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

Attached files

file	filename
EX-32.2 - EX-32.2 - Nuveen Long/Short Commodity Total Return Fund	d236891dex322.htm
EX-32.1 - EX-32.1 - Nuveen Long/Short Commodity Total Return Fund	d236891dex321.htm
EX-31.2 - EX-31.2 - Nuveen Long/Short Commodity Total Return Fund	d236891dex312.htm
EX-31.1 - EX-31.1 - Nuveen Long/Short Commodity Total Return Fund	d236891dex311.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 September 30, 2016

¨	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 November 4, 2016, the registrant had 16,345,840 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 September 30, 2016 (Unaudited)		3

	Statements of Financial Condition at September 30, 2016 (Unaudited) and December 31, 2015		8

	Statements of Operations (Unaudited) for the three months ended September 30, 2016 and September 30, 2015 and the nine months ended September 30, 2016 and September 30, 2015		9

	Statements of Changes in Shareholders’ Capital for the nine months ended September 30, 2016 (Unaudited) and the year ended December 31, 2015		10

	Statements of Cash Flows (Unaudited) for the nine months ended September 30, 2016 and September 30, 2015		11

	Notes to Financial Statements (Unaudited)		12

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations		25

Item 3.	Quantitative and Qualitative Disclosures About Market Risk		41

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)

September 30, 2016

Investments


Principal Amount (000)	Description	Coupon/ Yield			Maturity		Ratings⁽¹⁾		Value
	Short-Term Investments
	U.S. Government and Agency Obligations
$ 13,000	U.S. Treasury Bills		0.000	%		10/13/16		Aaa	$	12,999,415
34,000	U.S. Treasury Bills		0.000	%		11/03/16		Aaa		33,994,118
22,000	U.S. Treasury Bills		0.000	%		11/10/16		Aaa		21,995,072
42,000	U.S. Treasury Bills		0.000	%		12/08/16		Aaa		41,985,762
14,000	U.S. Treasury Bills		0.000	%		12/15/16		Aaa		13,994,414
11,500	U.S. Treasury Bills		0.000	%		1/05/17		Aaa		11,491,364
16,000	U.S. Treasury Bills		0.000	%		2/02/17		Aaa		15,982,288
9,000	U.S. Treasury Bills		0.000	%		3/02/17		Aaa		8,986,347
26,500	U.S. Treasury Bills		0.000	%		3/30/17		Aaa		26,442,866
13,200	U.S. Treasury Bills		0.000	%		4/27/17		Aaa		13,164,373

$ 201,200	Total U.S. Government And Agency Obligations (cost $200,954,787)								$	201,036,019

	Repurchase Agreements
$ 2,684	Repurchase Agreement with State Street Bank, dated 9/30/16, repurchase price $2,683,838, collateralized by $2,720,000 U.S. Treasury Notes, 1.000%, due 5/15/18, value $2,742,524		0.010	%		10/03/16		N/A	$	2,683,836

	Total Repurchase Agreements (cost $2,683,836)								$	2,683,836

	Total Short-Term Investments (cost $203,638,623)								$	203,719,855

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

September 30, 2016

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)⁽⁴⁾
Energy	Crude Oil
	ICE Brent Crude Oil Futures Contract		Long		December 2016		493	$	24,743,670		$	1,235,231
	NYMEX Crude Oil Futures Contract		Long		November 2016		509		24,554,160			634,839

	Total Crude Oil											1,870,070

	Heating Oil
	ICE Low Sulphur Gasoil Futures Contract		Long		December 2016		539		24,160,675			(1,525	)
	NYMEX NY Harbor ULSD Futures Contract		Long		November 2016		278		17,961,191			876,896

	Total Heating Oil											875,371

	Natural Gas
	NYMEX Natural Gas Futures Contract		Long		November 2016		555		16,128,300			(639,136	)

	Unleaded Gas
	NYMEX Gasoline RBOB Futures Contract		Long		November 2016		158		9,709,132			291,058
	NYMEX Gasoline RBOB Futures Contract		Long		December 2016		102		6,145,826			54,848

	Total Unleaded Gas											345,906

	Total Energy											2,452,211

Agriculture	Soybean
	CBOT Soybean Futures Contract		Long		November 2016		166		7,918,200			(819,939	)
	CBOT Soybean Futures Contract		Long		January 2017		210		10,072,125			(187,300	)

	Total Soybean											(1,007,239	)

	Corn
	CBOT Corn Futures Contract		Short		December 2016		667		(11,230,613	)		250,075

	Wheat
	CBOT Wheat Futures Contract		Short		December 2016		411		(8,261,100	)		726,988

	Sugar
	ICE Sugar Futures Contract		Long		March 2017		271		6,980,960			639,705

	Coffee
	ICE Coffee C Futures Contract		Long		December 2016		89		5,057,981			155,404

	Soybean Meal
	CBOT Soybean Meal Futures Contract		Short		December 2016		29		(868,840	)		(2,901	)

	Cocoa
	ICE Cocoa Futures Contract		Short		December 2016		123		(3,396,030	)		265,185

	Soybean Oil
	CBOT Soybean Oil Futures Contract		Long		December 2016		167		3,350,688			101,172

	Cotton
	ICE Cotton Futures Contract		Long		December 2016		97		3,301,880			172,918

	Total Agriculture											1,301,307

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

September 30, 2016

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)⁽⁴⁾
Metals	Gold
	CEC Gold Futures Contract		Long		December 2016		156	$	20,546,760		$	(142,100	)

	Silver
	CEC Silver Futures Contract		Long		December 2016		92		8,838,440			(280,860	)

	Copper
	CEC Copper Futures Contract		Long		December 2016		110		6,078,875			52,907

	Total Metals											(370,053	)

Livestock	Live Cattle
	CME Live Cattle Futures Contract		Short		October 2016		35		(1,384,600	)		225,120
	CME Live Cattle Futures Contract		Short		December 2016		192		(7,689,600	)		794,420

	Total Live Cattle											1,019,540

	Lean Hogs
	CME Lean Hogs Futures Contract		Short		October 2016		56		(1,098,160	)		261,653
	CME Lean Hogs Futures Contract		Short		December 2016		88		(1,547,920	)		311,360

	Total Lean Hogs											573,013

	Total Livestock											1,592,553

	Total Futures Contracts outstanding						5,593				$	4,976,018

Call Options Written outstanding:


Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Energy	Crude Oil
	ICE Brent Crude Oil Futures Options		December 2016		(76	)	$	46.00	$	(357,960	)
	NYMEX Crude Oil Futures Options		October 2016		(78	)		46.50		(195,780	)

	Total Crude Oil									(553,740	)

	Heating Oil
	NYMEX NY Harbor ULSD Futures Options		October 2016		(96	)		141.00		(567,303	)

	Natural Gas
	NYMEX Natural Gas Futures Options		October 2016		(83	)		2.85		(126,990	)

	Unleaded Gas
	NYMEX Gasoline RBOB Futures Options		October 2016		(39	)		138.00		(180,180	)

	Total Energy									(1,428,213	)

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

September 30, 2016

Investments in Derivatives (Continued)

Call Options Written outstanding (Continued):


Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Agriculture	Soybean
	CBOT Soybean Futures Options		October 2016		(56	)	$	920.00	$	(114,100	)

	Sugar
	ICE Sugar Futures Options		February 2017		(41	)		17.00		(279,194	)

	Coffee
	ICE Coffee C Futures Options		November 2016		(13	)		132.50		(95,696	)

	Soybean Meal
	CBOT Soybean Meal Futures Options		November 2016		(19	)		300.00		(19,950	)

	Cocoa
	ICE Cocoa Futures Options		November 2016		(19	)		3,100.00		(1,520	)

	Soybean Oil
	CBOT Soybean Oil Futures Options		November 2016		(25	)		32.00		(28,650	)

	Cotton
	ICE Cotton Futures Options		November 2016		(15	)		62.00		(47,775	)

	Total Agriculture									(586,885	)

Metals	Gold
	CEC Gold Futures Options		November 2016		(24	)		1,200.00		(283,680	)

	Silver
	CEC Silver Futures Options		November 2016		(14	)		16.25		(209,160	)

	Total Metals									(492,840	)

Livestock	Lean Hogs
	CME Lean Hogs Futures Options		October 2016		(22	)		68.00		(110	)

	Total Livestock									(110	)

	Total Call Options Written outstanding (premiums received $2,652,687)				(620	)			$	(2,508,048	)

Put Options Written outstanding:


Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Agriculture	Corn
	CBOT Corn Futures Options		November 2016		(102	)	$	390.00	$	(276,675	)

	Wheat
	CBOT Wheat Futures Options		November 2016		(63	)		520.00		(372,881	)

	Soybean Meal
	CBOT Soybean Meal Futures Options		November 2016		(19	)		300.00		(20,710	)

	Cocoa
	ICE Cocoa Futures Options		November 2016		(19	)		3,100.00		(65,930	)

	Soybean Oil
	CBOT Soybean Oil Futures Options		November 2016		(25	)		32.00		(7,050	)

	Total Agriculture									(743,246	)

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

September 30, 2016

Investments in Derivatives (Continued)

Put Options Written outstanding (Continued):


Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Livestock	Live Cattle
	CME Live Cattle Futures Options		October 2016		(35	)	$	120.00	$	(306,950	)

	Lean Hogs
	CME Lean Hogs Futures Options		October 2016		(22	)		68.00		(166,980	)

	Total Livestock									(473,930	)

	Total Put Options Written outstanding (premiums received $937,926)				(285	)			$	(1,217,176	)

	Total Options Written outstanding (premiums received $3,590,613)				(905	)			$	(3,725,224	)


⁽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 3,992 and 1,601, respectively.
⁽³⁾		The aggregate notional amount at value for long and short futures contracts outstanding is $195,548,863 and $(35,476,863), respectively.
⁽⁴⁾		The gross unrealized appreciation (depreciation) on futures contracts outstanding is $7,049,779 and $(2,073,761), 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 September 30, 2016 (Unaudited) and December 31, 2015


	September 30, 2016			December 31, 2015
ASSETS
Short-term investments, at value:
U.S. government and agency obligations (cost $200,954,787 and $228,672,757)	$	201,036,019		$	228,580,099
Repurchase agreements (cost approximates value)		2,683,836			1,293,949
Deposits with brokers		34,521,295			40,100,175
Unrealized appreciation on futures contracts		7,049,779			3,698,613

Total assets	$	245,290,929		$	273,672,836

LIABILITIES
Options written, at value (premiums received $3,590,613 and $2,323,340, respectively)	$	3,725,224		$	2,283,151
Unrealized depreciation on futures contracts		2,073,761			1,146,669
Payable for distributions		1,471,114			—
Accrued expenses:
Conversion		280,435			427,718
Management fees		243,740			286,701
Independent Committee fees		30,369			30,574
Professional fees		293,159			308,014
Other		158,269			229,342

Total liabilities		8,276,071			4,712,169

SHAREHOLDERS’ CAPITAL
Paid-in capital, unlimited number of shares authorized, 16,345,840 shares issued and outstanding at September 30, 2016 and December 31, 2015		409,376,279			409,376,279
Accumulated undistributed earnings (deficit)		(172,361,421	)		(140,415,612	)

Total shareholders’ capital (Net assets)		237,014,858			268,960,667

Total liabilities and shareholders’ capital	$	245,290,929		$	273,672,836

Net assets	$	237,014,858		$	268,960,667
Shares outstanding		16,345,840			16,345,840

Net asset value per share outstanding (net assets divided by shares outstanding)	$	14.50		$	16.45

Market value per share outstanding	$	13.22		$	15.54

See accompanying notes to financial statements.

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

STATEMENTS OF OPERATIONS (Unaudited)

For the Three Months Ended September 30, 2016 and September 30, 2015

and the Nine Months Ended September 30, 2016 and September 30, 2015


	Three Months Ended September 30,						Nine Months Ended September 30,
	2016			2015			2016			2015
Investment Income:
Interest	$	251,756		$	119,171		$	712,392		$	291,280

Total Investment Income		251,756			119,171			712,392			291,280

Expenses:
Management fees		763,121			873,582			2,382,538			2,662,183
Brokerage commissions		94,486			60,562			336,676			197,656
Conversion expenses		—			516,171			—			746,204
Custodian fees and expenses		25,452			22,553			72,871			80,709
Independent Committee fees and expenses		31,039			30,019			95,556			92,176
Professional fees		107,972			118,506			320,587			329,482
Shareholder reporting expenses		29,384			36,023			83,394			90,181
Licensing fees		61,571			70,889			192,123			219,646
Other expenses		2,314			11,078			9,586			25,073

Total expenses		1,115,339			1,739,383			3,493,331			4,443,310

Net investment income (loss)		(863,583	)		(1,620,212	)		(2,780,939	)		(4,152,030	)

Net realized gain (loss) from:
Short-term investments		11,473			—			11,468			177
Futures contracts		(7,928,611	)		145,471			(27,229,766	)		(6,237,273	)
Options written		2,563,591			2,018,639			8,870,290			9,812,475
Change in net unrealized appreciation (depreciation) of:
Short-term investments		(78,420	)		71,633			173,890			161,011
Futures contracts		(1,921,771	)		(1,347,940	)		2,424,074			(3,172,701	)
Options written		412,967			199,285			(174,800	)		58,561

Net realized gain (loss) and change in net unrealized appreciation (depreciation)		(6,940,771	)		1,087,088			(15,924,844	)		622,250

Net income (loss)	$	(7,804,354	)	$	(533,124	)	$	(18,705,783	)	$	(3,529,780	)

Net income (loss) per weighted-average share	$	(0.48	)	$	(0.03	)	$	(1.14	)	$	(0.22	)
Weighted-average shares outstanding		16,345,840			16,345,840			16,345,840			16,345,840

See accompanying notes to financial statements.

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

STATEMENTS OF CHANGES IN SHAREHOLDERS’ CAPITAL

For the Nine Months Ended September 30, 2016 (Unaudited) and the Year Ended December 31, 2015


	Nine Months Ended September 30, 2016			Year Ended December 31, 2015
Shareholders’ capital-beginning of period	$	268,960,667		$	293,176,735
Repurchase of shares		—			—

Net increase (decrease) in shareholders’ capital resulting from operations:
Net investment income (loss)		(2,780,939	)		(5,167,444	)
Net realized gain (loss) from:
Short-term investments		11,468			336
Futures contracts		(27,229,766	)		(9,480,921	)
Options written		8,870,290			12,277,005
Change in net unrealized appreciation (depreciation) of:
Short-term investments		173,890			(87,321	)
Futures contracts		2,424,074			(144,470	)
Options written		(174,800	)		(35,394	)

Net income (loss)		(18,705,783	)		(2,638,209	)

Distributions to shareholders		(13,240,026	)		(21,577,859	)

Shareholders’ capital—end of period	$	237,014,858		$	268,960,667

Shares—beginning of period		16,345,840			16,345,840
Repurchase of shares		—			—

Shares—end of period		16,345,840			16,345,840

See accompanying notes to financial statements.

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

STATEMENTS OF CASH FLOWS (Unaudited)

For the Nine Months Ended September 30, 2016 and September 30, 2015


	Nine Months Ended September 30,
	2016			2015
Cash flows from operating activities:
Net income (loss)	$	(18,705,783	)	$	(3,529,780	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of U.S. government and agency obligations		(277,760,306	)		(203,485,263	)
Proceeds from sales and maturities of U.S. government and agency obligations		306,129,582			220,999,978
Proceeds from (Purchases of) repurchase agreements, net		(1,389,887	)		(2,654,562	)
Premiums received for options written		12,103,152			15,033,624
Cash paid for options written		(1,965,589	)		(5,003,287	)
Amortization (Accretion) of short-term investments		(639,838	)		(291,278	)
(Increase) Decrease in:
Deposits with brokers		5,578,880			693,037
Other assets		—			(3,780	)
Increase (Decrease) in:
Accrued conversion expenses		(147,283	)		487,311
Accrued management fees		(42,961	)		(29,548	)
Accrued Independent Committee fees		(205	)		931
Accrued professional fees		(14,855	)		(38,264	)
Accrued other expenses		(71,073	)		(116,609	)
Net realized (gain) loss from:
Short-term investments		(11,468	)		(177	)
Options written		(8,870,290	)		(9,812,475	)
Change in net unrealized (appreciation) depreciation of:
Short-term investments		(173,890	)		(161,011	)
Futures contracts		(2,424,074	)		3,172,701
Options written		174,800			(58,561	)

Net cash provided by (used in) operating activities		11,768,912			15,202,987

Cash flows from financing activities:
Cash distributions paid to shareholders		(11,768,912	)		(15,202,987	)

Net cash provided by (used in) financing activities		(11,768,912	)		(15,202,987	)

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)

September 30, 2016

1. Organization

Fund Information

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”), 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.

Proposed Conversion to Exchange-Traded Fund (“ETF”) Structure

On December 19, 2014, the Fund issued a press release announcing that the Manager had approved a plan to convert the Fund (the “Conversion”) into an open-ended ETF. On May 15, 2015, shareholders of the Fund approved amendments to the Fund’s Declaration of Trust that are necessary to complete the Conversion. To facilitate the Conversion, on July 9, 2015, the Fund filed a registration statement with the Securities and Exchange Commission (the “SEC”) to register common shares that may be issued from time to time after the Conversion. The Conversion requires regulatory clearance, including SEC approval of a new exchange rule pursuant to which the Fund’s shares will trade following the Conversion. On June 8, 2016, the Fund announced that the SEC had issued notice of the proposed new exchange rule, which was subsequently published in the Federal Register on June 13, 2016, and subject to a 45-day SEC review period. On July 28, 2016, the Fund announced that the SEC had extended the review period for the proposed rule through September 9, 2016. On September 9, 2016, the SEC further extended the review period for up to an additional 90 days. The SEC may take action on the proposed rule at any time during this review period, and may further extend the review period for up to an additional 60 days. If the SEC approves the proposed rule at the conclusion of the review period, the Fund intends to complete the Conversion as soon as practicable thereafter. There can be no assurance that SEC approval will be obtained, or if obtained, that the Conversion will be completed in the anticipated time frame. In the event that the proposed rule is not approved, the Manager will consider all available options, including liquidation of the Fund. As of September 30, 2016, the Conversion remains subject to the receipt of regulatory approvals.

The Fund is not currently, and after the Conversion will not be, a mutual fund or any other type of investment company within the meaning of the 1940 Act. Until the Conversion occurs, the Fund will continue to operate as currently structured.

Investment Adviser

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 SEC as an investment adviser.

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2016

1. Organization (Continued)

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.

The Manager, the Commodity Sub-adviser and the Collateral Sub-adviser are subsidiaries of Nuveen Investments, Inc. (“Nuveen Investments”). Nuveen Investments is a subsidiary of TIAA Global Asset Management.

Investment Objectives and Principal Investment Strategies

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 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. Fund assets that are not committed as margin to the Fund’s clearing broker will be invested by the Collateral Sub-adviser in cash equivalents, U.S. government securities and other short-term, high grade debt securities.

2. Summary of Significant Accounting Policies

The Fund follows accounting and reporting guidance under Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) Topic 946 “Financial Services-Investment Companies.” 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, 2015.

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.

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2016

2. Summary of Significant Accounting Policies (Continued)

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 day’s “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, 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 nine months ended September 30, 2016 and the year ended December 31, 2015 was as follows:


	Nine Months Ended September 30, 2016		Year Ended December 31, 2015
Average number of long and short futures contracts outstanding*		4,379		3,782

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

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

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2016

2. Summary of Significant Accounting Policies (Continued)

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 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 nine months ended September 30, 2016 and year ended December 31, 2015, the Fund wrote call and put options on futures contracts.

The Fund did not purchase options on futures contracts during the nine months ended September 30, 2016 and the year ended December 31, 2015. 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 performance is expected from the counterparty.

Transactions in both call and put options written during the nine months ended September 30, 2016 and the year ended December 31, 2015, were as follows:


	Nine Months Ended September 30, 2016						Year Ended December 31, 2015
	Number of Contracts			Premiums Received			Number of Contracts			Premiums Received
Outstanding, beginning of period		705		$	2,323,340			597		$	2,636,904
Options written		4,882			12,103,152			4,982			18,059,094
Options terminated in closing purchase transactions		(1,596	)		(3,589,934	)		(1,872	)		(7,032,710	)
Options expired		(1,141	)		(1,845,858	)		(701	)		(1,206,726	)
Options exercised		(1,945	)		(5,400,087	)		(2,301	)		(10,133,222	)

Outstanding, end of period		905		$	3,590,613			705		$	2,323,340

The average number of both call and put options written outstanding during the nine months ended September 30, 2016 and the year ended December 31, 2015, was as follows:


	Nine Months Ended September 30, 2016		Year Ended December 31, 2015
Average number of options written outstanding*		775		704

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

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

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2016

2. Summary of Significant Accounting Policies (Continued)

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 September 30, 2016 and December 31, 2015, 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.

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 tables present the repurchase agreements for the Fund, presented on the Statements of Financial Condition as of September 30, 2016 and December 31, 2015, 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.


	September 30, 2016
	Counterparty		Short-Term Investments, at Value		Collateral Pledged (From) Counterparty*			Net Exposure
Repurchase Agreements		State Street Bank	$	2,683,836	$	(2,683,836	)	$	—

	December 31, 2015
	Counterparty		Short-Term Investments, at Value		Collateral Pledged (From) Counterparty*			Net Exposure
Repurchase Agreements		State Street Bank	$	1,293,949	$	(1,293,949	)	$	—

As of September 30, 2016 and December 31, 2015, the value of the collateral pledged from the counterparty exceeded the value of the repurchase agreements. The value of the collateral pledged from the counterparty as of September 30, 2016 and December 31, 2015 was $2,742,524 and $1,321,469, respectively.

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

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2016

2. Summary of Significant Accounting Policies (Continued)

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 which are traded on an exchange are 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 Level 1 for fair value measurement purposes. Over-the-counter commodity futures contracts and options on commodity futures contracts which are not traded on an exchange are 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 determines 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 observability 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.).

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2016

2. Summary of Significant Accounting Policies (Continued)

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

The inputs or methodologies used for valuing securities are not an indication of the risks associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of September 30, 2016 and December 31, 2015:


	September 30, 2016
	Level 1			Level 2		Level 3		Total
Short-Term Investments:
U.S. Government and Agency Obligations	$	—		$	201,036,019	$	—	$	201,036,019
Repurchase Agreements		—			2,683,836		—		2,683,836
Investments in Derivatives:
Futures Contracts*		4,976,018			—		—		4,976,018
Options Written		(3,725,224	)		—		—		(3,725,224	)

Total	$	1,250,794		$	203,719,855	$	—	$	204,970,649


	December 31, 2015
	Level 1			Level 2		Level 3		Total
Short-Term Investments:
U.S. Government and Agency Obligations	$	—		$	228,580,099	$	—	$	228,580,099
Repurchase Agreements		—			1,293,949		—		1,293,949
Investments in Derivatives:
Futures Contracts*		2,551,944			—		—		2,551,944
Options Written		(2,283,151	)		—		—		(2,283,151	)

Total	$	268,793		$	229,874,048	$	—	$	230,142,841

*	Represents the net unrealized appreciation (depreciation) on futures contracts as reported on the Statements of Financial Condition.

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.

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2016

2. Summary of Significant Accounting Policies (Continued)

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.

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 costs and expenses of its operations, including 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. Occasionally, the Fund may receive a refund or reduction for certain expenses previously incurred. When such events occur, the Fund may suspend or reverse an expense accrual, which in turn may result in a credit balance to that expense account recognized on the Statements of Operations.

In connection with the Conversion described previously, the Fund has incurred certain costs and expenses. Such amounts are recognized as a component of “Accrued conversion expenses” on the Statements of Financial Condition and “Conversion expenses” on the Statements of Operations, when applicable.

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)

September 30, 2016

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 September 30, 2016 and December 31, 2015, 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)

September 30, 2016

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.

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.

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2016

3. Derivative Instruments and Hedging Activities (Continued)

The following tables present the fair value of all derivative instruments held by the Fund as of September 30, 2016 and December 31, 2015, the location of these instruments on the Statements of Financial Condition and the primary underlying risk exposure.


		September 30, 2016
		Location on the Statements of Financial Condition
Underlying Risk Exposure	Derivative Instrument	Asset Derivatives		Liability Derivatives
Underlying Risk Exposure	Derivative Instrument	Location	Value	Location	Value
Commodity	Futures Contracts	Unrealized appreciation on futures contracts	$7,049,779	Unrealized depreciation on futures contracts	$2,073,761
Commodity	Call Options	—	—	Options written, at value	2,508,048
Commodity	Put Options	—	—	Options written, at value	1,217,176
Total			$7,049,779		$5,798,985

December 31, 2015

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

3,698,613

Unrealized depreciation on futures contracts

1,146,669

Commodity

Call Options

—

Options written, at value

160,940

Commodity

Put Options

—

Options written, at value

2,122,211

Total

3,698,613

3,429,820

The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized on derivative instruments during the nine months ended September 30, 2016 and September 30, 2015, the location of these instruments on the Statements of Operations and the primary underlying risk exposure.


Commodity Risk Exposure	Nine Months Ended September 30, 2016			Nine Months Ended September 30, 2015
Net realized gain (loss) from:
Futures contracts	$	(27,229,766	)	$	(6,237,273	)
Options written (call options)		4,423,400			1,472,295
Options written (put options)		4,446,890			8,340,180
Change in net unrealized appreciation (depreciation) of:
Futures contracts	$	2,424,074		$	(3,172,701	)
Options written (call options)		76,611			(102,641	)
Options written (put options)		(251,411	)		161,202

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2016

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) in open-market transactions at the Manager’s discretion.

The Fund did not have any transactions in share repurchases during the nine months ended September 30, 2016 and the year ended December 31, 2015.

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

September 30, 2016

6. Financial Highlights

The following financial highlights relate to investment performance and operations for a Fund share outstanding during the three and nine months ended September 30, 2016 and the three and nine months ended September 30, 2015. The Net Asset Value presentation is calculated using average daily shares outstanding. The Ratios to Average Net Assets are calculated using average daily net assets and have been annualized for periods less than a full 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 September 30,						Nine Months Ended September 30,
	2016			2015			2016			2015
Net Asset Value:
Net asset value per share—beginning of period	$	15.25		$	17.02		$	16.45		$	17.94
Net investment income (loss)		(0.05	)		(0.10	)		(0.17	)		(0.25	)
Net realized and unrealized gain (loss)		(0.43	)		0.07			(0.97	)		0.03
Distributions		(0.27	)		(0.30	)		(0.81	)		(1.03	)

Net asset value per share—end of period	$	14.50		$	16.69		$	14.50		$	16.69

Market Value:
Market value per share—beginning of period	$	14.84		$	16.43		$	15.54		$	16.60

Market value per share—end of period	$	13.22		$	16.00		$	13.22		$	16.00

Ratios to Average Net Assets:^(a)
Net investment income (loss)		(1.41	)%		(2.32	)%		(1.46	)%		(1.95	)%

Expenses		1.83	%		2.49	%		1.83	%		2.09	%

Total Returns:^(b)
Based on Net Asset Value		(3.16	)%		(0.19	)%		(7.11	)%		(1.29	)%

Based on Market Value		(9.17	)%		(0.80	)%		(10.10	)%		2.60	%

(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.

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 public offering. The Fund’s shares trade on the NYSE MKT under the ticker symbol “CTF”. 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 or short (or flat in the case of energy futures) 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, U.S. government securities and other short-term, high-grade debt securities.

In connection with the Conversion, the Manager intends to implement a number of additional changes to the Fund that the Manager believes will better align a number of the Fund’s features with its newly-adopted ETF structure, including a reduction of the management fee, and changes to the Fund’s investment strategy, name and distribution policy. None of these expected changes have been finalized, and they remain subject to further revision by the Manager. In addition, following the Conversion, the Manager will continue to have the ability, without shareholder approval, to make subsequent changes to the operation of the Fund.

The Fund is not currently, and after the Conversion will not be, a mutual fund or any other type of investment company within the meaning of the Investment Company Act of 1940, as amended. Until the Conversion occurs, the Fund will continue to operate as currently structured.

Results of Operations

The Quarter Ended September 30, 2016 – Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $13.22 on the close of business on September 30, 2016. This represents a decrease of 10.92% in share price (not including an assumed reinvestment of distributions) from the $14.84 price at which the shares of the Fund traded on the close of business on June 30, 2016. The high and low intra-day share prices for the quarter were $14.85 (July 6, 2016) and $13.06 (September 28, 2016), respectively. During the quarter, the Fund declared distributions totaling $0.270 per share to shareholders, of which $0.090 was paid on October 3, 2016. 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 -9.17%. At September 30, 2016, shares of the Fund traded at a 8.83% discount to the Fund’s net asset value of $14.50 per share.

The Quarter Ended September 30, 2015 – Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $16.00 on the close of business on September 30, 2015, a decrease of 2.62% in share price (not including an assumed reinvestment of distributions) from the $16.43 price at which the shares of the Fund traded on the close of business on June 30, 2015. The high and low intra-day share prices for the quarter were $16.70 (August 25, 2015) and $15.70 (September 28, 2015), respectively. During the quarter, the Fund declared distributions totaling $0.300 per share to shareholders, of which $0.100 was paid on October 1, 2015. 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 -0.80%. At September 30, 2015, shares of the Fund traded at a 4.13% discount to the Fund’s net asset value of $16.69 per share.

The Quarter Ended September 30, 2016 – Net Assets of the Fund

The Fund’s net assets decreased from $249.2 million at June 30, 2016, to $237.0 million at September 30, 2016, a decrease of $12.2 million. The decrease in the Fund’s net assets was due to $4.4 million of distributions to shareholders and a net loss of $7.8 million.

The Fund generated a net loss of $7.8 million for the quarter ended September 30, 2016, resulting from expenses of $1.1 million, net realized losses of $5.4 million and an increase in net unrealized depreciation of $1.6 million, offset by interest income of $0.3 million. During the quarter ended September 30, 2016, the Fund’s collateral investments generated interest income of $251,756, which represents 0.10% of average net assets for the quarter ended September 30, 2016.

The net asset value per share on September 30, 2016, was $14.50. This represents a decrease of 4.92% in net asset value (not including an assumed reinvestment of distributions) from the $15.25 net asset value as of June 30, 2016. During the quarter, the Fund declared distributions totaling $0.270 per share to shareholders, of which $0.090 was paid on October 3, 2016. When an assumed reinvestment of these distributions is taken into account, the cumulative total return for the Fund on net asset value was -3.16% for the quarter ended September 30, 2016.

The Quarter Ended September 30, 2015 – Net Assets of the Fund

The Fund’s net assets decreased from $278.2 million at June 30, 2015, to $272.8 million at September 30, 2015, a decrease of $5.4 million. The decrease in the Fund’s net assets was due to a net loss of $0.5 million, in addition to $4.9 million of distributions to shareholders.

The Fund generated a net loss of $0.5 million for the quarter ended September 30, 2015, resulting from interest income of $0.1 million and net realized gains of $2.2 million offset by change in net unrealized depreciation of $1.1 million and total expenses of $1.7 million.

During the quarter ended September 30, 2015, the Fund’s collateral investments generated interest income of $119,171, which represents 0.04% of average net assets for the quarter ended September 30, 2015.

The net asset value per share on September 30, 2015, was $16.69, a decrease of 1.94% in net asset value (not including an assumed reinvestment of distributions) from the $17.02 net asset value as of June 30, 2015. During the quarter, the Fund declared distributions totaling $0.300 per share to shareholders, of which $0.100 was paid on October 1, 2015. When an assumed reinvestment of these distributions is taken into account, the cumulative total return for the Fund on net asset value was -0.19% for the quarter ended September 30, 2015.

The Quarter Ended September 30, 2016 – Overall Commodity Market Commentary

After a strong second quarter, the broad commodity market reversed course in the third quarter, as measured by the Bloomberg Commodity Index (BCOM).

Weather drove losses in grain commodities and boosted soft commodities. Corn and wheat prices sank as ideal grain growing conditions in the U.S. boosted crop yield estimates. Conversely, unfavorable weather in India and Brazil hurt sugar and coffee production expectations, respectively, driving prices higher. Also during the quarter, the U.S. National Oceanic and Atmospheric Administration (NOAA) removed its La Niña watch for winter 2017, thereby removing some uncertainty and possibly applying downward pressure on prices for grain commodities.

Excess inventory also continued to weigh on the energy and livestock markets. The ongoing supply glut in crude oil dampened prices early in the quarter. But, later in the quarter, the Organization of the Petroleum Exporting Countries (OPEC) began hinting at, then agreed to, a production cut, which helped petroleum markets to partially recover earlier losses. Livestock, however, suffered a double-digit decline in the BCOM for the quarter, with robust supply of both cattle and lean hogs driving their futures prices lower.

Currency fluctuations also contributed to commodity price volatility during the quarter. Speculation on the timing of the U.S. Federal Reserve’s (the “Fed”) next interest rate increase drove volatility in the U.S. dollar (in which all of the Fund’s commodities are priced), as did the release of key economic data reports such as payroll, employment and consumer confidence. Shifting sentiment about the U.K.’s vote to leave the European Union, known as Brexit, caused U.K. sterling to drop to a 31 year low in early July, then rally when the Bank of England (BOE) took no action, then fall again when the BOE announced a large stimulus program. Adding to currency volatility during the quarter were concerns about a banking crisis in Italy and the European Central Bank’s decision not to extend its bond buying program.

The long-only BCOM declined 3.9% in the third quarter, while the Fund’s benchmark, the Morningstar^® Long/Short Commodity IndexSM (the “Index”), rose 1.3% for the quarter. Within the Index, the livestock and energy groups experienced positive returns, the metals group was flat and the agriculture group posted a loss.

The Quarter Ended September 30, 2015 – Overall Commodity Market Commentary

The broad commodity market, as measured by the long-only BCOM, declined 14.5% during the third quarter of 2015. Declines were widespread, with all six commodity groups in the BCOM finishing the quarter lower. By comparison, the Index posted a small positive return of 0.4% for the quarter. Within the Index, at the commodity group level, metals and livestock delivered gains, agriculture declined, and energy was flat.

The largest group by weight, energy commodities represented 50.4% of the Index at the end of the period. In the broad market, the energy group led the BCOM’s decline, down 22.4% for the quarter. An ongoing supply glut, particularly for crude oil, and global macroeconomic worries, especially in China, weighed heavily on energy prices. The finalization of Iran’s nuclear deal, which lifts sanctions on oil exports, also disrupted oil markets, even though Iranian exports aren’t expected to impact the global oil supply until 2016. WTI and Brent crude were the worst-performing individual commodities in the BCOM, falling 27.4% and 26.3%, respectively. The Index maintained flat positions across all energy commodities for the period.

Agricultural commodities comprised 26.7% of the Index at the end of the period. The broad commodity market sustained double-digit losses across all agriculture commodities for the quarter. Abundant crop yields in South America, favorable growing conditions in the U.S. Midwest and a weak Brazilian currency continued to put downward pressure on grains, and foods and fibers prices. The Index was down 2.5% for the quarter, as its short positions helped mitigate the downside.

In the metals group, gold, silver and copper collectively represented 15.9% of the Index at the end of the period. Gold and silver prices were choppy in the broad market over the quarter, driven by global macroeconomic concerns, fluctuating currencies and the Fed’s decision to leave interest rates unchanged at its September meeting. Copper continued its decline on concerns about China’s economy, which currently accounts for 43% of the world’s copper demand. Investors reacted negatively to the country’s unexpected currency devaluation and other policy measures taken seeking to counteract its slackening growth rate. Adding to the bearish tone were rumors of inventory reductions and/or liquidations following the collapse of Swiss mining giant Glencore PLC’s stock price. The Index’s short positions across all three metals commodities resulted in a 6.3% gain for the quarter.

The livestock group, at 7.0% of the Index at the end of the period, is the smallest group. Lean hogs prices rallied 13.4% in the broad market and were the only commodity posting a gain in the third quarter for the long-only BCOM. Hot summer weather stifled weight gain in pigs, and U.S. retail demand was strong as pork continued to be cheaper than beef. However, live cattle prices fell 14.6% in the broad market, as beef’s supply-demand imbalance persisted amid reports of higher carcass weights, price competition from pork and a strong dollar, which slowed exports and encouraged imports. The Index’s short position in live cattle was beneficial amid falling prices, helping the Index’s overall livestock position to appreciate 5.5% for the quarter.

The Quarter Ended September 30, 2016 – Fund Commodity Portfolio Commentary

The Fund’s commodity portfolio was down 2.9% for the quarter (before considering the expenses of the Fund or the performance of its collateral portfolio). The Fund outperformed the BCOM, which fell 3.9%, but lagged the Index, which was up 1.3%. The Fund’s total return on net asset value for the year, 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 -3.16%.

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 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 did so in West Texas Intermediate (WTI) crude oil, natural gas and soybean oil, which contributed positively to performance. 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.

On an absolute performance basis, the Fund’s results fell short of the Index’s in the energy and metals groups, but outperformed in the agriculture and livestock groups.

The Fund’s relative underperformance in the energy group was driven by a volatile price environment across the energy complex that caused the Fund to suffer whipsaw effect, most prominently in its WTI crude, Brent crude, heating oil, and natural gas positions. In the metals group, price volatility in copper futures hampered the Fund’s relative performance. The Fund switched between long and short positions as positive economic data from China provided bullish support to prices, while a stronger U.S. dollar and the potential for higher U.S. interest rates weighed on prices. The Index remained short copper the entire quarter, outperforming the Fund.

Conversely, the Fund’s agriculture position performed well relative to the Index’s. The Fund’s soybean oil position was aided by more favorable timing in position changes during July and August and the extra premium collected from selling additional options contracts during the position shifts. The Fund’s corn position benefited from establishing a long position earlier in the price rally than the Index, thereby capturing more of the price appreciation. In the livestock group, the Fund’s lean hogs position flipped to a short position with more advantageous timing than the Index did, as well as sold put options on lean hogs during the position change that contributed additional premium, boosting relative outperformance.

The Quarter Ended September 30, 2015 – Fund Commodity Portfolio Commentary

The Fund’s commodity portfolio was up 0.3% for the quarter (before considering the expenses of the Fund or the performance of the collateral portfolio). The Fund outperformed the BCOM, which lost 14.5%, but performed nearly in line with the Index, which returned 0.4%. The Fund’s total return on net asset value for the same 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 -0.19%.

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.

Disappointing results in the livestock and metals positions drove the Fund’s underperformance relative to the Index, overwhelming the positive relative performance in the agriculture group.

Performance in the livestock group was hampered by the Fund’s live cattle position. The Fund suffered from excess flipping activity as live cattle prices were choppy throughout the quarter. In the metals group, the Fund

had positive performance on an absolute basis across all three positions (gold, silver, and copper), but lagged the Index’s returns. Both the Fund and Index maintained short positions across these metals for the quarter, which generated gains due to the decline in the prices of these commodities.

Agriculture commodities, in aggregate, contributed positively to the Fund’s relative performance against the Index during the quarter, primarily due to outperformance in corn and soybeans. The Fund benefited from more advantageous timing in flipping both of these positions from long to short.

The Fund had no trading activity in the energy group during the quarter. Both the Fund and the Index have maintained flat positions across all energy commodities since the third quarter of 2014.

The Nine Months Ended September 30, 2016 – Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $13.22 on the close of business on September 30, 2016, a decrease of 14.93% in share price (not including an assumed reinvestment of distributions) from the $15.54 price at which the shares of the Fund traded on the close of business on December 31, 2015. The high and low intra-day share prices for the nine month period were $15.72 (January 12, 2016) and $13.06 (September 28, 2016), respectively. During the nine month period, the Fund declared distributions totaling $0.810 per share to shareholders, of which $0.090 was paid on October 3, 2016. The remainder was paid during the period. The Fund’s cumulative total return on market value for the nine month period, which assumes reinvestment of such distributions, was -10.10%. At September 30, 2016, shares of the Fund traded at a 8.83% discount to the Fund’s net asset value of $14.50 per share.

The Nine Months Ended September 30, 2015 – Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $16.00 on the close of business on September 30, 2015, a decrease of 3.61% in share price (not including an assumed reinvestment of distributions) from the $16.60 price at which the shares of the Fund traded on the close of business on December 31, 2014. The high and low intra-day share prices for the nine month period were $17.06 (January 26, 2015) and $15.70 (September 28, 2015), respectively. During the nine month period, the Fund declared distributions totaling $1.030 per share to shareholders, of which $0.100 was paid on October 1, 2015. The remainder was paid during the period. The Fund’s cumulative total return on market value for the nine month period, which assumes reinvestment of such distributions, was 2.60%. At September 30, 2015, shares of the Fund traded at a 4.13% discount to the Fund’s net asset value of $16.69.

The Nine Months Ended September 30, 2016 – Net Assets of the Fund

The Fund’s net assets decreased from $269.0 million at December 31, 2015, to $237.0 million at September 30, 2016, a decrease of $32.0 million. The decrease in the Fund’s net assets was due to approximately $13.3 million of distributions to shareholders and a net loss of $18.7 million.

The Fund generated a net loss of $18.7 million for the nine month period ended September 30, 2016, resulting from expenses of $3.5 million and net realized losses of $18.3 million, offset by interest income of $0.7 million and an increase in net unrealized appreciation of $2.4 million. During the nine month period ended September 30, 2016, the Fund’s collateral investments generated interest income of $712,392, which represents 0.28% of average net assets for the nine month period ended September 30, 2016.

The net asset value per share on September 30, 2016, was $14.50. This represents a decrease of 11.85% in net asset value (not including an assumed reinvestment of distributions) from the $16.45 net asset value as of December 31, 2015. During the nine month period, the Fund declared distributions totaling $0.810 per share to shareholders, of which $0.090 was paid on October 3, 2016. When an assumed reinvestment of these distributions is taken into account, the cumulative total return for the Fund on net asset value was -7.11% for the nine month period ended September 30, 2016.

The Nine Months Ended September 30, 2015 – Net Assets of the Fund

The Fund’s net assets decreased from $293.2 million at December 31, 2014, to $272.8 million at September 30, 2015, a decrease of $20.4 million. The decrease in the Fund’s net assets was due to a net loss of $3.5 million, in addition to approximately $16.9 million of distributions to shareholders.

The Fund generated a net loss of $3.5 million for the nine month period ended September 30, 2015, resulting from interest income of $0.3 million and net realized gains of $3.6 million offset by change in net unrealized depreciation of $3.0 million and expenses of $4.4 million.

During the nine month period ended September 30, 2015, the Fund’s collateral investments generated interest income of $291,280, which represents 0.10% of average net assets for the nine month period ended September 30, 2015.

The net asset value per share on September 30, 2015, was $16.69, a decrease of 6.97% in net asset value (not including an assumed reinvestment of distributions) from the $17.94 net asset value as of December 31, 2014. During the nine month period, the Fund declared distributions totaling $1.030 per share to shareholders, of which $0.100 was paid on October 1, 2015. When an assumed reinvestment of these distributions is taken into account, the cumulative total return for the Fund on net asset value was -1.29% for the nine month period ended September 30, 2015.

The Nine Months Ended September 30, 2016 – Overall Commodity Market Commentary

Commodities broadly delivered positive performance in the nine month period, up 8.9%% as measured by the long-only BCOM. Early in 2016, the broad commodity market suffered declines amid fears about China’s economic deceleration and the ongoing supply glut in oil. In the following months, these concerns lessened, adverse weather conditions provided upside to grain and soft commodity prices, and low global interest rates and Brexit-related worries spurred renewed demand for gold. The turnaround in sentiment led to a strong rally in nearly every commodity sector during the second quarter. However, the BCOM swung to a modest loss in the third quarter on bearish news for grain supplies due to a boost in crop yield estimates and waning optimism about the pace of the oil market’s rebalancing.

The Index ended the nine-month period down 2.9%. Within the Index, the agriculture and metals groups declined, while livestock and energy delivered positive returns.

The Nine Months Ended September 30, 2015 – Overall Commodity Market Commentary

The broad commodity market continued to face significant headwinds, falling 15.8% for the nine-month period, as measured by the BCOM. The Index (the Morningstar^® Long/Short Commodity Index^SM, which is the Fund’s benchmark) rose 1.0% for the same period.

In the energy group, oversupply conditions persisted, while global macroeconomic uncertainties, led by worries about China’s economy, continued to undermine demand expectations. Despite a 10.9% rally in the second quarter of 2015, the energy group suffered considerable volatility early in 2015 and again in the third quarter to finish the nine-month period down 20.9% in the broad market. Crude oil and natural gas saw the largest declines in the sector over this period. The Index remained flat in all energy positions over the nine-month period.

Agriculture commodities followed a similar trajectory to energy commodities in the broad market. A turbulent first quarter was followed by a 10.4% rebound in the second quarter, but expectations for abundant crops and the weakness in Brazil’s currency drove grain prices lower once again. The agriculture group posted a 12.3% loss in the long-only BCOM for the nine-month period, whereas the Index’s agriculture group was down 1.9%.

The Index’s metals group advanced 6.9% for the nine-month period. Gold and silver prices remained choppy throughout the period, amid waning demand, anticipation of rising interest rates in the U.S. and the strength of the U.S. dollar. The Index was short in both gold and silver throughout much of the nine-month period. Copper prices experienced a double-digit decline in the broad market, hit hard by China’s economic woes and fears of rising inventories. Declines were compounded by periods of aggressive selling of long positions in the marketplace. The Index has been short copper since the third quarter of 2014.

The livestock group, up 14.6% in the Index, was the best-performing group in the Index for the nine-month period. The Index’s short position in lean hogs benefited when prices fell sharply early in the year, as supply outpaced demand. However, the lean hogs position gave back some of its gains when prices rallied strongly in the third quarter on rising U.S. demand and lower-than-expected weight gain in pigs. Live cattle prices were choppy in the broad market as herd rebuilding continued from last year, cold and rainy weather in the U.S. hampered weight gain and transport, price competition with pork and poultry tempered beef demand, and exports slowed while imports increased.

The Nine Months Ended September 30, 2016 – Fund Commodity Portfolio

The Fund’s commodity portfolio lost 6.4% for the nine month period (before considering the expenses of the Fund or the performance of its collateral portfolio). The Fund underperformed both the BCOM, which appreciated 8.9%, and the Index, which was down 2.9%. The Fund’s total return on net asset value for the year, 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 -7.11%.

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 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 slightly higher volatility than the Index, as measured by standard deviation of NAV return. The volatility in the commodity markets, in particular for energy commodities, caused excess trading in the Fund and exposed it to whipsaw (as explained below). This resulted in higher volatility for the Fund’s commodity portfolio relative to the Index, which remained mostly flat for most energy commodities during the period.

On an absolute performance basis, for the nine-month period, the Fund trailed the Index in the energy and livestock groups, but outpaced the Index in the agriculture and metals groups.

The Fund’s energy position suffered negative performance due to the high level of trading activity. In the second quarter, the Fund initiated trading activity in petroleum products (whereas the Index stayed flat almost the entire quarter), and price volatility in energy commodities diminished the Fund’s performance in comparison to the Index. The choppy trading environment persisted into the third quarter, which caused whipsaw in the Fund’s WTI crude oil, Brent crude oil, heating oil, gas oil and natural gas positions and led to negative performance. The Index remained largely flat or switched positions fewer times during the third quarter.

In the livestock group, the Fund slightly underperformed the Index. A small relative outperformance in the Fund’s lean hogs position was offset by relative underperformance in live cattle.

The Fund’s agriculture position outperformed the Index’s position largely due to soybean meal, sugar and corn, where the Fund recorded profits from more favorable timing in its long-short position changes throughout the nine-month period. In the metals group, a relative outperformance in gold helped offset relative weakness in silver and copper, providing the Fund a slight performance edge over the Index.

The Nine Months Ended September 30, 2015 – Fund Commodity Portfolio Commentary

The Fund’s commodity portfolio had a nearly flat return of 0.1% for the nine-month period (before considering the expenses of the Fund or the performance of the collateral portfolio). The Fund outperformed the BCOM, which declined 15.8%, but underperformed the Index, which gained 1.0%. The Fund’s total return on net asset value for the same 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 -1.29%.

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 did so in agriculture commodities, gold, and live cattle, which contributed positively to performance. 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.

The Fund’s underperformance relative to the Index was driven mostly by the livestock position and, to a lesser extent, the metals positions. The agriculture group had a moderately positive effect on relative returns, while energy was neutral.

In the livestock group, the Fund’s live cattle position was the main detractor from performance. A choppy trading environment for live cattle futures caused the Fund to experience excess flipping activity and the whipsaw effect, whereas the Index experienced less frequent position changes. However, during some of these periods, the Fund collected additional options premium by selling both puts and calls on live cattle during these position changes, which helped offset some of the negative impact of the whipsaw effect. In addition, the Fund’s lean hogs position slightly detracted from relative performance during this period.

Relative weakness in the Fund’s metals group came from its gold and copper positions. Early in the year, volatility in gold prices led to unfavorable flipping activity in the Fund’s position, as the Fund experienced the whipsaw effect. However, the Fund remained short gold for the second and third quarters, which helped mitigate earlier losses, as did the additional premium the Fund collected from selling both puts and calls during the first quarter position changes. The Fund also experienced the whipsaw effect in its copper position during the second quarter, which resulted in underperformance relative to the Index.

The agriculture group had a positive impact on relative performance. The Fund’s soybean, corn, wheat and cocoa positions were the main contributors, as the Fund benefited from more advantageous timing in flipping its positions in periods when prices changed course. Grain prices rallied early in the summer on expectations of reduced supply. The Fund flipped to long positions in corn, wheat and soybeans, enabling it to capture some of the price appreciation in these commodities. However, toward the end of the summer, the Fund switched to short positions, which were more favorable as grain prices pulled back on reports of improved growing conditions. Cocoa prices rose strongly in the second quarter on supply-side concerns, and the Fund flipped from short to long a month sooner than the Index. Additionally, the Fund sold additional options on some of these commodities during their position changes, collecting additional premiums that benefited performance.

The Fund had no trading activity in the energy group during the nine-month period, as both the Fund and the Index have maintained flat positions across all energy commodities since the third quarter of 2014.

Fund Total Returns

The following table presents selected total returns for the Fund and Index as of September 30, 2016. Market value and net asset value total returns 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 at the end of the period for total returns based on market value, and at the net asset value at the end of the period for total returns based on net asset value.


	Total Returns as of September 30, 2016
	Cumulative						Average Annual
	3 Months			Year to Date			1 Year			Since Inception
Market Value		-9.17	%		-10.10	%		-11.06	%		-7.06	%
Net Asset Value		-3.16	%		-7.11	%		-6.82	%		-4.59	%
Index		1.26	%		-2.89	%		-1.50	%		0.61	%

“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 not been sufficient to cover the distributions made, 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.

Commodity Portfolio Composition and Weightings

The table below presents the composition and weightings of the Fund’s commodity portfolio and the Index as of September 30, 2016. The table below serves as a guide to how the composition and weightings of the Fund’s commodity portfolio compared to that of the Index as of September 30, 2016.


		Fund					Index
Commodity Group	Commodity	Exposure⁽¹⁾		Composition			Exposure⁽¹⁾		Composition
Energy	Crude Oil-Brent		Long		10.46	%		Long		10.72	%
	Crude Oil-WTI		Long		10.37	%		Flat		10.08	%
	Heating Oil		Long		17.80	%		Long		17.93	%
	Natural Gas		Long		6.91	%		Flat		7.09	%
	Unleaded Gas		Long		6.68	%		Flat		6.55	%

					52.22	%				52.37	%

Agriculture	Soybean		Long		7.62	%		Long		7.55	%
	Corn		Short		4.72	%		Short		4.78	%
	Wheat		Short		3.51	%		Short		3.53	%
	Sugar		Long		2.98	%		Long		2.96	%
	Coffee		Long		2.14	%		Long		2.12	%
	Soybean Meal		Short		1.57	%		Long		1.57	%
	Cocoa		Short		1.48	%		Short		1.48	%
	Soybean Oil		Long		1.42	%		Long		1.42	%
	Cotton		Long		1.40	%		Long		1.40	%

					26.84	%				26.81	%

Metals	Gold		Long		8.74	%		Long		8.69	%
	Silver		Long		3.75	%		Long		3.75	%
	Copper		Long		2.45	%		Short		2.46	%

					14.94	%				14.90	%

Livestock	Live Cattle		Short		4.53	%		Short		4.49	%
	Lean Hogs		Short		1.47	%		Short		1.43	%

					6.00	%				5.92	%

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 taking a futures contracts position (long or short) when market signals dictate, the Fund will not have a futures contract position for that commodity, and will instead hold 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 pursues its investment objective 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 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 as of the authorization date in open-market transactions. 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 nine months ended September 30, 2016.

The Fund is unaware of any other trends, demands, conditions or events, other than the proposed Conversion, 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-adviser 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 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 commodity 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 September 30, 2016, 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 net 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 change 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. Over-the-counter (“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 September 30, 2016.



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		December 2016		493	$	50.1900		1,000	$	24,743,670
	NYMEX Crude Oil Futures Contract		Long		November 2016		509		48.2400		1,000		24,554,160
	Heating Oil
	ICE Low Sulphur Gasoil Futures Contract		Long		December 2016		539		448.2500		100		24,160,675
	NYMEX NY Harbor ULSD Futures Contract		Long		November 2016		278		1.5383		42,000		17,961,191
	Natural Gas
	NYMEX Natural Gas Futures Contract		Long		November 2016		555		2.9060		10,000		16,128,300
	Unleaded Gas
	NYMEX Gasoline RBOB Futures Contract		Long		November 2016		158		1.4631		42,000		9,709,132
	NYMEX Gasoline RBOB Futures Contract		Long		December 2016		102		1.4346		42,000		6,145,826
Agriculture	Soybean
	CBOT Soybean Futures Contract		Long		November 2016		166		9.5400		5,000		7,918,200
	CBOT Soybean Futures Contract		Long		January 2017		210		9.5925		5,000		10,072,125
	Sugar
	ICE Sugar Futures Contract		Long		March 2017		271		0.2300		112,000		6,980,960
	Coffee
	ICE Coffee C Futures Contract		Long		December 2016		89		1.5155		37,500		5,057,981
	Soybean Oil
	CBOT Soybean Oil Futures Contract		Long		December 2016		167		0.3344		60,000		3,350,688
	Cotton
	ICE Cotton Futures Contract		Long		December 2016		97		0.6808		50,000		3,301,880
Metals	Gold
	CEC Gold Futures Contract		Long		December 2016		156		1,317.1000		100		20,546,760
	Silver
	CEC Silver Futures Contract		Long		December 2016		92		19.2140		5,000		8,838,440
	Copper
	CEC Copper Futures Contract		Long		December 2016		110		2.2105		25,000		6,078,875

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		December 2016		667	$	3.3675		5,000	$	(11,230,613	)
	Wheat
	CBOT Wheat Futures Contract		Short		December 2016		411		4.0200		5,000		(8,261,100	)
	Soybean Meal
	CBOT Soybean Meal Futures Contract		Short		December 2016		29		299.6000		100		(868,840	)
	Cocoa
	ICE Cocoa Futures Contract		Short		December 2016		123		2,761.0000		10		(3,396,030	)
Livestock	Live Cattle
	CME Live Cattle Futures Contract		Short		October 2016		35		0.9890		40,000		(1,384,600	)
	CME Live Cattle Futures Contract		Short		December 2016		192		1.0013		40,000		(7,689,600	)
	Lean Hogs
	CME Lean Hogs Futures Contract		Short		October 2016		56		0.4903		40,000		(1,098,160	)
	CME Lean Hogs Futures Contract		Short		December 2016		88		0.4398		40,000		(1,547,920	)


Commodity Call Options Written

Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Energy	Crude Oil
	ICE Brent Crude Oil Futures Options		December 2016		(76	)	$	46.00	$	(357,960	)
	NYMEX Crude Oil Futures Options		October 2016		(78	)		46.50		(195,780	)
	Heating Oil
	NYMEX NY Harbor ULSD Futures Options		October 2016		(96	)		141.00		(567,303	)
	Natural Gas
	NYMEX Natural Gas Futures Options		October 2016		(83	)		2.85		(126,990	)
	Unleaded Gas
	NYMEX Gasoline RBOB Futures Options		October 2016		(39	)		138.00		(180,180	)
Agriculture	Soybean
	CBOT Soybean Futures Options		October 2016		(56	)		920.00		(114,100	)
	Sugar
	ICE Sugar Futures Options		February 2017		(41	)		17.00		(279,194	)
	Coffee
	ICE Coffee C Futures Options		November 2016		(13	)		132.50		(95,696	)
	Soybean Meal
	CBOT Soybean Meal Futures Options		November 2016		(19	)		300.00		(19,950	)
	Cocoa
	ICE Cocoa Futures Options		November 2016		(19	)		3,100.00		(1,520	)
	Soybean Oil
	CBOT Soybean Oil Futures Options		November 2016		(25	)		32.00		(28,650	)
	Cotton
	ICE Cotton Futures Options		November 2016		(15	)		62.00		(47,775	)
Metals	Gold
	CEC Gold Futures Options		November 2016		(24	)		1,200.00		(283,680	)
	Silver
	CEC Silver Futures Options		November 2016		(14	)		16.25		(209,160	)
Livestock	Lean Hogs
	CME Lean Hogs Futures Options		October 2016		(22	)		68.00		(110	)

Commodity Put Options Written

Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value

Agriculture	Corn
	CBOT Corn Futures Options		November 2016		(102	)	$	390.00	$	(276,675	)
	Wheat
	CBOT Wheat Futures Options		November 2016		(63	)		520.00		(372,881	)
	Soybean Meal
	CBOT Soybean Meal Futures Options		November 2016		(19	)		300.00		(20,710	)
	Cocoa
	ICE Cocoa Futures Options		November 2016		(19	)		3,100.00		(65,930	)
	Soybean Oil
	CBOT Soybean Oil Futures Options		November 2016		(25	)		32.00		(7,050	)
Livestock	Live Cattle
	CME Live Cattle Futures Options		October 2016		(35	)		120.00		(306,950	)
	Lean Hogs
	CME Lean Hogs Futures Options		October 2016		(22	)		68.00		(166,980	)


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 cash equivalents, U.S. government securities, and other 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 September 30, 2016, the Fund held U.S. Treasury bills worth $201,036,019 with a par value of $201,200,000, and a repurchase agreement worth $2,683,836.

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, 2015, and Part II—Item 1A. Risk Factors in the Fund’s subsequent quarterly reports on Form 10-Q, filed with the 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 (“NRSRO”) or, if unrated, judged by the Collateral Sub-adviser to be of comparable quality.

Item 4.

Controls and Procedures

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, 2015, 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 nine month period ended on September 30, 2016.

c) On March 14, 2013, the Fund adopted an open-market share repurchase program, pursuant to which it was authorized to repurchase an aggregate of 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 an aggregate of up to 10% of its outstanding common shares as of the reauthorization date (approximately 1,775,000 shares). During the nine month period ended September 30, 2016, the Fund did not repurchase any shares. A cumulative total of 2,455,000 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 November 8, 2016.


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)

November 8, 2016

/s/ Stephen D. Foy

Chief Financial Officer

(Principal Financial and Accounting Officer)

November 8, 2016

Nuveen Long/Short Commodity Total Return Fund - FORM 10-Q - November 8, 2016

Attached files

Nuveen Long/Short Commodity Total Return Fund Reports