Monthly Portfolio Investments Report on Form N-port (public) (nport-p)

JTA

Nuveen Tax-Advantaged Total
Return Strategy Fund

Portfolio of Investments September 30, 2019

(Unaudited)


Shares		Description (1)	Value

		LONG-TERM INVESTMENTS – 140.9% (95.7% of Total Investments)

		COMMON STOCKS – 101.0% (68.6% of Total Investments)

		Air Freight & Logistics – 3.5%

	169,405	Deutsche Post AG, (2)	$	5,645,456

		Airlines – 3.3%

	93,082	Delta Air Lines Inc., (3)		5,361,523

		Banks – 12.9%

	889,186	AIB Group PLC, (2)		2,637,742
	92,140	Bank of America Corp		2,687,724
	57,235	Bank of NT Butterfield & Son Ltd, (3)		1,696,445
	88,200	Citigroup Inc, (3)		6,092,856
	334,707	ING Groep NV, Sponsored ADR, (3)		3,497,688
	24,692	JPMorgan Chase & Co		2,906,002
	1,922,750	Unicaja Banco SA, 144A, (2), (4)		1,529,414
		Total Banks		21,047,871

		Biotechnology – 1.6%

	40,386	Gilead Sciences Inc.		2,559,665

		Capital Markets – 4.9%

	61,640	AURELIUS Equity Opportunities SE & Co KGaA, (2)		2,545,814
	555,560	Daiwa Securities Group Inc, (2)		2,486,265
	194,510	Deutsche Boerse AG, ADR, (2), (3)		3,024,631
		Total Capital Markets		8,056,710

		Chemicals – 2.3%

	52,281	DuPont de Nemours Inc		3,728,158

		Diversified Telecommunication Services – 3.6%

	57,885	Nippon Telegraph & Telephone Corp, ADR, (2)		2,772,113
	239,610	Telefonica Brasil SA		3,168,311
		Total Diversified Telecommunication Services		5,940,424

		Electric Utilities – 1.8%

	59,860	FirstEnergy Corp, (3)		2,887,048

		Electrical Equipment – 1.7%

	32,510	Eaton Corp PLC, (3)		2,703,207

		Energy Equipment & Services – 0.0%

	3,683	Transocean Ltd		16,463

		Entertainment – 4.6%

	14,260	Nintendo Co Ltd, (2)		5,311,798
	91,750	Viacom Inc		2,204,753
		Total Entertainment		7,516,551

		Equity Real Estate Investment Trust – 1.6%

	85,290	MGM Growth Properties LLC		2,562,965

		Health Care Providers & Services – 0.0%

	6,594	Millennium Health LLC, (2), (4)		46
	6,140	Millennium Health LLC, (4), (5)		6,752



JTA		Nuveen Tax-Advantaged Total Return Strategy Fund (continued)
JTA		Portfolio of Investments September 30, 2019
		(Unaudited)


Shares		Description (1)	Value

		Health Care Providers & Services (continued)

	5,767	Millennium Health LLC, (4), (5)	$	5,765
		Total Health Care Providers & Services		12,563

		Household Durables – 2.5%

	205,700	Sekisui House Ltd, (2)		4,058,906

		Household Products – 1.6%

	26,230	Henkel AG & Co KGaA, (2)		2,595,434

		Industrial Conglomerates – 2.2%

	33,465	Siemens AG, (2)		3,582,265

		Insurance – 9.4%

	71,049	Ageas, (2)		3,938,608
	113,189	Allianz SE, Sponsored ADR, (2), (3)		2,625,985
	53,965	CNA Financial Corp, (3)		2,657,776
	111,190	Old Republic International Corp		2,620,748
	18,175	RenaissanceRe Holdings Ltd		3,515,954
		Total Insurance		15,359,071

		Marine – 0.0%

	262	HGIM Corp, (2), (4)		2,751

		Media – 0.3%

	24,326	Clear Channel Outdoor Holdings Inc, (4)		61,302
	5,604	Cumulus Media Inc, (4)		81,482
	10,344	iHeartMedia Inc, (4)		155,160
	2,099	Metro-Goldwyn-Mayer Inc, (2), (4)		125,590
	3,185	Tribune Co, (5)		1,752
		Total Media		425,286

		Multi-Utilities – 5.3%

	179,200	Engie SA, (2)		2,924,932
	273,490	National Grid PLC, (2)		2,961,157
	107,586	Veolia Environnement SA, (2)		2,725,326
		Total Multi-Utilities		8,611,415

		Oil, Gas & Consumable Fuels – 10.4%

	32,894	Chevron Corp, (3), (6)		3,901,228
	242,430	Enterprise Products Partners LP		6,928,649
	140,417	Equitrans Midstream Corp, (3)		2,043,067
	388	Fieldwood Energy LLC, (2), (4)		9,603
	1,923	Fieldwood Energy LLC, (2), (4)		47,594
	75,529	TOTAL SA, Sponsored ADR		3,927,508
		Total Oil, Gas & Consumable Fuels		16,857,649

		Pharmaceuticals – 11.6%

	57,203	AstraZeneca PLC, Sponsored ADR, (3)		2,549,538
	37,010	Bayer AG, (2)		2,607,467
	62,245	Bristol-Myers Squibb Co		3,156,444
	130,360	GlaxoSmithKline PLC, Sponsored ADR, (3)		5,563,765
	53,585	Roche Holding AG, Sponsored ADR, (2), (3)		1,953,173
	33,270	Sanofi, (2)		3,081,891
		Total Pharmaceuticals		18,912,278

		Real Estate Management & Development – 0.9%

	429,900	Great Eagle Holdings Ltd, (2)		1,470,991

		Semiconductors & Semiconductor Equipment – 3.7%

	9,118	Broadcom Inc		2,517,206
	77,920	Cypress Semiconductor Corp		1,818,653


Shares		Description (1)											Value

		Semiconductors & Semiconductor Equipment (continued)

	98,710	Infineon Technologies AG, (2)											$	1,773,498
		Total Semiconductors & Semiconductor Equipment												6,109,357

		Software – 5.0%

	30,326	Microsoft Corp, (3), (6)												4,216,224
	71,380	Oracle Corp												3,928,041
		Total Software												8,144,265

		Specialty Retail – 1.7%

	1,069,040	Kingfisher PLC, (2)												2,716,840

		Technology Hardware, Storage & Peripherals – 1.5%

	74,600	Samsung Electronics Co Ltd, (2)												2,462,477

		Tobacco – 1.3%

	27,125	Philip Morris International Inc												2,059,601

		Trading Companies & Distributors – 1.8%

	174,900	Mitsui & Co Ltd, (2)												2,872,980
		Total Common Stocks (cost $145,555,379)												164,280,170

Principal Amount (000)		Description (1)	Coupon (7)		Reference Rate (7)		Spread (7)		Maturity (8)		Ratings (9)		Value

		VARIABLE RATE SENIOR LOAN INTERESTS – 25.7% (17.5% of Total Investments) (7)

		Aerospace & Defense – 0.3%

$	484	Transdigm, Inc., Term Loan F		4.544%		1-Month LIBOR		2.500%		6/09/23		Ba3	$	483,373

		Airlines – 0.3%

	490	American Airlines, Inc., Term Loan B		4.028%		1-Month LIBOR		2.000%		12/14/23		BB+		490,350

		Auto Components – 0.1%

	150	Johnson Controls Inc., Term Loan B		5.544%		1-Month LIBOR		3.500%		4/30/26		Ba3		149,016

		Beverages – 0.3%

	418	Jacobs Douwe Egberts, Term Loan B		4.125%		1-Month LIBOR		2.000%		11/01/25		Ba2		418,639

		Biotechnology – 0.4%

	731	Grifols, Inc., Term Loan B		4.197%		1-Week LIBOR		2.250%		1/31/25		BB		735,857

		Building Products – 0.4%

	250	Advanced Drainage Systems, Term Loan B, (WI/DD)		TBD		TBD		TBD		TBD		Ba1		251,459
	432	Quikrete Holdings, Inc., Term Loan B		4.794%		1-Month LIBOR		2.750%		11/15/23		BB–		431,299
	682	Total Building Products												682,758

		Capital Markets – 0.3%

	464	RPI Finance Trust, Term Loan B6		4.044%		1-Month LIBOR		2.000%		4/17/23		BBB–		466,835

		Chemicals – 0.7%

	645	Axalta Coating Systems, Term Loan, First Lien		3.854%		3-Month LIBOR		1.750%		6/01/24		BBB–		646,251
	416	H.B. Fuller Company, Term Loan B		4.044%		1-Month LIBOR		2.000%		10/21/24		BB+		415,318
	132	Mineral Technologies, Inc., Term Loan B2		4.750%		N/A		N/A		5/07/21		BB+		132,243
	1,193	Total Chemicals												1,193,812

		Commercial Services & Supplies – 0.5%

	510	Formula One Group, Term Loan B		4.544%		1-Month LIBOR		2.500%		2/01/24		B+		504,492
	223	Trans Union LLC, Term Loan B3		4.044%		1-Month LIBOR		2.000%		4/07/23		BB+		223,597
	42	West Corporation, Incremental Term Loan B1		5.544%		1-Month LIBOR		3.500%		10/10/24		B1		37,494
	775	Total Commercial Services & Supplies												765,583



JTA		Nuveen Tax-Advantaged Total Return Strategy Fund (continued)
JTA		Portfolio of Investments September 30, 2019
		(Unaudited)


Principal Amount (000)		Description (1)	Coupon (7)		Reference Rate (7)		Spread (7)		Maturity (8)		Ratings (9)		Value

		Communications Equipment – 0.6%

$	397	CommScope, Inc., Term Loan B		5.294%		1-Month LIBOR		3.250%		4/04/26		Ba3	$	396,621
	527	Univision Communications, Inc., Term Loan C5		4.794%		1-Month LIBOR		2.750%		3/15/24		B		513,450
	924	Total Communications Equipment												910,071

		Consumer Finance – 0.2%

	368	Verscend Technologies, Tern Loan B		6.544%		1-Month LIBOR		4.500%		8/27/25		B+		369,760

		Containers & Packaging – 0.2%

	349	Berry Global, Inc., Term Loan Q		4.299%		1-Month LIBOR		2.250%		10/03/22		BBB–		351,424

		Diversified Consumer Services – 0.2%

	248	Refinitiv, Term Loan B		5.794%		1-Month LIBOR		3.750%		10/01/25		B		249,728

		Diversified Financial Services – 0.4%

	374	Lions Gate Entertainment Corp., Term Loan B		4.294%		1-Month LIBOR		2.250%		3/24/25		Ba2		373,274
	250	Travelport LLC, Term Loan B		7.104%		3-Month LIBOR		5.000%		5/30/26		B+		227,054
	624	Total Diversified Financial Services												600,328

		Diversified Telecommunication Services – 1.0%

	983	CenturyLink, Inc., Term Loan B		4.794%		1-Month LIBOR		2.750%		1/31/25		BBB–		977,317
	40	Intelsat Jackson Holdings, S.A., Term Loan B4		6.554%		1-Month LIBOR		4.500%		1/02/24		B1		40,613
	64	Intelsat Jackson Holdings, S.A., Term Loan B5		6.625%		N/A		N/A		1/02/24		B1		65,580
	496	Numericable Group S.A., Term Loan B13		6.028%		1-Month LIBOR		4.000%		8/14/26		B		495,940
	1,583	Total Diversified Telecommunication Services												1,579,450

		Electric Utilities – 0.3%

	271	Vistra Operations Co., Term Loan B1		4.044%		1-Month LIBOR		2.000%		8/04/23		BBB–		272,132
	191	Vistra Operations Co., Term Loan B3		4.036%		1-Month LIBOR		2.000%		12/31/25		BBB–		192,119
	462	Total Electric Utilities												464,251

		Equity Real Estate Investment Trust – 0.6%

	320	Communications Sales & Leasing, Inc., Shortfall Term Loan		7.044%		1-Month LIBOR		5.000%		10/24/22		Caa1		313,349
	724	MGM Growth Properties, Term Loan B		4.044%		1-Month LIBOR		2.000%		3/23/25		BB+		726,413
	1,044	Total Equity Real Estate Investment Trust												1,039,762

		Food & Staples Retailing – 0.7%

	518	Albertson’s LLC, Term Loan B7		4.794%		1-Month LIBOR		2.750%		11/17/25		BB		521,326
	568	US Foods, Inc., Term Loan B		4.044%		1-Month LIBOR		2.000%		6/27/23		BBB–		571,251
	1,086	Total Food & Staples Retailing												1,092,577

		Food Products – 0.2%

	250	B&G Foods Inc., Term Loan, First Lien, (WI/DD)		TBD		TBD		TBD		TBD		BB		251,485

		Health Care Equipment & Supplies – 0.3%

	434	Acelity, Term Loan B		7.250%		N/A		N/A		2/03/24		B1		435,647

		Health Care Providers & Services – 1.3%

	60	Air Medical Group Holdings, Inc., Term Loan B		5.307%		1-Month LIBOR		3.250%		4/28/22		B1		56,691
	230	Brightspring Health, Term Loan B		6.567%		1-Month LIBOR		4.500%		3/05/26		B1		230,863
	250	Concentra, Inc., Term Loan B		4.540%		3-Month LIBOR		2.500%		6/01/22		B+		251,875
	724	HCA, Inc., Term Loan B10		4.044%		1-Month LIBOR		2.000%		3/13/25		BBB–		727,519
	544	HCA, Inc., Term Loan B11		3.794%		1-Month LIBOR		1.750%		3/17/23		BBB–		545,939
	249	Lifepoint Health, Inc., Term Loan		6.554%		1-Month LIBOR		4.500%		11/16/25		B+		249,977
	220	Millennium Laboratories, Inc., Term Loan B, First Lien		8.544%		1-Month LIBOR		6.500%		12/21/20		Caa3		98,874
	2,277	Total Health Care Providers & Services												2,161,738

		Health Care Technology – 0.6%

	784	Emdeon, Inc., Term Loan		4.544%		1-Month LIBOR		2.500%		3/01/24		B+		781,173
	250	Zelis, Term Loan B, (WI/DD)		TBD		TBD		TBD		TBD		B		248,438
	1,034	Total Health Care Technology												1,029,611


Principal Amount (000)		Description (1)	Coupon (7)		Reference Rate (7)		Spread (7)		Maturity (8)		Ratings (9)		Value

		Hotels, Restaurants & Leisure – 3.2%

$	507	24 Hour Fitness Worldwide, Inc., Term Loan B		5.544%		1-Month LIBOR		3.500%		5/31/25		Ba3	$	490,495
	466	Aramark Corporation, Term Loan		3.794%		1-Month LIBOR		1.750%		3/11/25		BBB–		467,595
	969	Burger King Corporation, Term Loan B3		4.294%		1-Month LIBOR		2.250%		2/16/24		Ba2		973,523
	83	Caesars Entertainment Operating Company, Inc., Term Loan B		4.044%		1-Month LIBOR		2.000%		10/06/24		BB		82,878
	613	Caesars Resort Collection, Term Loan, First Lien		4.794%		1-Month LIBOR		2.750%		12/22/24		BB		609,242
	499	Carrols Restaurant Group Inc., Term Loan B		5.310%		1-Month LIBOR		3.250%		4/30/26		B		485,349
	426	Hilton Hotels, Term Loan B2		3.768%		1-Month LIBOR		1.750%		6/21/26		BBB–		429,304
	496	Marriott Ownership Resorts, Term Loan B		4.294%		1-Month LIBOR		2.250%		8/29/25		BBB–		499,560
	611	Seaworld Parks and Entertainment, Inc., Term Loan B5		5.044%		1-Month LIBOR		3.000%		3/31/24		B+		611,160
	485	YUM Brands, Term Loan B		3.791%		1-Month LIBOR		1.750%		4/03/25		BBB–		486,653
	5,155	Total Hotels, Restaurants & Leisure												5,135,759

		Household Products – 0.5%

	744	Reynolds Group Holdings, Inc., Term Loan, First Lien		4.794%		1-Month LIBOR		2.750%		2/05/23		B+		745,708

		Internet & Direct Marketing Retail – 0.3%

	494	Uber Technologies, Inc., Term Loan		6.028%		1-Month LIBOR		4.000%		4/04/25		B1		491,797

		IT Services – 1.2%

	341	Gartner, Inc., Term Loan A		3.544%		1-Month LIBOR		1.500%		3/20/22		BB+		343,818
	473	Leidos Holdings, Inc., Term Loan B		3.813%		1-Month LIBOR		1.750%		8/22/25		BBB–		475,483
	489	Tempo Acquisition LLC, Term Loan B		5.044%		1-Month LIBOR		3.000%		5/01/24		B1		491,094
	158	West Corporation, Term Loan B		6.044%		1-Month LIBOR		4.000%		10/10/24		B1		141,674
	484	WEX, Inc., Term Loan B3		4.294%		1-Month LIBOR		2.250%		5/17/26		Ba2		487,230
	1,945	Total IT Services												1,939,299

		Life Sciences Tools & Services – 0.1%

	210	Inventiv Health, Inc., Term Loan B		4.044%		1-Month LIBOR		2.000%		8/01/24		BB		211,220

		Machinery – 0.1%

	207	Gates Global LLC, Term Loan B		4.794%		1-Month LIBOR		2.750%		4/01/24		B+		204,024

		Marine – 0.1%

	112	Harvey Gulf International Marine, Inc., Exit Term Loan		8.034%		6-Month LIBOR		6.000%		7/02/23		B		96,696

		Media – 3.0%

	879	Cequel Communications LLC, Term Loan B		4.278%		1-Month LIBOR		2.250%		1/15/26		BB		880,106
	470	Charter Communications Operating Holdings LLC, Term Loan B		4.050%		3-Month LIBOR		2.000%		4/30/25		BBB–		473,754
	205	Cineworld Group PLC, Term Loan B		4.294%		1-Month LIBOR		2.250%		2/28/25		BB–		203,796
	607	Clear Channel Communications, Inc., Exit Term Loan, (DD1)		6.100%		1-Month LIBOR		4.000%		5/01/26		BB–		611,729
	448	Clear Channel Outdoor Holdings, Inc., Term Loan B		5.544%		1-Month LIBOR		3.500%		8/23/26		B+		449,859
	100	CSC Holdings LLC, Refinancing Term Loan		4.278%		1-Month LIBOR		2.250%		7/17/25		BB		100,098
	121	Cumulus Media, Inc., Term Loan B, (WI/DD)		TBD		TBD		TBD		TBD		B2		121,020
	261	Intelsat Jackson Holdings, S.A., Term Loan B		5.804%		1-Month LIBOR		3.750%		11/27/23		B1		262,073
	386	Meredith Corporation, Term Loan B1		4.794%		1-Month LIBOR		2.750%		1/31/25		BB		386,670
	25	Metro-Goldwyn-Mayer, Inc., Term Loan, First Lien		4.550%		1-Month LIBOR		2.500%		7/03/25		BB		24,937
	43	Nexstar Broadcasting, Inc., Term Loan B3		4.350%		1-Month LIBOR		2.250%		1/17/24		BB		43,038
	216	Nexstar Broadcasting, Inc., Term Loan B3		4.294%		1-Month LIBOR		2.250%		1/17/24		BB		216,590
	492	Sinclair Television Group, Term Loan B2		4.300%		1-Month LIBOR		2.250%		1/03/24		BB+		494,483
	354	Springer Science & Business Media, Inc., Term Loan B13, First Lien		5.544%		1-Month LIBOR		3.500%		8/24/22		B		354,587
	258	WideOpenWest Finance LLC, Term Loan B		5.294%		3-Month LIBOR		3.250%		8/19/23		B		250,264
	4,865	Total Media												4,873,004

		Multiline Retail – 0.1%

	246	EG America LLC, Term Loan, First Lien		6.104%		3-Month LIBOR		4.000%		2/05/25		B		243,881



JTA		Nuveen Tax-Advantaged Total Return Strategy Fund (continued)
JTA		Portfolio of Investments September 30, 2019
		(Unaudited)


Principal Amount (000)		Description (1)	Coupon (7)		Reference Rate (7)		Spread (7)		Maturity (8)		Ratings (9)		Value

		Oil, Gas & Consumable Fuels – 0.2%

$	208	Fieldwood Energy LLC, Exit Term Loan		7.506%		3-Month LIBOR		5.250%		4/11/22		B+	$	181,390
	267	Fieldwood Energy LLC, Exit Term Loan, second Lien		9.506%		3-Month LIBOR		7.250%		4/11/23		B+		201,831
	475	Total Oil, Gas & Consumable Fuels												383,221

		Pharmaceuticals – 0.4%

	725	Valeant Pharmaceuticals International, Inc., Term Loan, First Lien		5.039%		1-Month LIBOR		3.000%		6/02/25		Ba2		728,471

		Professional Services – 0.5%

	389	Nielsen Finance LLC, Term Loan B4		4.042%		1-Month LIBOR		2.000%		10/04/23		BBB–		389,288
	479	On Assignment, Inc., Term Loan B		4.044%		1-Month LIBOR		2.000%		4/02/25		BB		480,721
	868	Total Professional Services												870,009

		Road & Rail – 0.2%

	398	Avolon LLC, Term Loan B3		3.794%		1-Month LIBOR		1.750%		1/15/25		Baa2		399,619

		Semiconductors & Semiconductor Equipment – 0.7%

	144	Microchip Technology, Inc., Term Loan B		4.050%		1-Month LIBOR		2.000%		5/29/25		Baa3		144,396
	472	MKS Instruments, Inc., Term Loan		3.880%		3-Month LIBOR		1.750%		2/01/26		BB+		473,815
	474	MKS Instruments, Inc., Term Loan B6, (WI/DD)		TBD		TBD		TBD		TBD		BB+		474,877
	1,090	Total Semiconductors & Semiconductor Equipment												1,093,088

		Software – 2.5%

	692	Ellucian, Term Loan B, First Lien		5.354%		3-Month LIBOR		3.250%		9/30/22		B		693,187
	249	Epicor Software Corporation,Term Loan B		5.300%		1-Month LIBOR		3.250%		6/01/22		B2		249,189
	605	Infor (US), Inc., Term Loan B		4.854%		3-Month LIBOR		2.750%		2/01/22		Ba3		606,619
	304	McAfee LLC, Term Loan B		5.794%		1-Month LIBOR		3.750%		9/29/24		B		305,063
	123	Micro Focus International PLC, New Term Loan		4.544%		1-Month LIBOR		2.500%		6/21/24		BB–		121,984
	833	Micro Focus International PLC, Term Loan B		4.544%		1-Month LIBOR		2.500%		6/21/24		BB–		823,791
	503	SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B3		4.294%		1-Month LIBOR		2.250%		4/16/25		BB+		505,098
	332	SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B4		4.294%		1-Month LIBOR		2.250%		4/16/25		BB		333,629
	451	TIBCO Software, Inc., Term Loan B		6.070%		1-Month LIBOR		4.000%		7/03/26		B1		452,392
	4,092	Total Software												4,090,952

		Specialty Retail – 0.4%

	162	Petco Animal Supplies, Inc., Term Loan B1		5.506%		3-Month LIBOR		3.250%		1/26/23		B2		123,797
	473	Petsmart Inc., Term Loan B, First Lien		6.040%		1-Month LIBOR		4.000%		3/11/22		B		462,107
	635	Total Specialty Retail												585,904

		Technology Hardware, Storage & Peripherals – 1.5%

	443	BMC Software, Inc., Term Loan B		6.294%		1-Month LIBOR		4.250%		10/02/25		B		427,485
	706	Dell International LLC, Refinancing Term Loan B1		4.050%		1-Month LIBOR		2.000%		9/19/25		BBB–		710,517
	133	NCR Corporation, Delayed Draw, Term Loan, (10)		4.630%		N/A		N/A		8/28/26		BBB–		133,750
	117	NCR Corporation, Term Loan B		4.550%		1-Month LIBOR		2.500%		8/28/26		BBB–		117,031
	1,053	Western Digital, Term Loan B		3.862%		1-Month LIBOR		1.750%		4/29/23		Baa2		1,051,775
	2,452	Total Technology Hardware, Storage & Peripherals												2,440,558

		Trading Companies & Distributors – 0.4%

	240	Fly Funding II S.a r.l., Term Loan B		4.180%		3-Month LIBOR		2.000%		2/09/23		BB+		240,247
	429	Univar, Inc., Term Loan B		4.294%		1-Month LIBOR		2.250%		7/01/24		BB+		430,986
	669	Total Trading Companies & Distributors												671,233

		Wireless Telecommunication Services – 0.4%

	731	Sprint Corporation, Term Loan, First Lien		4.563%		1-Month LIBOR		2.500%		2/03/24		Ba2		727,137
$	42,183	Total Variable Rate Senior Loan Interests ($42,031,836)												41,853,635


Principal Amount (000)		Description (1)	Coupon		Maturity		Ratings (9)		Value

		$1,000 PAR (OR SIMILAR) INSTITUTIONAL PREFERRED – 5.9% (4.0% of Total Investments)

		Automobiles – 0.1%

$	215	General Motors Financial Co Inc.		6.500%		N/A (11)		BB+	$	216,075

		Banks – 3.8%

	425	Bank of America Corp		6.500%		N/A (11)		BBB–		472,813
	70	Bank of America Corp		6.300%		N/A (11)		BBB–		78,750
	475	CIT Group Inc.		5.800%		N/A (11)		Ba3		482,125
	600	Citigroup Inc.		6.250%		N/A (11)		BB+		668,250
	225	Citigroup Inc.		5.800%		N/A (11)		BB+		225,169
	275	Citizens Financial Group Inc		5.500%		N/A (11)		BB+		277,062
	50	CoBank ACB, 144A		6.250%		N/A (11)		BBB+		53,375
	200	Huntington Bancshares Inc/OH		5.700%		N/A (11)		Baa3		203,714
	79	JPMorgan Chase & Co, (3-Month LIBOR reference rate + 3.470% spread), (12)		5.736%		N/A (11)		Baa2		79,370
	200	JPMorgan Chase & Co		6.100%		N/A (11)		Baa2		216,840
	500	JPMorgan Chase & Co		6.750%		N/A (11)		Baa2		555,000
	600	M&T Bank Corp		6.450%		N/A (11)		Baa2		654,000
	700	PNC Financial Services Group Inc.		6.750%		N/A (11)		Baa2		746,760
	450	SunTrust Banks Inc		5.625%		N/A (11)		Baa3		450,000
	500	Wells Fargo & Co		5.875%		N/A (11)		Baa2		551,100
	500	Zions Bancorp NA		7.200%		N/A (11)		BB+		547,500
	5,849	Total Banks								6,261,828

		Capital Markets – 0.3%

	275	Goldman Sachs Group Inc.		5.300%		N/A (11)		Ba1		288,750
	125	Morgan Stanley		5.550%		N/A (11)		BB+		126,731
	400	Total Capital Markets								415,481

		Consumer Finance – 0.5%

	540	Capital One Financial Corp		5.550%		N/A (11)		Baa3		546,210
	275	Discover Financial Services		5.500%		N/A (11)		Ba2		278,924
	815	Total Consumer Finance								825,134

		Diversified Financial Services – 0.2%

	325	Voya Financial Inc		6.125%		N/A (11)		BBB–		344,500

		Food Products – 0.5%

	800	Land O’ Lakes Inc., 144A		8.000%		N/A (11)		BB		804,000

		Industrial Conglomerates – 0.3%

	465	General Electric Co		5.000%		N/A (11)		BBB–		441,169

		Insurance – 0.2%

	250	Progressive Corp		5.375%		N/A (11)		BBB+		258,125
$	9,119	Total $1,000 Par (or similar) Institutional Preferred (cost $9,219,857)								9,566,312

Shares		Description (1)	Coupon				Ratings (9)		Value

		$25 PAR (OR SIMILAR) RETAIL PREFERRED – 5.1% (3.4% of Total Investments)

		Banks – 2.0%

	4,625	CoBank ACB, 144A, (2)		6.250%				BBB+	$	485,625
	3,250	CoBank ACB, (2)		6.125%				BBB+		331,500
	8,622	Fifth Third Bancorp		6.625%				Baa3		241,416
	9,162	FNB Corp		7.250%				Ba2		275,318
	13,775	Huntington Bancshares Inc.		6.250%				Baa3		362,283
	7,550	KeyCorp		6.125%				Baa3		217,062
	12,600	People’s United Financial Inc		5.625%				BB+		346,626
	18,844	Regions Financial Corp		6.375%				BB+		524,052
	19,300	US Bancorp		6.500%				A3		527,855
		Total Banks								3,311,737



JTA		Nuveen Tax-Advantaged Total Return Strategy Fund (continued)
JTA		Portfolio of Investments September 30, 2019
		(Unaudited)



Shares		Description (1)			Coupon				Ratings (9)		Value

		Capital Markets – 1.1%

	19,400	Charles Schwab Corp				6.000%				BBB	$	511,772
	11,300	Ladenburg Thalmann Financial Services Inc.				8.000%				N/R		279,675
	17,925	Morgan Stanley				7.125%				BB+		514,447
	4,700	Morgan Stanley				6.375%				BB+		131,318
	7,396	Stifel Financial Corp				6.250%				BB–		204,425
	4,450	Stifel Financial Corp				6.250%				BB–		122,375
		Total Capital Markets										1,764,012

		Consumer Finance – 0.2%

	12,800	Capital One Financial Corp				6.700%				Baa3		324,096
	2,300	Capital One Financial Corp				5.000%				Baa3		57,431
		Total Consumer Finance										381,527

		Electric Utilities – 0.2%

	11,000	Duke Energy Corp				5.750%				BBB		303,930

		Food Products – 0.4%

	3,757	CHS Inc.				7.875%				N/R		102,378
	7,632	CHS Inc.				7.100%				N/R		203,088
	11,205	CHS Inc.				6.750%				N/R		294,916
		Total Food Products										600,382

		Insurance – 0.9%

	15,400	Athene Holding Ltd				6.350%				BBB–		433,356
	13,500	Enstar Group Ltd				7.000%				BB+		366,120
	8,175	National General Holdings Corp				7.500%				N/R		201,105
	13,882	PartnerRe Ltd				7.250%				BBB		376,341
		Total Insurance										1,376,922

		Thrifts & Mortgage Finance – 0.3%

	10,000	Federal Agricultural Mortgage Corp				5.700%				N/R		267,600
	6,700	New York Community Bancorp Inc				6.375%				Ba1		186,595
		Total Thrifts & Mortgage Finance										454,195
		Total $25 Par (or similar) Retail Preferred (cost $7,637,506)										8,192,705

Shares		Description (1)			Coupon		Maturity (8)		Ratings (9)		Value

		CONVERTIBLE PREFERRED SECURITIES – 2.2% (1.5% of Total Investments)

		Banks – 0.3%

	225	Bank of America Corp				7.250%				BBB–	$	337,322
	170	Wells Fargo & Co				7.500%				Baa2		258,824
		Total Banks										596,146

		Multi-Utilities – 1.8%

	55,220	CenterPoint Energy Inc.				7.000%				N/R		2,885,797

		Semiconductors & Semiconductor Equipment – 0.1%

	150	Broadcom Inc.				8.000%		9/30/22		N/R		153,808
		Total Convertible Preferred Securities (cost $3,448,519)										3,635,751

Shares		Description (1)	Coupon		Issue Price		Cap Price		Maturity		Value

		STRUCTURED NOTES – 0.9% (0.6% of Total Investments)

	5,400	Merrill Lynch International & Co. C.V., Mandatory Exchangeable Note, Linked to Common Stock of Broadcom Inc. (Cap 115.50% of Issue Price), 144A		10.000%	$	280.9170	$	324.4591		2/20/20	$	1,503,488
		Total Structured Notes (cost $1,516,952)										1,503,488

Principal
Amount (000)

Description (1)

Coupon

Maturity

Ratings (9)

Value

CORPORATE BONDS – 0.1% (0.1% of Total Investments)

Media – 0.1%

133

iHeartCommunications Inc, (5), (13)

9.000%

12/15/19

N/R

—

106

iHeartCommunications Inc

8.375%

5/01/27

B–

114,518

239

Total Corporate Bonds (cost $111,228)

114,518

Shares

Description (1)

Value

WARRANTS – 0.0% (0.0% of Total Investments)

Marine – 0.0%

1,176

HGIM Corp, (2), (4)

11,760

Total Warrants (cost $47,040)

11,760

Total Long-Term Investments (cost $209,568,317)

229,158,339

Principal
Amount (000)/
Shares

Description (1)

Coupon

Maturity

Value

SHORT-TERM INVESTMENTS – 6.3% (4.3% of Total Investments)

REPURCHASE AGREEMENTS – 5.4% (3.7% of Total Investments)

8,841

Repurchase Agreement with Fixed Income Clearing Corporation,
dated 9/30/19, repurchase price $8,841,586,
collateralized by $7,795,000 U.S. Treasury Bonds,
2.875%, due 5/15/43, value $9,019,205

0.850%

10/01/19

8,841,377

INVESTMENT COMPANIES – 0.9% (0.6% of Total Investments)

1,472,475

BlackRock Liquidity Funds T-Fund Portfolio, (14)

1.773% (15)

N/A

1,472,475

Total Short-Term Investments (cost $10,313,852)

10,313,852

Total Investments (cost $219,882,169) – 147.2%

239,472,191

Borrowings – (44.6)% (16), (17)

(72,500,000

)

Other Assets Less Liabilities – (2.6)% (18)

(4,263,794

)

Net Assets Applicable to Common Shares – 100%

162,708,397

Investments in Derivatives

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 (19)

Optional
Termination
Date

Maturity
Date

Value

Unrealized
Appreciation
(Depreciation)

JPMorgan Chase Bank, N.A.

41,800,000

Receive

1-Month LIBOR

1.969

Monthly

6/01/18

7/01/25

7/01/27

(2,046,855

)

(2,046,855

)

Part F of Form N-PORT was prepared in accordance with accounting principles general accepted in the United States of America (U.S. GAAP) and in conformity with the applicable rules and regulations of the U.S. Securities and Exchange Commission (SEC) related to interim filings. Part F of Form N-PORT does not include all information and footnotes required by U.S. GAAP for complete financial statements. Certain footnote disclosures normally included in financial statements prepared in accordance with U.S. GAAP have been condensed or omitted from this report pursuant to the rules of the SEC. For a full set of the Fund’s notes to financial statements, please refer to the Fund’s most recently filed annual or semi-annual report.

Fair Value Measurements

The Fund’s investments in securities are recorded at their estimated fair value. 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



JTA		Nuveen Tax-Advantaged Total Return Strategy Fund (continued)
JTA		Portfolio of Investments September 30, 2019
		(Unaudited)

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, credit spreads, 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	$	93,775,154	$	70,490,747		$	14,269		$	164,280,170
Variable Rate Senior Loan Interests		—		41,853,635			—			41,853,635
$1,000 Par (or similar) Institutional Preferred		—		9,566,312			—			9,566,312
$25 par (or similar) Retail Preferred		7,375,580		817,125			—			8,192,705
Convertible Preferred Securities		3,635,751		—			—			3,635,751
Structured Notes		—		1,503,488			—			1,503,488
Corporate Bonds		—		114,518			—	*		114,518
Warrants		—		11,760			—			11,760

Short-Term Investments:
Repurchase Agreements		—		8,841,377			—			8,841,377
Investment Companies		1,472,475		—			—			1,472,475

Investments in Derivatives:
Interest Rate Swaps**		—		(2,046,855	)		—			(2,046,855	)
Total	$	106,258,960	$	131,152,107		$	14,269		$	237,425,336

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

**	Represents net unrealized appreciation (depreciation).

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)	Investment, or portion of investment, is hypothecated. The total value of investments hypothecated as of the end of the reporting period was $44,856,447.

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

(5)	Investments 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.

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

(7)

Senior loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate (Reference Rate) plus an assigned fixed rate (Spread). 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 senior loan. The rate shown is the coupon as of the end of the reporting period.

(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)

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.

(10)	Investment, or portion of investment, represents an outstanding unfunded senior loan commitment.

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

(12)	Variable rate security. The rate shown is the coupon as of the end of the reporting period.

(13)	Defaulted security. A security whose issuer has failed to fully pay principal and/or interest when due, or is under the protection of bankruptcy.

(14)	A copy of the most recent financial statements for these investment companies can be obtained directly from the Securities and Exchange Commission on its website at http://www.sec.gov.

(15)	The rate shown is the annualized seven-day subsidized yield as of the end of the reporting period.

(16)	Borrowings as a percentage of Total Investments is 30.3%.

(17)

The Fund may pledge up to 100% of its eligible investments (excluding any investments separately pledged as collateral for specific investments in derivatives, when applicable) in the Portfolio of Investments as collateral for borrowings. As of the end of the reporting period, investments with a value of $170,450,350 have been pledged as collateral for borrowings.

(18)	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.

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

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

DD1	Portion of investment purchased on a delayed delivery basis.

LIBOR

London Inter-Bank Offered Rate

N/A	Not applicable

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 coupon rate is not available prior to settlement. At settlement, if still unknown, the borrower or counterparty will provide the Fund with the final coupon rate and maturity date.

WI/DD

Purchased on a when-issued or delayed delivery basis.

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