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)

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:        12/31      

Date of reporting period:    9/30/2009   

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

Nuveen Tax-Advantaged Total Return Strategy Fund (JTA)
September 30, 2009

Shares				Description (1)								Value
				Common Stocks – 87.5% (67.6% of Total Investments)
				Aerospace & Defense – 6.7%
	62,200			Lockheed Martin Corporation								$	4,856,576
	117,300			Raytheon Company									5,626,881
				Total Aerospace & Defense									10,483,457
				Commercial Banks – 2.5%
	155,000			Banco Santander Central S.A.									2,503,250
	52,900			Wells Fargo & Company									1,490,722
				Total Commercial Banks									3,993,972
				Commercial Services & Supplies – 4.6%
	290,300			Pitney Bowes Inc.									7,213,954
				Containers & Packaging – 2.6%
	201,800			Packaging Corp. of America									4,116,720
				Diversified Financial Services – 1.0%
	34,200			JPMorgan Chase & Co.									1,498,644
				Diversified Telecommunication Services – 5.2%
	105,500			AT&T Inc.									2,849,555
	209,000			Frontier Communications Corporation									1,575,860
	121,300			Verizon Communications Inc.									3,671,751
				Total Diversified Telecommunication Services									8,097,166
				Electric Utilities – 1.8%
	60,400			EDP – Energias de Portugal, S.A., Sponsored ADR,(7)									2,763,391
				Food & Staples Retailing – 1.8%
	139,000			Kroger Co.									2,868,960
				Food Products – 1.8%
	105,006			Kraft Foods Inc.									2,758,508
				Household Products – 2.0%
	52,700			Kimberly-Clark Corporation									3,108,246
				Industrial Conglomerates – 1.8%
	175,000			General Electric Company									2,873,500
				Insurance – 12.6%
	190,700			Hartford Financial Services Group, Inc.									5,053,550
	72,500			Loews Corporation									2,483,125
	122,900			MetLife, Inc.									4,678,803
	38,800			Reinsurance Group of America Inc.									1,730,480
	119,300			Travelers Companies, Inc.									5,873,139
				Total Insurance									19,819,097
				Machinery – 3.9%
	75,000			Caterpillar Inc.									3,849,750
	75,000			Ingersoll Rand Company Limited, Class A									2,300,250
				Total Machinery									6,150,000
				Media – 2.7%
	260,300			Comcast Corporation, Special Class A									4,185,624
				Metals & Mining – 4.2%
	136,000			Barrick Gold Corporation									5,154,400
	14,700			POSCO, ADR									1,527,918
				Total Metals & Mining									6,682,318
				Oil, Gas & Consumable Fuels – 9.9%
	100,500			ConocoPhillips									4,538,580
	87,000			Eni S.p.A., Sponsored ADR									4,336,950
	28,000			Exxon Mobil Corporation									1,921,080
	81,600			Total S.A., Sponsored ADR									4,835,616
				Total Oil, Gas & Consumable Fuels									15,632,226
				Pharmaceuticals – 11.7%
	94,500			GlaxoSmithKline PLC, ADR									3,733,695
	137,500			Merck & Co. Inc.									4,349,125
	224,300			Pfizer Inc.									3,712,165
	180,000			Sanofi-Aventis, ADR									6,651,000
				Total Pharmaceuticals									18,445,985
				Road & Rail – 1.7%
	46,000			Union Pacific Corporation									2,684,100
				Software – 5.2%
	217,500			CA Inc.									4,782,825
	132,100			Microsoft Corporation									3,420,069
				Total Software									8,202,894
				Tobacco – 3.8%
	19,300			Lorillard Inc.									1,433,990
	91,900			Philip Morris International									4,479,206
				Total Tobacco									5,913,196
				Total Common Stocks (cost $132,287,883)									137,491,958

Shares

Description (1)

Coupon

Ratings (2)

Value

Convertible Preferred Securities – 0.3% (0.2% of Total Investments)

Commercial Banks – 0.3%

500

Wells Fargo & Company, Convertible Bond

7.500%

A-

$

446,500

Total Convertible Preferred Securities (cost $421,350)

446,500

Shares				Description (1)				Coupon		Ratings (2)		Value
				$25 Par (or similar) Preferred Securities – 6.2% (4.8% of Total Investments)
				Capital Markets – 0.8%
	20,600			Credit Suisse				7.900%		Aa3		$	516,030
	24,750			Deutsche Bank Capital Funding Trust V				8.050%		Aa3			609,840
	5,250			Deutsche Bank Contingent Capital Trust III				7.600%		Aa3			122,220
				Total Capital Markets									1,248,090
				Commercial Banks – 1.2%
	24,000			Banco Santander Finance				10.500%		A2			649,920
	5,000			Barclays Bank PLC				8.125%		BBB+			122,000
	25,000			Barclays Bank PLC				6.625%		BBB+			507,500
	22,500			PNC Financial Services, Series F				0.340%		A3			624,825
				Total Commercial Banks									1,904,245
				Consumer Finance – 0.4%
	5,000			HSBC Finance Corporation				6.360%		BBB			103,600
	25,000			HSBC USA Inc.				6.500%		A-			555,000
				Total Consumer Finance									658,600
				Electric Utilities – 1.7%
	27,400			Georgia Power Company				6.125%		N/R			672,670
	5,000			Gulf Power Company				6.450%		BBB+			489,056
	19,100			Mississippi Power Company				5.250%		A3			431,469
	25,000			PPL Electric Utilities Corporation				6.250%		BBB			586,720
	5,000			Southern California Edison Company				6.125%		Baa2			420,937
				Total Electric Utilities									2,600,852
				Insurance – 1.8%
	29,326			Aegon N.V.				6.375%		BBB			489,158
	22,800			Arch Capital Group Limited				8.000%		BBB-			558,600
	25,000			Endurance Specialty Holdings Limited				7.750%		BBB-			556,000
	25,000			MetLife Inc., Series B				6.500%		Baa1			593,250
	28,500			Prudential PLC				6.750%		A-			674,880
				Total Insurance									2,871,888
				Multi-Utilities – 0.3%
	5,400			Consolidated Edison Company of New York Inc.				5.000%		BBB			477,360
				Thrifts & Mortgage Finance – 0.0%
	650			Sovereign Bancorp Inc.				7.300%		BBB+			15,600
				Total $25 Par (or similar) Preferred Securities (cost $10,314,869)									9,776,635

						Weighted
Principal						Average
Amount (000)				Description (1)		Coupon		Maturity (4)		Ratings (2)		Value
				Variable Rate Senior Loan Interests – 31.4% (24.3% of Total Investments) (3)
				Chemicals – 1.1%
$	853			Ashland, Inc., Term Loan B		6.650%		5/13/14		BB+		$	873,409
	901			Rockwood Specialties Group, Inc., Term Loan H		6.000%		7/30/12		Ba2			912,248
	1,754			Total Chemicals									1,785,657
				Containers & Packaging – 1.2%
	169			Graham Packaging Company, L.P., Term Loan B		2.554%		10/07/11		B+			165,795
	1,694			Graham Packaging Company, L.P., Term Loan C		6.750%		4/05/14		B+			1,697,616
	1,863			Total Containers & Packaging									1,863,411
				Diversified Telecommunication Services – 1.2%
	333			Intelsat, Tranche B, Term Loan A		2.753%		1/03/14		BB-			317,114
	332			Intelsat, Tranche B, Term Loan B		2.753%		1/03/14		BB-			317,017
	332			Intelsat, Tranche B, Term Loan C		2.753%		1/03/14		BB-			317,017
	948			MetroPCS Wireless, Inc., Term Loan		2.661%		11/03/13		Ba2			906,949
	1,945			Total Diversified Telecommunication Services									1,858,097
				Electric Utilities – 2.2%
	1,702			Dynegy Holdings, Inc., Delayed Term Loan		4.000%		4/02/13		Ba2			1,643,086
	292			Dynegy Holdings, Inc., Term Loan		4.000%		4/02/13		Ba2			281,789
	1,960			TXU Corporation, Term Loan B2		3.754%		10/10/14		B+			1,556,730
	3,954			Total Electric Utilities									3,481,605
				Electrical Equipment – 0.9%
	1,383			Sensus Metering Systems, Inc., Term Loan B1		7.000%		6/03/13		BB			1,387,793
				Health Care Equipment & Supplies – 1.8%
	1,990			Biomet, Inc., Term Loan		3.282%		3/25/15		BB-			1,922,483
	995			Renal Advantage, Inc., Term Loan		2.790%		10/06/12		N/R			947,312
	2,985			Total Health Care Equipment & Supplies									2,869,795
				Health Care Providers & Services – 4.7%
	97			Community Health Systems, Inc., Delayed Term Loan		2.496%		7/25/14		BB			91,424
	1,903			Community Health Systems, Inc., Term Loan		2.611%		7/25/14		BB			1,792,076
	2,882			HCA, Inc., Term Loan, DD1		2.533%		11/18/13		BB			2,724,445
	458			IASIS Healthcare LLC, Delayed Term Loan		2.246%		3/14/14		Ba2			433,128
	124			IASIS Healthcare LLC, Letter of Credit		0.146%		3/14/14		Ba2			116,963
	1,324			IASIS Healthcare LLC, Term Loan		2.246%		3/14/14		Ba2			1,251,575
	963			Quintiles Transnational Corporation, Term Loan B		2.283%		3/29/13		BB			915,657
	7,751			Total Health Care Providers & Services									7,325,268
				Hotels, Restaurants & Leisure – 3.5%
	1,930			24 Hour Fitness Worldwide, Inc., Term Loan B		2.921%		6/08/12		Ba3			1,775,600
	727			CBRL Group, Inc., Term Loan B1		1.974%		4/27/13		BB-			704,464
	27			CBRL Group, Inc., Term Loan B2		1.954%		4/26/13		BB-			26,630
	89			Travelport LLC, Letter of Credit		2.783%		8/23/13		Ba2			83,274
	445			Travelport LLC, Term Loan		2.759%		8/23/13		Ba2			415,019
	593			Venetian Casino Resort LLC, Delayed Term Loan		2.040%		5/23/14		B-			496,737
	2,346			Venetian Casino Resort LLC, Term Loan		2.040%		5/23/14		B-			1,966,828
	6,157			Total Hotels, Restaurants & Leisure									5,468,552
				Insurance – 0.3%
	651			Conseco, Inc., Term Loan		6.500%		10/10/13		Caa1			514,258
				IT Services – 2.3%
	1,960			First Data Corporation, Term Loan B1		2.999%		9/24/14		B+			1,694,855
	2,001			SunGard Data Systems, Inc., Term Loan B		2.004%		2/28/14		BB			1,886,057
	3,961			Total IT Services									3,580,912
				Machinery – 0.6%
	990			Manitowoc Company, Term Loan		7.500%		11/06/14		BB			949,175
				Media – 6.2%
	1,965			CanWest Mediaworks LP, Term Loan		4.250%		7/10/15		Caa3			1,075,837
	2,162			Charter Communications Operating Holdings LLC, Term Loan, (5)		6.250%		3/06/14		Ba2			2,070,086
	1,903			Idearc, Inc., Term Loan, (5), (6)		4.250%		11/17/14		D			815,526
	1,500			Mediacom Broadband LLC, Tranche D Term Loan		5.500%		3/31/17		BB-			1,506,095
	963			Metro-Goldwyn-Mayer Studios, Inc., Term Loan B		5.500%		4/08/12		N/R			549,185
	295			Nielsen Finance LLC, Term Loan A		2.249%		8/09/13		Ba3			276,143
	614			Nielsen Finance LLC, Term Loan B		3.999%		5/02/16		Ba3			581,423
	1,975			Tribune Company, Term Loan B, (5), (6)		5.250%		6/04/14		Ca			993,056
	341			Tribune Company, Term Loan X, (5), (6)		5.000%		6/04/09		Ca			168,391
	2,000			Univision Communications, Inc., Term Loan		2.533%		9/29/14		B2			1,698,750
	13,718			Total Media									9,734,492
				Metals & Mining – 1.4%
	1,004			Amsted Industries, Inc., Delayed Term Loan		2.480%		4/05/13		BB			945,226
	1,383			Amsted Industries, Inc., Term Loan		2.484%		4/05/13		BB			1,302,085
	2,387			Total Metals & Mining									2,247,311
				Pharmaceuticals – 1.3%
	2,128			Mylan Laboratories, Inc., Term Loan		3.550%		10/02/14		BB+			2,077,008
				Real Estate Management & Development – 0.6%
	1,184			LNR Property Corporation, Term Loan B		3.760%		7/12/11		B-			871,452
				Road & Rail – 1.0%
	1,764			Swift Transportation Company, Inc., Term Loan		3.563%		5/10/14		B-			1,612,178
				Trading Companies & Distributors – 1.1%
	902			Ashtead Group Public Limited Company, Term Loan		2.063%		8/31/11		BB+			856,900
	192			Brenntag Holdings GmbH & Co. KG, Acquisition Facility		2.287%		1/20/14		B+			183,744
	786			Brenntag Holdings GmbH & Co. KG, Facility B2		2.253%		1/20/14		B+			752,546
	1,880			Total Trading Companies & Distributors									1,793,190
$	56,455			Total Variable Rate Senior Loan Interests (cost $55,684,207)									49,420,154

Principal

Amount (000)/

Shares

Description (1)

Coupon

Maturity

Ratings (2)

Value

Capital Preferred Securities – 0.5% (0.3% of Total Investments)

Commercial Banks – 0.2%

250

Wells Fargo & Company, Series K

7.980%

9/15/99

A-

$

228,750

Diversified Financial Services – 0.3%

500

JP Morgan Chase & Company

7.900%

4/30/49

A2

481,549

Total Capital Preferred Securities (cost $687,532)

710,299

Principal
Amount (000)				Description (1)		Coupon		Maturity		Ratings (2)		Value
				Short-Term Investments – 3.6% (2.8% of Total Investments)
				U.S. Government and Agency Obligations – 1.0%
$	1,600			U.S. Treasury Notes		3.125%		11/30/09		AAA		$	1,608,251
				Repurchase Agreements – 2.6%
	4,108			Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/09, repurchase price $4,108,361, collateralized by $4,065,000 U.S. Treasury Notes, 3.625%, due 8/15/19, value $4,192,031		0.010%		10/01/09		N/A			4,108,360
				Total Short-Term Investments (cost $5,715,818)									5,716,611
				Total Investments (cost $205,111,659) – 129.5%									203,562,157
				Borrowings – (28.2)% (8), (9)									(44,350,000	)
				Other Assets Less Liabilities – (1.3)%									(2,069,859	)
				Net Assets Applicable to Common Shares – 100%								$	157,142,298

In determining the value of the Fund’s investments various inputs are used. These inputs are summarized in the three broad levels listed below:

Level 1 – Quoted prices in active markets for identical securities.

Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3 – Significant unobservable inputs (including management’s assumptions in determining the fair value of investments).

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

The following is a summary of the Fund’s fair value measurements as of September 30, 2009:

		Level 1				Level 2				Level 3				Total
Investments:
Common Stocks*		$	134,728,567			$	2,763,391			$	–			$	137,491,958
Preferred Securities**			8,726,422				2,207,012				–				10,933,434
Variable Rate Senior Loan Interests			–				49,420,154				–				49,420,154
Short-Term Investments			5,716,611				–				–				5,716,611
Total		$	149,171,600			$	54,390,557			$	–			$	203,562,157

*		Refer to the fund’s Portfolio of Investments for industry breakdown of Common Stocks classified as Level 2.
**		Preferred Securities includes Convertible Preferred Securities, $25 Par (or similar) Preferred Securities and Capital Preferred Securities held by the Fund at the end of the reporting period, if any.

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, 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.

At September 30, 2009, the cost of investments was $207,629,170.

Gross unrealized appreciation and gross unrealized depreciation of investments at September 30, 2009, were as follows:

Gross unrealized:
Appreciation		$	23,194,473
Depreciation			(27,261,486	)
Net unrealized appreciation (depreciation) of investments		$	(4,067,013	)

(1)		All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted.
(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)		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.
(4)		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.
(5)		At or subsequent to September 30, 2009, this issue was under the protection of the Federal Bankruptcy Court.
(6)		Non-income producing; denotes that the issuer has defaulted on the payment of principal or interest or has filed for bankruptcy.
(7)		For fair value measurement disclosure purposes, Common Stock categorized as Level 2.
(8)		Borrowings as a percentage of Total Investments is 21.8%.
(9)		The Fund may pledge up to 100% of its eligible investments in the Portfolio of Investments as collateral for Borrowings. As of September 30, 2009, investments with a value of $123,435,066 have been pledged as collateral for Borrowings.
N/A		Not applicable.
N/R		Not rated.
ADR		American Depositary Receipt.
DD1		Investment, or portion of investment, purchased on a delayed delivery basis.

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     

Date November 27, 2009

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.

Date November 27, 2009

Date November 27, 2009