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 811-21471

Nuveen Tax-Advantaged Total Return Strategy Fund

(Exact name of registrant as specified in charter)

    333 West Wacker Drive, Chicago, Illinois 60606    

(Address of principal executive offices) (Zip code)

Gifford R. Zimmerman—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:       December 31      

Date of reporting period:  March 31, 2017  

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

JTA

Nuveen Tax-Advantaged Total Return Strategy Fund
Portfolio of Investments	March 31, 2017 (Unaudited)

Shares		Description (1)	Value
		LONG-TERM INVESTMENTS – 140.1% (96.8% of Total Investments)
		COMMON STOCKS – 96.7% (66.8% of Total Investments)
		Air Freight & Logistics – 2.8%
	152,200	Deutsche Post AG, (2)	$	5,208,818
		Automobiles – 1.5%
	37,200	Daimler AG, (2)		2,745,342
		Banks – 12.6%
	10,887,000	Bank of Ireland, (2), (3)		2,702,160
	89,400	CIT Group Inc., (4), (5)		3,837,942
	90,500	Citigroup Inc., (5)		5,413,710
	316,000	ING Groep N.V, (5)		4,768,440
	40,100	JPMorgan Chase & Co.		3,522,384
	87,900	The Bank of NT Butterfield and Son Limited		2,804,889
		Total Banks		23,049,525
		Building Products – 1.6%
	68,700	Johnson Controls International PLC		2,893,644
		Capital Markets – 5.8%
	163,300	Ares Capital Corporation		2,838,154
	492,800	Deutsche Boerse AG, (2)		4,514,048
	203,000	UBS Group AG, (2)		3,244,876
		Total Capital Markets		10,597,078
		Chemicals – 3.8%
	270,000	CVR Partners LP, (4), (5)		1,255,500
	89,200	Dow Chemical Company		5,667,768
		Total Chemicals		6,923,268
		Communications Equipment – 2.6%
	81,400	Cisco Systems, Inc.		2,751,320
	316,000	Ericsson		2,098,240
		Total Communications Equipment		4,849,560
		Diversified Financial Services – 1.6%
	299,000	Challenger Limited, (2)		2,865,758
		Diversified Telecommunication Services – 4.6%
	136,200	Nippon Telegraph and Telephone Corporation, ADR		5,834,808
	173,400	Telefonica Brasil SA		2,589,424
		Total Diversified Telecommunication Services		8,424,232
		Electrical Equipment – 1.2%
	29,700	Eaton PLC		2,202,255
		Equity Real Estate Investment Trusts – 3.2%
	43,500	Apartment Investment & Management Company, Class A		1,929,225
	170,000	Colony Northstar, Inc.		2,194,700
	20,900	Life Storage, Inc.		1,716,308
		Total Equity Real Estate Investment Trusts		5,840,233
		Food & Staples Retailing – 2.1%
	48,500	CVS Health Corporation, (5)		3,807,250

NUVEEN 1

JTA	Nuveen Tax-Advantaged Total Return Strategy Fund
	Portfolio of Investments (continued)	March 31, 2017 (Unaudited)

Shares		Description (1)	Value
		Food Products – 2.1%
	443,000	Orkla ASA, (2), (5)	$	3,949,345
		Health Care Providers & Services – 0.0%
	6,594	Millenium Health LLC, (3)		4,945
		Household Durables – 1.7%
	187,650	Sekisui House, Ltd., (2)		3,094,121
		Industrial Conglomerates – 3.8%
	60,000	General Electric Company, (4)		1,788,000
	93,100	Philips Electronics, (5)		2,989,441
	16,100	Siemens AG, Sponsored ADR, (2)		2,205,252
		Total Industrial Conglomerates		6,982,693
		Insurance – 10.9%
	84,100	Ageas, (2)		3,284,162
	226,000	Allinaz S.E, (2), (5)		4,187,780
	50,600	CNA Financial Corporation, (4), (5)		2,235,002
	199,300	Swiss Re AG, (2)		4,456,348
	124,800	Unum Group, (5)		5,851,872
		Total Insurance		20,015,164
		Media – 5.5%
	99,200	Interpublic Group of Companies, Inc.		2,437,344
	2,099	Metro-Goldwyn-Mayer, (2), (3)		205,177
	121,900	National CineMedia, Inc.		1,539,597
	29,000	Time Warner Inc.		2,833,590
	3,184	Tribune Media Company, (6)		—
	989	tronc, Inc., (3)		13,767
	66,000	Viacom Inc., Class B		3,076,920
		Total Media		10,106,395
		Multi-Utilities – 3.1%
	305,000	Veolia Environment S.A., ADR, (2)		5,719,320
		Oil, Gas & Consumable Fuels – 4.8%
	134,100	Enterprise Products Partnership LP		3,702,501
	39,200	Phillips 66		3,105,424
	9	Southcross Holdings Borrower LP, (3)		3,600
	39,300	Total SA, Sponsored ADR		1,981,506
		Total Oil, Gas & Consumable Fuels		8,793,031
		Pharmaceuticals – 7.7%
	129,700	AstraZeneca PLC, (5)		4,038,858
	167,000	GlaxoSmithKline PLC		7,040,720
	97,000	Roche Holdings AG, Sponsored ADR, (2)		3,106,910
		Total Pharmaceuticals		14,186,488
		Road & Rail – 1.3%
	22,400	Union Pacific Corporation		2,372,608
		Semiconductors & Semiconductor Equipment – 3.2%
	227,000	Cypress Semiconductor Corporation, (4)		3,123,520
	138,000	Infineon Technologies AG, (2)		2,824,491
		Total Semiconductors & Semiconductor Equipment		5,948,011
		Software – 6.2%
	59,400	Microsoft Corporation		3,912,084
	169,500	Oracle Corporation		7,561,395
		Total Software		11,473,479

2 NUVEEN

Shares		Description (1)					Value
		Tobacco – 3.0%
	109,800	Imperial Brands PLC, (2)					$	5,424,120
		Total Common Stocks (cost $149,507,102)						177,476,683
Shares		Description (1)	Coupon		Ratings (7)		Value
		CONVERTIBLE PREFERRED SECURITIES – 3.7% (2.6% of Total Investments)
		Banks – 0.6%
	525	Bank of America Corporation		7.250%		BB+	$	627,406
	425	Wells Fargo & Company		7.500%		BBB		527,000
		Total Banks						1,154,406
		Electric Utilities – 1.7%
	57,600	Great Plains Energy Inc.		7.000%		N/R		3,094,848
		Pharmaceuticals – 1.4%
	4,593	Teva Pharmaceutical Industries Limited, (2)		7.000%		N/R		2,642,353
		Total Convertible Preferred Securities (cost $8,188,997)						6,891,607
Shares		Description (1)	Coupon		Ratings (7)		Value
		$25 PAR (OR SIMILAR) RETAIL PREFERRED – 7.4% (5.1% of Total Investments)
		Banks – 2.1%
	12,020	Boston Private Financial Holdings Inc.		6.950%		N/R	$	309,275
	4,625	Cobank Agricultural Credit Bank, (2)		6.250%		BBB+		484,469
	3,250	Cobank Agricultural Credit Bank, (2)		6.125%		BBB+		321,242
	14,122	Fifth Third Bancorp.		6.625%		Baa3		401,206
	7,700	First Republic Bank of San Francisco		7.000%		BBB–		207,361
	4,450	HSBC Holdings PLC		8.000%		Baa1		117,703
	15,000	Huntington BancShares Inc.		6.250%		Baa3		388,800
	7,850	KeyCorp Preferred Stock, (5)		6.125%		Baa3		212,421
	12,300	People’s United Financial, Inc.		5.625%		BB+		317,463
	14,544	Regions Financial Corporation		6.375%		Ba1		400,105
	3,821	TCF Financial Corporation		7.500%		BB–		97,359
	18,400	U.S. Bancorp.		6.500%		A3		527,344
	1,300	Zions Bancorporation		7.900%		BB–		33,059
		Total Banks						3,817,807
		Capital Markets – 1.1%
	11,400	Charles Schwab Corporation, (5)		6.000%		BBB		304,152
	3,775	Charles Schwab Corporation		5.950%		BBB		99,434
	20,850	Ladenburg Thalmann Financial Services Inc.		8.000%		N/R		523,335
	24,175	Morgan Stanley		7.125%		Ba1		704,218
	16,200	Stifel Financial Corporation		6.250%		BB–		419,742
		Total Capital Markets						2,050,881
		Consumer Finance – 1.2%
	9,200	Capital One Financial Corporation		6.700%		Baa3		252,448
	3,800	Discover Financial Services		6.500%		BB–		98,610
	56,500	GMAC Capital Trust I		8.125%		B+		1,436,795
	7,130	SLM Corporation, Series A		6.970%		Ba3		361,491
		Total Consumer Finance						2,149,344
		Diversified Financial Services – 0.1%
	8,100	KKR Financial Holdings LLC		7.375%		BBB		211,572
		Electric Utilities – 0.4%
	3,035	Alabama Power Company, (2)		6.500%		A3		79,479
	1,300	Alabama Power Company, (2)		6.450%		A3		33,353
	5,000	Gulf Power Company, (2)		6.450%		Baa1		507,515
		Total Electric Utilities						620,347

NUVEEN 3

JTA	Nuveen Tax-Advantaged Total Return Strategy Fund
	Portfolio of Investments (continued)	March 31, 2017 (Unaudited)

Shares		Description (1)	Coupon				Ratings (7)		Value
		Food Products – 0.4%
	14,600	CHS Inc.		7.100%				N/R	$	417,122
	11,205	CHS Inc.		6.750%				N/R		313,628
		Total Food Products								730,750
		Insurance – 1.6%
	14,089	Allstate Corporation		6.750%				BBB–		374,767
	13,300	Arch Capital Group Limited		6.750%				BBB		334,761
	19,210	Aspen Insurance Holdings Limited		7.250%				BBB–		488,702
	13,193	Axis Capital Holdings Limited		6.875%				BBB		329,429
	19,050	Endurance Specialty Holdings Limited		6.350%				BBB–		498,920
	19,101	Maiden Holdings Limited		8.250%				BB		491,469
	9,470	National General Holding Company		7.500%				N/R		237,413
	8,175	National General Holding Company		7.500%				N/R		204,130
		Total Insurance								2,959,591
		Thrifts & Mortgage Finance – 0.5%
	4,631	Astoria Financial Corporation		6.500%				Ba2		117,442
	24,550	Federal Agricultural Mortgage Corporation		6.875%				N/R		653,275
	8,100	New York Community Bancorp Inc.		6.375%				Ba1		219,510
		Total Thrifts & Mortgage Finance								990,227
		Total $25 Par (or similar) Retail Preferred (cost $12,805,354)								13,530,519
Principal Amount (000)		Description (1)	Coupon (8)		Maturity (9)		Ratings (7)		Value
		VARIABLE RATE SENIOR LOAN INTERESTS – 26.3% (18.2% of Total Investments) (8)
		Aerospace & Defense – 1.1%
$	997	Leidos Holdings, Inc., Term Loan B		3.250%		8/16/23		BBB–	$	1,009,221
	610	B/E Aerospace, Inc., Term Loan B		4.033%		12/16/21		BB+		612,387
	496	Transdigm, Inc., Extend Term Loan F		3.982%		6/07/23		Ba2		494,544
	2,103	Total Aerospace & Defense								2,116,152
		Airlines – 0.5%
	500	American Airlines, Inc., Term Loan B		3.412%		12/14/23		BB+		501,250
	479	Delta Air Lines, Inc., Term Loan B1		3.354%		10/18/18		Baa2		482,602
	979	Total Airlines								983,852
		Automobiles – 0.6%
	1,114	Formula One Group, Term Loan B		4.568%		2/01/24		B		1,114,532
		Building Products – 0.3%
	499	Quikrete Holdings, Inc., Initial Term Loan, First Lien		4.232%		11/15/23		BB–		504,569
		Capital Markets – 0.3%
	500	RPI Finance Trust, Term Loan B6		3.153%		3/16/23		Baa2		502,098
		Chemicals – 0.9%
	670	US Coatings Acquisition, Term Loan B		3.647%		2/01/23		BBB–		676,708
	199	Mineral Technologies, Inc., Term Loan B2		4.750%		5/07/21		BB+		201,365
	775	Univar, Inc., Term Loan B		3.732%		7/01/22		BB–		777,018
	1,644	Total Chemicals								1,655,091
		Commercial Services & Supplies – 0.5%
	993	West Corporation, Refinanced Term Loan B12		3.539%		6/17/23		BB		996,110
		Communications Equipment – 0.1%
	237	CommScope, Inc., Tranche 5, Term Loan B, First Lien		3.482%		12/29/22		Baa3		239,300

4 NUVEEN

Principal Amount (000)		Description (1)	Coupon (8)		Maturity (9)		Ratings (7)		Value
		Consumer Finance – 0.5%
$	894	First Data Corporation, Term Loan, First Lien		3.984%		3/24/21		BB+	$	901,661
		Containers & Packaging – 0.9%
	406	Berry Plastics Holding Corporation, Term Loan I		3.501%		10/01/22		BB		409,482
	1,270	Reynolds Group Holdings, Inc., Term Loan, First Lien		3.982%		2/05/23		B+		1,276,988
	1,676	Total Containers & Packaging								1,686,470
		Diversified Consumer Services – 0.3%
	541	Hilton Hotels Corporation, Term Loan B2		2.982%		10/25/23		BBB–		546,161
		Diversified Financial Services – 0.8%
	743	MGM Growth Properties, Term Loan B		3.482%		4/25/23		BB+		747,326
	499	Veritas US, Inc., Initial Dollar Term Loan B1		6.772%		1/27/23		B+		496,507
	264	WideOpenWest Finance LLC, New Term Loan B		4.554%		8/18/23		B1		266,123
	1,506	Total Diversified Financial Services								1,509,956
		Diversified Telecommunication Services – 0.5%
	522	Intelsat Jackson Holdings SA, Term Loan B2		3.887%		6/30/19		B1		514,767
	500	Verizon Communication Inc., Term Loan A		3.412%		12/14/23		BB+		501,250
	1,022	Total Diversified Telecommunication Services								1,016,017
		Electric Utilities – 0.3%
	406	Vistra Operations Co., Term Loan B		3.732%		8/04/23		Ba2		405,617
	93	Vistra Operations Co., Term Loan C		3.732%		8/04/23		Ba2		92,741
	499	Total Electric Utilities								498,358
		Energy Equipment & Services – 0.1%
	149	Drill Rigs Holdings, Inc., Tranche B1, Term Loan, (15)		6.063%		3/31/21		Caa2		106,512
		Equity Real Estate Investment Trusts – 0.2%
	314	Communications Sales & Leasing, Inc., Shortfall Term Loan		4.000%		10/24/22		BB–		313,669
		Food & Staples Retailing – 0.5%
	867	Albertson’s LLC, Term Loan B4		3.982%		8/25/21		BB		872,048
		Food Products – 0.6%
	521	Jacobs Douwe Egberts, Term Loan B		3.500%		7/04/22		BB		524,242
	583	US Foods, Inc., Term Loan B		3.732%		6/27/23		BB		589,041
	1,104	Total Food Products								1,113,283
		Health Care Equipment & Supplies – 0.5%
	444	Acelity, Term Loan B		4.397%		2/02/24		B1		444,332
	426	Sterigenics International, Inc., Term Loan B		4.397%		5/15/22		B1		427,519
	870	Total Health Care Equipment & Supplies								871,851
		Health Care Providers & Services – 1.8%
	250	Community Health Systems, Inc., Term Loan G		3.798%		12/31/19		Ba3		248,702
	500	Community Health Systems, Inc., Term Loan H		4.048%		1/27/21		Ba3		493,320
	808	DaVita HealthCare Partners, Inc., Tranche B, Term Loan		3.732%		6/24/21		BBB–		818,912
	499	Envision Healthcare Corporation, Term Loan B, First Lien		4.150%		12/01/23		BB–		504,361
	1,004	HCA, Inc., Tranche B8, Term Loan, (DD1)		3.232%		2/15/24		BBB–		1,013,874
	56	HCA, Inc., Term Loan B9		2.982%		3/18/23		BBB–		56,816
	332	Millennium Laboratories, Inc., Term Loan B, First Lien		7.500%		12/21/20		CCC+		172,295
	3,449	Total Health Care Providers & Services								3,308,280
		Health Care Technology – 0.4%
	750	Emdeon, Inc., Closing Date Term Loan		3.750%		3/01/24		Ba3		752,188

NUVEEN 5

JTA	Nuveen Tax-Advantaged Total Return Strategy Fund
	Portfolio of Investments (continued)	March 31, 2017 (Unaudited)

Principal Amount (000)		Description (1)	Coupon (8)		Maturity (9)		Ratings (7)		Value
		Hotels, Restaurants & Leisure – 1.7%
$	1,533	Burger King Corporation, Term Loan B3		3.309%		2/16/24		Ba3	$	1,538,690
	1,140	Seaworld Parks and Entertainment, Inc., Term Loan B5		4.147%		3/03/24		BB–		1,144,097
	497	YUM Brands, Term Loan B		2.976%		6/16/23		N/R		500,547
	3,170	Total Hotels, Restaurants & Leisure								3,183,334
		Household Products – 0.2%
	346	Spectrum Brands, Inc., Term Loan B		2.867%		6/23/22		Ba1		348,204
		Independent Power & Renewable Electricity Producers – 0.3%
	500	Dynegy, Inc., Tranche C1, Term Loan		4.250%		6/27/23		BB		502,594
		Internet and Direct Marketing Retail – 0.3%
	478	Travelport LLC, Term C Loan		4.289%		9/02/21		B+		482,388
		IT Services – 0.9%
	396	Gartner, Inc., Term Loan A, (WI/DD)		TBD		TBD		BB+		397,887
	250	Gartner, Inc., Term Loan B, (WI/DD)		TBD		TBD		BB+		251,719
	477	Vantiv, Inc., Term Loan B		3.412%		10/06/23		BBB–		481,912
	496	WEX, Inc., Term Loan B		4.482%		6/30/23		BB–		502,852
	1,619	Total IT Services								1,634,370
		Leisure Products – 0.3%
	518	24 Hour Fitness Worldwide, Inc., Term Loan B		4.897%		5/28/21		Ba3		518,632
		Life Sciences Tools & Services – 0.3%
	499	Inventiv Health, Inc., Term Loan B		4.804%		11/09/23		B		501,199
		Machinery – 0.4%
	292	Gates Global LLC, Term Loan B		4.408%		3/30/24		B+		293,441
	411	Rexnord LLC. Term Loan B, First Lien		3.837%		8/21/23		BB–		412,887
	703	Total Machinery								706,328
		Media – 3.6%
	995	Cequel Communications LLC, Term Loan B, (WI/DD)		TBD		TBD		BB–		995,558
	481	Charter Communications Operating Holdings LLC, Term Loan E		2.990%		7/01/20		BBB–		482,969
	92	Clear Channel Communications, Inc., Term Loan E		8.482%		7/30/19		Caa1		78,984
	690	Cumulus Media, Inc., Term Loan B		4.250%		12/23/20		B3		517,811
	747	Clear Channel Communications, Inc., Tranche D, Term Loan		7.732%		1/30/19		Caa1		645,138
	800	Lions Gate Entertainment Corporation, Term Loan B		3.982%		12/08/23		Ba2		805,396
	42	Nexstar Broadcasting Group, Term Loan B, First Lien		3.943%		1/17/24		BB+		42,463
	435	Nexstar Broadcasting Group, Term Loan B, First Lien		3.943%		1/17/24		BB+		437,992
	500	Virgin Media Investment Holdings, Limited Term Loan I		3.662%		1/31/25		BB–		501,875
	542	Springer Science & Business Media, Inc., Term Loan B9, First Lien		4.500%		8/14/20		B		542,882
	1,500	Univision Communications, Inc., Term Loan C5		3.750%		3/15/24		BB–		1,491,400
	6,824	Total Media								6,542,468
		Multiline Retail – 0.6%
	431	Bass Pro Group LLC, Term Loan B, First Lien		4.104%		6/05/20		B+		424,680
	740	Dollar Tree, Inc., Term Loan B2		4.250%		7/06/22		BBB–		749,935
	1,171	Total Multiline Retail								1,174,615
		Oil, Gas & Consumable Fuels – 0.4%
	208	Fieldwood Energy LLC, Term Loan, First Lien		8.000%		8/31/20		B2		196,856
	134	Fieldwood Energy LLC, Term Loan, Second Lien		8.375%		9/30/20		CCC–		98,105
	358	Fieldwood Energy LLC, Term Loan, Second Lien		8.375%		9/30/20		B–		311,491
	189	Harvey Gulf International Marine, Inc., Term Loan B		5.637%		6/18/20		CCC+		135,850
	8	Southcross Holdings Borrower L.P., Term Loan B, First Lien		3.500%		4/13/23		CCC+		7,657
	897	Total Oil, Gas & Consumable Fuels								749,959

6 NUVEEN

Principal Amount (000)		Description (1)	Coupon (8)		Maturity (9)		Ratings (7)		Value
		Personal Products – 0.4%
$	740	Coty, Inc., Term Loan A, (WI/DD)		TBD		TBD		BBB–	$	738,409
		Pharmaceuticals – 0.4%
	750	Grifols, Inc., Term Loan B		3.194%		1/31/25		BB		752,747
	63	Valeant Pharmaceuticals International, Inc., Series F3, Tranche B, Term Loan		5.717%		4/01/22		BB–		63,242
	813	Total Pharmaceuticals								815,989
		Professional Services – 0.2%
	399	Nielsen Finance LLC, Term Loan B3, First Lien		3.354%		10/04/23		BBB–		402,436
		Software – 1.9%
	468	BMC Software, Inc., Initial Term Loan		5.000%		9/10/20		B+		468,643
	770	Ellucian, Term Loan B, First Lien		4.397%		9/30/22		B		771,486
	615	Infor (US), Inc., Term Loan B		3.897%		2/01/22		B1		615,320
	662	SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Refinancing Term Loan B1		3.232%		7/08/22		BB+		666,670
	57	SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Refinancing Term Loan B2		3.232%		7/08/22		BB+		56,990
	817	Tibco Software, Inc., Term Loan B		5.500%		12/04/20		B1		826,263
	3,389	Total Software								3,405,372
		Specialty Retail – 0.6%
	558	Burlington Coat Factory Warehouse Corporation, Term Loan B4		3.700%		8/13/21		BB+		560,894
	492	Petco Animal Supplies, Inc., Term Loan B1		4.287%		1/26/23		B1		464,863
	82	Petsmart Inc., Term Loan B, First Lien		4.020%		3/11/22		BB–		78,178
	1,132	Total Specialty Retail								1,103,935
		Technology Hardware, Storage & Peripherals – 1.2%
	816	Dell International LLC, New Term Loan B		3.490%		9/07/23		Baa3		820,939
	500	Western Digital, Inc., Term Loan B1, (WI/DD)		TBD		TBD		BBB–		503,944
	794	Western Digital, Inc., Term Loan B		3.732%		4/29/23		BBB–		800,585
	2,110	Total Technology Hardware, Storage & Peripherals								2,125,468
		Trading Companies & Distributors – 0.5%
	886	Avolon, Term Loan B2		3.728%		3/21/22		BBB–		899,413
		Wireless Telecommunication Services – 0.4%
	750	Sprint Corporation, Term Loan, First Lien		3.500%		1/31/24		Ba2		751,094
$	48,654	Total Variable Rate Senior Loan Interests (cost $48,443,532)								48,194,365
Principal Amount (000)		Description (1)	Coupon		Maturity		Ratings (7)		Value
		CORPORATE BONDS – 0.5% (0.3% of Total Investments)
		Banks – 0.4%
$	25	Bank of America Corporation		6.300%		N/A (10)		BB+	$	27,188
	150	JPMorgan Chase & Company		6.750%		N/A (10)		BBB–		165,375
	525	M&T Bank Corporation		6.450%		N/A (10)		Baa2		570,937
	700	Total Banks								763,500
		Media – 0.1%
	133	iHeartCommunications, Inc.		9.000%		12/15/19		Caa1		113,050
$	833	Total Corporate Bonds (cost $831,249)								876,550

NUVEEN 7

JTA	Nuveen Tax-Advantaged Total Return Strategy Fund
	Portfolio of Investments (continued)	March 31, 2017 (Unaudited)

Principal Amount (000)		Description (1)	Coupon		Maturity		Ratings (7)		Value
		$1,000 PAR (OR SIMILAR) INSTITUTIONAL PREFERRED – 5.5% (3.8% of Total Investments)
		Banks – 3.9%
$	1,151	Bank of America Corporation		6.500%		N/A (10)		BB+	$	1,256,029
	450	Citigroup Inc.		5.800%		N/A (10)		BB+		463,500
	325	Citigroup Inc.		6.250%		N/A (10)		BB+		350,594
	1,938	Citigroup Inc.		5.950%		N/A (10)		BB+		2,014,309
	200	Citizens Financial Group Inc.		5.500%		N/A (10)		BB+		205,250
	50	Cobank Agricultural Credit Bank		6.250%		N/A (10)		BBB+		54,320
	740	General Electric Capital Corporation		5.000%		N/A (10)		A		779,775
	200	JPMorgan Chase & Company		7.900%		N/A (10)		BBB–		207,250
	250	JPMorgan Chase & Company		6.100%		N/A (10)		BBB–		264,187
	550	PNC Financial Services Inc.		6.750%		N/A (10)		Baa2		614,969
	300	SunTrust Bank Inc.		5.625%		N/A (10)		Baa3		313,500
	300	Wells Fargo & Company		5.875%		N/A (10)		BBB		323,383
	225	Zions Bancorporation		7.200%		N/A (10)		BB–		242,719
	6,679	Total Banks								7,089,785
		Capital Markets – 0.2%
	200	Goldman Sachs Group Inc.		5.300%		N/A (10)		Ba1		203,750
	100	Morgan Stanley		5.550%		N/A (10)		Ba1		102,880
	300	Total Capital Markets								306,630
		Consumer Finance – 0.2%
	400	Capital One Financial Corporation		5.550%		N/A (10)		Baa3		415,000
		Food Products – 1.2%
	750	Land O’ Lakes Incorporated, 144A		8.000%		N/A (10)		BB		800,625
	1,371	Land O’ Lakes Incorporated, 144A		8.000%		N/A (10)		BB		1,463,542
	2,121	Total Food Products								2,264,167
$	9,500	Total $1,000 Par (or similar) Institutional Preferred (cost $9,488,185)								10,075,582
		Total Long-Term Investments (cost $229,264,419)								257,045,306
Principal Amount (000)		Description (1)	Coupon		Maturity				Value
		SHORT-TERM INVESTMENTS – 4.7% (3.2% of Total Investments)
		REPURCHASE AGREEMENTS – 4.7% (3.2% of Total Investments)
$	3,734	Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/17, repurchase price $3,734,478, collateralized by $3,535,000 U.S. Treasury Bonds, 3.375%, due 5/15/44, value $3,811,052		0.090%		4/03/17			$	3,734,450
	4,809	Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/17, repurchase price $4,808,825, collateralized by $4,805,000 U.S. Treasury Bonds, 3.125%, due 8/15/44, value $4,908,846		0.090%		4/03/17				4,808,789
$	8,543	Total Short-Term Investments (cost $8,543,239)								8,543,239
		Total Investments (cost $237,807,658) – 144.8%								265,588,545
		Borrowings – (41.9)% (11), (12)								(76,800,000	)
		Other Assets Less Liabilities – (2.9)% (13)								(5,333,647	)
		Net Assets Applicable to Common Shares – 100%							$	183,454,898

8 NUVEEN

Investments in Derivatives as of March 31, 2017

Interest Rate Swaps (OTC Uncleared)

Counterparty	Notional Amount		Fund Pay/Receive Floating Rate		Floating Rate Index		Fixed Rate (Annualized)			Fixed Rate Payment Frequency		Effective Date (14)		Optional Termination Date		Termination Date		Value			Unrealized Appreciation (Depreciation)
JPMorgan Chase Bank, N.A.	$	18,475,000		Receive		1-Month USD-LIBOR-ICE		1.462	%		Monthly		7/03/17		12/01/18		12/01/20	$	(35,408	)	$	(280,253	)
JPMorgan Chase Bank, N.A.		18,475,000		Receive		1-Month USD-LIBOR-ICE		1.842			Monthly		7/03/17		12/01/20		12/01/22		(119,996	)		(476,169	)
	$	36,950,000																$	(155,404	)	$	(756,422	)

Fair Value Measurements

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

Level 1 –	Inputs are unadjusted and prices are determined using quoted prices in active markets for identical securities.
Level 2 –	Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 –	Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments).

The inputs or methodologies used for valuing securities are not an indication of the risks associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of the end of the reporting period:

	Level 1		Level 2			Level 3			Total
Long-Term Investments:
Common Stocks	$	117,738,655	$	59,738,028		$	—	*	$	177,476,683
Convertible Preferred Securities		4,249,254		2,642,353			—			6,891,607
$25 Par (or similar) Retail Preferred		12,104,461		1,426,058			—			13,530,519
Variable Rate Senior Loan Interests		—		48,194,365			—			48,194,365
Corporate bonds		—		876,550			—			876,550
$1,000 Par (or similar) Institutional Preferred		—		10,075,582			—			10,075,582
Short-Term Investments:
Repurchase Agreements		—		8,543,239			—			8,543,239
Investments in Derivatives:
Interest Rate Swaps**		—		(756,422	)		—			(756,422	)
Total	$	134,092,370	$	130,739,753		$	—		$	264,832,123

* Value equals zero as of the end of the reporting period.

** Represents net unrealized appreciation (depreciation).

The table below presents the transfers in and out of the three valuation levels for the Fund as of the end of the reporting period when compared to the valuation levels at the end of the previous fiscal year. Changes in valuation inputs or methodologies may result in transfers into or out of an assigned level within the fair value hierarchy. Transfers in or out of levels are generally due to the availability of publicly available information and to the significance or extent the Adviser determines that the valuation inputs or methodologies may impact the valuation of those securities.

	Level 1				Level 2					Level 3
	Transfers In		(Transfers Out)		Transfers In		(Transfers Out)			Transfers In		(Transfers Out)
Common Stocks	$	2,589,424	$	—	$	—	$	(2,589,424	)	$	—	$	—

NUVEEN 9

JTA	Nuveen Tax-Advantaged Total Return Strategy Fund
	Portfolio of Investments (continued)	March 31, 2017 (Unaudited)

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 recognition of premium amortization 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.

As of March 31, 2017, the cost of investments (excluding investments in derivatives) was $239,527,054.

Gross unrealized appreciation and gross unrealized depreciation of investments (excluding investments in derivatives) as of March 31, 2017, were as follows:

Gross unrealized:
Appreciation	$	33,873,222
Depreciation		(7,811,731	)
Net unrealized appreciation (depreciation) of investments	$	26,061,491

For Fund portfolio compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications into sectors for reporting ease.

(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to common shares unless otherwise noted.

(2) For fair value measurement disclosure purposes, investment classified as Level 2.

(3) Non-income producing; issuer has not declared a dividend within the past twelve months.

(4) Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in derivatives.

(5) Investment, or portion of investment, is hypothecated. The total value of investments hypothecated as of the end of the reporting period was $39,078,780.

(6) Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board. For fair value measurement disclosure purposes, investment classified as Level 3.

(7) For financial reporting purposes, the ratings disclosed are the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.

(8) Senior loans generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a borrower to prepay, prepayments of senior loans may occur. As a result, the actual remaining maturity of senior loans held may be substantially less than the stated maturities shown.

(9) Senior loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate plus an assigned fixed rate. These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate (“LIBOR”), or (ii) the prime rate offered by one or more major United States banks. Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan.

(10) Perpetual security. Maturity date is not applicable.

(11) Borrowings as a percentage of Total Investments is 28.9%.

(12) The Fund may pledge up to 100% of its eligible investments (excluding any investments separately pledged as collateral for specific investments in derivatives) in the Portfolio of Investments as collateral for Borrowings. As of the end of the reporting period, investments with a value of $177,298,530 have been pledged as collateral for Borrowings.

(13) Other assets less liabilities includes the unrealized appreciation (depreciation) of certain over-the-counter (“OTC”) derivatives as well as the OTC cleared and exchange-traded derivatives, when applicable.

(14) Effective date represents the date on which both the Fund and counterparty commence interest payment accruals on each contract.

(15) As of, or subsequent to, the end of the reporting period, this security is non-income producing. Non-income producing, in the case of a fixed-income security, generally denotes that the issuer has (1) defaulted on the payment of principal or interest, (2) is under the protection of the Federal Bankruptcy Court or (3) the Fund’s Adviser has concluded that the issue is not likely to meet its future interest payment obligations and has ceased accruing additional income on the Fund’s records.

(DD1) Portion of investment purchased on a delayed delivery basis.

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

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.

ADR American Depositary Receipt

TBD Senior Loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, Senior Loans typically trade without accrued interest and therefore a weighted average coupon rate is not available prior to settlement. At settlement, if still unknown, the Borrower or counterparty will provide the Fund with the final weighted average coupon rate and maturity date.

USD-LIBOR-ICE United States Dollar – London Inter-Bank Offered Rate – Intercontinental Exchange

10 NUVEEN

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 Rule 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: 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 Tax-Advantaged Total Return Strategy Fund
By (Signature and Title)	/s/ Gifford R. Zimmerman
	Gifford R. Zimmerman
	Vice President and Secretary

Date: May 30, 2017

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/ Cedric H. Antosiewicz
	Cedric H. Antosiewicz
	Chief Administrative Officer (principal executive officer)
Date: May 30, 2017
By (Signature and Title)	/s/ Stephen D. Foy
	Stephen D. Foy
	Vice President and Controller (principal financial officer)
Date: May 30, 2017