SEC Form N-CSR filed

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Nuveen Tax-Advantaged Total Return Strategy Fund

(Exact name of registrant as specified in charter)

Nuveen Investments

333 West Wacker Drive

Chicago, IL 60606

(Address of principal executive offices) (Zip code)

Mark L. Winget

Nuveen Investments

333 West Wacker Drive

Chicago, IL 60606

(Name and address of agent for service)

Registrant’s telephone number, including area code:    (312) 917-7700                        

Date of fiscal year end:    December 31                                

Date of reporting period:    December 31, 2020                   

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR 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 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. ss. 3507.

ITEM 1. REPORTS TO STOCKHOLDERS.

Closed-End Funds

31 December 2020

Nuveen Closed-End Funds

As permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semi-annual shareholder reports will not be sent to you by mail unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (www.nuveen.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive shareholder reports and other communications from the Fund electronically at any time by contacting the financial intermediary (such as a broker-dealer or bank) through which you hold your Fund shares or, if you are a direct investor, by enrolling at www.nuveen.com/e-reports.

You may elect to receive all future shareholder reports in paper free of charge at any time by contacting your financial intermediary or, if you are a direct investor, by calling 800-257-8787 and selecting option #2 or (ii) by logging into your Investor Center account at www.computershare.com/investor and clicking on “Communication Preferences”. Your election to receive reports in paper will apply to all funds held in your account with your financial intermediary or, if you are a direct investor, to all your directly held Nuveen Funds and any other directly held funds within the same group of related investment companies.

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Table of Contents

3

Chair’s Letter to Shareholders

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Portfolio Managers’ Comments

Nuveen Tax-Advantaged Total Return Strategy Fund (JTA)

The Fund features portfolio management by two affiliates of Nuveen Fund Advisors, LLC, the Fund’s investment adviser, NWQ Investment Management Company, LLC (NWQ) and Nuveen Asset Management, LLC (NAM).

NWQ is the sub-adviser for the Fund’s investments in dividend-paying common and preferred stocks and call options written. James T. Stephenson, CFA, Managing Director of NWQ, Thomas J. Ray, CFA, and Susi Budiman, CFA, FRM manage the NWQ portion of the Fund.

NAM is the sub-adviser for the Fund’s investments in senior corporate loans and other debt instruments. On December 31, 2020, the previous sub-adviser for the Fund’s investments in senior corporate loans and other debt instruments, Symphony Asset Management, LLC (“Symphony”), also an affiliate of the Adviser, was merged with and into NAM (the “Reorganization”). Effective as of the date of the Reorganization, NAM assumed Symphony’s portfolio management responsibilities and, as previously approved by the Fund’s Board of Trustees, the Fund entered into an amended and restated sub-advisory agreement with NAM, the terms of which were substantially identical to the prior sub-advisory agreement with Symphony. The NAM management team for the Fund is led by Scott Caraher.

Here the Fund’s portfolio management team discusses economic and market conditions, key investment strategies and the Fund’s performance for the twelve-month reporting period ended December 31, 2020.

What factors affected the U.S. economy and financial markets during the twelve-month reporting period ended December 31, 2020?

The U.S. economy rebounded more quickly than expected from the deep downturn caused by the COVID-19 crisis and containment measures, but it was not fully recovered by the year’s end. U.S. gross domestic product (GDP) grew 4.0% on an annualized basis in the fourth quarter of 2020 and 33.1% (annualized) in the third quarter, but remained down 3.5% in 2020 overall (from the 2019 annual level to the 2020 annual level) as measured by the Bureau of Economic Analysis “advance” estimate. GDP measures the value of goods and services produced by the nation’s economy less the value of the goods and services used up in production, adjusted for price changes. The economy fell into a deep recession in February 2020 due to the restrictions on business and social activity to mitigate the COVID-19 spread. In the first and second quarters of 2020, annualized GDP shrank 5% and 31.4%, respectively. Government relief programs provided significant aid to individuals and businesses as the economy began reopening in May 2020, which helped the economy bounce back strongly over the second half of the year.

This material is not intended to be a recommendation or investment advice, does not constitute a solicitation to buy, sell or hold a security or an investment strategy and is not provided in a fiduciary capacity. The information provided does not take into account the specific objectives or circumstances of any particular investor, or suggest any specific course of action. Investment decisions should be made based on an investor’s objectives and circumstances and in consultation with his or her advisors.

Certain statements in this report are forward-looking statements. Discussions of specific investments are for illustration only and are not intended as recommendations of individual investments. The forward-looking statements and other views expressed herein are those of the portfolio managers as of the date of this report. Actual future results or occurrences may differ significantly from those anticipated in any forward-looking statements and the views expressed herein are subject to change at any time, due to numerous market and other factors. The Fund disclaims any obligation to update publicly or revise any forward-looking statements or views expressed herein.

For financial reporting purposes, the ratings disclosed are the highest rating given by one of the following national rating agencies: Standard & Poor’s (S&P), Moody’s Investors Service, Inc. (Moody’s) or Fitch, Inc. (Fitch). This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below investment grade ratings. Holdings designated N/R are not rated by these national rating agencies.

Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this section.

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Portfolio Managers’ Comments (continued)

Consumer spending, the largest driver of the economy, remained resilient despite the disruption caused by the health and economic crisis. Consumer spending declined significantly and unemployment rose sharply starting in March 2020. These measures rebounded markedly in the second half of the year, although the momentum slowed toward year end amid a resurgence of coronavirus infections. The Bureau of Labor Statistics said the unemployment rate rose to 6.7% in December 2020 from 3.6% in December 2019. As of December 2020, slightly more than half of the 22 million jobs lost in March and April 2020 have been recovered. The average hourly earnings rate appeared to increase, growing at an annualized rate of 5.1% in December 2020, despite the spike in unemployment. Earnings data was skewed by the concentration of job losses in lower-wage work, which effectively eliminated most of the low-wage data, resulting in an average of mostly higher numbers. The overall trend of inflation remained muted, as decreases in gasoline, apparel and transportation prices offset an increase in food prices. The Bureau of Labor Statistics said the Consumer Price Index (CPI) increased 1.4% over the twelve-month reporting period ended December 31, 2020 before seasonal adjustment.

Prior to the COVID-19 crisis recession, the U.S. Federal Reserve (the Fed) had reduced its benchmark interest rate to support the economy’s slowing growth. The Fed also stopped shrinking its bond portfolio sooner than scheduled and began buying short-term Treasury bills to help money markets operate smoothly and maintain short-term borrowing rates at low levels. As the health and economic crisis deepened, the Fed enacted an array of emergency measures in March 2020 to stabilize the financial system and support the markets, including cutting its main interest rate to near zero, offering lending programs to aid small and large companies and allowing unlimited bond purchases, known as quantitative easing. In August 2020, the Fed announced a change in inflation policy to average inflation targeting. Under this regime, the Fed will tolerate the inflation rate temporarily overshooting the target rate to offset periods of below-target inflation, so that inflation averages a 2% rate over time. Fed officials remained cautious, acknowledging the economy’s improvement but concerned about near-term weakness, and left policy unchanged over the remainder of their meetings in 2020.

In March and April 2020, the U.S. government approved three aid packages. These included $2 trillion allocated across direct payments to Americans, an expansion of unemployment insurance, loans to large and small businesses, funding to hospitals and health agencies and support to state and local governments, and more than $100 billion in funding to health agencies and employers offering paid leave. In December 2020, the government enacted a $900 billion relief package extending some of these programs. With Joe Biden winning the U.S. presidential election in November 2020, more fiscal stimulus is anticipated in 2021.

The COVID-19 crisis rapidly dwarfed all other market concerns starting in late February 2020. Equity and commodity markets sold off and safe-haven assets rallied in March 2020 as China, other countries and then the United States initiated quarantines, restricted travel and shuttered factories and businesses. The potential economic shock was particularly difficult to assess, which amplified market volatility. An ill-timed oil price war between the Organization of the Petroleum Exporting Countries (OPEC) and non-OPEC member Russia, which caused oil prices to plunge in March 2020, exacerbated the market sell-off. At year end, the announcement of high efficacy rates in several COVID-19 vaccine trials, followed by regulatory authorizations and public vaccination drives across Western countries, improved the outlook for 2021 and led to risk-on sentiment in the markets.

Geopolitical uncertainty remained elevated during 2020 in anticipation of the U.S. presidential election in November 2020 and the Brexit transition period set to expire in December 2020. Political risks eased somewhat toward the end of the reporting period, as markets ultimately viewed a Biden administration positively and the European Union (EU) and United Kingdom (U.K.) finalized a trade deal in the final days of the transition period. Although China and the U.S. signed a “phase one” trade deal in January 2020, tensions continued to flare over other trade and technology/security issues, Hong Kong’s sovereignty and the management of the COVID-19 crisis.

For the twelve-month reporting period, the U.S. senior loan market, as measured by Credit Suisse Leverage Loan Index (the Index), generated a return of 2.78%, reflecting a recovery following the unpreceded loss during the first quarter

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2020. The Index lost -13.19% during the first three months of the reporting period following the COVID-19 crisis, which resulted in large portions of the economy being shut down, with companies closing either temporarily or permanently and most of the U.S. population under stay-at-home orders during March and April 2020. Additionally, an oil price war between the Organization of the Petroleum Exporting Countries (OPEC) and non-OPEC member Russia, which caused oil prices to plunge in March 2020, exacerbated the market sell-off. Capital markets began to recover following an array of emergency measures enacted by the Fed combined with unprecedented fiscal stimulus. Within senior loans, higher rated (BBB-/BB-) loans were the first to recover, although bifurcation in spread between high quality and lower quality issues (B-/CCC-rated) began to narrow in May 2020, as investors became more comfortable adding risk. Collateralized loan obligations (CLO) formation began to pick up, boosting demand for senior loans. Capital markets continued to recover between July and December 2020, amid continued improvements in economic data, the emergence of multiple vaccines for COVID-19 and a relatively market friendly U.S. elections outcome. Within the asset class, prices advanced across industries and the credit spectrum. Leading the rally were lower rated loans and industries most affected by the COVID-19 crisis, including the energy sector. Additionally, December 2020 marked the first month of inflows for retail senior loan funds since September 2018. Low rates had been keeping investors on the sidelines, but the fourth quarter 2020 rise in Treasury yields led to higher perceived interest-rate risk and renewed appetite for variable-rate assets such as senior loans.

What key strategies were used to manage the Fund during the twelve-month reporting period ended December 31, 2020?

The Fund is designed to seek a high level of after-tax total return consisting primarily of tax-advantaged dividend income and capital appreciation. In pursuit of this objective, the Fund invests a substantial majority of its assets in common and preferred stocks whose dividends qualify for reduced income tax treatment. The Fund also invests a portion of its assets in senior loans to generate additional income and help mitigate the potential net asset value and income volatility of the Fund’s leverage structure due to changes in long-term and short-term interest rates. In an effort to achieve this, the Fund invests at least 60% in common stocks whose dividends may be eligible for favorable income tax treatment. The Fund also invests to a more limited extent in preferred stocks, which can range from a minimum of 5% to a maximum of 15%, that are eligible to pay tax-advantaged dividends, as well as 20% in senior loans and other debt instruments.

NWQ Key Strategies

For the common and preferred equity portion of the Fund’s portfolio, NWQ continued to employ an opportunistic, bottom-up strategy that focused on identifying undervalued companies possessing favorable risk/reward characteristics as well as what it thought were emerging catalysts that could unlock value or improve profitability. These catalysts included management changes, restructuring efforts, recognition of hidden assets and/or a positive change in the underlying fundamentals. NWQ also focused on downside risk management and paid a great deal of attention to a company’s balance sheet and cash flow statement, not just the income statement. NWQ believes that cash flow analysis offers a more objective picture of a company’s financial position than an evaluation based on earnings alone. Within the global equity income strategy managed by NWQ, up to 70% of the Fund’s managed assets can be invested in non-U.S. issues of any currency, including up to 20% in emerging market countries. JTA’s investment objective is to achieve a high level of after-tax total return, consisting primarily of tax-advantaged dividend income and capital appreciation. The Fund seeks to obtain a dividend yield above the MSCI World Value Index (MSCI World Index prior to June 30, 2020) and employs a value based approach in our bottom up analysis. NWQ looks for attractive absolute valuation, positive risk/reward with downside risk management and catalysts that can drive a positive revaluation of companies.

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Portfolio Managers’ Comments (continued)

NAM Key Strategies

In the senior loan and other debt portion of the Fund’s portfolio, NAM continues to manage and monitor senior loan market risks. The Fund’s capital remained invested in issuers with strong credit profiles among non-investment grade debt, while offering attractive current income and yield. Fundamentally, NAM feels that many of these companies have stable businesses, good asset coverage for senior debt holders and could perform well in a stable to slow growth environment.

How did the Fund perform during the twelve-month reporting period ended December 31, 2020?

The table in the Performance Overview and Holding Summaries section of this report provides total returns at net asset value (NAV) for the period ended December 31, 2020. The Fund’s total returns on NAV are compared with the performance of a corresponding market index.

For the twelve-month reporting period ended December 31, 2020, the Fund underperformed the S&P 500^®Index and its secondary Blended Benchmark. Effective June 30, 2020, the Blended Benchmark was changed to 72% MSCI World Value Index (Net) 8% ICE BofA Preferred DRD Eligible Preferred Securities Index and 20% Credit Suisse Leverage Loan Index. This change is intended to better reflect NWQ’s investment strategy and is retroactive as of inception date.

NWQ

The equity portion of the Fund’s portfolio, managed by NWQ, detracted from the Fund’s performance on an absolute basis and underperformed the sleeve benchmark, the MSCI World Value Index. Security selection and an overweight in the information technology sector and security selection in the communication services sector were the largest drivers of the sleeve’s performance. This was offset by underperformance owed to security selection in the financials, utilities and industrials sectors. Geographically, performance benefitted from exposures in Japan and Canada. Investments in the United States, Europe (excluding the United Kingdom) and the Middle East detracted from relative returns for the reporting period.

Among the equity portion of the Fund’s portfolio, the top detractors from absolute performance included Delta Air Lines Inc, MGM Growth Properties and AIB Group PLC. Industrials sector holding Delta Air Lines underperformed due to the sharp decline in airline travel owed to the COVID-19 crisis. NWQ eliminated the position on concerns over the company’s increased debt load. Real estate holding MGM Growth Properties saw a massive decline as many casinos across the country shut down operations as the COVID-19 crisis forced the nation to shelter-in-place. Although MGM Growth Properties’ tenant is a high quality casino operator, the potential for lease restructuring and resulting negative impact on net operating income (NOI) quickly resulted in a devaluation of the stock. Given the uncertain duration of the shelter-in-place mandate, NWQ chose to exit the position. Financials holding AIB Group has faced difficulty reducing costs prior to Brexit thereby increasing its overall earnings risk. The equity portion of the Fund’s portfolio no longer holds the position as we found more attractive opportunities elsewhere.

Among the equity portion of the Fund’s portfolio, those top contributors to absolute performance over the reporting period included communication services holdings Nintendo Co. Ltd. Nintendo’s Switch hardware sales continued to perform well given global stay at home orders. Retail store closures have led to a shift from physical game purchases to much higher margin digital game purchases. In addition, industrial holding Deutsche Post AG, a German multi-national package delivery and supply chain management company, exceeded analysts’ expectations. The Deutsche Post Express Division, the courier service which transports documents and goods, experienced increased demand, leading to higher volumes and prices as inventories were restocked. The Deutsche Post Parcel Division showed strength as more customers relied on e-commerce during the COVID-19 crisis stay-at-home orders. Utilization of assets picked up, as well as new lift capacity in the Deutsche Post Express Division hit the market at the right time. The company’s restructuring of parcel operations has led to improved profitability. Lastly, information technology holding Samsung Electronics Co.

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contributed to performance. Samsung outperformed due to strong demand for semiconductors as global demand is turning into a shortage. Additionally, the company benefited from an expansion in 5G handset demand. NWQ continues to hold the positions.

The preferred portion of the Fund’s portfolio managed by NWQ, contributed to performance, with bank holdings contributing the most. All industry sectors, with the exception of utilities, positively contributed to absolute performance during the reporting period.

Several holdings within the preferred portion of the Fund’s portfolio detracted from absolute performance, including CenterPoint Energy Inc. Shares fell sharply after the Public Utilities Commission of Texas (PUCT) discussed CenterPoint Energy’s outstanding Houston electric rate case that indicated a lower than expected return on equity. Investors expected that there would be potential for significant equity needs if the final decision is in line with what the PUCT discussed. The Fund no longer holds CenterPoint Energy Inc. In addition, the preferred stock of General Electric Company was another detractor during the reporting period. The company along with many cyclical peers was negatively impacted by the COVID-19 crisis as results declined during the reporting period. NWQ no longer holds the position. Lastly, Capital One Financial Corporation preferred stock detracted from performance. The financials sector struggled and was one of the worst performers during the COVID-19 crisis due to lower business activity and declining interest rates. NWQ continues to hold this position.

Several individual positions within the preferred portion of the Fund’s portfolio contributed to absolute performance, including the structured note of Merrill Lynch International & Co. The Merrill Lynch structured note’s underlying common stock, Broadcom Inc., rose on the announcement of a potential sale of its radio-frequency unit. Management no longer views its wireless (and industrial) businesses as core and chose to focus on its more stable, higher margin networking, broadband and storage solutions business on the components side. NWQ continues to hold the position. In addition, the preferred stock of JPMorgan Chase & Co. and Truist Financial Company contributed to performance. Banks rose sharply as positive news on COVID-19 vaccines in early November 2020 refocused investors on the potential for economic normalization and the powerful impact that has when combined with compelling valuation. NWQ continues to hold both the positions.

The Fund also wrote call options to capture upside and manage downside risk against sharp movements of securities held within the portfolio. These call options had a negligible impact to the Fund’s total return performance during the reporting period.

NAM

The senior loan sleeve of the Fund managed by NAM was negative on a total return basis and underperformed the broader loan market as measured by the Credit Suisse Leveraged Loan Index during the reporting period.

The senior loan sleeve of the Fund is invested predominantly in first-lien, senior secured corporate loans. NAM generally focuses on loans of issuers with businesses in defensive sectors that have strong asset coverage, as well as loans of larger issuance and facility sizes. These loans are generally referred to as broadly syndicated loans.

During the reporting period, the loan sleeve of the Fund’s portfolio continued to be actively managed while maintaining an overall bias towards high quality, more liquid loans relative to the Index. As capital markets began to sell-off in February and March 2020, the investment team took steps to reduce credit risk and leverage in the portfolio. As the market began to recover in later March and early April 2020, the team added high quality loans. Later in May 2020, the team selectively added credit risk by increasing B-rated issues to capture the risk rally.

Several factors contributed to the loan sleeve’s underperformance, including the loans of American Airlines, Inc. due to the sharp decline in airline travel due to the COVID-19 crisis. While American Airlines loans recovered strongly during the second half of the reporting period on continued progress towards economic recovery and positive COVID-19

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Portfolio Managers’ Comments (continued)

vaccine news, the benefit was more than offset by the sharp decline in the first half of the reporting period. The sleeve continues to hold positions in American Airlines. In addition, the loans of AMC Entertainment Inc. and Cineworld Group PLC saw a price decline as movie theaters across the country shut down operations as the COVID-19 crisis forced the nation to shelter-in-place. The investment team exited the sleeve’s position in AMC, but continues to hold its positions in Cineworld. Also detracting from performance was disappointing security selection within the energy sector, which more than offset the benefit of an active underweight to the sector. Specifically, the sleeve’s exposure to Fieldwood Energy LLC, an oil and gas exploration and production company, detracted from relative results. Despite having a highly attractive deep-water portfolio that became increasingly economical as oil prices recovered, Fieldwood’s loans remained under severe pressure as the company worked with lenders on potential restructuring. The sleeve continues to hold positions in this issuer.

Several factors contributed to performance during the reporting period, including favorable security selection within the consumer discretionary sector combined with an active underweight to the sector. In addition, an active underweight to the utilities sector aided relative performance. The loan sleeve was also significantly underweight brick-and-mortar retailers relative to the Index. For example, the sleeve had no exposure to J.C. Penny Corporation and Neiman Marcus Group, which were hit hard by the COVID-19 crisis. Additionally, PetSmart Inc. loans recovered strongly following the March 2020 sell-off, driven by better than expected earnings results and improved liquidity profile following bond issuances. The sleeve continues to hold positions in PetSmart. Lastly, the loans of Intelsat Jackson Holdings, S.A., a satellite operator, rose as the company announced a restructuring plan that was favorable to senior loan holders. The sleeve continues to hold positions in Intelsat.

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Fund Leverage

IMPACT OF THE FUND’S LEVERAGE STRATEGY ON PERFORMANCE

One important factor impacting the returns of the Fund’s common shares relative to their comparative benchmarks was the Fund’s use of leverage through the use of bank borrowings. The Fund uses leverage because our research has shown that, over time, leveraging provides opportunities for additional income. The opportunity arises when short-term rates that the Fund pays on its leveraging instruments are lower than the interest the Fund earns on its portfolio securities that it has bought with the proceeds of that leverage. This has been particularly true in the recent market environment where short-term rates have been low by historical standards.

However, use of leverage can expose Fund common shares to additional price volatility. When a Fund uses leverage, the Fund’s common shares will experience a greater increase in their net asset value if the securities acquired through the use of leverage increase in value, but will also experience a correspondingly larger decline in their net asset value if the bonds acquired through leverage decline in value. All this will make the shares’ total return performance more variable, over time.

In addition, common share income in levered funds will typically decrease in comparison to unlevered funds when short-term interest rates increase and increase when short-term interest rates decrease. In recent quarters, fund leverage expenses have generally tracked the overall movement of short-term tax-exempt interest rates. While fund leverage expenses are somewhat higher than their recent lows, leverage nevertheless continues to provide the opportunity for incremental common share income, particularly over longer-term periods.

The Fund’s use of leverage had a negative impact on total return performance during this reporting period. The negative impact of leverage during the brief but severe COVID-19 induced market downturn in March was greater than the positive impact of leverage during the remainder of the reporting period. More specifically, this net negative contribution of leverage was amplified during the market downturn in part because the Fund used proceeds from portfolio sales to pay down borrowings and reduce its elevated leverage ratio, which rose as prices of portfolio securities, including those sold for de-levering purposes, declined. Conversely, as financial markets recovered and asset prices steadied, the Fund gradually increased leverage levels, using proceeds to purchase new portfolio securities at generally higher prices. Management believes, however, that the potential benefits from leverage continue to outweigh the associated increase in risk and total return variability previously described.

The Fund continued to use interest rate swap contracts to partially hedge its future interest cost of leverage. The swap contracts had a negative impact on total return performance during this reporting period.

As of December 31, 2020, the Fund’s percentages of leverage are as shown in the accompanying table.

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Fund Leverage (continued)

THE FUND’S REGULATORY LEVERAGE

Bank Borrowings

As noted previously, the Fund employs leverage through the use of bank borrowings. The Fund’s bank borrowing activities are as shown in the accompanying table.

Refer to Notes to Financial Statements, Note 8 – Borrowing Arrangements for further details.

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Common Share Information

DISTRIBUTION INFORMATION

The following information regarding the Fund’s distributions is current as of December 31, 2020, the Fund’s fiscal and tax year end, and may differ from previously issued distribution notifications. The Fund’s distribution levels may vary over time based on the Fund’s investment activities and portfolio investment value changes.

The Fund has adopted a managed distribution program. The goal of the Fund’s managed distribution program is to provide shareholders relatively consistent and predictable cash flow by systematically converting its expected long-term return potential into regular distributions. As a result, regular distributions throughout the year will likely include a portion of expected long-term and/or short-term gains (both realized and unrealized), along with net investment income.

Important points to understand about Nuveen fund managed distributions are:

The following table provides information regarding the Fund’s distributions and total return performance over various time periods. This information is intended to help you better understand whether the Fund’s returns for the specified time periods were sufficient to meet its distributions.

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Common Share Information (continued)

Data as of December 31, 2020

The following table provides the Fund’s distribution sources as of December 31, 2020.

The amounts and sources of distributions reported in this notice are for financial reporting purposes and are not being provided for tax reporting purposes. The actual amounts and character of the distributions for tax reporting purposes will be reported to shareholders on Form 1099-DIV which will be sent to shareholders shortly after calendar year-end. More details about the Fund’s distributions and the basis for these estimates are available on www.nuveen.com/cef.

Data as of December 31, 2020

NUVEEN CLOSED-END FUND DISTRIBUTION AMOUNTS

The Nuveen Closed-End Funds’ monthly and quarterly periodic distributions to shareholders are posted on www.nuveen.com and can be found on Nuveen’s enhanced closed-end fund resource page, which is at https://www.nuveen.com/resource-center-closed-endfunds, along with other Nuveen closed-end fund product updates. To ensure timely access to the latest information, shareholders may use a subscribe function, which can be activated at this web page (https://www.nuveen.com/subscriptions).

COMMON SHARE REPURCHASES

During August 2020, the Fund’s Board of Trustees reauthorized an open-market share repurchase program, allowing the Fund to repurchase an aggregate of up to approximately 10% of its outstanding shares.

As of December 31, 2020, and since the inception of the Fund’s repurchase program, the Fund has cumulatively repurchased and retired its outstanding common shares as shown in the accompanying table.

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During the current reporting period, the Fund did not repurchase any of its outstanding common shares.

OTHER COMMON SHARE INFORMATION

As of December 31, 2020, and during the current reporting period, the Fund’s common share price was trading at a premium/(discount) to its common share NAV as shown in the accompanying table.

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Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this section.

Average Annual Total Returns as of December 31, 2020

Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. Returns at NAV are net of Fund expenses and assume reinvestment of distributions. Comparative index return information is provided for the Fund’s shares at NAV only. Indexes are not available for direct investment.

Common Share Price Performance — Weekly Closing Price

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This data relates to the securities held in the Fund’s portfolio of investments as of the end of the reporting period. It should not be construed as a measure of performance for the Fund itself. Holdings are subject to change.

For financial reporting purposes, the ratings disclosed are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below-investment grade ratings. Holdings designated N/R are not rated by these national rating agencies.

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Report of Independent Registered Public Accounting Firm

To the Shareholders and Board of Trustees

Nuveen Tax-Advantaged Total Return Strategy Fund

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of Nuveen Tax-Advantaged Total Return Strategy Fund (the Fund), including the portfolio of investments, as of December 31, 2020, the related statements of operations and cash flows for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years in the five-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of December 31, 2020, the results of its operations and cash flows for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of December 31, 2020, by correspondence with custodians and brokers or other appropriate auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.

/s/ KPMG LLP

We have served as the auditor of one or more Nuveen investment companies since 2014.

Chicago, Illinois

February 25, 2021

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