Nuveen Multi-Strategy Income and Growth Fund 2
 
 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21333
Nuveen Multi-Strategy Income and Growth Fund 2
 
(Exact name of registrant as specified in charter)
Nuveen Investments
333 West Wacker Drive
Chicago, IL 60606
 
(Address of principal executive offices) (Zip code)
Kevin J. McCarthy
Nuveen Investments
333 West Wacker Drive
Chicago, IL 60606
 
(Name and address of agent for service)
Registrant’s telephone number, including area code: (312) 917-7700
Date of fiscal year end: December 31
Date of reporting period: June 30, 2008
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. SS. 3507.
 
 

 


 

 
ITEM 1. REPORTS TO SHAREHOLDERS
 
 
       
Semi-Annual
Report
June 30, 2008
    Nuveen Investments
Closed-End Funds
 
     
COVER PHOTO  



NUVEEN
MULTI-STRATEGY
INCOME AND GROWTH FUND
JPC

NUVEEN
MULTI-STRATEGY
INCOME AND GROWTH FUND 2
JQC
 
Attractive Distributions from a Portfolio of
Preferred and Convertible Securities,
Domestic and Foreign Equities, and Debt Instruments
 
       
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Chairman’s
LETTER TO SHAREHOLDERS
 

             
(ROBERT P. BREMNER PHOTO)     ï Robert P. Bremner            ï            Chairman of the Board
Dear Fellow Shareholders:
 
I’d like to use my initial letter to you to accomplish several things. First, I want to report that after fourteen years of service on your Fund’s Board, including the last twelve as chairman, Tim Schwertfeger retired from the Board in June. The Board has elected me to replace him as the chairman, the first time this role has been filled by someone who is not an employee of Nuveen Investments. Electing an independent chairman marks a significant milestone in the management of your Fund, and it aligns us with what is now considered a “best practice” in the fund industry. Further, it demonstrates the independence with which your Board has always acted on your behalf.
 
Following Tim will not be easy. During my eleven previous years on the Nuveen Fund Board, I found that Tim always set a very high standard by combining insightful industry and market knowledge and sound, clear judgment. While the Board will miss his wise counsel, I am certain we will retain the primary commitment Tim shared with all of us—an unceasing dedication to creating and retaining value for Nuveen Fund shareholders. This focus on value over time is a touchstone that I and all the other Board members will continue to use when making decisions on your behalf.
 
Second, I also want to report that we are very fortunate to be welcoming two new Board members to our team. John Amboian, the current chairman and CEO of Nuveen Investments, has agreed to replace Tim as Nuveen’s representative on the Board. John’s presence will allow the independent Board members to benefit not only from his leadership role at Nuveen but also his broad understanding of the fund industry and Nuveen’s role within it. We also are adding Terry Toth as an independent director. A former CEO of the Northern Trust Company’s asset management group, Terry will bring extensive experience in the fund industry to our deliberations.
 
Third, on behalf of the entire Board, I would like to acknowledge the effort the whole Nuveen organization is making to resolve the auction rate preferred share situation in a satisfactory manner. As you know, we are actively pursuing a number of possible solutions, all with the goal of providing liquidity for preferred shareholders while preserving the potential benefits of leverage for common shareholders. We appreciate the patience you have shown as we’ve worked through the many details involved.
 
Finally, I urge you to take the time to review the Portfolio Managers’ Comments, the Common Share Distribution and Share Price Information, and the Performance Overview sections of this report. All of us are grateful that you have chosen Nuveen Investments as a partner as you pursue your financial goals, and, on behalf of myself and the other members of your Fund’s Board, let me say we look forward to continuing to earn your trust in the months and years ahead.
 
Sincerely,
 
(ROBERT P. BREMNER SIG)
Robert P. Bremner
Chairman of the Board
August 22, 2008


 

 
 Portfolio Managers’ COMMENTS
 

 
       
Nuveen Investments Closed-End Funds
    JPC, JQC
 
 
These Funds are advised by Nuveen Asset Management (NAM), which determines and oversees the Funds’ asset allocations. NAM uses a team of sub-advisers with specialties in different asset classes to manage the Funds’ portfolios. These subadvisers include Spectrum Asset Management, Inc., (Spectrum), Symphony Asset Management, LLC (Symphony), and Tradewinds Global Investors, LLC (Tradewinds). Symphony and Tradewinds are affiliates of Nuveen Investments.
 
Spectrum, an affiliate of Principal CapitalSM, manages the preferred securities positions within the income-oriented portion of each Fund’s portfolio. Mark Lieb, Bernie Sussman and Phil Jacoby, who have more than 50 years of combined experience in the preferred securities and other debt markets, lead the team at Spectrum.
 
Symphony had primary responsibility for investments in convertible, high yield and senior loan securities, and for domestic and international equity investments. The team at Symphony managing the convertible, high yield and senior loan portions of each portfolio is led by Gunther Stein and Lenny Mason, who have more than 25 years of combined investment management experience. The Symphony team responsible for managing domestic equity investments is led by Praveen Gottipalli and David Wang, while the group overseeing the Funds’ international equity exposure is led by Eric Olson. On a combined basis, these three equity portfolio managers have more than 25 years of investment management experience.
 
Tradewinds manages the portion of the Funds’ assets invested in global equities. The Tradewinds team is led by Dave Iben, who has more than 25 years of investment management experience.
 
Here representatives from Spectrum, Symphony and Tradewinds talk about their management strategies and the performance of both Funds for the six-month period ended June 30, 2008.
 
WHAT KEY STRATEGIES WERE USED TO MANAGE THE FUNDS DURING THIS REPORTING PERIOD?
 
The volatility caused by the sub-prime mortgage crisis and general illiquidity in the credit markets severely impacted preferred securities during this period. Our main focus was to control concentration risk, and we reduced credit exposure to the brokerage, regional bank and monoline insurance sectors. Although new issuance was heavy, market liquidity was

 
Discussions of specific investments are for illustrative purposes only and are not intended as recommendations of individual investments. The views expressed in this commentary represent those of the portfolio managers’ as of the date of this report and are subject to change at any time, based on market conditions and other factors. The Funds’ disclaim any obligation to advise shareholders of such changes.

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extremely limited which put downward pressure on the secondary market prices. In addition, the relative value differentials between the individual investor-oriented $25 par preferred market and the institution-oriented $1000 par capital securities sector oscillated with unusual dispersion during the period. The $25 par sector outperformed capital securities by 5%, and the $25 par concentration was increased by approximately 2%. Additionally, we did find a few opportunities to sell some holdings and reinvest the proceeds into deeper discount or better structured capital securities.
 
For the Funds’ convertible bond, high yield and senior loan investments, Symphony continued to manage the portfolio using fundamental analysis to select issues that we believed offered strong asset coverage and attractive risk-adjusted returns. During this period, we avoided many loans issued by autos and homebuilders, companies that generally require a confident U.S. consumer and healthy U.S. economy to perform well. We also avoided many smaller loans that were done to finance leveraged buyouts. We didn’t believe there was sufficient value in these loans to compensate for the potential illiquidity and volatility if the earnings of the companies issuing loans remained challenged.
 
Throughout the year, we focused on adding to both Funds issues that we judged to be of relatively high quality for their asset class. These often were priced at a discount to par and structured with strong covenant protection. We also continued to avoid the vast majority of second lien loans. Similar to smaller loans, we didn’t believe that second lien loans offered sufficient additional yield to compensate investors for potentially increased volatility and lower recovery rates.
 
To manage the core domestic equity portion of both Funds, Symphony used both quantitative and qualitative methods to evaluate securities. The quantitative screening process served as the starting point for the decision making process. The qualitative process then provided a systematic way of researching companies from a broad perspective, ensuring the stocks selected for the portfolio were attractive in all important respects.
 
For the international equity holdings managed by Tradewinds, the basic investment philosophy continued to focus on finding good or improving business franchises around the globe whose securities were selling below their intrinsic value. In the first half of 2008, we found that the best value opportunities were in the securities of those businesses that were most leveraged to the growth of local economies. We continued to like materials, food, health care and energy stocks, which we believed would benefit from increased global demand. Conversely, we were rewarded for not holding financial and retail stocks in the developed markets, as these sectors experienced sizable corrections during the period.

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Past performance does not guarantee future results. Current performance may be higher or lower than the data shown.
 
 
Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. For additional information, see the individual Performance Overview for your Fund in this report.
 
HOW DID THE FUNDS PERFORM OVER THIS SIX-MONTH PERIOD?
 
The performance of JPC and JQC, as well as a comparative benchmark, is presented in the accompanying table.
 
Cumulative Total Returns on Common Share Net Asset Value
For the six months ended 6/30/08
 
         
JPC     -6.23%  
JQC     -4.30%  
Comparative Benchmark1     -4.93%  
 
For the six months ended June 30, 2008, JQC outperformed the comparative benchmark, while JPC underperformed.
 
One of the key factors in the performance of these Funds, relative to that of the unleveraged benchmark, was the Funds’ use of financial leverage. Although leveraging provides opportunities for additional income and total returns for common shareholders, it can also expose shareholders to additional risk—especially when market conditions are unfavorable. With the steep decrease in prices among many of the Funds’ holdings during this period, the impact of these valuation changes was magnified by the use of leverage. However, we firmly believe that the use of this strategy should work to the benefit of the Funds’ common shareholders over the long term.
 
 
1 Comparative benchmark performance is a blended return consisting of: 1) 33% of the Merrill Lynch Preferred Stock Hybrid Securities Index, an unmanaged index of investment-grade, exchange traded preferred issues with outstanding market values of at least $30 million and at least one year to maturity; 2) 27% of the Lehman Tier 1 Capital Securities Index, an unmanaged index that includes securities that can generally be viewed as hybrid fixed-income securities that either receive regulatory capital treatment or a degree of “equity credit” from a rating agency; 3) 30% of the Merrill Lynch All U.S. Convertibles Index consisting of approximately 575 securities with par value greater than $50 million that were issued by U.S. companies or non-U.S. based issuers that have a significant business presence in the U.S.; and 4) 10% of the CSFB High Yield Index, which includes approximately $375 billion of U.S.-Dollar-denominated high yield debt with a minimum of $75 million in par value and at least one rating below investment-grade. Index returns do not include the effects of any management fees or fund expenses. It is not possible to invest directly in an index.
 
6
 
The current preferred securities market is highly concentrated (about 80%) in financial issuers, whose issues were subject to significant selling pressure and price declines through much of the period. There also were some rather severe devaluations in the REIT mortgage sector, which in turn caused several of the Funds’ holdings to lose value.
 
Not all the news was bad. Approximately 2.5% of the Funds’ preferred securities were retired during the period (called, put back to the issuer or tendered by the issuer) at significantly higher prices than where they were trading. This boosted price performance and provided capital to invest at significantly higher yields.
 
Another factor weighing on performance was senior loans, which experienced a broad sell-off. One larger individual position which constrained results was Michael Stores. However, there were a few bright spots as we saw relative outperformance in a few of our larger loan positions, such as Tribune Company and Alltel.
 
The Funds’ exposure to core domestic equities, managed by Symphony, detracted from total returns due to the broad-based decline in the equity market. However, on a relative basis, the domestic equities held in the Funds’ outperformed the Russell 3000 Index. These results were driven mainly by strong stock in virtually every sector except telecommunications services and health care. The strongest individual contributors to performance were crop nutrient producer/distributor Mosaic, oil and natural gas producer Chesapeake Energy, natural gas-focused energy company Questar and international freight transportation company, CSX Corp.

6


 

 
The international equities managed by Symphony also detracted from the overall Funds’ returns as the international market declined in concert with the turmoil in the U.S. markets. Relative to the MSCI EAFE, the international equities underperformed as a result of weak stock selection in financials and consumer discretionary sectors. Babcock & Brown, Deutsche Boerse and Icici Bank—all financial companies—were some of the worst performers and bottom contributors to absolute performance for the first half of 2008.
 
For the global equity portion managed by Tradewinds, our holdings in the energy, industrials and information technology sectors were the largest contributors to positive performance. In particular, the strongest individual contributors to performance were global integrated energy giants StatoilHydro, Royal Dutch Shell and BP PLC, Japan’s largest telecom provider Nippon Telegraph and U.S. based gold mining companies Newmont Mining. Relative to the benchmark, the financial, energy and industrial sectors were the top contributors. Our global focus allowed us to participate in the several fast growing world markets and benefit from the declining value of the dollar. Our covered call writing strategy generated positive cash flow, which also enhanced the Fund’s performance.
 
The worst performers were zinc and copper mining company Apex Silver, U.S., pork and beef supplier Smithfield Foods, and Swiss global financial services firm UBS. Although their performance was disappointing, we believe that all three companies have upside potential.
 
RECENT DEVELOPMENTS IN THE AUCTION RATE PREFERRED SECURITIES (ARPS) MARKETS
 
Beginning in February 2008, more shares for sale were submitted in the regularly scheduled auctions for the preferred shares issued by these Funds than there were offers to buy. This meant that these auctions “failed to clear” and that many or all auction preferred shareholders who wanted to sell their shares in these auctions were unable to do so. This decline in liquidity in auction preferred shares did not lower the credit quality of these shares, and auction preferred shareholders unable to sell their shares received distributions at the “maximum rate” applicable to failed auctions as calculated in accordance with the pre-established terms of the auction preferred shares. As approved by each Fund’s Board of Trustees, JPC and JQC redeemed $450 million and $640 million of their outstanding FundPreferred shares, respectively, at liquidation value, during the six months ended June 30, 2008. Proceeds for the redemptions were provided through a prime brokerage facility with a major bank.
 
For current, up-to-date information, please visit the Nuveen CEF Auction Rate Preferred Resource Center at: http://www.nuveen.com/ResourceCenter/AuctionRatePreferred.aspx.

7


 

 
Common Share
Distribution and Share Price
INFORMATION
 

 
We are providing you with information regarding your Fund’s distributions. This information is as of June 30, 2008, and likely will vary over time based on the Fund’s investment activities and portfolio investment value changes.
 
The Funds employ financial leverage through the issuance of FundPreferred shares, as well as through bank borrowings. Financial leverage provides the potential for higher earnings (net investment income), total returns and distributions over time, but – as noted earlier – also increases the variability of common shareholders’ net asset value per share in response to changing market conditions. Over the reporting period, the impact of financial leverage on the Fund’s net asset value per share contributed positively to the income return and detracted from the price return. The overall impact of financial leverage detracted from the Fund’s total return.
 
Each Fund has a managed distribution program. The goal of a managed distribution program is to provide common shareholders with relatively consistent and predictable cash flow by systematically converting its expected long-term return potential into regular distributions. As a result, regular common share distributions throughout the year are likely to include a portion of expected long-term gains (both realized and unrealized), along with net investment income.
 
Important points to understand about the managed distribution program are:
 
•  Each Fund seeks to establish a relatively stable common share distribution rate that roughly corresponds to the projected total return from its investment strategy over an extended period of time. However, you should not draw any conclusions about a Fund’s past or future investment performance from its current distribution rate.
 
•  Actual common share returns will differ from projected long-term returns (and therefore a Fund’s distribution rate), at least over shorter time periods. Over a specific timeframe, the difference between actual returns and total distributions will be reflected in an increasing (returns exceed distributions) or a decreasing (distributions exceed returns) Fund net asset value.
 
•  Each distribution is expected to be paid from some or all of the following sources:
 
  •  net investment income (regular interest and dividends),
 
  •  realized capital gains, and
 
  •  unrealized gains, or, in certain cases, a return of principal (non-taxable distributions).
 
•  A non-taxable distribution is a payment of a portion of a Fund’s capital. When a Fund’s returns exceed distributions, it may represent portfolio gains generated but not realized as a taxable capital gain. In periods when a Fund’s return falls short of distributions, it will represent a portion of your original principal unless the shortfall is offset during other time periods over the life of your investment (previous or subsequent) when a Fund’s total return exceeds distributions.

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•  Because distribution source estimates are updated during the year based on a Fund’s performance and forecast for its current fiscal year (which is the calendar year for each Fund), estimates on the nature of your distributions provided at the time distributions are paid may differ from both the tax information reported to you in your Fund’s IRS Form 1099 statement provided at year end, as well as the ultimate economic sources of distributions over the life of your investment.
 
The following table provides estimated information regarding each Fund’s common share distributions and total return performance for the six months ended June 30, 2008. The distribution information is presented on a tax basis rather than on a generally accepted accounting principles (GAAP) basis. This information is intended to help you better understand whether the Fund’s returns for the specified time period were sufficient to meet each Fund’s distributions.
 
                 
 As of 6/30/08 (Common Shares)   JPC     JQC  
Inception date
    3/26/03       6/25/03  
Six months ended June 30, 2008:
               
Per share distribution:
               
From net investment income
    $0.37       $0.38  
From realized capital gains
           
From return of capital
    0.20       0.19  
                 
Total per share distribution
    $0.57       $0.57  
                 
                 
Distribution rate on NAV
    5.16%       5.02%  
                 
Annualized total returns:
               
Six-Month (Cumulative) on NAV
    -6.23%       -4.30%  
1-Year on NAV
    -13.29%       -11.58%  
5-Year on NAV
    2.92%       3.50%  
Since inception on NAV
    3.72%       3.46%  
                 
 
COMMON SHARE REPURCHASES AND SHARE PRICE INFORMATION
 
On November 21, 2007, the Funds’ Board of Trustees approved an open market share repurchase program, as part of a broad, ongoing effort designed to support the market prices of the Funds’ common shares. Repurchases not only help to support the market price but, because such purchases are made at a discount to NAV, they have the effect of augmenting NAV. Under the terms of the program, each Fund may repurchase up to 10% of its outstanding common shares. During the six months ended June 30, 2008, JQC repurchased 38,900 shares. As of June 30, 2008, JPC had repurchased 311,100 common shares and JQC had repurchased 764,500 common shares, representing approximately 0.3% and 0.5% of each Fund’s total common shares outstanding, respectively.

9


 

As of June 30, 2008, the Funds’ share prices were trading relative to their common share NAVs as shown in the accompanying table:
 
         
    6/30/08
  6-Month Average
    Discount   Discount
JPC
  -12.86%   -11.90%
JQC
  -13.04%   -12.42%
         

10


 

     
Fund Snapshot    
Common Share Price   $9.62
     
Common Share Net Asset Value   $11.04
     
Premium/(Discount) to NAV   -12.86%
     
Current Distribution Rate1   11.85%
     
Net Assets Applicable to Common Shares ($000)   $1,097,542
     
 
               
Average Annual
Total Return
(Inception 3/26/03)
    On Share
   
    Price   On NAV
6-Month (cumulative)
    -6.86 %     -6.23%
               
1-Year
    -19.16 %     -13.29%
               
5-Year
    0.01 %     2.92%
               
Since Inception
    0.84 %     3.72%
               
 
     
Industries
   
(as a % of total investments)2    
Commercial Banks   16.7%
     
Insurance   10.2%
     
Real Estate   8.5%
     
Capital Markets   6.0%
     
Media   5.2%
     
Oil, Gas & Consumable Fuels   4.3%
     
Diversified Financial Services   3.9%
     
Metals & Mining   3.5%
     
Electric Utilities   2.4%
     
Health Care Providers & Services   2.3%
     
Diversified Telecommunication Services   2.0%
     
Hotels, Restaurants & Leisure   1.6%
     
Energy Equipment & Services   1.5%
     
Pharmaceuticals   1.5%
     
Thrifts & Mortgage Finance   1.5%
     
Investment Companies   1.5%
     
Food Products   1.4%
     
Chemicals   1.2%
     
Communications Equipment   1.1%
     
Short-Term Investments   4.7%
     
Other   19.0%
     
 
     
Top Five Issuers
(as a % of total investments)3
Citigroup Inc.   1.6%
     
ING Groep N.V.   1.5%
     
Delphi Financial Group, Inc.   1.5%
     
Wachovia Corporation   1.5%
     
HSBC Corporation   1.4%
     
       
JPC
Performance
OVERVIEW
    Nuveen Multi-Strategy
Income and
Growth Fund
               as of June 30, 2008
 
Portfolio Allocation (as a % of total investments)2
 
(PORTFOLIO ALLOCATION PIE CHART)
 
2007-2008 Distributions Per Common Share
 
(MONTHLY DISTRIBUTIONS BAR CHART)
 
Common Share Price Performance—Weekly Closing Price
 
(SHARE PRICE CHART)
 
Current Distribution Rate is based on the Fund’s current annualized quarterly distribution divided by the Fund’s current market price. The Fund’s quarterly distributions to its shareholders may be comprised of ordinary income, net realized capital gains and, if at the end of the calendar year the Fund’s cumulative net ordinary income and net realized gains are less than the amount of the Fund’s distributions, a return of capital for tax purposes.
 
Excluding common stocks sold short and derivative transactions.
 
Excluding short-term investments, common stocks sold short and derivative transactions.

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Fund Snapshot    
Common Share Price   $9.87
     
Common Share Net Asset Value   $11.35
     
Premium/(Discount) to NAV   -13.04%
     
Current Distribution Rate1   11.55%
     
Net Assets Applicable to Common Shares ($000)   $1,585,893
     
 
               
Average Annual
Total Return
(Inception 6/25/03)
    On Share
   
    Price   On NAV
6-Month (cumulative)
    -5.10 %     -4.30%
               
1-Year
    -17.38 %     -11.58%
               
5-Year
    0.41 %     3.50%
               
Since Inception
    0.42 %     3.46%
               
 
     
Industries
   
(as a % of total investments)2    
Commercial Banks   17.2%
     
Insurance   10.2%
     
Real Estate   8.1%
     
Media   5.5%
     
Diversified Financial Services   4.8%
     
Capital Markets   4.6%
     
Oil, Gas & Consumable Fuels   4.3%
     
Metals & Mining   3.4%
     
Diversified Telecommunication Services   2.7%
     
Electric Utilities   2.2%
     
Health Care Providers & Services   2.0%
     
Energy Equipment & Services   1.6%
     
Hotels, Restaurants & Leisure   1.6%
     
Thrifts & Mortgage Finance   1.5%
     
Food Products   1.5%
     
Pharmaceuticals   1.5%
     
Investment Companies   1.5%
     
Chemicals   1.3%
     
Short-Term Investments   5.2%
     
Other   19.3%
     
 
     
Top Five Issuers
(as a % of total investments)3
Citigroup Inc.   1.7%
     
Wachovia Corporation   1.6%
     
Banco Santander S.A.    1.6%
     
AgFirst Farm Credit Bank    1.5%
     
ING Groep N.V.    1.5%
     
       
JQC
Performance
OVERVIEW
    Nuveen Multi-Strategy
Income and
Growth Fund 2
               as of June 30, 2008
 
Portfolio Allocation (as a % of total investments)2
 
(PORTFOLIO ALLOCATION PIE CHART)
 
2007-2008 Distributions Per Common Share
 
(MONTHLY DISTRIBUTIONS BAR CHART)
 
Common Share Price Performance—Weekly Closing Price
 
(SHARE PRICE CHART)
 
Current Distribution Rate is based on the Fund’s current annualized quarterly distribution divided by the Fund’s current market price. The Fund’s quarterly distributions to its shareholders may be comprised of ordinary income, net realized capital gains and, if at the end of the calendar year the Fund’s cumulative net ordinary income and net realized gains are less than the amount of the Fund’s distributions, a return of capital for tax purposes.
 
Excluding common stocks sold short and derivative transactions.
 
Excluding short-term investments, common stocks sold short and derivative transactions.

12


 

 
Shareholder Meeting Report
 
The Annual Meeting of Shareholders was held in the offices of Nuveen Investments on June 30, 2008.
 
                                   
    JPC       JQC  
Approval of the Board Members was reached as follows:                          
    Common and
            Common and
       
    FundPreferred
    FundPreferred
      FundPreferred
    FundPreferred
 
    shares voting
    shares voting
      shares voting
    shares voting
 
    together
    together
      together
    together
 
    as a class     as a class       as a class     as a class  
John P. Amboian
                                 
For
    88,415,521               122,953,167        
Withhold
    2,073,952               2,918,028        
                                   
Total
    90,489,473               125,871,195        
                                   
William C. Hunter
                                 
For
          14,807               31,893  
Withhold
          383               1,125  
                                   
Total
          15,190               33,018  
                                   
David J. Kundert
                                 
For
    88,417,657               122,923,080        
Withhold
    2,071,816               2,948,115        
                                   
Total
    90,489,473               125,871,195        
                                   
William J. Schneider
                                 
For
          14,780               31,770  
Withhold
          410               1,248  
                                   
Total
          15,190               33,018  
                                   
Terence J. Toth
                                 
For
    88,420,397               122,947,878        
Withhold
    2,069,076               2,923,317        
                                   
Total
    90,489,473               125,871,195        
                                   

13


 

 
     
     
  JPC
  Nuveen Multi-Strategy Income and Growth Fund
Portfolio of INVESTMENTS
                                                                                                        June 30, 2008 (Unaudited)
 
                                           
Shares     Description (1)                     Value   
        Common Stocks 43.2% (25.7% of Total Investments)
        Aerospace & Defense – 0.5%
  12,890    
Boeing Company
                          $ 847,131    
  3,060    
Esterline Technologies Corporation, (2)
                            150,736    
  12,930    
Finmeccanica S.p.A.
                            339,566    
  11,836    
Lockheed Martin Corporation
                            1,167,740    
  12,100    
Orbital Sciences Corporation, (2)
                            285,076    
  43,900    
Thales S.A.
                            2,502,086    
                                           
       
Total Aerospace & Defense
                            5,292,335    
        Airlines – 0.0%
  21,450    
Lufthansa AG
                            462,676    
        Auto Components – 0.3%
  40,810    
Aisin Seiki Company Limited
                            1,337,466    
  24,730    
Magna International Inc., Class A
                            1,465,005    
                                           
       
Total Auto Components
                            2,802,471    
        Automobiles – 0.5%
  24,530    
Daimler-Chrysler AG
                            1,512,765    
  37,160    
Honda Motor Company Limited
                            1,264,555    
  1,140    
S.A. D’Ieteren N.V.
                            314,821    
  18,340    
Toyota Motor Corporation
                            1,723,960    
  41,300    
Yamaha Motor Company Limited
                            772,831    
                                           
       
Total Automobiles
                            5,588,932    
        Beverages – 1.2%
  3,000    
Boston Beer Company, (2)
                            122,040    
  99,780    
Coca Cola Amatil Limited
                            670,535    
  52,780    
Coca-Cola Company
                            2,743,504    
  19,200    
Diageo PLC, Sponsored ADR
                            1,418,304    
  48,210    
Fomento Economico Mexicano S.A.
                            2,194,037    
  66,280    
Heineken N.V.
                            3,383,177    
  22,840    
Molson Coors Brewing Company, Class B
                            1,240,897    
  29,970    
Pepsi Bottling Group, Inc.
                            836,762    
  8,270    
SABMiller PLC
                            189,764    
                                           
       
Total Beverages
                            12,799,020    
        Biotechnology – 0.7%
  11,890    
Alnylam Pharmaceuticals, Inc.
                            317,820    
  69,500    
Amgen Inc., (2), (10)
                            3,277,620    
  17,050    
Cephalon, Inc., (2)
                            1,137,065    
  7,150    
Genentech, Inc., (2)
                            542,685    
  17,780    
Genzyme Corporation, (2)
                            1,280,516    
  13,880    
Novo-Nordisk A/S
                            916,080    
                                           
       
Total Biotechnology
                            7,471,786    
        Capital Markets – 0.9%
  36,630    
Bank of New York Company, Inc.
                            1,385,713    
  12,410    
BGC Partners Inc., Class A, (2)
                            93,696    
  11,340    
Calamos Asset Management, Inc. Class A
                            193,120    
  26,740    
Credit Suisse Group
                            1,211,589    
  12,290    
Credit Suisse Group
                            564,242    
  161,390    
Daiwa Securities Group Inc.
                            1,483,417    
  39,130    
Invesco LTD
                            938,337    
  25,030    
JPMorgan Chase & Co.
                            858,779    
  62,940    
Man Group PLC
                            778,673    
  111,272    
UBS AG, (10)
                            2,298,880    
                                           
       
Total Capital Markets
                                 

14


 

                                           
Shares     Description (1)                     Value   
        Chemicals – 1.6%
  9,820    
Air Products & Chemicals Inc.
                          $ 970,805    
  720    
Bayer AG
                            60,509    
  9,160    
Bayer AG
                            768,835    
  1,440    
CF Industries Holdings, Inc.
                            220,032    
  14,190    
Eastman Chemical Company
                            977,123    
  207,300    
Mitusi Chemicals
                            1,021,028    
  30,420    
Mosaic Company, (2)
                            4,401,774    
  265,760    
Nissan Chemical Industries Limited
                            3,268,659    
  280    
Potash Corporation of Saskatchewan
                            64,000    
  16,640    
Potash Corporation of Saskatchewan
                            3,860,473    
  24,960    
Shin-Etsu Chemical Company Limited
                            1,546,704    
  12,250    
Terra Industries, Inc., (2)
                            604,538    
                                           
       
Total Chemicals
                            17,764,480    
        Commercial Banks – 2.2%
  350    
Allied Irish Banks
                            10,777    
  77,570    
Allinaz S.E.
                            1,353,597    
  1,500    
Banco Bilbao Vizcaya Argentaria S.A.
                            28,455    
  2,295    
Banco Bradesco S.A., ADR
                            46,956    
  2,325    
Banco Itau Holdings Financeira, S.A.
                            47,221    
  41,230    
Banco Santander Central S.A.
                            749,974    
  7,150    
Bank of Montreal
                            294,795    
  1,510    
Barclays PLC
                            34,957    
  51,620    
Barclays PLC
                            299,718    
  22,020    
BB&T Corporation
                            501,395    
  25,720    
BNP Paribas S.A.
                            2,330,075    
  9,490    
Community Bank System Inc.
                            195,684    
  31,950    
Credit Agricole S.A.
                            652,942    
  246,750    
DnB NOR ASA
                            3,139,362    
  111,360    
Hang Seng Bank
                            2,349,382    
  15,520    
ICICI Bank Limited, ADR
                            446,355    
  53,680    
IntesaSanpaolo SpA
                            306,626    
  1,370    
KBC Group NV
                            152,133    
  5,230    
Kookmin Bank
                            306,007    
  23,880    
Lloyds TSB Group PLC, Sponsored ADR
                            589,120    
  23,770    
Marshall and Ilsley Corporation
                            364,394    
  11,960    
National Australia Bank Limited, Sponsored ADR
                            303,834    
  2,704    
National Bank of Greece S.A.
                            121,844    
  31,136    
National Bank of Greece S.A.
                            278,048    
  859,260    
Nishi-Nippon City Bank Limited
                            2,557,105    
  10,980    
Nordic Baltic Holdings FDR
                            151,506    
  22,830    
Northern Trust Corporation
                            1,565,453    
  9,830    
PNC Financial Services Group, Inc.
                            561,293    
  4,410    
Prosperity Bancshares, Inc.
                            117,879    
  60,158    
Royal Bank of Scotland, PLC
                            257,625    
  46,010    
Standard Chartered PLC
                            1,310,523    
  4,540    
SVB Financial Group, (2)
                            218,419    
  20,920    
Sydbank A/S
                            797,209    
  5,250    
UMB Financial Corporation
                            269,168    
  54,910    
United Overseas Bank Limited
                            751,479    
  18,780    
Wachovia Corporation
                            291,653    
                                           
       
Total Commercial Banks
                            23,752,963    
        Commercial Services & Supplies – 0.9%
  327,800    
Allied Waste Industries, Inc., (2), (10)
                            4,136,836    
  2,246    
Consolidated Graphics Inc., (2)
                            110,660    
  25,890    
Corrections Corporation of America, (2)
                            711,198    
  1,850    
Dun and Bradstreet Inc.
                            162,134    
  36,940    
Michael Page International PLC
                            171,991    
  26,410    
Randstad Holding N.V.
                            923,104    
  293,300    
Toppan Printing Company Limited
                            3,228,965    
                                           
       
Total Commercial Services & Supplies
                            9,444,888    
                                           
                                           

15


 

 
     
     
   JPC
  Nuveen Multi-Strategy Income and Growth Fund (continued)
Portfolio of INVESTMENTS June 30, 2008 (Unaudited)

                                           
Shares     Description (1)                     Value   
        Communications Equipment – 0.8%
  4,380    
Comtech Telecom Corporation, (2)
                          $ 214,620    
  76,950    
Corning Incorporated
                            1,773,698    
  6,330    
Interdigital Inc., (2)
                            153,946    
  170,000    
LM Ericsson Telefonaktiebolget, (10)
                            1,768,000    
  52,490    
Nokia Oyj, Sponsored ADR
                            1,286,005    
  75,230    
QUALCOMM Inc.
                            3,337,955    
  30,760    
Telemex Internacional SAB de CV
                            495,236    
                                           
       
Total Communications Equipment
                            9,029,460    
        Computers & Peripherals – 0.9%
  20,811    
Apple, Inc., (2)
                            3,484,592    
  60,630    
Hewlett-Packard Company
                            2,680,452    
  21,720    
International Business Machines Corporation (IBM)
                            2,574,472    
  7,950    
NCR Corporation, (2)
                            200,340    
  60,613    
Netwwork Appliance Inc., (2)
                            1,312,878    
                                           
       
Total Computers & Peripherals
                            10,252,734    
        Construction & Engineering – 0.8%
  226,020    
AMEC PLC
                            4,006,760    
  9,140    
Fluor Corporation
                            1,700,771    
  151,790    
JGC Corporation
                            2,987,626    
  4,900    
Perini Corporation, (2)
                            161,945    
                                           
       
Total Construction & Engineering
                            8,857,102    
        Consumer Finance – 0.4%
  7,600    
MasterCard, Inc.
                            2,017,952    
  16,080    
Visa Inc.
                            1,307,465    
  48,840    
Western Union Company
                            1,207,325    
                                           
       
Total Consumer Finance
                            4,532,742    
        Containers & Packaging – 0.0%
  10,400    
Owens-Illinois, Inc., (2)
                            433,576    
        Distributors – 0.1%
  56,170    
Jardine Cycle & Carriage Limited
                            701,841    
  22,010    
Unilever PLC
                            626,482    
                                           
       
Total Distributors
                            1,328,323    
        Diversified Consumer Services – 0.1%
  7,270    
Apollo Group, Inc., (2)
                            321,770    
  5,720    
ITT Educational Services, Inc., (2)
                            472,644    
                                           
       
Total Diversified Consumer Services
                            794,414    
        Diversified Financial Services – 0.5%
  71,070    
Citigroup Inc.
                            1,191,133    
  21,380    
Deutsche Boerse AG
                            2,413,212    
  16,690    
Eaton Vance Corporation
                            663,594    
  18,070    
ING Groep N.V., Ordinary Shares
                            576,261    
  23,420    
ING Groep N.V.
                            738,901    
  2,120    
Orix Corporation
                            303,271    
                                           
       
Total Diversified Financial Services
                            5,886,372    
        Diversified Telecommunication Services – 1.6%
  36,630    
AT&T Inc.
                            1,234,065    
  7,160    
Cbeyond Inc., (2)
                            114,703    
  21,180    
France Telecom S.A.
                            627,563    
  69,440    
KT Corporation, Sponsored ADR, (10)
                            1,480,461    
  390,620    
Nippon Telegraph and Telephone Corporation, ADR, (10)
                            10,710,269    
  455,000    
Telecom Italia S.p.A.
                            737,866    
  24,830    
Telefonica SA
                            1,975,971    
  30,760    
Telefonos de Mexico SA, Series L
                            728,397    
                                           
       
Total Diversified Telecommunication Services
                            17,609,295    
                                           
                                           

16


 

                                           
Shares     Description (1)                     Value   
        Electric Utilities – 2.1%
  37,600    
Ameren Corporation, (10)
                          $ 1,587,848    
  5,800    
Black Hills Corporation
                            185,948    
  263,700    
Centrais Electricas Brasileiras S.A., ADR
                            4,338,893    
  40,640    
E.ON A.G
                            2,731,146    
  32,310    
Edison International
                            1,660,088    
  8,760    
El Paso Electric Company, (2)
                            173,448    
  15,260    
FPL Group, Inc.
                            1,000,751    
  100,500    
IdaCorp, Inc., (10)
                            2,903,445    
  268,500    
Korea Electric Power Corporation, Sponsored ADR
                            3,901,305    
  148,600    
PNM Resources Inc.
                            1,777,256    
  49,330    
Progress Energy, Inc., (10)
                            2,063,474    
  45,600    
Reliant Energy Inc., (2)
                            969,912    
                                           
       
Total Electric Utilities
                            23,293,514    
        Electrical Equipment – 0.7%
  88,450    
ABB Limited
                            2,516,134    
  37,400    
Emerson Electric Co.
                            1,849,430    
  1,630    
First Solar Inc., (2)
                            444,697    
  17,770    
Nidec Corporation
                            1,183,161    
  18,930    
Nikon Corporation
                            552,649    
  33,700    
Prysmian SPA
                            853,719    
                                           
       
Total Electrical Equipment
                            7,399,790    
        Electronic Equipment & Instruments – 0.7%
  39,470    
Au Optronic Corporation
                            625,205    
  1,624    
Itron Inc., (2)
                            159,720    
  73,760    
LG Philips LCD Company Limited, Sponsored ADR
                            1,377,837    
  11,500    
MEMC Electronic Materials, (2)
                            707,710    
  7,030    
Mettler-Toledo International Inc., (2)
                            666,866    
  60,500    
Tech Data Corporation, (2), (10)
                            2,050,345    
  3,387    
Teledyne Technologies Inc., (2)
                            165,252    
  31,500    
Thermo Fisher Scientific, Inc., (2)
                            1,755,495    
                                           
       
Total Electronic Equipment & Instruments
                            7,508,430    
        Energy Equipment & Services – 1.6%
  1,030    
Atwood Oceanics Inc., (2)
                            128,070    
  231,500    
BJ Services Company, (10)
                            7,394,110    
  26,660    
Cooper Cameron Corporation, (2)
                            1,475,631    
  1,950    
Dawson Geophysical Company, (2)
                            115,947    
  9,530    
Dresser Rand Group, Inc., (2)
                            372,623    
  17,590    
FMC Technologies Inc., (2)
                            1,353,199    
  42,390    
Global Industries, Limited, (2)
                            760,053    
  7,500    
Matrix Service Company, (2)
                            172,950    
  9,780    
National-Oilwell Varco Inc., (2)
                            867,682    
  14,970    
Noble Corporation
                            972,451    
  23,160    
Patterson-UTI Energy, Inc.
                            834,686    
  20,310    
Pride International Inc., (2)
                            960,460    
  10,600    
Technip S.A.
                            981,157    
  5,080    
Transocean Inc., (2)
                            774,141    
                                           
       
Total Energy Equipment & Services
                            17,163,160    
        Food & Staples Retailing – 0.5%
  18,600    
Casino Guichard-Perrachon S.A.
                            2,108,505    
  3,830    
Koninklijke Ahold N.V., (2)
                            51,533    
  36,920    
Kroger Co.
                            1,065,880    
  3,470    
Nash Finch Company
                            118,917    
  36,240    
Safeway Inc.
                            1,034,652    
  20,100    
Wal-Mart Stores, Inc.
                            1,129,620    
  58,780    
William Morrison Supermarkets PLC
                            311,728    
                                           
       
Total Food & Staples Retailing
                            5,820,835    
        Food Products – 1.7%
  13,600    
Dean Foods Company, (2)
                            266,832    
  2,130    
Diamond Foods Inc.
                            49,075    
  15,935    
Flowers Foods Inc.
                            451,598    

17


 

 
     
     
   JPC
  Nuveen Multi-Strategy Income and Growth Fund (continued)
Portfolio of INVESTMENTS June 30, 2008 (Unaudited)

                                           
Shares     Description (1)                     Value   
        Food Products (continued)
                                           
  10,840    
General Mills, Inc.
                          $ 658,747    
  32,080    
H.J. Heinz Company
                            1,535,028    
  198,950    
Jeronimo Martins SGPS
                            1,445,589    
  9,010    
Monsanto Company
                            1,139,224    
  410    
Nestle S.A.
                            46,450    
  267,000    
Smithfield Foods, Inc., (2), (10)
                            5,307,960    
  51,140    
Tingyi Holding Corporation
                            63,226    
  481,100    
Tyson Foods, Inc., Class A, (10)
                            7,187,634    
  71,870    
Unilever PLC
                            2,041,827    
                                           
       
Total Food Products
                            20,193,190    
        Gas Utilities – 0.7%
  1,050    
BG PLC
                            136,560    
  4,850    
E.ON AG
                            978,565    
  23,780    
Energen Corporation
                            1,855,553    
  8,030    
Equitable Resources Inc.
                            554,552    
  40,890    
Questar Corporation
                            2,904,826    
  25,720    
Spectra Energy Corporation
                            739,193    
                                           
       
Total Gas Utilities
                            7,169,249    
        Health Care Equipment & Supplies – 0.8%
  20,050    
Alfresa Holdings Corporation
                            1,431,266    
  2,230    
Analogic Corporation
                            140,646    
  28,090    
Baxter International Inc.
                            1,796,075    
  534    
Fresenius Medical Care, ADR
                            29,311    
  31,920    
Fresenius Medical Care, ADR
                            1,759,479    
  109,400    
Paramount Bed Company Limited
                            1,617,535    
  9,100    
Patterson Companies Inc., (2)
                            267,449    
  26,120    
Saint Jude Medical Inc., (2)
                            1,067,786    
  4,172    
Surmodics Inc., (2)
                            187,072    
                                           
       
Total Health Care Equipment & Supplies
                            8,296,619    
        Health Care Providers & Services – 0.3%
  31,394    
Express Scripts, Inc., (2)
                            1,969,032    
  30,000    
Health Net Inc., (2), (10)
                            721,800    
  4,640    
Mentor Corporation
                            129,085    
                                           
       
Total Health Care Providers & Services
                            2,819,917    
        Hotels, Restaurants & Leisure – 0.3%
  2,160    
Bally Technologies, Inc., (2)
                            73,008    
  19,360    
Burger King Holdings Inc.
                            518,654    
  880    
Carnival Corporation
                            28,098    
  23,410    
McDonald’s Corporation
                            1,316,110    
  2,680    
WMS Industries Inc., (2)
                            79,784    
  16,160    
Wynn Resorts Ltd
                            1,314,616    
                                           
       
Total Hotels, Restaurants & Leisure
                            3,330,270    
        Household Durables – 0.3%
  15,390    
Desarrolladora Homex SAB de C.V., Sponsored ADR, (2)
                            901,546    
  14,040    
Jarden Corporation, (2)
                            256,090    
  3,160    
Matsushita Electric Industrial Co., Ltd, ADR
                            67,687    
  87,610    
Matsushita Electric Industrial Co., Ltd, ADR
                            1,889,409    
  4,540    
Tupperware Corporation
                            155,359    
                                           
       
Total Household Durables
                            3,270,091    
        Household Products – 0.3%
  29,150    
Colgate-Palmolive Company
                            2,014,265    
  56,000    
KAO Corporation
                            1,468,757    
                                           
       
Total Household Products
                            3,483,022    
        Independent Power Producers & Energy Traders – 0.1%
  21,980    
NRG Energy Inc., (2)
                            942,942    
                                           
                                           

18


 

                                           
Shares     Description (1)                     Value   
        Industrial Conglomerates – 0.4%
  19,860    
East Asiatic Co LTD
                          $ 1,375,265    
  153,840    
Keppel Corporation
                            1,259,621    
  24,020    
Mitsubishi Corporation
                            791,731    
  4,140    
Siemens AG, Sponsored ADR
                            455,938    
  3,240    
Teleflex Inc.
                            180,112    
                                           
       
Total Industrial Conglomerates
                            4,062,667    
        Insurance – 0.9%
  772    
Aegon N.V.
                            10,121    
  40,725    
AFLAC Incorporated
                            2,557,530    
  10,140    
Amtrust Financial Services, Inc.
                            127,764    
  16,480    
Aon Corporation
                            757,091    
  12,930    
Arch Capital Group Limited, (2)
                            857,518    
  3,940    
Aspen Insurance Holdings Limited, (2)
                            93,260    
  11,860    
Assurant Inc.
                            782,286    
  8,550    
Axis Capital Holdings Limited
                            254,876    
  254,800    
Benfield Group, Limited
                            1,240,894    
  1,130    
Fairfax Financial Holdings Limited
                            286,907    
  5,880    
First Mercury Financial Corporation
                            103,723    
  9,720    
HCC Insurance Holdings Inc.
                            205,481    
  301,310    
Mapfre S.A.
                            1,442,169    
  5,250    
Philadelphia Consolidated Holding Corporation, (2)
                            178,343    
  8,190    
Seabright Insurance Holdings Inc., (2)
                            118,591    
  6,280    
Sun Life Financial Inc.
                            257,166    
  25,840    
WR Berkley Corporation
                            624,294    
  1,280    
Zurich Financial Services AG
                            327,659    
                                           
       
Total Insurance
                            10,225,673    
        Internet Software & Services – 0.2%
  60,000    
eBay Inc., (2), (10)
                            1,639,800    
  3,890    
Sohu.com Inc.
                            274,012    
  8,810    
Switch & Data Facilities Company, Inc.
                            149,682    
                                           
       
Total Internet Software & Services
                            2,063,494    
        IT Services – 0.4%
  33,160    
Accenture Limited
                            1,350,275    
  12,400    
CGI Group Inc., (2)
                            123,628    
  100,000    
Electronic Data Systems Corporation, (10)
                            2,464,000    
  12,560    
TNS Inc., (2)
                            300,938    
                                           
       
Total IT Services
                            4,238,841    
        Leisure Equipment & Products – 0.2%
  1,690    
Canon Inc.
                            86,545    
  30    
Fuji Photo Film Co., Ltd.
                            1,031    
  780    
FujiFilm Holdings Corporation, ADR
                            26,731    
  41,390    
Hasbro, Inc.
                            1,478,451    
  10,850    
Marvel Entertainment Inc., (2)
                            348,719    
                                           
       
Total Leisure Equipment & Products
                            1,941,477    
        Life Sciences Tools & Services – 0.1%
  2,630    
Dionex Corporation, (2)
                            174,553    
  5,470    
Illumina Inc., (2)
                            476,492    
                                           
       
Total Life Sciences Tools & Services
                            651,045    
        Machinery – 0.7%
  57,690    
ABB Limited
                            1,633,781    
  28,620    
AGCO Corporation, (2)
                            1,499,974    
  4,570    
Badger Meter Inc.
                            230,922    
  7,980    
Deere & Company
                            575,597    
  5,200    
Eaton Corporation
                            441,844    
  19,946    
Harsco Corporation
                            1,085,262    
  420    
Hitachi Limited
                            30,106    
  3,000    
ITT Industries Inc.
                            189,990    
  11,620    
MAN AG
                            1,289,989    
  6,810    
Manitowoc Company Inc.
                            221,529    

19


 

 
     
     
   JPC
  Nuveen Multi-Strategy Income and Growth Fund (continued)
Portfolio of INVESTMENTS June 30, 2008 (Unaudited)

                                           
Shares     Description (1)                     Value   
        Machinery (continued)
                                           
  5,580    
Parker Hannifin Corporation
                          $ 397,966    
  7,790    
RBC Bearings Inc., (2)
                            259,563    
  6,620    
Robbins & Myers, Inc.
                            330,139    
                                           
       
Total Machinery
                            8,186,662    
        Marine – 0.3%
  181,660    
Kawasaki Kisen Kaisha Limited
                            1,705,655    
  79,650    
Nippon Yusen Kabushki Kaisha
                            765,858    
  40,000    
Stolt-Nielsen S.A.
                            911,019    
                                           
       
Total Marine
                            3,382,532    
        Media – 0.5%
  36,320    
Cablevision Systems Corporation, (2)
                            820,832    
  54,610    
DIRECTV Group, Inc., (2)
                            1,414,945    
  61,000    
Scholastic Corporation, (2), (10)
                            1,748,260    
  1,110    
Shaw Communication Inc.
                            22,600    
  16,180    
Shaw Communication Inc.
                            330,360    
  7,180    
Thomson Corporation
                            231,124    
  24,290    
Walt Disney Company
                            757,848    
  780    
WPP Group PLC
                            37,300    
                                           
       
Total Media
                            5,363,269    
        Metals & Mining – 5.1%
  244,668    
AngloGold Ashanti Limited, Sponsored ADR, (10)
                            8,304,032    
  204,700    
Apex Silver Mines Limited, (2)
                            1,005,077    
  198,000    
Barrick Gold Corporation, (10)
                            9,009,000    
  12,710    
BHP Billiton PLC
                            486,075    
  10,090    
BHP Billiton PLC
                            781,773    
  60,500    
BHP Billiton PLC
                            2,534,526    
  3,750    
Cleveland-Cliffs Inc.
                            446,963    
  3,350    
Compass Minerals International, Inc.
                            269,876    
  88,020    
Cookson Group
                            1,100,149    
  235,600    
Crystallex International Corporation, (2)
                            263,872    
  18,830    
Freeport-McMoRan Copper & Gold, Inc.
                            2,206,688    
  202,500    
Gold Fields Limited, (10)
                            2,561,625    
  126,000    
Ivanhoe Mines Ltd., (2), (10)
                            1,374,660    
  1,824,600    
Lihir Gold Limited, (2)
                            5,754,710    
  431,790    
Mitsubishi Materials
                            1,846,143    
  182,300    
Newmont Mining Corporation, (10)
                            9,508,768    
  188,200    
NovaGold Resources Inc., (2), (10)
                            1,402,090    
  4,450    
Olympic Steel Inc.
                            337,844    
  4,360    
Rio Tinto PLC, Sponsored ADR
                            2,158,200    
  35,570    
SSAB Svenskt Stal AB
                            1,151,716    
  6,520    
United States Steel Corporation
                            1,204,766    
  23,460    
Xstrata PLC
                            1,880,366    
                                           
       
Total Metals & Mining
                            55,588,919    
        Multiline Retail – 0.5%
  32,040    
Big Lots, Inc., (2)
                            1,000,930    
  40,340    
Costco Wholesale Corporation
                            2,829,448    
  8,610    
Dollar Tree Stores Inc., (2)
                            281,461    
  9,840    
Family Dollar Stores, Inc.
                            196,210    
  80,510    
Next PLC
                            1,554,727    
                                           
       
Total Multiline Retail
                            5,862,776    
        Oil, Gas & Consumable Fuels – 4.3%
  1,950    
Alpha Natural Resources Inc.
                            203,366    
  15,500    
Arch Coal Inc., (10)
                            1,162,965    
  49,190    
BG Group PLC
                            1,269,809    
  123,640    
BP Amoco PLC, (10)
                            8,601,635    
  7,020    
Cabot Oil & Gas Corporation
                            475,465    
  2,380    
Carrizo Oil & Gas, Inc., (2)
                            162,054    
  25,290    
Chesapeake Energy Corporation
                            1,668,128    

20


 

                                           
Shares     Description (1)                     Value   
        Oil, Gas & Consumable Fuels (continued)
                                           
  17,310    
Chevron Corporation
                          $ 1,715,940    
  2,768    
Comstock Resources Inc., (2)
                            233,702    
  27,020    
Continental Resources Inc., (2)
                            1,873,026    
  20,800    
Denbury Resources Inc., (2)
                            759,200    
  2,730    
Devon Energy Corporation
                            328,037    
  30,200    
Eni S.p.A., Sponsored ADR
                            2,241,746    
  7,940    
EOG Resources, Inc.
                            1,041,728    
  18,270    
Hess Corporation
                            2,305,491    
  6,090    
Massey Energy Company
                            570,938    
  21,300    
Murphy Oil Corporation
                            2,088,465    
  60,100    
Nexen Inc., (10)
                            2,388,975    
  20,670    
Occidental Petroleum Corporation
                            1,857,406    
  2,840    
Patriot Coal Corporation, (2)
                            435,344    
  6,590    
Petrohawk Energy Corporation, (2)
                            305,183    
  18,230    
Petroleo Brasileiras S.A.
                            1,291,231    
  10,110    
Petroquest Energy Inc., (2)
                            271,959    
  5,796    
Pioneer Drilling Company, (2)
                            109,023    
  38,280    
Repsol YPF S.A.
                            1,503,256    
  82,100    
Royal Dutch Shell PLC, Class B, Sponsored ADR, (10)
                            6,577,031    
  72,950    
Singapore Petroleum
                            353,879    
  50,269    
Statoil ASA
                            1,879,055    
  21,400    
Total S.A., Sponsored ADR
                            1,824,778    
  7,900    
Total S.A.
                            674,148    
  1,170    
Whiting Petroleum Corporation
                            124,114    
  5,850    
XTO Energy, Inc.
                            400,784    
                                           
       
Total Oil, Gas & Consumable Fuels
                            46,697,861    
        Paper & Forest Products – 0.3%
  216,400    
AbitibiBowater Inc., (2), (10)
                            2,019,012    
  5,960    
Buckeye Technologies Inc., (2)
                            50,422    
  7,020    
Potlatch Corporation
                            316,742    
  71,710    
Sonae Industria-SPGS S.A., (2)
                            292,421    
  24,850    
Votorantim Celulose e Papel S.A.
                            663,744    
                                           
       
Total Paper & Forest Products
                            3,342,341    
        Personal Products – 0.0%
  4,120    
Herbalife, Limited
                            159,650    
        Pharmaceuticals – 1.7%
  17,900    
Astellas Pharma Inc.
                            758,582    
  130,970    
AstraZeneca Group, (10)
                            5,570,154    
  53,820    
Daiichi Sankyo Company Limited
                            1,482,540    
  20,180    
Eli Lilly and Company
                            931,509    
  6,720    
GlaxoSmithKline PLC, ADR
                            297,158    
  20,870    
H. Lundbeck A/S
                            475,860    
  98,000    
Kissei Pharmaceuticals Company Limited
                            2,191,929    
  22,790    
Merck & Co. Inc.
                            858,955    
  30,450    
Novartis AG
                            1,676,680    
  2,960    
Novo Nordisk A/S
                            193,725    
  189,800    
Patheon Inc., (2)
                            765,007    
  47,160    
Pfizer Inc.
                            823,885    
  8,450    
Pozen Inc., (2)
                            91,936    
  61,350    
Sanofi-Aventis, ADR, (10)
                            2,038,661    
  35,760    
Shionogi & Company Limited
                            705,535    
  39,640    
Warner Chilcott Limited, (2)
                            671,898    
                                           
       
Total Pharmaceuticals
                            19,534,014    
        Real Estate – 0.3%
  22,200    
Annaly Capital Management Inc.
                            344,322    
  5,530    
Essex Property Trust Inc.
                            588,945    
  6,396    
LaSalle Hotel Properties
                            160,731    
  7,700    
Lexington Corporate Properties Trust
                            104,951    
  17,450    
Rayonier Inc.
                            740,927    
  7,431    
SL Green Realty Corporation
                            614,692    

21


 

 
     
     
   JPC
  Nuveen Multi-Strategy Income and Growth Fund (continued)
Portfolio of INVESTMENTS June 30, 2008 (Unaudited)

                                           
Shares     Description (1)                     Value   
        Real Estate (continued)
                                           
  9,921    
Tanger Factory Outlet Centers
                          $ 356,462    
  14,953    
Taubman Centers Inc.
                            727,463    
                                           
       
Total Real Estate
                            3,638,493    
        Road & Rail – 0.5%
  900    
Canadian National Railways Company
                            43,272    
  46,130    
CSX Corporation
                            2,897,425    
  15,700    
Kansas City Southern Industries, (2)
                            690,643    
  14,570    
Landstar System
                            804,555    
  7,180    
Ryder System, Inc.
                            494,558    
  11,900    
Union Pacific Corporation
                            898,450    
                                           
       
Total Road & Rail
                            5,828,903    
        Semiconductors & Equipment – 0.4%
  12,180    
Amkor Technology Inc., (2)
                            126,794    
  25,030    
Broadcom Corporation, Class A, (2)
                            683,069    
  69,890    
Marvell Technology Group Ltd., (2)
                            1,234,257    
  6,240    
Monolithic Power Systems, Inc., (2)
                            134,909    
  68,520    
National Semiconductor Corporation
                            1,407,401    
  15,460    
ON Semiconductor Corporation
                            141,768    
  4,870    
Rubicon Technology Inc., (2)
                            98,958    
  8,500    
Semtech Corporation, (2)
                            119,595    
  84,930    
Taiwan Semiconductor Manufacturing Company Ltd., Sponsored ADR
                            926,586    
                                           
       
Total Semiconductors & Equipment
                            4,873,337    
        Software – 1.0%
  21,850    
Activision Inc., (2)
                            744,430    
  38,760    
Adobe Systems Incorporated, (2)
                            1,526,756    
  6,510    
Ansys Inc., (2)
                            306,751    
  42,780    
Autodesk, Inc., (2)
                            1,446,392    
  5,690    
Blackboard, Inc., (2)
                            217,529    
  46,000    
Microsoft Corporation, (10)
                            1,265,460    
  500    
Nintendo Co., Ltd., ADR
                            35,317    
  3,980    
Nintendo Co., Ltd.
                            2,245,157    
  21,690    
Salesforce.com, Inc., (2)
                            1,479,909    
  5,640    
SPSS Inc., (2)
                            205,127    
  56,560    
Symantec Corporation, (2)
                            1,094,436    
                                           
       
Total Software
                            10,567,264    
        Specialty Retail – 0.1%
  6,235    
Aeropostale, Inc., (2)
                            195,343    
  2,610    
Hennes & Mauritz AB
                            141,498    
  6,750    
J. Crew Group Inc., (2)
                            222,818    
  4,990    
NetFlix.com Inc., (2)
                            130,089    
  540    
Sony Corporation
                            23,620    
  16,630    
TJX Companies, Inc.
                            523,346    
                                           
       
Total Specialty Retail
                            1,236,714    
        Textiles, Apparel & Luxury Goods – 0.1%
  2,030    
Deckers Outdoor Corporation, (2)
                            282,576    
  620    
Gildan Activewear Inc, Sponsored ADR, (2)
                            16,046    
  12,068    
Guess Inc.
                            451,947    
                                           
       
Total Textiles, Apparel & Luxury Goods
                            750,569    
        Thrifts & Mortgage Finance – 0.2%
  159,310    
Hudson City Bancorp, Inc.
                            2,657,291    
        Tobacco – 0.4%
  16,600    
Altria Group, Inc.
                            341,296    
  11,760    
British American Tobacco PLC
                            814,380    
  80    
Japan Tobacco, Inc., (2)
                            341,291    
  38,840    
Philip Morris International, (2)
                            1,918,308    
  22,280    
UST Inc.
                            1,216,711    
                                           
       
Total Tobacco
                            4,631,986    
                                           
                                           

22


 

                                           
Shares     Description (1)                     Value   
        Transportation Infrastructure – 0.2%
  885,990    
Macquarie Airports
                          $ 1,749,669    
        Wireless Telecommunication Services – 0.3%
  9,360    
Millicom International Cellular S.A.
                            976,028    
  16,960    
Millicom International Cellular S.A., (2)
                            1,755,360    
  1,050    
Mobile Telesystems, Sponsored ADR
                            80,441    
  1,150    
Vodafone Group PLC, Sponsored ADR
                            33,879    
                                           
       
Total Wireless Telecommunication Services
                            2,845,708    
                                           
       
Total Common Stocks (cost $478,904,661)
                            474,682,199    
                                           
Shares     Description (1)   Coupon           Ratings (3)     Value   
        Convertible Preferred Securities – 1.8% (1.1% of Total Investments)
        Automobiles – 0.2%
  30,200    
General Motors Corporation, Convertible Bonds
    1.500%               B     $ 649,904    
  45,150    
General Motors Corporation, Convertible Notes, Senior Debentures, Series B
    5.250%               B       618,555    
  81,350    
General Motors Corporation
    6.250%               B       1,078,701    
                                           
       
Total Automobiles
                            2,347,160    
        Capital Markets – 0.0%
  11,300    
AMG Capital Trust II, Convertible Bond
    5.150%               BB       397,619    
        Commercial Banks – 0.0%
  14,750    
Sovereign Capital Trust IV, Convertible Security
    4.375%               Baa2       457,250    
        Communications Equipment – 0.8%
  9,800    
Lucent Technologies Capital Trust I
    7.750%               B2       7,448,000    
        Diversified Financial Services – 0.3%
  2,350    
Bank of America Corporation
    7.250%               A+       2,079,750    
  35,350    
Citigroup Inc., Series T
    6.500%               A       1,537,725    
                                           
       
Total Diversified Financial Services
                            3,617,475    
        Electric Utilities – 0.1%
  12,300    
Centerpoint Energy Inc. 
    2.000%               BBB–       356,282    
  4,000    
CMS Energy Corporation, Convertible Bonds
    4.500%               Ba2       313,250    
                                           
       
Total Electric Utilities
                            669,532    
        Food Products – 0.1%
  4,200    
Bunge Limited, Convertible Bonds
    4.875%               BB       552,300    
        Household Durables – 0.0%
  7,600    
Newell Financial Trust I
    5.250%               N/R       343,900    
                                           
        Independent Power Producers & Energy Traders – 0.0%
  200    
NRG Energy Inc., Convertible Bond
    4.000%               B2       435,412    
                                           
        Metals & Mining – 0.2%
  800    
Freeport McMoran Copper & Gold, Inc. 
    5.500%               BB       2,013,200    
                                           
        Oil, Gas & Consumable Fuels – 0.1%
  400    
El Paso Corporation
    4.990%               B       689,600    
        Real Estate – 0.0%
  6,950    
Simon Property Group, Inc., Series I
    6.000%               BBB+       507,350    
        Thrifts & Mortgage Finance – 0.0%
  21,800    
Washington Mutual, Inc., Unit 1 Trust
    5.375%               A3       523,200    
        U.S. Agency – 0.0%
  5    
Federal National Mortgage Association
    5.375%               AA–       301,250    
                                           
       
Total Convertible Preferred Securities (cost $23,645,550)
                            20,303,248    
                                           
                                           

23


 

 
     
     
   JPC
  Nuveen Multi-Strategy Income and Growth Fund (continued)
Portfolio of INVESTMENTS June 30, 2008 (Unaudited)

                                           
Shares     Description (1)   Coupon           Ratings (3)     Value   
       
$25 Par (or similar) Preferred Securities – 52.2% (31.1% of Total Investments)
                                 
        Capital Markets – 6.4%
  224,904    
BNY Capital Trust V, Series F
    5.950%               A     $ 4,655,513    
  950,117    
Deutsche Bank Capital Funding Trust II
    6.550%               A+       18,764,811    
  99,200    
Deutsche Bank Contingent Capital Trust III
    7.600%               A+       2,268,704    
  34,300    
First Union Institutional Capital II (CORTS)
    8.200%               A1       770,035    
  3,900    
Goldman Sachs Capital I, Series A (CORTS)
    6.000%               A1       79,950    
  4,700    
Goldman Sachs Group Inc. (SATURNS)
    5.750%               AA–       92,120    
  300    
Goldman Sachs Group Inc., Series 2004-06 (SATURNS)
    6.000%               A1       6,066    
  41,500    
Goldman Sachs Group Inc., Series 2004-4 (CORTS)
    6.000%               A1       780,200    
  7,500    
Goldman Sachs Group Inc., Series GSC-3 (PPLUS)
    6.000%               A1       140,250    
  1,500    
Goldman Sachs Group Inc., Series GSG-2 (PPLUS)
    5.750%               AA–       29,745    
  6,400,000    
JP Morgan Chase & Company
    7.900%               A1       6,018,752    
  478,288    
Lehman Brothers Holdings Capital Trust III, Series K
    6.375%               A2       8,040,021    
  101,461    
Merrill Lynch Preferred Capital Trust III
    7.000%               A2       1,800,933    
  115,400    
Merrill Lynch Preferred Capital Trust IV
    7.120%               A2       2,121,052    
  341,000    
Merrill Lynch Preferred Capital Trust V
    7.280%               A2       6,441,490    
  307,334    
Morgan Stanley Capital Trust III
    6.250%               A–       5,550,452    
  458,907    
Morgan Stanley Capital Trust IV
    6.250%               A1       8,163,956    
  5,400    
Morgan Stanley Capital Trust V
    5.750%               A1       91,530    
  234,129    
Morgan Stanley Capital Trust VII
    6.600%               A1       4,322,021    
                                           
       
Total Capital Markets
                            70,137,601    
        Commercial Banks – 10.6%
  69,570    
ABN AMRO Capital Fund Trust V
    5.900%               A       1,177,124    
  90,400    
Allianz SE
    8.375%               A+       2,250,960    
  74,400    
ASBC Capital I
    7.625%               A3       1,733,520    
  57,955    
BAC Capital Trust II
    7.000%               Aa3       1,287,760    
  190,500    
BAC Capital Trust III
    7.000%               Aa3       4,181,475    
  10,000    
BAC Capital Trust IV
    5.875%               Aa3       191,500    
  9,100    
BAC Capital Trust V
    6.000%               A+       174,629    
  12,100    
BAC Capital Trust VIII
    6.000%               Aa3       228,085    
  358,086    
Banco Santander Finance
    6.800%               Aa3       7,863,569    
  323,506    
Banco Santander Finance
    6.500%               A+       6,825,977    
  231,600    
Banesto Holdings, Series A, 144A
    10.500%               A1       7,027,624    
  63,700    
Bank One Capital Trust VI
    7.200%               Aa3       1,490,580    
  288,600    
Barclays Bank PLC
    8.125%               Aa3       7,096,674    
  2,000    
Barclays Bank PLC
    7.100%               Aa3       42,120    
  197,758    
Citizens Funding Trust I
    7.500%               Baa1       2,145,674    
  107,000    
Cobank Agricultural Credit Bank
    7.000%               N/R       4,963,195    
  397,900    
Credit Suisse
    7.900%               A       9,788,340    
  347,358    
Fifth Third Capital Trust VI
    7.250%               A–       5,613,305    
  338,400    
Fleet Capital Trust VIII
    7.200%               Aa3       7,360,200    
  702,220    
HSBC Finance Corporation
    6.875%               AA–       15,982,527    
  136,400    
KeyCorp Capital Trust IX
    6.750%               A3       1,909,600    
  134,200    
National Bank of Greece SA
    9.000%               AAA–       3,415,390    
  514,249    
National City Capital Trust II
    6.625%               BBB+       6,438,397    
  46,750    
PNC Capital Trust
    6.125%               A2       946,220    
  15,500    
Royal Bank of Scotland Group PLC
    6.600%               Aa3       288,610    
  18,129    
Royal Bank of Scotland Group PLC, Series L
    5.750%               A1       292,239    
  97,395    
Royal Bank of Scotland Group PLC, Series N
    6.350%               A1       1,757,006    
  11,400    
Royal Bank of Scotland Group PLC, Series P
    6.250%               A1       197,676    
  7,000    
Royal Bank of Scotland Group PLC, Series T
    7.250%               Aa3       143,150    
  58,600    
SunTrust Capital Trust IX
    7.875%               A–       1,244,078    
  165,327    
USB Capital Trust XI
    6.600%               A+       3,499,973    
  24,320    
VNB Capital Trust I
    7.750%               BBB       600,704    
  129,348    
Wachovia Capital Trust IX
    6.375%               A1       2,223,492    
  143,417    
Wachovia Trust IV
    6.375%               A1       2,508,363    
  86,002    
Wells Fargo Capital Trust VII
    5.850%               AA–       1,788,842    
  81,700    
Zions Capital Trust B
    8.000%               Baa1       1,797,400    
                                           
       
Total Commercial Banks
                            116,475,978    
        Computers & Peripherals – 0.0%
  4,447    
IBM Inc., Trust Certificates, Series 2001-2
    7.100%               A+       109,707    
                                           
                                           

24


 

                                           
Shares     Description (1)   Coupon           Ratings (3)     Value   
        Diversified Financial Services – 5.2%
  20,600    
Allied Capital Corporation
    6.875%               BBB+     $ 307,970    
  6,000    
American International Group, CORTS
    6.125%               A1       100,500    
  37,630    
BAC Capital Trust XII
    6.875%               A+       824,097    
  51,300    
Citigroup Capital Trust VII
    7.125%               A1       1,064,475    
  241,654    
Citigroup Capital Trust VIII
    6.950%               A1       4,835,497    
  29,700    
Citigroup Capital Trust IX
    6.000%               A1       509,652    
  15,900    
Citigroup Capital Trust XI
    6.000%               A1       272,685    
  2,600    
Citigroup Capital X
    6.100%               A       45,110    
  68,755    
Citigroup Capital XV
    6.500%               A1       1,274,030    
  48,801    
Citigroup Capital XVI
    6.450%               A1       897,938    
  22,200    
Citigroup Capital XVII
    6.350%               A1       392,274    
  333,300    
Citigroup Capital XIX
    7.250%               A1       7,052,628    
  63,900    
Citigroup Capital XX
    7.875%               A       1,519,702    
  85,000    
Citigroup Inc., Series M
    8.125%               A       1,904,000    
  8,000,000    
Citigroup Inc.
    8.400%               A       7,614,880    
  13,900    
General Electric Capital Corporation
    6.050%               AAA       350,002    
  12,000    
ING Groep N.V.
    7.375%               A1       262,320    
  533,018    
ING Groep N.V.
    7.200%               A1       11,475,878    
  731,175    
ING Groep N.V.
    7.050%               A       15,332,740    
  21,700    
ING Groep N.V.
    6.375%               A       404,054    
  2,800    
ING Groep N.V.
    6.125%               A       49,840    
  5,000    
Royal Bank of Scotland Group PLC, Series R
    6.125%               A1       85,400    
                                           
       
Total Diversified Financial Services
                            56,575,672    
        Diversified Telecommunication Services – 0.4%
  67,000    
AT&T Inc. 
    6.375%               A       1,675,670    
  95,968    
BellSouth Capital Funding (CORTS)
    7.120%               A       2,147,284    
  18,300    
BellSouth Corporation (CORTS)
    7.000%               A       419,756    
  17,500    
Verizon Communications (CORTS)
    7.625%               A       437,675    
  7,200    
Verizon Communications, Series 2004-1 (SATURNS)
    6.125%               A       167,688    
  1,800    
Verizon Global Funding Corporation Trust III, Series III (CORTS)
    6.250%               A       43,092    
                                           
       
Total Diversified Telecommunication Services
                            4,891,165    
        Electric Utilities – 1.0%
  19,600    
DTE Energy Trust I
    7.800%               Baa3       492,156    
  40,670    
Entergy Louisiana LLC
    7.600%               A–       1,015,530    
  135,100    
FPL Group Capital Inc. 
    6.600%               BBB+       3,343,725    
  700    
Georgia Power Company
    5.750%               A       16,702    
  8,200    
National Rural Utilities Cooperative Finance Corporation
    6.100%               A3       180,400    
  7,900    
National Rural Utilities Cooperative Finance Corporation
    5.950%               A3       173,879    
  234,561    
Xcel Energy Inc. 
    7.600%               BBB–       5,786,620    
                                           
       
Total Electric Utilities
                            11,009,012    
        Electrical Equipment – 0.1%
  105,630    
Hitachi Limited
    0.000%               N/R       761,996    
        Food Products – 0.2%
  27,100    
Dairy Farmers of America Inc., 144A
    7.875%               BBB–       2,212,038    
        Insurance – 9.3%
  2,000    
Aegon N.V. 
    6.875%               A–       36,200    
  982,600    
Aegon N.V. 
    6.375%               A–       16,802,460    
  6,700    
Aegon N.V.
    7.250%               A–       132,660    
  2,567    
AMBAC Financial Group Inc. 
    5.950%               A       18,996    
  3,000    
American International Group, Inc. 
    6.450%               A1       54,870    
  2,000    
American International Group
    7.700%               A       44,780    
  25,700    
Arch Capital Group Limited, Series B
    7.875%               BBB–       596,240    
  408,100    
Arch Capital Group Limited
    8.000%               BBB–       9,504,649    
  15,900    
Berkley WR Corporation, Capital Trust II
    6.750%               BBB–       347,415    
  1,221,900    
Delphi Financial Group, Inc. 
    8.000%               BBB+       27,969,291    
  3,000,000    
Everest Reinsurance Holdings, Inc. 
    6.600%               Baa1       2,143,635    
  326,955    
EverestRe Capital Trust II
    6.200%               BBB       6,087,902    
  82,200    
Financial Security Assurance Holdings
    6.250%               AA       1,348,080    
  1,800    
Markel Corporation
    7.500%               Baa2       43,272    
  809,050    
PartnerRe Limited, Series C
    6.750%               BBB+       16,553,163    
  82,200    
PLC Capital Trust III
    7.500%               BBB+       1,773,054    

25


 

 
     
     
   JPC
  Nuveen Multi-Strategy Income and Growth Fund (continued)
Portfolio of INVESTMENTS June 30, 2008 (Unaudited)

                                           
Shares     Description (1)   Coupon           Ratings (3)     Value   
        Insurance (continued)
                                           
  32,200    
PLC Capital Trust IV
    7.250%               BBB+     $ 683,928    
  8,700    
PLC Capital Trust V
    6.125%               BBB+       169,563    
  48,300    
Protective Life Corporation
    7.250%               BBB       1,021,062    
  260,600    
Prudential Financial Inc. 
    9.000%               A–       6,488,940    
  37,400    
Prudential PLC
    6.750%               A–       714,340    
  377,051    
RenaissanceRe Holdings Limited, Series B
    7.300%               BBB       7,838,890    
  75,000    
RenaissanceRe Holdings Ltd
    6.600%               NA       1,435,500    
                                           
       
Total Insurance
                            101,808,890    
        Media – 3.3%
  13,400    
CBS Corporation
    7.250%               BBB       306,994    
  414,172    
CBS Corporation
    6.750%               BBB       8,739,029    
  586,200    
Comcast Corporation
    7.000%               BBB+       13,599,840    
  605,900    
Viacom Inc. 
    6.850%               BBB       13,238,915    
                                           
       
Total Media
                            35,884,778    
        Oil, Gas & Consumable Fuels – 1.0%
  477,800    
Nexen Inc. 
    7.350%               Baa3       11,495,868    
        Real Estate – 12.5%
  7,700    
AvalonBay Communities, Inc., Series H
    8.700%               BBB       192,654    
  15,266    
BRE Properties, Series C
    6.750%               BBB–       316,006    
  658,185    
Developers Diversified Realty Corporation, Series G
    8.000%               BBB–       15,118,509    
  75,300    
Developers Diversified Realty Corporation, Series H
    7.375%               BBB–       1,571,511    
  119,500    
Duke Realty Corporation, Series O
    8.375%               BBB       2,834,540    
  16,500    
Duke Realty Corporation, Series K
    6.500%               BBB       324,225    
  76,400    
Duke Realty Corporation, Series L
    6.600%               BBB       1,467,644    
  38,128    
Duke-Weeks Realty Corporation
    6.950%               BBB       763,323    
  386,970    
Equity Residential Properties Trust, Series N
    6.480%               BBB       8,219,243    
  8,500    
First Industrial Realty Trust, Inc., Series J
    7.250%               BBB–       179,775    
  267,400    
First Industrial Realty Trust, Inc., Series J
    7.250%               BBB–       5,615,400    
  135,567    
HRPT Properties Trust, Series B
    8.750%               BBB–       3,271,232    
  653,700    
HRPT Properties Trust, Series C
    7.125%               BBB–       13,708,089    
  450,487    
Kimco Realty Corporation, Series F
    6.650%               BBB+       9,617,897    
  212,100    
Kimco Realty Corporation, Series G
    7.750%               BBB+       4,997,076    
  32,982    
Prologis Trust, Series C
    8.540%               BBB       1,709,912    
  12,500    
Prologis Trust, Series G
    6.750%               BBB       261,250    
  19,900    
PS Business Parks, Inc. 
    7.000%               BBB–       405,960    
  6,000    
PS Business Parks, Inc. 
    6.700%               BBB–       116,100    
  48,200    
PS Business Parks, Inc., Series I
    6.875%               BBB–       930,260    
  2,000    
PS Business Parks, Inc., Series K
    7.950%               BBB–       47,080    
  26,400    
PS Business Parks, Inc., Series O
    7.375%               BBB–       540,936    
  228,400    
Public Storage, Inc. 
    6.750%               BBB+       4,602,260    
  99,295    
Public Storage, Inc., Series C
    6.600%               BBB+       1,966,041    
  51,900    
Public Storage, Inc., Series E
    6.750%               BBB+       1,050,975    
  15,000    
Public Storage, Inc., Series F
    6.450%               BBB+       288,450    
  9,359    
Public Storage, Inc., Series H
    6.950%               BBB+       194,386    
  74,400    
Public Storage, Inc., Series I
    7.250%               BBB+       1,666,560    
  1,700    
Public Storage, Inc., Series K
    7.250%               BBB+       37,502    
  328,741    
Public Storage, Inc., Series M
    6.625%               BBB+       6,532,084    
  32,300    
Public Storage, Inc., Series V
    7.500%               BBB+       794,580    
  320,700    
Realty Income Corporation
    6.750%               BBB–       7,023,330    
  216,495    
Regency Centers Corporation
    7.450%               BBB       4,825,674    
  9,200    
Regency Centers Corporation
    7.250%               N/R       198,260    
  16,800    
Vornado Realty Trust, Series G
    6.625%               BBB–       331,800    
  3,400    
Vornado Realty Trust, Series H
    6.750%               BBB–       67,218    
  54,900    
Vornado Realty Trust, Series I
    6.625%               BBB–       1,065,609    
  1,110,545    
Wachovia Preferred Funding Corporation
    7.250%               A2       21,266,937    
  13,800    
Weingarten Realty Investors Series F
    6.500%               BBB       275,310    
  606,030    
Weingarten Realty Trust, Preferred Securities
    6.750%               A–       12,878,138    
                                           
       
Total Real Estate
                            137,273,736    
                                           
                                           

26


 

                                           
Shares     Description (1)   Coupon           Ratings (3)     Value   
        Thrifts & Mortgage Finance – 1.3%
  99,600    
Countrywide Capital Trust III (PPLUS)
    8.050%               Ba1     $ 1,663,320    
  619,240    
Countrywide Capital Trust IV
    6.750%               Ba1       10,985,318    
  78,737    
Countrywide Capital Trust V
    7.000%               A+       1,377,110    
                                           
       
Total Thrifts & Mortgage Finance
                            14,025,748    
        U.S. Agency – 0.8%
  129,000    
Federal Home Loan Mortgage Corporation
    0.000%               AA–       3,134,700    
  60,800    
Federal Home Loan Mortgage Corporation, Notes
    5.570%               AA–       1,093,792    
  31,400    
Federal Home Loan Mortgage Corporation
    6.550%               AA–       617,010    
  99,500    
Federal National Mortgage Association
    0.000%               AA–       4,716,927    
                                           
       
Total U.S. Agency
                            9,562,429    
        Wireless Telecommunication Services – 0.1%
  33,900    
United States Cellular Corporation
    8.750%               Baa3       839,364    
                                           
       
Total $25 Par (or similar) Preferred Securities (cost $691,783,046)
                            573,063,982    
                                           
          Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (4)     Ratings (3)     Value  
        Variable Rate Senior Loan Interests – 14.5% (8.6% of Total Investments) (5)
        Aerospace & Defense – 0.1%
$ 574    
DAE Aviation Holdings, Inc., Term Loan B-1
    6.585%       7/31/14       BB–     $ 556,516    
  571    
DAE Aviation Holdings, Inc., Term Loan B-2
    6.650%       7/31/14       BB–       552,778    
                                           
  1,145    
Total Aerospace & Defense
                            1,109,294    
                                           
        Airlines – 0.3%
  1,669    
ACTS Aero Technical Support & Services Inc., Term Loan
    5.959%       10/01/14       N/R       1,443,769    
  987    
American Airlines, Inc., Term Loan
    5.239%       12/17/10       BB–       873,825    
  990    
Delta Air Lines, Inc., Term Loan
    6.149%       4/30/14       B       659,588    
                                           
  3,646    
Total Airlines
                            2,977,182    
        Building Products – 0.5%
  2,569    
Building Materials Corporation of America, Term Loan
    5.688%       2/22/14       B+       2,293,813    
  989    
Stile Acquisition Corporation, Canadian Term Loan
    4.893%       4/05/13       BB–       918,491    
  991    
Stile Acquisition Corporation, Term Loan B
    4.892%       4/05/13       BB–       920,055    
  983    
TFS Acquisition, Term Loan
    6.301%       8/11/13       B+       923,550    
                                           
  5,532    
Total Building Products
                            5,055,909    
        Chemicals – 0.3%
  992    
Celanese Holdings LLC, Term Loan
    4.188%       4/02/14       BB+       946,114    
  1,985    
Hercules Offshore, Inc., Term Loan
    4.450%       7/11/13       BB       1,932,067    
                                           
  2,977    
Total Chemicals
                            2,878,181    
        Commercial Services & Supplies – 0.2%
  159    
Aramark Corporation, Letter of Credit
    4.875%       1/24/14       BB       150,717    
  2,509    
Aramark Corporation, Term Loan
    4.676%       1/24/14       BB       2,372,384    
                                           
  2,668    
Total Commercial Services & Supplies
                            2,523,101    
        Communications Equipment – 0.1%
  1,200    
CommScope Inc., Term Loan B, WI/DD
    TBD       TBD       Ba3       1,156,500    
        Diversified Consumer Services – 0.3%
  194    
Laureate Education, Inc., Delayed Draw, Term Loan B, (6), (7)
    1.000%       8/17/14       B       (13,226 )  
  1,300    
Laureate Education Inc., Term Loan B
    5.733%       8/17/14       B1       1,211,091    
  1,985    
Thomson Learning Center, Term Loan
    4.980%       7/05/14       B+       1,807,839    
                                           
  3,479    
Total Diversified Consumer Services
                            3,005,704    
        Diversified Telecommunication Services – 0.3%
  1,985    
Alltel Communications, Inc., Term Loan B3
    5.232%       5/18/15       BB–       1,975,075    
  500    
Intelsat Limited, Tranche B2-A
    5.184%       1/03/14       BB–       475,851    
  499    
Intelsat Limited, Tranche B2-B
    5.184%       1/03/14       BB–       475,708    
  499    
Intelsat Limited, Tranche B2-C
    5.184%       1/03/14       BB–       475,708    
                                           
  3,483    
Total Diversified Telecommunication Services
                            3,402,342    
                                           
                                           

27


 

 
     
     
   JPC
  Nuveen Multi-Strategy Income and Growth Fund (continued)
Portfolio of INVESTMENTS June 30, 2008 (Unaudited)

                                           
          Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (4)     Ratings (3)     Value  
        Electric Utilities – 0.7%
$ 4,275    
Calpine Corporation, DIP Term Loan
    5.685%       3/31/14       B+     $ 4,095,298    
  995    
TXU Corporation, Term Loan B-2
    6.235%       10/10/14       Ba3       923,069    
  2,978    
TXU Corporation, Term Loan B-3
    6.262%       10/10/14       Ba3       2,760,236    
                                           
  8,248    
Total Electric Utilities
                            7,778,603    
        Electrical Equipment – 0.0%
  249    
Allison Transmission Holdings, Inc., Term Loan
    5.333%       8/07/14       BB–       222,628    
        Energy Equipment & Services – 0.2%
  1,907    
PGS Finance, Inc., Term Loan
    4.550%       6/29/15       Ba2       1,844,700    
        Health Care Equipment & Supplies – 0.4%
  80    
Bausch & Lomb, Delayed Draw Term Loan
    4.130%       4/24/15       BB–       46,575    
  318    
Bausch & Lomb, Inc., Term Loan
    5.946%       4/24/15       BB–       312,729    
  3,970    
Biomet, Inc., Term Loan
    5.801%       3/24/15       BB–       3,897,492    
                                           
  4,368    
Total Health Care Equipment & Supplies
                            4,256,796    
        Health Care Providers & Services – 2.1%
  336    
Community Health Systems, Inc., Delayed Draw, Term Loan, (6), (7)
    1.000%       7/25/14       BB       (18,813 )  
  6,565    
Community Health Systems, Inc., Term Loan
    4.859%       7/25/14       BB       6,197,598    
  495    
Concentra, Inc., Term Loan
    5.051%       6/25/14       B+       446,738    
  1,174    
HCA, Inc., Term Loan
    4.301%       11/18/12       BB       1,101,797    
  5,915    
HCA, Inc., Term Loan A
    5.051%       11/18/13       BB       5,563,475    
  2,083    
Health Management Associates, Inc., Term Loan
    4.551%       2/28/14       BB–       1,941,778    
  477    
IASIS Healthcare Corporation, Delayed Term Loan
    4.483%       3/14/14       Ba2       453,299    
  127    
IASIS Healthcare Corporation, Letter of Credit
    2.371%       3/14/14       Ba2       120,880    
  1,378    
IASIS Healthcare LLC, Term Loan
    4.483%       3/14/14       Ba2       1,310,071    
  747    
LifePoint Hospitals, Inc., Term Loan B
    4.274%       4/18/12       BB       729,270    
  1,835    
Select Medical Corporation, Term Loan
    4.682%       2/24/12       Ba2       1,712,490    
  986    
Select Medical Corporation, Term Loan B-2
    4.630%       2/24/12       Ba2       919,839    
  251    
Sun Healthcare Group, Inc., Delayed Term Loan
    5.042%       4/12/14       Ba2       235,073    
  404    
Sun Healthcare Group, Inc., Synthetic Letter of Credit
    4.701%       4/19/14       Ba2       377,909    
  1,799    
Sun Healthcare Group, Inc., Term Loan
    4.789%       4/19/14       Ba2       1,681,617    
  988    
Vanguard Health Holding Company II LLC, Replacement Term Loan
    5.051%       9/23/11       Ba3       955,467    
                                           
  25,560    
Total Health Care Providers & Services
                            23,728,488    
        Hotels, Restaurants & Leisure – 0.9%
  980    
Cedar Fair LP, Term Loan
    4.483%       8/30/12       BB       931,272    
  1,197    
Harrahs Entertainment Inc., Term Loan B2, WI/DD
    TBD       TBD       BB       1,095,921    
  899    
Intrawest Corporation, Term Loan
    5.810%       10/23/08       N/R       858,930    
  141    
Isle of Capri Casinos Inc, Delayed Draw Term Loan A
    4.551%       11/25/13       BB       125,888    
  468    
Isle of Capri Casinos, Inc., Delayed Term Loan A
    4.551%       11/25/13       BB       417,519    
  187    
Isle of Capri Casinos, Inc., Delayed Term Loan B
    4.551%       11/25/13       BB       167,008    
  669    
Travelport LLC, Delayed Term Loan
    4.733%       8/23/13       BB–       603,151    
  134    
Travelport LLC, Letter of Credit
    5.051%       8/23/13       BB–       121,023    
  1,200    
Venetian Casino Resort Delayed Term Loan
    4.560%       5/23/14       BB       1,095,917    
  4,752    
Venetian Casino Resort LLC, Term Loan
    4.550%       5/23/14       BB       4,339,831    
                                           
  10,627    
Total Hotels, Restaurants & Leisure
                            9,756,460    
        Independent Power Producers & Energy Traders – 0.3%
  1,084    
NRG Energy Inc., Credit Linked Deposit
    2.701%       2/01/13       Ba1       1,034,833    
  2,212    
NRG Energy Inc., Term Loan
    4.301%       2/01/13       Ba1       2,112,603    
                                           
  3,296    
Total Independent Power Producers & Energy Traders
                            3,147,436    
        Insurance – 0.2%
  1,983    
Conseco, Inc., Term Loan
    4.483%       10/10/13       Ba3       1,730,342    
        Internet Software & Services – 0.1%
  1,000    
Sabre, Inc., Term Loan
    4.899%       9/30/14       B+       828,929    
                                           
                                           

28


 

                                           
          Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (4)     Ratings (3)     Value  
        IT Services – 0.3%
$ 1,985    
First Data Corporation, Term Loan B-1
    5.261%       9/24/14       BB–     $ 1,827,193    
  411    
Infor Global Solutions Intermediate Holdings, Ltd., Delayed Term Loan, WI/DD
    TBD       TBD       B+       351,771    
  787    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan, WI/DD
    TBD       TBD       B+       672,530    
                                           
  3,183    
Total IT Services
                            2,851,494    
        Leisure Equipment & Products – 0.4%
  391    
Herbst Gaming Inc., Delayed Term Loan
    9.750%       12/02/11       CCC–       301,107    
  450    
Hernst Gaming Inc., Term Loan
    9.750%       12/02/11       CCC–       346,556    
  4,000    
Wimar OpCo LLC, Term Loan
    8.250%       1/03/12       N/R       3,870,626    
                                           
  4,841    
Total Leisure Equipment & Products
                            4,518,289    
        Machinery – 0.4%
  2,993    
LyondellBasell, Term Loan B2
    7.000%       12/22/14       Ba2       2,618,438    
  1,955    
Oshkosh Truck Corporation, Term Loan
    4.414%       12/06/13       BBB–       1,840,958    
                                           
  4,948    
Total Machinery
                            4,459,396    
        Media – 2.9%
  4,159    
Cequel Communications LLC, Term Loan B
    4.724%       11/05/13       BB–       3,908,354    
  4,055    
Charter Communications Operating Holdings, LLC, Term Loan
    4.900%       3/06/14       B+       3,569,451    
  1,500    
Citadel Broadcasting Corporation, Term Loan
    4.284%       6/12/14       BB–       1,303,125    
  3,960    
Discovery Communications Holdings LLC, Term Loan
    4.801%       5/14/14       N/R       3,892,680    
  1,202    
Gray Television Inc., Term Loan B
    4.190%       12/31/14       B+       1,081,934    
  975    
Idearc, Inc., Term Loan
    4.787%       11/17/14       BB       782,518    
  2,952    
Neilsen Finance LLC, Term Loan
    4.734%       8/09/13       Ba3       2,758,437    
  947    
Philadelphia Newspapers, Term Loan
    9.500%       6/29/13       N/R       653,092    
  988    
Readers Digest Association, Inc., Term Loan
    4.602%       3/02/14       B1       863,445    
  5,940    
Tribune Company, Term Loan B
    5.482%       6/04/14       B       4,492,125    
  2,433    
Tribune Company, Term Loan X
    5.478%       6/04/09       B       2,337,013    
  7,000    
Univision Communications, Inc., Term Loan
    5.149%       9/29/14       Ba3       5,779,375    
  286    
Valassis Communications, Inc. Delayed Term Loan
    4.210%       3/02/14       BB       273,556    
  864    
Valassis Communications, Inc. Tranche B, Term Loan
    4.560%       3/02/14       BB       825,156    
                                           
  37,261    
Total Media
                            32,520,261    
        Metals & Mining – 0.1%
  798    
John Maneely Company, Term Loan
    5.975%       12/08/13       B+       748,199    
        Oil, Gas & Consumable Fuels – 0.4%
  1,995    
CCS Income Trust, Term Loan
    5.483%       11/14/14       BB–       1,802,139    
  2,394    
Western Refining, Term Loan, WI/DD
    TBD       TBD       BB–       2,238,348    
                                           
  4,389    
Total Oil, Gas & Consumable Fuels
                            4,040,487    
        Paper & Forest Products – 0.3%
  2,960    
Georgia-Pacific Corporation, Term Loan B
    4.449%       12/21/12       BB+       2,799,130    
        Pharmaceuticals – 0.1%
  2,000    
Royalty Pharma Finance Trust, Term Loan
    7.750%       5/21/15       Baa3       1,920,000    
        Real Estate Management & Development – 0.3%
  880    
LNR Property Corporation, Term Loan B
    6.030%       7/12/11       BB       739,750    
  2,970    
Realogy Corporation, Delayed Term Loan
    5.625%       10/01/13       BB–       2,535,155    
                                           
  3,850    
Total Real Estate Management & Development
                            3,274,905    
        Road & Rail – 0.4%
  5,419    
Swift Transportation Company, Inc., Term Loan
    6.125%       5/10/14       B+       4,368,750    
        Software – 0.3%
  2,680    
Dealer Computer Services, Inc., Term Loan
    4.801%       10/26/12       BB       2,558,132    
  1,256    
Intergraph Corporation, Term Loan
    4.646%       5/29/14       BB–       1,208,969    
                                           
  3,936    
Total Software
                            3,767,101    
                                           
                                           

29


 

 
     
     
   JPC
  Nuveen Multi-Strategy Income and Growth Fund (continued)
Portfolio of INVESTMENTS June 30, 2008 (Unaudited)

                                           
          Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (4)     Ratings (3)     Value  
        Specialty Retail – 1.2%
$ 3,166    
Blockbuster, Inc., Tranche B Term Loan, WI/DD
    TBD       TBD       B     $ 3,011,525    
  4,442    
Burlington Coat Factory Warehouse Corporation, Term Loan
    4.900%       5/28/13       B2       3,707,486    
  3,442    
Michaels Stores, Inc., Term Loan
    4.872%       10/31/13       B       2,874,710    
  1,500    
TRU 2005 RE Holding Co I LLC, Term Loan
    5.459%       12/08/08       B3       1,415,625    
  2,400    
TRU 2005 RE Holding Co I LLC, Term Loan B, WI/DD
    TBD       TBD       BB–       2,329,000    
                                           
  14,950    
Total Specialty Retail
                            13,338,346    
        Wireless Telecommunication Services – 0.4%
  4,000    
Asurion Corporation, Term Loan
    5.784%       7/03/14       N/R       3,726,666    
  990    
Cricket Communications, Term Loan
    6.301%       6/17/13       Ba2       977,388    
                                           
  4,990    
Total Wireless Telecommunication Services
                            4,704,054    
                                           
$ 174,893    
Total Variable Rate Senior Loan Interests (cost $170,142,035)
                            158,713,007    
                                           
Principal
                             
Amount (000)     Description (1)   Coupon     Maturity     Ratings (3)     Value  
        Convertible Bonds – 9.0% (5.3% of Total Investments)
        Aerospace & Defense – 0.2%
$ 250    
Alliant Techsystems, Inc., Convertible Bonds
    2.750%       9/15/11       BB–     $ 303,125    
  250    
Alliant Techsystems, Inc., Convertible Bonds
    2.750%       2/15/24       BB–       333,125    
  300    
DRS Technologies, Inc., Convertible Bonds, 144A
    2.000%       2/01/26       BB–       408,750    
  300    
L-3 Communications Corporation, Convertible Bond
    3.000%       8/01/35       BB+       333,375    
  500    
Lockheed Martin Corporation
    2.428%       8/15/33       A–       682,450    
                                           
  1,600    
Total Aerospace & Defense
                            2,060,825    
                                           
        Airlines – 0.1%
  2,375    
JetBlue Airways Corporation
    3.750%       3/15/35       CCC       1,520,000    
        Beverages – 0.0%
  300    
Molson Coors Brewing Company, Senior Convertible Notes
    2.500%       7/30/13       BBB       366,375    
        Biotechnology – 0.2%
  1,300    
Amgen Inc., 144A 
    0.125%       2/01/11       A+       1,186,250    
  750    
Genzyme Corporation
    1.250%       12/01/23       BBB+       833,438    
                                           
  2,050    
Total Biotechnology
                            2,019,688    
        Capital Markets – 0.0%
  250    
BlackRock Inc. 
    2.625%       2/15/35       A+       447,500    
        Commercial Banks – 0.2%
  1,600    
National City Corporation, Convertible Senior Notes
    4.000%       2/01/11       A       1,302,000    
  550    
U.S. Bancorp, Convertible Bonds
    1.354%       12/11/35       AA       540,408    
                                           
  2,150    
Total Commercial Banks
                            1,842,408    
        Commercial Services & Supplies – 0.4%
  4,050    
Allied Waste Industries Inc., Convertible Debentures
    4.250%       4/15/34       B+       3,867,750    
        Communications Equipment – 0.3%
  600    
Ciena Corporation, Convertible Bond
    0.875%       6/15/17       B+       484,500    
  100    
CommScope Inc. 
    1.000%       3/15/24       B       244,375    
  660    
Liberty Media Corporation, Senior Debentures Exchangeable for Motorola Common Stock
    3.500%       1/15/31       BB+       319,023    
  1,050    
Lucent Technologies Inc., Series B
    2.875%       6/15/25       BB–       836,063    
  750    
Lucent Technologies Inc. 
    2.875%       6/15/23       BB–       687,188    
  450    
Nortel Networks Corp. 
    1.750%       4/15/12       B–       339,188    
  250    
Nortel Networks Corp. 
    1.750%       4/15/12       B–       188,438    
  600    
Nortel Networks Corp. 
    2.125%       4/15/14       B–       405,000    
                                           
  4,460    
Total Communications Equipment
                            3,503,775    
        Computers & Peripherals – 0.2%
  1,250    
EMC Corporation, Convertible Bonds, 144A
    1.750%       12/01/11       A–       1,429,688    
  600    
EMC Corporation, Convertible Bonds, 144A
    1.750%       12/01/13       A–       687,750    
  150    
EMC Corporation, Convertible Bonds, 144A
    1.750%       12/01/13       A–       171,938    
  600    
Sandisk Corporation, Convertible Bond
    1.000%       5/15/13       BB–       414,750    
                                           
  2,600    
Total Computers & Peripherals
                            2,704,126    
                                           
                                           

30


 

                                           
Principal
                             
Amount (000)     Description (1)   Coupon     Maturity     Ratings (3)     Value  
        Construction & Engineering – 0.1%
$ 200    
Fluor Corporation, Convertible Bonds
    1.500%       2/15/24       A3     $ 666,250    
  250    
Quanta Services, Inc., Convertible Bonds
    4.500%       10/01/23       BB       750,000    
                                           
  450    
Total Construction & Engineering
                            1,416,250    
        Containers & Packaging – 0.0%
  350    
Sealed Air Corporation, 144A
    3.000%       6/30/33       BBB–       336,438    
        Diversified Financial Services – 0.1%
  250    
Leucadia National Corporation, Convertible Bonds
    3.750%       4/15/14       BB–       538,125    
  400    
NASDAQ Stock Market Inc., Convertible Bond
    2.500%       8/15/13       BB+       349,500    
                                           
  650    
Total Diversified Financial Services
                            887,625    
        Diversified Telecommunication Services – 0.1%
  600    
Qwest Communications International Inc., Convertible Bond
    3.500%       11/15/25       B+       593,250    
        Electric Utilities – 0.0%
  300    
Covanta Holding Corporation, Convertible Bonds
    1.000%       2/01/27       B1       319,875    
        Electrical Equipment – 0.0%
  450    
General Cable Corporation, Convertible Bonds
    1.000%       10/15/12       B+       446,625    
        Electronic Equipment & Instruments – 0.1%
  300    
Anixter International Inc., Convertible Bond
    0.000%       7/07/33       BB–       277,125    
  250    
Itron Inc. 
    2.500%       8/01/26       B–       406,563    
  300    
Tech Data Corporation, Convertible Bonds
    2.750%       12/15/26       BBB–       279,375    
  300    
Vishay Intertechnology Inc. 
    3.625%       8/01/23       B+       299,625    
                                           
  1,150    
Total Electronic Equipment & Instruments
                            1,262,688    
        Energy Equipment & Services – 1.0%
  250    
Cooper Cameron Corporation
    1.500%       5/15/24       BBB+       803,438    
  650    
Halliburton Company, Convertible Bond
    3.125%       7/15/23       A       1,844,375    
  1,250    
Nabors Industries Inc., Convertible Bond Series 144A
    0.940%       5/15/11       BBB+       1,543,750    
  350    
Nabors Industries Inc., Convertible Bond Series 144A
    0.940%       5/15/11       BBB+       432,250    
  200    
Schlumberger Limited
    2.125%       6/01/23       A+       540,750    
  250    
SESI LLC, Convertible Bond, 144A
    1.500%       12/15/26       BB       337,813    
  700    
Transocean Inc., Convertible Bond
    1.625%       12/15/37       BBB+       789,250    
  1,800    
Transocean Inc. 
    1.500%       12/15/37       BBB+       2,043,000    
  1,000    
Transocean Inc. 
    1.500%       12/15/37       BBB+       1,142,500    
                                           
  6,450    
Total Energy Equipment & Services
                            9,477,126    
        Food Products – 0.0%
  250    
Archer Daniels Midland Company, Convertible Bonds
    0.875%       2/15/14       A       252,813    
        Health Care Equipment & Supplies – 0.6%
  350    
Advanced Medical Optics
    2.500%       7/15/24       B–       319,813    
  550    
Advanced Medical Optics
    3.250%       8/01/26       B–       403,563    
  350    
American Medical Systems Holdings, Convertible Bond
    3.250%       7/01/36       B       343,000    
  350    
Beckman Coulter Inc., Convertible Bonds, 144A
    2.500%       12/15/36       BBB       388,938    
  1,100    
Hologic Inc. 
    2.000%       12/15/37       B+       935,000    
  350    
Kinetic Concepts Inc., Convertible Bond
    3.250%       4/15/15       B+       356,563    
  2,300    
Medtronic, Inc., Convertible Bond
    1.500%       4/15/11       AA–       2,455,250    
  250    
Medtronic, Inc. 
    1.500%       4/15/11       AA–       266,875    
  725    
Saint Jude Medical, Inc., Convertible Bonds
    1.220%       12/15/08       A–       721,375    
                                           
  6,325    
Total Health Care Equipment & Supplies
                            6,190,377    
        Health Care Providers & Services – 0.6%
  700    
Health Management Associates Inc. 
    1.500%       8/01/23       Baa3       700,875    
  400    
Laboratory Corporation of America Holdings
    0.000%       9/11/21       BBB–       384,000    
  250    
LifePoint Hospitals Inc., Convertible Bond
    3.250%       8/15/25       B       207,813    
  500    
LifePoint Hospitals, Inc., Convertible Bonds
    3.500%       5/15/14       B       428,125    
  6,350    
Omnicare, Inc. 
    3.250%       12/15/35       B+       4,778,375    
  225    
Saint Jude Medical, Inc., Convertible Bonds
    1.220%       12/15/08       A–       223,875    
                                           
  8,425    
Total Health Care Providers & Services
                            6,723,063    
                                           
                                           

31


 

 
     
     
   JPC
  Nuveen Multi-Strategy Income and Growth Fund (continued)
Portfolio of INVESTMENTS June 30, 2008 (Unaudited)

                                           
Principal
                             
Amount (000)     Description (1)   Coupon     Maturity     Ratings (3)     Value  
        Hotels, Restaurants & Leisure – 0.2%
$ 600    
Carnival Corporation
    2.000%       4/15/21       A–     $ 614,250    
  500    
International Game Technology
    2.600%       12/15/36       BBB       482,500    
  900    
Punch Taverns Corporation, Convertible Bonds
    5.000%       12/14/10       N/R       1,477,824    
                                           
  2,000    
Total Hotels, Restaurants & Leisure
                            2,574,574    
        Insurance – 0.2%
  2,750    
Prudential Financial Inc., Convertible Bond
    0.296%       12/12/36       A+       2,692,250    
        Internet & Catalog Retail – 0.1%
  150    
Priceline.com, Inc., Convertible Bonds
    0.500%       9/30/11       BB–       434,063    
  150    
Priceline.com, Inc., Convertible Bonds
    0.750%       9/30/13       BB–       429,563    
                                           
  300    
Total Internet & Catalog Retail
                            863,626    
        IT Services – 0.1%
  600    
Electronic Data Systems Corporation, Convertible Bonds
    3.875%       7/15/23       BBB–       601,500    
                                           
        Leisure Equipment & Products – 0.0%
  300    
Eastman Kodak Company
    3.375%       10/15/33       B       284,250    
                                           
        Life Sciences Tools & Services – 0.1%
  250    
Apogent Technologies, Inc., Convertible Bonds
    1.564%       12/15/33       BBB+       481,483    
  200    
Charles River Laboratories International, Inc. 
    2.250%       6/15/13       BB+       285,000    
  150    
Fisher Scientific International, Inc., Convertible Bonds
    2.500%       10/01/23       BBB+       357,375    
                                           
  600    
Total Life Sciences Tools & Services
                            1,123,858    
        Machinery – 0.1%
  600    
Danaher Corporation, Convertible Bonds
    0.000%       1/22/21       A+       684,750    
  500    
Trinity Industries Inc., Convertible Bonds
    3.875%       6/01/36       Ba2       480,000    
                                           
  1,100    
Total Machinery
                            1,164,750    
        Media – 0.7%
  200    
ELF Special Financing Limited, Convertible Bonds, 144A
    6.308%       6/15/09       Ba3       215,146    
  400    
ELF Special Financing Limited, Convertible Bonds, 144A
    3.164%       6/15/09       Ba3       392,952    
  1,050    
Getty Images, Inc., Convertible Bonds
    0.500%       6/09/23       Ba2       1,055,250    
  300    
Hasbro Inc. 
    2.750%       12/01/21       BBB       498,375    
  250    
Interpublic Group Companies Inc., Convertible Notes
    4.750%       3/15/23       Ba3       257,500    
  300    
Interpublic Group Companies Inc., Convertible Notes
    4.250%       3/15/23       Ba3       305,250    
  650    
Liberty Media Corporation, Senior Debentures, Exchangeable for Class B Viacom Common Stock
    3.250%       3/15/31       BB+       419,250    
  750    
Liberty Media Corporation, Senior Debentures, Exchangeable for PCS Common Stock, Series 1
    4.000%       11/15/29       BB+       417,188    
  1,200    
Liberty Media Corporation
    0.750%       3/30/23       BB+       1,257,000    
  750    
Omnicom Group, Inc. 
    0.000%       7/31/32       A–       757,500    
  550    
Omnicom Group, Inc. 
    0.000%       7/01/38       A–       574,750    
  850    
Omnicom Group, Inc. 
    0.000%       2/07/31       A–       846,813    
  250    
Sinclair Broadcast Group, Inc., Convertible Bonds
    3.000%       5/15/27       B       230,625    
                                           
  7,500    
Total Media
                            7,227,599    
        Metals & Mining – 0.2%
  2,000    
Gold Reserve, Inc., Convertible Bonds
    5.500%       6/15/22       N/R       1,120,000    
  650    
Newmont Mining Corporation
    1.625%       7/15/17       BBB+       840,125    
                                           
  2,650    
Total Metals & Mining
                            1,960,125    
        Multiline Retail – 0.0%
  250    
Saks, Inc., Convertible Bonds
    2.000%       3/15/24       BB–       265,938    
        Oil, Gas & Consumable Fuels – 0.7%
  150    
Alpha Natural Resouces Inc., Convertible Bond
    2.375%       4/15/15       B       312,000    
  800    
Chesapeake Energy Corporation, 144A
    2.750%       11/15/35       BB       1,442,000    
  850    
Chesapeake Energy Corporation, Convertible Bonds
    2.500%       5/15/37       BB       1,511,938    
  450    
Chesapeake Energy Corporation, Convertible Bonds
    2.250%       12/15/38       BB       519,188    
  500    
Devon Energy Corporation
    4.900%       8/15/08       BBB+       931,250    
  600    
Peabody Energy Corp., Convertible Bond
    4.750%       12/15/66       Ba3       993,750    
  350    
Pioneer Natural Resouces Company, Convertible Bond
    2.875%       1/15/38       BB+       546,438    
  1,075    
USEC Inc., Convertible Bond
    3.000%       10/01/14       CCC       808,938    
                                           
  4,775    
Total Oil, Gas & Consumable Fuels
                            7,065,502    
                                           
                                           

32


 

                                           
Principal
                             
Amount (000)     Description (1)   Coupon     Maturity     Ratings (3)     Value  
        Pharmaceuticals – 0.5%
$ 350    
Allergan Inc., Convertible Bond
    1.500%       4/01/26       A     $ 370,563    
  750    
Bristol-Myers Squibb Company, Convertible Bond
    2.314%       9/15/23       A+       749,535    
  650    
Myland Labs, Inc., Convertible Bonds
    1.250%       3/15/12       B+       547,625    
  900    
Teva Pharmaceutical Finance Company B.V., Series D
    1.750%       2/01/26       BBB+       1,004,625    
  500    
Teva Pharmaceutical Finance, Series A
    0.500%       2/01/24       BBB+       613,750    
  700    
Teva Pharmaceutical Finance, Series B
    0.250%       2/01/24       BBB+       938,000    
  550    
Watson Pharmaceuticals Inc., Convertible Bond
    1.750%       3/15/23       BB+       526,625    
  1,100    
Wyeth, Convertible Bond
    3.581%       1/15/24       A+       1,128,820    
                                           
  5,500    
Total Pharmaceuticals
                            5,879,543    
        Real Estate – 0.8%
  1,050    
Boston Properties Limited Partnership, Convertible Bonds, 144A
    2.875%       2/15/37       A–       973,875    
  250    
Brandywine Operating Partnership, Convertible Bonds
    3.875%       10/15/26       BBB–       219,375    
  550    
BRE Properties Inc., Convertible Bond
    4.125%       8/15/26       BBB       519,750    
  500    
Developers Diversified Realty Corporation, Convertible Bonds
    3.000%       3/15/12       N/R       439,375    
  500    
Duke Realty Corporation, Series D
    3.750%       12/01/11       BBB+       451,250    
  350    
Health Care REIT, Inc., Convertible Bonds
    4.750%       12/01/26       Baa2       374,063    
  550    
Hospitality Properties Trust, Convertible Bonds
    3.800%       3/15/27       BBB       460,625    
  300    
Host Marriot LP, Convertible Bonds, 144A
    3.250%       4/15/24       Ba1       306,750    
  1,300    
Prologis, Convertible Bonds, 144A
    2.250%       4/01/37       BBB+       1,194,375    
  900    
Prologis, Convertible Bonds, 144A
    1.875%       11/15/37       BBB+       783,000    
  1,600    
Vornado Realty Trust, Convertible Bonds
    2.850%       4/01/27       BBB       1,422,000    
  600    
Vornado Realty, Convertible Bond
    3.875%       4/15/25       BBB       681,000    
  650    
Weingarten Realty Investment Trust, Convertible Bonds
    3.950%       8/01/26       BBB+       601,250    
                                           
  9,100    
Total Real Estate
                            8,426,688    
        Road & Rail – 0.0%
  150    
CSX Corporation
    0.000%       10/30/21       BBB–       334,875    
        Semiconductors & Equipment – 0.6%
  1,000    
Advanced Micro Devices, Inc., Convertible Bonds
    5.750%       8/15/12       B       741,250    
  150    
Advanced Micro Devices, Inc., Convertible Bonds
    5.750%       8/15/12       B       111,188    
  1,000    
Advanced Micro Devices, Inc., Convertible Bonds
    6.000%       5/01/15       B       635,000    
  400    
Advanced Micro Devices, Inc., Convertible Bonds
    6.000%       5/01/15       B       254,000    
  1,300    
Intel Corporation, Convertible Bond
    2.950%       12/15/35       A–       1,272,375    
  1,450    
Micron Technology, Inc. 
    1.875%       6/01/14       BB–       1,029,500    
  400    
ON Semiconductor Corporation
    2.625%       12/15/26       B+       439,500    
  2,500    
Qimonda Finance LLC, Convertible Bond
    6.750%       3/22/13       N/R       1,809,375    
  300    
Xilinx Inc., Convertible Bond, 144A
    3.125%       3/15/37       BB       285,000    
                                           
  8,500    
Total Semiconductors & Equipment
                            6,577,188    
        Software – 0.1%
  350    
Amdocs Limited
    0.500%       3/15/24       BBB       344,750    
  250    
Computer Associates International Inc., Convertible Bond, Series 144A
    1.625%       12/15/09       BB+       312,188    
  300    
Red Hat Inc., Convertible Bond
    0.500%       1/15/24       BB–       305,250    
                                           
  900    
Total Software
                            962,188    
        Specialty Retail – 0.1%
  400    
Best Buy Co., Inc. 
    2.250%       1/15/22       BBB–       419,000    
  350    
Charming Shoppes Inc., Convertible Bond
    1.125%       5/01/14       B–       213,938    
  500    
TJX Companies, Inc. 
    0.000%       2/13/21       A–       529,375    
  200    
United Auto Group, Inc., Convertible Bonds
    3.500%       4/01/26       B+       186,500    
                                           
  1,450    
Total Specialty Retail
                            1,348,813    
        Textiles, Apparel & Luxury Goods – 0.0%
  300    
Iconix Brand Group, Inc., Convertible Notes
    1.875%       6/30/12       B       229,500    
        Thrifts & Mortgage Finance – 0.1%
  1,000    
Countrywide Financial Corporation, Convertible Bonds, 144A
    0.000%       4/15/37       Baa3       968,750    
                                           
                                           

33


 

 
     
     
   JPC
  Nuveen Multi-Strategy Income and Growth Fund (continued)
Portfolio of INVESTMENTS June 30, 2008 (Unaudited)

                                           
Principal
                             
Amount (000)     Description (1)   Coupon     Maturity     Ratings (3)     Value  
        Wireless Telecommunication Services – 0.2%
$ 300    
American Tower Corporation
    3.000%       8/15/12       BB+     $ 626,250    
  650    
Liberty Media Corporation Convertible Bonds
    3.750%       2/15/30       BB+       335,563    
  750    
Nextel Communications, Inc., Convertible Senior Notes
    5.250%       1/15/10       Baa3       727,500    
                                           
  1,700    
Total Wireless Telecommunication Services
                            1,689,313    
                                           
$ 96,660    
Total Convertible Bonds (cost $98,892,472)
                            98,479,407    
                                           
                                                     
Principal
                                   
Amount (000)     Description (1)         Coupon     Maturity     Ratings (3)     Value   
        Corporate Bonds – 9.6% (5.7% of Total Investments)
        Aerospace & Defense – 0.1%
$ 1,000    
Hexcel Corporation, Term Loan
            6.750%       2/01/15       B+       $ 977,500    
                                                     
        Chemicals – 0.2%
  1,000    
Momentive Performance Materials
            9.750%       12/01/14       B         860,000    
  1,500    
Rockwood Specialties Group Inc., Series WI
            7.500%       11/15/14       BB–         1,481,250    
                                                     
  2,500    
Total Chemicals
                                      2,341,250    
        Containers & Packaging – 0.4%
  2,000    
Owens-Brockway Glass Containers, Guaranteed Senior Note
            8.250%       5/15/13       BB         2,060,000    
  2,000    
Owens-Illinois Inc. 
            7.800%       5/15/18       B+         2,040,000    
                                                     
  4,000    
Total Containers & Packaging
                                      4,100,000    
        Electric Utilities – 0.1%
  1,000    
Sierra Pacific Resources, Series 2006
            6.750%       8/15/17       BB         976,615    
        Energy Equipment & Services – 0.1%
  1,500    
Pride International Inc. 
            7.375%       7/15/14       BB+         1,503,750    
        Food & Staples Retailing – 0.2%
  2,000    
Stater Brothers Holdings Inc. 
            8.125%       6/15/12       B+         2,020,000    
        Food Products – 0.2%
  2,243    
Dole Foods Company
            8.750%       7/15/13       B–         1,985,055    
        Health Care Providers & Services – 0.8%
  500    
Biomet Inc. 
            10.000%       10/15/17       N/R         536,250    
  3,000    
Community Health Systems, Inc. 
            8.875%       7/15/15       B         3,033,750    
  1,700    
HCA Inc. 
            9.125%       11/15/14       BB–         1,742,500    
  700    
HCA Inc. 
            9.250%       11/15/16       BB–         722,750    
  2,500    
US Oncology Inc. 
            10.750%       8/15/14       B3         2,493,750    
                                                     
  8,400    
Total Health Care Providers & Services
                                      8,529,000    
        Hotels, Restaurants & Leisure – 1.3%
  2,000    
Boyd Gaming Corporation
            7.750%       12/15/12       BB         1,735,000    
  1,400    
Jacobs Entertainment Inc. 
            9.750%       6/15/14       B         1,057,000    
  2,000    
Landry’s Restaurants Inc. 
            9.500%       12/15/14       B3         1,970,000    
  1,600    
Park Place Entertainment
            8.125%       5/15/11       B–         1,288,000    
  2,000    
Pinnacle Entertainment Inc. 
            8.250%       3/15/12       B+         1,975,000    
  750    
Pinnacle Entertainment Inc. 
            8.750%       10/01/13       B+         753,750    
  1,750    
Seminole Hard Rock Entertainment, Inc. 
            5.177%       3/15/14       BB         1,478,750    
  4,000    
Universal City Development Partners
            11.750%       4/01/10       B+         4,120,000    
                                                     
  15,500    
Total Hotels, Restaurants & Leisure
                                      14,377,500    
        Household Products – 0.1%
  1,650    
Central Garden & Pet Company, Senior Subordinate Notes
            9.125%       2/01/13       CCC+         1,443,750    
        Independent Power Producers & Energy Traders – 0.1%
  500    
Mirant North America LLC
            7.375%       12/31/13       B1         498,125    
  400    
NRG Energy Inc. 
            7.250%       2/01/14       B1         383,000    
  400    
NRG Energy Inc. 
            7.375%       2/01/16       B1         377,500    
                                                     
  1,300    
Total Independent Power Producers & Energy Traders
                                      1,258,625    
                                                     
                                                     

34


 

                                                     
Principal
                                   
Amount (000)     Description (1)         Coupon     Maturity     Ratings (3)     Value   
        IT Services – 0.9%
$ 3,500    
First Data Corporation
            9.875%       9/24/15       B       $ 3,049,375    
  1,625    
Global Cash Access LLC
            8.750%       3/15/12       B         1,604,688    
  4,750    
Sungard Data Systems Inc. 
            9.125%       8/15/13       B+         4,821,250    
                                                     
  9,875    
Total IT Services
                                      9,475,313    
        Machinery – 0.2%
  2,000    
Greenbrier Companies, Inc. 
            8.375%       5/15/15       B         1,915,000    
        Media – 1.3%
  4,000    
Allbritton Communications Company, Series B
            7.750%       12/15/12       B+         3,910,000    
  1,000    
Cablevision Systems Corporation, Series B
            8.125%       8/15/09       BB         1,010,000    
  5,000    
Cablevision Systems Corporation
            7.250%       7/15/08       BB         5,012,500    
  1,975    
Medianews Group Inc. 
            6.375%       4/01/14       Caa2         819,625    
  4,000    
R.H. Donnelley Corporation
            8.875%       10/15/17       B–         2,400,000    
  2,000    
Young Broadcasting Inc., Senior Subordinated Note
            10.000%       3/01/11       Caa2         1,130,000    
                                                     
  17,975    
Total Media
                                      14,282,125    
        Metals & Mining – 0.3%
  3,700    
MagIndustries Corporation,
            11.000%       12/14/12       N/R         3,440,134    
        Multi-Utilities – 0.1%
  1,600    
Dynegy Holdings, Inc., Term Loan
            8.375%       5/01/16       B         1,560,000    
        Oil, Gas & Consumable Fuels – 0.8%
  2,400    
Baytex Energy Ltd
            9.625%       7/15/10       B         2,460,000    
  400    
Chaparral Energy Inc. 
            8.500%       12/01/15       B–         349,000    
  2,345    
Chesapeake Energy Corporation
            7.750%       1/15/15       BB         2,444,663    
  1,000    
Hilcorp Energy I LP/Hilcorp Finance Company, Series 144A
            7.750%       11/01/15       BB–         965,000    
  2,000    
SemGroup LP, 144A
            8.750%       11/15/15       B1         1,950,000    
  1,000    
Whiting Petroleum Corporation
            7.000%       2/01/14       BB–         986,250    
                                                     
  9,145    
Total Oil, Gas & Consumable Fuels
                                      9,154,913    
        Paper & Forest Products – 0.6%
  5,000    
Georgia-Pacific Corporation
            8.125%       5/15/11       B+         4,962,500    
  2,000    
Georgia-Pacific Corporation
            7.700%       6/15/15       B+         1,900,000    
                                                     
  7,000    
Total Paper & Forest Products
                                      6,862,500    
        Personal Products – 0.1%
  1,500    
Prestige Brands Inc. 
            9.250%       4/15/12       B–         1,507,500    
        Real Estate – 0.4%
  3,000    
Felcor Lodging Trust Inc., 144A
            4.803%       12/01/11       Ba3         2,715,000    
  1,000    
Trustreet Properties, Inc. 
            7.500%       4/01/15       AAA         1,067,628    
  500    
Ventas Realty LP, Series WI
            7.125%       6/01/15       BBB–         490,625    
                                                     
  4,500    
Total Real Estate
                                      4,273,253    
        Semiconductors & Equipment – 0.3%
  1,600    
Avago Technologies Finance Pte Limited
            10.125%       12/01/13       BB–         1,704,000    
  2,000    
NXP BV
            5.463%       10/15/13       BB–         1,767,500    
                                                     
  3,600    
Total Semiconductors & Equipment
                                      3,471,500    
        Software – 0.3%
  3,250    
Telcorida Technologies, Inc., (11) 
            6.564%       7/15/12       B         2,819,375    
        Specialty Retail – 0.3%
  3,000    
Warnaco Inc., Senior Notes
            8.875%       6/15/13       BB         3,127,500    
        Textiles, Apparel & Luxury Goods – 0.3%
  3,000    
Jostens IH Corporation
            7.625%       10/01/12       B+         2,962,500    
        Wireless Telecommunication Services – 0.1%
  1,500    
IPCS, Inc. 
            4.975%       5/01/13       B1         1,357,500    
                                                     
$ 112,738    
Total Corporate Bonds (cost $113,825,958)
                                      105,722,158    
                                                     

35


 

 
     
     
   JPC
  Nuveen Multi-Strategy Income and Growth Fund (continued)
Portfolio of INVESTMENTS June 30, 2008 (Unaudited)

 
                                           
Principal
                             
Amount (000)/
                             
Shares     Description (1)   Coupon     Maturity     Ratings (3)     Value   
        Capital Preferred Securities – 27.2% (16.3% of Total Investments)
        Capital Markets – 2.7%
  6,100    
C.A. Preferred Funding Trust
    7.000%       1/30/49       A1     $ 5,696,516    
  10,700    
Dresdner Funding Trust I, 144A
    8.151%       6/30/31       A1       8,949,469    
  4,070    
JPM Chase Capital XXV
    6.800%       10/01/37       Aa3       3,663,989    
  1,600    
Kleinwort Benson Group PLC
    3.392%       12/31/99       N/R       999,306    
  1,600    
MUFG Capital Finance
    4.850%       7/25/56       BBB+       1,939,119    
  8,000    
UBS Preferred Funding Trust I
    8.622%       10/29/49       Aa3       8,042,760    
                                           
       
Total Capital Markets
                            29,291,159    
        Commercial Banks – 15.2%
  3,000    
AB Svensk Exportkredit, 144A
    6.375%       10/27/49       AA–       2,991,042    
  9,050    
Abbey National Capital Trust I
    8.963%       6/30/50       A+       9,937,144    
  2,155    
AgFirst Farm Credit Bank
    8.393%       12/15/16       A       2,111,734    
  6,500    
AgFirst Farm Credit Bank
    7.300%       12/15/53       A       6,026,696    
  3,000    
Bank One Capital III
    8.750%       9/01/30       Aa3       3,312,045    
  2,000    
BanPonce Trust I, Series A
    8.327%       2/01/27       Baa1       1,909,414    
  13,030    
Barclays Bank PLC, 144A
    8.550%       6/15/49       Aa3       12,671,675    
  1,500    
Barclays Bank PLC
    7.434%       12/15/57       Aa3       1,409,283    
  1,500    
BBVA International Preferred S.A., Unipersonal
    5.919%       4/18/58       Aa3       1,227,129    
  4,000    
BNP Paribas
    7.195%       12/25/57       AA–       3,627,332    
  700    
Capital One Capital IV Corporation
    6.745%       2/17/37       Baa1       524,369    
  3,000    
Centura Capital Trust I, 144A
    8.845%       6/01/27       A2       3,065,412    
  3,500    
Credit Agricole SA
    6.637%       5/29/49       Aa3       2,919,371    
  1,500    
DBS Capital Funding Corporation, 144A
    7.657%       3/15/49       Aa3       1,517,528    
  6,200    
First Empire Capital Trust I
    8.234%       2/01/27       A3       6,185,306    
  2,000    
First Midwest Bancorp Inc. 
    6.950%       12/01/33       Baa1       1,580,068    
  800    
HBOS Capital Funding LP, Notes
    6.850%       3/23/49       A1       645,266    
  13,400    
HBOS PLC, Series 144A
    6.413%       4/01/49       A1       9,385,628    
  3,000    
HBOS PLC, Series 144A
    6.657%       11/21/57       A1       2,107,437    
  2,400    
HSBC Capital Funding LP, 144A
    9.547%       12/31/49       A1       2,505,247    
  5,750    
HSBC Capital Funding LP, Debt
    10.176%       6/30/50       A1       7,071,385    
  11,000    
KBC Bank Fund Trust III, 144A
    9.860%       5/02/50       A1       11,606,067    
  1,800    
Lloyds TSB Bank PLC, Subordinated Note
    6.900%       11/22/49       Aa2       1,666,885    
  11,500    
Mizuho Financial Group
    8.375%       4/27/49       Aa3       11,524,921    
  8,000    
North Fork Capital Trust II
    8.000%       12/15/27       Baa1       7,055,072    
  4,500    
Northgroup Preferred Capital Corporation, 144A
    6.378%       10/15/57       A1       3,101,891    
  600    
Reliance Capital Trust I, Series B
    8.170%       5/01/28       N/R       502,439    
  2,000    
Royal Bank of Scotland Group PLC, Series U
    7.640%       3/31/49       A1       1,831,576    
  2,500    
Shinsei Finance II Cayman Limited, Perpetual Maturity, 144A
    7.160%       7/25/49       Baa2       1,765,625    
  8,000    
Sparebanken Rogaland, Notes, 144A
    6.443%       5/01/49       A2       7,930,008    
  4,000    
Standard Chartered PLC, 144A
    7.014%       1/30/58       BBB+       3,454,716    
  9,450    
Swedbank ForeningsSparbanken AB, 144A
    9.000%       9/17/50       A1       9,585,362    
  4,000    
Unicredito Italiano Capital Trust, 144A
    9.200%       4/05/51       A1       4,103,412    
  800    
Union Bank of Norway
    7.068%       11/19/49       A       1,210,942    
  — (8 )  
Union Planters Preferred Fund, 144A
    7.750%       7/15/53       A3       18,215,625    
                                           
       
Total Commercial Banks
                            166,285,052    
        Diversified Financial Services – 0.4%
  3,100    
Fulton Capital Trust I
    6.290%       2/01/36       A3       2,149,230    
  2,800    
Old Mutual Capital Funding, Notes
    8.000%       6/22/53       Baa2       2,666,999    
                                           
       
Total Diversified Financial Services
                            4,816,229    
        Diversified Telecommunication Services – 0.9%
  10    
Centaur Funding Corporation, Series B, 144A
    9.080%       4/21/20       BBB       9,848,095    
        Insurance – 6.5%
  1,000    
AMBAC Financial Group Inc. 
    6.150%       2/15/87       BBB+       160,621    
  2,300    
American General Capital II
    8.500%       7/01/30       A1       2,386,994    
  11,000    
American International Group
    8.175%       5/15/58       A1       10,379,852    
  6,400    
AXA S.A., 144A
    6.463%       12/14/49       BBB+       5,128,831    
  8,000    
Great West Life & Annuity Capital I
    6.625%       11/15/34       A–       6,273,967    
  2,000    
Hartford Financial Services Group Inc. 
    8.125%       6/15/68       AAA       1,949,763    
  2,000    
Liberty Mutual Group
    7.800%       3/15/37       Baa3       1,600,629    

36


 

                                           
Principal
                             
Amount (000)/
                             
Shares     Description (1)   Coupon     Maturity     Ratings (3)     Value   
        Insurance (continued)
                                           
  4,000    
MetLife Capital Trust X
    9.250%       4/08/68       BBB+     $ 4,318,671    
  1,150    
Nationwide Financial Services Capital Trust
    7.899%       3/01/37       Baa1       1,019,532    
  6,500    
Nationwide Financial Services Inc. 
    6.750%       5/15/67       Baa1       5,162,358    
  5,500    
Oil Insurance Limited, 144A
    7.558%       12/30/49       Baa1       4,695,168    
  7,600    
Progressive Corporation
    6.700%       6/15/37       A2       6,674,965    
  3,000    
Prudential Financial Inc. 
    8.875%       6/15/38       A–       3,004,046    
  1,100    
Prudential PLC
    6.500%       6/29/49       A       938,795    
  9,900    
QBE Capital Funding Trust II, 144A
    6.797%       6/01/49       BBB       8,312,425    
  14,600    
XL Capital, Limited
    6.500%       10/15/57       BBB       9,869,687    
                                           
       
Total Insurance
                            71,876,304    
        Real Estate – 0.2%
  8,000    
CBG Florida REIT Corporation
    7.114%       11/15/49       BB+       2,173,888    
        Road & Rail – 0.5%
  6,400    
Burlington Northern Santa Fe Funding Trust I
    6.613%       12/15/55       BBB       5,803,034    
        Thrifts & Mortgage Finance – 0.8%
  14,200    
Washington Mutual Preferred Funding Cayman, Series A-1, 144A
    7.250%       3/15/49       BB+       8,030,511    
  1,500    
Washington Mutual Preferred Funding Trust II
    6.665%       3/15/57       BB+       811,105    
                                           
       
Total Thrifts & Mortgage Finance
                            8,841,616    
                                           
       
Total Capital Preferred Securities (cost $366,893,366)
                            298,935,377    
                                           
Shares     Description (1)                     Value   
        Investment Companies – 2.5% (1.5% of Total Investments)
  65,094    
Blackrock Preferred and Corporate Income Strategies Fund
                          $ 994,635    
  504,716    
Blackrock Preferred Income Strategies Fund
                            7,681,777    
  59,226    
Blackrock Preferred Opportunity Trust
                            1,039,415    
  542,663    
Flaherty and Crumrine/Claymore Preferred Securities Income Fund Inc. 
                            7,564,721    
  1,797    
Flaherty and Crumrine/Claymore Total Return Fund Inc. 
                            1,225,318    
  50,586    
John Hancock Preferred Income Fund
                            957,592    
  52,411    
John Hancock Preferred Income Fund II
                            980,085    
  388,926    
John Hancock Preferred Income Fund III
                            6,483,395    
                                           
       
Total Investment Companies (cost $35,729,339)
                            26,926,938    
                                           
Principal
                             
Amount (000)     Description (1)   Coupon     Maturity           Value   
        Short-Term Investments – 8.0% (4.7% of Total Investments)
$ 44,090    
Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/08, repurchase price $44,092,083, collateralized by $34,710,000 U.S. Treasury Bonds, 6.250%, due 8/25/23, value $42,129,263, $1,210,000 U.S. Treasury Bonds, 6.625%, due 2/15/27, value $1,547,288 and $1,200,000 U.S. Treasury Notes, 5.000%, due 8/15/11, value $1,296,000
    1.350%       7/01/08             $ 44,090,430    
  43,318    
Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/08, repurchase price $43,320,045, collateralized by $1,925,000 U.S. Treasury Notes, 5.000%, due 8/15/11, value $2,079,000, $805,000 U.S. Treasury Notes, 4.875%, due 5/15/09, value $827,138, $33,265,000 U.S. Treasury Notes, 4.750%, due 12/31/08, value $33,639,231, $4,065,000 U.S. Treasury Notes, 4.750%, due 2/15/10, value $4,278,413 and $3,275,000 U.S. Treasury Notes, 4.500%, due 3/31/09, value $3,365,063
    1.350%       7/01/08               43,318,421    
                                           
$ 87,408    
Total Short-Term Investments (cost $87,408,851)
                            87,408,851    
                                           
       
Total Investments (cost $2,067,225,278) – 168.0%
                            1,844,235,167    
                                           
Shares     Description (1)                     Value   
        Common Stocks Sold Short – (0.8)%
        Chemicals – (0.1)%
  (21,200 )  
Sigma-Aldrich Corporation
                          $ (1,141,832 )  
                                           
        Computers & Peripherals – (0.1)%
  (4,600 )  
Apple, Inc., (2)
                            (770,224 )  
                                           
                                           

37


 

 
     
     
   JPC
  Nuveen Multi-Strategy Income and Growth Fund (continued)
Portfolio of INVESTMENTS June 30, 2008 (Unaudited)

                                           
Shares     Description (1)                     Value   
        Health Care Equipment & Supplies – (0.2)%
  (9,200 )  
C. R. Bard, Inc. 
                          $ (809,140 )  
  (6,000 )  
Chattem Inc., (2)
                            (390,300 )  
                                           
       
Total Health Care Equipment & Supplies
                            (1,199,440 )  
                                           
        Hotels, Restaurants & Leisure – (0.0)%
  (12,400 )  
Tim Hortons Inc. 
                            (355,756 )  
        Internet Software & Services – (0.1)%
  (15,140 )  
Bankrate Inc., (2)
                            (591,520 )  
        Pharmaceuticals – (0.2)%
  (32,000 )  
Abbott Laboratories
                            (1,695,897 )  
  (19,800 )  
Allergan, Inc. 
                            (1,030,590 )  
                                           
       
Total Pharmaceuticals
                            (2,726,487 )  
        Specialty Retail – (0.1)%
  (8,600 )  
AutoZone, Inc., (2)
                            (1,040,686 )  
  (14,100 )  
Urban Outfitters, Inc., (2)
                            (439,779 )  
                                           
       
Total Specialty Retail
                            (1,480,465 )  
                                           
       
Total Common Stocks Sold Short (proceeds $9,112,809)
                            (8,265,724 )  
                                           
Number of
        Notional
    Expiration
    Strike
       
Contracts     Type   Amount (9)     Date     Price     Value   
        Call Options Written – (1.0)%
  (2,445 )  
Allied Waste Industries
  $ (2,445,000 )     1/17/09     $ 10.0     $ (806,850 )  
  (833 )  
Allied Waste Industries
    (1,041,250 )     1/17/09       12.5       (116,620 )  
  (376 )  
Ameren Corporation
    (1,692,000 )     12/20/08       45.0       (46,060 )  
  (249 )  
Amgen, Inc.
    (1,245,000 )     1/17/09       50.0       (77,190 )  
  (446 )  
Amgen, Inc.
    (2,453,000 )     1/17/09       55.0       (67,569 )  
  (981 )  
AngloGold Limited
    (3,924,000 )     1/17/09       40.0       (191,295 )  
  (155 )  
Arch Coal Inc.
    (852,500 )     1/17/09       55.0       (379,750 )  
  (560 )  
AstraZeneca Group
    (2,520,000 )     7/19/08       45.0       (18,200 )  
  (734 )  
AstraZeneca Group
    (3,670,000 )     1/17/09       50.0       (80,740 )  
  (1,980 )  
Barrick Gold Corporation
    (9,900,000 )     1/17/09       50.0       (811,800 )  
  (2,315 )  
BJ Services Company
    (5,208,750 )     1/17/09       22.5       (2,384,450 )  
  (2,164 )  
AbitibiBowater, Inc.
    (2,705,000 )     1/17/09       12.5       (232,630 )  
  (910 )  
BP Amoco, PLC
    (6,370,000 )     1/17/09       70.0       (473,200 )  
  (600 )  
eBay, Inc.
    (1,800,000 )     1/17/09       30.0       (127,800 )  
  (1,000 )  
Electronic Data Systems Corporation
    (2,000,000 )     1/17/09       20.0       (505,000 )  
  (1,012 )  
Gold Fields Limited
    (1,771,000 )     7/19/08       17.5       (5,060 )  
  (300 )  
Health Net Inc.
    (900,000 )     10/18/08       30.0       (19,500 )  
  (370 )  
IdaCorp Inc.
    (1,110,000 )     11/22/08       30.0       (37,000 )  
  (1,260 )  
Ivanhoe Mines Ltd.
    (1,575,000 )     1/17/09       12.5       (204,750 )  
  (375 )  
KT Corporation
    (937,500 )     7/19/08       25.0       (7,500 )  
  (1,700 )  
LM Ericsson Telephone Company
    (1,921,000 )     1/17/09       11.3       (170,000 )  
  (460 )  
Microsoft Corporation
    (1,380,000 )     1/17/09       30.0       (65,550 )  
  (1,823 )  
Newmont Mining Corporation
    (9,115,000 )     1/17/09       50.0       (1,285,215 )  
  (601 )  
Nexen Inc.
    (1,803,000 )     1/17/09       30.0       (679,130 )  
  (2,516 )  
Nippon Telegraph & Telephone Corporation
    (6,290,000 )     12/20/08       25.0       (371,110 )  
  (411 )  
Progress Energy, Inc.
    (1,644,000 )     1/17/09       40.0       (124,328 )  
  (615 )  
Royal Dutch Shell PLC
    (4,305,000 )     7/19/08       70.0       (627,300 )  
  (400 )  
Sanofi-Aventis
    (1,700,000 )     9/20/08       42.5       (3,000 )  
  (610 )  
Scholastic Corporation
    (1,830,000 )     9/20/08       30.0       (79,300 )  
  (1,335 )  
Smithfield Foods, Inc.
    (4,005,000 )     1/17/09       30.0       (46,725 )  
  (450 )  
Tech Data Corporation
    (1,800,000 )     1/17/09       40.0       (40,500 )  
  (106 )  
Technip S.A.
    (636,000 )     12/20/08       60.0       (101,637 )  
  (3,608 )  
Tyson Foods, Inc.
    (5,412,000 )     1/17/09       15.0       (685,520 )  
  (1,203 )  
Tyson Foods, Inc.
    (2,105,250 )     1/17/09       17.5       (117,293 )  
  (380 )  
UBS AG
    (1,140,000 )     1/17/09       30.0       (25,650 )  
  (405 )  
UBS AG
    (1,620,000 )     1/17/09       40.0       (4,050 )  
                                           
  (35,688 )  
Total Call Options Written (premiums received $(10,461,853))
    (100,826,250 )                     (11,019,271 )  
                                           

38


 

                                           
                                           
       
Borrowings Payable – (41.0)% (12), (13)
  $ (450,000,000 )  
                                           
       
Other Assets Less Liabilities – (1.7)%
    (19,407,679 )  
                                           
       
FundPreferred Shares, at Liquidation Value – (23.5)% (12)
    (258,000,000 )  
                                           
       
Net Assets Applicable to Common Shares – 100%
  $ 1,097,542,493    
                                           
 
Interest Rate Swaps outstanding at June 30, 2008:
 
                                                           
          Fund
                Fixed Rate
          Unrealized
 
    Notional
    Pay/Receive
    Floating Rate
    Fixed Rate
    Payment
    Termination
    Appreciation
 
Counterparty   Amount     Floating Rate     Index     (Annualized)     Frequency     Date     (Depreciation)  
Morgan Stanley
  $ 71,000,000       Receive       1-Month USD-LIBOR       3.406 %     Monthly       1/22/09     $ (138,013 )  
                                                           
USD-LIBOR (United States Dollar-London Inter-Bank Offered Rate)
 
     
(1)
  All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted.
(2)
  Non-income producing.
(3)
  Ratings: Using the higher of Standard & Poor’s Group (“Standard & Poor’s”) or Moody’s Investor Service, Inc. (“Moody’s”) rating. Ratings below BBB by Standard & Poor’s or Baa by Moody’s are considered to be below investment grade.
(4)
  Senior Loans generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a Borrower to prepay, prepayments of Senior Loans may occur. As a result, the actual remaining maturity of Senior Loans held may be substantially less than the stated maturities shown.
(5)
  Senior Loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate plus an assigned fixed rate. These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate (“LIBOR”), or (ii) the prime rate offered by one or more major United States banks.
    Senior Loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the Agent Bank and/or Borrower prior to the disposition of a Senior Loan.
(6)
  Position or portion of position represents an unfunded Senior Loan commitment outstanding at June 30, 2008.
(7)
  Negative value represents unrealized depreciation on unfunded Senior Loan commitment outstanding at June 30, 2008.
(8)
  Principal Amount (000) rounds to less than $1,000.
(9)
  For disclosure purposes, Notional Amount is calculated by multiplying the Number of Contracts by the Strike Price by 100.
(10)
  Portion of investments, with an aggregate market value of $98,148,478, has been pledged to collateralize the net payment obligations under call options written.
(11)
  Portion of investment, with an aggregate market value of $303,625, has been pledged to collateralize the net payment obligations under interest rate swap contracts.
(12)
  Borrowings and FundPreferred Shares, at Liquidation Value as a percentage of total investments are (24.4)% and (14.0)%, respectively.
(13)
  The Fund may pledge up to 100% of its eligible securities in the Portfolio of Investments as collateral for Borrowings.
N/R
  Not rated.
WI/DD
  Purchased on a when-issued or delayed delivery basis.
144A
  Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration which are normally those transactions with qualified institutional buyers.
ADR
  American Depositary Receipt.
CORTS
  Corporate Backed Trust Securities.
PPLUS
  PreferredPlus Trust.
SATURNS
  Structured Asset Trust Unit Repackaging.
TBD
  Senior Loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, Senior Loans typically trade without accrued interest and therefore a weighted average coupon rate is not available prior to settlement. At settlement, if still unknown, the Borrower or counterparty will provide the Fund with the final weighted average coupon rate and maturity date.
See accompanying notes to financial statements.

39


 

 
     
     
  JQC
  Nuveen Multi-Strategy Income and Growth Fund 2
Portfolio of INVESTMENTS
                                                                                                        June 30, 2008 (Unaudited)
 
                                           
Shares     Description (1)                     Value   
        Common Stocks – 41.4% (25.2% of Total Investments)
        Aerospace & Defense – 0.5%
  17,680    
Boeing Company
                          $ 1,161,930    
  4,190    
Esterline Technologies Corporation, (2)
                            206,399    
  17,420    
Finmeccanica S.p.A.
                            457,481    
  16,222    
Lockheed Martin Corporation
                            1,600,463    
  16,570    
Orbital Sciences Corporation, (2)
                            390,389    
  59,500    
Thales S.A. 
                            3,391,210    
                                           
       
Total Aerospace & Defense
                            7,207,872    
        Airlines – 0.0%
  29,720    
Lufthansa AG
                            641,060    
        Auto Components – 0.2%
  56,190    
Aisin Seiki Company Limited
                            1,841,514    
  33,860    
Magna International Inc., Class A
                            2,005,866    
                                           
       
Total Auto Components
                            3,847,380    
        Automobiles – 0.5%
  33,570    
Daimler-Chrysler AG
                            2,070,262    
  51,200    
Honda Motor Company Limited
                            1,742,336    
  1,566    
S.A. D’Ieteren N.V.
                            432,465    
  25,110    
Toyota Motor Corporation
                            2,360,340    
  57,400    
Yamaha Motor Company Limited
                            1,074,105    
                                           
       
Total Automobiles
                            7,679,508    
        Beverages – 1.1%
  4,120    
Boston Beer Company, (2)
                            167,602    
  134,440    
Coca Cola Amatil Limited
                            903,455    
  72,530    
Coca-Cola Company
                            3,770,109    
  26,850    
Diageo PLC, Sponsored ADR
                            1,983,410    
  67,460    
Fomento Economico Mexicano S.A.
                            3,070,105    
  91,030    
Heineken N.V.
                            4,646,508    
  31,530    
Molson Coors Brewing Company, Class B
                            1,713,025    
  41,342    
Pepsi Bottling Group, Inc. 
                            1,154,269    
  11,460    
SABMiller PLC
                            262,962    
                                           
       
Total Beverages
                            17,671,445    
        Biotechnology – 0.7%
  16,290    
Alnylam Pharmaceuticals, Inc. 
                            435,432    
  99,100    
Amgen Inc., (2), (9)
                            4,673,556    
  23,470    
Cephalon, Inc., (2)
                            1,565,214    
  9,810    
Genentech, Inc., (2)
                            744,579    
  24,390    
Genzyme Corporation, (2)
                            1,756,568    
  19,020    
Novo-Nordisk A/S
                            1,255,320    
                                           
       
Total Biotechnology
                            10,430,669    
        Capital Markets – 0.9%
  50,470    
Bank of New York Company, Inc. 
                            1,909,280    
  17,000    
BGC Partners Inc., Class A, (2)
                            128,350    
  15,664    
Calamos Asset Management, Inc. Class A
                            266,758    
  37,180    
Credit Suisse Group
                            1,684,626    
  17,010    
Credit Suisse Group
                            780,940    
  223,610    
Daiwa Securities Group Inc. 
                            2,055,313    
  53,910    
Invesco LTD
                            1,292,762    
  34,490    
JPMorgan Chase & Co. 
                            1,183,352    
  87,210    
Man Group PLC
                            1,073,242    
  158,760    
UBS AG, (9)
                            3,279,982    
                                           
       
Total Capital Markets
                            13,654,605    
                                           
                                           

40


 

                                           
Shares     Description (1)                     Value   
        Chemicals – 1.5%
  13,530    
Air Products & Chemicals Inc. 
                          $ 1,337,576    
  1,000    
Bayer AG
                            84,040    
  12,700    
Bayer AG
                            1,065,962    
  1,970    
CF Industries Holdings, Inc. 
                            301,016    
  19,600    
Eastman Chemical Company
                            1,349,656    
  285,700    
Mitusi Chemicals
                            1,407,177    
  41,900    
Mosaic Company, (2)
                            6,062,930    
  368,240    
Nissan Chemical Industries Limited
                            4,529,090    
  400    
Potash Corporation of Saskatchewan
                            91,428    
  23,050    
Potash Corporation of Saskatchewan
                            5,347,591    
  34,940    
Shin – Etsu Chemical Company Limited
                            2,165,138    
  16,900    
Terra Industries, Inc., (2)
                            834,015    
                                           
       
Total Chemicals
                            24,575,619    
        Commercial Banks – 2.0%
  490    
Allied Irish Banks
                            15,087    
  104,590    
Allinaz S.E.
                            1,825,096    
  2,080    
Banco Bilbao Vizcaya Argentaria S.A.
                            39,458    
  3,195    
Banco Bradesco SA, ADR
                            65,370    
  3,237    
Banco Itau Holdings Financeira, S.A.
                            65,743    
  55,640    
Banco Santander Central S.A.
                            1,012,092    
  9,940    
Bank of Montreal
                            409,826    
  2,100    
Barclays PLC
                            48,615    
  71,530    
Barclays PLC
                            415,320    
  30,350    
BB&T Corporation
                            691,070    
  35,620    
BNP Paribas S.A.
                            3,226,955    
  13,000    
Community Bank System Inc. 
                            268,060    
  43,980    
Credit Agricole S.A.
                            898,792    
  341,600    
DnB NOR ASA
                            4,346,124    
  154,940    
Hang Seng Bank
                            3,268,797    
  21,500    
ICICI Bank Limited, ADR
                            618,340    
  1,890    
KBC Group NV
                            209,877    
  7,270    
Kookmin Bank
                            425,368    
  32,740    
Lloyds TSB Group PLC, Sponsored ADR
                            807,696    
  32,750    
Marshall and Ilsley Corporation
                            502,058    
  16,570    
National Australia Bank Limited, Sponsored ADR
                            420,948    
  3,650    
National Bank of Greece S.A.
                            164,472    
  42,692    
National Bank of Greece S.A.
                            381,240    
  1,189,740    
Nishi-Nippon City Bank Limited
                            3,540,593    
  15,220    
Nordic Baltic Holdings FDR
                            210,011    
  31,510    
Northern Trust Corporation
                            2,160,641    
  13,540    
PNC Financial Services Group, Inc. 
                            773,134    
  6,043    
Prosperity Bancshares, Inc. 
                            161,529    
  82,616    
Royal Bank of Scotland, PLC
                            353,801    
  63,990    
Standard Chartered PLC
                            1,822,656    
  6,210    
SVB Financial Group, (2)
                            298,763    
  28,170    
Sydbank A/S
                            1,073,488    
  7,200    
UMB Financial Corporation
                            369,144    
  76,090    
United Overseas Bank Limited
                            1,041,340    
  25,880    
Wachovia Corporation
                            401,916    
                                           
       
Total Commercial Banks
                            32,333,420    
        Commercial Services & Supplies – 0.8%
  444,100    
Allied Waste Industries, Inc., (2), (9)
                            5,604,542    
  3,078    
Consolidated Graphics Inc., (2)
                            151,653    
  35,820    
Corrections Corporation of America, (2)
                            983,975    
  2,560    
Dun and Bradstreet Inc. 
                            224,358    
  51,141    
Michael Page International PLC
                            238,110    
  36,580    
Randstad Holding N.V.
                            1,278,574    
  435,000    
Toppan Printing Company Limited
                            4,788,953    
                                           
       
Total Commercial Services & Supplies
                            13,270,165    
        Communications Equipment – 0.8%
  6,000    
Comtech Telecom Corporation, (2)
                            294,000    
  105,690    
Corning Incorporated
                            2,436,155    

41


 

 
     
     
   JQC
  Nuveen Multi-Strategy Income and Growth Fund 2 (continued)
Portfolio of INVESTMENTS June 30, 2008 (Unaudited)

                                           
Shares     Description (1)                     Value   
        Communications Equipment (continued)
                                           
  8,670    
Interdigital Inc., (2)
                          $ 210,854    
  244,600    
LM Ericsson Telefonaktiebolget, (9)
                            2,543,840    
  72,750    
Nokia Oyj, Sponsored ADR
                            1,782,375    
  103,370    
QUALCOMM Inc. 
                            4,586,527    
  42,750    
Telemex Internacional SAB de CV
                            688,275    
                                           
       
Total Communications Equipment
                            12,542,026    
        Computers & Peripherals – 0.9%
  28,600    
Apple, Inc., (2)
                            4,788,784    
  83,230    
Hewlett-Packard Company
                            3,679,598    
  29,860    
International Business Machines Corporation (IBM)
                            3,539,306    
  10,920    
NCR Corporation, (2)
                            275,184    
  83,614    
Netwwork Appliance Inc., (2)
                            1,811,079    
                                           
       
Total Computers & Peripherals
                            14,093,951    
        Construction & Engineering – 0.8%
  313,170    
AMEC PLC
                            5,551,708    
  12,610    
Fluor Corporation
                            2,346,469    
  210,210    
JGC Corporation
                            4,137,486    
  6,710    
Perini Corporation, (2)
                            221,766    
                                           
       
Total Construction & Engineering
                            12,257,429    
        Consumer Finance – 0.4%
  10,470    
MasterCard, Inc. 
                            2,779,994    
  22,150    
Visa Inc. 
                            1,801,017    
  67,290    
Western Union Company
                            1,663,409    
                                           
       
Total Consumer Finance
                            6,244,420    
        Containers & Packaging – 0.0%
  14,270    
Owens-Illinois, Inc., (2)
                            594,916    
        Distributors – 0.1%
  77,830    
Jardine Cycle & Carriage Limited
                            972,482    
  30,490    
Unilever PLC
                            867,853    
                                           
       
Total Distributors
                            1,840,335    
        Diversified Consumer Services – 0.1%
  10,060    
Apollo Group, Inc., (2)
                            445,256    
  7,920    
ITT Educational Services, Inc., (2)
                            654,430    
                                           
       
Total Diversified Consumer Services
                            1,099,686    
        Diversified Financial Services – 0.5%
  97,910    
Citigroup Inc. 
                            1,640,972    
  29,600    
Deutsche Boerse AG
                            3,341,023    
  22,960    
Eaton Vance Corporation
                            912,890    
  25,120    
ING Groep N.V., Ordinary Shares
                            801,090    
  31,710    
ING Groep N.V. 
                            1,000,451    
  2,930    
Orix Corporation
                            419,143    
                                           
       
Total Diversified Financial Services
                            8,115,569    
        Diversified Telecommunication Services – 1.5%
  50,470    
AT&T Inc. 
                            1,700,334    
  9,810    
Cbeyond Inc., (2)
                            157,156    
  29,170    
France Telecom S.A.
                            864,307    
  87,690    
KT Corporation, Sponsored ADR, (9)
                            1,869,551    
  528,160    
Nippon Telegraph and Telephone Corporation, ADR, (9)
                            12,834,288    
  350    
Nippon Telegraph and Telephone Corporation, ADR
                            1,713,990    
  650,000    
Telecom Italia S.p.A. 
                            1,054,095    
  33,990    
Telefonica SA
                            2,704,924    
  42,750    
Telefonos de Mexico SA, Series L
                            1,012,320    
                                           
       
Total Diversified Telecommunication Services
                            23,910,965    
        Electric Utilities – 2.1%
  53,800    
Ameren Corporation, (9)
                            2,271,974    
  7,950    
Black Hills Corporation
                            254,877    

42


 

                                           
Shares     Description (1)                     Value   
        Electric Utilities (continued)
                                           
  357,200    
Centrais Electricas Brasileiras S.A., ADR
                          $ 5,877,333    
  55,670    
E.ON A.G
                            3,741,213    
  44,570    
Edison International
                            2,290,007    
  12,000    
El Paso Electric Company, (2)
                            237,600    
  21,030    
FPL Group, Inc. 
                            1,379,147    
  146,000    
IdaCorp, Inc., (9)
                            4,217,940    
  382,100    
Korea Electric Power Corporation, Sponsored ADR
                            5,551,913    
  211,100    
PNM Resources Inc. 
                            2,524,756    
  69,880    
Progress Energy, Inc., (9) 
                            2,923,080    
  62,990    
Reliant Energy Inc., (2)
                            1,339,797    
                                           
       
Total Electric Utilities
                            32,609,637    
        Electrical Equipment – 0.7%
  122,960    
ABB Limited
                            3,497,839    
  51,384    
Emerson Electric Co.
                            2,540,939    
  2,240    
First Solar Inc., (2)
                            611,117    
  146,370    
Hitachi Limited
                            1,055,888    
  24,630    
Nidec Corporation
                            1,639,912    
  26,070    
Nikon Corporation
                            761,096    
  46,850    
Prysmian SPA
                            1,186,847    
                                           
       
Total Electrical Equipment
                            11,293,638    
        Electronic Equipment & Instruments – 0.7%
  54,690    
Au Optronic Corporation
                            866,290    
  2,234    
Itron Inc., (2)
                            219,714    
  103,190    
LG Philips LCD Company Limited, Sponsored ADR
                            1,927,589    
  15,870    
MEMC Electronic Materials, (2)
                            976,640    
  9,690    
Mettler-Toledo International Inc., (2)
                            919,193    
  89,700    
Tech Data Corporation, (2), (9)
                            3,039,933    
  4,641    
Teledyne Technologies Inc., (2)
                            226,434    
  43,410    
Thermo Fisher Scientific, Inc., (2)
                            2,419,239    
                                           
       
Total Electronic Equipment & Instruments
                            10,595,032    
        Energy Equipment & Services – 1.5%
  1,420    
Atwood Oceanics Inc., (2)
                            176,563    
  328,000    
BJ Services Company, (9)
                            10,476,320    
  36,560    
Cooper Cameron Corporation, (2)
                            2,023,596    
  2,680    
Dawson Geophysical Company, (2)
                            159,353    
  13,190    
Dresser Rand Group, Inc., (2)
                            515,729    
  24,170    
FMC Technologies Inc., (2)
                            1,859,398    
  58,260    
Global Industries, Limited, (2)
                            1,044,602    
  10,270    
Matrix Service Company, (2)
                            236,826    
  13,460    
National-Oilwell Varco Inc., (2)
                            1,194,171    
  20,670    
Noble Corporation
                            1,342,723    
  31,980    
Patterson-UTI Energy, Inc. 
                            1,152,559    
  28,030    
Pride International Inc., (2)
                            1,325,539    
  14,300    
Technip S.A.
                            1,323,636    
  6,990    
Transocean Inc., (2)
                            1,065,206    
                                           
       
Total Energy Equipment & Services
                            23,896,221    
        Food & Staples Retailing – 0.5%
  25,040    
Casino Guichard-Perrachon S.A
                            2,838,546    
  5,330    
Koninklijke Ahold N.V., (2)
                            71,716    
  50,780    
Kroger Co. 
                            1,466,019    
  4,750    
Nash Finch Company
                            162,783    
  50,030    
Safeway Inc. 
                            1,428,357    
  27,580    
Wal-Mart Stores, Inc. 
                            1,549,996    
  82,250    
William Morrison Supermarkets PLC
                            436,196    
                                           
       
Total Food & Staples Retailing
                            7,953,613    
        Food Products – 1.8%
  18,810    
Dean Foods Company, (2)
                            369,052    
  2,910    
Diamond Foods Inc. 
                            67,046    
  21,830    
Flowers Foods Inc. 
                            618,662    

43


 

 
     
     
   JQC
  Nuveen Multi-Strategy Income and Growth Fund 2 (continued)
Portfolio of INVESTMENTS June 30, 2008 (Unaudited)

                                           
Shares     Description (1)                     Value   
        Food Products (continued)
                                           
  14,930    
General Mills, Inc. 
                          $ 907,296    
  44,110    
H.J. Heinz Company
                            2,110,664    
  267,890    
Jeronimo Martins SGPS
                            1,946,513    
  12,350    
Monsanto Company
                            1,561,534    
  580    
Nestle S.A.
                            65,710    
  377,700    
Smithfield Foods, Inc., (2), (9)
                            7,508,676    
  70,860    
Tingyi Holding Corporation
                            87,607    
  679,300    
Tyson Foods, Inc., Class A, (9)
                            10,148,742    
  98,390    
Unilever PLC
                            2,795,260    
                                           
       
Total Food Products
                            28,186,762    
        Gas Utilities – 0.6%
  1,460    
BG PLC
                            189,884    
  6,530    
E.ON AG
                            1,317,531    
  32,803    
Energen Corporation
                            2,559,618    
  11,060    
Equitable Resources Inc. 
                            763,804    
  56,290    
Questar Corporation
                            3,998,842    
  35,440    
Spectra Energy Corporation
                            1,018,546    
                                           
       
Total Gas Utilities
                            9,848,225    
        Health Care Equipment & Supplies – 0.7%
  27,550    
Alfresa Holdings Corporation
                            1,966,653    
  3,060    
Analogic Corporation
                            192,994    
  38,520    
Baxter International Inc. 
                            2,462,969    
  753    
Fresenius Medical Care, ADR
                            41,332    
  44,670    
Fresenius Medical Care, ADR
                            2,462,279    
  155,500    
Paramount Bed Company Limited
                            2,299,148    
  12,480    
Patterson Companies Inc., (2)
                            366,787    
  35,840    
Saint Jude Medical Inc., (2)
                            1,465,139    
  5,719    
Surmodics Inc., (2)
                            256,440    
                                           
       
Total Health Care Equipment & Supplies
                            11,513,741    
        Health Care Providers & Services – 0.2%
  43,188    
Express Scripts, Inc., (2)
                            2,708,751    
  43,000    
Health Net Inc., (2), (9)
                            1,034,580    
  6,350    
Mentor Corporation
                            176,657    
                                           
       
Total Health Care Providers & Services
                            3,919,988    
        Hotels, Restaurants & Leisure – 0.3%
  2,950    
Bally Technologies, Inc., (2)
                            99,710    
  26,800    
Burger King Holdings Inc. 
                            717,972    
  1,220    
Carnival Corporation
                            38,955    
  32,100    
McDonald’s Corporation
                            1,804,662    
  3,680    
WMS Industries Inc., (2)
                            109,554    
  22,240    
Wynn Resorts Ltd
                            1,809,224    
                                           
       
Total Hotels, Restaurants & Leisure
                            4,580,077    
        Household Durables – 0.3%
  21,380    
Desarrolladora Homex SAB de C.V., Sponsored ADR, (2)
                            1,252,440    
  19,430    
Jarden Corporation, (2)
                            354,403    
  4,400    
Matsushita Electric Industrial Co., Ltd, ADR
                            94,248    
  121,390    
Matsushita Electric Industrial Co., Ltd, ADR
                            2,617,913    
  6,210    
Tupperware Corporation
                            212,506    
                                           
       
Total Household Durables
                            4,531,510    
        Household Products – 0.3%
  40,070    
Colgate-Palmolive Company
                            2,768,837    
  82,000    
KAO Corporation
                            2,150,680    
                                           
       
Total Household Products
                            4,919,517    
        Independent Power Producers & Energy Traders – 0.1%
  30,280    
NRG Energy Inc., (2)
                            1,299,012    
                                           
                                           

44


 

                                           
Shares     Description (1)                     Value   
        Industrial Conglomerates – 0.4%
  27,790    
East Asiatic Co LTD
                          $ 1,924,401    
  213,160    
Keppel Corporation
                            1,745,325    
  33,280    
Mitsubishi Corporation
                            1,096,953    
  5,730    
Siemens AG, Sponsored ADR
                            631,045    
  4,480    
Teleflex Inc. 
                            249,043    
                                           
       
Total Industrial Conglomerates
                            5,646,767    
        Insurance – 0.9%
  1,071    
Aegon N.V. 
                            14,041    
  56,018    
AFLAC Incorporated
                            3,517,930    
  13,890    
Amtrust Financial Services, Inc. 
                            175,014    
  22,710    
Aon Corporation
                            1,043,297    
  17,870    
Arch Capital Group Limited, (2)
                            1,185,138    
  5,400    
Aspen Insurance Holdings Limited, (2)
                            127,818    
  16,330    
Assurant Inc. 
                            1,077,127    
  11,780    
Axis Capital Holdings Limited
                            351,162    
  345,100    
Benfield Group, Limited
                            1,680,662    
  1,580    
Fairfax Financial Holdings Limited
                            401,162    
  8,060    
First Mercury Financial Corporation
                            142,178    
  13,440    
HCC Insurance Holdings Inc. 
                            284,122    
  418,810    
Mapfre S.A.
                            2,004,563    
  7,270    
Philadelphia Consolidated Holding Corporation, (2)
                            246,962    
  11,210    
Seabright Insurance Holdings Inc., (2)
                            162,321    
  8,740    
Sun Life Financial Inc. 
                            357,903    
  35,750    
WR Berkley Corporation
                            863,720    
  1,730    
Zurich Financial Services AG
                            442,852    
                                           
       
Total Insurance
                            14,077,972    
        Internet Software & Services – 0.2%
  90,000    
eBay Inc., (2), (9)
                            2,459,700    
  5,380    
Sohu.com Inc. 
                            378,967    
  12,060    
Switch & Data Facilities Company, Inc. 
                            204,899    
                                           
       
Total Internet Software & Services
                            3,043,566    
        IT Services – 0.4%
  45,470    
Accenture Limited
                            1,851,538    
  16,970    
CGI Group Inc., (2)
                            169,191    
  140,000    
Electronic Data Systems Corporation, (9)
                            3,449,600    
  17,180    
TNS Inc., (2)
                            411,633    
                                           
       
Total IT Services
                            5,881,962    
        Leisure Equipment & Products – 0.2%
  2,350    
Canon Inc. 
                            120,344    
  30    
Fuji Photo Film Co., Ltd. 
                            1,031    
  1,070    
FujiFilm Holdings Corporation, ADR
                            36,669    
  56,994    
Hasbro, Inc. 
                            2,035,826    
  14,860    
Marvel Entertainment Inc., (2)
                            477,600    
                                           
       
Total Leisure Equipment & Products
                            2,671,470    
        Life Sciences Tools & Services – 0.1%
  3,600    
Dionex Corporation, (2)
                            238,932    
  7,490    
Illumina Inc., (2)
                            652,454    
                                           
       
Total Life Sciences Tools & Services
                            891,386    
        Machinery – 0.7%
  77,850    
ABB Limited
                            2,204,712    
  39,330    
AGCO Corporation, (2)
                            2,061,285    
  6,260    
Badger Meter Inc. 
                            316,318    
  10,990    
Deere & Company
                            792,709    
  7,190    
Eaton Corporation
                            610,934    
  27,448    
Harsco Corporation
                            1,493,446    
  590    
Hitachi Limited
                            42,291    
  4,140    
ITT Industries Inc. 
                            262,186    
  16,260    
MAN AG
                            1,805,097    
  9,430    
Manitowoc Company Inc. 
                            306,758    

45


 

 
     
     
   JQC
  Nuveen Multi-Strategy Income and Growth Fund 2 (continued)
Portfolio of INVESTMENTS June 30, 2008 (Unaudited)

                                           
Shares     Description (1)                     Value   
        Machinery (continued)
                                           
  7,737    
Parker Hannifin Corporation
                          $ 551,803    
  10,670    
RBC Bearings Inc., (2)
                            355,524    
  9,070    
Robbins & Myers, Inc. 
                            452,321    
                                           
       
Total Machinery
                            11,255,384    
        Marine – 0.3%
  250,340    
Kawasaki Kisen Kaisha Limited
                            2,350,511    
  110,350    
Nippon Yusen Kabushki Kaisha
                            1,061,048    
  56,500    
Stolt-Nielsen S.A. 
                            1,286,814    
                                           
       
Total Marine
                            4,698,373    
        Media – 0.5%
  50,170    
Cablevision Systems Corporation, (2)
                            1,133,842    
  74,890    
DIRECTV Group, Inc., (2)
                            1,940,400    
  87,000    
Scholastic Corporation, (2), (9)
                            2,493,420    
  1,550    
Shaw Communication Inc. 
                            31,558    
  22,490    
Shaw Communication Inc. 
                            459,196    
  9,830    
Thomson Corporation
                            316,428    
  33,400    
Walt Disney Company
                            1,042,080    
  1,080    
WPP Group PLC
                            51,646    
                                           
       
Total Media
                            7,468,570    
        Metals & Mining – 4.8%
  345,502    
AngloGold Ashanti Limited, Sponsored ADR, (9)
                            11,726,338    
  276,900    
Apex Silver Mines Limited, (2)
                            1,359,579    
  281,300    
Barrick Gold Corporation, (9)
                            12,799,150    
  17,590    
BHP Billiton PLC
                            672,703    
  13,840    
BHP Billiton PLC
                            1,072,323    
  83,770    
BHP Billiton PLC
                            3,509,376    
  5,190    
Cleveland-Cliffs Inc. 
                            618,596    
  4,580    
Compass Minerals International, Inc. 
                            368,965    
  122,340    
Cookson Group
                            1,529,110    
  319,100    
Crystallex International Corporation, (2)
                            357,392    
  25,890    
Freeport-McMoRan Copper & Gold, Inc. 
                            3,034,049    
  286,100    
Gold Fields Limited, (9)
                            3,619,165    
  180,000    
Ivanhoe Mines Ltd., (2), (9)
                            1,963,800    
  2,595,500    
Lihir Gold Limited, (2)
                            8,186,096    
  604,210    
Mitsubishi Materials
                            2,583,334    
  235,100    
Newmont Mining Corporation, (9)
                            12,262,816    
  265,900    
NovaGold Resources Inc., (2), (9)
                            1,980,955    
  6,086    
Olympic Steel Inc. 
                            462,049    
  6,010    
Rio Tinto PLC, Sponsored ADR
                            2,974,950    
  49,280    
SSAB Svenskt Stal AB
                            1,595,630    
  9,000    
United States Steel Corporation
                            1,663,020    
  32,510    
Xstrata PLC
                            2,605,742    
                                           
       
Total Metals & Mining
                            76,945,138    
        Multiline Retail – 0.5%
  44,150    
Big Lots, Inc., (2)
                            1,379,246    
  55,450    
Costco Wholesale Corporation
                            3,889,263    
  11,830    
Dollar Tree Stores Inc., (2)
                            386,723    
  13,620    
Family Dollar Stores, Inc. 
                            271,583    
  111,910    
Next PLC
                            2,161,092    
                                           
       
Total Multiline Retail
                            8,087,907    
        Oil, Gas & Consumable Fuels – 4.0%
  2,670    
Alpha Natural Resources Inc. 
                            278,454    
  22,100    
Arch Coal Inc., (9) 
                            1,658,163    
  68,150    
BG Group PLC
                            1,759,249    
  167,780    
BP Amoco PLC, (9)
                            11,672,455    
  9,720    
Cabot Oil & Gas Corporation
                            658,336    
  3,260    
Carrizo Oil & Gas, Inc., (2)
                            221,973    
  34,830    
Chesapeake Energy Corporation
                            2,297,387    
  23,850    
Chevron Corporation
                            2,364,251    

46


 

                                           
Shares     Description (1)                     Value   
        Oil, Gas & Consumable Fuels (continued)
                                           
  3,793    
Comstock Resources Inc., (2)
                          $ 320,243    
  37,270    
Continental Resources Inc., (2)
                            2,583,556    
  28,530    
Denbury Resources Inc., (2)
                            1,041,345    
  3,770    
Devon Energy Corporation
                            453,003    
  41,340    
Eni S.p.A., Sponsored ADR
                            3,068,668    
  10,940    
EOG Resources, Inc. 
                            1,435,328    
  25,210    
Hess Corporation
                            3,181,250    
  8,350    
Massey Energy Company
                            782,813    
  29,400    
Murphy Oil Corporation
                            2,882,670    
  86,500    
Nexen Inc., (9) 
                            3,438,375    
  28,500    
Occidental Petroleum Corporation
                            2,561,010    
  3,930    
Patriot Coal Corporation, (2)
                            602,430    
  9,030    
Petrohawk Energy Corporation, (2)
                            418,179    
  25,270    
Petroleo Brasileiras S.A.
                            1,789,874    
  13,860    
Petroquest Energy Inc., (2)
                            372,834    
  7,937    
Pioneer Drilling Company, (2)
                            149,295    
  52,440    
Repsol YPF S.A.
                            2,059,319    
  111,100    
Royal Dutch Shell PLC, Class B, Sponsored ADR, (9)
                            8,900,221    
  101,050    
Singapore Petroleum
                            490,191    
  70,323    
Statoil ASA
                            2,628,674    
  28,880    
Total S.A., Sponsored ADR
                            2,462,598    
  10,940    
Total S.A.
                            933,568    
  1,610    
Whiting Petroleum Corporation
                            170,789    
  8,020    
XTO Energy, Inc. 
                            549,450    
                                           
       
Total Oil, Gas & Consumable Fuels
                            64,185,951    
        Paper & Forest Products – 0.2%
  170,300    
AbitibiBowater Inc., (2), (9)
                            1,588,899    
  8,170    
Buckeye Technologies Inc., (2)
                            69,118    
  9,610    
Potlatch Corporation
                            433,603    
  99,352    
Sonae Industria-SPGS S.A., (2)
                            405,140    
  34,440    
Votorantim Celulose e Papel S.A.
                            919,892    
                                           
       
Total Paper & Forest Products
                            3,416,652    
        Personal Products – 0.0%
  5,700    
Herbalife, Limited
                            220,875    
        Pharmaceuticals – 1.7%
  24,100    
Astellas Pharma Inc. 
                            1,021,331    
  181,990    
AstraZeneca Group, (9)
                            7,740,035    
  74,580    
Daiichi Sankyo Company Limited
                            2,054,400    
  27,760    
Eli Lilly and Company
                            1,281,402    
  9,200    
GlaxoSmithKline PLC, ADR
                            406,824    
  28,730    
H. Lundbeck A/S
                            655,077    
  139,000    
Kissei Pharmaceuticals Company Limited
                            3,108,961    
  31,300    
Merck & Co. Inc. 
                            1,179,697    
  42,320    
Novartis AG
                            2,330,282    
  3,990    
Novo Nordisk A/S
                            261,137    
  271,700    
Patheon Inc., (2)
                            1,095,113    
  65,020    
Pfizer Inc. 
                            1,135,899    
  11,580    
Pozen Inc., (2)
                            125,990    
  89,670    
Sanofi-Aventis, ADR, (9)
                            2,979,734    
  49,240    
Shionogi & Company Limited
                            971,491    
  54,665    
Warner Chilcott Limited, (2)
                            926,572    
                                           
       
Total Pharmaceuticals
                            27,273,945    
        Real Estate – 0.3%
  30,590    
Annaly Capital Management Inc. 
                            474,451    
  7,610    
Essex Property Trust Inc. 
                            810,465    
  8,767    
LaSalle Hotel Properties
                            220,315    
  10,550    
Lexington Corporate Properties Trust
                            143,797    
  24,080    
Rayonier Inc. 
                            1,022,437    
  10,264    
SL Green Realty Corporation
                            849,038    

47


 

 
     
     
   JQC
  Nuveen Multi-Strategy Income and Growth Fund 2 (continued)
Portfolio of INVESTMENTS June 30, 2008 (Unaudited)

                                           
Shares     Description (1)                     Value   
        Real Estate (continued)
                                           
  13,597    
Tanger Factory Outlet Centers
                          $ 488,540    
  20,554    
Taubman Centers Inc. 
                            999,952    
                                           
       
Total Real Estate
                            5,008,995    
        Road & Rail – 0.5%
  1,250    
Canadian National Railways Company
                            60,100    
  63,420    
CSX Corporation
                            3,983,410    
  21,710    
Kansas City Southern Industries, (2)
                            955,023    
  20,080    
Landstar System
                            1,108,818    
  9,890    
Ryder System, Inc. 
                            681,223    
  16,400    
Union Pacific Corporation
                            1,238,200    
                                           
       
Total Road & Rail
                            8,026,774    
        Semiconductors & Equipment – 0.4%
  16,690    
Amkor Technology Inc., (2)
                            173,743    
  34,330    
Broadcom Corporation, Class A, (2)
                            936,866    
  96,130    
Marvell Technology Group Ltd., (2)
                            1,697,656    
  8,550    
Monolithic Power Systems, Inc., (2)
                            184,851    
  94,380    
National Semiconductor Corporation
                            1,938,565    
  21,180    
ON Semiconductor Corporation
                            194,221    
  6,670    
Rubicon Technology Inc., (2)
                            135,534    
  11,650    
Semtech Corporation, (2)
                            163,916    
  117,618    
Taiwan Semiconductor Manufacturing Company Ltd., Sponsored ADR
                            1,283,212    
                                           
       
Total Semiconductors & Equipment
                            6,708,564    
        Software – 0.9%
  30,140    
Activision Inc., (2)
                            1,026,870    
  53,150    
Adobe Systems Incorporated, (2)
                            2,093,579    
  8,920    
Ansys Inc., (2)
                            420,310    
  58,890    
Autodesk, Inc., (2)
                            1,991,071    
  7,800    
Blackboard, Inc., (2)
                            298,194    
  65,000    
Microsoft Corporation, (9)
                            1,788,150    
  700    
Nintendo Co., LTD., ADR
                            49,443    
  5,520    
Nintendo Co., Ltd. 
                            3,113,886    
  29,840    
Salesforce.com, Inc., (2)
                            2,035,983    
  7,720    
SPSS Inc., (2)
                            280,776    
  77,570    
Symantec Corporation, (2)
                            1,500,980    
                                           
       
Total Software
                            14,599,242    
        Specialty Retail – 0.1%
  8,540    
Aeropostale, Inc., (2)
                            267,558    
  3,515    
Hennes & Mauritz AB
                            190,562    
  9,248    
J. Crew Group Inc., (2)
                            305,276    
  6,830    
NetFlix.com Inc., (2)
                            178,058    
  760    
Sony Corporation
                            33,242    
  22,820    
TJX Companies, Inc. 
                            718,145    
                                           
       
Total Specialty Retail
                            1,692,841    
        Textiles, Apparel & Luxury Goods – 0.1%
  2,780    
Deckers Outdoor Corporation, (2)
                            386,976    
  860    
Gildan Activewear Inc, Sponsored ADR, (2)
                            22,257    
  16,628    
Guess Inc. 
                            622,719    
                                           
       
Total Textiles, Apparel & Luxury Goods
                            1,031,952    
        Thrifts & Mortgage Finance – 0.2%
  219,410    
Hudson City Bancorp, Inc. 
                            3,659,759    
        Tobacco – 0.4%
  22,870    
Altria Group, Inc. 
                            470,207    
  16,110    
British American Tobacco PLC
                            1,115,618    
  110    
Japan Tobacco, Inc., (2)
                            469,275    
  53,440    
Philip Morris International, (2)
                            2,639,402    
  30,790    
UST Inc. 
                            1,681,442    
                                           
       
Total Tobacco
                            6,375,944    
                                           
                                           

48


 

                                           
Shares     Description (1)                     Value   
        Transportation Infrastructure – 0.2%
  1,226,750    
Macquarie Airports
                          $ 2,422,608    
        Wireless Telecommunication Services – 0.3%
  13,010    
Millicom International Cellular S.A.
                            1,356,637    
  23,720    
Millicom International Cellular S.A., (2)
                            2,455,020    
  1,460    
Mobile Telesystems, Sponsored ADR
                            111,851    
  1,600    
Vodafone Group PLC, Sponsored ADR
                            47,136    
                                           
       
Total Wireless Telecommunication Services
                            3,970,644    
                                           
       
Total Common Stocks (cost $661,171,528)
                            656,421,254    
                                           
                                           
Shares     Description (1)   Coupon           Ratings (3)     Value   
        Convertible Preferred Securities – 1.8% (1.1% of Total Investments)
        Automobiles – 0.3%
  42,300    
General Motors Corporation, Convertible Bonds
    1.500%               B     $ 910,296    
  63,250    
General Motors Corporation, Convertible Notes, Senior Debentures, Series B
    5.250%               B       866,525    
  113,950    
General Motors Corporation
    6.250%               B       1,510,977    
                                           
       
Total Automobiles
                            3,287,798    
        Capital Markets – 0.0%
  15,800    
AMG Capital Trust II, Convertible Bond
    5.150%               BB       555,963    
        Commercial Banks – 0.0%
  20,650    
Sovereign Capital Trust IV, Convertible Security
    4.375%               Baa2       640,150    
        Communications Equipment – 0.7%
  13,400    
Lucent Technologies Capital Trust I
    7.750%               B2       10,184,000    
        Diversified Financial Services – 0.4%
  3,300    
Bank of America Corporation
    7.250%               A+       2,920,500    
  49,450    
Citigroup Inc., Series T
    6.500%               A       2,151,075    
                                           
       
Total Diversified Financial Services
                            5,071,575    
        Electric Utilities – 0.1%
  17,200    
Centerpoint Energy Inc. 
    2.000%               BBB–       498,215    
  5,600    
CMS Energy Corporation, Convertible Bonds
    4.500%               Ba2       438,550    
                                           
       
Total Electric Utilities
                            936,765    
        Food Products – 0.0%
  5,900    
Bunge Limited, Convertible Bonds
    4.875%               BB       775,850    
        Household Durables – 0.0%
  10,700    
Newell Financial Trust I
    5.250%               N/R       484,175    
        Independent Power Producers & Energy Traders – 0.0%
  300    
NRG Energy Inc., Convertible Bond
    4.000%               B2       653,118    
        Metals & Mining – 0.2%
  1,100    
Freeport McMoran Copper & Gold, Inc. 
    5.500%               BB       2,768,150    
        Oil, Gas & Consumable Fuels – 0.1%
  600    
El Paso Corporation
    4.990%               B       1,034,400    
        Real Estate – 0.0%
  9,700    
Simon Property Group, Inc., Series I
    6.000%               BBB+       708,100    
        Thrifts & Mortgage Finance – 0.0%
  30,500    
Washington Mutual, Inc., Unit 1 Trust
    5.375%               A3       732,000    
        U.S. Agency – 0.0%
  7    
Federal National Mortgage Association
    5.375%               AA–       421,750    
                                           
       
Total Convertible Preferred Securities (cost $32,836,978)
                            28,253,794    
                                           
                                           

49


 

 
     
     
   JQC
  Nuveen Multi-Strategy Income and Growth Fund 2 (continued)
Portfolio of INVESTMENTS June 30, 2008 (Unaudited)

                                           
Shares     Description (1)   Coupon           Ratings (3)     Value   
        $25 Par (or similar) Preferred Securities – 48.6% (29.7% of Total Investments)
        Capital Markets – 3.5%
  221,874    
BNY Capital Trust V, Series F
    5.950%               A     $ 4,592,792    
  1,195,600    
Deutsche Bank Capital Funding Trust II
    6.550%               A+       23,613,100    
  2,000    
Deutsche Bank Contingent Capital Trust III
    7.600%               A+       45,740    
  23,000    
First Union Institutional Capital II (CORTS)
    8.200%               A1       516,350    
  4,200    
Goldman Sachs Capital I (CORTS)
    6.000%               A1       83,790    
  12,000    
Goldman Sachs Capital I, Series A (CORTS)
    6.000%               A1       246,000    
  2,300    
Goldman Sachs Group Inc. (CORTS)
    6.300%               A1       49,151    
  7,600    
Goldman Sachs Group Inc., Series 2003-11 (SATURNS)
    5.625%               AA–       141,360    
  10,200    
Goldman Sachs Group Inc., Series 2004-04 (SATURNS)
    6.000%               A1       200,124    
  2,900    
Goldman Sachs Group Inc., Series 2004-06 (SATURNS)
    6.000%               A1       58,638    
  17,000    
Goldman Sachs Group Inc., Series 2004-4 (CORTS)
    6.000%               A1       319,600    
  24,400    
Goldman Sachs Group Inc., Series GSC-3 (PPLUS)
    6.000%               A1       456,280    
  7,900    
Goldman Sachs Group Inc., Series GSC-4 Class A (PPLUS)
    6.000%               A1       148,757    
  6,500    
Goldman Sachs Group Inc., Series GSG-1 (PPLUS)
    6.000%               AA–       131,300    
  4,500    
Goldman Sachs Group Inc., Series GSG-2 (PPLUS)
    5.750%               AA–       89,235    
  4,000,000    
JP Morgan Chase & Company
    7.900%               A1       3,761,720    
  339,545    
Merrill Lynch Preferred Capital Trust III
    7.000%               A2       6,026,924    
  19,700    
Merrill Lynch Preferred Capital Trust IV
    7.120%               A2       362,086    
  225,600    
Merrill Lynch Preferred Capital Trust V
    7.280%               A2       4,261,584    
  191,992    
Morgan Stanley Capital Trust III
    6.250%               A–       3,467,376    
  113,125    
Morgan Stanley Capital Trust IV
    6.250%               A1       2,012,494    
  12,794    
Morgan Stanley Capital Trust V
    5.750%               A1       216,858    
  260,700    
Morgan Stanley Capital Trust VI
    6.600%               A1       4,927,230    
  23,058    
Morgan Stanley Capital Trust VII
    6.600%               A1       425,651    
                                           
       
Total Capital Markets
                            56,154,140    
        Commercial Banks – 9.9%
  651,200    
ABN AMRO Capital Fund Trust V
    5.900%               A       11,018,304    
  110,400    
Allianz SE
    8.375%               A+       2,748,960    
  116,700    
ASBC Capital I
    7.625%               A3       2,719,110    
  58,295    
BAC Capital Trust I
    7.000%               Aa3       1,276,661    
  537,649    
BAC Capital Trust II
    7.000%               Aa3       11,946,561    
  87,600    
BAC Capital Trust III
    7.000%               Aa3       1,922,820    
  13,600    
BAC Capital Trust IV
    5.875%               Aa3       260,440    
  14,800    
BAC Capital Trust V
    6.000%               A+       284,012    
  14,000    
BAC Capital Trust VIII
    6.000%               Aa3       263,900    
  504,642    
Banco Santander Finance
    6.800%               Aa3       11,081,938    
  914,598    
Banco Santander Finance
    6.500%               A+       19,298,018    
  38,989    
Banco Santander Finance
    6.410%               A+       900,646    
  28,800    
Banesto Holdings, Series A, 144A
    10.500%               A1       873,901    
  154,700    
Bank One Capital Trust VI
    7.200%               Aa3       3,619,980    
  418,300    
Barclays Bank PLC
    8.125%               Aa3       10,285,997    
  187,590    
Barclays Bank PLC
    7.750%               Aa3       4,248,914    
  41,542    
Barclays Bank PLC
    6.625%               Aa3       810,900    
  33,100    
Capital One Capital II Corporation
    7.500%               Baa1       614,005    
  132,822    
Citizens Funding Trust I
    7.500%               Baa1       1,441,119    
  146,500    
Cobank Agricultural Credit Bank
    7.000%               N/R       6,795,403    
  420,400    
Credit Suisse
    7.900%               A       10,341,840    
  52,900    
Fifth Third Capital Trust VI
    7.250%               A–       854,864    
  2,500    
Fleet Capital Trust IX
    6.000%               Aa3       48,938    
  418,000    
Fleet Capital Trust VIII
    7.200%               Aa3       9,091,500    
  57,700    
HSBC Finance Corporation
    6.875%               AA–       1,313,252    
  900    
HSBC Holdings PLC
    6.200%               A1       18,549    
  83,705    
KeyCorp Capital Trust IX
    6.750%               A3       1,171,870    
  1,300    
KeyCorp Capital Trust V
    5.875%               A3       17,875    
  900    
Keycorp Capital Trust VI
    6.125%               A3       12,618    
  2,800    
M&T Capital Trust IV
    8.500%               N/R       67,214    
  79,700    
National Bank of Greece SA
    9.000%               AAA–       2,028,365    
  723,812    
National City Capital Trust II
    6.625%               BBB+       9,062,126    
  7,428    
National City Capital Trust IV
    0.000%               BBB+       111,420    
  13,100    
National Westminster Bank PLC
    7.760%               Aa3       284,270    
  21,700    
ONB Capital Trust II
    8.000%               A3       512,337    
  11,900    
PNC Capital Trust
    7.750%               A–       267,393    
  25,700    
PNC Capital Trust
    6.125%               A2       520,168    

50


 

                                           
Shares     Description (1)   Coupon           Ratings (3)     Value   
        Commercial Banks (continued)
                                           
  36,400    
Regions Financing Trust III
    8.875%               BBB+     $ 828,100    
  193,600    
Royal Bank of Scotland Group PLC
    6.600%               Aa3       3,604,832    
  41,890    
Royal Bank of Scotland Group PLC, Series L
    5.750%               A1       675,267    
  41,200    
Royal Bank of Scotland Group PLC, Series M
    6.400%               A1       737,480    
  125,740    
Royal Bank of Scotland Group PLC, Series N
    6.350%               A1       2,268,350    
  500    
Royal Bank of Scotland Group PLC, Series P
    6.250%               A1       8,670    
  13,900    
Royal Bank of Scotland Group PLC, Series T
    7.250%               Aa3       284,255    
  16,100    
SunAmerica CORTS
    6.700%               AA–       306,383    
  7,100    
SunTrust Capital Trust IX
    7.875%               A–       150,733    
  400    
USB Capital Trust VI
    5.750%               Aa3       7,880    
  5,000    
USB Capital Trust VII
    5.875%               Aa3       101,100    
  65,700    
USB Capital Trust XI
    6.600%               A+       1,390,869    
  27,340    
VNB Capital Trust I
    7.750%               BBB       675,298    
  142,870    
Wachovia Capital Trust IX
    6.375%               A1       2,455,935    
  285,891    
Wachovia Trust IV
    6.375%               A1       5,000,234    
  8,200    
Wells Fargo Capital Trust IX
    5.625%               Aa2       159,490    
  220,735    
Wells Fargo Capital Trust V
    7.000%               Aa2       5,284,396    
  113,182    
Wells Fargo Capital Trust VII
    5.850%               AA–       2,354,186    
  114,700    
Zions Capital Trust B
    8.000%               Baa1       2,523,400    
                                           
       
Total Commercial Banks
                            156,953,046    
        Computers & Peripherals – 0.0%
  1,000    
IBM Corporation, Class A (CORTS)
    5.625%               A+       21,570    
  16,600    
IBM Trust IV (CORTS)
    7.000%               A+       415,000    
                                           
       
Total Computers & Peripherals
                            436,570    
        Consumer Finance – 0.0%
  12,200    
MBNA Corporation, Capital Trust D
    8.125%               Aa3       291,092    
        Diversified Financial Services – 5.3%
  2,300    
American International Group, CORTS
    6.125%               A1       38,525    
  95,400    
BAC Capital Trust XII
    6.875%               A+       2,089,260    
  174,400    
Citigroup Capital Trust VII
    7.125%               A1       3,618,800    
  729,022    
Citigroup Capital Trust VIII
    6.950%               A1       14,587,730    
  20,600    
Citigroup Capital Trust IX
    6.000%               A1       353,496    
  14,100    
Citigroup Capital Trust XI
    6.000%               A1       241,815    
  9,100    
Citigroup Capital X
    6.100%               A       157,885    
  257,721    
Citigroup Capital XV
    6.500%               A1       4,775,570    
  26,300    
Citigroup Capital XVI
    6.450%               A1       483,920    
  38,500    
Citigroup Capital XVII
    6.350%               A1       680,295    
  670,000    
Citigroup Capital XIX
    7.250%               A1       14,177,200    
  75,000    
Citigroup Inc., Series M
    8.125%               A       1,680,000    
  40,200    
ING Groep N.V.
    8.500%               A1       1,000,980    
  327,900    
ING Groep N.V.
    7.375%               A1       7,167,894    
  566,620    
ING Groep N.V.
    7.200%               A1       12,199,329    
  718,475    
ING Groep N.V.
    7.050%               A       15,066,421    
  37,200    
ING Groep N.V.
    6.375%               A       690,060    
  7,900    
JPMorgan Chase Capital Trust XIV
    6.200%               Aa3       167,796    
  223,100    
Merrill Lynch Capital Trust I
    6.450%               A+       3,870,785    
  13,000    
Royal Bank of Scotland Group PLC, Series R
    6.125%               A1       222,040    
                                           
       
Total Diversified Financial Services
                            83,269,801    
        Diversified Telecommunication Services – 1.3%
  620,100    
AT&T Inc. 
    6.375%               A       15,508,701    
  38,500    
BellSouth Capital Funding (CORTS)
    7.120%               A       861,438    
  30,500    
BellSouth Corporation (CORTS)
    7.000%               A       699,594    
  28,000    
Verizon Communications (CORTS)
    7.625%               A       700,280    
  151,800    
Verizon Communications, Series 2004-1 (SATURNS)
    6.125%               A       3,535,422    
                                           
       
Total Diversified Telecommunication Services
                            21,305,435    
        Electric Utilities – 0.7%
  50,000    
American Electric Power
    8.750%               BB+       1,288,000    
  9,700    
DTE Energy Trust I
    7.800%               Baa3       243,567    
  700    
Entergy Arkansas Inc. 
    6.700%               AA       17,472    
  1,300    
Entergy Arkansas Inc. 
    6.000%               AA       32,383    
  27,700    
Entergy Louisiana LLC
    7.600%               A–       691,669    

51


 

 
     
     
   JQC
  Nuveen Multi-Strategy Income and Growth Fund 2 (continued)
Portfolio of INVESTMENTS June 30, 2008 (Unaudited)

                                           
Shares     Description (1)   Coupon           Ratings (3)     Value   
        Electric Utilities (continued)
                                           
  5,300    
Entergy Mississippi Inc. 
    7.250%               A–     $ 133,136    
  700    
Entergy Mississippi Inc. 
    6.000%               AAA       17,318    
  51,600    
FPL Group Capital Inc. 
    6.600%               BBB+       1,277,100    
  6,000    
National Rural Utilities Cooperative Finance Corporation
    6.750%               A3       143,340    
  8,600    
National Rural Utilities Cooperative Finance Corporation
    6.100%               A3       189,200    
  6,700    
National Rural Utilities Cooperative Finance Corporation
    5.950%               A3       147,467    
  9,300    
PPL Capital Funding, Inc. 
    6.850%               Baa2       225,897    
  20,000    
PPL Energy Supply LLC
    7.000%               BBB       498,000    
  258,500    
Xcel Energy Inc. 
    7.600%               BBB–       6,377,195    
                                           
       
Total Electric Utilities
                            11,281,744    
        Food Products – 0.2%
  35,100    
Dairy Farmers of America Inc., 144A
    7.875%               BBB–       2,865,038    
        Insurance – 9.4%
  12,600    
Aegon N.V., Series 1
    4.000%               A–       211,554    
  9,700    
Aegon N.V. 
    6.875%               A–       175,570    
  3,500    
Aegon N.V. 
    6.500%               A–       60,690    
  1,420,300    
Aegon N.V. 
    6.375%               A–       24,287,130    
  7,800    
Aegon N.V.
    7.250%               A–       154,440    
  12,233    
AMBAC Financial Group Inc. 
    5.950%               A       90,524    
  238,113    
Arch Capital Group Limited, Series B
    7.875%               BBB–       5,524,222    
  392,973    
Arch Capital Group Limited
    8.000%               BBB–       9,152,341    
  711,500    
Berkley WR Corporation, Capital Trust II
    6.750%               BBB–       15,546,275    
  677,301    
Delphi Financial Group, Inc. 
    8.000%               BBB+       15,503,420    
  32,500    
Delphi Financial Group, Inc. 
    7.376%               BBB–       608,075    
  6,000,000    
Everest Reinsurance Holdings, Inc. 
    6.600%               Baa1       4,287,270    
  200,456    
EverestRe Capital Trust II
    6.200%               BBB       3,732,491    
  7,800    
Financial Security Assurance Holdings
    6.250%               AA       127,920    
  6,100    
Financial Security Assurance Holdings
    5.600%               AA       84,790    
  1,395,900    
Lincoln National Capital Trust VI
    6.750%               A–       30,640,005    
  4,000    
Lincoln National Corporation
    6.750%               A–       89,840    
  123,700    
Markel Corporation
    7.500%               Baa2       2,973,748    
  897,802    
PartnerRe Limited, Series C
    6.750%               BBB+       18,369,029    
  146,500    
PLC Capital Trust III
    7.500%               BBB+       3,160,005    
  6,800    
PLC Capital Trust IV
    7.250%               BBB+       144,432    
  30,100    
PLC Capital Trust V
    6.125%               BBB+       586,649    
  40,500    
Protective Life Corporation
    7.250%               BBB       856,170    
  342,400    
Prudential Financial Inc. 
    9.000%               A–       8,525,760    
  39,343    
Prudential PLC
    6.750%               A–       751,451    
  131,000    
RenaissanceRe Holdings Limited, Series B
    7.300%               BBB       2,723,490    
  38,600    
RenaissanceRe Holdings Limited, Series C
    6.080%               BBB+       666,236    
  26,200    
RenaissanceRe Holdings Ltd
    6.600%               NA       501,468    
                                           
       
Total Insurance
                            149,534,995    
        IT Services – 0.0%
  2,700    
Vertex Industries Inc. (PPLUS)
    7.625%               A       67,230    
        Media – 3.2%
  29,700    
CBS Corporation
    7.250%               BBB       680,427    
  556,900    
CBS Corporation
    6.750%               BBB       11,750,590    
  1,038,100    
Comcast Corporation
    7.000%               BBB+       24,083,920    
  14,200    
Comcast Corporation
    6.625%               Baa2       305,726    
  649,400    
Viacom Inc. 
    6.850%               BBB       14,189,390    
  1,400    
Walt Disney Company (CORTS)
    6.875%               A       35,378    
                                           
       
Total Media
                            51,045,431    
        Oil, Gas & Consumable Fuels – 1.0%
  680,500    
Nexen Inc. 
    7.350%               Baa3       16,372,830    
        Pharmaceuticals – 0.1%
  49,200    
Bristol Myers Squibb Company (CORTS)
    6.250%               A+       1,111,920    
        Real Estate – 11.9%
  15,700    
AMB Property Corporation, Series P
    6.850%               BBB–       333,468    
  77,100    
AvalonBay Communities, Inc., Series H
    8.700%               BBB       1,929,042    

52


 

                                           
Shares     Description (1)   Coupon           Ratings (3)     Value   
        Real Estate (continued)
                                           
  4,000    
BRE Properties, Series C
    6.750%               BBB–     $ 82,800    
  9,100    
BRE Properties, Series D
    6.750%               BBB–       188,006    
  104,300    
Developers Diversified Realty Corporation, Series G
    8.000%               BBB–       2,395,771    
  1,265,945    
Developers Diversified Realty Corporation, Series H
    7.375%               BBB–       26,420,272    
  481,820    
Duke Realty Corporation, Series O
    8.375%               BBB       11,428,770    
  126,000    
Duke Realty Corporation, Series L
    6.600%               BBB       2,420,460    
  31,700    
Duke Realty Corporation, Series N
    7.250%               BBB       669,821    
  104,400    
Duke-Weeks Realty Corporation
    6.950%               BBB       2,090,088    
  96,000    
Duke-Weeks Realty Corporation
    6.625%               BBB       1,898,880    
  312,323    
Equity Residential Properties Trust, Series N
    6.480%               BBB       6,633,741    
  4,700    
First Industrial Realty Trust, Inc., Series J
    7.250%               BBB–       99,405    
  1,800    
First Industrial Realty Trust, Inc., Series J
    7.250%               BBB–       37,800    
  401,683    
HRPT Properties Trust, Series B
    8.750%               BBB–       9,692,611    
  533,900    
HRPT Properties Trust, Series C
    7.125%               BBB–       11,195,883    
  672,400    
Kimco Realty Corporation, Series G
    7.750%               BBB+       15,841,744    
  3,997    
Prologis Trust, Series C
    8.540%               BBB       207,220    
  55,275    
Prologis Trust, Series G
    6.750%               BBB       1,155,248    
  412,488    
PS Business Parks, Inc. 
    7.000%               BBB–       8,414,755    
  11,600    
PS Business Parks, Inc. 
    6.700%               BBB–       224,460    
  4,800    
PS Business Parks, Inc., Series I
    6.875%               BBB–       92,640    
  700    
PS Business Parks, Inc., Series K
    7.950%               BBB–       16,478    
  243,000    
PS Business Parks, Inc., Series L
    7.600%               BBB–       5,348,430    
  131,900    
PS Business Parks, Inc., Series O
    7.375%               BBB–       2,702,631    
  249,836    
Public Storage, Inc. 
    6.750%               BBB+       5,034,195    
  3,000    
Public Storage, Inc., Series N
    7.000%               BBB+       63,000    
  1,400    
Public Storage, Inc, Series G
    7.000%               BBB+       30,072    
  63,900    
Public Storage, Inc., Series C
    6.600%               BBB+       1,265,220    
  149,000    
Public Storage, Inc., Series E
    6.750%               BBB+       3,017,250    
  22,100    
Public Storage, Inc., Series F
    6.450%               BBB+       424,983    
  27,011    
Public Storage, Inc., Series H
    6.950%               BBB+       561,018    
  19,000    
Public Storage, Inc., Series I
    7.250%               BBB+       425,600    
  40,000    
Public Storage, Inc., Series K
    7.250%               BBB+       882,400    
  726,938    
Public Storage, Inc., Series M
    6.625%               BBB+       14,444,258    
  31,200    
Public Storage, Inc., Series V
    7.500%               BBB+       767,520    
  33,403    
Realty Income Corporation
    6.750%               BBB–       731,526    
  166,100    
Regency Centers Corporation
    7.450%               BBB       3,702,369    
  6,300    
United Dominion Realty Trust
    6.750%               BBB–       137,529    
  169,000    
Vornado Realty Trust, Series G
    6.625%               BBB–       3,337,750    
  185,000    
Vornado Realty Trust, Series H
    6.750%               BBB–       3,657,450    
  1,542,834    
Wachovia Preferred Funding Corporation
    7.250%               A2       29,545,271    
  236,300    
Weingarten Realty Investors Series F
    6.500%               BBB       4,714,185    
  126,800    
Weingarten Realty Trust, Series E
    6.950%               A–       2,789,600    
                                           
       
Total Real Estate
                            187,051,620    
        Thrifts & Mortgage Finance – 1.2%
  70,600    
Countrywide Capital Trust III (PPLUS)
    8.050%               Ba1       1,179,020    
  510,297    
Countrywide Capital Trust IV
    6.750%               Ba1       9,052,669    
  511,403    
Countrywide Capital Trust V
    7.000%               A+       8,944,438    
  4,500    
Harris Preferred Capital Corporation, Series A
    7.375%               A1       90,270    
                                           
       
Total Thrifts & Mortgage Finance
                            19,266,397    
        U.S. Agency – 0.8%
  50,200    
Federal Home Loan Mortgage Corporation, Notes
    5.570%               AA–       903,098    
  42,000    
Federal Home Loan Mortgage Corporation
    6.550%               AA–       825,300    
  175,000    
Federal Home Loan Mortgage Corporation
    8.375%               AA–       4,252,500    
  139,000    
Federal National Mortgage Association
    0.000%               AA–       6,589,476    
                                           
       
Total U.S. Agency
                            12,570,374    
        Wireless Telecommunication Services – 0.1%
  52,800    
United States Cellular Corporation
    8.750%               Baa3       1,307,328    
                                           
       
Total $25 Par (or similar) Preferred Securities (cost $923,567,062)
                            770,884,991    
                                           
                                           

53


 

 
     
     
   JQC
  Nuveen Multi-Strategy Income and Growth Fund 2 (continued)
Portfolio of INVESTMENTS June 30, 2008 (Unaudited)

                                           
          Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (4)     Ratings (3)     Value   
        Variable Rate Senior Loan Interests – 13.8% (8.4% of Total Investments) (5)
        Aerospace & Defense – 0.1%
$ 574    
DAE Aviation Holdings, Inc., Term Loan B-1
    6.585%       7/31/14       BB–     $ 556,516    
  571    
DAE Aviation Holdings, Inc., Term Loan B-2
    6.650%       7/31/14       BB–       552,778    
                                           
  1,145    
Total Aerospace & Defense
                            1,109,294    
                                           
        Airlines – 0.3%
  2,504    
ACTS Aero Technical Support & Services Inc., Term Loan
    5.959%       10/01/14       N/R       2,165,654    
  987    
American Airlines, Inc., Term Loan
    5.239%       12/17/10       BB–       873,825    
  1,980    
Delta Air Lines, Inc., Term Loan
    6.149%       4/30/14       B       1,319,175    
                                           
  5,471    
Total Airlines
                            4,358,654    
                                           
        Building Products – 0.4%
  3,559    
Building Materials Corporation of America, Term Loan
    5.688%       2/22/14       B+       3,177,916    
  989    
Stile Acquisition Corporation, Canadian Term Loan
    4.893%       4/05/13       BB–       918,491    
  991    
Stile Acquisition Corporation, Term Loan B
    4.892%       4/05/13       BB–       920,055    
  983    
TFS Acquisition, Term Loan
    6.301%       8/11/13       B+       923,550    
                                           
  6,522    
Total Building Products
                            5,940,012    
                                           
        Chemicals – 0.4%
  1,985    
Celanese Holdings LLC, Term Loan
    4.188%       4/02/14       BB+       1,892,228    
  1,858    
Georgia Gulf Corporation, Term Loan
    4.950%       10/03/13       Ba3       1,794,688    
  2,978    
Hercules, Inc., Term Loan
    4.450%       7/11/13       BB       2,898,100    
                                           
  6,821    
Total Chemicals
                            6,585,016    
                                           
        Commercial Services & Supplies – 0.2%
  213    
Aramark Corporation, Letter of Credit
    4.875%       1/24/14       BB       201,172    
  3,349    
Aramark Corporation, Term Loan
    4.676%       1/24/14       BB       3,166,586    
                                           
  3,562    
Total Commercial Services & Supplies
                            3,367,758    
                                           
        Communications Equipment – 0.1%
  1,800    
CommScope Inc., Term Loan B, WI/DD
    TBD       TBD       Ba3       1,734,750    
                                           
        Diversified Consumer Services – 0.3%
  258    
Laureate Education Inc., Delayed Draw, Term Loan B, (6), (7)
    1.000%       8/17/14       B       (17,634 )  
  1,733    
Laureate Education Inc., Term Loan B
    5.733%       8/17/14       B1       1,614,788    
  2,978    
Thomson Learning Center, Term Loan
    4.980%       7/05/14       B+       2,711,758    
                                           
  4,969    
Total Diversified Consumer Services
                            4,308,912    
                                           
        Diversified Telecommunication Services – 0.3%
  2,978    
Alltel Communications, Inc., Term Loan B3
    5.232%       5/18/15       BB–       2,962,612    
  500    
Intelsat Limited, Tranche B2-A
    5.184%       1/03/14       BB–       475,851    
  499    
Intelsat Limited, Tranche B2-B
    5.184%       1/03/14       BB–       475,708    
  499    
Intelsat Limited, Tranche B2-C
    5.184%       1/03/14       BB–       475,708    
                                           
  4,476    
Total Diversified Telecommunication Services
                            4,389,879    
                                           
        Electric Utilities – 0.7%
  5,225    
Calpine Corporation, DIP Term Loan
    5.685%       3/31/14       B+       5,005,364    
  1,990    
TXU Corporation, Term Loan B-2
    6.235%       10/10/14       Ba3       1,846,139    
  3,970    
TXU Corporation, Term Loan B-3
    6.262%       10/10/14       Ba3       3,680,315    
                                           
  11,185    
Total Electric Utilities
                            10,531,818    
        Electrical Equipment – 0.1%
  1,741    
Allison Transmission Holdings, Inc., Term Loan
    5.333%       8/07/14       BB–       1,558,399    
                                           
        Energy Equipment & Services – 0.1%
  2,383    
PGS Finance, Inc., Term Loan
    4.550%       6/29/15       Ba2       2,305,875    
                                           
        Health Care Equipment & Supplies – 0.4%
  120    
Bausch & Lomb, Delayed Draw Term Loan
    4.130%       4/24/15       BB–       69,863    
  478    
Bausch & Lomb, Inc., Term Loan
    5.946%       4/24/15       BB–       469,093    
  5,955    
Biomet, Inc., Term Loan
    5.801%       3/24/15       BB–       5,846,238    
                                           
  6,553    
Total Health Care Equipment & Supplies
                            6,385,194    
                                           

54


 

                                           
          Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (4)     Ratings (3)     Value   
        Health Care Providers & Services – 1.9%
$ 457    
Community Health Systems, Inc., Delayed Draw, Term Loan, (6), (7)
    1.000%       7/25/14       BB     $ (25,620 )  
  8,941    
Community Health Systems, Inc., Term Loan
    4.859%       7/25/14       BB       8,440,175    
  495    
Concentra, Inc., Term Loan
    5.051%       6/25/14       B+       446,738    
  1,762    
HCA, Inc., Term Loan
    4.301%       11/18/12       BB       1,652,696    
  5,915    
HCA, Inc., Term Loan A
    5.051%       11/18/13       BB       5,563,475    
  2,654    
Health Management Associates, Inc., Term Loan
    4.551%       2/28/14       BB–       2,473,165    
  715    
IASIS Healthcare Corporation, Delayed Term Loan
    4.483%       3/14/14       Ba2       679,948    
  191    
IASIS Healthcare Corporation, Letter of Credit
    2.371%       3/14/14       Ba2       181,320    
  2,068    
IASIS Healthcare LLC, Term Loan
    4.483%       3/14/14       Ba2       1,965,107    
  1,747    
LifePoint Hospitals, Inc., Term Loan B
    4.274%       4/18/12       BB       1,705,520    
  1,835    
Select Medical Corporation, Term Loan
    4.682%       2/24/12       Ba2       1,712,490    
  986    
Select Medical Corporation, Term Loan B-2
    4.630%       2/24/12       Ba2       919,839    
  352    
Sun Healthcare Group, Inc., Delayed Term Loan
    5.042%       4/12/14       Ba2       328,810    
  566    
Sun Healthcare Group, Inc., Synthetic Letter of Credit
    4.701%       4/19/14       Ba2       529,619    
  2,505    
Sun Healthcare Group, Inc., Term Loan
    4.789%       4/19/14       Ba2       2,342,296    
  988    
Vanguard Health Holding Company II LLC, Replacement Term Loan
    5.051%       9/23/11       Ba3       955,467    
                                           
  32,177    
Total Health Care Providers & Services
                            29,871,045    
        Hotels, Restaurants & Leisure – 0.9%
  1,975    
Cedar Fair LP, Term Loan
    4.483%       8/30/12       BB       1,876,726    
  1,796    
Harrahs Entertainment Inc., Term Loan B2, WI/DD
    TBD       TBD       BB       1,643,881    
  899    
Intrawest Corporation, Term Loan
    5.810%       10/23/08       N/R       858,930    
  212    
Isle of Capri Casinos Inc, Delayed Draw Term Loan A
    4.551%       11/25/13       BB       188,833    
  702    
Isle of Capri Casinos, Inc., Delayed Term Loan A
    4.551%       11/25/13       BB       626,279    
  281    
Isle of Capri Casinos, Inc., Delayed Term Loan B
    4.551%       11/25/13       BB       250,512    
  993    
Orbitz Worldwide, Inc., Term Loan
    5.743%       7/25/14       BB–       824,602    
  134    
Travelport LLC, Delayed Term Loan
    5.051%       8/23/13       BB–       121,023    
  669    
Travelport LLC, Letter of Credit
    4.733%       8/23/13       BB–       603,151    
  1,990    
Travelport LLC, Term Loan
    4.733%       8/23/13       BB–       1,798,417    
  1,200    
Venetian Casino Resort Delayed Term Loan
    4.560%       5/23/14       BB       1,095,917    
  4,752    
Venetian Casino Resort LLC, Term Loan
    4.550%       5/23/14       BB       4,339,831    
                                           
  15,603    
Total Hotels, Restaurants & Leisure
                            14,228,102    
                                           
        Independent Power Producers & Energy Traders – 0.3%
  1,557    
NRG Energy Inc., Credit Linked Deposit
    2.701%       2/01/13       Ba1       1,487,340    
  3,179    
NRG Energy Inc., Term Loan
    4.301%       2/01/13       Ba1       3,036,393    
                                           
  4,736    
Total Independent Power Producers & Energy Traders
                            4,523,733    
        Insurance – 0.2%
  3,966    
Conseco, Inc., Term Loan
    4.483%       10/10/13       Ba3       3,460,685    
                                           
        Internet Software & Services – 0.1%
  1,000    
Sabre, Inc., Term Loan
    4.899%       9/30/14       B+       828,929    
                                           
        IT Services – 0.3%
  3,970    
First Data Corporation, Term Loan B-1
    5.261%       9/24/14       BB–       3,654,385    
  617    
Infor Global Solutions Intermediate Holdings, Ltd., Delayed Term Loan, WI/DD
    TBD       TBD       B+       527,657    
  1,180    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan, WI/DD
    TBD       TBD       B+       1,008,795    
                                           
  5,767    
Total IT Services
                            5,190,837    
        Leisure Equipment & Products – 0.4%
  587    
Herbst Gaming Inc., Delayed Term Loan, WI/DD
    TBD       TBD       CCC–       451,660    
  676    
Hernst Gaming Inc., Term Loan, WI/DD
    TBD       TBD       CCC–       519,834    
  6,000    
Wimar OpCo LLC, Term Loan
    8.250%       1/03/12       N/R       5,805,939    
                                           
  7,263    
Total Leisure Equipment & Products
                            6,777,433    
                                           
        Machinery – 0.4%
  4,489    
LyondellBasell, Term Loan B2
    7.000%       12/22/14       Ba2       3,927,656    
  1,955    
Oshkosh Truck Corporation, Term Loan
    4.414%       12/06/13       BBB–       1,840,958    
                                           
  6,444    
Total Machinery
                            5,768,614    
                                           

55


 

 
     
     
   JQC
  Nuveen Multi-Strategy Income and Growth Fund 2 (continued)
Portfolio of INVESTMENTS June 30, 2008 (Unaudited)

                                           
          Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (4)     Ratings (3)     Value   
        Media – 2.6%
$ 5,743    
Cequel Communications LLC, Term Loan B
    4.724%       11/05/13       BB–     $ 5,397,367    
  4,055    
Charter Communications Operating Holdings LLC, Term Loan
    4.900%       3/06/14       B+       3,569,451    
  2,500    
Citadel Broadcasting Corporation, Term Loan B
    4.284%       6/12/14       BB–       2,171,875    
  5,950    
Discovery Communications Holdings LLC, Term Loan
    4.801%       5/14/14       N/R       5,848,801    
  2,034    
Gray Television Inc., Term Loan B
    4.190%       12/31/14       B+       1,830,965    
  990    
Idearc, Inc., Term Loan
    4.787%       11/17/14       BB       794,435    
  1,980    
Metro-Goldwyn-Mayer Studios, Inc., Term Loan
    6.051%       4/08/12       N/R       1,629,756    
  3,940    
Neilsen Finance LLC, Term Loan
    4.734%       8/09/13       Ba3       3,680,991    
  947    
Philadelphia Newspapers, Term Loan
    9.500%       6/29/13       N/R       653,092    
  1,975    
Readers Digest Association, Inc., Term Loan
    4.602%       3/02/14       B1       1,726,891    
  5,940    
Tribune Company, Term Loan B
    5.482%       6/04/14       B       4,492,125    
  3,433    
Tribune Company, Term Loan X
    5.478%       6/04/09       B       3,297,430    
  8,000    
Univision Communications, Inc., Term Loan
    5.149%       9/29/14       Ba3       6,605,000    
  429    
Valassis Communications, Inc. Delayed Term Loan
    4.210%       3/02/14       BB       410,334    
  1,295    
Valassis Communications, Inc. Tranche B, Term Loan
    4.560%       3/02/14       BB       1,237,735    
                                           
  49,211    
Total Media
                            43,346,248    
                                           
        Metals & Mining – 0.1%
  1,197    
John Maneely Company, Term Loan
    5.975%       12/08/13       B+       1,122,298    
                                           
        Oil, Gas & Consumable Fuels – 0.5%
  2,992    
CCS Income Trust, Term Loan
    5.483%       11/14/14       BB–       2,703,209    
  2,000    
Venoco, Inc., Term Loan
    6.688%       9/20/11       B       1,950,000    
  3,591    
Western Refining, Term Loan, WI/DD
    TBD       TBD       BB–       3,357,521    
                                           
  8,583    
Total Oil, Gas & Consumable Fuels
                            8,010,730    
                                           
        Paper & Forest Products – 0.2%
  3,949    
Georgia-Pacific Corporation, Term Loan B
    4.449%       12/21/12       BB+       3,735,310    
                                           
        Pharmaceuticals – 0.1%
  2,000    
Royalty Pharma Finance Trust, Term Loan
    7.750%       5/21/15       Baa3       1,920,000    
                                           
        Real Estate Management & Development – 0.3%
  880    
LNR Property Corporation, Term Loan B
    6.030%       7/12/11       BB       739,750    
  3,960    
Realogy Corporation, Delayed Term Loan
    5.625%       10/01/13       BB–       3,380,207    
                                           
  4,840    
Total Real Estate Management & Development
                            4,119,957    
                                           
        Road & Rail – 0.3%
  6,419    
Swift Transportation Company, Inc., Term Loan
    6.125%       5/10/14       B+       5,175,000    
                                           
        Software – 0.2%
  2,680    
Dealer Computer Services, Inc., Term Loan
    4.801%       10/26/12       BB       2,558,132    
  1,256    
Intergraph Corporation, Term Loan
    4.646%       5/29/14       BB–       1,208,969    
                                           
  3,936    
Total Software
                            3,767,101    
        Specialty Retail – 1.1%
  3,766    
Blockbuster, Inc., Tranche B Term Loan, WI/DD
    TBD       TBD       B       3,582,275    
  6,416    
Burlington Coat Factory Warehouse Corporation, Term Loan
    4.900%       5/28/13       B2       5,355,258    
  3,442    
Michaels Stores, Inc., Term Loan
    4.872%       10/31/13       B       2,874,710    
  1,500    
TRU 2005 RE Holding Co I LLC, Term Loan
    5.459%       12/08/08       B3       1,415,625    
  3,600    
TRU 2005 RE Holding Co I LLC, Term Loan B, WI/DD
    TBD       TBD       BB–       3,493,499    
                                           
  18,724    
Total Specialty Retail
                            16,721,367    
                                           
        Wireless Telecommunication Services – 0.5%
  6,000    
Asurion Corporation, Term Loan
    5.784%       7/03/14       N/R       5,589,999    
  1,980    
Leap Wireless International Inc., Term Loan
    6.301%       6/17/13       Ba2       1,954,774    
                                           
  7,980    
Total Wireless Telecommunication Services
                            7,544,773    
                                           
$ 240,423    
Total Variable Rate Senior Loan Interests (cost $231,963,799)
                            218,687,723    
                                           
                                           
                                           

56


 

                                           
Principal
                             
Amount (000)     Description (1)   Coupon     Maturity     Ratings (3)     Value   
        Convertible Bonds – 8.8% (5.4% of Total Investments)                  
        Aerospace & Defense – 0.2%
$ 300    
Alliant Techsystems, Inc., Convertible Bonds
    2.750%       9/15/11       BB–     $ 363,750    
  300    
Alliant Techsystems, Inc., Convertible Bonds
    2.750%       2/15/24       BB–       399,750    
  400    
DRS Technologies, Inc., Convertible Bonds, 144A
    2.000%       2/01/26       BB–       545,000    
  400    
L-3 Communications Corporation, Convertible Bond
    3.000%       8/01/35       BB+       444,500    
  700    
Lockheed Martin Corporation
    2.428%       8/15/33       A–       955,430    
                                           
  2,100    
Total Aerospace & Defense
                            2,708,430    
                                           
        Airlines – 0.1%
  3,375    
JetBlue Airways Corporation
    3.750%       3/15/35       CCC       2,160,000    
                                           
        Beverages – 0.0%
  450    
Molson Coors Brewing Company, Senior Convertible Notes
    2.500%       7/30/13       BBB       549,563    
                                           
        Biotechnology – 0.2%
  1,850    
Amgen Inc., 144A
    0.125%       2/01/11       A+       1,688,125    
  1,050    
Genzyme Corporation
    1.250%       12/01/23       BBB+       1,166,813    
                                           
  2,900    
Total Biotechnology
                            2,854,938    
                                           
        Capital Markets – 0.0%
  350    
BlackRock Inc.
    2.625%       2/15/35       A+       626,500    
                                           
        Commercial Banks – 0.2%
  2,300    
National City Corporation, Convertible Senior Notes
    4.000%       2/01/11       A       1,871,625    
  750    
US Bancorp, Convertible Bonds, Floating Rate
    1.354%       12/11/35       AA       736,920    
                                           
  3,050    
Total Commercial Banks
                            2,608,545    
                                           
        Commercial Services & Supplies – 0.3%
  5,800    
Allied Waste Industries Inc., Convertible Debentures
    4.250%       4/15/34       B+       5,539,000    
                                           
        Communications Equipment – 0.3%
  800    
Ciena Corporation, Convertible Bond
    0.875%       6/15/17       B+       646,000    
  200    
CommScope Inc.
    1.000%       3/15/24       B       488,750    
  950    
Liberty Media Corporation, Senior
    3.500%       1/15/31       BB+       459,199    
       
Debentures Exchangeable for Motorola Common Stock
                                 
  1,450    
Lucent Technologies Inc., Series B
    2.875%       6/15/25       BB–       1,154,563    
  1,050    
Lucent Technologies Inc.
    2.875%       6/15/23       BB–       962,063    
  600    
Nortel Networks Corp.
    1.750%       4/15/12       B–       452,250    
  400    
Nortel Networks Corp.
    1.750%       4/15/12       B–       301,500    
  850    
Nortel Networks Corp.
    2.125%       4/15/14       B–       573,750    
                                           
  6,300    
Total Communications Equipment
                            5,038,075    
                                           
        Computers & Peripherals – 0.3%
  1,750    
EMC Corporation, Convertible Bonds, 144A
    1.750%       12/01/11       A–       2,001,563    
  700    
EMC Corporation, Convertible Bonds, 144A
    1.750%       12/01/13       A–       802,375    
  350    
EMC Corporation, Convertible Bonds, 144A
    1.750%       12/01/13       A–       401,188    
  800    
Sandisk Corporation, Convertible Bond
    1.000%       5/15/13       BB–       553,000    
                                           
  3,600    
Total Computers & Peripherals
                            3,758,126    
                                           
        Construction & Engineering – 0.1%
  250    
Fluor Corporation, Convertible Bonds
    1.500%       2/15/24       A3       832,813    
  400    
Quanta Services, Inc., Convertible Bonds
    4.500%       10/01/23       BB       1,200,000    
                                           
  650    
Total Construction & Engineering
                            2,032,813    
                                           
        Containers & Packaging – 0.0%
  500    
Sealed Air Corporation, 144A
    3.000%       6/30/33       BBB–       480,625    
        Diversified Financial Services – 0.1%
  350    
Leucadia National Corporation, Convertible Bonds
    3.750%       4/15/14       BB–       753,375    
  600    
NASDAQ Stock Market Inc., Convertible Bond
    2.500%       8/15/13       BB+       524,250    
                                           
  950    
Total Diversified Financial Services
                            1,277,625    
                                           
        Diversified Telecommunication Services – 0.1%
  900    
Qwest Communications International Inc., Convertible Bond
    3.500%       11/15/25       B+       889,875    
                                           

57


 

 
     
     
   JQC
  Nuveen Multi-Strategy Income and Growth Fund 2 (continued)
Portfolio of INVESTMENTS June 30, 2008 (Unaudited)

                                           
Principal
                             
Amount (000)     Description (1)   Coupon     Maturity     Ratings (3)     Value   
        Electric Utilities – 0.0%
$ 400    
Covanta Holding Corporation, Convertible Bonds
    1.000%       2/01/27       B1     $ 426,500    
                                           
        Electrical Equipment – 0.0%
  600    
General Cable Corporation, Convertible Bonds
    1.000%       10/15/12       B+       595,500    
                                           
        Electronic Equipment & Instruments – 0.1%
  400    
Anixter International Inc., Convertible Bond
    0.000%       7/07/33       BB–       369,500    
  350    
Itron Inc.
    2.500%       8/01/26       B–       569,188    
  400    
Tech Data Corporation, Convertible Bonds
    2.750%       12/15/26       BBB–       372,500    
  400    
Vishay Intertechnology Inc.
    3.625%       8/01/23       B+       399,500    
                                           
  1,550    
Total Electronic Equipment & Instruments
                            1,710,688    
                                           
        Energy Equipment & Services – 1.0%
  400    
Cooper Cameron Corporation
    1.500%       5/15/24       BBB+       1,285,500    
  950    
Halliburton Company, Convertible Bond
    3.125%       7/15/23       A       2,695,625    
  1,750    
Nabors Industries Inc., Convertible Bond Series 144A
    0.940%       5/15/11       BBB+       2,161,250    
  450    
Nabors Industries Inc., Convertible Bond Series 144A
    0.940%       5/15/11       BBB+       555,750    
  300    
Schlumberger Limited
    2.125%       6/01/23       A+       811,125    
  400    
SESI LLC, Convertible Bond, 144A
    1.500%       12/15/26       BB       540,500    
  1,000    
Transocean Inc., Convertible Bond
    1.625%       12/15/37       BBB+       1,127,500    
  2,550    
Transocean Inc.
    1.500%       12/15/37       BBB+       2,894,250    
  1,450    
Transocean Inc.
    1.500%       12/15/37       BBB+       1,656,625    
                                           
  9,250    
Total Energy Equipment & Services
                            13,728,125    
                                           
        Food Products – 0.0%
  400    
Archer Daniels Midland Company, Convertible Bonds
    0.875%       2/15/14       A       404,500    
                                           
        Health Care Equipment & Supplies – 0.5%
  483    
Advanced Medical Optics
    2.500%       7/15/24       B–       441,341    
  750    
Advanced Medical Optics
    3.250%       8/01/26       B–       550,313    
  450    
American Medical Systems Holdings, Convertible Bond
    3.250%       7/01/36       B       441,000    
  450    
Beckman Coulter Inc., Convertible Bonds, 144A
    2.500%       12/15/36       BBB       500,063    
  1,600    
Hologic Inc.
    2.000%       12/15/37       B+       1,360,000    
  450    
Kinetic Concepts Inc., Convertible Bond
    3.250%       4/15/15       B+       458,438    
  3,350    
Medtronic, Inc., Convertible Bond
    1.500%       4/15/11       AA–       3,576,125    
  250    
Medtronic, Inc.
    1.500%       4/15/11       AA–       266,875    
  1,050    
Saint Jude Medical, Inc., Convertible Bonds
    1.220%       12/15/08       A–       1,044,750    
                                           
  8,833    
Total Health Care Equipment & Supplies
                            8,638,905    
                                           
        Health Care Providers & Services – 0.6%
  950    
Health Management Associates Inc.
    1.500%       8/01/23       Baa3       951,188    
  550    
Laboratory Corporation of America Holdings
    0.000%       9/11/21       BBB–       528,000    
  350    
LifePoint Hospitals Inc., Convertible Bond
    3.250%       8/15/25       B       290,938    
  650    
Lifepoint Hospitals, Inc., Convertible Bonds
    3.500%       5/15/14       B       556,563    
  9,065    
Omnicare, Inc.
    3.250%       12/15/35       B+       6,821,413    
  300    
Saint Jude Medical, Inc., Convertible Bonds
    1.220%       12/15/08       A–       298,500    
                                           
  11,865    
Total Health Care Providers & Services
                            9,446,602    
                                           
        Hotels, Restaurants & Leisure – 0.2%
  850    
Carnival Corporation
    2.000%       4/15/21       A–       870,188    
  650    
International Game Technology
    2.600%       12/15/36       BBB       627,250    
  1,300    
Punch Taverns Corporation, Convertible Bonds
    5.000%       12/14/10       N/R       2,134,635    
                                           
  2,800    
Total Hotels, Restaurants & Leisure
                            3,632,073    
                                           
        Insurance – 0.2%
  3,850    
Prudential Financial Inc., Convertible Bond
    0.296%       12/12/36       A+       3,769,150    
        Internet & Catalog Retail – 0.1%
  250    
Priceline.com, Inc., Convertible Bonds
    0.500%       9/30/11       BB–       723,438    
  250    
Priceline.com, Inc., Convertible Bonds
    0.750%       9/30/13       BB–       715,938    
                                           
  500    
Total Internet & Catalog Retail
                            1,439,376    
        IT Services – 0.1%
  850    
Electronic Data Systems Corporation, Convertible Bonds
    3.875%       7/15/23       BBB–       852,125    
                                           

58


 

                                           
Principal
                             
Amount (000)     Description (1)   Coupon     Maturity     Ratings (3)     Value   
        Leisure Equipment & Products – 0.0%
$ 400    
Eastman Kodak Company
    3.375%       10/15/33       B     $ 379,000    
                                           
        Life Sciences Tools & Services – 0.1%
  350    
Apogent Technologies, Inc., Convertible Bonds
    1.564%       12/15/33       BBB+       674,076    
  250    
Charles River Laboratories International, Inc.
    2.250%       6/15/13       BB+       356,250    
  250    
Fisher Scientific International, Inc., Convertible Bonds
    2.500%       10/01/23       BBB+       595,625    
                                           
  850    
Total Life Sciences Tools & Services
                            1,625,951    
                                           
        Machinery – 0.1%
  900    
Danaher Corporation, Convertible Bonds
    0.000%       1/22/21       A+       1,027,125    
  700    
Trinity Industries Inc., Convertible Bonds
    3.875%       6/01/36       Ba2       672,000    
                                           
  1,600    
Total Machinery
                            1,699,125    
                                           
        Media – 0.7%
  300    
ELF Special Financing Limited, Convertible Bonds, 144A
    6.308%       6/15/09       Ba3       322,719    
  500    
ELF Special Financing Limited, Convertible Bonds, 144A
    3.164%       6/15/09       Ba3       491,190    
  2,400    
Getty Images, Inc., Convertible Bonds
    0.500%       6/09/23       Ba2       2,412,000    
  400    
Hasbro Inc.
    2.750%       12/01/21       BBB       664,500    
  350    
Interpublic Group Companies Inc., Convertible Notes
    4.750%       3/15/23       Ba3       360,500    
  400    
Interpublic Group Companies Inc., Convertible Notes
    4.250%       3/15/23       Ba3       407,000    
  50    
Interpublic Group Companies Inc., Convertible Notes
    4.250%       3/15/23       Ba3       50,875    
  900    
Liberty Media Corporation, Senior
    3.250%       3/15/31       BB+       580,500    
       
Debentures, Exchangeable for Class B Viacom Common Stock
                                 
  1,100    
Liberty Media Corporation, Senior
    4.000%       11/15/29       BB+       611,875    
       
Debentures, Exchangeable for PCS Common Stock, Series 1
                                 
  1,700    
Liberty Media Corporation
    0.750%       3/30/23       BB+       1,780,750    
  1,100    
Omnicom Group, Inc.
    0.000%       7/31/32       A–       1,111,000    
  750    
Omnicom Group, Inc.
    0.000%       7/01/38       A–       783,750    
  1,200    
Omnicom Group, Inc.
    0.000%       2/07/31       A–       1,195,500    
  400    
Sinclair Broadcast Group, Inc., Convertible Bonds
    3.000%       5/15/27       B       369,000    
                                           
  11,550    
Total Media
                            11,141,159    
                                           
        Metals & Mining – 0.2%
  3,000    
Gold Reserve, Inc., Convertible Bonds
    5.500%       6/15/22       N/R       1,680,000    
  50    
Newmont Mining Corp., Senior Convertible Note
    1.625%       7/15/17       BBB+       64,625    
  900    
Newmont Mining Corporation
    1.625%       7/15/17       BBB+       1,163,250    
                                           
  3,950    
Total Metals & Mining
                            2,907,875    
                                           
        Multiline Retail – 0.0%
  350    
Saks, Inc., Convertible Bonds
    2.000%       3/15/24       BB–       372,313    
                                           
        Oil, Gas & Consumable Fuels – 0.6%
  250    
Alpha Natural Resouces Inc., Convertible Bond
    2.375%       4/15/15       B       520,000    
  1,150    
Chesapeake Energy Corporation, 144A
    2.750%       11/15/35       BB       2,072,875    
  1,200    
Chesapeake Energy Corporation, Convertible Bonds
    2.500%       5/15/37       BB       2,134,500    
  650    
Chesapeake Energy Corporation, Convertible Bonds
    2.250%       12/15/38       BB       749,938    
  650    
Devon Energy Corporation
    4.900%       8/15/08       BBB+       1,210,625    
  900    
Peabody Energy Corp., Convertible Bond
    4.750%       12/15/66       Ba3       1,490,625    
  450    
Pioneer Natural Resouces Company, Convertible Bond
    2.875%       1/15/38       BB+       702,563    
  1,550    
USEC Inc., Convertible Bond
    3.000%       10/01/14       CCC       1,166,375    
                                           
  6,800    
Total Oil, Gas & Consumable Fuels
                            10,047,501    
                                           
        Pharmaceuticals – 0.5%
  450    
Allergan Inc., Convertible Bond
    1.500%       4/01/26       A       476,438    
  1,050    
Bristol-Myers Squibb Company, Convertible Bond
    2.314%       9/15/23       A+       1,049,349    
  900    
Myland Labs, Inc., Convertible Bonds
    1.250%       3/15/12       B+       758,250    
  1,250    
Teva Pharmaceutical Finance Company B.V., Series D
    1.750%       2/01/26       BBB+       1,395,313    
  695    
Teva Pharmaceutical Finance, Series A
    0.500%       2/01/24       BBB+       853,113    
  950    
Teva Pharmaceutical Finance, Series B
    0.250%       2/01/24       BBB+       1,273,000    
  750    
Watson Pharmaceuticals Inc., Convertible Bond
    1.750%       3/15/23       BB+       718,125    
  1,600    
Wyeth, Convertible Bond
    3.581%       1/15/24       A+       1,641,920    
  7,645    
Total Pharmaceuticals
                            8,165,508    
                                           

59


 

 
     
     
   JQC
  Nuveen Multi-Strategy Income and Growth Fund 2 (continued)
Portfolio of INVESTMENTS June 30, 2008 (Unaudited)

                                           
Principal
                             
Amount (000)     Description (1)   Coupon     Maturity     Ratings (3)     Value   
        Real Estate – 0.8%
$ 1,450    
Boston Properties Limited Partnership, Convertible Bonds, 144A
    2.875%       2/15/37       A–     $ 1,344,875    
  300    
Brandywine Operating Partnership, Convertible Bonds
    3.875%       10/15/26       BBB–       263,250    
  750    
BRE Properties Inc., Convertible Bond
    4.125%       8/15/26       BBB       708,750    
  750    
Developers Diversified Realty Corporation, Convertible Bonds
    3.000%       3/15/12       N/R       659,063    
  700    
Duke Realty Corporation, Series D
    3.750%       12/01/11       BBB+       631,750    
  450    
Health Care REIT, Inc., Convertible Bonds
    4.750%       12/01/26       Baa2       480,938    
  800    
Hospitality Properties Trust, Convertible Bonds
    3.800%       3/15/27       BBB       670,000    
  450    
Host Marriot LP, Convertible Bonds, 144A
    3.250%       4/15/24       Ba1       460,125    
  1,800    
Prologis, Convertible Bonds, 144A
    2.250%       4/01/37       BBB+       1,653,750    
  1,250    
Prologis, Convertible Bonds, 144A
    1.875%       11/15/37       BBB+       1,087,500    
  2,200    
Vornado Realty Trust, Convertible Bonds
    2.850%       4/01/27       BBB       1,955,250    
  900    
Vornado Realty, Convertible Bond
    3.875%       4/15/25       BBB       1,021,500    
  900    
Weingarten Realty Investment Trust, Convertible Bonds
    3.950%       8/01/26       BBB+       832,500    
                                           
  12,700    
Total Real Estate
                            11,769,251    
                                           
        Road & Rail – 0.0%
  150    
CSX Corporation
    0.000%       10/30/21       BBB–       334,875    
                                           
        Semiconductors & Equipment – 0.6%
  1,400    
Advanced Micro Devices, Inc., Convertible Bond
    5.750%       8/15/12       B       1,037,750    
  200    
Advanced Micro Devices, Inc., Convertible Bonds
    5.750%       8/15/12       B       148,250    
  1,400    
Advanced Micro Devices, Inc., Convertible Bonds
    6.000%       5/01/15       B       889,000    
  550    
Advanced Micro Devices, Inc., Convertible Bonds
    6.000%       5/01/15       B       349,250    
  1,800    
Intel Corporation, Convertible Bond
    2.950%       12/15/35       A–       1,761,750    
  2,050    
Micron Technology, Inc.
    1.875%       6/01/14       BB–       1,455,500    
  600    
ON Semiconductor Corporation
    2.625%       12/15/26       B+       659,250    
  3,500    
Qimonda Finance LLC, Convertible Bond
    6.750%       3/22/13       N/R       2,533,125    
  450    
Xilinx Inc., Convertible Bond, 144A
    3.125%       3/15/37       BB       427,500    
                                           
  11,950    
Total Semiconductors & Equipment
                            9,261,375    
                                           
        Software – 0.1%
  500    
Amdocs Limited
    0.500%       3/15/24       BBB       492,500    
  350    
Computer Associates International Inc., Convertible Bond, Series 144A
    1.625%       12/15/09       BB+       437,063    
  450    
Red Hat Inc., Convertible Bond
    0.500%       1/15/24       BB–       457,875    
                                           
  1,300    
Total Software
                            1,387,438    
                                           
        Specialty Retail – 0.1%
  600    
Best Buy Co., Inc.
    2.250%       1/15/22       BBB–       628,500    
  450    
Charming Shoppes Inc., Convertible Bond
    1.125%       5/01/14       B–       275,063    
  750    
TJX Companies, Inc.
    0.000%       2/13/21       A–       794,063    
  250    
United Auto Group, Inc., Convertible Bonds
    3.500%       4/01/26       B+       233,125    
                                           
  2,050    
Total Specialty Retail
                            1,930,751    
                                           
        Textiles, Apparel & Luxury Goods – 0.0%
  400    
Iconix Brand Group, Inc., Convertible Notes
    1.875%       6/30/12       B       306,000    
                                           
        Thrifts & Mortgage Finance – 0.1%
  1,450    
Countrywide Financial Corporation, Convertible Bonds, 144A
    -0.784%       4/15/37       Baa3       1,404,688    
                                           
        Wireless Telecommunication Services – 0.2%
  450    
American Tower Corporation
    3.000%       8/15/12       BB+       939,375    
  950    
Liberty Media Corporation Convertible Bonds
    3.750%       2/15/30       BB+       490,438    
  1,000    
Nextel Communications, Inc., Convertible Senior Notes
    5.250%       1/15/10       Baa3       970,000    
                                           
  2,400    
Total Wireless Telecommunication Services
                            2,399,813    
                                           
$ 137,368    
Total Convertible Bonds (cost $140,665,507)
                            140,300,282    
                                           
                                           
                                           

60


 

                                                   
Principal
                                   
Amount (000)     Description (1)         Coupon     Maturity     Ratings (3)     Value  
        Corporate Bonds – 9.4% (5.7% of Total Investments)
        Aerospace & Defense – 0.1%
$ 1,000    
Hexcel Corporation, Term Loan
            6.750%       2/01/15       B+     $ 977,500    
                                                   
        Chemicals – 0.2%
  1,000    
Momentive Performance Materials
            9.750%       12/01/14       B       860,000    
  3,000    
Rockwood Specialties Group Inc., Series WI
            7.500%       11/15/14       BB–       2,962,500    
                                                   
  4,000    
Total Chemicals
                                    3,822,500    
                                                   
        Containers & Packaging – 0.4%
  3,000    
Owens-Brockway Glass Containers, Guaranteed Senior Note
            8.250%       5/15/13       BB       3,090,000    
  3,000    
Owens-Illinois Inc. 
            7.500%       5/15/10       B+       3,067,500    
                                                   
  6,000    
Total Containers & Packaging
                                    6,157,500    
                                                   
        Diversified Telecommunication Services – 0.0%
  750    
Syniverse Technologies Inc., Series B
            7.750%       8/15/13       B       708,750    
                                                   
        Electric Utilities – 0.1%
  1,000    
Sierra Pacific Resources, Series 2006
            6.750%       8/15/17       BB       976,615    
                                                   
        Energy Equipment & Services – 0.2%
  2,500    
Pride International Inc. 
            7.375%       7/15/14       BB+       2,506,250    
                                                   
        Food & Staples Retailing – 0.1%
  2,000    
Stater Brothers Holdings Inc. 
            8.125%       6/15/12       B+       2,020,000    
                                                   
        Food Products – 0.5%
  4,110    
Del Monte Corporation
            8.625%       12/15/12       B+       4,192,200    
  1,096    
Dole Foods Company
            8.625%       5/01/09       B–       1,049,420    
  2,700    
Dole Foods Company
            8.750%       7/15/13       B–       2,389,500    
                                                   
  7,906    
Total Food Products
                                    7,631,120    
                                                   
        Health Care Providers & Services – 0.6%
  500    
Biomet Inc. 
            10.000%       10/15/17       N/R       536,250    
  3,000    
Community Health Systems, Inc. 
            8.875%       7/15/15       B       3,033,750    
  1,700    
HCA Inc. 
            9.125%       11/15/14       BB–       1,742,500    
  700    
HCA Inc. 
            9.250%       11/15/16       BB–       722,750    
  3,000    
US Oncology Inc. 
            10.750%       8/15/14       B3       2,992,500    
                                                   
  8,900    
Total Health Care Providers & Services
                                    9,027,750    
                                                   
        Hotels, Restaurants & Leisure – 1.2%
  4,075    
Boyd Gaming Corporation
            7.750%       12/15/12       BB       3,535,063    
  1,650    
Jacobs Entertainment Inc. 
            9.750%       6/15/14       B       1,245,750    
  2,000    
Landry’s Restaurants Inc. 
            9.500%       12/15/14       B3       1,970,000    
  1,000    
Park Place Entertainment
            7.875%       3/15/10       B–       915,000    
  2,000    
Pinnacle Entertainment Inc. 
            8.250%       3/15/12       B+       1,975,000    
  3,000    
Pinnacle Entertainment Inc. 
            8.750%       10/01/13       B+       3,015,000    
  1,750    
Seminole Hard Rock Entertainment, Inc. 
            5.177%       3/15/14       BB       1,478,750    
  4,000    
Universal City Development Partners
            11.750%       4/01/10       B+       4,120,000    
                                                   
  19,475    
Total Hotels, Restaurants & Leisure
                                    18,254,563    
                                                   
        Independent Power Producers & Energy Traders – 0.1%
  500    
Mirant North America LLC
            7.375%       12/31/13       B1       498,125    
  600    
NRG Energy Inc. 
            7.250%       2/01/14       B1       574,500    
  600    
NRG Energy Inc. 
            7.375%       2/01/16       B1       566,250    
                                                   
  1,700    
Total Independent Power Producers & Energy Traders
                                    1,638,875    
                                                   
        IT Services – 0.6%
  3,500    
First Data Corporation
            9.875%       9/24/15       B       3,049,375    
  1,950    
Global Cash Access LLC
            8.750%       3/15/12       B       1,925,625    
  4,750    
Sungard Data Systems Inc. 
            9.125%       8/15/13       B+       4,821,250    
  10,200    
Total IT Services
                                    9,796,250    
                                                   
        Machinery – 0.2%
  3,000    
Greenbrier Companies, Inc. 
            8.375%       5/15/15       B       2,872,500    
                                                   

61


 

 
     
     
   JQC
  Nuveen Multi-Strategy Income and Growth Fund 2 (continued)
Portfolio of INVESTMENTS June 30, 2008 (Unaudited)

                                                   
Principal
                                   
Amount (000)     Description (1)         Coupon     Maturity     Ratings (3)     Value  
        Media – 1.7%
$ 6,900    
Allbritton Communications Company, Series B
            7.750%       12/15/12       B+     $ 6,744,750    
  2,000    
AMC Entertainment Inc. 
            8.000%       3/01/14       B2       1,785,000    
  5,000    
Cablevision Systems Corporation, Series B
            8.125%       8/15/09       BB       5,050,000    
  3,000    
Cablevision Systems Corporation
            7.250%       7/15/08       BB       3,007,500    
  2,000    
Cablevision Systems Corporation
            8.125%       7/15/09       BB       2,020,000    
  1,000    
Dex Media West LLC
            8.500%       8/15/10       BB–       992,500    
  2,198    
Dex Media West LLC
            9.875%       8/15/13       B+       1,983,695    
  4,000    
Medianews Group Inc. 
            6.375%       4/01/14       Caa2       1,660,000    
  4,000    
R.H. Donnelley Corporation
            8.875%       10/15/17       B–       2,400,000    
  3,500    
Young Broadcasting Inc., Senior Subordinated Note
            10.000%       3/01/11       Caa2       1,977,500    
  2,000    
Young Broadcasting Inc. 
            8.750%       1/15/14       Caa2       1,090,000    
                                                   
  35,598    
Total Media
                                    28,710,945    
                                                   
        Metals & Mining – 0.3%
  5,200    
MagIndustries Corporation,
            11.000%       12/14/12       N/R       4,834,783    
                                                   
        Multi-Utilities – 0.2%
  2,400    
Dynegy Holdings, Inc., Term Loan
            8.375%       5/01/16       B       2,340,000    
  500    
Northwestern Corporation
            5.875%       11/01/14       A–       492,755    
                                                   
  2,900    
Total Multi-Utilities
                                    2,832,755    
                                                   
        Oil, Gas & Consumable Fuels – 0.8%
  600    
Chaparral Energy Inc. 
            8.500%       12/01/15       B–       523,500    
  4,345    
Chesapeake Energy Corporation
            7.750%       1/15/15       BB       4,529,663    
  1,000    
Hilcorp Energy I LP/Hilcorp Finance Company, Series 144A
            7.750%       11/01/15       BB–       965,000    
  2,000    
Premcor Refining Group Inc. 
            7.500%       6/15/15       BBB       2,064,710    
  3,000    
SemGroup LP, 144A
            8.750%       11/15/15       B1       2,925,000    
  1,500    
Whiting Petroleum Corporation
            7.000%       2/01/14       BB–       1,479,375    
                                                   
  12,445    
Total Oil, Gas & Consumable Fuels
                                    12,487,248    
                                                   
        Paper & Forest Products – 0.4%
  5,000    
Georgia-Pacific Corporation
            8.125%       5/15/11       B+       4,962,500    
  2,000    
Georgia-Pacific Corporation
            7.700%       6/15/15       B+       1,900,000    
                                                   
  7,000    
Total Paper & Forest Products
                                    6,862,500    
                                                   
        Personal Products – 0.1%
  1,600    
Prestige Brands Inc. 
            9.250%       4/15/12       B–       1,608,000    
                                                   
        Real Estate – 0.3%
  3,000    
Felcor Lodging Trust Inc., 144A
            4.803%       12/01/11       Ba3       2,715,000    
  1,000    
Trustreet Properties, Inc., (10)
            7.500%       4/01/15       AAA       1,067,628    
  500    
Ventas Realty LP, Series WI
            7.125%       6/01/15       BBB–       490,625    
                                                   
  4,500    
Total Real Estate
                                    4,273,253    
                                                   
        Semiconductors & Equipment – 0.3%
  2,400    
Avago Technologies Finance Pte Limited
            10.125%       12/01/13       BB–       2,556,000    
  2,000    
NXP BV
            5.463%       10/15/13       BB–       1,767,500    
                                                   
  4,400    
Total Semiconductors & Equipment
                                    4,323,500    
                                                   
        Software – 0.2%
  3,250    
Telcorida Technologies, Inc. 
            6.564%       7/15/12       B       2,819,375    
                                                   
        Specialty Retail – 0.5%
  1,000    
Quiksilver Inc. 
            6.875%       4/15/15       Ba3       855,000    
  7,000    
Warnaco Inc., Senior Notes
            8.875%       6/15/13       BB       7,297,500    
                                                   
  8,000    
Total Specialty Retail
                                    8,152,500    
                                                   
        Textiles, Apparel & Luxury Goods – 0.2%
  4,000    
Jostens IH Corporation
            7.625%       10/01/12       B+       3,950,000    
                                                   
        Wireless Telecommunication Services – 0.1%
  1,500    
IPCS, Inc. 
            4.975%       5/01/13       B1       1,357,500    
                                                   
$ 158,824    
Total Corporate Bonds (cost $161,160,070)
                                    148,602,532    
                                                   
                                                   
                                                   

62


 

                                           
Principal
                             
Amount (000)/
                             
Shares     Description (1)   Coupon     Maturity     Ratings (3)     Value   
        Capital Preferred Securities – 29.2% (17.8% of Total Investments)
        Capital Markets – 3.0%
  20,750    
C.A. Preferred Funding Trust
    7.000%       1/30/49       A1     $ 19,377,491    
  16    
Deutsche Bank Capital Funding Trust V
    8.050%       6/30/58       Aa3       375,858    
  12,400    
Dresdner Funding Trust I, 144A
    8.151%       6/30/31       A1       10,371,348    
  3,500    
First Union Capital Trust II, Series A
    7.950%       11/15/29       A1       3,443,738    
  8,650    
JPM Chase Capital XXV
    6.800%       10/01/37       Aa3       7,787,102    
  6,700    
Kleinwort Benson Group PLC
    3.392%       12/31/99       N/R       4,184,592    
  2,200    
MUFG Capital Finance
    4.850%       7/25/56       BBB+       2,666,289    
                                           
       
Total Capital Markets
                            48,206,418    
         
         
        Commercial Banks – 16.2%
  2,000    
AB Svensk Exportkredit, 144A
    6.375%       10/27/49       AA–       1,994,028    
  7,600    
Abbey National Capital Trust I
    8.963%       6/30/50       A+       8,345,005    
  41,600    
AgFirst Farm Credit Bank
    7.300%       12/15/53       A       38,570,854    
  13,070    
Bank One Capital III
    8.750%       9/01/30       Aa3       14,429,476    
  2,600    
BankAmerica Institutional Capital Trust, Series B, 144A
    7.700%       12/31/26       Aa3       2,560,758    
  1,000    
BanPonce Trust I, Series A
    8.327%       2/01/27       Baa1       954,707    
  4,000    
Barclays Bank PLC, 144A
    8.550%       6/15/49       Aa3       3,890,000    
  1,000    
Barclays Bank PLC
    7.434%       12/15/57       Aa3       939,522    
  2,500    
BBVA International Preferred S.A., Unipersonal
    5.919%       4/18/58       Aa3       2,045,215    
  4,000    
BNP Paribas
    7.195%       12/25/57       AA–       3,627,332    
  1,000    
Capital One Capital IV Corporation
    6.745%       2/17/37       Baa1       749,099    
  10,100    
DBS Capital Funding Corporation, 144A
    7.657%       3/15/49       Aa3       10,218,019    
  1,900    
Den Norske Bank, 144A
    7.729%       6/29/49       Aa3       1,905,865    
  5,750    
First Empire Capital Trust I
    8.234%       2/01/27       A3       5,736,373    
  4,250    
First Midwest Bancorp Inc. 
    6.950%       12/01/33       Baa1       3,357,645    
  750    
HBOS Capital Funding LP, Notes
    6.850%       3/23/49       A1       604,937    
  23,900    
HBOS PLC, Series 144A
    6.413%       4/01/49       A1       16,740,038    
  6,000    
HBOS PLC, Series 144A
    6.657%       11/21/57       A1       4,214,874    
  12,838    
HSBC Capital Funding LP, 144A
    9.547%       12/31/49       A1       13,400,985    
  14,000    
HSBC Capital Funding LP, Debt
    10.176%       6/30/50       A1       17,217,284    
  15,905    
KBC Bank Fund Trust III, 144A
    9.860%       5/02/50       A1       16,781,318    
  4,000    
KeyCorp Capital III
    7.750%       7/15/29       A3       3,429,036    
  5,000    
Lloyds TSB Bank PLC, Subordinated Note
    6.900%       11/22/49       Aa2       4,630,235    
  4,000    
Mizuho Financial Group
    8.375%       4/27/49       Aa3       4,008,668    
  1,000    
Nordbanken AB, 144A
    8.950%       11/29/49       Aa3       1,034,660    
  10,000    
North Fork Capital Trust II
    8.000%       12/15/27       Baa1       8,818,840    
  6,000    
Northgroup Preferred Capital Corporation, 144A
    6.378%       10/15/57       A1       4,135,854    
  6,000    
PNC Preferred Funding Trust III
    8.700%       3/15/58       A–       5,981,742    
  2,000    
Reliance Capital Trust I, Series B
    8.170%       5/01/28       N/R       1,674,798    
  6,200    
Royal Bank of Scotland Group PLC
    9.118%       3/31/49       A1       6,249,947    
  3,500    
Shinsei Finance II Cayman Limited, Perpetual Maturity, 144A
    7.160%       7/25/49       Baa2       2,471,875    
  3,100    
Standard Chartered PLC, 144A
    6.409%       1/30/57       BBB+       2,491,507    
  11,700    
Standard Chartered PLC, 144A
    7.014%       1/30/58       BBB+       10,105,044    
  14,700    
Swedbank ForeningsSparbanken AB, 144A
    9.000%       9/17/50       A1       14,910,563    
  15,290    
Unicredito Italiano Capital Trust, 144A
    9.200%       4/05/51       A1       15,685,291    
  600    
Union Bank of Norway
    7.068%       11/19/49       A       908,205    
                                           
       
Total Commercial Banks
                            254,819,599    
         
         
        Diversified Financial Services – 1.6%
  4,800    
Fulton Capital Trust I
    6.290%       2/01/36       A3       3,327,839    
  23,600    
Old Mutual Capital Funding, Notes
    8.000%       6/22/53       Baa2       22,478,999    
                                           
       
Total Diversified Financial Services
                            25,806,838    
         
         
        Diversified Telecommunication Services – 1.2%
  19    
Centaur Funding Corporation, Series B, 144A
    9.080%       4/21/20       BBB       18,871,313    
        Insurance – 5.9%
  2,000    
Allstate Corporation
    6.500%       5/15/57       A2       1,752,685    
  4,000    
AMBAC Financial Group Inc. 
    6.150%       2/15/87       BBB+       642,487    
  10,000    
American General Capital II
    8.500%       7/01/30       A1       10,378,239    
  4,980    
American General Institutional Capital, 144A
    8.125%       3/15/46       A1       4,818,891    
  12,400    
American International Group
    8.175%       5/15/58       A1       11,700,924    
  6,900    
AXA S.A., 144A
    6.463%       12/14/49       BBB+       5,529,521    

63


 

 
     
     
   JQC
  Nuveen Multi-Strategy Income and Growth Fund 2 (continued)
Portfolio of INVESTMENTS June 30, 2008 (Unaudited)

                                           
Principal
                             
Amount (000)/
                             
Shares     Description (1)   Coupon     Maturity     Ratings (3)     Value   
        Insurance (continued)
                                           
  750    
Great West Life and Annuity Insurance Company
    7.153%       5/16/46       A–     $ 672,061    
  7,000    
Hartford Financial Services Group Inc. 
    8.125%       6/15/68       AAA       6,824,173    
  3,500    
Liberty Mutual Group
    7.800%       3/15/37       Baa3       2,801,102    
  6,000    
MetLife Capital Trust X
    9.250%       4/08/68       BBB+       6,478,007    
  1,550    
Nationwide Financial Services Capital Trust
    7.899%       3/01/37       Baa1       1,374,152    
  4,000    
Nationwide Financial Services Inc. 
    6.750%       5/15/67       Baa1       3,176,835    
  7,600    
Oil Insurance Limited, 144A
    7.558%       12/30/49       Baa1       6,487,868    
  3,800    
Progressive Corporation
    6.700%       6/15/37       A2       3,337,482    
  4,000    
Prudential Financial Inc. 
    0.000%       6/15/38       A–       4,005,395    
  1,000    
Prudential PLC
    6.500%       6/29/49       A       853,450    
  9,000    
QBE Capital Funding Trust II, 144A
    6.797%       6/01/49       BBB       7,556,750    
  22,200    
XL Capital, Limited
    6.500%       10/15/57       BBB       15,007,332    
                                           
       
Total Insurance
                            93,397,354    
         
         
        Real Estate – 0.0%
  2,000    
CBG Florida REIT Corporation
    7.114%       11/15/49       BB+       543,471    
  4    
PS Business Parks Inc., Series M
    7.200%       3/30/55       BBB–       80,825    
                                           
       
Total Real Estate
                            624,296    
         
         
        Road & Rail – 0.4%
  7,600    
Burlington Northern Santa Fe Funding Trust I
    6.613%       12/15/55       BBB       6,891,102    
        Thrifts & Mortgage Finance – 0.9%
  25,600    
Washington Mutual Preferred Funding Cayman, Series A-1, 144A
    7.250%       3/15/49       BB+       14,477,541    
  1,000    
Washington Mutual Preferred Funding Trust II
    6.665%       3/15/57       BB+       540,736    
                                           
       
Total Thrifts & Mortgage Finance
                            15,018,277    
         
         
       
Total Capital Preferred Securities (cost $557,822,602)
                            463,635,197    
         
         
Shares     Description (1)                     Value   
        Investment Companies – 2.4% (1.5% of Total Investments)
  99,306    
Blackrock Preferred and Corporate Income Strategies Fund
                          $ 1,517,395    
  751,883    
Blackrock Preferred Income Strategies Fund
                            11,443,658    
  88,292    
Blackrock Preferred Opportunity Trust
                            1,549,524    
  753,964    
Flaherty and Crumrine/Claymore Preferred Securities Income Fund Inc.
                            10,510,257    
  109,139    
Flaherty and Crumrine/Claymore Total Return Fund Inc. 
                            1,634,901    
  84,688    
John Hancock Preferred Income Fund
                            1,603,143    
  63,914    
John Hancock Preferred Income Fund II
                            1,195,191    
  540,883    
John Hancock Preferred Income Fund III
                            9,016,519    
                                           
       
Total Investment Companies (cost $50,705,066)
                            38,470,588    
                                           
Principal
                             
Amount (000)     Description (1)   Coupon     Maturity           Value   
        Short-Term Investments – 8.5% (5.2% of Total Investments)
$ 63,458    
Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/08, repurchase price $63,461,331, collateralized by $51,020,000 U.S. Treasury Bonds, 6.250%, due 8/15/23, value $61,925,525, $1,225,000 U.S. Treasury Bonds, 6.500%, due 11/15/26, value $1,525,125 and $1,000,000 U.S. Treasury Bonds, 6.625%, due 2/15/27, value $1,278,750
    1.350%       7/01/08             $  63,458,951    
  71,260    
Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/08, repurchase price $71,262,186, collateralized by $73,385,000 U.S. Treasury Bills, 0.000%, due 12/11/08, value $72,687,843
    1.350%       7/01/08               71,259,514    
                                           
$ 134,718    
Total Short-Term Investments (cost $134,718,465)
                            134,718,465    
                                           
       
Total Investments (cost $2,894,611,077) – 163.9%
                            2,599,974,826    
                                           
                                           
                                           

64


 

                                           
Shares     Description (1)                     Value   
        Common Stocks Sold Short – (0.7)%
        Chemicals – (0.1)%
  (30,000 )  
Sigma-Aldrich Corporation
                          $ (1,615,800 )  
        Computers & Peripherals – (0.1)%
  (6,500 )  
Apple, Inc.,
                            (1,088,360 )  
        Health Care Equipment & Supplies – (0.1)%
  (13,000 )  
C. R. Bard, Inc. 
                            (1,143,350 )  
  (9,000 )  
Chattem Inc., (2)
                            (585,450 )  
                                           
       
Total Health Care Equipment & Supplies
                            (1,728,800 )  
                                           
        Hotels, Restaurants & Leisure – (0.0)%
  (17,600 )  
Tim Hortons Inc. 
                            (504,944 )  
        Internet Software & Services – (0.1)%
  (20,426 )  
Bankrate Inc., (2)
                            (798,044 )  
        Pharmaceuticals – (0.2)%
  (45,500 )  
Abbott Laboratories
                            (2,410,927 )  
  (26,600 )  
Allergan, Inc. 
                            (1,384,530 )  
                                           
       
Total Pharmaceuticals
                            (3,795,457 )  
        Specialty Retail – (0.1)%
  (11,600 )  
AutoZone, Inc., (2)
                            (1,403,716 )  
  (20,100 )  
Urban Outfitters, Inc., (2)
                            (626,919 )  
                                           
       
Total Specialty Retail
                            (2,030,635 )  
                                           
       
Total Common Stocks Sold Short (proceeds $12,715,797)
                            (11,562,040 )  
                                           
Number of
        Notional
    Expiration
    Strike
       
Contracts     Type   Amount (8)     Date     Price     Value   
        Call Options Written – (1.0)%
  (3,777 )  
Allied Waste Industries
  $ (3,777,000 )     1/17/09       $10.0     $ (1,246,410 )  
  (664 )  
Allied Waste Industries
    (830,000 )     1/17/09       12.5       (92,960 )  
  (538 )  
Ameren Corporation
    (2,421,000 )     12/20/08       45.0       (65,905 )  
  (388 )  
Amgen, Inc.
    (1,940,000 )     1/17/09       50.0       (120,280 )  
  (603 )  
Amgen, Inc.
    (3,316,500 )     1/17/09       55.0       (91,355 )  
  (1,386 )  
AngloGold Limited
    (5,544,000 )     1/17/09       40.0       (270,270 )  
  (221 )  
Arch Coal Inc.
    (1,215,500 )     1/17/09       55.0       (541,450 )  
  (750 )  
AstraZeneca Group
    (3,375,000 )     7/19/08       45.0       (24,375 )  
  (1,048 )  
AstraZeneca Group
    (5,240,000 )     1/17/09       50.0       (115,280 )  
  (2,813 )  
Barrick Gold Corporation
    (14,065,000 )     1/17/09       50.0       (1,153,330 )  
  (3,280 )  
BJ Services Company
    (7,380,000 )     1/17/09       22.5       (3,378,400 )  
  (1,703 )  
AbitibiBowater, Inc.
    (2,128,750 )     1/17/09       12.5       (183,073 )  
  (1,231 )  
BP Amoco, PLC
    (8,617,000 )     1/17/09       70.0       (640,120 )  
  (900 )  
eBay, Inc.
    (2,700,000 )     1/17/09       30.0       (191,700 )  
  (1,400 )  
Electronic Data Systems Corporation
    (2,800,000 )     1/17/09       20.0       (707,000 )  
  (1,430 )  
Gold Fields Limited
    (2,502,500 )     7/19/08       17.5       (7,150 )  
  (430 )  
Health Net Inc.
    (1,290,000 )     10/18/08       30.0       (27,950 )  
  (570 )  
IdaCorp Inc.
    (1,710,000 )     11/22/08       30.0       (57,000 )  
  (1,800 )  
Ivanhoe Mines Ltd.
    (2,250,000 )     1/17/09       12.5       (292,500 )  
  (433 )  
KT Corporation
    (1,082,500 )     7/19/08       25.0       (8,660 )  
  (2,446 )  
LM Ericsson Telephone Company
    (2,763,980 )     1/17/09       11.3       (244,600 )  
  (650 )  
Microsoft Corporation
    (1,950,000 )     1/17/09       30.0       (92,625 )  
  (2,351 )  
Newmont Mining Corporation
    (11,755,000 )     1/17/09       50.0       (1,657,455 )  
  (865 )  
Nexen Inc.
    (2,595,000 )     1/17/09       30.0       (977,450 )  
  (2,613 )  
Nippon Telegraph & Telephone Corporation
    (6,532,500 )     12/20/08       25.0       (385,418 )  
  (585 )  
Progress Energy, Inc.
    (2,340,000 )     1/17/09       40.0       (176,963 )  
  (833 )  
Royal Dutch Shell PLC
    (5,831,000 )     7/19/08       70.0       (849,660 )  
  (601 )  
Sanofi–Aventis
    (2,554,250 )     9/20/08       42.5       (4,508 )  
  (870 )  
Scholastic Corporation
    (2,610,000 )     9/20/08       30.0       (113,100 )  
  (1,888 )  
Smithfield Foods, Inc.
    (5,664,000 )     1/17/09       30.0       (66,080 )  
  (670 )  
Tech Data Corporation
    (2,680,000 )     1/17/09       40.0       (60,300 )  
  (143 )  
Technip S.A.
    (858,000 )     12/20/08       60.0       (137,114 )  
  (5,094 )  
Tyson Foods, Inc.
    (7,641,000 )     1/17/09       15.0       (967,860 )  
  (1,699 )  
Tyson Foods, Inc.
    (2,973,250 )     1/17/09       17.5       (165,653 )  

65


 

 
     
     
   JQC
  Nuveen Multi-Strategy Income and Growth Fund 2 (continued)
Portfolio of INVESTMENTS June 30, 2008 (Unaudited)

                                           
Number of
        Notional
    Expiration
    Strike
       
Contracts     Type   Amount (8)     Date     Price     Value   
        Call Options Written (continued)
                                           
  (540 )  
UBS AG
  $ (1,620,000 )     1/17/09     $ 30.0     $ (36,447 )  
  (580 )  
UBS AG
    (2,320,000 )     1/17/09       40.0       (5,800 )  
                                           
  (47,793 )  
Total Call Options Written (cost $(14,210,004))
    (136,872,730 )                     (15,156,201 )  
                                           
       
Borrowings Payable – (40.4)% (11), (12)
                            (640,000,000 )  
                                           
       
Other Assets Less Liabilities – (1.3)%
                            (22,363,188 )  
                                           
       
FundPreferred Shares, at Liquidation Value – (20.5)% (11)
                            (325,000,000 )  
                                           
       
Net Assets Applicable to Common Shares – 100%
                          $ 1,585,893,397    
                                           
 
Interest Rate Swaps outstanding at June 30, 2008:
 
                                                           
          Fund
                Fixed Rate
          Unrealized
 
    Notional
    Pay/Receive
    Floating Rate
    Fixed Rate
    Payment
    Termination
    Appreciation
 
Counterparty   Amount     Floating Rate     Index     (Annualized)     Frequency     Date     (Depreciation)  
JPMorgan Chase
  $ 97,000,000       Receive       1-Month USD-LIBOR       3.360 %     Monthly       1/23/09     $ (160,737 )  
                                                           
USD-LIBOR (United States Dollar-London Inter-Bank Offered Rate)
 
     
(1)
  All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted.
(2)
  Non-income producing.
(3)
  Ratings: Using the higher of Standard & Poor’s Group (“Standard & Poor’s”) or Moody’s Investor Service, Inc. (“Moody’s”) rating. Ratings below BBB by Standard & Poor’s or Baa by Moody’s are considered to be below investment grade.
(4)
  Senior Loans generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a Borrower to prepay, prepayments of Senior Loans may occur. As a result, the actual remaining maturity of Senior Loans held may be substantially less than the stated maturities shown.
(5)
  Senior Loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate plus an assigned fixed rate. These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate (“LIBOR”), or (ii) the prime rate offered by one or more major United States banks.
    Senior Loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the Agent Bank and/or Borrower prior to the disposition of a Senior Loan.
(6)
  Position or portion of position represents an unfunded Senior Loan commitment outstanding at June 30, 2008.
(7)
  Negative value represents unrealized depreciation an unfunded Senior Loan commitment outstanding at June 30, 2008.
(8)
  For disclosure purposes, Notional Amount is calculated by multiplying the Number of Contracts by the Strike Price by 100.
(9)
  Portion of investments, with an aggregate market value of $138,324,273, has been pledged to collateralize the net payment obligations under call options written.
(10)
  Portion of investment, with an aggregate market value of $400,350, has been pledged to collateralize the net payment obligations under interest rate swap contracts.
(11)
  Borrowings and FundPreferred Shares, at Liquidation Value as a percentage of total investments are (24.6)% and (12.5)%, respectively.
(12)
  The Fund may pledge up to 100% of its eligible securities in the Portfolio of Investments as collateral for Borrowings.
N/R
  Not rated.
WI/DD
  Purchased on a when-issued or delayed delivery basis.
144A
  Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration which are normally those transactions with qualified institutional buyers.
ADR
  American Depositary Receipt.
CORTS
  Corporate Backed Trust Securities.
PPLUS
  PreferredPlus Trust.
SATURNS
  Structured Asset Trust Unit Repackaging.
TBD
  Senior Loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, Senior Loans typically trade without accrued interest and therefore a weighted average coupon rate is not available prior to settlement. At settlement, if still unknown, the Borrower or counterparty will provide the Fund with the final weighted average coupon rate and maturity date.
See accompanying notes to financial statements.

66


 

 
     
     
    Statement of
ASSETS & LIABILITIES
                                                                                                        June 30, 2008 (Unaudited)
 
                 
    Multi-Strategy
    Multi-Strategy
    Income
    Income
    and Growth
    and Growth 2
    (JPC)     (JQC)
Assets
               
Investments, at value (cost $2,067,225,278 and $2,894,611,077, respectively)
  $ 1,844,235,167     $ 2,599,974,826  
Cash
    52,374       3,749  
Cash deposits with brokers
    9,569,595       22,531,966  
Cash denominated in foreign currencies (cost $456,645 and $1,167,499, respectively)
    459,259       1,175,838  
Receivables:
               
Call options closed/expired
    42,938        
Dividends
    2,430,841       2,916,023  
Interest
    8,751,086       12,705,156  
Investments sold
    21,858,174       29,858,396  
Reclaims
    90,209       85,116  
Deferred borrowing costs
    345,000       565,333  
Other assets
    149,866       189,054  
                 
Total assets
    1,887,984,509       2,670,005,457  
                 
Liabilities
               
Borrowings
    450,000,000       640,000,000  
Securities sold short, at value (proceeds $9,112,809 and $12,715,797, respectively)
    8,265,724       11,562,040  
Call options written, at value (premiums received $10,461,853 and $14,210,004, respectively)
    11,019,271       15,156,201  
Unrealized depreciation on interest rate swaps
    138,013       160,737  
Payable for investments purchased
    33,172,837       50,334,195  
Accrued expenses:
               
Interest on borrowings
    1,054,219       1,499,333  
Management fees
    935,443       1,095,714  
Other
    551,741       703,855  
FundPreferred shares dividends payable
    99,623       129,956  
Common shares dividends payable
    27,205,145       38,470,029  
                 
Total liabilities
    532,442,016       759,112,060  
                 
FundPreferred shares, at liquidation value
    258,000,000       325,000,000  
                 
Net assets applicable to Common shares
  $ 1,097,542,493     $ 1,585,893,397  
                 
Common shares outstanding
    99,403,528       139,731,300  
                 
Net asset value per Common share outstanding (net assets applicable to
Common shares, divided by Common shares outstanding)
  $ 11.04     $ 11.35  
                 
                 
Net assets applicable to Common shares consist of:
               
                 
Common shares, $.01 par value per share
  $ 994,035     $ 1,397,313  
Paid-in surplus
    1,380,691,001       1,964,129,054  
Undistributed (Over-distribution of) net investment income
    (32,828,142 )     (48,903,754 )
Accumulated net realized gain (loss) from investments foreign currencies and derivative transactions
    (28,484,730 )     (36,155,395 )
Net unrealized appreciation (depreciation) of investments foreign currencies and derivative transactions
    (222,829,671 )     (294,573,821 )
                 
Net assets applicable to Common shares
  $ 1,097,542,493     $ 1,585,893,397  
                 
Authorized shares:
               
Common
    Unlimited       Unlimited  
FundPreferred
    Unlimited       Unlimited  
                 
 
See accompanying notes to financial statements.

67


 

     
     
    Statement of
OPERATIONS
                                                                                          Six Months Ended June 30, 2008 (Unaudited)
 
                 
    Multi-Strategy
    Multi-Strategy
    Income
    Income
    and Growth
    and Growth 2
    (JPC)     (JQC)
Investment Income
               
Dividends (net of foreign tax withheld of $483,813 and $666,483, respectively)
  $ 30,903,663     $ 42,326,813  
Interest
    20,701,958       30,902,429  
Fees
    4,901,831       6,502,978  
                 
Total investment income
    56,507,452       79,732,220  
                 
Expenses
               
Management fees
    8,077,699       11,081,010  
Dividend expense on securities sold short
    9,762       13,743  
FundPreferred shares – auction fees
    719,133       1,004,030  
FundPreferred shares – dividend disbursing agent fees
    16,666       26,604  
Shareholders’ servicing agent fees and expenses
    4,033       5,023  
Interest expense on borrowings and amortization of borrowing costs
    3,003,328       3,687,409  
Custodian’s fees and expenses
    263,247       346,806  
Trustees’ fees and expenses
    18,116       36,944  
Professional fees
    28,105       35,438  
Shareholders’ reports – printing and mailing expenses
    181,305       224,444  
Stock exchange listing fees
    16,955       23,841  
Investor relations expense
    157,866       214,215  
Prime broker expense
    16,104       32,052  
Other expenses
    20,822       25,908  
                 
Total expenses before custodian fee credit and expense reimbursement
    12,533,141       16,757,467  
Custodian fee credit
    (10,226 )     (11,454 )
Expense reimbursement
    (2,664,454 )     (4,264,409 )
                 
Net expenses
    9,858,461       12,481,604  
                 
Net investment income
    46,648,991       67,250,616  
                 
Realized and Unrealized Gain (Loss)
               
Net realized gain (loss) from:
               
Investments and securities sold short
    (32,766,692 )     (40,532,141 )
Interest rate swaps
    101,282       168,141  
Foreign currencies
    46,217       64,467  
Futures
    120,926       164,214  
Call options written
    4,859,793       6,901,740  
Change in net unrealized appreciation (depreciation) of:
               
Investments and securities sold short
    (83,324,245 )     (92,202,290 )
Interest rate swaps
    (724,058 )     (1,006,224 )
Foreign currencies
    10,463       16,247  
Call options written
    263,110       95,438  
                 
Net realized and unrealized gain (loss)
    (111,413,204 )     (126,330,408 )
                 
Distributions to FundPreferred Shareholders
               
From and in excess of net investment income
    (11,375,661 )     (15,905,858 )
                 
Decrease in net assets applicable to Common shares from
distributions to FundPreferred shareholders
    (11,375,661 )     (15,905,858 )
                 
Net increase (decrease) in net assets applicable to Common shares from operations
  $ (76,139,874 )   $ (74,985,650 )
                 
 
See accompanying notes to financial statements.

68


 

     
     
    Statement of
CHANGES in NET ASSETS (Unaudited)
 
                                 
    Multi-Strategy
  Multi-Strategy
    Income and Growth (JPC)   Income and Growth 2 (JQC)
    Six Months
        Six Months
     
    Ended
    Year Ended
  Ended
    Year Ended
    6/30/08     12/31/07   6/30/08     12/31/07
Operations
                               
Net investment income
  $ 46,648,991     $ 96,883,727     $ 67,250,616     $ 136,499,508  
Net realized gain (loss) from:
                               
Investments and securities sold short
    (32,766,692 )     57,700,944       (40,532,141 )     81,973,158  
Interest rate swaps
    101,282       3,200,749       168,141       4,297,734  
Foreign currencies
    46,217       (96,087 )     64,467       (149,515 )
Futures
    120,926       (9,930,657 )     164,214       (14,369,007 )
Call options written
    4,859,793       (825,947 )     6,901,740       (1,262,638 )
Change in net unrealized appreciation (depreciation) of:
                               
Investments and securities sold short
    (83,324,245 )     (180,582,470 )     (92,202,290 )     (249,889,055 )
Interest rate swaps
    (724,058 )     (3,662,494 )     (1,006,224 )     (4,936,771 )
Foreign currencies
    10,463       (2,852 )     16,247       (2,264 )
Call options written
    263,110       (820,528 )     95,438       (1,041,635 )
Distributions to FundPreferred shareholders:
                               
From and in excess of net investment income
    (11,375,661 )           (15,905,858 )      
From net investment income
          (27,675,110 )           (36,573,078 )
From accumulated net realized gains
          (9,138,483 )           (13,728,192 )
                                 
Net increase (decrease) in net assets applicable to Common shares
from operations
    (76,139,874 )     (74,949,208 )     (74,985,650 )     (99,181,755 )
                                 
Distributions to Common Shareholders
                               
From and in excess of net investment income
    (56,660,011 )           (79,646,841 )      
From net investment income
          (76,330,955 )           (111,173,317 )
From accumulated net realized gains
          (25,112,801 )           (41,701,368 )
Tax return of capital
          (12,226,104 )           (7,272,288 )
                                 
Decrease in net assets applicable to Common shares
from distributions to Common shareholders
    (56,660,011 )     (113,669,860 )     (79,646,841 )     (160,146,973 )
                                 
Capital Share Transactions
                               
Common shares repurchased
          (3,326,834 )     (426,558 )     (7,872,338 )
Net proceeds from Common shares issued to shareholders due to reinvestment of distributions
          337,266              
                                 
Net increase (decrease) in net assets applicable to Common shares
from capital share transactions
          (2,989,568 )     (426,558 )     (7,872,338 )
                                 
Net increase (decrease) in net assets applicable to Common shares
    (132,799,885 )     (191,608,636 )     (155,059,049 )     (267,201,066 )
Net assets applicable to Common shares at the beginning of period
    1,230,342,378       1,421,951,014       1,740,952,446       2,008,153,512  
                                 
Net assets applicable to Common shares at the end of period
  $ 1,097,542,493     $ 1,230,342,378     $ 1,585,893,397     $ 1,740,952,446  
                                 
Undistributed (Over-distribution of) net investment income at the end of period
  $ (32,828,142 )   $ (11,441,461 )   $ (48,903,754 )   $ (20,601,671 )
                                 
 
See accompanying notes to financial statements.

69


 

 
     
     
    Statement of
CASH FLOWS
                                                                   Six Months Ended June 30, 2008 (Unaudited)
 
                 
    Multi-Strategy
  Multi-Strategy
    Income
  Income
    and Growth
  and Growth 2
    (JPC)   (JQC)
Cash Flows from Operating Activities:
               
Net Increase (Decrease) in Net Assets Applicable to Common Shares from Operations
  $ (76,139,874 )   $ (74,985,650 )
Adjustments to reconcile the net increase (decrease) in net assets applicable to Common shares from operations to net cash provided by (used in) operating activities:
               
Purchases of investments and securities sold short
    (353,368,590 )     (490,086,736 )
Proceeds from sales and maturities of investments and securities sold short
    373,616,495       495,942,334  
Cash paid for call options terminated
    (1,559,615 )     (2,036,945 )
Premiums received for call options written
    9,920,278       13,430,538  
Proceeds from (Purchases of) short-term investments, net
    (49,570,531 )     (47,592,017 )
Proceeds from terminated interest rate swaps
    101,282       168,141  
Proceeds from sales of futures contracts
    120,926       164,214  
Amortization (Accretion) of premiums and discounts, net
    (42,318 )     147,065  
(Increase) Decrease in receivable for call options closed/expired
    (42,938 )      
(Increase) Decrease in receivable for dividends
    (128,574 )     (219,056 )
(Increase) Decrease in receivable for interest
    (284,545 )     256,799  
(Increase) Decrease in receivable for investments sold
    (20,314,803 )     (23,552,550 )
(Increase) Decrease in receivable for reclaims
    (62,306 )     28,383  
(Increase) Decrease in other assets
    1,365       5,414  
Increase (Decrease) in payable for investments purchased
    31,161,416       44,003,460  
Increase (Decrease) in interest on borrowings
    1,054,219       1,499,333  
Increase (Decrease) in accrued management fees
    53,534       (95,149 )
Increase (Decrease) in accrued other liabilities
    (9,983 )     31,261  
Increase (Decrease) in securities sold short dividends payable
    (19,038 )     (26,790 )
Increase (Decrease) in FundPreferred shares dividends payable
    (311,651 )     (515,579 )
Net realized (gain) loss from investments and securities sold short
    32,766,692       40,532,141  
Net realized (gain) loss from interest rate swaps
    (101,282 )     (168,141 )
Net realized (gain) loss from foreign currencies
    (46,217 )     (64,467 )
Net realized (gain) loss from futures
    (120,926 )     (164,214 )
Net realized (gain) loss from call options written
    (4,859,793 )     (6,901,740 )
Net realized (gain) loss from paydowns
    (394,687 )     (602,642 )
Change in net unrealized (appreciation) depreciation of investments and securities sold short
    83,324,245       92,202,290  
Change in net unrealized (appreciation) depreciation of interest rate swaps
    724,058       1,006,224  
Change in net unrealized (appreciation) depreciation of foreign currencies
    (10,463 )     (16,247 )
Change in net unrealized (appreciation) depreciation of call options written
    (263,110 )     (95,438 )
Capital gains and return of capital distributions from investments
    1,602,827       1,353,110  
                 
Net cash provided by (used in) operating activities
    26,796,093       43,647,346  
                 
Cash Flows from Financing Activities:
               
Increase (Decrease) in borrowings
    450,000,000       640,000,000  
Cash distributions paid to Common shareholders
    (29,454,866 )     (41,176,812 )
Increase (Decrease) in FundPreferred shares
    (450,000,000 )     (640,000,000 )
(Increase) Decrease in deferred borrowing costs
    (345,000 )     (565,333 )
Cost of Common shares repurchased
          (426,558 )
                 
Net cash provided by (used in) financing activities
    (29,799,866 )     (42,168,703 )
                 
Net Increase (Decrease) in Cash
    (3,003,773 )     1,478,643  
Cash at the beginning of period
    12,625,742       21,057,072  
                 
Cash at the End of Period
  $ 9,621,969     $ 22,535,715  
                 
 
Supplemental Disclosure of Cash Flow Information
 
Cash paid for interest on borrowings (excluding amortization of borrowing costs) during the six months ended June 30, 2008, was $1,619,109 and $1,793,409 for Multi-Strategy Income and Growth (JPC) and Multi-Strategy Income and Growth 2 (JQC), respectively.
 
See accompanying notes to financial statements.

70


 

 
     
     
    Notes to
FINANCIAL STATEMENTS (Unaudited)
 
1.  General Information and Significant Accounting Policies
The funds covered in this report and their corresponding Common share New York Stock Exchange symbols are Nuveen Multi-Strategy Income and Growth Fund (JPC) and Nuveen Multi-Strategy Income and Growth Fund 2 (JQC) (collectively, the “Funds”). The Funds are registered under the Investment Company Act of 1940, as amended, as diversified, closed-end management investment companies.
 
Each Fund seeks to provide high income by investing primarily in a portfolio of preferred securities, domestic and international equity securities, high yield securities and convertible securities.
 
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements in accordance with U.S. generally accepted accounting principles.
 
Investment Valuation
Exchange-listed securities are generally valued at the last sales price on the security exchange on which such securities are primarily traded. Securities traded on a securities exchange for which there are no transactions on a given day or securities not listed on a securities exchange are valued at the mean of the closing bid and asked prices. Securities traded on Nasdaq are valued at the Nasdaq Official Closing Price. Prices of fixed-income securities, senior loans and derivative instruments are generally provided by an independent pricing service approved by the Funds’ Board of Trustees. When market price quotes are not readily available, the pricing service or, in the absence of a pricing service for a particular investment, the Board of Trustees of the Funds, or its designee, may establish fair value using a wide variety of market data including yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligor’s credit characteristics considered relevant by the pricing service or the Board of Trustee’s designee. The value of options written are based on the last sale price in the case of exchange-traded options or, in the case of options traded in the OTC market, the last asked price. Futures contracts are valued using the closing settlement price or, in the absence of such a price, at the mean of the bid and asked prices. If the pricing service is unable to supply a price for an investment or derivative instrument the Funds may use market quotes provided by major broker/dealers in such investments. If it is determined that the market price for an investment or derivative instrument is unavailable or inappropriate, the Board of Trustees of the Funds, or its designee, may establish fair value in accordance with procedures established in good faith by the Board of Trustees. Short-term investments are valued at amortized cost, which approximates market value.
 
The senior loans in which the Funds invest are not listed on an organized exchange and the secondary market for such investments may be less liquid relative to markets for other fixed-income securities. Consequently, the value of senior loans, determined as described above, may differ significantly from the value that would have been determined had there been an active market for that senior loan.
 
Investment Transactions
Investment transactions are recorded on a trade date basis. Trade date for senior loans purchased in the “primary market” is considered the date on which the loan allocations are determined. Trade date for senior loans purchased in the “secondary market” is the date on which the transaction is entered into. Realized gains and losses from investment transactions are determined on the specific identification method. Investments purchased on a when-issued/delayed delivery basis may have extended settlement periods. Any investments so purchased are subject to market fluctuation during this period. The Funds have instructed the custodian to segregate assets with a current value at least equal to the amount of the when-issued/delayed delivery purchase commitments. At June 30, 2008, Multi-Strategy Income and Growth (JPC) and Multi-Strategy Income and Growth 2 (JQC) had outstanding when-issued/delayed delivery purchase commitments of $8,889,895 and $12,835,643, respectively.
 
Investment Income
Dividend income on securities purchased and dividend expense on securities sold short are recorded on the ex-dividend date or, for foreign securities, when information is available. Interest income, which includes the amortization of premiums and accretion of discounts for financial reporting purposes, is recorded on an accrual basis. Interest income also includes paydown gains and losses and fee income, if any. Fee income consists primarily of amendment fees. Amendment fees are earned as compensation for evaluating and accepting changes to an original senior loan agreement and are recognized when received.

71


 

 
     
     
    Notes to
FINANCIAL STATEMENTS (continued) (Unaudited)

 
Income Taxes
Each Fund is a separate taxpayer for federal income tax purposes. Each Fund intends to distribute substantially all of its net investment income and net capital gains to shareholders and to otherwise comply with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies. Therefore, no federal income tax provision is required.
 
Effective June 29, 2007, the Funds adopted Financial Accounting Standards Board (FASB) Interpretation No. 48 “Accounting for Uncertainty in Income Taxes” (FIN 48). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the affirmative evaluation of tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether it is “more-likely-than-not” (i.e., a greater than 50-percent liklihood) of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold may result in a tax expense in the current year.
 
Implementation of FIN 48 required management of the Funds to analyze all open tax years, as defined by the statute of limitations, for all major jurisdictions, which includes federal and certain states. 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). The Funds have no examinations in progress.
 
For all open tax years and all major taxing jurisdictions through the end of the reporting period, management of the Funds has reviewed all tax positions taken or expected to be taken in the preparation of the Funds’ tax returns and concluded the adoption of FIN 48 resulted in no impact to the Funds’ net assets or results of operations as of and during the six months ended June 30, 2008.
 
The Funds are 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.
 
Dividends and Distributions to Common Shareholders
Distributions to Common shareholders are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with federal corporate income tax regulations, which may differ from U.S. generally accepted accounting principles.
 
The Funds make quarterly cash distributions to Common shareholders of a stated dollar amount per share. Subject to approval and oversight by the Funds’ Board of Trustees, each Fund seeks to maintain a stable distribution level designed to deliver the long-term return potential of each Fund’s investment strategy through regular quarterly distributions (a “Managed Distribution Program”). Total distributions during a calendar year generally will be made from each Fund’s net investment income, net realized capital gains and net unrealized capital gains in the Fund’s portfolio, if any. The portion of distributions paid from net unrealized gains, if any, would be distributed from the Fund’s assets and would be treated by shareholders as a non-taxable distribution for tax purposes. In the event that total distributions during a calendar year exceed a Fund’s total return on net asset value, the difference will be treated as a return of capital for tax purposes and will reduce net asset value per share. If a Fund’s total return on net asset value exceeds total distributions during a calendar year, the excess will be reflected as an increase in net asset value per share. The final determination of the source and character of all distributions for the fiscal year are made after the end of the fiscal year and are reflected in the financial statements contained in the annual report as of December 31 each year.
 
Real Estate Investment Trust (“REIT”) distributions received by the Funds are generally comprised of ordinary income, long-term and short-term capital gains, and a return of REIT capital. The actual character of amounts received during the period are not known until after the fiscal year-end.
 
For the fiscal year ended December 31, 2007, the character of distributions to the Funds from the REITs was as follows:
 
                 
    Multi-Strategy
    Multi-Strategy
 
    Income
    Income
 
    and Growth
    and Growth 2
 
    (JPC)     (JQC)  
Ordinary income
    72.59%       82.98%  
Long-term and short-term capital gains
    27.32       16.92  
Return of REIT capital
    0.09       0.10  
                 
 
For the fiscal year ended December 31, 2007, the Funds applied the actual character of distributions reported by the REITs in which the Funds invest to their receipts from the REITs. If a REIT held in the portfolio of investments did not report the actual character of its distributions during the period, the Funds treated the distributions as ordinary income.

72


 

For the six months ended June 30, 2008, the Funds applied the actual percentages for the fiscal year ended December 31, 2007, described above, to its receipts from the REITs and treated as income on the Statement of Operations only the amount of ordinary income so calculated. The Funds adjust that estimated breakdown of income type (and consequently their net investment income) as necessary early in the following calendar year when the REITs inform their shareholders of the actual breakdown of income type.
 
The actual character of distributions made by the Funds during the fiscal year ended December 31, 2007, are reflected in the accompanying financial statements.
 
The distributions made by the Funds to their shareholders during the six months ended June 30, 2008, are provisionally classified as being “From and in excess of net investment income”, and those distributions will be classified as being from net investment income, net realized capital gains and/or a return of capital for tax purposes after the fiscal year end, based upon the income type breakdown information conveyed at the time by the REITs whose securities are held in the Funds’ portfolios. For purposes of calculating “Undistributed (Over-distribution of) net investment income” as of June 30, 2008, the distribution amounts provisionally classified as “From and in excess of net investment income” were treated as being entirely from net investment income. Consequently, the financial statements at June 30, 2008, reflect an over-distribution of net investment income.
 
FundPreferred Shares
The Funds have issued and outstanding FundPreferred shares, $25,000 stated value per share, as a means of effecting financial leverage. Each Fund’s FundPreferred shares are issued in more than one Series. The dividend rate paid by the Funds on each Series is determined every seven days, pursuant to a dutch auction process overseen by the auction agent, and is payable at the end of each rate period. The number of FundPreferred shares outstanding, by Series and in total, for each Fund is as follows:
 
         
    Multi-Strategy
  Multi-Strategy
    Income and
  Income and
    Growth (JPC)   Growth 2 (JQC)
Number of shares:
       
Series M
  1,720   1,300
Series M2
    1,300
Series T
  1,720   1,300
Series T2
    1,300
Series W
  1,720   1,300
Series W2
    1,300
Series TH
  1,720   1,300
Series TH2
    1,300
Series F
  1,720   1,300
Series F2
  1,720   1,300
         
Total
  10,320   13,000
         
 
Beginning in February 2008, more shares for sale were submitted in the regularly scheduled auctions for the FundPreferred shares issued by the Funds than there were offers to buy. This meant that these auctions “failed to clear,” and that many FundPreferred shareholders who wanted to sell their shares in these auctions were unable to do so. FundPreferred shareholders unable to sell their shares received distributions at the “maximum rate” applicable to failed auctions as calculated in accordance with the pre-established terms of the FundPreferred shares.
 
These developments generally do not affect the management or investment policies of the Funds. However, one implication of these auction failures for Common shareholders is that the Funds’ cost of leverage will likely to be higher, at least temporarily, than it otherwise would have been had the auctions continued to be successful. As a result, the Funds’ future Common share earnings may be lower than they otherwise would have been.
 
As approved by each Fund’s Board of Trustees, Multi-Strategy Income and Growth (JPC) and Multi-Strategy Income and Growth 2 (JQC) redeemed $450 million and $640 million of their outstanding FundPreferred shares at liquidation value, respectively, during the six months ended June 30, 2008.
 
Interest Rate Swap Transactions
Each Fund is authorized to invest in interest rate swap transactions. Each Fund’s use of interest rate swap transactions is intended to mitigate the negative impact that an increase in short-term interest rates could have on Common share net earnings as a result of leverage. Interest rate swap transactions involve each Fund’s agreement with the counterparty to pay or receive a

73


 

 
     
     
    Notes to
FINANCIAL STATEMENTS (continued) (Unaudited)

fixed rate payment in exchange for the counterparty receiving or paying a variable rate payment that is intended to approximate each Fund’s variable rate payment obligation on FundPreferred shares or any variable rate borrowing. The payment obligation is based on the notional amount of the interest rate swap contract. Interest rate swaps do not involve the delivery of securities or other underlying assets or principal. Accordingly, the risk of loss with respect to the swap counterparty on such transactions is limited to the net amount of interest payments that each Fund is to receive. Interest rate swap positions are valued daily. Each Fund accrues the fixed rate payment expected to be paid or received and the variable rate payment expected to be received or paid on interest rate swap contracts on a daily basis, and recognize an unrealized gain or loss for the daily changes in the market value of the Fund’s contractual rights and obligations under the contracts. The net amount recorded for these transactions is recognized on the Statement of Assets and Liabilities. Once periodic payments are settled in cash, the net amount is recorded as net realized gain or loss from interest rate swaps, in addition to net realized gain or loss recorded upon the termination of interest rate swap contracts on the Statement of Operations. For tax purposes, periodic payments are treated as ordinary income or expense. Although there are economic advantages of entering into interest rate swap transactions, there are also additional risks. Each Fund helps manage the credit risks associated with interest rate swap transactions by entering into agreements only with counterparties that Nuveen Asset Management (the “Adviser”), a wholly owned subsidiary of Nuveen investments, Inc. (“Nuveen”), believes have the financial resources to honor their obligations and by having the Adviser continually monitor the financial stability of the swap counterparties. In addition, all counterparties are required to pledge collateral daily (based on the daily valuation of each swap) on behalf of each Fund with a value approximately equal to the amount of any unrealized gain above a pre-determined threshold. Reciprocally, when a Fund has an unrealized loss on a swap contract, each Fund has instructed the custodian to pledge assets of the Fund as collateral with a value approximately equal to the amount of the unrealized loss above a pre-determined threshold. Collateral pledges are monitored and subsequently adjusted if and when the interest rate swap valuations fluctuate, either up or down, by at least the pre-determined threshold amount.
 
Foreign Currency Transactions
Each Fund is authorized to engage in foreign currency exchange transactions including foreign currency forward, futures, options and swap contracts. To the extent that the Funds invest in securities and/or contracts that are denominated in a currency other than U.S. dollars, the Funds will be subject to currency risk, which is the risk that an increase in the U.S. dollar relative to the foreign currency will reduce returns or portfolio value. Generally, when the U.S. dollar rises in value against a foreign currency, the Funds’ investments denominated in that currency will lose value because its currency is worth fewer U.S. dollars; the opposite effect occurs if the U.S. dollar falls in relative value. Investments and other assets and liabilities denominated in foreign currencies are converted into U.S. dollars on a spot (i.e. cash) basis at the spot rate prevailing in the foreign currency exchange market at the time of valuation. Purchases and sales of investments and income denominated in foreign currencies are translated into U.S. dollars on the respective dates of such transactions. The gains or losses resulting from changes in foreign exchange rates are included in “Realized gain (loss) from foreign currencies” and “Change in net unrealized appreciation (depreciation) of foreign currencies” on the Statement of Operations.
 
The books and records of the Funds are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars at 4:00 p.m. Eastern time. Investments and income and expenses are translated on the respective dates of such transactions. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date of the transactions, foreign currency transactions, and the difference between the amounts of interest and dividends recorded on the books of the Funds and the amounts actually received.
 
Futures Contracts
Each Fund is authorized to invest in futures contracts. Upon entering into a futures contract, a Fund is required to deposit with the broker an amount of cash or liquid securities equal to a specified percentage of the contract amount. This is known as the “initial margin.” Subsequent payments (“variation margin”) are made or received by a Fund each day, depending on the daily fluctuation of the value of the contract.
 
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. When the contract is closed or expired, a 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. Cash held by the broker to cover initial margin requirements on open futures contracts, if any, is recognized on the Statement of Assets and Liabilities. Additionally, the Statement of Assets and Liabilities reflects a receivable or payable for the variation margin when applicable. At June 30, 2008, there were no open futures contracts in either Fund.

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Risks of investments in futures contracts include the possible adverse movement of the securities or indices underlying the contracts, the possibility that there may not be a liquid secondary market for the contracts and/or that a change in the value of the contract may not correlate with a change in the value of the underlying securities or indices.
 
Options Transactions
Each Fund is authorized to write (sell) call options. When the Funds write a call option, an amount equal to the net premium received (the premium less commission) is recorded as a liability and is subsequently adjusted to reflect the current value of the written option until the option expires or the Funds enter into a closing purchase transaction. When a call option expires or the Funds enter into a closing purchase transaction, the difference between the net premium received and any amount paid at expiration or on effecting a closing purchase transaction, including commission, is treated as a net realized gain on option contracts written or, if the net premium received is less than the amount paid, as a net realized loss on option contracts written. The Funds, as writers of a call option, bears the risk of an unfavorable change in the market value of the security or index underlying the written option. There is the risk the Funds may not be able to enter into closing transactions because of an illiquid market.
 
Short Sales
Each Fund is authorized to make short sales of securities if the Fund owns at least an equal amount of such securities or securities convertible into securities of the same issuer. To secure its obligation to deliver securities sold short, each Fund has instructed the custodian to segregate assets with an equivalent amount of the securities sold short or securities convertible into or exchangeable for such securities. Each Fund is obligated to pay to the party to which the securities were sold short, dividends declared on the stock by the issuer and records such amounts as “Dividend expense on securities sold short” on the Statement of Operations. Short sales are valued daily and the corresponding unrealized gains or losses are included in “Change in net unrealized appreciation (depreciation) of investments and securities sold short” on the Statement of Operations.
 
Repurchase Agreements
In connection with transactions in repurchase agreements, it is the Funds’ 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 seller defaults, and the fair value of the collateral declines, realization of the collateral may be delayed or limited.
 
Borrowing Costs
Costs incurred by each Fund in connection with structuring its revolving credit agreement are recorded as a deferred charge which are being amortized over the 30 year life of the borrowings and included with “Interest expense on borrowings and amortization of borrowing costs” on the Statement of Operations.
 
Custodian Fee Credit
Each Fund has an arrangement with the custodian bank whereby certain custodian fees and expenses are reduced by net credits earned on each Fund’s cash on deposit with the bank. Such deposit arrangements are an alternative to overnight investments. Credits for cash balances may be offset by charges for any days on which a Fund overdraws its account at the custodian bank.
 
Indemnifications
Under the Funds’ organizational documents, their Officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts that provide general indemnifications to other parties. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts and expect the risk of loss to be remote.
 
Use of Estimates
The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets applicable to Common shares from operations during the reporting period. Actual results may differ from those estimates.

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    Notes to
FINANCIAL STATEMENTS (continued) (Unaudited)

 
2.  Fair Value Measurements
During the current fiscal period, the Funds adopted the provisions of Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157). SFAS 157 defines fair value, establishes a framework for measuring fair value in generally accepted accounting principles, and expands disclosure about fair value measurements. In determining the value of the Funds’ investments various inputs are used. These inputs are summarized in the three broad levels listed below:
 
  Level 1 — Quoted prices in active markets for identical securities.
 
  Level 2 — Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
 
  Level 3 — Significant unobservable inputs (including management’s assumptions in determining the fair value of investments).
 
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.
 
The following is a summary of each Fund’s fair value measurements as of June 30, 2008:
 
                                 
Multi-Strategy Income and Growth (JPC)   Level 1     Level 2     Level 3     Total  
Investments
  $ 1,111,016,395     $ 733,218,772     $           —     $ 1,844,235,167  
Derivatives*
          (138,013 )           (138,013 )
Securities sold short
    (8,265,724 )                 (8,265,724 )
Call options written
    (11,019,271 )                 (11,019,271 )
                                 
Total
  $ 1,091,731,400     $ 733,080,759     $     $ 1,824,812,159  
                                 
 
                                 
Multi-Strategy Income and Growth 2 (JQC)   Level 1     Level 2     Level 3     Total  
Investments
  $ 1,555,830,398     $ 1,044,144,428     $           —     $ 2,599,974,826  
Derivatives*
          (160,737 )           (160,737 )
Securities sold short
    (11,562,040 )                 (11,562,040 )
Call options written
    (15,156,201 )                 (15,156,201 )
                                 
Total
  $ 1,529,112,157     $ 1,043,983,691     $     $ 2,573,095,848  
                                 
Represents net unrealized appreciation (depreciation).
 
The following is a reconciliation of each Fund’s Level 3 investments held at the beginning and end of the measurement period:
 
                 
    Multi-Strategy
  Multi-Strategy
    Income and Growth (JPC)
  Income and Growth 2 (JQC)
    Level 3
  Level 3
    Investments   Investments
Balance as of December 31, 2007
  $ 4,003,008     $ 5,625,849  
Gains (losses):
               
Net realized gains (losses)
    568,137       798,463  
Net change in unrealized appreciation (depreciation)
    (303,329 )     (426,300 )
Net purchases at cost (sales at proceeds)
    (850,056 )     (1,194,674 )
Net discounts (premiums)
    22,374       31,445  
Net transfers in to (out of) at end of period fair value
    (3,440,134 )     (4,834,783 )
                 
Balance as of June 30, 2008
  $     $  
                 
 
3.  Fund Shares
On November 21, 2007, the Funds’ Board of Trustees approved an open market share repurchase program, as part of a broad, ongoing effort designed to support the market prices of the Funds’ Common shares. Under the terms of the program, each Fund may repurchase up to 10% of its outstanding Common shares.

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Transactions in Common shares were as follows:
 
                                 
    Multi-Strategy
  Multi-Strategy
    Income and Growth (JPC)   Income and Growth 2 (JQC)
    Six Months
  Year
  Six Months
  Year
    Ended
  Ended
  Ended
  Ended
    6/30/08   12/31/07   6/30/08   12/31/07
Common shares:
                               
Repurchased
          (311,100 )     (38,900 )     (725,600 )
Issued to shareholders due to reinvestments of distributions
          23,651              
                                 
            (287,449 )     (38,900 )     (725,600 )
                                 
Weighted average price per Common share repurchased
          $10.67       $10.95       $10.83  
Weighted average discount per Common share repurchased
          13.81 %     12.44 %     13.85 %
                                 
 
Transactions in Preferred shares were as follows:
 
                                                                 
    Multi-Strategy
  Multi-Strategy
    Income and Growth (JPC)   Income and Growth 2 (JQC)
    Six Months Ended
  Year Ended
  Six Months Ended
  Year Ended
    6/30/08   12/31/07   6/30/08   12/31/07
    Shares   Amount   Shares   Amount   Shares   Amount   Shares   Amount
Preferred shares redeemed:
                                                               
Series M
    3,000       $75,000,000             $  —       2,560       $64,000,000             $ —  
Series M2
                            2,560       64,000,000              
Series T
    3,000       75,000,000                   2,560       64,000,000              
Series T2
                            2,560       64,000,000              
Series W
    3,000       75,000,000                   2,560       64,000,000              
Series W2
                            2,560       64,000,000              
Series TH
    3,000       75,000,000                   2,560       64,000,000              
Series TH2
                            2,560       64,000,000              
Series F
    3,000       75,000,000                   2,560       64,000,000              
Series F2
    3,000       75,000,000                   2,560       64,000,000              
                                                                 
      18,000       $450,000,000             $ —       25,600       $640,000,000             $ —  
                                                                 
 
4.  Investment Transactions
Purchases and sales (including maturities and proceeds from securities sold short, but excluding short-term investments, call options written and derivative transactions) during the six months ended June 30, 2008, were as follows:
 
                 
    Multi-Strategy
  Multi-Strategy
    Income
  Income
    and Growth
  and Growth 2
    (JPC)   (JQC)
Purchases
    $353,368,590       $490,086,736  
Sales and maturities
    373,616,495       495,942,334  
                 
 
Transactions in call options written during the six months ended June 30, 2008, were as follows:
 
                                 
    Multi-Strategy
  Multi-Strategy
    Income and Growth (JPC)   Income and Growth 2 (JQC)
    Number of
  Premiums
  Number of
  Premiums
    Contracts   Received   Contracts   Received
Outstanding, beginning of period
    29,645     $ 6,960,983       40,830     $ 9,718,151  
Options written
    35,018       9,920,278       46,693       13,430,538  
Options terminated in closing purchase transactions
    (3,223 )     (532,218 )     (5,565 )     (1,276,636 )
Options expired
    (18,296 )     (4,071,391 )     (23,284 )     (4,973,452 )
Options exercised
    (7,456 )     (1,815,799 )     (10,881 )     (2,688,597 )
                                 
Outstanding, end of period
    35,688     $ 10,461,853       47,793     $ 14,210,004  
                                 

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    Notes to
FINANCIAL STATEMENTS (continued) (Unaudited)

 
5.  Income Tax Information
The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to the treatment of paydown gains and losses, recognition of premium amortization, timing differences in the recognition of income on REIT investments and timing differences in recognizing certain gains and losses on investment transactions. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts on the Statement of Assets and Liabilities presented in the annual report, based on their federal tax basis treatment; temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset values of the Funds.
 
At June 30, 2008, the cost of investments (excluding proceeds received on securities sold short and call options written) was as follows:
 
                 
    Multi-Strategy
   
    Income and
  Multi-Strategy Income and
    Growth (JPC)   Growth 2 (JQC)
Cost of investments
    $2,078,776,702       $2,915,980,127  
                 
 
Gross unrealized appreciation and gross unrealized depreciation of investments (excluding proceeds received on securities sold short and call options written) at June 30, 2008, were as follows:
 
                 
    Multi-Strategy
  Multi-Strategy
    Income and
  Income and
    Growth (JPC)   Growth 2 (JQC)
Gross unrealized:
               
Appreciation
  $ 56,843,366     $ 79,796,919  
Depreciation
    (291,384,901 )     (395,802,220 )
                 
Net unrealized appreciation (depreciation) of investments
  $  (234,541,535 )   $  (316,005,301 )
                 
 
The tax components of undistributed net ordinary income and net long-term capital gains at December 31, 2007, the Funds’ last tax year end, were as follows:
 
                 
    Multi-Strategy
  Multi-Strategy
    Income and
  Income and
    Growth (JPC)   Growth 2 (JQC)
Undistributed net ordinary income *
  $     $  
Undistributed net long-term capital gains
     —        —  
                 
Net ordinary income consists of net taxable income derived from dividends, interest, and net short-term capital gains, if any.
 
The tax character of distributions paid during the Funds’ last tax year ended December 31, 2007, was designated for purposes of the dividends paid deduction as follows:
 
                 
    Multi-Strategy
  Multi-Strategy
    Income and
  Income and
    Growth (JPC)   Growth 2 (JQC)
Distributions from net ordinary income *
    $138,358,876       $200,640,767  
Distributions from net long-term capital gains
          2,560,636  
Tax return of capital
    12,226,104       7,272,288  
                 
 Net ordinary income consists of net taxable income derived from dividends, interest, and net short-term capital gains, if any.
 
Multi-Strategy Income and Growth 2 (JQC) elected to defer net realized losses from investments incurred from November 1, 2007 through December 31, 2007, the Funds’ last tax year end, (“post-October losses”) in accordance with federal income tax regulations. Post-October losses of $1,573,568 were treated as having arisen on the first day of the current fiscal year.

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6.  Management Fees and Other Transactions with Affiliates
Each Fund’s management fee is separated into two components — a complex-level component, based on the aggregate amount of all fund assets managed by the Adviser, and a specific fund-level component, based only on the amount of assets within each individual Fund. This pricing structure enables Nuveen fund shareholders to benefit from growth in the assets within each individual fund as well as from growth in the amount of complex-wide assets managed by the Adviser.
 
The annual fund-level fee, payable monthly, for each Fund is based upon the average daily Managed Assets of each Fund as follows:
 
         
Average Daily Managed Assets   Fund-Level Fee Rate
For the first $500 million
    .7000 %
For the next $500 million
    .6750  
For the next $500 million
    .6500  
For the next $500 million
    .6250  
For Managed Assets over $2 billion
    .6000  
         
 
The annual complex-level fee, payable monthly, which is additive to the fund-level fee, for all Nuveen sponsored funds in the U.S., is based on the aggregate amount of total fund assets managed as stated in the table below. As of June 30, 2008, the complex-level fee rate was .1868%.
 
The complex-level fee schedule is as follows:
 
         
Complex-Level Asset Breakpoint Level (1)   Effective Rate at Breakpoint Level
$55 billion
    .2000 %
$56 billion
    .1996  
$57 billion
    .1989  
$60 billion
    .1961  
$63 billion
    .1931  
$66 billion
    .1900  
$71 billion
    .1851  
$76 billion
    .1806  
$80 billion
    .1773  
$91 billion
    .1691  
$125 billion
    .1599  
$200 billion
    .1505  
$250 billion
    .1469  
$300 billion
    .1445  
         
(1)  The complex-level fee component of the management fee for the funds is calculated based upon the aggregate Managed Assets (“Managed Assets” means the average daily net assets of each fund including assets attributable to preferred stock issued by or borrowings by the Nuveen funds) of Nuveen-sponsored funds in the U.S.
 
The management fee compensates the Adviser for overall investment advisory and administrative services and general office facilities. The Adviser is responsible for the overall strategy and asset allocation decisions. The Adviser has entered into Sub-Advisory Agreements with Spectrum Asset Management, Inc. (“Spectrum”), Symphony Asset Management, LLC (“Symphony”) and Tradewinds Global Investors, LLC (“Tradewinds”). Spectrum manages the portion of the Funds’ investment portfolios allocated to preferred securities. Symphony manages the portion of the Funds’ investment portfolios allocated to debt securities and certain equity investments. Tradewinds manages the portion of the Funds’ investment portfolios allocated to global equities. Each sub-adviser is compensated for its services to the Funds from the management fees paid to the Adviser. Spectrum also receives compensation on certain portfolio transactions for providing brokerage services to the Funds.
 
The Funds pay no compensation directly to those of its Trustees who are affiliated with the Adviser or to its Officers, all of whom receive remuneration for their services to the Funds from the Adviser or its affiliates. The Board of Trustees has adopted a deferred compensation plan for independent Trustees that enables Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from certain Nuveen advised funds. Under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of select Nuveen advised funds.

79


 

 
     
     
    Notes to
FINANCIAL STATEMENTS (continued) (Unaudited)

 
For the first eight years of Multi-Strategy Income and Growth’s (JPC) operations, the Adviser has agreed to reimburse the Fund, as a percentage of average daily Managed Assets, for fees and expenses in the amounts and for the time periods set forth below:
 
                     
Year Ending
      Year Ending
   
March 31,       March 31,    
2003 *
    .32 %   2008     .32 %
2004
    .32     2009     .24  
2005
    .32     2010     .16  
2006
    .32     2011     .08  
2007
    .32              
                     
From the commencement of operations.
 
The Adviser has not agreed to reimburse Multi-Strategy Income and Growth (JPC) for any portion of its fees and expenses beyond March 31, 2011.
 
For the first eight years of Multi-Strategy Income and Growth 2’s (JQC) operations, the Adviser has agreed to reimburse the Fund, as a percentage of average daily Managed Assets, for fees and expenses in the amounts and for the time periods set forth below:
 
                     
Year Ending
      Year Ending
   
June 30,       June 30,    
2003 *
    .32 %   2008     .32 %
2004
    .32     2009     .24  
2005
    .32     2010     .16  
2006
    .32     2011     .08  
2007
    .32              
                     
From the commencement of operations.
 
The Adviser has not agreed to reimburse Multi-Strategy Income and Growth 2 (JQC) for any portion of its fees and expenses beyond June 30, 2011.
 
Related Party Holdings
Nuveen is owned by an investor group led by Madison Dearborn Partners, LLC. An affiliate of Merrill Lynch & Co. (“Merrill Lynch”), as part of this investor group, owns more than 5% of Nuveen’s common stock. As a result, Merrill Lynch is an indirect “affiliated person” (as that term is defined in the Investment Company Act of 1940) of each Fund.
 
At June 30, 2008, Multi-Strategy Income and Growth (JPC) and Multi-Strategy Income and Growth 2 (JQC) owned 557,861 and 807,945 shares, respectively, of Merrill Lynch and Company, Inc. preferred securities with aggregate market values of $10,363,475 and $14,521,379, respectively. Total income earned by Multi-Strategy Income and Growth (JPC) and Multi-Strategy Income and Growth 2 (JQC) from such securities amounted to $501,794 and $699,805, respectively, and is included in dividend income on the Statement of Operations.
 
7.  Senior Loan Commitments
Unfunded Commitments
Pursuant to the terms of certain of the variable rate senior loan agreements, Each Fund may have unfunded senior loan commitments. Each Fund will maintain with its custodian, cash, liquid securities and/or liquid senior loans having an aggregate value at least equal to the amount of unfunded senior loan commitments. At June 30, 2008, Multi-Strategy Income and Growth (JPC) and Multi-Strategy Income and Growth 2 (JQC) had unfunded senior loan commitments of $561,432 and $763,488, respectively.
 
Participation Commitments
With respect to the senior loans held in each Fund’s portfolio, the Funds may: 1) invest in assignments; 2) act as a participant in primary lending syndicates; or 3) invest in participations. If a Fund purchases a participation of a senior loan interest, a Fund would typically enter into a contractual agreement with the lender or other third party selling the participation, rather than directly with the Borrower. As such, a Fund not only assumes the credit risk of the Borrower, but also that of the Selling Participant or other persons interpositioned between the Fund and the Borrower. At June 30, 2008, there were no such outstanding participation commitments in either Fund.

80


 

8.  Borrowing Arrangements
Refinancings
On April 7, 2008, Multi-Strategy Income and Growth (JPC) entered into a $400 million prime brokerage facility with Bank of America. On April 7, 2008 and May 2, 2008, Multi-Strategy Income and Growth (JPC) utilized $255 million and $195 million, respectively, of the facility with Bank of America to redeem at liquidation value $450 million of its outstanding FundPreferred shares. For the six months ended June 30, 2008, the average daily balance outstanding and average annualized interest rate on these borrowings were $183,379,121 and 2.81%, respectively.
 
On April 16, 2008, Multi-Strategy Income and Growth 2 (JQC) entered into $640 million prime brokerage facility with Bank of America. On April 18, 2008 and May 13, 2008, Multi-Strategy Income and Growth 2 (JQC) utilized $400 million and $240 million, respectively, of the facility with Bank of America to redeem at liquidation value $640 million of its outstanding FundPreferred shares. For the six months ended June 30, 2008, the average daily balance outstanding and average annualized interest rate on these borrowings were $227,252,747 and 2.82%, respectively.
 
Interest expense incurred on these borrowing arrangements is recognized as “Interest expense on borrowings and amortization of borrowing costs” on the Statement of Operations.
 
9.  New Accounting Pronouncement
Financial Accounting Standards Board Statement of Financial Accounting Standards No. 161
In March 2008, the FASB issued SFAS No. 161, “Disclosures about Derivative Instruments and Hedging Activities.” This standard is intended to enhance financial statement disclosures for derivative instruments and hedging activities and enable investors to understand: a) how and why a fund uses derivative instruments, b) how derivative instruments and related hedge items are accounted for, and c) how derivative instruments and related hedge items affect a fund’s financial position, results of operations and cash flows. SFAS No. 161 is effective for financial statements issued for fiscal years and interim periods beginning after November 15, 2008. As of June 30, 2008, management does not believe the adoption of SFAS No. 161 will impact the financial statement amounts; however, additional footnote disclosures may be required about the use of derivative instruments and hedging items.

81


 

 
     
     
    Financial
HIGHLIGHTS (Unaudited)
     Selected data for a Common share outstanding throughout each period:
 
                                                                                                         
          Investment Operations     Less Distributions                    
                      Distributions
                                                       
                      from Net
    Distributions
          Net
          Tax
          Offering
             
    Beginning
                Investment
    from Capital
          Investment
    Capital
    Return of
          Costs and
    Ending
       
    Common
          Net
    Income to
    Gains to
          Income to
    Gains to
    Capital to
          FundPreferred
    Common
       
    Share
    Net
    Realized/
    FundPreferred
    FundPreferred
          Common
    Common
    Common
          Share
    Share
    Ending
 
    Net Asset
    Investment
    Unrealized
    Share-
    Share-
          Share-
    Share-
    Share-
          Underwriting
    Net Asset
    Market
 
    Value     Income(a)     Gain (Loss)     holders†     holders†     Total     holders     holders     holders     Total     Discounts     Value     Value  
Multi-Strategy Income and Growth (JPC)
                                                                                                         
Year Ended 12/31:
                                                                                                       
2008(f)
    $12.38       $.47       $(1.13 )     $(.11 )*****     $ —     $ (.77 )     $(.57 )*****     $ —       $ —     $ (.57 )     $ —       $11.04     $ 9.62  
2007
    14.26       .97       (1.34 )     (.28 )     (.09 )     (.74 )     (.77 )     (.25 )     (.12 )     (1.14 )      —       12.38       10.93  
2006
    14.18       1.02       .50       (.31 )     (.03 )     1.18       (.87 )     (.08 )     (.15 )     (1.10 )           14.26       14.29  
2005
    15.32       1.13       (.74 )     (.22 )           .17       (1.15 )     (.16 )           (1.31 )           14.18       11.97  
2004(b)
    14.73       .52       .85       (.04 )     (.01 )     1.32       (.50 )     (.23 )           (.73 )           15.32       14.33  
Year Ended 7/31:
                                                                                                       
2004
    14.12       1.25       .71       (.08 )           1.88       (1.22 )     (.05 )           (1.27 )           14.73       13.95  
2003(c)
    14.33       .30       (.02 )     (.02 )           .26       (.30 )                 (.30 )     (.17 )     14.12       14.57  
                                                                                                         
                                                                                                         
Multi-Strategy Income and Growth 2 (JQC)
                                                                                                         
Year Ended 12/31:
                                                                                                       
2008(f)
    12.46       .48       (.91 )     (.11 )*****           (.54 )     (.57 )*****                 (.57 )           11.35       9.87  
2007
    14.29       .97       (1.30 )     (.26 )     (.10 )     (.69 )     (.79 )     (.30 )     (.05 )     (1.14 )           12.46       11.00  
2006
    14.20       1.04       .48       (.30 )     (.03 )     1.19       (.93 )     (.09 )     (.08 )     (1.10 )           14.29       14.11  
2005
    15.18       1.12       (.70 )     (.21 )     (.01 )     .20       (1.09 )     (.09 )           (1.18 )           14.20       12.11  
2004(b)
    14.33       .51       .90       (.05 )           1.36       (.49 )     (.02 )           (.51 )           15.18       13.87  
Year Ended 7/31:
                                                                                                       
2004
    13.83       1.16       .73       (.08 )           1.81       (1.17 )                 (1.17 )     (.14 )     14.33       13.54  
2003(d)
    14.33       .04       (.53 )                 (.49 )                             (.01 )     13.83       14.69  
                                                                                                         
(a)  Per share Net Investment Income is calculated using the average daily shares method.
(b)  For the period August 1, 2004 through December 31, 2004.
(c)  For the period March 26, 2003 (commencement of operations) through July 31, 2003.
(d)  For the period June 25, 2003 (commencement of operations) through July 31, 2003.
(e)  Borrowings interest expense includes amortization of borrowing costs.
(f)  For the six months ended June 30, 2008.
*   Annualized.
**  Total Return Based on Market Value is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. The last dividend 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. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not annualized.
 
    Total Return Based on Common Share Net Asset Value is the combination of changes in Common share net asset value, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, if any. The last dividend 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 net asset value. The actual reinvest price for the last dividend declared in the period may often be based on the Fund’s market price (and not its net asset value), and therefore may be different from the price used in the calculation. Total returns are not annualized.
***  After custodian fee credit and expense reimbursement, where applicable.
****  Ratio rounds to less than .01%.
*****  Represents distributions paid “From and in excess of net investment income” for the six months ended June 30, 2008.

82


 

 
                                                             
                Ratios/Supplemental Data  
              Ratios to Average Net Assets
    Ratios to Average Net Assets
       
              Applicable to Common Shares
    Applicable to Common Shares
       
    Total Returns         Before Credit/Reimbursement     After Credit/Reimbursement***        
          Based
                                   
          on
                                   
          Common
    Ending Net
                             
    Based
    Share
    Assets
                             
    on
    Net
    Applicable to
        Net
          Net
    Portfolio
 
    Market
    Asset
    Common
        Investment
          Investment
    Turnover
 
    Value**     Value**     Shares (000)   Expenses††     Income††     Expenses††     Income††     Rate  
 
                                                             
                                                             
      (6.86 )%     (6.23 )%   $1,097,542     2.10 %*     7.35 %*     1.65 %*     7.80 %*     19 %
      (16.28 )%     (5.71 )%   1,230,342     1.53 %     6.54 %     1.05 %     7.03 %     84 %
      29.81       8.71     1,421,951     1.49       6.80       1.00       7.28       72  
      (7.63 )     1.32     1,419,946     1.50       7.25       1.03       7.72       37  
      8.06       9.07     1,533,722     1.51 *     7.66 *     1.04 *     8.13 *     13  
                                                             
      4.34       13.44     1,474,983     1.53       7.90       1.05       8.37       19  
      (.89 )     .58     1,412,983     1.29 *     5.67 *     .87 *     6.09 *     21  
                                                             
 
                                                             
                                                             
      (5.10 )%     (4.30 )%   1,585,893     1.97 *     7.40 *     1.47 *     7.90 *     19  
      (14.70 )%     (5.34 )%   1,740,952     1.50       6.51       1.02       6.99       78  
      26.71       8.73     2,008,154     1.44       6.90       .96       7.37       77  
      (4.40 )     1.41     2,002,079     1.46       7.25       .99       7.72       34  
      6.20       9.59     2,140,563     1.47 *     7.81 *     1.00 *     8.28 *     13  
                                                             
      .10       12.25     2,021,258     1.47       7.51       1.00       7.98       27  
      (2.07 )     (3.49 )   1,950,622     .97 *     2.86 *     .65 *     3.18 *     5  
                                                             
†   The amounts shown are based on Common share equivalents.
†† •      Ratios do not reflect the effect of dividend payments to FundPreferred shareholders.
     •      Income ratios reflect income earned on assets attributable to FundPreferred shares and borrowings where applicable.
     • Each ratio includes the effect of the dividend expense on securities sold short as follows:
 
         
    Ratios of Dividend Expense
    on Securities Sold Short
    to Average Net Assets Applicable
    to Common Shares
 
Multi-Strategy Income and Growth (JPC)
Year Ended 12/31:
       
2008(f)
    %****
2007
    ****
2006
     
2005
    .01  
2004(b)
    .04 *
Year Ended 7/31:
       
2004
    .03  
2003(c)
     
 
Multi-Strategy Income and Growth 2 (JQC)
Year Ended 12/31:
       
2008(f)
    %****
2007
    ****
2006
     
2005
    .01  
2004(b)
    .05 *
Year Ended 7/31:
       
2004
    03  
2003(d)
     
 
 
 
     •     Each ratio includes the effect of the interest expense paid on borrowings as
follows:
 
         
     
    Ratios of Borrowing Interest Expense
    to Average Net Assets Applicable
    to Common Shares(e)
 
Multi-Strategy Income and Growth (JPC)
Year Ended 12/31:
       
2008(f)
       
2007
    .50 %*
2006
     
2005
     
2004(b)
     
Year Ended 7/31:
       
2004
     
2003(c)
     
 
Multi-Strategy Income and Growth 2 (JQC)
Year Ended 12/31:
       
2008(f)
       
2007
    .43 %*
2006
     
2005
     
2004(b)
     
Year Ended 7/31:
       
2004
     
2003(d)
     
 
 
 
See accompanying notes to financial statements.

83


 

 
     
     
    Financial
HIGHLIGHTS (continued) (Unaudited)
 
 
                                         
    FundPreferred Shares at End of Period     Borrowings at End of Period  
          Liquidation and
                   
    Aggregate Amount
    Market Value
    Asset Coverage
    Aggregate Amount
    Asset Coverage
 
    Outstanding (000)     Per Share     Per Share     Outstanding (000)     Per $1,000  
Multi-Strategy Income and Growth (JPC)
                                         
Year Ended 12/31:
                                       
2008(f)
    $258,000       $25,000       $131,351       $450,000       $4,012  
2007
    708,000       25,000       64,444              
2006
    708,000       25,000       75,210              
2005
    708,000       25,000       75,139              
2004(b)
    708,000       25,000       79,157              
Year Ended 7/31:
                                       
2004
    708,000       25,000       77,083              
2003(c)
    708,000       25,000       74,893              
                                         
                                         
Multi-Strategy Income and Growth 2 (JQC)
                                         
Year Ended 12/31:
                                       
2008(f)
    325,000       25,000       146,992       640,000       3,986  
2007
    965,000       25,000       70,102              
2006
    965,000       25,000       77,025              
2005
    965,000       25,000       76,867              
2004(b)
    965,000       25,000       80,455              
Year Ended 7/31:
                                       
2004
    965,000       25,000       77,364              
2003(d)
                             
                                         

84


 

Annual Investment
Management Agreement
APPROVAL PROCESS
 

 
 
The Investment Company Act of 1940, as amended (the “1940 Act”), provides, in substance, that each investment advisory agreement between a fund and its investment adviser (including sub-advisers) will continue in effect from year to year only if its continuance is approved at least annually by the fund’s board members, including by a vote of a majority of the board members who are not parties to the advisory agreement or “interested persons” of any parties (the “Independent Board Members”), cast in person at a meeting called for the purpose of considering such approval. In connection with such approvals, the fund’s board members must request and evaluate, and the investment adviser is required to furnish, such information as may be reasonably necessary to evaluate the terms of the advisory agreement. Accordingly, at a meeting held on May 28-29, 2008 (the “May Meeting”), the Boards of Trustees (each, a “Board” and each Trustee, a “Board Member”) of the Funds, including a majority of the Independent Board Members, considered and approved the continuation of the advisory and sub-advisory agreements for the Funds for an additional one-year period. These agreements include the investment advisory agreements between Nuveen Asset Management (“NAM”) and each Fund and the sub-advisory agreements between NAM and Spectrum Asset Management, Inc. (“Spectrum”), NAM and Tradewinds Global Investors, LLC (“Tradewinds”) and NAM and Symphony Asset Management LLC (“Symphony”) (Spectrum, Tradewinds and Symphony are each a “Sub-Adviser”). In preparation for their considerations at the May Meeting, the Board also held a separate meeting on April 23, 2008 (the “April Meeting”). Accordingly, the factors considered and determinations made regarding the renewals by the Independent Board Members include those made at the April Meeting.
 
In addition, in evaluating the applicable advisory agreements (each an “Investment Management Agreement”) and sub-advisory agreements (each a “Sub-Advisory Agreement,” and each Investment Management Agreement and Sub-Advisory Agreement, an “Advisory Agreement”), as described in further detail below, the Independent Board Members reviewed a broad range of information relating to the Funds, NAM and the Sub-Advisers (NAM and each Sub-Adviser are each a “Fund Adviser”), including absolute performance, fee and expense information for the Funds as well as comparative performance, fee and expense information for a comparable peer group of funds, the performance information of recognized and/or customized benchmarks (as applicable), the profitability of Nuveen for its advisory activities (which includes its wholly owned subsidiaries), and other information regarding the organization, personnel, and services provided by the respective Fund Adviser. The Independent Board Members also met quarterly as well as at other times as the need arose during the year and took into account the information provided at such meetings and the knowledge gained therefrom. Prior to approving the renewal of the Advisory Agreements, the Independent Board Members reviewed the foregoing information with their independent legal counsel and with management, reviewed materials from independent legal counsel describing applicable law and their duties in reviewing advisory contracts, and met with independent legal counsel in private sessions without management present. The Independent Board Members considered the legal advice provided by independent legal counsel and relied upon their knowledge of the Fund Adviser, its services and the Funds resulting from their meetings and other interactions throughout the year and their own business judgment in determining the factors to be considered in evaluating the Advisory Agreements. Each Board Member may have accorded different weight to the various factors in reaching his or her conclusions with respect to a Fund’s Advisory Agreements. The Independent Board Members did not identify any single factor as all-important or controlling. The Independent Board Members’ considerations were instead based on a comprehensive consideration of all the information presented. The principal factors considered by the Board and its conclusions are described below.
 
A.  Nature, Extent and Quality of Services
In considering renewal of the Investment Management Agreements, the Independent Board Members considered the nature, extent and quality of the Fund Adviser’s services, including advisory services and administrative services. The Independent Board Members reviewed materials outlining, among other things, NAM’s organization and business; the types of services that NAM or its affiliates provide and are expected to provide to the Funds;

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Management Agreement
APPROVAL PROCESS (continued)
 

 
 
the performance record of the applicable Fund (as described in further detail below); and any initiatives Nuveen had taken for the applicable fund product line. With respect to personnel, the Independent Board Members evaluated the background, experience and track record of the Fund Adviser’s investment personnel. In this regard, the Independent Board Members considered the additional investment in personnel to support Nuveen fund advisory activities, including in operations, product management and marketing as well as related fund support functions, including sales, executive, finance, human resources and information technology. The Independent Board Members also reviewed information regarding portfolio manager compensation arrangements to evaluate NAM’s ability to attract and retain high quality investment personnel.
 
In evaluating the services of NAM, the Independent Board Members also considered NAM’s oversight of the performance, business activities and compliance of the Sub-Advisers, the ability to supervise the Funds’ other service providers and given the importance of compliance, NAM’s compliance program. Among other things, the Independent Board Members considered the report of the chief compliance officer regarding the Funds’ compliance policies and procedures.
 
In addition to advisory services, the Independent Board Members considered the quality of administrative services provided by NAM and its affiliates including product management, fund administration, oversight of service providers, shareholder services, administration of Board relations, regulatory and portfolio compliance and legal support.
 
The Independent Board Members reviewed an evaluation of the Sub-Advisers from NAM, including information as to the process followed by NAM in evaluating sub-advisers. The evaluation also included information relating to each Sub-Adviser’s organization, operations, personnel, assets under management, investment philosophy, strategies and techniques in managing the Funds, developments affecting each Sub-Adviser, and an analysis of each Sub-Adviser. The Board considered the performance of the portion of the investment portfolio of each Fund for which the respective Sub-Adviser is responsible. The Board also recognized that the Sub-Advisory Agreements were essentially agreements for portfolio management services only and the Sub-Advisers were not expected to supply other significant administrative services to the Funds. During the last year, the Independent Board Members noted that they visited several sub-advisers to the Nuveen funds, meeting their key investment and business personnel. In this regard, during 2007, the Independent Board Members visited Tradewinds and Symphony. The Independent Board Members also noted that they anticipate visiting each sub-adviser to the Nuveen funds at least once over the course of a multiple-year rotation. The Independent Board Members further noted that NAM recommended the renewal of the applicable Sub-Advisory Agreements and considered the basis for such recommendations and any qualifications in connection therewith.
 
In addition to the foregoing services, the Independent Board Members also noted the additional services that NAM or its affiliates provide to closed-end funds, including, in particular, its secondary market support activities and the costs of such activities. The Independent Board Members recognized Nuveen’s continued commitment to supporting the secondary market for the common shares of its closed-end funds through a variety of programs designed to raise investor and analyst awareness and understanding of closed-end funds. These efforts include maintaining an investor relations program to timely provide information and education to financial advisers and investors; providing advertising and marketing for the closed-end funds; maintaining its closed-end fund website; and providing educational seminars. With respect to closed-end funds that utilize leverage through the issuance of auction rate preferred securities (“ARPS”), the Board has recognized the unprecedented market conditions in the auction rate market industry with the failure of the auction process. The Independent Board Members noted Nuveen’s efforts and the resources and personnel employed to analyze the situation, explore potential alternatives and develop and implement solutions that serve the interests of the affected funds and all of their respective shareholders. The Independent Board Members further noted Nuveen’s commitment and efforts to keep investors and financial advisers informed as to its progress in addressing the ARPS situation through, among other things, conference calls, press releases, and information posted on its website as well as its refinancing activities. The

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Independent Board Members also noted Nuveen’s continued support for holders of preferred shares of its closed-end funds by, among other things, seeking distribution for preferred shares with new market participants, managing relations with remarketing agents and the broker community, maintaining the leverage and risk management of leverage and maintaining systems necessary to test compliance with rating agency criteria.
 
Based on their review, the Independent Board Members found that, overall, the nature, extent and quality of services provided (and expected to be provided) to the Funds under the respective Investment Management Agreement or Sub-Advisory Agreement, as applicable, were satisfactory.
 
B.  The Investment Performance of the Funds and Fund Advisers
The Board considered the investment performance of each Fund, including the Fund’s historic performance as well as its performance compared to funds with similar investment objectives (the “Performance Peer Group”) based on data provided by an independent third party (as described below). In addition, the Independent Board Members reviewed the respective Fund’s historic performance compared to recognized and/or customized benchmarks (as applicable).
 
In evaluating the performance information, the Board considered whether the Fund has operated within its investment objectives and parameters and the impact that the investment mandates may have had on performance. In addition, in comparing a Fund’s performance with that of its Performance Peer Group, the Independent Board Members took into account that the closest Performance Peer Group in certain instances may not adequately reflect the respective fund’s investment objectives and strategies thereby hindering a meaningful comparison of the fund’s performance with that of the Performance Peer Group. These Performance Peer Groups include those for the Funds. In addition, the Independent Board Members noted the previous changes to the investment mandate of the Funds limit somewhat the usefulness of reviewing the Funds’ past performance.
 
The Independent Board Members reviewed performance information including, among other things, total return information compared with the Fund’s Performance Peer Group as well as recognized and/or customized benchmarks (as appropriate) for the one-, three- and five-year periods (as applicable) ending December 31, 2007 and with the Fund’s Performance Peer Group for the quarter, one-, three-, and five- year periods ending March 31, 2008 (as applicable). This information supplemented the Fund performance information provided to the Board at each of its quarterly meetings. Based on their review, the Independent Board Members determined that the respective Fund’s investment performance over time had been satisfactory.
 
C.  Fees, Expenses and Profitability
1. Fees and Expenses
The Board evaluated the management fees and expenses of each Fund reviewing, among other things, such Fund’s gross management fees (which take into account breakpoints), net management fees (which take into account fee waivers or reimbursements) and total expense ratios (before and after expense reimbursements and/or waivers) in absolute terms as well as compared to the gross management fees, net management fees (after waivers and/or reimbursements) and total expense ratios (before and after waivers) of a comparable universe of unaffiliated funds based on data provided by an independent data provider (the “Peer Universe”) and/or a more focused subset of funds therein (the “Peer Group”). The Independent Board Members further reviewed data regarding the construction of Peer Groups as well as the methods of measurement for the fee and expense analysis and the performance analysis. In reviewing the comparisons of fee and expense information, the Independent Board Members took into account that in certain instances various factors such as the size of the Fund relative to peers, the size and particular composition of the Peer Group, the investment objectives of the peers, expense anomalies, and the timing of information used may impact the comparative data, thereby limiting the ability to make a meaningful comparison. The Independent Board Members also considered, among other things, the differences in the use of leverage. In addition, the Independent Board Members noted the limited Peer Groups available for the Nuveen funds with multi-sleeves of investments. In reviewing the fee schedule for a Fund, the Independent Board Members considered the fund-level and complex-wide breakpoint schedules (described in further detail below) and any fee waivers and

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Management Agreement
APPROVAL PROCESS (continued)
 

 
 
reimbursements provided by Nuveen (applicable, in particular, for certain closed-end funds launched since 1999). Based on their review of the fee and expense information provided, the Independent Board Members determined that each Fund’s management fees and net total expense ratio were reasonable in light of the nature, extent and quality of services provided to the Fund.
 
2. Comparisons with the Fees of Other Clients
The Independent Board Members further reviewed information regarding the nature of services and fee rates offered by NAM to other clients. Such clients include separately managed accounts (both retail and institutional accounts) and funds that are not offered by Nuveen but are sub-advised by one of Nuveen’s investment management teams. In evaluating the comparisons of fees, the Independent Board Members noted that the fee rates charged to the Funds and other clients vary, among other things, because of the different services involved and the additional regulatory and compliance requirements associated with registered investment companies, such as the Funds. Accordingly, the Independent Board Members considered the differences in the product types, including, but not limited to, the services provided, the structure and operations, product distribution and costs thereof, portfolio investment policies, investor profiles, account sizes and regulatory requirements. The Independent Board Members noted, in particular, that the range of services provided to the Funds (as discussed above) is much more extensive than that provided to separately managed accounts. Given the inherent differences in the products, particularly the extensive services provided to the Funds, the Independent Board Members believe such facts justify the different levels of fees.
 
In considering the fees of the Sub-Advisers, the Independent Board Members also considered the pricing schedule or fees that each Sub-Adviser charges for similar investment management services for other fund sponsors or clients (such as retail and/or institutional managed accounts) as applicable. With respect to Symphony, the Independent Board Members also reviewed the fees it assesses for equity and taxable fixed-income hedge funds and hedge accounts it manages, which include a performance fee. In addition, the Independent Board Members noted that with respect to Spectrum, the Sub-Adviser unaffiliated with Nuveen, such fees were the result of arm’s-length negotiations.
 
3. Profitability of Fund Advisers
In conjunction with its review of fees, the Independent Board Members also considered the profitability of Nuveen for its advisory activities (which incorporated Nuveen’s wholly-owned affiliated sub-advisers) and its financial condition. The Independent Board Members reviewed the revenues and expenses of Nuveen’s advisory activities for the last two years and the allocation methodology used in preparing the profitability data. The Independent Board Members noted this information supplemented the profitability information requested and received during the year to help keep them apprised of developments affecting profitability (such as changes in fee waivers and expense reimbursement commitments). In this regard, the Independent Board Members noted that they had also appointed an Independent Board Member as a point person to review and keep them apprised of changes to the profitability analysis and/or methodologies during the year. The Independent Board Members considered Nuveen’s profitability compared with other fund sponsors prepared by two independent third party service providers as well as comparisons of the revenues, expenses and profit margins of various unaffiliated management firms with similar amounts of assets under management prepared by Nuveen.
 
In reviewing profitability, the Independent Board Members recognized the subjective nature of determining profitability which may be affected by numerous factors including the allocation of expenses. Further, the Independent Board Members recognized the difficulties in making comparisons as the profitability of other advisers generally is not publicly available and the profitability information that is available for certain advisers or management firms may not be representative of the industry and may be affected by, among other things, the adviser’s particular business mix, capital costs, types of funds managed and expense allocations.

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Notwithstanding the foregoing, the Independent Board Members reviewed Nuveen’s methodology and assumptions for allocating expenses across product lines to determine profitability. In reviewing profitability, the Independent Board Members recognized Nuveen’s investment in its fund business.
 
Based on its review, the Independent Board Members concluded that Nuveen’s level of profitability for its advisory activities was reasonable in light of the services provided. With respect to Spectrum, the Sub-Adviser unaffiliated with Nuveen, the Independent Board Members also considered such Sub-Adviser’s revenues, expenses (including the basis for allocating expenses) and profitability margins (pre- and post-tax). Based on their review, the Independent Board Members were satisfied that such Sub-Adviser’s level of profitability was reasonable in light of the services provided.
 
In evaluating the reasonableness of the compensation, the Independent Board Members also considered other amounts paid to a Fund Adviser by the Funds as well as any indirect benefits (such as soft dollar arrangements, if any) the Fund Adviser and its affiliates receive, or are expected to receive, that are directly attributable to the management of the Funds, if any. See Section E below for additional information on indirect benefits the Fund Adviser may receive as a result of its relationship with the Funds. Based on their review of the overall fee arrangements of each Fund, the Independent Board Members determined that the advisory fees and expenses of the respective Fund were reasonable.
 
D.  Economies of Scale and Whether Fee Levels Reflect These Economies of Scale
With respect to economies of scale, the Independent Board Members recognized the potential benefits resulting from the costs of a fund being spread over a larger asset base. The Independent Board Members therefore considered whether the Funds have appropriately benefited from any economies of scale and whether there is potential realization of any further economies of scale. In considering economies of scale, the Independent Board Members have recognized that economies of scale are difficult to measure and predict with precision, particularly on a fund-by-fund basis. Notwithstanding the foregoing, one method to help ensure the shareholders share in these benefits is to include breakpoints in the advisory fee schedule. Accordingly, the Independent Board Members reviewed and considered the fund-level breakpoints in the advisory fee schedules that reduce advisory fees. In this regard, given that the Funds are closed-end funds, the Independent Board Members recognized that although the Funds may from time to time make additional share offerings, the growth in their assets will occur primarily through appreciation of each such Fund’s investment portfolio.
 
In addition to fund-level advisory fee breakpoints, the Board also considered the Funds’ complex-wide fee arrangement. Pursuant to the complex-wide fee arrangement, the fees of the funds in the Nuveen complex, including the Funds, are reduced as the assets in the fund complex reach certain levels. In evaluating the complex-wide fee arrangement, the Independent Board Members recognized that the complex-wide fee schedule was recently revised in 2007 to provide for additional fee savings to shareholders and considered the amended schedule. The Independent Board Members further considered that the complex-wide fee arrangement seeks to provide the benefits of economies of scale to fund shareholders when total fund complex assets increase, even if assets of a particular fund are unchanged or have decreased. The approach reflects the notion that some of Nuveen’s costs are attributable to services provided to all its funds in the complex and therefore all funds benefit if these costs are spread over a larger asset base. Based on their review, the Independent Board Members concluded that the breakpoint schedule and complex-wide fee arrangement were acceptable and desirable in providing benefits from economies of scale to shareholders.
 
E.  Indirect Benefits
In evaluating fees, the Independent Board Members received and considered information regarding potential “fall out” or ancillary benefits the respective Fund Adviser or its affiliates may receive as a result of its relationship with each Fund. In this regard, the Independent Board Members considered revenues received by affiliates of NAM for serving as agent at Nuveen’s preferred trading desk and for serving as a co-manager in the initial public offering of new closed-end exchange traded funds.
 
In addition to the above, the Independent Board Members considered whether the Fund Adviser received any benefits from soft dollar arrangements whereby a portion of the commissions paid by a Fund for brokerage may

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Annual Investment
Management Agreement
APPROVAL PROCESS (continued)
 

 
 
be used to acquire research that may be useful to the Fund Adviser in managing the assets of the Funds and other clients. With respect to NAM, the Independent Board Members noted that NAM does not currently have any soft dollar arrangements; however, to the extent certain bona fide agency transactions that occur on markets that traditionally trade on a principal basis and riskless principal transactions are considered as generating “commissions,” NAM intends to comply with the applicable safe harbor provisions.
 
With respect to Tradewinds, the Independent Board Members considered that such Sub-Adviser may benefit from its soft dollar arrangements pursuant to which it receives research from brokers that execute the applicable Fund’s portfolio transactions and noted that its profitability may be lower if it were required to pay for this research with hard dollars. The Board noted that Spectrum does not direct trades through non-affiliated broker-dealers and therefore does not have any brokerage to provide in order to receive research or related services on a soft dollar basis; however, this Sub-Adviser may from time to time receive research from various firms with which it transacts client business, but it has no arrangements with these firms and clients do not pay higher commissions to receive such research. Further, the Board considered that Symphony currently does not enter into soft dollar arrangements; however, it has adopted a soft dollar policy in the event it does so in the future.
 
Based on their review, the Independent Board Members concluded that any indirect benefits received by a Fund Adviser as a result of its relationship with the Funds were reasonable and within acceptable parameters.
 
F.  Other Considerations
The Independent Board Members did not identify any single factor discussed previously as all-important or controlling. The Board Members, including the Independent Board Members, unanimously concluded that the terms of the Investment Management Agreements and Sub-Advisory Agreements are fair and reasonable, that the respective Fund Adviser’s fees are reasonable in light of the services provided to each Fund and that the Investment Management Agreements and the Sub-Advisory Agreements be renewed.

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Reinvest Automatically
EASILY and CONVENIENTLY
 

 
Nuveen makes reinvesting easy. A phone call is all it takes to set up your reinvestment account.
 
Nuveen Closed-End Funds Dividend Reinvestment Plan
Your Nuveen Closed-End Fund allows you to conveniently reinvest dividends and/or capital gains distributions in additional Fund shares.
 
By choosing to reinvest, you’ll be able to invest money regularly and automatically, and watch your investment grow through the power of tax-free compounding. Just like dividends or distributions in cash, there may be times when income or capital gains taxes may be payable on dividends or distributions that are reinvested.
 
It is important to note that an automatic reinvestment plan does not ensure a profit, nor does it protect you against loss in a declining market.
 
Easy and convenient
To make recordkeeping easy and convenient, each month you’ll receive a statement showing your total dividends and distributions, the date of investment, the shares acquired and the price per share, and the total number of shares you own.
 
How shares are purchased
The shares you acquire by reinvesting will either be purchased on the open market or newly issued by the Fund. If the shares are trading at or above net asset value at the time of valuation, the Fund will issue new shares at the greater of the net asset value or 95% of the then-current market price. If the shares are trading at less than net asset value, shares for your account will be purchased on the open market. If the Plan Agent begins purchasing Fund shares on the open market while shares are trading below net asset value, but the Fund’s shares subsequently trade at or above their net asset value before the Plan Agent is able to complete its purchases, the Plan Agent may cease open-market purchases and may invest the uninvested portion of the distribution in newly-issued Fund shares at a price equal to the greater of the shares’ net asset value or 95% of the shares’ market value on the last business day immediately prior to the purchase date. Dividends and distributions received to purchase shares in the open market will normally be invested shortly after the dividend payment date. No interest will be paid on dividends and distributions awaiting reinvestment. Because the market price of the shares may increase before purchases are completed, the average purchase price per share may exceed the market price at the time of valuation, resulting in the acquisition of fewer shares than if the dividend or distribution had been paid in shares issued by the Fund. A pro rata portion of any applicable brokerage commissions on open market purchases will be paid by Plan participants. These commissions usually will be lower than those charged on individual transactions.

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Flexible
You may change your distribution option or withdraw from the Plan at any time, should your needs or situation change. Should you withdraw, you can receive a certificate for all whole shares credited to your reinvestment account and cash payment for fractional shares, or cash payment for all reinvestment account shares, less brokerage commissions and a $2.50 service fee.
 
You can reinvest whether your shares are registered in your name, or in the name of a brokerage firm, bank, or other nominee. Ask your investment advisor if his or her firm will participate on your behalf. Participants whose shares are registered in the name of one firm may not be able to transfer the shares to another firm and continue to participate in the Plan.
 
The Fund reserves the right to amend or terminate the Plan at any time. Although the Fund reserves the right to amend the Plan to include a service charge payable by the participants, there is no direct service charge to participants in the Plan at this time.
 
Call today to start reinvesting dividends and/or distributions
For more information on the Nuveen Automatic Reinvestment Plan or to enroll in or withdraw from the Plan, speak with your financial advisor or call us at (800) 257-8787.

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Glossary of
TERMS USED in this REPORT
 

 
 n  Average Annual Total Return: This is a commonly used method to express an investment’s performance over a particular, usually multi-year time period. It expresses the return that would have been necessary each year to equal the investment’s actual cumulative performance (including change in NAV or market price and reinvested dividends and capital gains distributions, if any) over the time period being considered.
 
 n  Collateralized Debt Obligations (CDOs): Collateralized debt obligations are a type of asset-backed security constructed from a portfolio of fixed-income assets. CDOs usually are divided into different tranches having different ratings and paying different interest rates. Losses, if any, are applied in reverse order of seniority and so junior tranches generally offer higher coupons to compensate for added default risk.
 
 n  Market Yield (also known as Dividend Yield or Current Yield): Market yield is based on the Fund’s current annualized quarterly distribution divided by the Fund’s current market price. The Fund’s quarterly distributions to its shareholders may be comprised of ordinary income, net realized capital gains and, if at the end of the calendar year the Fund’s cumulative net ordinary income and net realized gains are less than the amount of the Fund’s distributions, a tax return of capital.
 
 n  Net Asset Value (NAV): A Fund’s common share NAV per share is calculated by subtracting the liabilities of the Fund (including any Preferred shares issued in order to leverage the Fund) from its total assets and then dividing the remainder by the number of shares outstanding. Fund NAVs are calculated at the end of each business day.

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NOTES 
 

 

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Board of Trustees
John P. Amboian
Robert P. Bremner
Jack B. Evans
William C. Hunter
David J. Kundert
William J. Schneider
Judith M. Stockdale
Carole E. Stone
Terence J. Toth
 
Fund Manager
Nuveen Asset Management
333 West Wacker Drive
Chicago, IL 60606
 
Custodian
State Street Bank & Trust Company
Boston, MA
 
Transfer Agent and
Shareholder Services
State Street Bank & Trust Company
Nuveen Funds
P.O. Box 43071
Providence, RI 02940-3071
(800) 257-8787
 
Legal Counsel
Chapman and Cutler LLP
Chicago, IL
 
Independent Registered
Public Accounting Firm
Ernst & Young LLP
Chicago, IL
 
 
Each Fund intends to repurchase or redeem shares of its own common or preferred stock in the future at such times and in such amounts as is deemed advisable. During the period covered by this report JQC repurchased 38,900 common shares, and JPC and JQC redeemed 18,000 and 25,600 preferred shares, respectively. Any future repurchases or redemptions will be reported to shareholders in the next annual or semi-annual report.
 
     
     
    Other Useful INFORMATION
 
QUARTERLY PORTFOLIO OF INVESTMENTS AND PROXY VOTING INFORMATION
 
You may obtain (i) each Fund’s quarterly portfolio of investments, (ii) information regarding how the Funds voted proxies relating to portfolio securities held during the most recent twelve-month period ended June 30, 2008, and (iii) a description of the policies and procedures that the Funds used to determine how to vote proxies relating to portfolio securities without charge, upon request, by calling Nuveen Investments toll-free at (800) 257-8787 or on Nuveen’s website at www.nuveen.com.
 
You may also obtain this and other Fund information directly from the Securities and Exchange Commission (“SEC”). The SEC may charge a copying fee for this information. Visit the SEC on-line at http://www.sec.gov or in person at the SEC’s Public Reference Room in Washington, D.C. Call the SEC at (202) 942-8090 for room hours and operation. You may also request Fund information by sending an e-mail request to publicinfo@sec.gov or by writing to the SEC’s Public Reference Section at 100 F Street NE, Washington, D.C. 20549.
 
CEO Certification Disclosure
 
Each Fund’s Chief Executive Officer has submitted to the New York Stock Exchange (NYSE) the annual CEO certification as required by Section 303A.12(a) of the NYSE Listed Company Manual.
 
Each Fund has filed with the Securities and Exchange Commission the certification of its Chief Executive Officer and Chief Financial Officer required by Section 302 of the Sarbanes-Oxley Act.
 

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Nuveen Investments:
SERVING INVESTORS FOR GENERATIONS
 
Since 1898, financial advisors and their clients have relied on Nuveen Investments to provide dependable investment solutions. For the past century, Nuveen Investments has adhered to the belief that the best approach to investing is to apply conservative risk-management principles to help minimize volatility.
 
Building on this tradition, we today offer a range of high quality equity and fixed-income solutions that are integral to a well-diversified core portfolio. Our clients have come to appreciate this diversity, as well as our continued adherence to proven, long-term investing principles.
 
We offer many different investing solutions for our clients’ different needs.
Nuveen Investments is a global investment management firm that seeks to help secure the long-term goals of institutions and high net worth investors as well as the consultants and financial advisors who serve them. Nuveen Investments markets its growing range of specialized investment solutions under the high-quality brands of HydePark, NWQ, Nuveen, Rittenhouse, Santa Barbara, Symphony and Tradewinds. In total, the Company managed $152 billion of assets on June 30, 2008.
 
Find out how we can help you reach your financial goals.
To learn more about the products and services Nuveen Investments offers, talk to your financial advisor, or call us at (800) 257-8787. Please read the information provided carefully before you invest.
 
Be sure to obtain a prospectus, where applicable. Investors should consider the investment objective and policies, risk considerations, charges and expenses of the Fund carefully before investing. The prospectus contains this and other information relevant to an investment in the Fund. For a prospectus, please contact your securities representative or Nuveen Investments, 333 W. Wacker Dr., Chicago, IL 60606. Please read the prospectus carefully before you invest or send money.
 
Learn more about Nuveen Funds at:    www.nuveen.com/cef
 
     
     
    Share prices
Fund details
Daily financial news
Investor education
Interactive planning tools

ESA-F-0608D


 

ITEM 2. CODE OF ETHICS.
Not applicable to this filing.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable to this filing.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable to this filing.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to this filing.
ITEM 6. SCHEDULE OF INVESTMENTS.
See Portfolio of Investments in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to this filing.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to this filing.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
                 
Period*   (a)   (b)   (c)   (d)*
    TOTAL NUMBER OF   AVERAGE   TOTAL NUMBER OF SHARES   MAXIMUM NUMBER (OR
    SHARES (OR   PRICE   (OR UNITS) PURCHASED AS   APPROXIMATE DOLLAR VALUE) OF
    UNITS)   PAID PER   PART OF PUBLICLY   SHARES (OR UNITS) THAT MAY YET
    PURCHASED   SHARE (OR   ANNOUNCED PLANS OR   BE PURCHASED UNDER THE PLANS OR
        UNIT)   PROGRAMS   PROGRAMS
 
               
JANUARY 1-31, 2008
  38,900   $10.95   764,500   13,235,500
 
               
FEBRUARY 1-29, 2008
  0   $0   0   13,235,500
 
               
MARCH 1-31, 2008
  0   $0   0   13,235,500
 
               
APRIL 1-30, 2008
  0   $0   0   13,235,500
 
               
MAY 1-31, 2008
  0   $0   0   13,235,500
 
               
JUNE 1-30, 2008
  0   $0   0   13,235,500
 
               
TOTAL
  38,900            
* The registrant’s repurchase program was announced November 21, 2007. The registrant’s repurchase program authorized the repurchase of 14,000,000 shares. The repurchases made by the registrant pursuant to the program were all made through open-market transactions.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board implemented after the registrant last provided disclosure in response to this item.
ITEM 11. CONTROLS AND PROCEDURES.
  (a)   The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”)(17 CFR 240.13a-15(b) or 240.15d-15(b)).
 
  (b)   There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
ITEM 12. EXHIBITS.
File the exhibits listed below as part of this Form.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit: Not applicable to this filing.
(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)) in the exact form set forth below: Ex-99.CERT attached hereto.
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons: Not applicable.
(b) If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the 1940 Act (17 CFR 270.30a-2(b)); Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)), and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this paragraph will not be deemed “filed” for purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference. Ex-99.906 CERT attached hereto.

 


 

SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
         
(Registrant) Nuveen Multi-Strategy Income and Growth Fund 2
 
   
By (Signature and Title)* /s/ Kevin J. McCarthy      
  Kevin J. McCarthy     
  Vice President and Secretary     
 
Date: September 8, 2008
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
         
     
By (Signature and Title)* /s/ Gifford R. Zimmerman      
  Gifford R. Zimmerman     
  Chief Administrative Officer
(principal executive officer) 
   
 
Date: September 8, 2008
         
     
By (Signature and Title)* /s/ Stephen D. Foy      
  Stephen D. Foy     
  Vice President and Controller
(principal financial officer) 
   
 
Date: September 8, 2008
 
*   Print the name and title of each signing officer under his or her signature.