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:    3/31/2008   

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.

 

 

Nuveen Tax-Advantaged Total Return Strategy Fund (JTA)
March 31, 2008

Shares				Description (1)								Value
				Common Stocks – 102.5% (65.7% of Total Investments)
				Aerospace & Defense – 7.2%
	94,000			Lockheed Martin Corporation								$	9,334,200
	166,700			Raytheon Company									10,770,487
				Total Aerospace & Defense									20,104,687
				Capital Markets – 4.2%
	276,500			JPMorgan Chase & Co.									11,875,675
				Commercial Banks – 4.0%
	155,500			Wachovia Corporation									4,198,500
	240,000			Wells Fargo & Company									6,984,000
				Total Commercial Banks									11,182,500
				Commercial Services & Supplies – 5.1%
	410,500			Pitney Bowes Inc.									14,375,710
				Communications Equipment – 1.3%
	377,600			Motorola, Inc.									3,511,680
				Containers & Packaging – 1.6%
	201,800			Packaging Corp. of America									4,506,194
				Diversified Financial Services – 2.5%
	229,000			Citigroup Inc.									4,905,180
	88,800			Federal Home Loan Mortgage Corporation									2,248,416
				Total Diversified Financial Services									7,153,596
				Diversified Telecommunication Services – 12.0%
	323,600			AT&T Inc.									12,393,880
	343,000			KT Corporation, Sponsored ADR									8,146,250
	235,000			Telecom Italia S.p.A., Sponsored ADR									3,882,200
	256,500			Verizon Communications Inc.									9,349,425
				Total Diversified Telecommunication Services									33,771,755
				Electric Utilities – 3.8%
	95,300			EDP – Energias de Portugal, S.A., Sponsored ADR, (2)									5,798,729
	323,000			Korea Electric Power Corporation, Sponsored ADR									4,857,920
				Total Electric Utilities									10,656,649
				Food Products – 1.3%
	114,806			Kraft Foods Inc.									3,560,134
				Household Durables – 2.5%
	307,000			Newell Rubbermaid Inc.									7,021,090
				Household Products – 3.7%
	160,000			Kimberly-Clark Corporation									10,328,000
				Industrial Conglomerates – 3.9%
	298,000			General Electric Company									11,028,980
				Insurance – 7.7%
	247,400			Genworth Financial Inc., Class A									5,601,136
	210,600			Hartford Financial Services Group, Inc.									15,957,162
				Total Insurance									21,558,298
				Machinery – 2.1%
	75,000			Caterpillar Inc.									5,871,750
				Media – 3.3%
	200,000			CBS Corporation, Class B									4,416,000
	168,100			Gannett Company Inc.									4,883,305
				Total Media									9,299,305
				Multi-Utilities – 1.8%
	180,000			United Utilities PLC, Sponsored ADR									4,940,568
				Oil, Gas & Consumable Fuels – 11.1%
	80,000			Chevron Corporation									6,828,800
	113,400			ConocoPhillips									8,642,214
	132,500			Eni S.p.A., Sponsored ADR									9,024,575
	90,000			Total S.A., Sponsored ADR									6,660,900
				Total Oil, Gas & Consumable Fuels									31,156,489
				Paper & Forest Products – 3.2%
	220,000			International Paper Company									5,984,000
	270,200			Stora Enso Oyj, Sponsored ADR									3,129,754
				Total Paper & Forest Products									9,113,754
				Pharmaceuticals – 7.9%
	175,000			GlaxoSmithKline PLC, ADR									7,425,250
	341,200			Pfizer Inc.									7,141,316
	206,000			Sanofi-Aventis, ADR									7,733,240
				Total Pharmaceuticals									22,299,806
				Road & Rail – 2.0%
	44,300			Union Pacific Corporation									5,554,334
				Thrifts & Mortgage Finance – 2.5%
	191,700			Federal National Mortgage Association									5,045,544
	411,000			IndyMac Bancorp, Inc.									2,038,560
				Total Thrifts & Mortgage Finance									7,084,104
				Tobacco – 7.8%
	165,900			Altria Group, Inc.									3,682,980
	134,900			Loews Corp – Carolina Group									9,786,995
	165,900			Philip Morris International, (2)									8,391,222
				Total Tobacco									21,861,197
				Total Common Stocks (cost $270,041,334)									287,816,255

Shares				Description (1)		Coupon				Ratings (3)		Value
				$25 Par (or similar) Preferred Securities – 16.3% (10.5% of Total Investments)
				Capital Markets – 0.8%
	49,700			Goldman Sachs Group Inc.,		6.200%				A		$	1,186,339
	50,000			Lehman Brothers Holdings		7.950%				A-			1,031,500
				Total Capital Markets									2,217,839
				Commercial Banks – 4.0%
	25,000			Banco Santander Finance		6.800%				Aa3			556,250
	75,000			Banco Santander Finance		6.500%				Aa3			1,593,750
	41,200			Bank of America Corporation, Series D,		6.204%				Aa3			895,688
	50,000			Barclays Bank PLC		6.625%				Aa3			1,186,500
	40,000			Credit Suisse Guernsey		7.900%				Aa3			1,007,500
	20,000			HSBC Holdings PLC		6.200%				A1			434,800
	63,200			HSBC USA Inc.,		6.500%				A			1,422,000
	40,000			Royal Bank of Scotland Group PLC, Series M		6.400%				A1			906,000
	40,000			Royal Bank of Scotland Group PLC, Series N		6.350%				A1			883,200
	20,000			Royal Bank of Scotland Group PLC		6.600%				Aa3			446,000
	75,000			Wachovia Corporation,		8.000%				A			1,851,375
				Total Commercial Banks									11,183,063
				Diversified Financial Services – 1.3%
	75,000			Citigroup Inc., Series M		8.125%				A			1,804,688
	54,500			ING Group N.V.		7.200%				A1			1,312,360
	12,200			ING Group N.V.		7.050%				A			286,090
	15,000			ING Group N.V.		6.125%				A1			316,350
				Total Diversified Financial Services									3,719,488
				Electric Utilities – 3.6%
	38,900			Alabama Power Company, Series A,		5.300%				BBB+			852,494
	50,000			Alabama Power Company,		5.625%				BBB+			1,225,000
	8,600			Consolidated Edison Company of New York Inc.,		5.000%				A3			780,020
	40,000			Georgia Power Company		6.125%				Baa1			1,007,000
	5,000			Gulf Power Company,		6.450%				BBB+			478,468
	34,700			Interstate Power and Light Company		7.100%				Baa2			900,465
	36,400			Mississippi Power Company,		5.250%				A3			904,358
	65,000			PPL Electric Utilities Corporation,		6.250%				BBB			1,584,375
	9,000			Southern California Edison Company, Series A,		5.349%				Baa2			892,688
	10,000			Southern California Edison Company, Series C,		6.000%				Baa2			1,000,313
	5,000			Southern California Edison Company,		6.125%				Baa2			495,469
				Total Electric Utilities									10,120,650
				Insurance – 1.9%
	60,300			Ace Ltd., Series C		7.800%				BBB			1,491,822
	31,900			Aegon N.V.		6.375%				A-			647,570
	22,800			Arch Capital Group Limited		8.000%				BBB-			581,856
	50,000			Endurance Specialty Holdings Limited		7.750%				BBB-			1,175,500
	3,700			MetLife Inc., Series A,		4.000%				Baa1			74,000
	30,000			Prudential PLC		6.750%				A			712,500
	30,000			Prudential PLC		6.500%				A-			702,300
				Total Insurance									5,385,548
				Oil, Gas & Consumable Fuels – 0.3%
	9,000			Devon Energy Corporation, Series A,		6.490%				Baa3			910,688
				U.S. Agency – 4.4%
	25,000			Federal Home Loan Mortgage Corporation, Notes,		5.570%				AA-			477,500
	40,000			Federal Home Loan Mortgage Corporation,		6.550%				AA-			898,000
	25,000			Federal Home Loan Mortgage Corporation,		6.420%				AA-			1,100,000
	25,000			Federal Home Loan Mortgage Corporation,		6.020%				AA-			524,750
	18,400			Federal Home Loan Mortgage Corporation,		6.000%				AA-			768,752
	20,000			Federal Home Loan Mortgage Corporation,		5.700%				AA-			756,250
	52,300			Federal Home Loan Mortgage Corporation,		5.660%				AA-			1,029,787
	28,700			Federal Home Loan Mortgage Corporation,		5.000%				AA-			975,800
	74,600			Federal Home Loan Mortgage Corporation,		8.375%				AA-			1,820,240
	24,000			Federal National Mortgage Association		7.625%				AA-			571,500
	20,000			Federal National Mortgage Association		6.750%				AA-			451,200
	15,000			Federal National Mortgage Association,		5.500%				AA-			615,000
	19,800			Federal National Mortgage Association,		5.125%				AA-			702,900
	75,000			Federal National Mortgage Association,		8.250%				AA-			1,803,750
				Total U.S. Agency									12,495,429
				Total $25 Par (or similar) Preferred Securities (cost $50,031,697)									46,032,705

						Weighted
Principal						Average
Amount (000)				Description (1)		Coupon		Maturity (5)		Ratings (3)		Value
				Variable Rate Senior Loan Interests – 29.7% (19.0% of Total Investments) (4)
				Aerospace & Defense – 0.9%
$	777			Hexcel Corporation, Term Loan B		5.054%		3/01/12		BB+		$	754,013
	1,586			Vought Aircraft Industries, Inc., Term Loan		7.340%		12/22/11		Ba3			1,458,744
	364			Vought Aircraft Industries, Inc., Tranche B, Letter of Credit		7.100%		12/22/10		Ba3			332,576
	2,727			Total Aerospace & Defense									2,545,333
				Building Products – 0.2%
	780			Armstrong World Industries, Inc., Tranche B, Term Loan		4.309%		10/02/13		BBB-			732,769
				Chemicals – 1.0%
	1,058			Georgia Gulf Corporation, Term Loan B		5.580%		10/03/13		Ba3			964,821
	1,940			Rockwood Specialties Group, Inc., Term Loan E		4.744%		7/30/12		BB+			1,843,539
	2,998			Total Chemicals									2,808,360
				Commercial Services & Supplies – 1.5%
	682			Allied Waste North America, Letter of Credit		5.750%		3/28/14		BBB-			645,496
	1,134			Allied Waste North America, Term Loan B		4.407%		3/28/14		BBB-			1,073,573
	105			Aramark Corporation, Letter of Credit		5.456%		1/24/14		BB-			98,411
	1,658			Aramark Corporation, Term Loan		4.571%		1/24/14		BB-			1,549,055
	1,100			Berry Plastics Holding Corporation, Term Loan		5.095%		4/03/15		BB-			940,041
	4,679			Total Commercial Services & Supplies									4,306,576
				Containers & Packaging – 0.9%
	1,915			Graham Packaging Company, L.P., Term Loan		5.959%		10/07/11		B+			1,757,672
	175			Smurfit-Stone Container Corporation, Deposit-Funded Commitment		6.700%		11/01/10		BB			166,604
	196			Smurfit-Stone Container Corporation, Term Loan B		5.125%		11/01/11		BB			186,783
	373			Smurfit-Stone Container Corporation, Term Loan C		5.125%		11/01/11		BB			355,724
	117			Smurfit-Stone Container Corporation, Tranche C-1		5.125%		11/01/11		BB			111,641
	2,776			Total Containers & Packaging									2,578,424
				Diversified Consumer Services – 0.7%
	1,975			Weight Watchers International, Inc., Term Loan B		4.250%		1/26/14		BB+			1,862,672
				Diversified Telecommunication Services – 1.3%
	1,990			Alltel Communications, Inc., Term Loan B3		5.568%		5/18/15		BB-			1,800,120
	1,970			MetroPCS Wireless, Inc., Term Loan		5.500%		11/03/13		Ba3			1,811,579
	3,960			Total Diversified Telecommunication Services									3,611,699
				Electric Utilities – 1.6%
	1,702			Dynegy Holdings, Inc., Delayed Term Loan, Letter of Credit		4.204%		4/02/13		Ba1			1,572,340
	297			Dynegy Holdings, Inc., Term Loan		4.683%		4/02/13		Ba1			274,472
	1,995			TXU Corporation, Term Loan B-2		6.579%		10/10/14		Ba3			1,821,572
	1,000			TXU Corporation, Term Loan B-3		6.583%		10/10/14		Ba3			910,500
	4,994			Total Electric Utilities									4,578,884
				Electrical Equipment – 0.5%
	1,409			Sensus Metering Systems, Inc., Term Loan B-1		5.800%		12/17/10		BB			1,267,826
	97			Sensus Metering Systems, Inc., Term Loan B-2		6.878%		12/17/10		BB			87,457
	1,506			Total Electrical Equipment									1,355,283
				Health Care Equipment & Supplies – 0.7%
	200			Bausch & Lomb, Inc., Delayed Draw Term Loan, (6)		3.473%		4/24/15		BB-			94,659
	798			Bausch & Lomb, Inc., Term Loan		5.946%		4/24/15		BB-			776,690
	997			Biomet, Inc., Term Loan		5.696%		12/25/13		BB-			961,085
	1,995			Total Health Care Equipment & Supplies									1,832,434
				Health Care Providers & Services – 3.0%
	96			Community Health Systems, Inc., Delayed Draw, Term Loan WI/DD (6)(7)		0.750%		7/25/14		BB			(7,284	)
	1,872			Community Health Systems, Inc., First Lien Term Loan WI/DD		5.335%		7/25/14		BB			1,729,870
	1,317			Davita Inc., Term Loan B-1		5.139%		10/05/12		BB+			1,239,854
	1,975			HCA, Inc., Term Loan		4.946%		11/18/13		BB			1,819,293
	464			IASIS Healthcare Corporation Delayed Draw Term Loan		4.979%		3/14/14		Ba2			422,087
	124			IASIS Healthcare LLC, Letter of Credit		2.609%		3/14/14		Ba2			112,556
	1,344			IASIS Healthcare LLC, Term Loan		5.244%		3/14/14		Ba2			1,222,954
	996			LifePoint Hospitals, Inc., Term Loan B		4.710%		4/18/12		BB			922,201
	980			Quintiles Transnational Corporation, Term Loan B		4.700%		3/29/13		BB			919,975
	9,168			Total Health Care Providers & Services									8,381,506
				Hotels, Restaurants & Leisure – 3.0%
	1,960			24 Hour Fitness Worldwide, Inc., Term Loan B		6.820%		6/08/12		Ba3			1,675,800
	771			CBRL Group, Inc., Term Loan B-1		4.620%		4/28/13		BB			720,150
	93			CBRL Group, Inc., Term Loan B-1		4.620%		4/28/13		BB			86,531
	142			OSI Restaurant Partners, Inc., Revolver Term Loan		2.670%		6/14/13		BB-			110,667
	1,782			OSI Restaurant Partners, Inc., Term Loan		5.000%		6/14/14		BB-			1,385,595
	1,950			Penn National Gaming, Inc., Term Loan B		5.126%		10/03/12		BBB-			1,857,917
	445			Travelport LLC, Term Loan		4.954%		8/23/13		BB-			389,716
	89			Travelport LLC, Letter of Credit		4.946%		8/23/13		BB-			78,197
	600			Venetian Casino Resort LLC, Delayed Draw, Term Loan (6)(7)		0.750%		5/23/14		BB			(68,386	)
	2,382			Venetian Casino Resort LLC, Term Loan		4.450%		5/23/14		BB			2,110,507
	10,214			Total Hotels, Restaurants & Leisure									8,346,694
				Household Products – 0.4%
	1,206			Solo Cup Company, Term Loan		6.351%		2/27/11		B1			1,127,998
				Independent Power Producers & Energy Traders – 0.5%
	469			NRG Energy Inc., Credit Linked Deposit		2.560%		2/01/13		Ba1			439,589
	962			NRG Energy Inc., Term Loan		4.196%		2/01/13		Ba1			902,721
	1,431			Total Independent Power Producers & Energy Traders									1,342,310
				Insurance – 0.3%
	1,165			Conseco, Inc., Term Loan		4.704%		10/10/13		Ba3			906,892
				IT Services – 1.3%
	1,990			First Data Corporation, Term Loan B-1		5.355%		9/24/14		BB-			1,797,080
	2,037			SunGard Data Systems, Inc., Term Loan B		4.878%		2/28/14		BB			1,896,384
	4,027			Total IT Services									3,693,464
				Media – 6.1%
	1,960			CSC Holdings, Inc., Term Loan		4.750%		3/29/13		Ba1			1,836,557
	1,985			CanWest Mediaworks LP, Term Loan		5.085%		7/10/15		Ba1			1,836,125
	1,980			Cequel Communications LLC, Term Loan B		6.508%		11/05/13		BB-			1,677,803
	2,200			Charter Communications Operating Holdings LLC, Term Loan		5.260%		3/06/14		B+			1,864,041
	1,975			Idearc, Inc., Term Loan		4.700%		11/17/14		BBB-			1,589,134
	975			Metro-Goldwyn-Mayer Studios, Inc., Term Loan B		8.108%		4/08/12		N/R			775,794
	1,970			Neilsen Finance LLC, Term Loan		5.346%		8/09/13		Ba3			1,782,858
	1,985			Tribune Company, Term Loan B		5.542%		6/04/14		BB-			1,335,268
	933			Tribune Company, Term Loan X		7.396%		6/04/09		BB-			839,500
	67			Univision Communications, Inc., Delayed Draw, Term Loan (7)		1.000%		9/29/14		B+			(14,010	)
	1,933			Univision Communications, Inc., Term Loan		5.494%		9/29/14		Ba3			1,529,396
	2,147			WMG Acquisition Corporation, Term Loan		4.417%		2/28/11		BB-			1,940,585
	20,110			Total Media									16,993,051
				Metals & Mining – 0.8%
	1,021			Amsted Industries, Inc., Delayed Draw Term Loan		5.077%		4/08/13		BB			975,460
	1,405			Amsted Industries Inc., Term Loan		6.053%		4/08/13		BB			1,341,520
	2,426			Total Metals & Mining									2,316,980
				Paper & Forest Products – 0.6%
	1,945			Georgia-Pacific Corporation, Term Loan B		4.727%		12/21/12		BB+			1,807,004
				Pharmaceuticals – 1.5%
	2,178			Mylan Laboratories Inc., Term Loan		6.078%		10/02/14		BB			2,105,052
	1,980			Royalty Pharma Finance Trust, Term Loan		4.946%		4/16/13		Baa2			1,968,863
	4,158			Total Pharmaceuticals									4,073,915
				Real Estate Management & Development – 0.4%
	1,320			LNR Property Corporation, Term Loan B		6.360%		7/12/11		BB			1,040,600
				Road & Rail – 0.5%
	1,767			Swift Transportation Company, Inc., Term Loan		6.500%		5/10/14		BB-			1,333,157
				Specialty Retail – 0.5%
	1,500			TRU 2005 RE Holding Co., LLC, Term Loan		6.119%		12/08/08		B3			1,350,750
				Textiles, Apparel & Luxury Goods – 0.5%
	1,395			HBI Branded Apparel Limited, Inc., Term Loan		4.891%		9/05/13		BB			1,342,344
				Trading Companies & Distributors – 1.0%
	990			Ashtead Group Public Limited Company, Term Loan		4.750%		8/31/11		BB+			908,325
	196			Brenntag Holdings GMBH & Co. KG, Acquisition Facility		5.794%		1/20/14		B+			170,714
	804			Brenntag Holdings GMBH & Co. KG, Facility B2		5.794%		1/20/14		B+			698,661
	310			United Rentals Inc., Tranche B, Credit Linked Deposit		4.600%		2/13/11		Ba1			297,561
	732			United Rentals Inc., Term Loan B		5.100%		2/14/11		Ba1			703,728
	3,032			Total Trading Companies & Distributors									2,778,989
$	93,254			Total Variable Rate Senior Loan Interests (cost $92,037,889)									83,048,088

Principal
Amount (000)				Description (1)		Coupon		Maturity				Value
				Short-Term Investments – 7.4% (4.8% of Total Investments)
$	20,924			Repurchase Agreement with Fixed Income Clearing Corporation, date 3/31/08, repurchase price $20,925,087, collateralized by $20,280,000 U.S. Treasury Notes, 4.875%, due 6/30/09, value $20,924,448		1.100%		4/01/08				$	20,924,448
$	20,924			Total Short-Term Investments (cost $20,924,448)									20,924,448
				Total Investments (cost $433,035,368) – 155.9%									437,821,496
				Borrowings – (11.8)% (8)									(33,000,000	)
				FundNotes – (27.7)% (8)									(78,000,000	)
				Other Assets Less Liabilities – (0.4)%									(986,118	)
				FundPreferred Shares, at Liquidation Value – (16.0)% (8)									(45,000,000	)
				Net Assets Applicable to Common Shares – 100%								$	280,835,378

(1)		All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted.
(2)		Non-income producing.
(3)		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.
(4)		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.
(5)		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.
(6)		Portion of position represents an unfunded Senior Loan commitment outstanding at March 31, 2008.
(7)		Negative value represents unrealized depreciation on Senior Loan commitment at March 31, 2008.
(8)		Borrowings, FundNotes and FundPreferred Shares, at Liquidation Value as a percentage of total investments are (7.5)%, (17.8)% and (10.3)%, respectively.
N/R		Not rated.
ADR		American Depositary Receipt.
WI/DD		Purchased on a when-issued or delayed delivery basis.

Fair Value Measurements

During the current fiscal period, the Fund adopted the provisions of Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157). SFAS 157 defines fair value, establishes a framework for measuring fair value in generally accepted accounting principles, and expands disclosure about fair value measurements. 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 March 31, 2008:

			Level 1				Level 2				Level 3				Total
Investments		$	319,483,621			$	118,337,875			$	-			$	437,821,496

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 March 31, 2008, the cost of investments was $438,828,590.

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

Gross unrealized:
Appreciation		$	59,106,445
Depreciation			(60,113,539	)
Net unrealized appreciation (depreciation) of investments		$	(1,007,094	)

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 May 30, 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.

Date May 30, 2008

Date May 30, 2008