.S. Dollar	130,000	Ukraine Hryvna	665,600	10/09/08		10,364
U.S. Dollar	50,000	Vietnam Dong	1,050,000,000	12/04/08		5,201
					$	(32,435	)

6

Interest Rate Swaps outstanding at June 30, 2008:

Counterparty	Notional Amount		Fund Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate (Annualized)		Fixed Rate Payment Frequency		Termination Date	Value at June 30, 2008		Unrealized Appreciation (Depreciation) (U.S. Dollars)
BNP Paribas	900,000	USD	Receive	12-Month CPI-U	2.650	%	3/04/10	(4)	3/04/10	(7,720	)	$	(7,720	)
BNP Paribas	900,000	USD	Pay	12-Month CPI-U	2.840		3/04/15	(4)	3/04/15	5,388			5,388
Deutsche Bank AG	1,300,000	GBP	Pay	6-Month LIBOR	4.800		Semi-Annually		1/24/10	(61,386	)		(61,386	)
Goldman Sachs	900,000	EUR	Receive	6-Month EURIBOR	3.675		Annually		1/26/11	41,473			41,473
Goldman Sachs	1,550,000	EUR	Pay	6-Month EURIBOR	4.021		Annually		1/26/14	(108,430	)		(108,430	)
Goldman Sachs	650,000	EUR	Receive	6-Month EURIBOR	4.410		Annually		1/26/19	48,933			48,933
Lehman Brothers	7,700,000	NOK	Receive	6-Month NIBOR	6.250		Annually		6/15/11	4,209			4,209
Lehman Brothers	13,500,000	NOK	Pay	6-Month NIBOR	5.770		Annually		6/15/14	(24,540	)		(24,540	)
Lehman Brothers	5,700,000	NOK	Receive	6-Month NIBOR	5.580		Annually		6/15/19	16,072			16,072
Morgan Stanley	2,625,000	USD	Pay	3-Month USD-LIBOR	3.198		Semi-Annually		1/21/11	(37,599	)		(37,599	)
Morgan Stanley	625,000	USD	Receive	3-Month USD-LIBOR	4.490		Semi-Annually		1/21/19	15,408			15,408
Royal Bank of Scotland	825,000	USD	Receive	3-Month USD-LIBOR	3.580		Semi-Annually		6/02/10	(1,414	)		(1,414	)
Royal Bank of Scotland	1,550,000	USD	Pay	3-Month USD-LIBOR	4.547		Semi-Annually		6/02/15	10,682			10,682
UBS AG	1,500,000	USD	Receive	3-Month USD-LIBOR	5.120		Semi-Annually		6/02/28	(41,580	)		(41,580	)
												$	(140,504	)

Credit Default Swaps outstanding at June 30, 2008:

Counterparty	Referenced Entity	Buy/Sell Protection		Notional Amount		Fixed Rate		Termination Date	Value at June 30, 2008			Unrealized Appreciation (Depreciation) U.S. Dollars
Bank of America	Macy’s Inc.		Buy	$	125,000	2.800	%	3/20/13	$	1,885		$	1,885
Credit Suisse	Lehman Brothers Holdings Inc.		Sell		50,000	3.800		6/20/09		(217	)		(217	)
Goldman Sachs	Georgia Pacific LLC		Sell		100,000	2.250		6/20/09		34			34
Goldman Sachs	K. Hovnanian Enterprises Inc.		Sell		50,000	5.000		6/20/09		(1,626	)		(501	)
Goldman Sachs	Smurfit-Stone Container Enterprises Inc.		Sell		100,000	3.600		6/20/09		(967	)		(967	)
Goldman Sachs	Tyson Foods Inc.		Buy		200,000	2.000		6/20/13		7,203			7,203
Lehman Brothers	Harrah’s Entertainment Inc.		Sell		125,000	3.750		9/20/08		(311	)		(313	)
												$	7,124

Futures Contracts outstanding at June 30, 2008:

Type	Contract Position	Number of Contracts		Contract Expiration	Value at June 30, 2008 (U.S. Dollars)			Unrealized Appreciation (Depreciation) (U.S. Dollars)
U.S. 2-Year Treasury Note	Long	38		9/08	$	8,025,719		$	886
U.S. 30-Year Treasury Bond	Long	19		9/08		2,196,281			55,162
U.S. 10-Year Treasury Note	Short	(28	)	9/08		(3,189,813	)		(40,772	)
								$	15,276

(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 due upon 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.

GBP British Pound

EUR Euro

NOK Norwegian Krone

USD United States Dollar

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

7

Portfolio of Investments (Unaudited)

Nuveen Short Duration Bond Fund (continued)

June 30, 2008

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 value of the Fund.

At June 30, 2008, the cost of investments was $19,822,857.

Gross unrealized appreciation and gross unrealized depreciation of investments at June 30, 2008, were as follows:

Gross unrealized:
Appreciation	$	147,691
Depreciation		(126,323	)
Net unrealized appreciation (depreciation) of investments	$	21,368

See accompanying notes to financial statements.

8

Portfolio of Investments (Unaudited)

Nuveen Multi-Strategy Income Fund

June 30, 2008

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		CORPORATE BONDS – 28.5%
		Aerospace & Defense – 1.2%
$	50	BE Aerospace Inc.	8.500%	7/01/18	BB+	$	50,438
	12	Boeing Capital Corporation	5.800%	1/15/13	A+		12,606
	50	DI Finance/DynCorp International, Series B	9.500%	2/15/13	B		50,000
	35	General Dynamics Corporation	4.250%	5/15/13	A		34,672
	40	Hawker Beechcraft Acquisition Company	9.750%	4/01/17	B–		40,200
	20	Honeywell International Inc.	7.500%	3/01/10	A		21,289
	10	Lockheed Martin Corporation	7.650%	5/01/16	A–		11,374
	8	United Technologies Corporation	7.500%	9/15/29	A		9,253
	225	Total Aerospace & Defense					229,832
		Auto Components – 0.1%
	20	Lear Corporation	8.750%	12/01/16	B+		15,700
		Beverages – 0.1%
	7	Coca-Cola Enterprises Inc.	6.750%	9/15/28	A		7,460
	5	Diageo Capital, PLC	5.750%	10/23/17	A–		4,944
	10	Pepsi Bottling Group LLC	5.500%	4/01/16	A		10,059
	22	Total Beverages					22,463
		Building Products – 0.5%
	40	Dayton Superior Corporation	13.000%	6/15/09	CCC+		32,700
	4	Masco Corporation	5.875%	7/15/12	BBB+		3,823
	20	Norcraft Holdings LP	0.000%	9/01/12	B–		18,725
	40	Nortek Inc.	10.000%	12/01/13	B1		38,400
	104	Total Building Products					93,648
		Capital Markets – 0.4%
	80	JP Morgan Chase & Company	5.375%	10/01/12	Aa2		80,316
		Chemicals – 0.7%
	6	Dow Chemical Company	7.375%	11/01/29	A–		6,381
	30	Equistar Chemicals LP	7.550%	2/15/26	B+		19,350
	30	MacDermid, Inc.	9.500%	4/15/17	CCC+		27,300
	50	Methanex Corporation	8.750%	8/15/12	BBB–		53,125
	30	NOVA Chemicals Corporation	5.953%	11/15/13	Ba3		25,650
	2	Praxair, Inc.	6.375%	4/01/12	A		2,118
	148	Total Chemicals					133,924
		Commercial Banks – 0.9%
	50	Bank of America Corporation	6.000%	9/01/17	AA		48,259
	6	Charter One Bank FSB	6.375%	5/15/12	A+		6,123
	4	Key Bank NA	7.000%	2/01/11	A2		4,015
	25	National City Bank	6.200%	12/15/11	A		21,909
	18	PNC Funding Corporation	7.500%	11/01/09	A		18,625
	6	SunTrust Banks Inc.	6.375%	4/01/11	Aa3		6,114
	9	US Bank NA Minnesota	6.375%	8/01/11	AA		9,407
	39	Wachovia Corporation	5.250%	8/01/14	A+		36,359
	20	Wells Fargo & Company	5.250%	10/23/12	AA+		20,131
	177	Total Commercial Banks					170,942

9

Portfolio of Investments (Unaudited)

Nuveen Multi-Strategy Income Fund (continued)

June 30, 2008

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		Commercial Services & Supplies – 1.0%
$	30	Ahern Rentals Inc.	9.250%	8/15/13	B+	$	22,050
	50	Browning Ferris-Allied Waste	9.250%	5/01/21	BB		54,250
	50	Expedia Inc. 144A	8.500%	7/01/16	BB		49,125
	40	Interface, Inc.	10.375%	2/01/10	BB–		42,200
	35	Quebecor Media Inc.	7.750%	3/15/16	B2		32,725
	205	Total Commercial Services & Supplies					200,350
		Communications Equipment – 0.1%
	10	Cisco Systems, Inc.	5.500%	2/22/16	A+		10,105
	1	Motorola, Inc.	7.625%	11/15/10	BBB		1,020
	3	Motorola, Inc.	7.500%	5/15/25	BBB		2,813
	14	Total Communications Equipment					13,938
		Computers & Peripherals – 0.4%
	35	Hewlett Packard Company	4.500%	3/01/13	A		34,701
	35	International Business Machines Corporation (IBM)	4.750%	11/29/12	A+		35,519
	70	Total Computers & Peripherals					70,220
		Consumer Finance – 0.1%
	12	SLM Corporation	5.375%	1/15/13	Baa2		10,579
		Containers & Packaging – 1.0%
	50	Berry Plastics Corporation	7.568%	2/15/15	BB–		48,125
	60	Intertape Polymer US Inc.	8.500%	8/01/14	CCC+		53,850
	50	Owens-Illinois Inc.	7.800%	5/15/18	B+		51,000
	40	Tekni-Plex Inc.	10.875%	8/15/12	Caa1		40,800
	200	Total Containers & Packaging					193,775
		Diversified Financial Services – 0.7%
	35	Citigroup Inc.	6.000%	10/31/33	A+		29,478
	65	General Electric Capital Corporation, Medium Term Notes	5.625%	9/15/17	AAA		63,678
	20	International Lease Finance Corporation	5.650%	6/01/14	A+		17,394
	18	Sanwa Finance Aruba AEC	8.350%	7/15/09	Aa3		18,659
	138	Total Diversified Financial Services					129,209
		Diversified Telecommunication Services – 2.1%
	50	AT&T, Inc.	6.800%	5/15/36	A		50,257
	50	Charter Communications, CCO Holdings LLC	8.750%	11/15/13	Caa1		46,250
	40	Cincinnati Bell Inc.	7.000%	2/15/15	Ba3		37,500
	40	Citizens Communications Company	9.000%	8/15/31	BB		36,200
	50	FairPoint Communications Inc.	13.125%	4/01/18	B+		49,250
	40	Nortel Networks Limited	10.750%	7/15/16	B–		39,800
	50	Sprint Capital Corporation	6.900%	5/01/19	Baa3		43,955
	55	Verizon Communications	6.250%	4/01/37	A		50,819
	50	Windstream Corporation, 144A	8.625%	8/01/16	BB		50,125
	425	Total Diversified Telecommunication Services					404,156

10

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		Electric Utilities – 2.0%
$	35	American Electric Power	5.250%	6/01/15	BBB	$	33,755
	20	Carolina Power and Light Company	5.125%	9/15/13	A2		20,147
	20	Dominion Resources Inc.	6.250%	6/30/12	A–		20,704
	14	Duke Capital LLC	5.668%	8/15/14	Baa1		13,695
	55	Duke Energy Corporation	6.250%	1/15/12	A–		57,452
	50	Edison Mission Energy	7.000%	5/15/17	BB–		47,000
	40	Energy Future Holdings	10.875%	11/01/17	B–		40,600
	40	Exelon Corporation	4.900%	6/15/15	Baa1		36,858
	45	FirstEnergy Corporation	6.450%	11/15/11	BBB–		46,209
	5	FirstEnergy Corporation	7.375%	11/15/31	BBB–		5,453
	16	Pacific Gas and Electric Company	6.050%	3/01/34	A3		15,477
	10	Progress Energy, Inc.	7.000%	10/30/31	BBB		10,622
	5	PSE&G Power LLC	8.625%	4/15/31	Baa1		6,043
	25	Reliant Energy Inc.	7.875%	6/15/17	BB–		24,563
	11	Reliant Energy, Centerpoint Energy Inc.	7.750%	2/15/11	BBB		11,605
	9	Virginia Electric and Power Company	4.750%	3/01/13	A–		8,866
	400	Total Electric Utilities					399,049
		Electrical Equipment – 0.1%
	25	Emerson Electric Company	5.250%	10/15/18	A		24,695
	15	UCAR Finance Inc.	10.250%	2/15/12	BB		15,600
	40	Total Electrical Equipment					40,295
		Energy Equipment & Services – 1.8%
	40	Allis Chalmers Energy Inc., 144A	8.500%	3/01/17	B		37,200
	40	Copano Energy LLC	7.750%	6/01/18	B+		39,200
	50	Helix Energy Solutions	9.500%	1/15/16	BB–		51,500
	50	Kinder Morgan Finance	5.700%	1/05/16	Ba1		44,750
	25	Markwest Energy Partners LP., 144A	8.750%	4/15/18	B+		25,688
	40	SandRidge Energy	8.000%	6/01/18	B–		40,400
	50	Seitel Inc.	9.750%	2/15/14	B–		44,938
	40	Southwestern Energy Company	7.625%	5/01/27	Ba2		41,256
	35	Targa Resources Inc.	8.500%	11/01/13	B3		34,475
	370	Total Energy Equipment & Services					359,407
		Food & Staples Retailing – 0.4%
	25	CVS Caremark Corporation	5.750%	8/15/11	BBB+		25,633
	2	Kroger Co.	7.500%	4/01/31	Baa2		2,191
	50	Wal-Mart Stores, Inc.	5.800%	2/15/18	AA		51,865
	77	Total Food & Staples Retailing					79,689
		Food Products – 0.3%
	27	Kellogg Company	7.450%	4/01/31	A3		30,492
	35	Pinnacle Foods Finance LLC, 144A	10.625%	4/01/17	CCC		28,175
	62	Total Food Products					58,667

11

Portfolio of Investments (Unaudited)

Nuveen Multi-Strategy Income Fund (continued)

June 30, 2008

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		Gas Utilities – 0.0%
$	2	Consolidated Natural Gas Company	5.000%	12/01/14	A–	$	1,910
		Health Care Providers & Services – 0.8%
	50	HCA Inc.	9.250%	11/15/16	BB–		51,625
	50	HealthSouth Corporation	10.750%	6/15/16	CCC+		54,000
	55	Tenet Healthcare Corporation	9.875%	7/01/14	B		55,550
	155	Total Health Care Providers & Services					161,175
		Hotels, Restaurants & Leisure – 0.1%
	50	Harrah’s Operating Company, Inc.	10.750%	2/01/16	B+		41,750
		Household Durables – 0.4%
	25	K. Hovnanian Enterprises Inc.	11.500%	5/01/13	Ba3		26,063
	25	Simmons Company	7.875%	1/15/14	B		21,625
	25	Toll Corporation	8.250%	2/01/11	BB+		24,250
	75	Total Household Durables					71,938
		Household Products – 0.1%
	20	Procter and Gamble Company	4.850%	12/15/15	AA–		20,116
		Independent Power Producers & Energy Traders – 0.6%
	40	AES Corporation	8.000%	6/01/20	BB–		38,800
	25	Intergen NV, 144A	9.000%	6/30/17	BB–		26,000
	50	NRG Energy Inc.	7.375%	2/01/16	B1		47,188
	115	Total Independent Power Producers & Energy Traders					111,988
		Industrial Conglomerates – 0.3%
	50	SPX Corporation	7.625%	12/15/14	BB		50,813
		Insurance – 0.5%
	35	Allstate Corporation	7.200%	12/01/09	A+		36,443
	55	Prudential Financial Inc.	4.750%	4/01/14	A+		52,693
	90	Total Insurance					89,136
		IT Services – 0.1%
	40	First Data Corporation	9.875%	9/24/15	B		34,850
		Machinery – 0.3%
	40	American Railcar Industries	7.500%	3/01/14	BB–		37,400
	5	Caterpillar Inc.	6.050%	8/15/36	A		4,983
	15	Deere & Company	6.950%	4/25/14	A		16,453
	60	Total Machinery					58,836
		Media – 1.8%
	100	AOL Time Warner	6.875%	5/01/12	BBB+		102,390
	55	Comcast Corporation	6.450%	3/15/37	BBB+		51,348
	40	Echostar DBS Corporation	7.125%	2/01/16	BB–		37,100
	40	News America, Inc., 144A	6.150%	3/01/37	BBB+		36,947
	40	Sinclair Broadcasting Group	8.000%	3/15/12	BB–		40,400
	35	Time Warner Cable Inc.	6.550%	5/01/37	BBB+		32,334
	25	Valassis Communications Inc.	8.250%	3/01/15	B–		22,813
	25	Walt Disney Company	6.000%	7/17/17	A		25,907
	2	Walt Disney Company	7.000%	3/01/32	A		2,291
	362	Total Media					351,530

12

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		Metals & Mining – 2.4%
$	25	BHP Billiton Finance Limited	5.250%	12/15/15	A+	$	24,233
	60	California Steel Industries Inc.	6.125%	3/15/14	BB–		52,500
	30	Claymont Steel Inc., 144A	8.875%	2/15/15	B3		31,350
	50	Freeport McMoran Copper & Gold, Inc.	6.875%	2/01/14	Baa1		51,811
	30	Freeport McMoran Copper & Gold, Inc.	8.375%	4/01/17	BBB–		31,699
	70	Ispat Inland Inc.	9.750%	4/01/14	BBB+		74,829
	30	Noranda Aluminum Acquisition Corporation	6.828%	5/15/15	B–		26,025
	30	Russel Metals Inc.	6.375%	3/01/14	BB		28,350
	40	Steel Dynamics, Inc.	7.375%	11/01/12	BB+		40,200
	25	Steel Dynamics, Inc.	7.750%	4/15/16	BB+		25,000
	40	Tube City IMS Corporation	9.750%	2/01/15	B–		37,100
	60	United States Steel Corporation	6.050%	6/01/17	Baa3		56,131
	490	Total Metals & Mining					479,228
		Multi-Line Retail – 0.5%
	8	Federated Department Stores, Inc.	6.900%	4/01/29	BBB–		6,778
	35	J.C. Penney Corporation Inc.	5.750%	2/15/18	BBB–		31,283
	65	Target Corporation	5.375%	5/01/17	A+		63,729
	108	Total Multi-Line Retail					101,790
		Multi-Utilities – 0.5%
	50	Aquila, Inc.	14.875%	7/01/12	BB–		58,375
	50	Dynegy Holdings, Inc., Term Loan	7.750%	6/01/19	B		45,750
	100	Total Multi-Utilities					104,125
		Oil, Gas & Consumable Fuels – 2.2%
	40	Apache Corporation	6.000%	1/15/37	A–		39,382
	10	Devon Energy Corporation	7.950%	4/15/32	BBB+		11,900
	10	Duke Energy Field Services Corporation	7.875%	8/16/10	BBB+		10,500
	18	Halliburton Company	5.500%	10/15/10	A		18,657
	35	Mariner Energy Corporation	8.000%	5/15/17	B+		34,038
	10	Occidental Petroleum Corporation	6.750%	1/15/12	A		10,749
	50	Petrohawk Energy Corporation	7.875%	6/01/15	B		49,063
	50	Premcor Refining Group Inc.	7.500%	6/15/15	BBB		51,618
	50	Range Resources Corporation	7.250%	5/01/18	BB		49,875
	25	Subcor Energy Inc.	6.100%	6/01/18	A–		25,122
	10	Tosco Corporation	8.125%	2/15/30	A1		12,336
	10	Valero Energy Corporation	7.500%	4/15/32	BBB		10,149
	100	W&T Offshore, Inc.	8.250%	6/15/14	B		97,000
	10	XTO Energy, Inc.	6.250%	4/15/13	BBB		10,309
	428	Total Oil, Gas & Consumable Fuels					430,698
		Paper & Forest Products – 0.8%
	38	Buckeye Technologies Inc.	8.000%	10/15/10	B		38,190
	30	Mercer International Inc.	9.250%	2/15/13	B		28,275

13

Portfolio of Investments (Unaudited)

Nuveen Multi-Strategy Income Fund (continued)

June 30, 2008

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		Paper & Forest Products (continued)
$	40	Rock-Tenn Company	8.200%	8/15/11	BB	$	41,400
	50	Rock-Tenn Company	5.625%	3/15/13	BB		46,500
	8	Westvaco Corporation	8.200%	1/15/30	BBB		7,764
	166	Total Paper & Forest Products					162,129
		Pharmaceuticals – 0.3%
	20	GlaxoSmithKline Capital	5.650%	5/15/18	A+		19,961
	10	Schering-Plough Corporation	6.000%	9/15/17	A–		9,893
	3	Schering-Plough Corporation	6.750%	12/01/33	A–		3,063
	20	Wyeth	5.500%	3/15/13	A+		20,434
	53	Total Pharmaceuticals					53,351
		Real Estate Investment Trust – 0.3%
	50	Istar Financial Inc.	8.750%	8/15/08	BBB		49,752
		Real Estate Management & Development – 0.1%
	12	ERP Operating LP	6.625%	3/15/12	BBB+		12,197
		Road & Rail – 0.6%
	18	Burlington Northern Santa Fe Corporation	6.750%	7/15/11	Baa1		18,890
	13	Canadian National Railways Company	6.250%	8/01/34	A–		12,724
	10	CSX Corporation	5.600%	5/01/17	BBB–		9,240
	50	Kansas City Southern de Mexico, RL de CV	7.375%	6/01/14	BB–		48,750
	17	Norfolk Southern Corporation	7.700%	5/15/17	BBB+		18,955
	10	Union Pacific Corporation	5.650%	5/01/17	BBB		9,743
	118	Total Road & Rail					118,302
		Software – 0.1%
	14	Computer Associates International, Inc.	4.750%	12/01/09	BB+		13,888
		Thrifts & Mortgage Finance – 0.5%
	100	Washington Mutual Bank	2.738%	8/25/08	BBB+		98,119
		Trading Companies & Distributors – 0.1%
	50	Neff Corporation	10.000%	6/01/15	CCC+		19,250
		Wireless Telecommunication Services – 1.2%
	50	Cricket Communications Inc.	10.000%	7/15/15	B–		49,250
	50	Metro Wireless Inc.	9.250%	11/01/14	B–		48,375
	60	Rogers Wireless Communications Inc.	6.375%	3/01/14	BBB–		60,140
	80	Vodafone Group PLC	5.350%	2/27/12	A–		80,356
	240	Total Wireless Telecommunication Services					238,121
$	5,737	Total Corporate Bonds (cost $5,757,828)					5,581,151

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 10.4%
		U.S. Treasury Bond/Notes – 10.4%
$	60	United States of America Treasury Bonds/Notes	0.000%	11/15/08	AAA	$	59,559
	1,225	United States of America Treasury Bonds/Notes	0.000%	11/15/10	AAA		1,151,646
	335	United States of America Treasury Bonds/Notes	0.000%	5/15/17	AAA		230,075

14

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		U.S. Treasury Bond/Notes (continued)
$	200	United States of America Treasury Bonds/Notes	0.000%	2/15/18	AAA	$	132,439
	195	United States of America Treasury Bonds/Notes	0.000%	2/15/25	AAA		89,360
	965	United States of America Treasury Bonds/Notes	0.000%	2/15/31	AAA		336,420
	150	United States of America Treasury Bonds/Notes	0.000%	2/15/37	Aaa		40,696
$	3,130	Total U.S. Government and Agency Obligations (cost $2,005,047)					2,040,195
Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		ASSET-BACKED AND MORTGAGE-BACKED SECURITIES – 65.9%
		Autos – Asset-Backed Securities – 6.9%
$	283	Banc of America Securities Auto Trust 2006-G1	5.180%	6/18/10	AAA	$	285,483
	230	Capital Auto Receivables Asset Trust, Series 2007-2-A3A	5.020%	9/15/11	AAA		233,546
(3)	—	Daimler Chrysler Auto Trust, Class A3, Series 2005B	4.040%	9/08/09	Aaa		—
	178	Daimer Chrysler Auto Trust, Series 2006D	4.980%	2/08/11	AAA		179,965
	141	Daimler Chrysler Auto Trust 2008B	5.320%	11/10/14	AAA		141,978
	400	Ford Credit Auto Owner Trust, 2008A-3A	3.960%	4/15/12	AAA		399,316
	100	Hyundai Auto Receivables Trust 2007A, Class A3A	5.040%	1/17/12	AAA		101,825
	1,332	Total Autos					1,342,113
		Cards – Asset-Backed Securities – 11.6%
	175	American Express Credit Card Master Trust, Class C Series 2007-6	2.861%	1/15/13	BBB		166,874
	84	Bank of America Alternative Loan Trust, Series 2005-5 2 CB1	6.000%	6/25/35	Aaa		81,575
	310	Bank of America Credit Card Trust 2006 Series B3	2.551%	1/17/12	A+		304,646
	310	Bank One Issuance Trust, 2003 Class A9	3.860%	6/15/11	AAA		310,751
	160	Chase Issuance Trust 05-A3 A	2.491%	10/17/11	AAA		159,673
	200	Citibank Credit Card Issuance Trust, 2006 Class B2	5.150%	3/07/11	A		200,952
	205	Discover Card Master Trust 2008, Class A3	5.100%	10/15/13	AAA		206,598
	300	General Electric Master Credit Card Note Trust, Class A, Series 2006-1	5.080%	9/15/12	AAA		304,789
	300	Household Credit Card Master Note Trust, Class A, Series 2006-1	5.100%	6/15/12	AAA		302,936
	217	MBNA Master Credit Card Trust Class 99-J	7.000%	2/13/12	AAA		225,864
	2,261	Total Cards					2,264,658
		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	CC		—
		Other – Asset-Backed Securities – 0.7%
	133	SLM Student Loan Trust 2007-7 Class A1	3.060%	10/25/12	AAA		132,983
		Commericial – Mortgage-Backed Securities – 1.7%
	350	Banc of America Commercial Mortgage Pass-Through Certificates, Series 2005	4.933%	7/10/45	AAA		331,541
		Residential – Mortgage-Backed Securities – 45.0%
	119	Federal Home Loan Mortgage Corporation, Mortgage Pool 1B3220	5.926%	1/01/37	AAA		121,317
	54	Federal National Mortgage Association Pool 255814	5.500%	8/01/35	AAA		53,484
	650	Federal National Mortgage Association Pool	6.000%	11/01/34	AAA		659,077
	306	Federal National Mortgage Association Pool 735606	4.425%	5/01/35	AAA		308,231
	334	Federal National Mortgage Association Pool 824163	5.500%	4/01/35	AAA		331,610
	279	Federal National Mortgage Association Pool 838948	5.086%	8/01/35	AAA		284,105
	281	Federal National Mortgage Association Pool 847681	6.229%	12/01/36	AAA		286,915
	349	Federal National Mortgage Association Pool 905597	6.065%	12/01/36	AAA		355,537

15

Portfolio of Investments (Unaudited)

Nuveen Multi-Strategy Income Fund (continued)

June 30, 2008

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		Residential – Mortgage-Backed Securities (continued)
$	800	Federal National Mortgage Association Pool 946228	6.172%	9/01/37	AAA	$	816,801
	650	Federal National Mortgage Association Pool (MDR) (WI/DD)	5.000%	TBA	AAA		642,789
	1,220	Federal National Mortgage Association Pool (MDR) (WI/DD)	5.000%	TBA	AAA		1,169,485
	1,700	Federal National Mortgage Association Pool (MDR) (WI/DD)	5.500%	TBA	AAA		1,675,828
	1,200	Federal National Mortgage Association Pool (MDR) (WI/DD)	6.000%	TBA	AAA		1,210,687
	800	Government National Mortgage Association Mortgage Backed Securities (MDR) (WI/DD)	6.000%	TBA	AAA		812,125
	76	Wells Fargo Mortgage Backed Securities, 2005-AR16 Class 3A2	4.995%	12/25/35	AAA		72,504
	8,818	Total Residential					8,800,495
$	12,894	Total Asset-Backed and Mortgage Backed Securities (cost $12,890,606)					12,871,790
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	$	7,799
$	8	Total Capital Preferred Securities (cost $8,631)					7,799

Principal Amount (000)		Description (1)	Optional Call Provisions (4)	Ratings (2)	Value
		MUNICIPAL BONDS – 0.8%
		National – 0.8%
$	150	Connecticut State, General Obligation Bonds, Series 2008A, 5.850%, 3/15/32	No Opt. Call	AA	$	155,336
$	150	Total Municipal Bonds (cost $150,000)				155,336

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		SOVEREIGN DEBT – 4.6%
		Colombia – 0.1%
$	10	Republic of Colombia	8.250%	12/22/14	BBB–	$	11,425
		Hungary – 0.3%
	60	Republic of Hungary	4.750%	2/03/15	A2		58,433
		Israel – 0.3%
	65	State of Israel	5.500%	11/09/16	A1		66,732
		Mexico – 0.4%
	65	United Mexican States	6.625%	3/03/15	BBB+		69,875
		Poland – 0.3%
	60	Republic of Poland	5.000%	10/19/15	A2		60,042
		Turkey – 3.2%
	200	Republic of Turkey, Government Bond	14.000%	1/19/11	Ba3		139,250
	454	Republic of Turkey, Government Bond	10.840%	2/15/12	BB		356,459
	200	Republic of Turkey, Government Bond	16.000%	3/07/12	BB		141,783
	854	Total Turkey					637,492
$	1,114	Total Sovereign Debt (cost $867,886)					903,999

16

Principal Amount (000)		Description (1)	Coupon	Maturity	Value
		SHORT-TERM INVESTMENTS – 17.9%
$	3,495	Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/08, repurchase price $3,495,045, collateralized by $3,390,000 U.S. Treasury Notes, 4.750%, due 2/15/10, value $3,567,975	1.350%	7/01/08	$	3,494,914
		Total Short-Term Investments (cost $3,494,914)				3,494,914
		Total Investments (cost $25,174,912) – 128.1%				25,055,184
		Other Assets Less Liabilities – (28.1)%				(5,492,170	)
		Net Assets – 100%			$	19,563,014

17

Portfolio of Investments (Unaudited)

Nuveen Multi-Strategy Income Fund (continued)

June 30, 2008

Forward Foreign Currency Exchange Contracts outstanding at June 30, 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	U.S. Dollar	187,426	7/11/08	$	(4,004	)
Australian Dollar	400,000	U.S. Dollar	373,960	7/28/08		(7,975	)
Australian Dollar	193,201	U.S. Dollar	182,351	7/28/08		(2,125	)
Brazilian Real	332,400	U.S. Dollar	207,103	7/02/08		(140	)
Canadian Dollar	204,030	U.S. Dollar	200,000	7/11/08		(54	)
Colombian Peso	376,241,000	U.S. Dollar	210,779	7/18/08		15,140
Czech Koruna	3,276,130	Euro	130,000	8/05/08		(11,377	)
Danish Krone	963,600	U.S. Dollar	200,000	9/09/08		(2,660	)
Euro	60,000	U.S. Dollar	94,425	7/17/08		41
Euro	130,000	Hungarian Forint	33,218,900	8/05/08		16,522
Euro	150,000	U.S. Dollar	230,498	9/09/08		(4,827	)
Euro	84,608	Iceland Krona	8,119,800	9/24/08		(30,766	)
Euro	40,000	Iceland Krona	3,886,800	9/24/08		(13,943	)
Hungarian Forint	32,618,000	U.S. Dollar	200,215	7/09/08		(17,552	)
Iceland Krona	12,006,600	Euro	105,256	9/24/08		14,374
Japanese Yen	20,385,800	U.S. Dollar	200,000	7/07/08		7,940
Japanese Yen	20,958,000	U.S. Dollar	200,000	9/09/08		1,871
Mexican Peso	2,143,600	U.S. Dollar	202,116	7/03/08		(5,643	)
Mexican Peso	2,086,840	U.S. Dollar	202,649	7/03/08		391
New Russian Ruble	4,579,678	U.S. Dollar	193,644	7/17/08		(1,556	)
New Taiwan Dollar	6,020,000	U.S. Dollar	200,000	7/11/08		1,510
New Turkish Lira	257,600	U.S. Dollar	200,000	8/14/08		(6,654	)
New Turkish Lira	563,979	U.S. Dollar	429,404	8/14/08		(23,037	)
New Zealand Dollar	480,000	Australian Dollar	383,203	7/28/08		1,869
Norwegian Krone	1,011,100	U.S. Dollar	195,798	7/17/08		(2,361	)
Singapore Dollar	275,400	U.S. Dollar	200,000	7/11/08		(2,524	)
South African Rand	799,030	U.S. Dollar	103,231	7/07/08		1,387
South African Rand	778,200	U.S. Dollar	100,076	7/25/08		1,390
South Korean Won	159,613,000	U.S. Dollar	160,965	7/22/08		8,524
Swiss Franc	202,115	U.S. Dollar	200,000	7/07/08		2,131
Swiss Franc	209,062	U.S. Dollar	200,000	9/23/08		(4,800	)
U.S. Dollar	200,000	Brazilian Real	332,400	7/02/08		7,243
U.S. Dollar	200,000	Mexican Peso	2,086,840	7/03/08		2,258
U.S. Dollar	200,000	Mexican Peso	2,143,600	7/03/08		7,759
U.S. Dollar	198,171	Japanese Yen	20,385,800	7/07/08		(6,110	)
U.S. Dollar	100,000	South African Rand	799,030	7/07/08		1,845
U.S. Dollar	196,181	Swiss Franc	202,115	7/07/08		1,689
U.S. Dollar	200,000	Hungarian Forint	32,618,000	7/09/08		17,767
U.S. Dollar	183,620	Australian Dollar	200,000	7/11/08		7,810
U.S. Dollar	93,688	Euro	60,000	7/17/08		695
U.S. Dollar	94,425	New Russian Ruble	2,229,178	7/17/08		590
U.S. Dollar	100,000	New Russian Ruble	2,350,500	7/17/08		185
U.S. Dollar	200,000	Norwegian Krone	1,011,100	7/17/08		(1,842	)
U.S. Dollar	206,386	Colombian Peso	376,241,000	7/18/08		(10,747	)
U.S. Dollar	156,101	South Korean Won	159,613,000	7/22/08		(3,659	)
U.S. Dollar	99,081	South African Rand	778,200	7/25/08		(395	)
U.S. Dollar	200,468	Australian Dollar	210,000	7/28/08		48
U.S. Dollar	196,668	New Zealand Dollar	250,000	7/28/08		(7,070	)
U.S. Dollar	177,917	New Zealand Dollar	230,000	7/28/08		(3,487	)
U.S. Dollar	205,490	Brazilian Real	332,400	8/04/08		42
U.S. Dollar	200,000	New Turkish Lira	250,620	8/14/08		1,055
U.S. Dollar	196,887	Japanese Yen	20,958,000	9/09/08		1,243
U.S. Dollar	204,047	Swiss Franc	209,062	9/23/08		754
U.S. Dollar	188,930	Australian Dollar	200,000	9/26/08		621
U.S. Dollar	194,355	New Zealand Dollar	260,000	9/26/08		1,015
U.S. Dollar	100,000	Indian Rupee	4,371,000	9/29/08		105
U.S. Dollar	100,000	Indonesian Rupiah	937,000,000	9/29/08		(85	)
U.S. Dollar	200,234	Mexican Peso	2,086,840	9/29/08		(495	)
U.S. Dollar	100,000	Ukraine Hryvna	512,000	10/09/08		7,972
U.S. Dollar	50,000	Vietnam Dong	1,050,000,000	12/04/08		5,201
					$	(36,901	)

18

Interest Rate Swaps outstanding at June 30, 2008:

Counterparty	Notional Amount		Fund Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate (Annualized)		Fixed Rate Payment Frequency		Termination Date	Value at June 30, 2008		Unrealized Appreciation (Depreciation) (U.S. Dollars)
BNP Paribas	900,000	USD	Receive	12-Month CPI-U	2.650	%	3/04/10	(5)	3/04/10	(7,720	)	$	(7,720	)
BNP Paribas	900,000	USD	Pay	12-Month CPI-U	2.840		3/04/15	(5)	3/04/15	5,388			5,388
Deutsche Bank AG	1,300,000	GBP	Pay	6-Month LIBOR	4.800		Semi-Annually		1/24/10	(61,386	)		(61,386	)
Goldman Sachs	900,000	EUR	Receive	6-Month EURIBOR	3.675		Annually		1/26/11	41,473			41,473
Goldman Sachs	1,550,000	EUR	Pay	6-Month EURIBOR	4.021		Annually		1/26/14	(108,430	)		(108,430	)
Goldman Sachs	650,000	EUR	Receive	6-Month EURIBOR	4.410		Annually		1/26/19	48,933			48,933
Lehman Brothers	6,900,000	NOK	Receive	6-Month NIBOR	6.250		Annually		6/15/11	3,772			3,772
Lehman Brothers	11,900,000	NOK	Pay	6-Month NIBOR	5.770		Annually		6/15/14	(21,631	)		(21,631	)
Lehman Brothers	5,100,000	NOK	Receive	6-Month NIBOR	5.580		Annually		6/15/19	14,380			14,380
Morgan Stanley	2,625,000	USD	Pay	3-Month USD-LIBOR	3.198		Semi-Annually		1/21/11	(37,599	)		(37,599	)
Morgan Stanley	625,000	USD	Receive	3-Month USD-LIBOR	4.490		Semi-Annually		1/21/19	15,408			15,408
Royal Bank of Scotland	775,000	USD	Receive	3-Month USD-LIBOR	3.580		Semi-Annually		6/02/10	(1,329	)		(1,329	)
Royal Bank of Scotland	1,450,000	USD	Pay	3-Month USD-LIBOR	4.547		Semi-Annually		6/02/15	9,993			9,993
UBS AG	1,400,000	USD	Receive	3-Month USD-LIBOR	5.120		Semi-Annually		6/02/28	(38,808	)		(38,808	)
												$	(137,556	)

Credit Default Swaps outstanding at June 30, 2008:

Counterparty	Referenced Entity	Buy/Sell Protection	Notional Amount		Fixed Rate		Termination Date	Value at June 30, 2008			Unrealized Appreciation (Depreciation) U.S. Dollars
Bank of America	Macy’s Inc.	Buy	$	125,000	2.800	%	3/20/13	$	1,884		$	1,884
Goldman Sachs	Tyson Foods Inc.	Buy		200,000	2.000		6/20/13		7,203			7,203
Lehman Brothers	Harrah’s Entertainment Inc.	Sell		125,000	3.750		9/20/08		(311	)		(313	)
											$	8,774

Futures Contracts outstanding at June 30, 2008:

Type	Contract Position	Number of Contracts		Contract Expiration	Value at June 30, 2008 (U.S. Dollars)			Unrealized Appreciation (Depreciation) (U.S. Dollars)
U.S. 2-Year Treasury Note	Long	6		9/08	$	1,267,219		$	3,951
U.S. 30-Year Treasury Bond	Long	19		9/08		2,196,281			51,911
U.S. 5-Year Treasury Note	Short	(4	)	9/08		(442,219	)		2,051
U.S. 10-Year Treasury Note	Short	(15	)	9/08		(1,708,828	)		(31,686	)
								$	26,227

(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) Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns.

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

MDR Denotes investment is subject to dollar roll transactions.

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.

GBP British Pound

EUR Euro

NOK Norwegian Krone

USD United States Dollar

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

19

Portfolio of Investments (Unaudited)

Nuveen Multi-Strategy Income Fund (continued)

June 30, 2008

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 value of the Fund.

At June 30, 2008, the cost of investments was $25,205,903.

Gross unrealized appreciation and gross unrealized depreciation of investments at June 30, 2008, were as follows:

Gross unrealized:
Appreciation	$	167,505
Depreciation		(318,224	)
Net unrealized appreciation (depreciation) of investments	$	(150,719	)

See accompanying notes to financial statements.

20

Portfolio of Investments (Unaudited)

Nuveen High Yield Bond Fund

June 30, 2008

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		CORPORATE BONDS – 92.8%
		Aerospace & Defense – 2.9%
$	1,695	BE Aerospace Inc.	8.500%	7/01/18	BB+	$	1,709,831
	125	Bombardier Inc., 144A	6.750%	5/01/12	BB+		122,813
	991	DI Finance/DynCorp International, Series B	9.500%	2/15/13	B		991,000
	1,460	Hawker Beechcraft Acquisition Company	9.750%	4/01/17	B–		1,467,300
	500	Moog Inc.	7.250%	6/15/18	BB–		497,500
	4,771	Total Aerospace & Defense					4,788,444
		Auto Components – 1.1%
	800	Allison Transmission Inc.	11.000%	11/01/15	B–		720,000
	950	Goodyear Tire & Rubber Company	8.663%	12/01/09	BB–		947,625
	220	Lear Corporation	8.750%	12/01/16	B+		172,700
	1,970	Total Auto Components					1,840,325
		Automobiles – 1.1%
	1,950	General Motors Finance of Nova Scotia	6.850%	10/15/08	B		1,891,500
		Building Products – 1.2%
	425	Dayton Superior Corporation	13.000%	6/15/09	CCC+		347,438
	205	Norcraft Holdings LP	0.000%	9/01/12	B–		191,931
	1,460	Nortek Inc.	10.000%	12/01/13	B1		1,401,600
	2,090	Total Building Products					1,940,969
		Capital Markets – 0.3%
	565	Lehman Brothers Holdings Inc.	3.500%	8/07/08	A1		564,062
		Chemicals – 4.3%
	1,440	ARCO Chemical Company	10.250%	11/01/10	B		1,461,600
	175	Equistar Chemicals LP	7.550%	2/15/26	B+		112,875
	220	MacDermid, Inc.	9.500%	4/15/17	CCC+		200,200
	800	Methanex Corporation	8.750%	8/15/12	BBB–		850,000
	4,191	NOVA Chemicals Corporation	7.400%	4/01/09	B+		4,170,045
	365	NOVA Chemicals Corporation	5.953%	11/15/13	Ba3		312,075
	7,191	Total Chemicals					7,106,795
		Commercial Services & Supplies – 3.8%
	100	Ahern Rentals Inc.	9.250%	8/15/13	B+		73,500
	995	Allied Waste North America	7.250%	3/15/15	BB		997,488
	400	Browning Ferris-Allied Waste	9.250%	5/01/21	BB		434,000
	1,930	Browning Ferris-Allied Waste	7.400%	9/15/35	BB		1,843,150
	945	Expedia Inc. 144A	8.500%	7/01/16	BB		928,463
	375	Interface, Inc.	10.375%	2/01/10	BB–		395,625
	500	International Lease Finance Corporation, Commercial Paper Notes	6.375%	3/15/09	A+		497,670
	1,000	Iron Mountain Inc.	8.000%	6/15/20	B+		990,000
	180	Quebecor Media Inc.	7.750%	3/15/16	B2		168,300
	6,425	Total Commercial Services & Supplies					6,328,196
		Computers & Peripherals – 0.9%
	1,450	Seagate Technology HDD Holdings	3.538%	10/01/09	BB+		1,417,375

21

Portfolio of Investments (Unaudited)

Nuveen High Yield Bond Fund (continued)

June 30, 2008

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		Construction Materials – 0.6%
$	1,040	Texas Industries Inc.	7.250%	7/15/13	BB–	$	1,040,000
		Consumer Finance – 3.3%
	925	Ford Motor Credit Company	6.750%	8/15/08	B1		918,127
	85	Ford Motor Credit Company	5.625%	10/01/08	B1		83,563
	1,950	Ford Motor Credit Company	5.800%	1/12/09	B1		1,862,199
	750	GMAC LLC	3.951%	9/23/08	B		738,647
	470	SLM Corporation, Series MTNA	3.130%	7/25/08	Baa2		468,414
	1,450	SLM Corporation	4.000%	1/15/09	Baa2		1,432,339
	5,630	Total Consumer Finance					5,503,289
		Containers & Packaging – 5.0%
	950	Berry Plastics Corporation	7.568%	2/15/15	BB–		914,375
	1,955	Intertape Polymer US Inc.	8.500%	8/01/14	CCC+		1,754,613
	1,506	Owens-Brockway Glass Containers, Guaranteed Senior Note	8.250%	5/15/13	BB		1,551,180
	1,950	Owens-Illinois Inc.	7.800%	5/15/18	B+		1,989,000
	100	Silgan Holding	6.750%	11/15/13	BB–		95,000
	1,900	Tekni-Plex Inc.	10.875%	8/15/12	Caa1		1,938,000
	8,361	Total Containers & Packaging					8,242,168
		Diversified Consumer Services – 0.8%
	500	Carriage Services Inc.	7.875%	1/15/15	B1		482,500
	835	CIT Group Inc.	2.869%	8/15/08	A–		834,117
	1,335	Total Diversified Consumer Services					1,316,617
		Diversified Financial Services – 1.2%
	1,000	Bear Stearns Co Inc.	2.546%	12/04/08	AA–		990,920
	1,000	CIT Group Inc.	2.959%	12/19/08	A–		989,493
	2,000	Total Diversified Financial Services					1,980,413
		Diversified Telecommunication Services – 6.9%
	950	Charter Communications, CCO Holdings LLC	8.750%	11/15/13	Caa1		878,750
	50	Cincinnati Bell Inc.	8.375%	1/15/14	B2		48,625
	510	Cincinnati Bell Inc.	7.000%	2/15/15	Ba3		478,125
	760	Citizens Communications Company	9.000%	8/15/31	BB		687,800
	700	FairPoint Communications Inc.	13.125%	4/01/18	B+		689,500
	40	Hughes Network Systems LLC, 144A	9.500%	4/15/14	B1		40,650
	960	Nortel Networks Limited	10.750%	7/15/16	B–		955,200
	2,950	Qwest Capital Funding Inc.	7.000%	8/03/09	B+		2,957,375
	1,950	Sprint Capital Corporation	6.375%	5/01/09	Baa3		1,950,388
	2,200	US West Communications Inc.	5.625%	11/15/08	BBB–		2,205,500
	415	Windstream Corporation, 144A	8.625%	8/01/16	BB		416,038
	11,485	Total Diversified Telecommunication Services					11,307,951
		Electric Utilities – 4.1%
	300	Edison Mission Energy	7.000%	5/15/17	BB–		282,000
	670	Energy Future Holdings	10.875%	11/01/17	B–		680,050

22

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		Electric Utilities (continued)
$	1,950	Orion Power Holdings	12.000%	5/01/10	BB+	$	2,115,750
	500	Publiv Service Company of New Mexico	4.400%	9/15/08	Baa3		498,296
	325	Reliant Energy Inc.	7.875%	6/15/17	BB–		319,313
	850	Texas Competitive Electric Holdings Company LLC., Series B	10.250%	11/01/15	B3		837,250
	1,950	TNP Enterprises Inc.	6.250%	1/15/09	Baa3		1,948,481
	6,545	Total Electric Utilities					6,681,140
		Electrical Equipment – 0.4%
	599	UCAR Finance Inc.	10.250%	2/15/12	BB		622,960
		Energy Equipment & Services – 8.0%
	700	Allis Chalmers Energy Inc., 144A	8.500%	3/01/17	B		651,000
	960	Copano Energy LLC	7.750%	6/01/18	B+		940,800
	1,850	El Paso Energy Corporation	6.750%	5/15/09	BB–		1,867,044
	950	Helix Energy Solutions	9.500%	1/15/16	BB–		978,500
	665	Kinder Morgan Finance	5.700%	1/05/16	Ba1		595,175
	240	Markwest Energy Partners LP, Series B	8.500%	7/15/16	B+		244,800
	225	Markwest Energy Partners LP., 144A	8.750%	4/15/18	B+		231,188
	960	SandRidge Energy	8.000%	6/01/18	B–		969,600
	2,050	Seitel Inc.	9.750%	2/15/14	B–		1,842,438
	1,330	Sonat Inc.	7.625%	7/15/11	BB–		1,349,242
	2,400	Southwestern Energy Company	7.625%	5/01/27	Ba2		2,475,386
	1,055	Targa Resources Inc.	8.500%	11/01/13	B3		1,039,175
	13,385	Total Energy Equipment & Services					13,184,348
		Food & Staples Retailing – 1.0%
	1,000	Albertson’s, Inc.	6.950%	8/01/09	B+		1,012,531
	750	Duane Reade Inc.	7.276%	12/15/10	B3		701,250
	1,750	Total Food & Staples Retailing					1,713,781
		Food Products – 0.3%
	250	B&G Foods Inc.	8.000%	10/01/11	B		246,875
	330	Pinnacle Foods Finance LLC, 144A	10.625%	4/01/17	CCC		265,650
	580	Total Food Products					512,525
		Health Care Providers & Services – 2.6%
	380	HCA Inc.	8.750%	9/01/10	B–		386,650
	1,195	HCA Inc.	9.250%	11/15/16	BB–		1,233,838
	1,495	HealthSouth Corporation	10.829%	6/15/14	CCC+		1,524,900
	700	HealthSouth Corporation	10.750%	6/15/16	CCC+		756,000
	450	Tenet Healthcare Corporation	9.875%	7/01/14	B		454,500
	4,220	Total Health Care Providers & Services					4,355,888
		Hotels, Restaurants & Leisure – 4.1%
	930	Harrah’s Operating Company, Inc.	10.750%	2/01/16	B+		776,550
	1,000	Mandalay Resort	9.500%	8/01/08	BB		1,005,000
	1,950	MGM Grand Inc.	6.000%	10/01/09	BB		1,928,063

23

Portfolio of Investments (Unaudited)

Nuveen High Yield Bond Fund (continued)

June 30, 2008

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		Hotels, Restaurants & Leisure (continued)
$	100	MGM Mirage Inc.	6.625%	7/15/15	BB	$	80,750
	1,000	Mohegan Tribal Gaming Authority	6.375%	7/15/09	Ba3		995,000
	500	Scientific Games Corporation	7.875%	6/15/16	BB–		500,000
	1,460	Universal City Development Partners	11.750%	4/01/10	B+		1,503,800
	6,940	Total Hotels, Restaurants & Leisure					6,789,163
		Household Durables – 3.7%
	475	K. Hovnanian Enterprises Inc.	11.500%	5/01/13	Ba3		495,188
	1,950	KB Home	8.625%	12/15/08	B+		1,969,500
	2,990	KB Home	7.750%	2/01/10	B+		3,051,445
	475	Simmons Company	7.875%	1/15/14	B		410,875
	90	Toll Corporation	8.250%	2/01/11	BB+		87,300
	5,980	Total Household Durables					6,014,308
		Household Products – 0.5%
	1,000	Central Garden & Pet Company, Senior Subordinate Notes	9.125%	2/01/13	CCC+		875,000
		Independent Power Producers & Energy Traders – 2.0%
	662	AES Corporation	8.750%	5/15/13	BB+		690,135
	960	AES Corporation	8.000%	6/01/20	BB–		931,200
	275	Intergen NV, 144A	9.000%	6/30/17	BB–		286,000
	1,515	NRG Energy Inc.	7.375%	2/01/16	B1		1,429,781
	3,412	Total Independent Power Producers & Energy Traders					3,337,116
		Industrial Conglomerates – 0.3%
	430	SPX Corporation	7.625%	12/15/14	BB		436,988
		IT Services – 0.8%
	900	First Data Corporation	3.375%	8/01/08	Caa1		898,875
	420	First Data Corporation	9.875%	9/24/15	B		365,925
	130	Sungard Data Systems Inc.	3.750%	1/15/09	BB		128,863
	1,450	Total IT Services					1,393,663
		Machinery – 0.3%
	420	American Railcar Industries	7.500%	3/01/14	BB–		392,700
	100	Columbus McKinnon Corporation	8.875%	11/01/13	B+		103,500
	520	Total Machinery					496,200
		Media – 6.2%
	1,250	Cablevision Systems Corporation	7.250%	7/15/08	BB		1,253,125
	1,950	Cablevision Systems Corporation	8.125%	7/15/09	BB		1,969,500
	1,950	Clear Channel Communications, Inc.	4.250%	5/15/09	Baa3		1,882,138
	90	Dex Media Inc.	9.000%	11/15/13	B2		64,800
	895	Echostar DBS Corporation	5.750%	10/01/08	BB–		897,238
	260	Echostar DBS Corporation	7.125%	2/01/16	BB–		241,150
	600	Mediacom LLC	9.500%	1/15/13	B–		568,500
	515	Sinclair Broadcasting Group	8.000%	3/15/12	BB–		520,150
	1,500	Univision Communications Inc.	3.875%	10/15/08	Ba3		1,485,000

24

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		Media (continued)
$	925	Valassis Communications Inc.	6.625%	1/15/09	BB	$	925,000
	475	Valassis Communications Inc.	8.250%	3/01/15	B–		433,438
	10,410	Total Media					10,240,039
		Metals & Mining – 9.7%
	1,295	Algoma Acquisition Corporation, 144A	9.875%	6/15/15	B–		1,236,725
	1,910	California Steel Industries Inc.	6.125%	3/15/14	BB–		1,671,250
	220	Claymont Steel Inc., 144A	8.875%	2/15/15	B3		229,900
	950	Freeport McMoran Copper & Gold, Inc.	6.875%	2/01/14	Baa1		984,400
	1,950	Freeport McMoran Copper & Gold, Inc.	5.883%	4/01/15	BBB–		1,971,665
	220	Freeport McMoran Copper & Gold, Inc.	8.375%	4/01/17	BBB–		232,461
	2,000	Gerdau Ameristeel Corporation	10.375%	7/15/11	BB+		2,087,500
	3,110	Ispat Inland Inc.	9.750%	4/01/14	BBB+		3,324,531
	100	Nalco Finance Holdings Inc.	9.000%	2/01/14	B–		92,500
	220	Noranda Aluminum Acquisition Corporation	6.828%	5/15/15	B–		190,850
	250	PNA Intermediate Holding Corporation	9.719%	2/15/13	B–		251,250
	2,230	Russel Metals Inc.	6.375%	3/01/14	BB		2,107,350
	625	Steel Dynamics, Inc.	7.375%	11/01/12	BB+		628,125
	580	Steel Dynamics, Inc.	7.750%	4/15/16	BB+		580,000
	425	Tube City IMS Corporation	9.750%	2/01/15	B–		394,188
	16,085	Total Metals & Mining					15,982,695
		Multi-Utilities – 1.9%
	2,070	Aquila, Inc.	14.875%	7/01/12	BB–		2,416,725
	750	Dynegy Holdings, Inc., Term Loan	7.750%	6/01/19	B		686,250
	2,820	Total Multi-Utilities					3,102,975
		Oil, Gas & Consumable Fuels – 3.6%
	1,065	Mariner Energy Corporation	8.000%	5/15/17	B+		1,035,713
	1,200	Massey Energy Company, Global Notes	6.625%	11/15/10	B+		1,206,000
	950	Petrohawk Energy Corporation	7.875%	6/01/15	B		932,188
	440	Plains Exploration & Production Company	7.750%	6/15/15	BB		445,500
	1,000	Plains Exploration & Production Company	7.625%	6/01/18	BB		1,005,000
	450	Range Resources Corporation	7.250%	5/01/18	BB		448,875
	500	Southwestern Energy Company	7.500%	2/01/18	BB+		516,955
	400	W&T Offshore, Inc.	8.250%	6/15/14	B		388,000
	6,005	Total Oil, Gas & Consumable Fuels					5,978,231
		Paper & Forest Products – 0.8%
	192	Buckeye Technologies Inc.	8.000%	10/15/10	B		192,960
	220	Mercer International Inc.	9.250%	2/15/13	B		207,350
	200	Millar Western Forest Products Ltd	7.750%	11/15/13	B2		131,000
	380	Rock-Tenn Company	8.200%	8/15/11	BB		393,300
	250	Rock-Tenn Company	5.625%	3/15/13	BB		232,500
	100	Verso Paper Holdings LLC., Series B	9.125%	8/01/14	B+		98,250
	1,342	Total Paper & Forest Products					1,255,360

25

Portfolio of Investments (Unaudited)

Nuveen High Yield Bond Fund (continued)

June 30, 2008

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		Pharmaceuticals – 0.4%
$	550	Valeant Pharmaceuticals International	7.000%	12/15/11	Ba3	$	569,250
		Real Estate Investment Trust – 1.2%
	1,000	Istar Financial Inc.	8.750%	8/15/08	BBB		995,043
	1,000	Rouse Company	8.000%	4/30/09	Ba2		992,904
	2,000	Total Real Estate Investment Trust					1,987,947
		Road & Rail – 1.5%
	1,200	Kansas City Southern de Mexico, RL de CV	7.375%	6/01/14	BB–		1,170,000
	1,258	Kansas City Southern Railway Company	7.500%	6/15/09	BB–		1,276,870
	2,458	Total Road & Rail					2,446,870
		Semiconductors & Equipment – 0.2%
	300	Freescale Semiconductor Inc., 144A	10.125%	12/15/16	B–		230,250
		Specialty Retail – 0.5%
	725	Warnaco Inc., Senior Notes	8.875%	6/15/13	BB		755,813
		Textiles, Apparel & Luxury Goods – 0.2%
	250	HBI Branded Apparel Limited, Inc., Term Loan, Second Lien	6.508%	12/15/14	B		233,750
		Thrifts & Mortgage Finance – 0.6%
	1,000	Washington Mutual Bank	2.738%	8/25/08	BBB+		981,185
		Trading Companies & Distributors – 0.3%
	100	H&E Equipment Limited, 144A	8.375%	7/15/16	BB–		88,000
	700	Neff Corporation	10.000%	6/01/15	CCC+		269,500
	800	Total Trading Companies & Distributors					357,500
		Wireless Telecommunication Services – 4.2%
	1,945	Cricket Communications Inc.	10.000%	7/15/15	B–		1,915,824
	415	Metro Wireless Inc.	9.250%	11/01/14	B–		401,508
	950	Rogers Wireless Communications Inc.	8.000%	12/15/12	BB+		985,621
	2,000	Rural Cellular Corporation	9.875%	2/01/10	B3		2,045,000
	537	Rural Cellular Corporation	8.250%	3/15/12	Ba3		553,110
	1,000	Rural Cellular Corporation	5.682%	6/01/13	CCC		1,007,500
	6,847	Total Wireless Telecommunication Services					6,908,563
$	154,666	Total Corporate Bonds (cost $154,227,418)					152,711,612

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 0.3%
		U.S. Treasury Bond/Notes – 0.3%
$	500	United States of America Treasury Bonds/Notes	3.375%	6/30/13	Aaa	$	501,055
$	500	Total U.S. Government and Agency Obligations (cost $500,957)					501,055
Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		ASSET-BACKED SECURITIES – 6.0%
		Autos – 3.1%
$	1,217	Capital Auto Receivables Asset Trust, Series 2006-2, Class A3B	2.531%	5/15/11	AAA	$	1,213,913
	1,000	Fifth Third Auto Trust 2008-1a-2B	3.721%	2/15/11	AAA		1,006,973

26

Principal Amount (000)		Description (1)	Coupon	Maturity	Ratings (2)	Value
		Autos (continued)
$	1,184	Harley-Davidson Motorcycle Trust 2006-3 Class A3	5.240%	1/15/12	AAA	$	1,195,449
	644	Nissan Auto Receivables Owner Trust 2006-CA3	5.440%	4/15/10	AAA		649,589
	1,000	Nissan Auto Receivables Owner Trust, Series 2008-A2	2.971%	5/17/10	AAA		1,001,569
	5,045	Total Autos					5,067,493
		Cards – 1.7%
	755	American Express Credit Card Trust, 2005 Series A6	2.471%	3/15/11	AAA		754,868
	1,020	Citibank Credit Card Issuance Trust, Series 2004-A3	2.990%	7/25/11	AAA		1,016,671
	1,000	MBNA Credit Card Master Note Trust, Class A4, Series 2006	2.461%	9/15/11	AAA		997,154
	2,775	Total Cards					2,768,693
		Other – 1.2%
	2,000	SLM Student Loan Trust 2008-6 Class A1, (3) (4)	3.364%	10/27/14	AAA		2,000,000
$	9,820	Total Asset-Backed Securities (cost $9,799,641)					9,836,186
Principal Amount (000)		Description (1)	Coupon	Maturity		Value
		SHORT-TERM INVESTMENTS – 2.5%
$	4,159	Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/08, repurchase price $4,158,779, collateralized by $4,035,000 U.S. Treasury Notes, 4.750%, due 2/15/10, value $3,567,975	1.350%	7/01/08		$	4,158,623
		Total Short-Term Investments (cost $4,158,623)					4,158,623
		Total Investments (cost $168,686,639) – 101.6%					167,207,476
		Other Assets Less Liabilities – (1.6)%					(2,666,643)
		Net Assets – 100%				$	164,540,833

Credit Default Swaps outstanding at June 30, 2008:

Counterparty	Referenced Entity	Buy/Sell Protection	Notional Amount		Fixed Rate		Termination Date	Value at June 30, 2008			Unrealized Appreciation (Depreciation) U.S. Dollars
Bank of America	Freescale Semiconductor, Inc.	Sell	$	1,000,000	3.250	%	12/20/08	$	(1,924	)	$	(1,924	)
Bank of America	Macy’s Inc.	Buy		750,000	2.800		3/20/13		11,306			11,306
Citibank	GMAC LLC	Sell		1,000,000	8.400		3/20/09		(43,912	)		(43,912	)
Credit Suisse	International Lease Finance Corporation	Sell		1,000,000	2.000		6/20/09		(24,697	)		(24,697	)
Credit Suisse	Lehman Brothers Holdings Inc.	Sell		1,950,000	3.800		6/20/09		(8,466	)		(8,466	)
Goldman Sachs	Georgia-Pacific LLC	Sell		2,900,000	2.250		6/20/09		995			995
Goldman Sachs	K. Hovnanian Enterprises Inc.	Sell		1,000,000	5.000		6/20/09		(33,662	)		(8,662	)
Goldman Sachs	K. Hovnanian Enterprises Inc.	Sell		1,950,000	5.000		6/20/09		(63,410	)		(19,535	)
Goldman Sachs	Smurfit-Stone Container Enterprises Inc.	Sell		2,900,000	3.600		6/20/09		(28,040	)		(28,040	)
Goldman Sachs	Tyson Foods Inc.	Buy		850,000	2.000		6/20/13		30,624			30,624
Goldman Sachs	DJ Investment Grade CDX	Sell		20,000,000	5.000		6/20/13		(1,156,190	)		(556,189	)
JPMorgan	Ford Motor Credit Company LLC	Sell		1,000,000	6.500		3/20/09		(36,505	)		(36,523	)
Lehman Brothers	Harrah’s Entertainment Inc.	Sell		750,000	3.750		9/20/08		(1,867	)		(1,879	)
											$	(686,902	)

27

Portfolio of Investments (Unaudited)

Nuveen High Yield Bond Fund (continued)

June 30, 2008

Total Return Swaps outstanding at June 30, 2008:

Counterparty	Receive	Pay	Expiration Date	Notional Amount		Unrealized Appreciation (Depreciation)
JPMorgan Chase (3)	Lehman Brothers U.S. High Yield Index	1-Month USD-LIBOR-BBA less 35 basis points	11/30/08	$	15,000,000	$	(415,849	)
JPMorgan Chase (3)	Lehman Brothers U.S. High Yield Index	1-Month USD-LIBOR-BBA less 35 basis points	3/01/09		15,000,000		(418,975	)
						$	(834,824	)

Futures Contracts outstanding at June 30, 2008:

Type	Contract Position	Number of Contracts	Contract Expiration	Value at June, 30 2008 (U.S. Dollars)		Unrealized Appreciation (Depreciation) (U.S. Dollars)
U.S. 5-Year Treasury Note	Long	50	9/08	$	5,527,734	$	(25,931	)

(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 the investment, with an aggregate market value of $523,000, 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.

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

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 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 value of the Fund.

At June 30, 2008, the cost of investments was $168,851,016.

Gross unrealized appreciation and gross unrealized depreciation of investments at June 30, 2008, were as follows:

Gross unrealized:
Appreciation	$	592,810
Depreciation		(2,236,350	)
Net unrealized appreciation (depreciation) of investments	$	(1,643,540	)

See accompanying notes to financial statements.

28

Item 2. 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 (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 registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits.

File as exhibits as part of this Form 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)), exactly as set forth below: See Ex-99. 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
	Vice President and Secretary

Date: August 29, 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
	Chief Administrative Officer   (principal executive officer)

Date: August 29, 2008

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

Date: August 29, 2008