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)

Jessica R. Droeger—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:    9/30/2006   

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, 2006

Shares				Description (1)								Value
				Common Stocks – 100.7% (68.3% of Total Investments)
				Aerospace & Defense – 6.9%
	140,000			Lockheed Martin Corporation								$	12,048,400
	235,000			Raytheon Company									11,282,350
				Total Aerospace & Defense									23,330,750
				Capital Markets – 2.9%
	205,000			JPMorgan Chase & Co.									9,626,800
				Commercial Banks – 5.1%
	155,500			Wachovia Corporation									8,676,900
	240,000			Wells Fargo & Company									8,683,200
				Total Commercial Banks									17,360,100
				Commercial Services & Supplies – 3.9%
	296,600			Pitney Bowes Inc.									13,160,142
				Containers & Packaging – 2.1%
	300,000			Packaging Corp. of America									6,960,000
				Diversified Financial Services – 4.0%
	275,000			Citigroup Inc.									13,659,250
				Diversified Telecommunication Services – 10.9%
	385,000			AT&T Inc.									12,535,600
	343,000			KT Corporation, Sponsored ADR									7,364,210
	235,000			Telecom Italia S.p.A., Sponsored ADR									5,635,300
	301,500			Verizon Communications Inc.									11,194,695
				Total Diversified Telecommunication Services									36,729,805
				Electric Utilities – 4.3%
	187,100			EDP – Energias de Portugal, S.A., Sponsored ADR									8,077,107
	323,000			Korea Electric Power Corporation, Sponsored ADR									6,314,650
				Total Electric Utilities									14,391,757
				Household Durables – 2.6%
	307,000			Newell Rubbermaid Inc.									8,694,240
				Household Products – 3.1%
	160,000			Kimberly-Clark Corporation									10,457,600
				Insurance – 7.7%
	289,400			Aon Corporation									9,801,978
	187,200			Hartford Financial Services Group, Inc.									16,239,600
				Total Insurance									26,041,578
				Media – 4.6%
	200,000			CBS Corporation, Class B									5,634,000
	339,000			Clear Channel Communications, Inc.									9,780,150
				Total Media									15,414,150
				Metals & Mining – 4.9%
	236,900			Alumina Limited, Sponsored ADR									4,332,901
	90,000			POSCO, ADR									5,843,700
	33,500			Rio Tinto PLC, Sponsored ADR									6,352,605
				Total Metals & Mining									16,529,206
				Multi-Utilities – 3.9%
	110,000			Dominion Resources, Inc.									8,413,900
	180,000			United Utilities PLC, Sponsored ADR									4,766,400
				Total Multi-Utilities									13,180,300
				Oil, Gas & Consumable Fuels – 8.0%
	80,000			ChevronTexaco Corporation									5,188,800
	113,400			ConocoPhillips									6,750,702
	132,500			Eni S.p.A., Sponsored ADR									7,885,075
	110,000			Total SA, Sponsored ADR									7,253,400
				Total Oil, Gas & Consumable Fuels									27,077,977
				Paper & Forest Products – 3.5%
	220,000			International Paper Company									7,618,600
	270,200			Stora Enso Oyj, Sponsored ADR									4,085,424
				Total Paper & Forest Products									11,704,024
				Pharmaceuticals – 1.6%
	198,000			Pfizer Inc.									5,615,280
				Road & Rail – 2.3%
	90,000			Union Pacific Corporation									7,920,000
				Thrifts & Mortgage Finance – 8.3%
	260,000			Federal National Mortgage Association									14,536,600
	330,000			IndyMac Bancorp, Inc.									13,582,800
				Total Thrifts & Mortgage Finance									28,119,400
				Tobacco – 8.0%
	235,000			Altria Group, Inc.									17,989,250
	159,900			Loews Corp – Carolina Group									8,856,861
				Total Tobacco									26,846,111
				Wireless Telecommunication Services – 2.1%
	308,000			Vodafone Group PLC									7,040,880
				Total Common Stocks (cost $275,990,217)									339,859,350

Shares				Description (1)		Coupon				Ratings (2)		Value
				$25 Par (or similar) Preferred Securities – 11.2% (7.6% of Total Investments)
				Capital Markets – 0.9%
	25,000			Goldman Sachs Group Inc., Series D, (6)		6.080%				A2		$	652,345
	20,000			Goldman Sachs Group Inc., (6)		6.200%				A2			518,000
	77,700			Lehman Brothers Holdings Inc., Series F, (6)		6.500%				A-			2,003,106
				Total Capital Markets									3,173,451
				Commercial Banks – 3.2%
	23,500			Abbey National PLC, Series B		7.375%				A			616,640
	41,100			Abbey National PLC, Series C		7.375%				A2			1,048,050
	40,000			ABN AMRO Capital Trust Fund VII		6.080%				A			980,800
	25,000			Banco Santander		6.410%				A2			640,000
	50,000			Bank of America Corporation, Series D		6.204%				A1			1,276,000
	50,000			HSBC USA Inc., Series G		6.270%				A2			1,284,750
	50,000			HSBC USA Inc., (6)		6.500%				A			1,284,375
	40,000			Royal Bank of Scotland Group PLC, Series M		6.400%				A1			1,016,800
	40,000			Royal Bank of Scotland Group PLC, Series N		6.350%				A1			1,012,000
	20,000			SunTrust Bank Inc.		5.920%				A2			515,000
	40,000			U.S. Bancorp, Series B		5.967%				A1			1,028,752
				Total Commercial Banks									10,703,167
				Consumer Finance – 0.6%
	35,600			SLM Corporation, Series A, (6)		6.970%				BBB+			1,888,936
				Diversified Financial Services – 1.2%
	10,000			CIT Group Inc., Series A, (6)		6.350%				BBB+			258,100
	19,500			Citigroup Inc., Series F, (6)		6.365%				Aa3			990,600
	28,900			Citigroup Inc., Series H, (6)		6.231%				Aa3			1,502,800
	48,400			ING Group N.V.		7.200%				A			1,241,944
	5,000			ING Group N.V.		7.050%				A			126,900
				Total Diversified Financial Services									4,120,344
				Electric Utilities – 1.4%
	39,500			Alabama Power Company, Series A, (6)		5.300%				BBB+			989,278
	40,000			Georgia Power Company		6.125%				Baa1			1,020,000
	34,700			Interstate Power and Light Company, (6)		7.100%				Baa2			907,579
	40,000			Mississippi Power Company		5.250%				A3			924,200
	40,000			PPL Electric Utilities Corporation		6.250%				BBB			1,028,752
				Total Electric Utilities									4,869,809
				Insurance – 1.9%
	50,300			Ace Ltd., Series C		7.800%				Baa2			1,305,285
	71,900			Aegon N.V.		6.375%				A-			1,818,351
	20,000			Arch Capital Group Limited		8.000%				Baa3			532,000
	50,000			Endurance Specialty Holdings Limited		7.750%				Baa3			1,277,500
	30,000			Prudential PLC		6.750%				A			764,100
	30,000			Prudential PLC		6.500%				A-			759,600
				Total Insurance									6,456,836
				Thrifts & Mortgage Finance – 0.2%
	20,000			Washington Mutual Inc.		6.090%				BBB			502,600
				U.S. Agency – 1.8%
	20,000			Federal National Mortgage Association, (6)		5.500%				AA-			955,400
	19,800			Federal National Mortgage Association, (6)		5.125%				AA-			874,170
	25,000			Federal Home Loan Mortgage Corporation, (6)		6.420%				AA-			1,318,750
	18,400			Federal Home Loan Mortgage Corporation, (6)		6.000%				AA-			917,240
	20,000			Federal Home Loan Mortgage Corporation, (6)		5.700%				AA-			969,000
	26,900			Federal Home Loan Mortgage Corporation, (6)		5.000%				AA-			1,163,425
				Total U.S. Agency									6,197,985
				Total $25 Par (or similar) Preferred Securities (cost $38,080,494)									37,913,128

						Weighted
Principal						Average
Amount (000)				Description (1)		Coupon		Maturity (3)		Ratings (2)		Value
				Variable Rate Senior Loan Interests – 22.7% (15.4% of Total Investments) (4)
				Aerospace & Defense – 1.6%
$	1,636			Hexcel Corporation, Term Loan B		7.226%		3/01/12		BB-		$	1,640,229
	1,758			K&F Industries, Inc., Term Loan C		7.330%		11/18/12		B+			1,763,004
	1,609			Vought Aircraft Industries, Inc., Term Loan		7.880%		12/22/11		B+			1,622,991
	364			Vought Aircraft Industries, Inc., Tranche B, Letter of Credit		7.834%		12/22/10		B+			365,795
	5,367			Total Aerospace & Defense									5,392,019
				Auto Components – 0.6%
	2,000			Federal Mogul Corporation, Term Loan A, (5)		7.580%		2/24/04		N/R			1,933,333
				Building Products – 0.5%
	1,774			PP Holding Corporation, Term Loan		8.330%		11/12/11		B			1,785,609
				Chemicals – 1.8%
	2,000			Georgia Gulf Corporation, Term Loan B, WI/DD		TBD		TBD		BB			2,006,500
	2,000			Lyondell Citgo Refining LP, Term Loan, WI/DD		TBD		TBD		BB			2,008,750
	1,970			Rockwood Specialties Group, Inc., Term Loan E		7.485%		7/30/12		B+			1,980,589
	5,970			Total Chemicals									5,995,839
				Commercial Services & Supplies – 0.7%
	689			Allied Waste North America, Inc., Letter of Credit		7.084%		1/15/12		Ba3			687,034
	1,736			Allied Waste North America, Inc., Term Loan B		7.210%		1/15/12		Ba3			1,731,631
	2,425			Total Commercial Services & Supplies									2,418,665
				Containers & Packaging – 0.8%
	1,000			Berry Plastics Corporation		7.080%		8/31/13		B+			1,001,375
	175			Smurfit-Stone Container Corporation, Deposit-Funded Commitment		7.572%		11/01/11		B+			175,836
	833			Smurfit-Stone Container Corporation, Term Loan B		7.657%		11/01/11		B+			838,340
	423			Smurfit-Stone Container Corporation, Term Loan C		7.667%		11/01/11		B+			425,899
	133			Smurfit-Stone Container Corporation, Tranche C-1		7.625%		11/01/11		B+			133,649
	2,564			Total Containers & Packaging									2,575,099
				Diversified Consumer Services – 0.3%
	824			Alderwoods Group, Inc., Term Loan B-2		7.330%		9/29/09		BB			825,566
				Diversified Telecommunication Services – 1.2%
	2,000			Cebridge III LLC., Term Loan B		7.739%		11/01/14		B+			1,985,313
	2,000			Madison River Capital LLC, Term Loan		7.730%		7/29/12		B+			2,010,000
	4,000			Total Diversified Telecommunication Services									3,995,313
				Electric Utilities – 0.3%
	993			Mirant Corporation, Term Loan		7.074%		1/03/13		BB-			990,816
				Electrical Equipment – 0.5%
	1,583			Sensus Metering Systems Inc., Term Loan B-1		6.483%		12/17/10		B+			1,582,609
	210			Sensus Metering Systems Inc., Term Loan B-2		7.086%		12/17/10		B+			210,217
	1,793			Total Electrical Equipment									1,792,826
				Health Care Providers & Services – 1.4%
	1,780			Davita Inc., Term Loan B		7.529%		10/05/12		BB-			1,788,414
	1,955			IASIS Healthcare LLC, Term Loan B		7.729%		6/22/11		B+			1,968,033
	995			Quintiles Transnational Corporation, Term Loan B		7.370%		3/31/13		B1			994,845
	4,730			Total Health Care Providers & Services									4,751,292
				Hotels, Restaurants & Leisure – 3.2%
	1,990			24 Hour Fitness Worldwide, Inc., Term Loan B		8.055%		6/08/12		B			2,004,510
	122			Cracker Barrel Delayed Draw Term Loan B-2, (7) (8)		0.750%		4/28/13		BB			(916	)
	876			Cracker Barrel Term Loan B-1		6.959%		4/28/13		BB			873,430
	1,950			Jack in the Box Inc., Term Loan B		6.945%		1/08/11		BB			1,959,750
	1,980			Penn National Gaming, Inc., Term Loan B		7.194%		10/03/12		BB			1,989,962
	1,000			Pinnacle Entertainment Inc., Term Loan		7.330%		12/14/11		B1			1,002,709
	1,000			Sonic Corporation, Term Loan, WI/DD		TBD		TBD		BB-			1,006,042
	342			Venetian Casino Resort, LLC, Delayed Draw Term Loan		7.120%		6/15/11		BB-			342,521
	1,658			Venetian Casino Resort, LLC, Term Loan		7.120%		6/15/11		BB-			1,661,229
	10,918			Total Hotels, Restaurants & Leisure									10,839,237
				Household Products – 0.6%
	1,928			Solo Cup Company, Term Loan		8.750%		2/27/11		B			1,925,492
				Insurance – 0.3%
	1,180			Conseco, Inc., Term Loan		7.080%		6/22/10		BB-			1,180,731
				IT Services – 1.1%
	1,730			Fidelity National Information Services, Term Loan B		7.080%		3/09/13		BB+			1,734,715
	1,980			SunGard Data Systems Inc., Term Loan B		7.999%		2/11/13		B+			1,996,264
	3,710			Total IT Services									3,730,979
				Machinery – 0.3%
	760			Dresser-Rand Group, Inc., Term Loan		7.413%		10/29/07		BB-			765,060
				Media – 3.6%
	1,990			Cablevision Systems Corporation, Incremental Term Loan		7.183%		3/30/13		BB			1,984,003
	2,000			Charter Communications Inc., Term Loan B		8.125%		4/28/13		B			2,010,663
	1,995			Metro-Goldwyn-Mayer Studios, Inc., Term Loan B		8.617%		4/08/12		NA			1,978,167
	2,000			Neilsen Finance LLC, Term Loan B		8.190%		8/09/13		B+			1,995,556
	1,891			Regal Cinemas Corporation, Term Loan		7.117%		11/10/10		BB-			1,886,239
	2,186			WMG Acquisition Corp., Term Loan		7.389%		2/28/11		B+			2,196,156
	12,062			Total Media									12,050,784
				Metals & Mining – 0.4%
	1,032			Amsted Industries Incorporated, Delayed Draw Term Loan B, (7) (8)		0.500%		4/05/11		BB-			(14,187	)
	1,431			Amsted Industries Incorporated, Term Loan B		7.465%		4/05/13		BB-			1,431,271
				Total Metals & Mining									1,417,084
				Multi-Utilities – 0.6%
	371			NRG Energy Inc., Credit Linked Deposit		7.367%		2/01/13		BB-			372,928
	1,621			NRG Energy Inc., Term Loan		7.367%		2/01/13		BB-			1,628,920
	1,992			Total Multi-Utilities									2,001,848
				Paper & Forest Products – 0.6%
	1,985			Georgia-Pacific Corporation, Term Loan B		7.390%		12/20/12		BB-			1,991,134
				Real Estate Management & Development – 0.4%
	1,500			LNR Property Corporation, Term Loan B		8.220%		7/12/11		B2			1,511,438
				Specialty Retail – 0.4%
	1,500			Toys “R” Us, Inc., Term Loan, WI/DD		TBD		TBD		B			1,499,375
				Textiles, Apparel & Luxury Goods – 0.6%
	2,000			HanesBrands Inc., Loan		7.625%		8/15/13		BB-			2,015,208
				Trading Companies & Distributors – 0.9%
	1,000			Ashtead Group Public Limited Company, Term Loan B		1.750%		8/01/11		B3			1,000,000
	196			Brenntag Holdings, Acquisition Facility Term Loan		8.080%		1/20/14		B			199,309
	804			Brenntag Holdings, Term Loan B2		8.080%		1/20/14		B			810,669
	337			United Rentals Inc., Credit Linked Deposit		5.340%		2/13/11		BB-			337,985
	744			United Rentals Inc., Delayed Draw Term Loan B		7.330%		2/14/11		BB-			746,384
	3,081			Total Trading Companies & Distributors									3,094,347
$	77,519			Total Variable Rate Senior Loan Interests (cost $76,276,309)									76,479,094

Principal
Amount (000)				Description (1)		Coupon		Maturity		Ratings (2)		Value
				Corporate Bonds – 1.8% (1.2% of Total Investments)
				Hotels, Restaurants & Leisure – 1.2%
$	2,000			MGM Mirage, Inc.		6.750%		8/01/07		BB		$	2,020,000
	2,000			Park Place Entertainment		8.875%		9/15/08		Ba1			2,100,000
	4,000			Total Hotels, Restaurants & Leisure									4,120,000
				Household Durables – 0.6%
	2,000			D.R. Horton, Inc.		7.500%		12/01/07		BBB-			2,043,332
$	6,000			Total Corporate Bonds (cost $6,215,243)									6,163,332

Shares				Description (1)		Coupon		Maturity		Ratings (2)		Value
				Capital Preferred Securities – 1.0% (0.7% of Total Investments)
				Electric Utilities – 1.0%
	12			Consolidated Edison Company of New York Inc.		5.000%		8/01/53		A3		$	1,063,590
	5			Southern California Edison Company		6.125%		12/31/55		BBB-			499,842
	9			Southern California Edison Company, Series A		5.349%		4/27/35		BBB-			911,250
	10			Southern California Edison Company, Series C		6.000%		4/30/56		BBB-			1,024,063
				Total Electric Utilities									3,498,745
				Total Capital Preferred Securities (cost $3,433,955)									3,498,745

Principal
Amount (000)				Description (1)		Coupon		Maturity				Value
				Short-Term Investments – 10.0% (6.8% of Total Investments)
$	33,715			Repurchase Agreement with State Street Bank, dated 9/29/06, repurchase price $33,728,620, collateralized by $35,870,000 U.S. Treasury Notes, 3.625%, due 5/15/13, value $34,392,443		4.800%		10/02/06				$	33,715,134
				Total Short-Term Investments (cost $33,715,134)									33,715,134
				Total Investments (cost $433,711,352) – 147.4%									497,628,783
				Borrowings Payable – (9.8)% (9)									(33,000,000	)
				FundNotes – (23.1)%									(78,000,000	)
				Other Assets Less Liabilities – (1.2)%									(4,124,672	)
				FundPreferred Shares, at Liquidation Value – (13.3)%									(45,000,000	)
				Net Assets Applicable to Common Shares – 100%								$	337,504,111

(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 or Moody’s rating. Ratings below BBB by Standard & Poor’s Group or Baa by Moody’s Investor Service, Inc. are considered to be below investment grade.
(3)		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.
(4)		Senior Loans in which the Fund invests 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.
(5)		At or subsequent to September 30, 2006, this issue was under the protection of the Federal Bankruptcy Court.
(6)		Investment is eligible for the Dividends Received Deduction.
(7)		Position represents an unfunded Senior Loan commitment outstanding at September 30, 2006.
(8)		Negative value represents unrealized depreciation on Senior Loan commitment at September 30, 2006.
(9)		Borrowings payable as a percentage of total investments is (6.6)%.
N/R		Not rated.
WI/DD		Purchased on a when-issued or delayed delivery basis.
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.

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.

At September 30, 2006, the cost of investments was $434,061,497.

Gross unrealized appreciation and gross unrealized depreciation of investments at September 30, 2006, were as follows:

Gross unrealized:
Appreciation		$	69,278,561
Depreciation			(5,711,275	)
Net unrealized appreciation (depreciation) of investments		$	63,567,286

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 28, 2006

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 28, 2006

Date November 28, 2006