Nuveen Long/Short Commodity Total Return Fund - FORM 10-Q

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EXCEL - IDEA: XBRL DOCUMENT - Nuveen Long/Short Commodity Total Return Fund	Financial_Report.xls
EX-32.2 - EX-32.2 - Nuveen Long/Short Commodity Total Return Fund	d753794dex322.htm
EX-31.2 - EX-31.2 - Nuveen Long/Short Commodity Total Return Fund	d753794dex312.htm
EX-32.1 - EX-32.1 - Nuveen Long/Short Commodity Total Return Fund	d753794dex321.htm
EX-31.1 - EX-31.1 - Nuveen Long/Short Commodity Total Return Fund	d753794dex311.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form 10-Q

(Mark One)

x	QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended June 30, 2014

¨	TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from to

Commission File Number 001-35710

Nuveen Long/Short Commodity Total Return Fund

(Exact name of registrant as specified in its charter)


Delaware		45-2470177
(State or other jurisdiction of incorporation or organization)		(I.R.S. Employer Identification No.)

333 West Wacker Drive Chicago Illinois		60606
(Address of principal executive offices)		(Zip Code)

(877) 827-5920

(Registrant’s telephone number, including area code)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes x No ¨

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Website, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§229.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes x No ¨

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated file, or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):


Large accelerated filer	¨		Accelerated filer	x

Non-accelerated filer	¨	(Do not check if smaller reporting company)	Smaller reporting company	¨

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ¨ No x

As of August 5, 2014, the registrant had 17,645,840 shares outstanding.

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

TABLE OF CONTENTS


		Page No.
PART I. FINANCIAL INFORMATION

Item 1.	Financial Statements:		3

	Schedule of Investments at June 30, 2014 (Unaudited)		3

	Statements of Financial Condition at June 30, 2014 (Unaudited) and December 31, 2013		8

	Statements of Operations (Unaudited) for the three months ended June 30, 2014 and June 30, 2013 and for the six months ended June 30, 2014 and June 30, 2013		9

	Statements of Changes in Shareholders’ Capital for the six months ended June 30, 2014 (Unaudited) and the year ended December 31, 2013		10

	Statements of Cash Flows (Unaudited) for the six months ended June 30, 2014 and June 30, 2013		11

	Notes to Financial Statements (Unaudited)		12

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations		26

Item 3.	Quantitative and Qualitative Disclosures About Market Risk		40

Item 4.	Controls and Procedures		44

PART II. OTHER INFORMATION

Item 1.	Legal Proceedings		45

Item 1A.	Risk Factors		45

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds		45

Item 3.	Defaults Upon Senior Securities		45

Item 4.	Mine Safety Disclosures		45

Item 5.	Other Information		45

Item 6.	Exhibits		46

Signatures			47

PART I. FINANCIAL INFORMATION

Item 1.

Financial Statements

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

SCHEDULE OF INVESTMENTS (Unaudited)

June 30, 2014

Investments


Principal Amount (000)	Description	Coupon			Maturity		Ratings⁽¹⁾		Value
	Short-Term Investments
	U.S. Government and Agency Obligations
$ 15,000	U.S. Treasury Bills		0.000	%		7/24/14		Aaa	$	14,999,835
15,000	U.S. Treasury Bills		0.000	%		8/21/14		Aaa		14,999,520
40,000	U.S. Treasury Bills		0.000	%		9/18/14		Aaa		39,998,240
15,000	U.S. Treasury Bills		0.000	%		10/16/14		Aaa		14,998,110
17,250	U.S. Treasury Bills		0.000	%		11/13/14		Aaa		17,246,757
15,000	U.S. Treasury Bills		0.000	%		12/11/14		Aaa		14,996,610
15,000	U.S. Treasury Bills		0.000	%		1/08/15		Aaa		14,996,625
15,000	U.S. Treasury Bills		0.000	%		2/05/15		Aaa		14,995,215
15,000	U.S. Treasury Bills		0.000	%		3/05/15		Aaa		14,994,075
33,000	U.S. Treasury Bills		0.000	%		4/02/15		Aaa		32,984,886
32,000	U.S. Treasury Bills		0.000	%		4/30/15		Aaa		31,981,824
51,500	U.S. Treasury Bills		0.000	%		5/28/15		Aaa		51,456,225

$ 278,750	Total U.S. Government And Agency Obligations (cost $278,599,568)								$	278,647,922

	Repurchase Agreements
$ 9,139	Repurchase Agreement with State Street Bank, dated 6/30/14, repurchase price $9,139,192, collateralized by $6,515,000 U.S. Treasury Bonds, 8.125%, due 8/15/21, value $9,325,532		0.000	%		7/01/14		N/A	$	9,139,192

	Total Repurchase Agreements (cost $9,139,192)									9,139,192

	Total Short-Term Investments (cost $287,738,760)								$	287,787,114

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

June 30, 2014

Investments in Derivatives

Futures Contracts outstanding:


Commodity Group	Contract	Contract Position		Contract Expiration	Number of Contracts⁽²⁾			Notional Amount at Value⁽³⁾			Unrealized Appreciation (Depreciation)
Energy	Crude Oil
	ICE Brent Crude Oil Futures Contract		Long	August 2014		191		$	21,460,760		$	574,790
	ICE Brent Crude Oil Futures Contract		Long	September 2014		129			14,457,030			(279,520	)
	NYMEX Crude Oil Futures Contract		Long	August 2014		152			16,016,240			213,800
	NYMEX Crude Oil Futures Contract		Long	September 2014		181			18,956,130			(214,180	)

	Total Crude Oil											294,890

	Heating Oil
	ICE Gas Oil Futures Contract		Long	September 2014		360			33,210,000			(670,950	)
	NYMEX NY Harbor ULSD Futures Contract		Long	August 2014		72			8,997,307			(79,928	)
	NYMEX NY Harbor ULSD Futures Contract		Long	September 2014		105			13,166,055			(239,599	)

	Total Heating Oil											(990,477	)

	Natural Gas
	NYMEX Natural Gas Futures Contract		Long	August 2014		106			4,728,660			(94,340	)
	NYMEX Natural Gas Futures Contract		Long	September 2014		552			24,508,800			(556,150	)
	NYMEX Natural Gas Futures Contract		Long	November 2014		30			1,339,200			3,306

	Total Natural Gas											(647,184	)

	Unleaded Gas
	NYMEX Gasoline RBOB Futures Contract		Long	August 2014		70			8,947,302			110,774
	NYMEX Gasoline RBOB Futures Contract		Long	September 2014		103			13,001,793			(143,489	)

	Total Unleaded Gas											(32,715	)

	Total Energy											(1,375,486	)

Agriculture	Soybean
	CBOT Soybean Futures Contract		Long	November 2014		459			26,558,887			(1,582,015	)

	Corn
	CBOT Corn Futures Contract		Short	September 2014		(755	)		(15,807,813	)		1,656,446

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

June 30, 2014

Investments in Derivatives (Continued)

Futures Contracts outstanding (Continued):


Commodity Group	Contract	Contract Position		Contract Expiration	Number of Contracts⁽²⁾			Notional Amount at Value⁽³⁾			Unrealized Appreciation (Depreciation)
Agriculture	Sugar
(Continued)	ICE Sugar Futures Contract		Long	October 2014		93		$	1,875,922		$	(68,391	)

	Soybean Meal
	CBOT Soybean Meal Futures Contract		Long	December 2014		214			7,862,360			(521,370	)

	Wheat
	CBOT Wheat Futures Contract		Short	September 2014		(251	)		(7,247,625	)		648,972

	Soybean Oil
	CBOT Soybean Oil Futures Contract		Short	December 2014		(240	)		(5,637,600	)		192,743

	Cotton
	ICE Cotton Futures Contract		Short	December 2014		(114	)		(4,190,070	)		233,690

	Coffee
	ICE Coffee C Futures Contract		Long	September 2014		43			2,823,488			(168,131	)

	Total Agriculture											391,944

Metals	Gold
	CEC Gold Futures Contract		Long	August 2014		68			8,989,600			86,690
	CEC Gold Futures Contract		Long	December 2014		154			20,371,120			83,420

	Total Gold											170,110

	Silver
	CEC Silver Futures Contract		Long	September 2014		98			10,317,440			3,340

	Copper
	CEC Copper Futures Contract		Short	September 2014		(20	)		(1,601,750	)		(37,063	)

	Total Metals											136,387

Livestock	Live Cattle
	CME Live Cattle Futures Contract		Long	August 2014		77			4,622,310			318,882
	CME Live Cattle Futures Contract		Long	October 2014		132			8,085,000			141,528

	Total Live Cattle											460,410

	Lean Hogs
	CME Lean Hogs Futures Contract		Long	July 2014		27			1,432,620			81,217
	CME Lean Hogs Futures Contract		Long	August 2014		55			2,922,150			60,646
	CME Lean Hogs Futures Contract		Long	October 2014		93			4,237,080			156,934

	Total Lean Hogs											298,797

	Total Livestock											759,207

	Total Futures Contracts outstanding							$	244,402,396		$	(87,948	)

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

June 30, 2014

Investments in Derivatives (Continued)

Call Options Written outstanding:


Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Energy	Crude Oil
	ICE Brent Crude Oil Futures Options		August 2014		(49	)	$	105.00	$	(362,110	)
	NYMEX Crude Oil Futures Options		July 2014		(50	)		97.50		(395,500	)

	Total Crude Oil									(757,610	)

	Heating Oil
	NYMEX NY Harbor ULSD Futures Options		July 2014		(68	)		2.94		(176,501	)

	Natural Gas
	NYMEX Natural Gas Futures Options		July 2014		(106	)		4,050.00		(451,560	)

	Unleaded Gas
	NYMEX Gasoline RBOB Futures Options		July 2014		(26	)		28,200.00		(245,809	)

	Total Energy									(1,631,480	)

Agriculture	Soybean
	CBOT Soybean Futures Options		October 2014		(69	)		1,100.00		(302,306	)

	Sugar
	ICE Sugar Futures Options		September 2014		(71	)		18.25		(46,122	)

	Soybean Meal
	CBOT Soybean Meal Futures Options		November 2014		(32	)		330.00		(143,040	)

	Coffee
	ICE Coffee C Futures Contract		August 2014		(6	)		147.50		(63,450	)

	Total Agriculture									(554,918	)

Metals	Gold
	CEC Gold Futures Options		July 2014		(33	)		1,300.00		(103,620	)

	Silver
	CEC Silver Futures Options		August 2014		(15	)		2,075.00		(60,900	)

	Total Metals									(164,520	)

Livestock	Live Cattle
	CME Live Cattle Futures Options		August 2014		(31	)		127.00		(286,130	)

	Lean Hogs
	CME Lean Hogs Futures Options		July 2014		(27	)		104.00		(309,690	)

	Total Livestock									(595,820	)

	Total Call Options Written outstanding (premiums received $3,176,256)				(583	)			$	(2,946,738	)

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

June 30, 2014

Investments in Derivatives (Continued)

Put Options Written outstanding:


Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Agriculture	Corn
	CBOT Corn Futures Options		August 2014		(114	)	$	470.00	$	(314,212	)

	Sugar
	ICE Sugar Futures Options		September 2014		(71	)		18.25		(65,206	)

	Wheat
	CBOT Wheat Futures Options		August 2014		(38	)		670.00		(178,363	)

	Soybean Oil
	CBOT Soybean Oil Futures Options		November 2014		(36	)		415.00		(69,012	)

	Cotton
	ICE Cotton Futures Options		November 2014		(17	)		79.00		(59,075	)

	Total Agriculture									(685,868	)

Metals	Gold
	CEC Gold Futures Options		July 2014		(33	)		1,300.00		(31,020	)

	Total Metals									(31,020	)

	Total Put Options Written outstanding
	(premiums received $679,438)				(309	)			$	(716,888	)

	Total Options Written outstanding
	(premiums received $3,855,694)				(892	)			$	(3,663,626	)


⁽¹⁾		Ratings: Using the highest of Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. rating.
⁽²⁾		The aggregate number of long and short futures contracts outstanding is 3,564 and (1,380), respectively.
⁽³⁾		The aggregate notional amount at value for long and short futures contracts outstanding is $278,887,254 and $(34,484,858), respectively.
N/A		Not applicable.
CBOT		Chicago Board of Trade
CEC		Commodities Exchange Center
CME		Chicago Mercantile Exchange
ICE		Intercontinental Exchange
NY Harbor ULSD		New York Harbor Ultra-Low Sulfur Diesel
NYMEX		New York Mercantile Exchange
RBOB		Reformulated Gasoline Blendstock for Oxygen Blending

See accompanying notes to financial statements.

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

STATEMENTS OF FINANCIAL CONDITION

At June 30, 2014 (Unaudited) and December 31, 2013


	June 30, 2014			December 31, 2013
ASSETS
Short-term investments, at value (cost $287,738,760 and $307,721,002, respectively)	$	287,787,114		$	307,762,075
Deposits with brokers		55,522,482			58,067,010
Unrealized appreciation on futures contracts		4,567,178			7,162,590
Other assets		7,560			—

Total assets	$	347,884,334		$	372,991,675

LIABILITIES
Options written, at value (premiums received $3,855,694 and $4,635,134, respectively)	$	3,663,626		$	5,032,482
Unrealized depreciation on futures contracts		4,655,126			2,268,126
Payable for:
Distributions		2,389,613			—
Shares redeemed		—			425,400
Accrued expenses:
Management fees		350,500			391,421
Independent Committee fees		27,760			28,564
Other		508,606			464,935

Total liabilities		11,595,231			8,610,928

SHAREHOLDERS’ CAPITAL
Paid-in capital, unlimited number of shares authorized, 17,700,840 shares issued and outstanding at June 30, 2014 and 17,755,840 shares issued and outstanding at December 31, 2013		429,504,348			430,403,037
Accumulated undistributed earnings (deficit)		(93,215,245	)		(66,022,290	)

Total shareholders’ capital (Net assets)		336,289,103			364,380,747

Total liabilities and shareholders’ capital	$	347,884,334		$	372,991,675

Net assets	$	336,289,103		$	364,380,747
Shares outstanding		17,700,840			17,755,840

Net asset value per share outstanding (net assets divided by shares outstanding)	$	19.00		$	20.52

Market value per share outstanding	$	16.16		$	17.22

See accompanying notes to financial statements.

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

STATEMENTS OF OPERATIONS (Unaudited)

For the Three Months ended June 30, 2014 and June 30, 2013

For the Six Months ended June 30, 2014 and June 30, 2013


	Three Months Ended June 30,						Six Months Ended June 30,
	2014			2013			2014			2013
Investment Income:
Interest	$	73,502		$	120,496		$	151,201		$	253,927

Total Investment Income		73,502			120,496			151,201			253,927

Expenses:
Management fees		1,066,481			1,237,454			2,161,018			2,525,995
Brokerage commissions		112,300			111,354			283,142			322,532
Custodian fees and expenses		39,728			40,978			69,175			74,492
Independent Committee fees and expenses		26,955			28,853			55,407			58,410
Professional fees		124,146			125,752			238,359			239,304
Shareholder reporting expenses		41,147			46,888			72,958			84,607
Licensing fees		85,367			108,553			172,763			212,299
Other expenses		8,260			6,907			13,072			12,991

Total expenses		1,504,384			1,706,739			3,065,894			3,530,630

Net investment income (loss)		(1,430,882	)		(1,586,243	)		(2,914,693	)		(3,276,703	)

Net realized gain (loss) from:
Short-term investments		—			1,393			29			4,756
Futures contracts		(3,251,831	)		(18,605,476	)		(20,013,126	)		(39,790,570	)
Options written		8,149,572			8,821,348			15,910,429			15,875,521
Change in net unrealized appreciation (depreciation) of:
Short-term investments		14,915			(10,133	)		7,281			(21,308	)
Futures contracts		(4,608,409	)		10,856,128			(4,982,412	)		16,622,430
Options written		716,654			(600,449	)		589,416			(2,227,739	)

Net realized gain (loss) and change in net unrealized appreciation (depreciation)		1,020,901			462,811			(8,488,383	)		(9,536,910	)

Net income (loss)	$	(409,981	)	$	(1,123,432	)	$	(11,403,076	)	$	(12,813,613	)

Net income (loss) per weighted-average share	$	(.02	)	$	(.06	)	$	(.64	)	$	(.68	)
Weighted-average shares outstanding		17,734,881			18,793,060			17,745,360			18,796,928

See accompanying notes to financial statements.

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

STATEMENTS OF CHANGES IN SHAREHOLDERS’ CAPITAL

For the Six Months ended June 30, 2014 (Unaudited) and the Year Ended December 31, 2013


	Six Months Ended June 30, 2014			Year Ended December 31, 2013
Shareholders’ capital—beginning of period	$	364,380,747		$	427,111,563
Repurchase of shares		(898,689	)		(17,527,018	)

Net increase (decrease) in shareholders’ capital resulting from operations:
Net investment income (loss)		(2,914,693	)		(6,388,304	)
Net realized gain (loss) from:
Short-term investments		29			9,391
Futures contracts		(20,013,126	)		(41,169,967	)
Options written		15,910,429			30,502,794
Change in net unrealized appreciation (depreciation) of:
Short-term investments		7,281			(29,754	)
Futures contracts		(4,982,412	)		8,150,119
Options written		589,416			(1,679,643	)

Net income (loss)		(11,403,076	)		(10,605,364	)

Distributions to shareholders		(15,789,879	)		(34,598,434	)

Shareholders’ capital—end of period	$	336,289,103		$	364,380,747

Shares—beginning of period		17,755,840			18,800,840
Repurchase of shares		(55,000	)		(1,045,000	)

Shares—end of period		17,700,840			17,755,840

See accompanying notes to financial statements.

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

STATEMENTS OF CASH FLOWS (Unaudited)

For the Six Months Ended June 30, 2014 and June 30, 2013


	Six Months Ended June 30,
	2014			2013
Cash flows from operating activities:
Net income (loss)	$	(11,403,076	)	$	(12,813,613	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of U.S. government and agency obligations		(218,561,061	)		(166,574,713	)
Proceeds from sales and maturities of U.S. government and agency obligations		246,249,996			243,490,927
Proceeds from (purchases of) repurchase agreements, net		(7,555,461	)		(37,098,680	)
Premiums received for options written		16,396,646			19,412,324
Cash paid for options written		(1,265,657	)		(2,348,891	)
Amortization (Accretion)		(151,203	)		(253,808	)
(Increase) Decrease in:
Deposits with brokers		2,544,528			2,070,621
Other assets		(7,560	)		—
Increase (Decrease) in:
Accrued management fees		(40,921	)		(55,000	)
Accrued Independent Committee fees		(804	)		2,487
Accrued other expenses		43,671			97,103
Net realized (gain) loss from:
Short-term investments		(29	)		(4,756	)
Options written		(15,910,429	)		(15,875,521	)
Change in net unrealized (appreciation) depreciation of:
Short-term investments		(7,281	)		21,308
Futures contracts		4,982,412			(16,622,430	)
Options written		(589,416	)		2,227,739

Net cash provided by (used in) operating activities		14,724,355			15,675,097

Cash flows from financing activities:
Increase (Decrease) in cash overdraft		—			(928,991	)
Cash paid for shares repurchased		(1,324,089	)		(178,400	)
Cash distributions paid to shareholders		(13,400,266	)		(14,567,706	)

Net cash provided by (used in) financing activities		(14,724,355	)		(15,675,097	)

Net increase (decrease) in cash		—			—
Cash—beginning of period		—			—

Cash—end of period	$	—		$	—

See accompanying notes to financial statements.

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Unaudited)

June 30, 2014

1. Organization

The Nuveen Long/Short Commodity Total Return Fund (the “Fund”) was organized as a Delaware statutory trust on May 25, 2011, to operate as a commodity pool. Nuveen Commodities Asset Management, LLC, the Fund’s manager (“NCAM” or the “Manager”), a wholly-owned subsidiary of Nuveen Investments, Inc. (“Nuveen Investments”), is a Delaware limited liability company registered as a commodity pool operator with the Commodity Futures Trading Commission (the “CFTC”) and is a member of the National Futures Association (the “NFA”). The Fund commenced operations on October 25, 2012, with its initial public offering of 18,800,000 shares. The Fund operates pursuant to an Amended and Restated Trust Agreement dated September 14, 2012 (the “Trust Agreement”). The Fund’s shares represent units of fractional undivided beneficial interest in, and ownership of, the Fund. The Fund’s shares trade on the NYSE MKT under the ticker symbol “CTF.” The Fund is not a mutual fund, a closed-end fund, or any other type of “investment company” within the meaning of the Investment Company Act of 1940, as amended, and is not subject to regulation thereunder.

The Manager has selected its affiliate, Gresham Investment Management LLC (“Gresham LLC”), acting through its Near Term Active division (in that capacity, “Gresham” or the “Commodity Sub-adviser”), to manage the Fund’s commodity investment strategy and its options strategy. Gresham LLC is a Delaware limited liability company, the successor to Gresham Investment Management, Inc., formed in July 1992. Gresham LLC is registered with the CFTC as a commodity trading adviser and commodity pool operator, is a member of the NFA and is registered with the Securities and Exchange Commission (the “SEC”) as an investment adviser.

The Manager has selected its affiliate, Nuveen Asset Management, LLC (“Nuveen Asset Management” or the “Collateral Sub-adviser”), to manage the Fund’s collateral invested in cash equivalents, U.S. government securities and other short-term, high grade debt securities. Nuveen Asset Management is a Delaware limited liability company and is registered with the SEC as an investment adviser.

Agreement and Plan of Merger

On April 14, 2014, TIAA-CREF, a national financial services organization, announced that it had entered into an agreement (the “Purchase Agreement”) to acquire Nuveen Investments, the parent company of the Manager, the Commodity Sub-adviser and the Collateral Sub-adviser. The transaction is expected to be completed by the end of the year, subject to customary closing conditions, including obtaining necessary consents sufficient to satisfy the terms of the Purchase Agreement and obtaining customary regulatory approvals. There can be no assurance that the transaction described above will be consummated as contemplated or that necessary conditions will be satisfied.

The transaction is not expected to result in any change in the management of the Fund or in the Fund’s investment objectives or policies.

The Fund’s investment objective is to generate attractive total returns. The Fund is actively managed and seeks to outperform its benchmark, the Morningstar^® Long/Short Commodity Index^SM (the “Index”). In pursuing its investment objective, the Fund will invest directly in a diverse portfolio of exchange-traded commodity futures contracts that represent the main commodity sectors and are among the most actively traded futures contracts in the global commodity markets. Generally, individual commodity futures positions may be either long, short, or flat, depending upon market conditions. The Fund’s Commodity Sub-adviser uses a rules based approach to determine the commodity futures contracts in which the Fund will invest, their respective weightings, and whether the futures positions in each commodity are held long, short or flat. The Fund’s

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2014

1. Organization (Continued)

commodity investments will, at all times, be fully collateralized. The Fund is not leveraged, and the notional amount of its combined long, short and flat futures positions will not exceed 100% of the Fund’s net assets. The Fund will also employ a commodity option writing strategy that seeks to produce option premiums for the purpose of enhancing the Fund’s risk-adjusted total return over time. The Fund’s investment strategy will utilize the Commodity Sub-adviser’s proprietary long/short commodity investment program, which has three principal elements:

•

An actively managed long/short portfolio of exchange-traded commodity futures contracts;

•

A portfolio of exchange-traded commodity option contracts; and

•

A collateral portfolio of cash equivalents, U.S. government securities and other short-term, high grade debt securities.

2. Summary of Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements in accordance with accounting principles generally accepted in the United States (“U.S. GAAP”).

The accompanying unaudited financial statements were prepared in accordance with U.S. GAAP for interim financial information and with the instructions for Form 10-Q and the rules and regulations of the SEC. In the opinion of management, all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements and the notes thereto should be read in conjunction with the Fund’s financial statements included in the Fund’s Annual Report on Form 10-K for the year ended December 31, 2013.

Basis of Accounting

The accompanying financial statements have been prepared in conformity with U.S. GAAP. The preparation of financial statements in conformity with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Futures Contracts

The Fund invests in commodity futures contracts. Upon execution of a futures contract, the Fund is obligated to deposit cash or eligible securities, also known as “initial margin,” into an account at its clearing broker. Generally investments in futures contracts also obligate the investor and the clearing broker to settle monies on a daily basis representing changes in the prior days “mark-to-market” of the open contracts. If the Fund has unrealized appreciation the clearing broker would credit the Fund’s account with an amount equal to appreciation and conversely if the Fund has unrealized depreciation the clearing broker would debit the Fund’s account with an amount equal to depreciation. These daily cash settlements are also known as “variation margin.” In lieu of posting variation margin daily, the Fund has deposited cash with the clearing broker,

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2014

2. Summary of Significant Accounting Policies (Continued)

generally representing approximately twice the required initial margin to cover the initial margin and the daily changes in the market value of its futures investments. Cash held by the clearing broker to cover both margin requirements on open futures contracts is recognized as “Deposits with brokers” on the Statements of Financial Condition.

During the period the futures contract is open, changes in the value of the contract are recognized as an unrealized gain or loss by “marking-to-market” on a daily basis to reflect the changes in market value of the contract, which are recognized as a component of “Unrealized appreciation or depreciation on futures contracts” on the Statements of Financial Condition and “Change in net unrealized appreciation (depreciation) of futures contracts” on the Statements of Operations. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract on the closing date and the value of the contract when originally entered into, which is recognized as a component of “Net realized gain (loss) from futures contracts” on the Statements of Operations.

Risks of investments in commodity futures contracts include possible adverse movement in the price of the commodities underlying the contracts, the possibility that there may not be a liquid secondary market for the contracts and the possibility that a change in the value of the contract may not correlate with a change in the value of the underlying commodities.

The average number of long and short futures contracts outstanding during the six months ended June 30, 2014 and the fiscal year ended December 31, 2013 was as follows:


	Six Months Ended June 30, 2014		Year Ended December 31, 2013
Average number of long and short futures contracts outstanding*		5,447		5,621

*	The average number of contracts is calculated based on the absolute aggregate number of contracts outstanding at the beginning of the fiscal year and at the end of each quarter within the current fiscal year.

Refer to Note 3—Derivative Instruments and Hedging Activities within these Notes to Financial Statements for further details on futures contracts activity.

Options Contracts

The Fund may write (sell) and purchase options on commodity futures contracts to enhance the Fund’s risk-adjusted total return. When the Fund writes an option, an amount equal to the premium received is recognized as a component of “Options written, at value” on the Statements of Financial Condition and is subsequently adjusted to reflect the current value of the written option until the option expires or the Fund enters into a closing purchase transaction. The changes in value of the options written during the reporting period are recognized as a component of “Change in net unrealized appreciation (depreciation) of options written” on the Statements of Operations. When an option is exercised or expires, or the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid at expiration or on executing a closing purchase transaction is recognized as a component of “Net realized gain (loss) from options written” on the Statements of Operations. The Fund, as writer of an option, has no control over whether the underlying instrument may be sold (called) and as a result bears the risk of an unfavorable change in the market value of the

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2014

2. Summary of Significant Accounting Policies (Continued)

instrument underlying the written option. There is also the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. During the six months ended June 30, 2014 and the fiscal year ended December 31, 2013, the Fund wrote call and put options on futures contracts.

The Fund did not purchase options on futures contracts during the six months ended June 30, 2014 and the fiscal year ended December 31, 2013. The purchase of options involves the risk of loss of all or part of the cash paid for the options (the premium). The market risk associated with purchasing options is limited to the premium paid. The counterparty credit risk of purchasing options, however, needs to take into account the current value of the option, as this is the performance expected from the counterparty.

Transactions in both call and put options written during the six months ended June 30, 2014 and the fiscal year ended December 31, 2013, were as follows:


	Six Months Ended June 30, 2014						Year Ended December 31, 2013
	Number of Contracts			Premiums Received			Number of Contracts			Premiums Received
Outstanding, beginning of period		1,029		$	4,635,134			1,024		$	4,747,719
Options written		4,210			16,396,646			7,116			34,938,175
Options terminated in closing purchase transactions		(306	)		(1,221,145	)		(1,027	)		(5,262,491	)
Options expired		(858	)		(1,862,146	)		(1,525	)		(6,022,932	)
Options exercised		(3,183	)		(14,092,795	)		(4,559	)		(23,765,337	)

Outstanding, end of the period		892		$	3,855,694			1,029		$	4,635,134

The average number of options written outstanding during the six months ended June 30, 2014 and the fiscal year ended December 31, 2013 was as follows:


	Six Months Ended June 30, 2014		Year Ended December 31, 2013
Average number of options written outstanding*		991		938

*	The average number of contracts is calculated based on the outstanding number of contracts at the beginning of the fiscal year and at the end of each quarter within the current fiscal year.

Refer to Note 3—Derivative Instruments and Hedging Activities within these Notes to Financial Statements for further details on options activity.

Netting Agreements

In the ordinary course of business, the Fund has entered into transactions subject to enforceable master repurchase agreements or other similar arrangements (“netting agreements”). Generally, the right to offset in netting agreements allows the Fund to offset any exposure to a specific counterparty with any collateral received or delivered to that counterparty based on the terms of the agreements. The Fund manages its cash collateral and securities collateral on a counterparty basis. As of June 30, 2014 and December 31, 2013, the Fund was not invested in any portfolio securities or derivatives, other than the repurchase agreements further described below, that are subject to netting agreements.

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2014

2. Summary of Significant Accounting Policies (Continued)

Repurchase Agreements

In connection with transactions in repurchase agreements, it is the Fund’s policy that its custodian take possession of the underlying collateral securities, the fair value of which exceeds the principal amount of the repurchase transaction, including accrued interest, at all times. If the counterparty defaults, and the fair value of the collateral declines, realization of the collateral may be delayed or limited.

The following table presents the repurchase agreements for the Fund, presented on the Statements of Financial Condition as of June 30, 2014 and December 31, 2013, and recognized as a component of “Short-term investments, at value,” that are subject to netting agreements as of the end of the reporting period, and the collateral delivered related to those repurchase agreements.


	June 30, 2014
	Counterparty	Short-Term Investments, at Value		Collateral Pledged (From) Counterparty*			Net Exposure
Repurchase Agreements	State Street Bank	$	9,139,192	$	(9,139,192	)	$	—


	December 31, 2013
	Counterparty	Short-Term Investments, at Value		Collateral Pledged (From) Counterparty*			Net Exposure
Repurchase Agreements	State Street Bank	$	1,583,731	$	(1,583,731	)	$	—

*	As of June 30, 2014 and December 31, 2013, the value of the collateral pledged from the counterparty exceeded the value of the repurchase agreements. Refer to the Schedule of Investments for details on the repurchase agreements.

Collateral Investments

Currently, approximately 15% of the Fund’s net assets are committed to secure the Fund’s futures contract positions. These assets are placed in a commodity futures account maintained by the Fund’s clearing broker, and are held in high-quality instruments permitted under CFTC regulations.

The Fund’s remaining assets are held in a separate collateral investment account managed by the Collateral Sub-adviser. The Fund’s assets held in the separate collateral account are invested in cash equivalents, U.S. government securities and other high-quality short-term debt securities with final terms not exceeding one year at the time of investment. The collateral portfolio’s debt securities (other than U.S. government securities) are rated at the highest applicable rating as determined by at least one nationally recognized statistical rating organization, or if unrated, judged by the Collateral Sub-adviser to be of comparable quality.

Investment Valuation

Commodity futures contracts and options on commodity futures contracts traded on an exchange will be valued at the final settlement price or official closing price as determined by the principal exchange on which the instruments are traded as supplied by independent pricing services. These investments are generally classified as

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2014

2. Summary of Significant Accounting Policies (Continued)

Level 1 for fair value measurement purposes. Over-the-counter commodity futures contracts and options on commodity futures contracts not traded on an exchange will be valued, in order of hierarchy, by independent pricing services, price quotations obtained from counterparty broker-dealers, or through fair valuation methodologies as determined by the Manager. These investments are generally classified as Level 2. Additionally, events may occur after the close of the market, but prior to the determination of the Fund’s net asset value, that may affect the values of the Fund’s investments. In such circumstances, the Manager will determine a fair valuation for such investments that in its opinion is reflective of fair market value. These investments are generally classified as Level 2 or Level 3 depending on the priority of the significant inputs.

Prices of fixed-income securities, including, but not limited to, highly-rated agency discount notes and U.S. Treasury bills, are provided by a pricing service approved by the Fund’s Manager. These securities are generally classified as Level 2. The pricing service establishes a security’s fair value using methods that may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, general market conditions and other information and analysis, including the obligor’s credit characteristics considered relevant. These securities are generally classified as Level 2 or Level 3 depending on the priority of the significant inputs.

Repurchase agreements are valued at contract amount plus accrued interest, which approximates market value. These securities are generally classified as Level 2.

Fair Value Measurements

Fair value is defined as the price that the Fund would receive 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 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-tier hierarchy of valuation inputs.

Level 1—Inputs are unadjusted and prices are determined by 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, prepayment speeds, credit risk, etc.).

Level 3—Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments).

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2014

2. Summary of Significant Accounting Policies (Continued)

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 June 30, 2014 and December 31, 2013:


	June 30, 2014
	Level 1			Level 2		Level 3		Total
Short-Term Investments:
U.S. Government and Agency Obligations	$	—		$	278,647,922	$	—	$	278,647,922
Repurchase Agreements		—			9,139,192		—		9,139,192
Investments in Derivatives:
Futures Contracts*		(87,948	)		—		—		(87,948	)
Options Written		(3,663,626	)		—		—		(3,663,626	)

Total	$	(3,751,574	)	$	287,787,114	$	—	$	284,035,540


	December 31, 2013
	Level 1			Level 2		Level 3		Total
Short-Term Investments:
U.S. Government and Agency Obligations	$	—		$	306,178,344	$	—	$	306,178,344
Repurchase Agreements		—			1,583,731		—		1,583,731
Investments in Derivatives:
Futures Contracts		4,894,464			—		—		4,894,464
Options Written		(5,032,482	)		—		—		(5,032,482	)

Total	$	(138,018	)	$	307,762,075	$	—	$	307,624,057

*	Represents net unrealized appreciation (depreciation) as reported in the Schedule of Investments.

The Manager is responsible for the Fund’s valuation process and has delegated daily oversight of the process to the Manager’s Valuation Committee. The Valuation Committee, pursuant to its valuation policies and procedures, is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Manager’s senior management. The Valuation Committee is aided in its efforts by the Manager’s Securities Valuation Team, which is responsible for administering the daily valuation process and applying fair value methodologies as approved by the Valuation Committee. When determining the reliability of independent pricing services for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of the pricing services and monitors the quality of security prices received through various testing reports conducted by the Securities Valuation Team.

For each portfolio instrument that has been fair valued pursuant to the Valuation Committee’s policies, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such testing and fair valuation occurrences are reported to the Manager’s senior management.

Investment Transactions

Investment transactions are recorded on a trade date basis. Realized gains and losses from investment transactions are determined on the specific identification method, which is the same for federal income tax purposes.

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2014

2. Summary of Significant Accounting Policies (Continued)

Investment Income

Interest income, which reflects the amortization of premiums and includes accretion of discounts for financial reporting purposes, is recorded on an accrual basis.

Brokerage Commissions and Fees

The Fund pays brokerage commissions, including applicable clearing costs, exchange fees, NFA fees, give-up fees, pit brokerage fees and other transaction-related fees and expenses, incurred in connection with its commodity trading activities.

Income Taxes

No provision for federal, state, and local income taxes has been made in the accompanying financial statements because the Fund has elected to be classified as a partnership for U.S. federal income tax purposes. Each owner of the Fund’s shares will be required to take into account its allocable share of the Fund’s income, gains, losses, deductions and other items for the Fund’s taxable year.

For all open tax years and all major taxing jurisdictions, the Manager of the Fund has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Open tax years are those that are open for examination by taxing authorities (i.e., generally the last four tax year ends and the interim tax period since then). Furthermore, the Manager of the Fund is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

Expense Recognition

All expenses of the Fund are recognized on an accrual basis. The Fund pays all routine and extraordinary costs and expenses of its operations, brokerage expenses, custody fees, transfer agent expenses, professional fees, expenses of preparing, printing and distributing reports, notices, information statements, proxy statements, reports to governmental agencies, and taxes, if any.

Organizational Expenses and Offering Costs

In connection with the Fund’s initial public offering on October 25, 2012, Nuveen (i) reimbursed all organizational expenses of the Fund and (ii) paid all offering costs (other than sales load and underwriting commissions) that exceeded $.05 per share. The Fund’s share of offering costs ($940,000) was recorded as a reduction of the proceeds from the sale of the shares.

Calculation of Net Asset Value

The net asset value per share of the Fund on any given day is computed by dividing the value of all assets of the Fund (including any accrued interest), less all liabilities (including accrued expenses and distributions declared but unpaid), by the total number of shares outstanding.

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2014

2. Summary of Significant Accounting Policies (Continued)

Distributions

The Fund intends to make regular monthly distributions to its shareholders stated in terms of a fixed cents per share distribution rate. Among other factors, the Manager seeks to establish a distribution rate that roughly corresponds to its projections of the total return that could reasonably be expected to be generated by the Fund over an extended period of time. In the event that the amount of income earned or capital gains realized by the Fund is not sufficient to cover the Fund’s distributions, the Fund may be required to liquidate investments to fund distributions at times or on terms that are disadvantageous to the Fund and its shareholders. As market conditions and portfolio performance may change, the rate of distribution on the shares and the Fund’s distribution policy could change. The Manager reserves the right to change the Fund’s distribution policy and the basis for establishing the rate of the Fund’s monthly distributions, or may temporarily suspend or reduce distributions without a change in policy, at any time and may do so without prior notice to shareholders.

Distributions to shareholders are recorded on the ex-dividend date.

Commitments and Contingencies

Under the Fund’s organizational documents, the Manager, Wilmington Trust Company (the Fund’s Delaware trustee) and the Manager’s Independent Committee members are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund enters into contracts that provide general indemnifications to other parties. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, the Fund has not had prior claims or losses pursuant to these contracts and believes the risk of loss to be remote.

Financial Instrument Risk

The Fund utilizes commodity futures and options, whose values are based upon an underlying asset and generally represent future commitments that have a reasonable possibility of being settled in cash or through physical delivery. As of June 30, 2014 and December 31, 2013, the financial instruments held by the Fund were traded on an exchange and are standardized contracts.

Market risk is the potential for changes in the value of the financial instruments traded by the Fund due to market changes, including fluctuations in commodity prices. Investing in commodity futures contracts involves the Fund entering into contractual commitments to purchase or sell a particular commodity at a specified date and price. The market risk associated with the Fund’s commitments to purchase commodities will be limited to the gross or face amount of the contracts held. The Fund’s exposure to market risk may be influenced by a number of factors, including changes in international balances of payments and trade, currency devaluations and revaluations, changes in interest and foreign currency exchange rates, price volatility of commodity futures contracts and market liquidity, weather, geopolitical events and other factors. These factors also affect the Fund’s investments in options on commodity futures contracts. The inherent uncertainty of the Fund’s investments as well as the development of drastic market occurrences could ultimately lead to a loss of all, or substantially all, of investors’ capital.

Credit risk is the possibility that a loss may occur due to failure of a counterparty performing according to the terms of the futures and option contracts. The Fund may be exposed to credit risk from its investments in

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2014

2. Summary of Significant Accounting Policies (Continued)

commodity futures contracts and options on commodity futures contracts resulting from the clearing house associated with a particular exchange failing to meet its obligations to the Fund. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance of one of their members, which should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., as in some foreign exchanges), it may be backed by a consortium of banks or other financial institutions. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to the Fund.

The Fund is subject to short exposure when it sells short a futures contract or writes a put option. Short sales are transactions in which the Fund initiates a position by selling a futures contract short. A short futures position allows the short seller to profit from declines in the price of the underlying commodity to the extent such declines exceed the transaction costs. In a short sale transaction, the Fund must deliver the underlying commodity at the contract price to a buyer of the contract who stands for delivery under the rules of the exchange that lists the contract or must offset the contract by entering into an opposite and offsetting transaction in the market. Likewise, the writer of a call option is required to deliver the underlying futures contract at the strike price or offset the option by entering into an opposite and offsetting transaction in the market. The price at such time may be higher or lower than the price at which the futures contract was sold short or the strike price of the call option when the option was written. If the underlying price of the futures contract goes down between the time that the Fund sells the contract short and offsets the contract, the Fund will realize a gain on the transaction. If the price of the underlying futures contract drops below the strike price of the call option written, the option will expire worthless and the Fund also will realize a gain to the extent of the option premium received. Conversely, if the price of the underlying short futures contract goes up during the period, the Fund will realize a loss on the transaction. If the price of the underlying futures contract is higher than the strike price of a call option written, the option will become in-the-money and the Fund may realize a loss less any premium received for writing the option. A short sale creates the risk of an unlimited loss since the price of the underlying commodity in a futures contract or the underlying futures contract in a call option written could theoretically increase without limit, thus increasing the cost of covering the short positions. In circumstances where a market has reached its maximum price limits imposed by the exchange, the short seller may be unable to offset its short position until the next trading day, when prices could increase again in rapid trading.

The commodity markets have volatility risk. The commodity markets have experienced periods of extreme volatility. General market uncertainty and consequent repricing risk have led to market imbalances of sellers and buyers, which in turn have resulted in significant reductions in values of a variety of commodities. Similar future market conditions may result in rapid and substantial valuation increases or decreases in the Fund’s holdings. In addition, volatility in the commodity and securities markets may directly and adversely affect the setting of distribution rates on the Fund’s shares.

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2014

3. Derivative Instruments and Hedging Activities

The Fund records derivative instruments at fair value, with changes in fair value recognized on the Statements of Operations.

The following tables present the fair value of all derivative instruments held by the Fund as of June 30, 2014 and December 31, 2013, the location of these instruments on the Statements of Financial Condition and the primary underlying risk exposure.

June 30, 2014

Location on the Statements of Financial Condition

Underlying

Risk Exposure

Derivative
Instrument

Asset Derivatives

Liability Derivatives

Location

Value

Location

Value

Commodity

Futures Contracts

Unrealized appreciation on futures contracts

4,567,178

Unrealized depreciation on futures contracts

4,655,126

Commodity

Call Options

—

Options written, at value

2,946,738

Commodity

Put Options

—

Options written, at value

716,888

Total

4,567,178

8,318,752

December 31, 2013

Location on the Statements of Financial Condition

Underlying

Risk Exposure

Derivative
Instrument

Asset Derivatives

Liability Derivatives

Location

Value

Location

Value

Commodity

Futures Contracts

Unrealized appreciation on futures contracts

7,162,590

Unrealized depreciation on futures contracts

2,268,126

Commodity

Call Options

—

Options written, at value

1,716,835

Commodity

Put Options

—

Options written, at value

3,315,647

Total

7,162,590

7,300,608

The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized on derivative instruments during the six months ended June 30, 2014 and June 30, 2013, the location of these instruments on the Statements of Operations and the primary underlying risk exposure.


Commodity Risk Exposure	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013
Net realized gain (loss) from:
Futures contracts	$	(20,013,126	)	$	(39,790,570	)
Options written (call options)		11,350,681			9,707,164
Options written (put options)		4,559,748			6,168,357
Change in net unrealized appreciation (depreciation) of:
Futures contracts	$	(4,982,412	)	$	16,622,430
Options written (call options)		152,334			(1,003,670	)
Options written (put options)		437,082			(1,224,069	)

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2014

4. Related Parties

The Manager, the Commodity Sub-adviser and the Collateral Sub-adviser are considered to be related parties to the Fund.

For the services and facilities provided by the Manager, the Fund pays the Manager an annual management fee, payable monthly, based on the Fund’s average daily net assets, according to the following schedule:


Average Daily Net Assets	Management Fee
For the first $500 million		1.250	%
For the next $500 million		1.225
For the next $500 million		1.200
For the next $500 million		1.175
For net assets over $2 billion		1.150

“Average daily net assets” represents the total assets of the Fund, minus the sum of its total liabilities.

The Manager and the Fund have entered into sub-advisory agreements with the Commodity Sub-adviser and the Collateral Sub-adviser. Both the Commodity Sub-adviser and the Collateral Sub-adviser are compensated for their services to the Fund from the management fees paid to the Manager, and the Fund does not reimburse the Manager for those fees.

5. Share Repurchase Program

On March 14, 2013, the Fund adopted an open-market share repurchase program, pursuant to which it was authorized to repurchase up to 10% of its outstanding common shares (approximately 1,800,000 shares) in open-market transactions at the Manager’s discretion.

On March 6, 2014, the Fund reauthorized its share repurchase program, pursuant to which it may repurchase up to 10% of its outstanding common shares as of the reauthorization date (approximately 1,775,000 shares).

Transactions in share repurchases during the six months ended June 30, 2014 and the fiscal year ended December 31, 2013 were as follows:


	Six Months Ended June 30, 2014			Year Ended December 31, 2013
Shares repurchased		55,000			1,045,000

Weighted average price per share repurchased	$	16.32		$	16.75

Weighted average discount per share repurchased		15.85	%		18.32	%

6. Financial Highlights

The following financial highlights relate to investment performance and operations for a Fund share outstanding during the three months and six months ended June 30, 2014 and June 30, 2013. The Net Asset Value presentation is calculated using average daily shares outstanding. The Ratios to Average Net Assets are

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2014

6. Financial Highlights (Continued)

calculated using average daily net assets and are annualized for periods less than a full fiscal year. The Total Returns at Net Asset Value and Market Value are based on the change in net asset value and market value, respectively, for a share during the period. An investor’s return and ratios will vary based on the timing of purchasing and selling Fund shares.


	Three Months Ended						Six Months Ended
	June 30, 2014			June 30, 2013			June 30, 2014			June 30, 2013
Net Asset Value:
Net asset value per share—beginning of period	$	19.44		$	21.63		$	20.52		$	22.72
Net investment income (loss)		(.08	)		(.08	)		(.16	)		(.17	)
Net realized and unrealized gain (loss)		.06			.03			(.48	)		(.51	)
Distributions		(.43	)		(.47	)		(.89	)		(.93	)
Discount from shares repurchased		.01			—	*		.01			—	*

Net asset value per share—end of period	$	19.00		$	21.11		$	19.00		$	21.11

Market Value:
Market value per share—beginning of period	$	16.54		$	20.23		$	17.22		$	21.22

Market value per share—end of period	$	16.16		$	19.87		$	16.16		$	19.87

Ratios to Average Net Assets^(a):
Net investment income (loss)		(1.68	)%		(1.60	)%		(1.69	)%		(1.62	)%

Expenses		1.76	%		1.72	%		1.77	%		1.75	%

Total Returns:^(b)
Based on Net Asset Value		(.07	)%		(.23	)%		(3.09	)%		(2.99	)%

Based on Market Value		.27	%		.57	%		(1.00	)%		(2.03	)%

(a)	Annualized.

(b)

Total Return Based on Net Asset Value is the combination of changes in net asset value per share and the assumed reinvestment of distributions, if any, at net asset value per share on the distribution payment date. The last distribution declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the net asset value per share at the end of the period. Total returns are not annualized.

Total Return Based on Market Value is the combination of changes in the market price per share and the assumed reinvestment of distributions, if any, at the ending market price per share on the distribution payment date. The last distribution declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price per share at the end of the period. Total returns are not annualized.

*	Amount rounds to less than $.01 per share.

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2014

7. New Accounting Pronouncement

Financial Accounting Standards Board (“FASB”) Financial Services—Investment Companies (Topic 946): Amendments to the Scope, Measurement, and Disclosure Requirements

In June 2013, the FASB issued Accounting Standards Update (“ASU”) 2013-08, “Financial Services—Investment Companies (Topic 946): Amendments to the Scope, Measurement, and Disclosure Requirements,” which amends the criteria that define an investment company and clarifies the measurement guidance and requires new disclosures for investment companies. ASU 2013-08 is effective for fiscal years beginning on or after December 15, 2013. The Fund has adopted ASU 2013-08 for its fiscal year end December 31, 2014 as it follows the investment company reporting requirements under U.S. GAAP and therefore follows the accounting and reporting guidance under Topic 946. The adoption of ASU 2013-08 did not have an impact on the Fund’s financial statements or footnote disclosures.

Item 2.

Management’s Discussion and Analysis of Financial Condition and Results of Operations

This information should be read in conjunction with the financial statements and notes to financial statements included in Item 1 of Part I of this Quarterly Report (the “Report”). The discussion and analysis includes forward-looking statements that generally relate to future events or future performance. In some cases, you can identify forward-looking statements by terminology such as “may,” “will,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential” or the negative of these terms or other comparable terminology. These forward-looking statements are based on information currently available to Nuveen Commodities Asset Management, LLC (“NCAM” or the “Manager”), Gresham Investment Management LLC and its Near Term Active division (such division referred to herein as “Gresham” or the “Commodity Sub-adviser”) and Nuveen Asset Management, LLC (“Nuveen Asset Management” or the “Collateral Sub-adviser”) and are subject to a number of risks, uncertainties and other factors, both known and unknown, that could cause the actual results, performance, prospects or opportunities of the Nuveen Long/Short Commodity Total Return Fund (the “Fund”) to differ materially from those expressed in, or implied by, these forward-looking statements.

You should not place undue reliance on any forward-looking statements. Except as expressly required by the federal securities laws or otherwise, the Fund and the Manager undertake no obligation to publicly update or revise any forward-looking statements or the risks, uncertainties or other factors described in this Report, as a result of new information, future events or changed circumstances or for any other reason after the date of this Report.

Introduction

The Fund is a commodity pool which was organized as a Delaware statutory trust on May 25, 2011 and commenced operations on October 25, 2012, with its initial public offering. The shares of the Fund trade on the NYSE MKT under the ticker symbol “CTF”. Prior to the initial public offering, the Fund was inactive except for matters relating to its organization and registration. The Fund’s investment objective is to generate attractive total returns. The Fund is actively managed and seeks to outperform its benchmark, the Morningstar^® Long/Short Commodity Index^SM (the “Index”). The Index tracks the historical total return performance of a diverse portfolio of commodity futures, which may be invested long, short or flat. The Index uses a momentum rule to determine if each commodity futures position is long, short or flat. In pursuing its investment objective, the Fund invests directly in a diverse portfolio of exchange-traded commodity futures contracts that represent the main commodity sectors and are among the most actively traded futures contracts in the global commodity markets, and also invests in commodity options contracts (the futures and options are sometimes referred to as the “commodity portfolio”). Individual commodity futures positions may be either long, short, or flat, depending upon market conditions. The Fund’s options strategy seeks to produce option premiums for the purpose of enhancing the Fund’s risk-adjusted total return over time. The Fund is unleveraged, and the Fund’s commodity contract positions are fully collateralized with cash equivalents, and short-term, high grade debt securities.

Results of Operations

The Quarter Ended June 30, 2014 – Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $16.16 on the close of business on June 30, 2014. This represents a decrease of 2.30% in share price (not including an assumed reinvestment of distributions) from the $16.54 price at which the shares of the Fund traded on the close of business on March 31, 2014. The high and low intra-day share prices for the quarter were $16.72 (April 25, 2014) and $15.95 (June 13, 2014), respectively. During the quarter, the Fund declared distributions totaling $0.425 per share to shareholders, of which $0.135 was paid on July 1, 2014. The remainder was paid during the quarter. The Fund’s cumulative total return on market value for the quarter, which assumes reinvestment of such distributions, was 0.27%. At June 30, 2014, shares of the Fund traded at a 14.95% discount to the Fund’s net asset value of $19.00 per share. During the quarter the Fund repurchased 55,000 shares, refer to “Part II—Item 2. Unregistered Sales of Equity Securities and Use of Proceeds” in this Report for further details on the repurchase activity.

The Quarter Ended June 30, 2013 – Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $19.87 on the close of business on June 28, 2013 (the last trading day of the quarter). This represents a decrease of 1.78% in share price (not including an assumed reinvestment of distributions) from the $20.23 price at which the shares of the Fund traded on the close of business on March 28, 2013 (the last trading day of the previous quarter). The high and low intra-day share prices for the quarter were $20.81 (April 3, 2013) and $17.75 (June 25, 2013), respectively. During the quarter, the Fund declared distributions totaling $0.465 per share to shareholders, of which $0.155 was paid on July 1, 2013. The remainder was paid during the quarter. The Fund’s cumulative total return on market value for the quarter, which assumes reinvestment of such distributions, was 0.57%. At June 28, 2013 (the last trading day of the quarter), shares of the Fund traded at a 5.87% discount to the Fund’s net asset value of $21.11 per share. During the quarter the Fund repurchased 9,450 shares.

The Quarter Ended June 30, 2014 – Net Assets of the Fund

The Fund’s net assets decreased from $345.1 million at March 31, 2014, to $336.3 million at June 30, 2014, a decrease of $8.8 million. The decrease in the Fund’s net assets was due to a net loss of $0.4 million, $7.5 million of distributions to shareholders, and $0.9 million of share repurchases.

The Fund generated a net loss of $0.4 million for the quarter ended June 30, 2014, resulting from interest income of $0.1 million and net realized gains of $4.9 million, offset by total expenses of $1.5 million and net unrealized depreciation of $3.9 million.

During the quarter ended June 30, 2014, the Fund’s collateral investments generated interest income of $73,502, which represents 0.02% of average net assets for the quarter ended June 30, 2014.

The net asset value per share on June 30, 2014, was $19.00. This represents a decrease of 2.26% in net asset value (not including an assumed reinvestment of distributions) from the $19.44 net asset value as of March 31, 2014. The Fund declared distributions totaling $0.425 per share to shareholders during the quarter. When an assumed reinvestment of these distributions is taken into account, the cumulative total return for the Fund on net asset value was -0.07% for the quarter ended June 30, 2014.

The Quarter Ended June 30, 2014 – Overall Commodity Market Commentary

In the quarter ended June 30, 2014, the commodity markets contended with rising geopolitical risks as violence increased with attacks by the militant groups ISIS (Islamic State of Iraq and Syria) in Iraq and Boko Haram in Nigeria, moderating global weather conditions, and well-received efforts by the Chinese government to stimulate its economy through fiscal policy and market reforms.

The broad commodity market traded flat in the quarter ended June 30, 2014, returning 0.1%, as measured by the Dow Jones UBS Commodity Index (“DJ-UBSCI”) (effective July 1, 2014, the name of the index changed to the Bloomberg Commodity Index). The Index (the Morningstar^® Long/Short Commodity Index^SM and the Fund’s benchmark), was up 1.4% for the quarter, led by livestock and energy. Metals and agriculture were the weakest-performing groups in the Index, posting losses for the quarter.

Livestock advanced 8.9% in the Index, and is the smallest group, comprising 6.4% of the Index at the end of the quarter. Supply concerns for live cattle led to strong price appreciation in the broad market during the quarter. The bad winter weather hampered breeding, weight gain, and slaughter rates. Lean hogs prices, in contrast, were volatile. A highly contagious pig virus continued to spread in the U.S., Canada, and Asia, fueling supply worries.

The Index’s energy group rose 3.8% during the quarter. Energy commodities represented 53.9% of the Index at the end of the quarter, and were its most significant commodity group by weight. In the broader market, all energy commodities gained during the quarter, led by gains in unleaded gas. Increasing violence in the Middle East and Africa raised the risk of future supply disruptions, boosting crude oil prices.

The metals group posted the weakest performance, falling 3.5% in the Index during the quarter. The Index includes three metals: gold, silver and copper, which made up a combined 14.5% of the overall Index at the end of the quarter. In the broader market, gold and silver prices ended the quarter higher following a rally late in June prompted by inflation worries, while copper rebounded from its weakness in the first quarter on China’s efforts to strengthen its economy.

The Index’s agriculture group lost 2.3% during the quarter. All of the agriculture commodities in the group ended the quarter down in the broad market. Reports of accelerated plantings, abundant supply, and favorable weather weighed on prices for corn, wheat, and soybeans, as did concerns about weakening Chinese demand for a corn ethanol by-product and soybeans. Agricultural commodities made up 25.2% of the Index at the end of the quarter.

The Quarter Ended June 30, 2014 – Fund Commodity Portfolio Commentary

The Fund’s commodity portfolio returned 0.2% for the three-month period (before considering the expenses of the Fund or the performance of the collateral portfolio). The Fund outperformed the DJ-UBSCI, which returned 0.1%, but underperformed the Index, which returned 1.4%. The Fund’s total return on net asset value for the quarter, which includes the effect of the Fund’s expenses and the performance of the collateral portfolio and assumes the reinvestment of the Fund’s distribution, was -0.07%.

The Fund may write – that is, sell – put and call options on up to 25% of the value of each of the Fund’s commodity futures contracts. During the quarter, Gresham generally wrote options on approximately 15% of each commodity futures contract seeking to limit return volatility and to provide cash flow to support the Fund’s distributions. The Fund receives cash premiums in return for writing options. If the Fund holds a long position in a specific commodity, it will sell covered calls on those contracts; if a short position is held, it will sell covered puts on contracts in that commodity. Typically, the options sold are at or in the money, and the Fund receives cash for the related premiums. Though the majority of the Fund’s option positions expire in the money, which can limit the Fund’s full participation in gains related to that commodity position, they are an important tool for reducing the Fund’s return volatility. For the quarter, the Fund had lower volatility than the Index, as measured by standard deviation of NAV return.

The Fund has the flexibility to sell both puts and calls on a single commodity, should such commodity “flip” positions (i.e., go from a long position to a short position) during the life of a particular option. In this case, the Fund can collect additional premiums. During the quarter, the Fund was able to sell calls on silver, and both puts and calls on sugar, corn, wheat, cotton, and gold, which contributed positively to Fund performance.

A key driver of the Index’s long (and short) positions is the upward (or downward) momentum in the prices of its constituents relative to the moving averages of commodity prices. The Fund’s commodity portfolio long and short/flat positions share the same drivers as the Index, but are established more actively and with greater frequency (intra-month versus the Index’s once per month methodology). This dependence on momentum puts the Index and the Fund’s commodity portfolio at risk to price patterns that seem to demonstrate upward momentum (causing a shift from short/flat to long) but then shift to an equally compelling semblance of downward momentum (causing a shift from long to short/flat). This phenomenon is customarily described as a “whipsaw,” and the Fund’s greater potential for trading activity exposes it to greater whipsaw risk than the more passive Index in certain periods.

In terms of commodity groups, during the quarter the Fund experienced absolute gains in agriculture and absolute losses in energy, metals, and livestock. Relative to the Index, the Portfolio outperformed in agriculture, but underperformed in energy, metals, and livestock.

The Fund’s agriculture position fell 1.9% during the quarter, compared to a 2.3% drop in the Index’s. Corn contributed positively, as the Fund gained from favorable long/short positioning versus the Index during the May-June price decline. In addition, the Fund benefited from collecting additional premiums from selling both put and call options on corn, wheat, and sugar. However, sugar prices were volatile during the quarter, which led to flipping activity that detracted from relative performance.

The Fund’s energy position, up 2.7% for the quarter, underperformed the Index’s, up 3.8%, primarily because of the choppy markets in heating/gas oil, which created excess flipping activity throughout the quarter. The Fund’s WTI/Brent exposure also contributed towards underperformance due to options overlay.

In the metals group, the Fund’s 5.7% decline for the quarter underperformed the Index’s 3.5% loss. The Fund’s gold position suffered due to disadvantageous positioning throughout the quarter relative to the Index. Silver and copper positions, however, added slightly to relative performance.

The Fund’s lean hogs position drove the Fund’s underperformance in livestock during the quarter, where the Fund lagged the Index on an absolute basis by 4.7% and underperformed by 0.3% on a weighted basis. The Fund has been long lean hogs since the second quarter of 2013. A choppy trading environment, which resulted in mixed prices during the quarter, detracted from the Fund’s relative returns.

The Quarter Ended June 30, 2013 – Net Assets of the Fund and Commodity Market and Portfolio Commentary

The Fund’s net assets decreased from $406.7 million at March 31, 2013, to $396.6 million at June 30, 2013, a decrease of $10.1 million. The decrease in the Fund’s net assets was due to $9.8 million in net realized losses and $10.2 million in net unrealized appreciation on the Fund’s portfolio during the quarter, a net investment loss of $1.6 million, $8.7 million of distributions to shareholders, and $0.2 million of share repurchases.

Commodity markets continued to struggle in the second quarter of 2013 and were heavily influenced by supply and demand fundamentals of individual markets. The broad commodity market fell consecutively in April, May, and June as most commodities posted declines, as measured by the DJ-UBSCI, which fell 9.5% for the second quarter of 2013; the Manager believes the DJ-UBSCI is representative of the overall commodities market. This was a more favorable environment for strategies with the ability to short commodities. The Index (the Morningstar^® Long/Short Commodity Index^SM and the Fund’s benchmark) experienced a slightly positive result of 0.03% for the quarter, with three of its four commodities groups, agriculture, energy and livestock, experiencing losses for the quarter, while metals posted a strong gain just offsetting those losses.

Energy commodities represented 46.2% of the Index at the end of the period, and are its most significant commodity group by weight. Energy commodities within the long-only DJ-UBSCI fell 8.5% in the quarter as weakening global demand put downward pressure on prices. The Index suffered a smaller loss of approximately 7.0% as the ability to hold flat positions helped limit losses.

Agricultural commodities made up 28.2% of the Index at the end of the period. Most agricultural commodities declined in the quarter as the DJ-UBSCI group lost 4.5% due to expectations of generous supplies for many markets, including coffee, corn and wheat. Notably, soybeans and soybean meal gained over the quarter. The Index’s agriculture positions fell approximately 2.8% in the quarter, outperforming the DJ-UBSCI.

Metals, of which there are three in the Index (gold, silver and copper), made up a combined 21.0% of the Index at the end of the quarter. The quarter saw all three commodities fall significantly, as measured by the DJ-UBSCI, with silver, gold and copper falling 31.6%, 23.4% and 11.1%, respectively, in the quarter. Slowing GDP growth in China, pointing to lower demand in global manufacturing and domestic construction, contributed to some of the largest quarterly declines in the metals arena in many years. The Index benefitted from these declines as it held short positions and gained approximately 27.9% in this group, offsetting the losses experienced in the other three groups.

Livestock, the smallest group in the Index at the end of the period at 4.6%, gained in long-only terms per the DJUBSCI by approximately 2.2%. Seasonal strength in U.S. demand for summer grilling, as well as April and May reports of a virus affecting piglets that could impair breeding of the U.S. herd later in 2013, provided strength in lean hogs. The Index experienced a small loss of approximately 0.9% in this environment.

In this mostly negative market environment for commodity prices, the Fund’s long/short commodity and options portfolio benefited from the flexibility to hold both long and short positions along with the retention of option premium. The Fund’s commodity portfolio outperformed its benchmark Index and posted a positive 0.07% gain during the second quarter of 2013 (before considering the expenses of the Fund or the performance of the collateral portfolio) with moderately less volatility, well outpacing the broad market as measured by the DJUBSCI, which lost 9.5% for the quarter. The Fund’s total return on net asset value for the quarter, which includes the effect of the Fund’s expenses and the performance of the collateral portfolio and assumes the reinvestment of the Fund’s distribution, was a loss of 0.23%. Relative to the Index, the primary driver of the Fund’s commodity portfolio outperformance came from agriculture positions, followed by relative outperformance in livestock. Underperformance in metals and energy did not outweigh the benefits in agriculture. As many commodities began to display price momentum, either positive or negative, the negative effects of “whipsaw” abated which contributed to the positive relative performance. See more on whipsaw later in this discussion.

In agriculture commodities, the Index held short positions in most of its contracts for much of the period. The Fund’s commodity portfolio positions in agriculture rose approximately 0.3% versus the Index’s loss of approximately 2.8%. The Fund’s portfolio, when compared to the Index, benefited from switches from short to long, or vice-versa, ahead of the Index in corn, soybeans, and soybean meal, which allowed the Fund to generate positive returns in this group and drove overall results. Position switching during the quarter also generated additional option premium in those commodities for the Fund as it collected both call and put premiums, in line with its options strategy.

The Fund gained approximately 2.0% in livestock, outperforming the Index by approximately 2.9%, in part due to a switch to a long position in lean hogs in late May in advance of the Index, which remained short. The switch of position in lean hogs also generated additional option premium for the Fund. Gains in livestock, while positive to performance, had a modest overall impact given the relatively small weight of the group in both the Fund’s portfolio, 4.7%, and in the Index, 4.6%, as measured at the end of the period.

As noted above, the Index’s metals group returned approximately 27.9% for the quarter, driven by short positions in all three (silver, gold and copper) metals markets, as each fell during the entire quarter. The Fund’s commodities portfolio also held short positions for the quarter and returned approximately 23.1% on its metals positions. Underperformance versus the Index was a result of switching between long and short positions during the quarter, and of options written being exercised, which meant some of the upside of holding short metals positions was offset by the Fund’s put options being exercised.

Energy holdings, despite their relatively large weight in both the Fund’s portfolio, 45.4%, and within the Index, 46.2%, both measured at the end of the period, had little impact on relative performance. The Fund’s energy positions lost approximately 8.4% vs. the Index’s nearly 7.0% loss. The Fund’s slight underweight positions and retention of options premium helped mitigate the impact of the absolute underperformance, resulting in only a small impact on relative results.

The Fund employs a strategy of writing covered options on commodity futures positions in the portfolio, with the goals of limiting the volatility of the Fund’s returns and providing cash flow for the Fund’s distributions. Gresham utilizes a strategy in which exchange-traded commodity put and/or call options are sold on up to 25% of the value of each of its commodity futures contracts that are deemed to have sufficient trading volume and liquidity. During the quarter, the Fund sold options on approximately 15% of the value of each commodity position. If the Fund holds a long position in a specific commodity, it will sell covered calls on those contracts; if a short position is held, it will sell covered puts on contracts in that commodity. Typically, the options sold are at or in the money, which results in the collecting of premiums. Though the majority of the Fund’s option positions expire in the money, which can limit the returns of the portfolio, they are an important tool for reducing the Fund’s volatility. For the quarter, the Fund had lower volatility than the Index, as measured by standard deviation of return.

The Fund has the flexibility to sell both puts and calls on a single commodity, should such commodity “flip” positions (i.e. go from a long position to a short position) during the life of a particular option. In such a case, the Fund can collect additional premiums. During the quarter, the Fund was able to sell both puts and calls on several commodities, including corn, soybean meal, soybeans, and lean hogs, which benefitted the Fund.

It is important to remember that a key driver of the Index’s long (and short) positions is the upward (or downward) momentum in the prices of its constituents relative to the moving averages of commodity prices. The Fund’s commodity portfolio long and short/flat positions share the same drivers as the Index, but are established more actively and with greater frequency (intra-month versus the Index’s once per month methodology). This dependence on momentum puts the Index and the Fund’s commodity portfolio at risk to price patterns that seem to demonstrate upward momentum (causing a shift from short/flat to long) but then shift to an equally compelling semblance of downward momentum (causing a shift from long to short/flat). This phenomenon is customarily described as a “whipsaw,” and the Fund’s greater potential for trading activity exposes it to greater whipsaw risk than the more passive Index in certain periods.

During the quarter ended June 30, 2013, the Fund’s collateral investments generated interest income of $120,496, which represents 0.03% of average net assets for the quarter ended June 30, 2013. The net asset value per share on June 30, 2013, was $21.11. This represents a decrease of 2.40% in net asset value (not including an assumed reinvestment of distributions) from the $21.63 net asset value as of March 31, 2013. The Fund declared distributions totaling $0.465 per share to shareholders during the quarter. When an assumed reinvestment of these distributions is taken into account, the cumulative total return for the Fund on net asset value was -0.23% for the quarter ended June 30, 2013.

The Fund generated a net loss of $1.1 million for the quarter ended June 30, 2013, resulting from interest income of $0.1 million, net expenses of $1.6 million, net realized losses of $9.8 million, and net unrealized appreciation of $10.2 million.

The Six Months Ended June 30, 2014 – Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $16.16 on the close of business on June 30, 2014. This represents a decrease of 6.16% in share price (not including an assumed reinvestment of distributions) from the $17.22 price at which the shares of the Fund traded on the close of business on December 31, 2013. The high and low intra-day share prices for the six month period were $17.60 (January 22, 2014) and $15.95 (June 13, 2014), respectively. During the six month period, the Fund declared distributions totaling $0.890 per share to shareholders, of which $0.135 was paid on July 1, 2014. The remainder was paid during the period. The Fund’s cumulative total return on market value for the six month period, which assumes reinvestment of such distributions, was -1.00%. At June 30, 2014, shares of the Fund traded at a 14.95% discount to the Fund’s net assets value of $19.00 per share. During the six month period the Fund repurchased 55,000 shares, refer to “Part II—Item 2. Unregistered Sales of Equity Securities and Use of Proceeds” in this Report for further details on the repurchase activity.

The Six Months Ended June 30, 2013 – Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $19.87 on the close of business on June 28, 2013 (the last trading day of the period). This represents a decrease of 6.36% in share price (not including an assumed reinvestment of distributions) from the $21.22 price at which the shares of the Fund traded on the close of business on December 31, 2012. The high and low intra-day share prices for the six month period were $23.93 (January 28, 2013) and $17.75 (June 25, 2013), respectively. During the six month period, the Fund declared distributions totaling $0.930 per share to shareholders, of which $0.155 was paid on July 1, 2013. The Fund’s cumulative total return on market value for the six month period, which assumes reinvestment of such distributions, was -2.03%. At June 28, 2013 (the last trading day of the period), shares of the Fund traded at a 5.87% discount to the Fund’s net asset value of $21.11 per share.

The Six Months Ended June 30, 2014 – Net Assets of the Fund

The Fund’s net assets decreased from $364.4 million at December 31, 2013, to $336.3 million at June 30, 2014, a decrease of $28.1 million. The decrease in the Fund’s net assets was due to a net loss of $11.4 million, $15.8 million of distributions to shareholders, and $0.9 million in share repurchases.

The Fund generated a net loss of $11.4 million for the six month period ended June 30, 2014, resulting from interest income of $0.2 million, offset by total expenses of $3.1 million, net realized losses of $4.1 million, and net unrealized depreciation of $4.4 million.

During the six month period ended June 30, 2014, the Fund’s collateral investments generated interest income of $151,201, which represents 0.04% of average net assets for the six month period ended June 30, 2014.

The net asset value per share on June 30, 2014, was $19.00. This represents a decrease of 7.41% in net asset value (not including an assumed reinvestment of distributions) from the $20.52 net asset value as of December 31, 2013. The Fund declared distributions totaling $0.890 per share to shareholders during the six month period. When an assumed reinvestment of these distributions is taken into account, the cumulative total return for the Fund on net asset value was -3.09% for the six month period ended June 30, 2014.

The Six Months Ended June 30, 2014 – Overall Commodity Market Commentary

A strong rally in the first quarter of 2014 was followed by a flat performance in the second quarter, resulting in a 7.1% gain in the broad commodity market for the six months ended June 30, 2014, as measured by the DJ-UBSCI. The Index (the Morningstar^® Long/Short Commodity Index^SM and the Fund’s benchmark), declined 2.1%, with a gain in livestock offset by losses in metals, agriculture, and energy.

The livestock group, up 26.7%, benefited from rallies in both live cattle and lean hogs contracts during the six month period. Supply concerns for both livestock propelled prices, as the harsh winter hurt cattle herd sizes and an epidemic swine virus first appearing in the U.S. in April 2013 continued to spread. The metals group was the weakest-performing group, down 10.5% during the period. The Index held short positions during some of the gold and silver price rallies during the period, which dampened performance. In the agriculture group, losses in corn, wheat, and coffee drove an overall decline of 4.0% for the group. Extreme weather conditions in the first quarter (including heat and drought in Brazil, and cold and drought in the U.S.) contributed to price volatility and sharp rallies for agricultural commodities in the first quarter of the year. As weather conditions moderated in the second quarter, prices began to ease. Energy commodities sustained a slight decline of 0.4% for the six month period, with positive results from crude oil and unleaded gasoline offset by negative performance in natural gas and heating oil.

The Six Months Ended June 30, 2014 – Fund Commodity Portfolio Commentary

The Fund’s commodity portfolio returned -2.5% for the six-month period (before considering the expenses of the Fund or the performance of the collateral portfolio). The Fund underperformed both the DJ-UBSCI, which returned 7.1%, and the Index, which returned -2.10%. The Fund’s total return on net asset value for the period, which includes the effect of the Fund’s expenses and the performance of the collateral portfolio and assumes the reinvestment of the Fund’s distribution, was -3.09%.

The Fund may write – that is, sell – put and call options on up to 25% of the value of each of the Fund’s commodity futures contracts. During the six month period, Gresham generally wrote options on approximately 15% of each commodity futures contract seeking to limit return volatility and to provide cash flow to support the Fund’s distributions. The Fund receives cash premiums in return for writing options. If the Fund holds a long position in a specific commodity, it will sell covered calls on those contracts; if a short position is held, it will sell covered puts on contracts in that commodity. Typically, the options sold are at or in the money, and the Fund receives cash for the related premiums. Though the majority of the Fund’s option positions expire in the money,

which can limit the Fund’s full participation in gains related to that commodity position, they are an important tool for reducing the Fund’s return volatility. For the period, the Fund had lower volatility than the Index, as measured by standard deviation of NAV return.

The Fund has the flexibility to sell both puts and calls on a single commodity, should such commodity “flip” positions (i.e., go from a long position to a short position) during the life of a particular option. In this case, the Fund can collect additional premiums. During the period, the Fund was able to sell calls on coffee, corn, wheat, gold, and silver, and both puts and calls on sugar, corn, wheat, cotton, and gold, which contributed positively to Fund performance.

In terms of commodity groups, for the six month period the Fund outperformed in precious metals and energy, and underperformed in agriculture and livestock on both an absolute and weighted basis.

The metals group was the largest contributor to relative outperformance, declining 9.3% in the Fund for the six month period and declined 10.5% in the Index. The Fund’s gold position was a key contributor, which benefited from more advantageous long/short positioning than the Index’s position during periods of price volatility in the first quarter.

In the energy group, both the Fund and Index had relatively flat performance for the six month period. The Fund was up 0.1%, while the Index was down 0.4%. The Fund’s relative outperformance came mostly from its natural gas position, which gained from switching to a long position earlier than the Index did during a first quarter rally.

The Fund’s livestock position, up 19.1% for the six month period, lagged the Index’s greater appreciation, up 26.7%. The Fund’s underperformance was especially pronounced in the second quarter, as its lean hogs position suffered from a choppy trading environment.

Agriculture commodities lost 5.2% in the Fund and lost 4.0% in the Index for the six month period, mainly due to underperformance in the Fund’s sugar position. Sugar prices were highly volatile and trending sideways throughout the six-month period, which caused flipping activity – switching from long to short or vice versa, as signal prices were crossed multiple times, resulting in underperformance by the Fund due to whipsaw.

The Six Months Ended June 30, 2013 – Net Assets of the Fund and Commodity Market and Portfolio Commentary

The Fund’s net assets decreased from $427.1 million at December 31, 2012, to $396.6 million at June 30, 2013, a decrease of $30.5 million. The decrease in the Fund’s net assets was due to $23.9 million in net realized losses and $14.3 million in net unrealized appreciation on the Fund’s portfolio during the period, a net investment loss of $3.2 million, $17.5 million of distributions to shareholders, and $0.2 million in share repurchases.

Commodities markets fell steadily during the first six months of 2013, and while rallies in January, March and late April limited the drop, the broad market ended down 10.5% for the period, as measured by the DJ-UBSCI, with all of its commodity groups falling during the period. This was a favorable environment for strategies with the ability to short commodities. The Index (the Morningstar^® Long/Short Commodity Index^SM and the Fund’s

benchmark), experienced a positive result of almost 2.8% for the first half of 2013 with three of its four commodities groups (metals, livestock and agriculture) posting gains, while energy experienced the only loss.

Energy commodities represented 46.2% of the Index at the end of the period and are its most significant commodity group by weight. As represented in the long-only DJ-UBSCI, energy commodities fell 2.0% for the six month period. The Index experienced a loss of approximately 5.6% in the energy group for the period, stemming from losses in all six contracts held in the Index, led by gas oil and heating oil.

Agricultural commodities made up 28.2% of the Index at the end of the period. In an environment where many commodity prices, including coffee, wheat, sugar, corn, and soybean oil, fell, the Index posted a moderate gain of approximately 0.2%, reflective of the benefits of the ability to take short positions in a generally downward market environment.

Metals, of which the Index includes three commodities (gold, silver and copper), were a combined 20.9% weight in the Index at the end of the period. The Index’s metals group gained more than 30% for the six month period, having switched between long and short metals positions early in the period, but staying short during the large fall in the second quarter. The magnitude of the positive return combined with the significant proportion in the Index, resulted in metals being a key driver of the Index’s six month positive return.

Livestock, the smallest group in the Index at the end of the period at 4.6%, lost in long-only terms per the DJ-UBSCI by 4.4%. The Index held short positions in both live cattle and lean hogs for most of the period, benefiting from the commodity price declines and posting a gain of approximately 4.2% in the first half.

In the environment of mostly declining commodity prices over the first six months of 2013, the Fund’s commodity portfolio lost nearly 2.4% (before considering the expenses of the Fund or the performance of the collateral portfolio), but outperformed the 10.5% loss experienced by commodities in general as measured by the long-only DJ-UBSCI. The Fund’s commodity portfolio strategy that allows shorting of commodities combined with options writing drove this outperformance. But, versus the Index, the Fund’s portfolio underperformed. The Index, as noted above, posted a positive return for the period of 2.8% while the Fund’s portfolio lost 2.4%, a difference of about 5.2%. The Fund’s total return on net asset value for the period, which includes the effect of the Fund’s expenses and the performance of the collateral portfolio and assumes the reinvestment of the Fund’s distributions, was a loss of 2.99%.

A key driver of the underperformance in the period was a phenomenon known as “whipsaw.” This was most evident earlier in the period as many commodity prices trended sideways and the Fund’s commodity portfolio approach of switching between long and short positions more often than the Index, which switches only once per month, had a negative impact on returns. In terms of commodity groups, the Fund’s commodity portfolio experienced losses in energy and agriculture, and gains in metals and livestock. Relative to the Index, the portfolio underperformed most notably in metals and secondarily in energy and agriculture. A slight outperformance in livestock had marginal impact given the relatively small weight of the livestock group in the Fund’s portfolio and the Index (4.7% and 4.6%, respectively, as measured at the end of the period). The Fund’s portfolio did experience less volatility than the Index during the period aided by the options program.

The Fund’s commodity portfolio relative underperformance in the metals group was the key driver of underperformance over the period, accounting for about 60% of the shortfall versus the Index, as estimated by the Fund’s Commodity Sub-advisor. Both the Fund’s portfolio and the Index were fully short during the second quarter, but the Fund’s portfolio switched often between long and short from the start of the period through early February, resulting in losses largely attributable to the whipsaw effect. The Fund’s portfolio experienced a gain of approximately 14.8% over the six months, but this was well behind the Index’s gain.

Energy represented the next largest negative relative impact as the Fund’s portfolio lost 9.7% vs. the Index’s loss of 5.6%. The Fund’s energy positions were generally in line with those of the Index for most of the period for

Brent crude oil, heating oil, gas oil and RBOB gasoline, but moved between flat and long positions more often than the Index in WTI crude oil and natural gas, contributing to underperformance in both, again as a result of the whipsaw impact.

Moderate underperformance in agricultural commodities and slight outperformance in Livestock had a relatively small impact over the period versus the Index. Despite the result versus the benchmark, agriculture holdings helped the portfolio versus commodities in general as the group’s loss of approximately 1.8% in portfolio terms outperformed the 7.5% loss of the DJ-UBSCI’s agriculture group. In livestock, the Fund’s portfolio posted a positive return of approximately 5.8%, while the livestock group lost 4.4% of its value in DJ-UBSCI terms.

The Fund employs a strategy of writing covered options on commodities futures positions in the portfolio, with the goals of limiting the volatility of the Fund’s returns and providing cash flow for the Fund’s distributions. Gresham utilizes a strategy in which exchange-traded commodity put and/or call options are sold on up to 25% of the value of each of its commodity futures contracts that are deemed to have sufficient trading volume and liquidity. During the six months, the Fund sold options on approximately 15% of the value of each commodity position. If the Fund holds a long position in a specific commodity, it will sell covered calls on those contracts; if a short position is held, it will sell covered puts on contracts in that commodity. Typically, the options sold are at or in the money, which results in the collecting of premiums. Though the majority of the Fund’s option positions expire in the money, which can limit the returns of the portfolio, they are an important tool for reducing the Fund’s volatility. For the six months, the Fund had lower volatility than the Index, as measured by standard deviation of return.

The Fund has the flexibility to sell both puts and calls on a single commodity, should such commodity “flip” positions (i.e. go from a long position to a short position) during the life of a particular option. In such a case, the Fund can collect additional premiums. During the six months, the Fund was able to sell both puts and calls on several commodities, including corn, soybean meal, soybeans, and lean hogs, which benefitted the Fund.

During the six month period ended June 30, 2013, the Fund’s collateral investments generated interest income of $253,927, which represents 0.06% of average net assets for the six month period ended June 30, 2013.

The net asset value per share on June 30, 2013, was $21.11. This represents a decrease of 7.09% in net asset value (not including an assumed reinvestment of distributions) from the $22.72 net asset value as of December 31, 2012. The Fund declared distributions totaling $0.930 per share to shareholders during the six month period. When an assumed reinvestment of these distributions is taken into account, the cumulative total return for the Fund on net asset value was -2.99% for the six month period ended June 30, 2013.

The Fund generated a net loss of $12.8 million for the six month period ended June 30, 2013, resulting from interest income of $0.3 million, net expenses of $3.5 million, net realized losses of $23.9 million, and net unrealized appreciation of $14.3 million.

Fund Total Returns

The following table presents selected total returns for the Fund as of June 30, 2014. Total returns based on market value and net asset value are based on the change in market value and net asset value, respectively, for a share during the period presented. The total returns presented assume the reinvestment of distributions at market value on the distribution payment date for returns based on market value, and at net asset value on the distribution payment date for returns based on net asset value. The last distribution declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the market price per share at the end of the period for total returns based on market value, and at the ending net asset value per share at the end of the period for total returns based on net asset value.


	Total Returns as of June 30, 2014
	Cumulative						Average Annual
	3 Months			Year to Date			1 Year			Since Inception
Market Value		0.27	%		-1.00	%		-9.48	%		-15.17	%
Net Asset Value		-0.07	%		-3.09	%		-1.47	%		-5.10	%

“Since inception” returns present performance for the period since the Fund’s commencement of operations on October 25, 2012.

Returns represent past performance, which is no guarantee of future performance.

Distributions

The Fund makes regular monthly distributions to its shareholders stated in terms of a fixed cents per share distribution rate. The Manager seeks to establish a distribution rate that, among other factors, roughly corresponds to its projections of the total return that could reasonably be expected to be generated by the Fund over an extended period of time. The Fund’s projected or actual distribution rate is not a prediction of what the Fund’s actual total returns will be over any specific future period.

The Fund’s ability to make distributions will depend on a number of factors, including, most importantly, the long-term total returns generated by the Fund’s commodity investments and the gains generated through the Fund’s options strategy. The Fund’s actual financial performance will likely vary significantly from month-to-month and from year-to-year, and there may be periods, perhaps of extended durations of up to several years, when the distribution rate exceeds the Fund’s actual total returns. In the event that the amount of income earned or capital gains realized by the Fund is not sufficient to cover the Fund’s distributions, the Fund may be required to liquidate investments to fund distributions at times or on terms that could be disadvantageous to the Fund and its shareholders.

Because the Fund’s investment performance since its inception has been negative, the Fund has effectively been drawing upon its assets to meet payments prescribed by its distribution policy. The Fund also has paid fees and expenses that have also been drawn from the Fund’s assets.

As market conditions and portfolio performance may change, the rate of distributions on the shares and the Fund’s distribution policy could change. The Manager reserves the right to change the Fund’s distribution policy and the basis for establishing the rate of its monthly distributions, or may temporarily suspend or reduce distributions without a change in policy, at any time and may do so without prior notice to shareholders. The reduction or elimination of the Fund’s distributions could have the effect of increasing the Manager’s management fees. On May 1, 2014 the Manager announced that the Fund’s distribution rate would be reduced from $0.155 per share to $0.135 per share, effective with the distribution payable on June 2, 2014.

Commodity Weightings

The table below presents the composition of the Fund’s commodity portfolio and the Index as of June 30, 2014. The June 30, 2014 composition serves as a guide to how the composition of the Fund’s commodity portfolio compared to that of the Index.


		Fund				Index
Commodity Group	Commodity	Exposure ⁽¹⁾	Composition			Exposure ⁽¹⁾	Composition
Energy	Crude Oil	Long		21.27	%	Long		21.38	%
	Heating Oil	Long		16.63	%	Long		16.68	%
	Natural Gas	Long		9.10	%	Long		9.22	%
	Unleaded Gas	Long		6.60	%	Long		6.65	%

				53.60	%			53.93	%

Agriculture	Soybean	Long		8.19	%	Long		8.01	%
	Corn	Short		5.55	%	Short		5.44	%
	Sugar	Long		3.08	%	Short		3.03	%
	Soybean Meal	Long		2.44	%	Long		2.37	%
	Wheat	Short		2.32	%	Short		2.30	%
	Soybean Oil	Short		1.79	%	Short		1.78	%
	Cotton	Short		1.39	%	Short		1.39	%
	Coffee	Long		0.84	%	Long		0.86	%

				25.60	%			25.18	%

Metals	Gold	Long		8.71	%	Short		8.74	%
	Silver	Long		3.08	%	Short		3.04	%
	Copper	Short		2.65	%	Short		2.69	%

				14.44	%			14.47	%

Livestock	Live Cattle	Long		3.82	%	Long		3.82	%
	Lean Hogs	Long		2.54	%	Long		2.60	%

				6.36	%			6.42	%

Total				100.00	%			100.00	%

(1)

The Fund and the Index may take long and short positions on commodity futures contracts. The Fund and the Index will not short energy futures contracts due to prices of energy futures contracts generally being more sensitive to geopolitical events than to economic factors. References to a flat position, if any, mean that instead of shorting energy futures contracts when market signals dictate, the Fund will not have a futures contract position for that energy commodity, and will instead move that position to cash. The Fund may also have flat positions in other commodity groups for short periods of time in the course of implementing its investment strategy.

Liquidity and Capital Resources

The Fund implements its strategy by taking long and/or short positions in commodity futures contracts with a portion of the Fund’s assets, writing put and call options pursuant to the long/short commodity investment program, and by investing the remaining assets of the Fund as collateral in cash equivalents, U.S. government securities and other short-term, high grade debt securities. The Fund’s investment activity in futures contracts and writing commodity options does not require a significant outlay of capital. The Fund currently expects to post approximately 10% to 25% of its net assets in a margin account with Barclay’s Capital Inc., the Fund’s clearing broker, to cover its futures contracts; the remaining assets are held by the Fund in a separate collateral pool managed by the Collateral Sub-adviser. The Fund believes the higher allocation to initial margin will

provide a significant buffer to accommodate variations in the required margin posting that may result from market volatility, potential gains and losses on the contracts, and changes in margin rules, and will minimize the frequency of cash transfers from the Fund’s other collateral pool to meet variation margin requirements. The Fund does not intend to utilize leverage and its commodity contract positions are fully collateralized. Ordinary expenses and distributions are met by cash on hand, although distributions may at times consist of return of capital and may require that the Fund liquidate investments. The Fund earns interest on its continuing investments in cash equivalents, U.S. government securities and other short-term, high grade debt securities. The Fund also generates cash from the premiums it receives when writing options on the Fund’s futures contracts.

The Fund’s investments in commodity futures contracts and options on commodity futures contracts may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, commodity exchanges limit fluctuations in certain commodity futures contract prices during a single day by regulations referred to as “daily limits.” During a single day, no trades may be executed at prices beyond the daily limit. Once the price of a futures contract for a particular commodity has increased or decreased by an amount equal to the daily limit, positions in the futures contract can neither be taken nor liquidated unless the traders are willing to effect trades at or within the limit. Commodity futures prices have occasionally moved the daily limit for several consecutive days with little or no trading. Such market conditions could prevent the Fund from promptly liquidating its commodity futures positions.

The Fund’s shares trade on the NYSE MKT, and shares are not redeemed by the Fund in the normal course of business (although the Manager may decide to do so at its discretion), thereby alleviating the need for the Fund to have liquidity available for possible shareholder redemptions. On March 14, 2013, the Fund announced the adoption of an open-market share repurchase program pursuant to which it is authorized to repurchase an aggregate of up to 10% of its outstanding common shares. On March 6, 2014 the Fund reauthorized its share repurchase program, pursuant to which it may repurchase up to 10% of its outstanding common shares as of the reauthorization date (approximately 1,775,000 shares) in open-market transactions, at the Manager’s discretion. Refer to “Part II—Item 2. Unregistered Sales of Equity Securities and Use of Proceeds” in this Report for details of repurchase activity during the six months ended June 30, 2014.

The Fund is unaware of any other trends, demands, conditions or events that are reasonably likely to result in material changes to the Fund’s liquidity needs.

Because the Fund invests in commodity futures contracts, its capital is at risk from changes in the value of these contracts (market risk) or the potential inability of clearing brokers or counterparties to perform under the terms of the contracts (credit risk).

Market Risk

Investing in commodity futures contracts involves the Fund entering into contractual commitments to purchase or sell a particular commodity at a specified date and price. The market risk associated with the Fund’s commitments to purchase commodities will be limited to the gross or face amount of the contracts held.

The Fund’s exposure to market risk may be influenced by a number of factors, including changes in international balances of payments and trade, currency devaluations and revaluations, changes in interest and foreign currency exchange rates, price volatility of commodity futures contracts and market liquidity, weather, geopolitical events and other factors. These factors also affect the Fund’s investments in options on commodity futures contracts. The inherent uncertainty of the Fund’s investments as well as the development of drastic market occurrences could ultimately lead to a loss of all, or substantially all, of investors’ capital.

Credit Risk

The Fund may be exposed to credit risk from its investments in commodity futures contracts and options on commodity futures contracts resulting from the clearing house associated with a particular exchange failing to meet its obligations to the Fund. In general, clearing houses are backed by their corporate members who may be

required to share in the financial burden resulting from the nonperformance of one of their members, which should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., as in some foreign exchanges), it may be backed by a consortium of banks or other financial institutions. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to the Fund.

The Fund attempts to minimize market risks, and the Commodity Sub-adviser attempts to minimize credit risks, by abiding by various investment limitations and policies, which include limiting margin accounts, investing only in liquid markets and permitting the use of stop-loss orders. The Commodity Sub-adviser implements procedures which include, but are not limited to:

•

Employing the options strategy to limit directional risk (although there is no guarantee that the Fund’s options strategy will be successful);

•

Executing and clearing trades only with counterparties the Commodity Sub-advisor believes are creditworthy;

•

Limiting the amount of margin or premium required for any one commodity contract or all commodity contracts combined; and

•

Generally limiting transactions to contracts which are traded in sufficient volume to permit the efficient taking and liquidating of positions.

A commodity broker, when acting as the Fund’s futures commission merchant, is required by the Commodity Futures Trading Commission (“CFTC”) regulations to separately account for and segregate all assets of the Fund relating to domestic futures investments. A commodity broker is not allowed to commingle such assets with other assets of the commodity broker. In addition, CFTC regulations also require a commodity broker, when acting as the Fund’s futures commission merchant, to hold in a “secured” account the assets of the Fund related to foreign futures investments and not commingle such assets with assets of the commodity broker.

As it relates to the Fund’s assets held as collateral for its investments in commodity futures contracts, there is credit risk present in the securities used to invest the Fund’s cash. While these consist of cash equivalents, U.S. government securities and other short-term, high-grade debt securities, like any investment, these too would be affected by any credit difficulties that might be experienced by their issuers.

Off-Balance Sheet Arrangements

As of June 30, 2014, the Fund has not utilized, nor does it expect to utilize in the future, special purpose entities to facilitate off-balance sheet financing arrangements and has no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Fund. While the Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on the Fund’s financial position.

Contractual Obligations

The Fund’s contractual obligations are with the Manager, the Commodity Sub-adviser, the Collateral Sub-adviser, the custodian, the transfer agent and the commodity broker. Management fee payments made to the Manager are calculated as a percentage of the Fund’s assets. The custodian fee is primarily based on the Fund’s assets and trading activity. The transfer agent fee is calculated based on the Fund’s total number of registered accounts. Commission payments to the commodity broker are on a contract-by-contract or round-turn basis. The Manager cannot anticipate the amount of payments that will be required under these arrangements for future periods, as these payments are based on figures which are not known until a future date. Additionally, these agreements may be terminated by either party for various reasons.

Critical Accounting Policies

The Fund’s critical accounting policies are as follows:

•

Preparation of the financial statements and related disclosures in conformity with accounting principles generally accepted in the United States requires the application of appropriate accounting rules and guidance, as well as the use of estimates and assumptions. The Fund’s application of these policies involves judgments and actual results may differ from the estimates used.

•

The Fund holds a significant portion of its assets in futures contracts, options contracts, and short-term, high grade debt instruments, all of which are recorded on a trade date basis and recognized at fair value in the financial statements, with changes in fair value reported on the Statements of Operations as changes in net unrealized appreciation (depreciation).

•

The use of fair value to measure financial instruments, with related unrealized appreciation (depreciation) recognized in earnings in each period, is fundamental to the Fund’s financial statements.

•

The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.

•

Generally, commodity futures contracts and options on commodity futures contracts traded on an exchange will be valued at the final settlement price or official closing price as determined by the principal exchange on which the instruments are traded as supplied by independent pricing services. OTC commodity futures contracts and options on commodity futures contracts not traded on an exchange will be valued, in order of hierarchy, by independent pricing services, price quotations obtained from counterparty broker-dealers, or through fair valuation methodologies as determined by the Manager.

•

Market quotations for exchange-traded commodity futures contracts and options on commodity futures contracts may not be readily available as a result of significant events, which can include, but are not limited to: trading halts or suspensions, market disruptions, or the absence of market makers willing to make a market in such instruments. In addition, events may occur after the close of the market, but prior to the determination of the Fund’s net asset value, which may affect the values of the Fund’s investments. In such circumstances, the Manager will determine a fair valuation for such investments that in its opinion is reflective of fair market value.

•

Realized gains (losses) on closed positions and changes in unrealized appreciation (depreciation) on open positions are determined on a specific identification basis and recognized in the Statements of Operations during the period in which the contract is closed or the changes occur, respectively.

•

Interest income, which reflects the amortization of premiums and includes accretion of discounts for financial reporting purposes, is recorded on an accrual basis.

Refer to note 2 of the Fund’s Notes to Financial Statements in “Part 1—Item 1. Financial Statements” of this Report for the summary of significant accounting policies of the Fund.

Item 3.

Quantitative and Qualitative Disclosures About Market Risk

Quantitative Disclosure

The Fund is exposed to commodity price risk through the futures contracts and the options on futures contracts that the Fund invests in as part of its investment strategy. These instruments have been entered into for trading purposes. The following table provides information about the Fund’s futures contracts and options on futures contracts, which are sensitive to changes in commodity prices, as of June 30, 2014.

Long Futures Contracts


Commodity Group	Contract	Contract Position	Contract Expiration		Number of Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Energy	Crude Oil
	ICE Brent Crude Oil Futures Contract	Long		August 2014		191	$	112.3600		1,000	$	21,460,760
	ICE Brent Crude Oil Futures Contract	Long		September 2014		129		112.0700		1,000		14,457,030
	NYMEX Crude Oil Futures Contract	Long		August 2014		152		105.3700		1,000		16,016,240
	NYMEX Crude Oil Futures Contract	Long		September 2014		181		104.7300		1,000		18,956,130
	Heating Oil
	ICE Gas Oil Futures Contract	Long		September 2014		360		922.5000		100		33,210,000
	NYMEX NY Harbor ULSD Futures Contract	Long		August 2014		72		2.9753		42,000		8,997,307
	NYMEX NY Harbor ULSD Futures Contract	Long		September 2014		105		2.9855		42,000		13,166,055
	Natural Gas
	NYMEX Natural Gas Futures Contract	Long		August 2014		106		4.4610		10,000		4,728,660
	NYMEX Natural Gas Futures Contract	Long		September 2014		552		4.4400		10,000		24,508,800
	NYMEX Natural Gas Futures Contract	Long		November 2014		30		4.4640		10,000		1,339,200
	Unleaded Gas
	NYMEX Gasoline RBOB Futures Contract	Long		August 2014		70		3.0433		42,000		8,947,302
	NYMEX Gasoline RBOB Futures Contract	Long		September 2014		103		3.0055		42,000		13,001,793

Agriculture	Soybean
	CBOT Soybean Futures Contract	Long		November 2014		459		11.5725		5,000		26,558,887
	Sugar
	ICE Sugar Futures Contract	Long		October 2014		93		0.1801		112,000		1,875,922
	Soybean Meal
	CBOT Soybean Meal Futures Contract	Long		December 2014		214		367.4000		100		7,862,360
	Coffee
	ICE Coffee C Futures Contract	Long		September 2014		43		1.7510		37,500		2,823,488

Metals	Gold
	CEC Gold Futures Contract	Long		August 2014		68		1,322.0000		100		8,989,600
	CEC Gold Futures Contract	Long		December 2014		154		1,322.8000		100		20,371,120
	Silver
	CEC Silver Futures Contract	Long		September 2014		98		21.0560		5,000		10,317,440

Livestock	Live Cattle
	CME Live Cattle Futures Contract	Long		October 2014		132		1.5313		40,000		8,085,000
	CME Live Cattle Futures Contract	Long		August 2014		77		1.5008		40,000		4,622,310
	Lean Hogs
	CME Lean Hogs Futures Contract	Long		July 2014		27		1.3265		40,000		1,432,620
	CME Lean Hogs Futures Contract	Long		August 2014		55		1.3283		40,000		2,922,150
	CME Lean Hogs Futures Contract	Long		October 2014		93		1.1390		40,000		4,237,080

Short Futures Contracts


Commodity Group	Contract	Contract Position	Contract Expiration		Number of Contracts			Valuation Price		Contract Multiplier		Notional Amount at Value
Agriculture	Corn
	CBOT Corn Futures Contract	Short		September 2014		(755	)	$	4.1875		5,000	$	(15,807,813	)
	Wheat
	CBOT Wheat Futures Contract	Short		September 2014		(251	)		5.7750		5,000		(7,247,625	)
	Soybean Oil
	CBOT Soybean Oil Futures Contract	Short		December 2014		(240	)		0.3915		60,000		(5,637,600	)
	Cotton
	ICE Cotton Futures Contract	Short		December 2014		(114	)		0.7351		50,000		(4,190,070	)

Metals	Copper
	CEC Copper Futures Contract	Short		September 2014		(20	)		3.2035		25,000		(1,601,750	)

Commodity Call Options Written


Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Energy	Crude Oil
	ICE Brent Crude Oil Futures Options		August 2014		(49	)	$	105.00	$	(362,110	)
	NYMEX Crude Oil Futures Options		July 2014		(50	)		97.50		(395,500	)
	Heating Oil
	NYMEX NY Harbor ULSD Futures Options		July 2014		(68	)		2.94		(176,501	)
	Natural Gas
	NYMEX Natural Gas Futures Options		July 2014		(106	)		4,050.00		(451,560	)
	Unleaded Gas
	NYMEX Gasoline RBOB Futures Options		July 2014		(26	)		28,200.00		(245,809	)

Agriculture	Soybean
	CBOT Soybean Futures Options		October 2014		(69	)		1,100.00		(302,306	)
	Sugar
	ICE Sugar Futures Options		September 2014		(71	)		18.25		(46,122	)
	Soybean Meal
	CBOT Soybean Meal Futures Options		November 2014		(32	)		330.00		(143,040	)
	Coffee
	ICE Coffee C Futures Contract		August 2014		(6	)		147.50		(63,450	)

Metals	Gold
	CEC Gold Futures Contract		July 2014		(33	)		1,300.00		(103,620	)
	Silver
	CEC Silver Futures Contract		August 2014		(15	)		2,075.00		(60,900	)

Livestock	Live Cattle
	CME Live Cattle Futures Options		August 2014		(31	)		127.00		(286,130	)
	Lean Hogs
	CME Lean Hogs Futures Options		July 2014		(27	)		104.00		(309,690	)

Commodity Put Options Written


Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Agriculture	Corn
	CBOT Corn Futures Options		August 2014		(114	)	$	470.00	$	(314,212	)
	Sugar
	ICE Sugar Futures Options		September 2014		(71	)		18.25		(65,206	)
	Wheat
	CBOT Wheat Futures Options		August 2014		(38	)		670.00		(178,363	)
	Soybean Oil
	CBOT Soybean Oil Futures Options		November 2014		(36	)		415.00		(69,012	)
	Cotton
	ICE Cotton Futures Contract		November 2014		(17	)		79.00		(59,075	)

Metals	Gold
	CEC Gold Futures Options		July 2014		(33	)		1,300.00		(31,020	)



CBOT		Chicago Board of Trade
CEC		Commodities Exchange Center
CME		Chicago Mercantile Exchange
ICE		Intercontinental Exchange
NY Harbor ULSD		New York Harbor Ultra-Low Sulfur Diesel
NYMEX		New York Mercantile Exchange
RBOB		Reformulated Gasoline Blendstock for Oxygen Blending

The Fund also invests the assets held as collateral for its investments in commodity futures contracts in short-term, high grade debt securities, which exposes the Fund to interest rate risk. These instruments are deemed to be entered into for non-trading purposes, with an emphasis on current income, liquidity and preservation of capital. As of June 30, 2014, the Fund held U.S. Treasury bills worth $278,647,922 with a par value of $278,750,000, and a repurchase agreement worth $9,139,192.

Qualitative Disclosure

The Fund’s primary trading risk exposure is commodity price risk, which affects the futures contracts and options on futures contracts in which the Fund invests. There are numerous uncertainties, contingencies and risks associated with these investments (as discussed in Part I—Item 1A. Risk Factors in the Fund’s annual report on Form 10-K for the year ended December 31, 2013, and Part II—Item 1A. Risk Factors in the Fund’s subsequent quarterly reports on Form 10-Q, filed with the Securities and Exchange Commission (“SEC”)) which include, but are not limited to, government interventions, defaults and expropriations, adverse weather conditions, commodity supply factors, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, and increased regulation. Investors may lose all or substantially all of their investment in the Fund.

The Fund invests in a diversified portfolio of commodity futures contracts to obtain broad exposure to all principal groups in the global commodity markets, thereby limiting its exposure to the commodity price risk of any one futures contract or any specific commodity group. To further help manage commodity price risk, the Fund uses its options strategy in an attempt to enhance the Fund’s risk-adjusted total returns. The impact of the options strategy on the Fund’s total returns in varying market environments is described below.

If the Commodity Sub-adviser determines the Fund should have long exposure to an individual commodity futures contract, it will invest long in the commodity futures contract and sell a call option on the same underlying commodity futures contract with the same strike price and expiration date. In up markets where commodity prices increase, the portion of the Fund on which call options have been sold will forego potential appreciation in the value of the underlying contracts to the extent the price of those contracts exceeds the exercise price of call options sold plus the premium collected by selling the options. In flat or sideways markets, the portion of the Fund on which call options have been sold will generate current gains from the call option premiums collected by selling the options. In down markets where commodity prices decrease, the call options sold by the Fund will expire worthless. Regardless of the price performance of the long commodity futures position, the Fund will retain the net call option premiums received by the Fund.

If the Commodity Sub-adviser determines the Fund should have short exposure to an individual commodity futures contract, it will short the commodity futures contract and sell a put option on the same underlying commodity futures contract with the same strike price and expiration date. In down markets where commodity prices decrease, the portion of the Fund on which put options have been sold will forego potential appreciation in the value of the underlying futures contracts to the extent that the price of those contracts exceeds the exercise price of put options sold plus the premium collected by selling the options. In flat or sideways markets, the portion of the Fund on which put options have been sold will generate current gains from the put option premiums collected by selling the options. In up markets where commodity prices increase, the put options sold by the Fund will expire worthless. Regardless of the price performance of the short commodity futures position, the Fund will retain the net put option premiums received by the Fund.

There can be no assurance that the Fund’s options strategy will be successful. The Fund’s risk-adjusted returns over any particular period may be positive or negative.

The Fund’s primary non-trading risk exposures are interest rate risk and credit risk related to the collateral portfolio. Interest rate risk is mitigated by the short-term nature of the collateral portfolio’s debt securities. Credit risk is mitigated by the fact that the collateral portfolio’s debt securities (other than U.S. government securities) are rated at the highest applicable rating as determined by at least one nationally recognized statistical rating organization or, if unrated, judged by the Collateral Sub-adviser to be of comparable quality.

Item 4.

Controls and Procedures

Evaluation of Disclosure Controls and Procedures

Under the supervision and with the participation of the principal executive officer and principal financial officer of the Manager of the Fund, the Manager has evaluated the effectiveness of the Fund’s disclosure controls and procedures pursuant to Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934 (the “Exchange Act”). Based upon that evaluation, the principal executive officer and principal financial officer concluded that the Fund’s disclosure controls and procedures were effective as of the end of the period covered by this Report to provide reasonable assurance that information required to be disclosed in the reports that the Fund files or submits to the SEC under the Exchange Act is recorded, processed, summarized and reported, within the time periods specified in the applicable rules and forms, and that it is accumulated and communicated to the management of the Manager as appropriate to allow timely decisions regarding required disclosure.

Changes in Internal Control Over Financial Reporting

There were no changes in the Fund’s internal control over financial reporting (as defined in Rules 13a-15(f) and 15d-15(f) of the Exchange Act) that occurred during the reporting period covered by this Report that have materially affected, or are reasonably likely to materially affect, the Fund’s internal control over financial reporting.

PART II. OTHER INFORMATION

Item 1.

Legal Proceedings

None.

Item 1A.

Risk Factors

There have been no changes to the Risk Factors since last reported on Part I, Item 1A of the Fund’s annual report on Form 10-K dated December 31, 2013, filed with the SEC.

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds

a) None.

b) The Fund did not issue new shares within the six month period ended on June 30, 2014.

c) On March 14, 2013, the Fund adopted an open-market share repurchase program, pursuant to which it was authorized to repurchase up to 10% of its outstanding common shares (approximately 1,800,000 shares) in open-market transactions at the Manager’s discretion. On March 6, 2014, the Fund reauthorized its share repurchase program, pursuant to which it may repurchase up to 10% of its outstanding common shares as of the reauthorization date (approximately 1,775,000 shares). Share repurchases during the fiscal year to date period ended June 30, 2014 were as set forth in the following table:


Period	Total Number of Shares Repurchased		Weighted Average Price per Share Repurchased		Maximum Number of Shares that May Yet Be Repurchased
1/1/14 to 1/31/14		—	$	—	Approximately 1,775,000
2/1/14 to 2/28/14		—	$	—	Approximately 1,775,000
3/1/14 to 3/31/14		—	$	—	Approximately 1,775,000
4/1/14 to 4/30/14		18,600	$	16.40	Approximately 1,756,400
5/1/14 to 5/31/14		—	$	—	Approximately 1,756,400
6/1/14 to 6/30/14		36,400	$	16.28	Approximately 1,720,000

A cumulative total of 1,100,000 shares have been repurchased through the repurchase program described above. No shares have been repurchased outside of the program described.

Item 3.

Defaults Upon Senior Securities

None.

Item 4.

Mine Safety Disclosures

Not applicable.

Item 5.

Other Information

None.

Item 6.

Exhibits



4.1		Amended and Restated Trust Agreement of the Fund. (1)

31.1		Certification of Principal Executive Officer Pursuant to Rule 13a-14(a) or Rule 15d-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

31.2		Certification of Principal Financial Officer Pursuant to Rule 13a-14(a) or Rule 15d-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

32.1		Certification of Principal Executive Officer Pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

32.2		Certification of Principal Financial Officer Pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

101.INS		XBRL Instance Document.

101.SCH		XBRL Taxonomy Extension Schema Document.

101.CAL		XBRL Taxonomy Extension Calculation Linkbase Document.

101.LAB		XBRL Taxonomy Extension Label Linkbase Document.

101.PRE		XBRL Taxonomy Extension Presentation Linkbase Document.

101.DEF		XBRL Taxonomy Extension Definition Linkbase Document.

(1)	Filed on September 20, 2012 with Amendment No. 6 to Registrant’s Registration Statement on Form S-1 (File No. 333-174764) and incorporated by reference herein.

SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized, in the City of Chicago, State of Illinois, on August 7, 2014.


Nuveen Long/Short Commodity Total Return Fund

By:		Nuveen Commodities Asset Management, LLC, its Manager

By:		/s/ William Adams IV
		President (Principal Executive Officer)

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

Nuveen Commodities Asset Management, LLC

Manager of Registrant

/s/ William Adams IV

President

(Principal Executive Officer)

August 7, 2014

/s/ Stephen D. Foy

Chief Financial Officer

(Principal Financial and Accounting Officer)

August 7, 2014

Nuveen Long/Short Commodity Total Return Fund - FORM 10-Q - August 7, 2014

Attached files

Nuveen Long/Short Commodity Total Return Fund Reports