Nuveen Gresham Long/Short Commodity Strategy Fund

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1 COMMENTARY by Gresham Investment Management Nuveen Gresham Long/Short Commodity Strategy Fund A NGSAX C NGSCX I NGSIX Q 206 The Fund (Class A shares at NAV and Class I shares) outperformed the benchmark, the Bloomberg Commodity Index, returning 0.69% and 0.74% vs. 0.42% for the quarter, respectively At the commodity group level, the Fund s absolute returns strongly outperformed those of the Index in the energy group and were slightly better in foods and fibers The Fund s absolute returns lagged the Index returns in the precious metals, industrial metals, livestock and agriculture groups Market Review After a volatile start, the broad commodity market, as measured by the Bloomberg Commodity Index ( BCOM or Index ), ended with a flat but positive return for the first quarter of 206. In early January, worldwide financial market turmoil sent global equity and commodity prices tumbling. Risk aversion intensified as The World Bank again downgraded its global growth forecast, persistent global supply gluts pushed crude oil prices below $0 per barrel and investors worried about how quickly the U.S. Federal Reserve (Fed) intended to raise short-term interest rates. The Bank of Japan further unnerved the markets with its surprise decision in January to join Europe in adopting a negative interest rate. However, later in February, the commodity market began to rebound. Investor sentiment improved amid signals that fewer-than-expected Fed rate increases were likely in 206 and speculation that members of the Organization of the Petroleum Exporting Countries (OPEC) and Russia might agree to a production freeze at an upcoming April meeting. (They did not come to an agreement in April.) With the Fed s more dovish tone, the U.S. dollar weakened appreciably relative to major world currencies, including those of emerging markets, which provided an additional tailwind to commodity prices. Weather continued to influence soft commodities, as El Nino-induced droughts bolstered soybean oil and sugar prices, in particular, during the quarter. However, the El Nino pattern is now waning and investors are monitoring forecasts for a 206 La Nina weather phenomenon, which produces the opposite effects. Additionally during the quarter, terrorist attacks at Belgium s Brussels airport and Effective December, 205, Chris Neuharth, Wan-Chong Kung and Chad Kemper replaced Doug Baker as portfolio managers of the Fund. Effective March 8, 206, John Clarke is a portfolio manager of the Fund. NOT FDIC INSURED NO BANK GUARANTEE MAY LOSE VALUE FUND DESCRIPTION The Fund provides long and/or short exposure to global commodity markets, including energy, precious metals, foods and fibers, livestock, industrial metals and agriculture. In addition to the potential for price appreciation, the Fund may benefit from Gresham s proprietary active trading strategies. PORTFOLIO MANAGEMENT Randy Migdal 2 years investment experience Managed Fund since 202 Susan Wagner 29 years investment experience Managed Fund since 202 Chris Neuharth 5 years investment experience Managed Fund since 205 Wan-Chong Kung, CFA 2 years investment experience Managed Fund since 205 Chad Kemper 7 years investment experience Managed Fund since 205 John Clarke 8 years investment experience Managed Fund since 206 For more information, please consult with your financial advisor and visit nuveen.com.

2 transit system, a popular Ivory Coast beach and a Nigerian oil pipeline disrupted financial markets, although the market impact of these attacks was temporary. The fundamental outlook for many commodities continued to be challenging. Notably, crude oil, natural gas, corn, copper and nickel remained in oversupply conditions, which kept a lid on gains during the quarter. The BCOM as a whole gained 0.% for the quarter, buoyed by a double-digit return in gold. As gold reasserted its role as a favored safe haven asset in times of uncertainty, the precious metals group was by far the best-performing sector. In contrast, despite a March rally, the energy group stayed in negative territory for the quarter overall and was the weakest performer in the BCOM. Returns were relatively flat across the foods and fibers, livestock and agriculture groups, while industrial metals posted a small gain. 2

3 Portfolio Review For the quarter, the Fund s Class A Shares at NAV were up 0.69%, performing in line with the long-only Index, which returned 0.42%. At the commodity group level, the Fund s absolute returns strongly outperformed those of the Index in the energy group and were slightly better in foods and fibers. The Fund s absolute returns lagged the Index returns in the precious metals, industrial metals, livestock and agriculture groups. Sector Strategy Energy The Fund s energy position advanced 8.5% for the quarter, while the long-only BCOM lost 9.4%. Investor pessimism about global economy s prospects and a global stock market rout triggered by heavy losses in China s market contributed to heightened volatility in crude oil prices early in the year. In fact, West Texas Intermediate (WTI) crude fell to a 2-year low in February. However, conditions began to improve in late February and March, reversing some of the quarter s earlier losses, amid evidence of slowing U.S. production levels and hopes that key producers might agree to a production freeze at their April meeting in Doha, Qatar. (No deal was reached.) In the broad market, WTI finished the quarter down.6% and Brent declined 0.5%. The Fund held short positions in both Brent and WTI early in the quarter, which benefited as prices fell, then flipped to long positions in both crude positions, producing gains as prices rallied. Natural gas prices, however, remained under pressure due to unseasonal warm weather, ample storage and high production levels. While natural gas was the worst-performing commodity in the broad market for the quarter, tumbling 2.8% in the BCOM, it was the best performer in the Fund, where it was up 27.2%. The Fund has held a short position in natural gas since the third quarter of 205, which has been advantageous to performance as prices have continued to languish. Foods and fibers In the foods and fibers group, as grouped by Gresham, the Fund posted a slight loss of 0.5% for the quarter, while the BCOM was down.%. Sugar prices rallied during the quarter on forecasts of a global production deficit due to the El Nino weather pattern and increasing demand for sugar-based ethanol biofuel. A weaker U.S. dollar and stronger Brazilian real further bolstered prices at quarter end. However, both sugar and white sugar (not represented in the BCOM) were negative performers for the Fund, due to adverse timing in its intra-quarter position changes, as prices moved lower in early January then switched to a strong rally in February. Cocoa (which is held in the Fund but not included in the BCOM) performed poorly amid aggressive selling by investors holding long positions and concerns about waning global demand for chocolate. The Fund established a short position in cocoa in early January, which helped offset some of the losses, but the cocoa position still ended the quarter modestly lower. Cotton prices declined in the broad market on concerns about China selling state reserves and weakening demand. The Fund s flip to a short position in cotton in early January profited from falling prices over the quarter. Precious metals The precious metals group surged 5.2% in the BCOM but slid 4.0% in the Fund for the quarter. Risk aversion increased amid the quarter s geopolitical uncertainties and global economic and financial market turbulence, fueling investor demand for perceived safe haven assets such as gold and silver. Moreover, diminishing rate hike expectations in the U.S. and negative interest rates in Japan and Europe helped boost the appeal of owning a zero-yield asset such as gold, as well as weighed on the U.S. dollar, factors which lent further support to precious metals prices. The Fund began the quarter with a short position in gold but flipped to a long position in early February, ending the quarter with a nearly flat return in gold. Silver prices followed gold prices higher but with more volatility along the way. The Fund started the quarter with a short position in silver, then oscillated between long and flat over the rest of the quarter, which resulted in negative performance overall. Industrial metals The industrial metals group was up 2.2% in the BCOM, with gains in zinc and copper offsetting negative performance in nickel and a small loss in aluminum. Zinc rose by double digits on expectations of tightening global supplies, as a large U.S. producer filed for Chapter bankruptcy and London Metal Exchange warehouse inventories fell. Copper prices declined early in the quarter on oversupply fears but U.S. dollar weakness in mid- February and March helped prices rebound. A waning demand outlook driven by slowing Chinese industrial growth weighed on nickel prices. For the Fund, industrial metals was the weakest-performing group, down 7.5% for the quarter. In the choppy trading environment for all

4 industrial metals commodities during the quarter, the Fund suffered excess flipping activity across all of its positions, which was detrimental to performance. Flipping activity occurs when commodity prices trend sideways and the Fund switches from long to short (or flat in the case of energy) or vice versa. In seeking to outperform and get ahead of the Index, the Fund can experience excess flipping, which can adversely affect relative returns. (The Index is long only.) Portfolio Outlook While the BCOM s March rally ended an eight-month streak of negative performance, gains will likely be uneven this year and elevated volatility will persist. However, despite the lingering surpluses across many commodities and a backdrop of subdued global growth, we believe the commodity market offers greater upside potential than downside. Low prices should drive more production cuts, particularly in energy and industrial metals, advancing the supplydemand rebalancing process. The risk of recession in the U.S. looks low, Europe is likely to continue its slow recovery and China may be stabilizing. Central bank easing and a dovish U.S. Fed remain supportive of global growth and a further weakening in the U.S. dollar, which are broadly positive influences for commodity prices. In the short term, headlines will continue to drive bouts of volatility. We also continue to monitor market momentum. High levels of speculation have amplified recent rallies in some commodities. However, the underlying fundamentals may not sustain potentially higher price ranges, making those commodities vulnerable to correction in the near term. A choppy trading environment continued to pose challenges for the Fund s long/short strategy, as some of the short-term trends established in February reversed in March. We remain committed to honing our trading and implementation to provide our team with the tools to participate in such trends and also to nimbly exit when trends fail to develop. No one can predict the timing of a commodity cycle, which is why diversification and long-term perspective remain important strategies. We believe the Fund s broadly diversified, unleveraged approach to commodities investing is well-positioned to weather the full market cycle, while providing investors with compelling returns and lower overall risk in a long-term, diversified portfolio. COMMODITY GROUP GROSS ALLOCATION * Industrial Metals Agriculturals Precious Metals Livestock Food & Fibers Energy 4.9% 7.5% 2.7%.8% 5.% 7.7% TOP LONG COMMODITY EXPOSURE * % Fund Crude Oil 7. Gold 9.0 Copper 7. Soybeans 4.7 Gasoline.5 TOP SHORT COMMODITY EXPOSURE * % Fund Live Cattle -7.2 Natural Gas -7.0 Alunimum -5.0 Corn -.6 Wheat -.4 % Long % Short % Flat Energy Industrial Metals Agriculturals Precious Metals Livestock Food & Fibers *Portfolio weights are shown as a percentage of the Fund s commodity futures portfolio only, including gross exposure of long, short, and flat allocations. These figures do not reflect the Fund s cash/cash equivalent collateral positions or offsetting short and long futures positions on the London Metal Exchange. Holdings are subject to change. Totals may not add up to 00% due to rounding. 4

5 A NGSAX C NGSCX I NGSIX Average Annualized Total Returns as of //6 Inception Date QTD Without Sales Charge With Sales Charge Expense Ratios Year Years Since Inception QTD Year Years Since Inception Gross Net NUVEEN GRESHAM A NGSAX 7/0/ LONG/SHORT COMMODITY STRATEGY FUND I NGSIX 7/0/ Bloomberg Commodity Index Returns quoted represent past performance which is no guarantee of future results. Investment returns and principal value will fluctuate so that when shares are redeemed, they may be worth more or less than their original cost. Current performance may be higher or lower than the performance shown. Returns without sales charges would be lower if the sales charge were included. For the most recent month-end performance visit or call Class A shares have a 5.75% maximum sales charge. Class I shares have no sales charge and may be purchased by specified classes of investors. Returns assume reinvestment of all dividends and capital gains. Expense ratios are based on the Fund s most recent fiscal year end. Other expenses have been restated to reflect current contractual fees. The net expense ratio reflects a contractual commitment by the Fund s investment adviser to waive fees and/or reimburse expenses through January, 207. Absent the waiver and/or reimbursement, expenses would be higher and total returns would be less. The views and opinions expressed are for informational and educational purposes only as of the date of writing and may change at any time based on market or other conditions and may not come to pass. This material is not intended to be relied upon as investment advice or recommendations, does not constitute a solicitation to buy or sell securities and should not be considered specific legal, investment or tax advice. The information provided does not take into account the specific objectives, financial situation, or particular needs of any specific person. CFA and Chartered Financial Analyst are registered trademarks owned by CFA Institute. GLOSSARY The Bloomberg Commodity Index is a broadly diversified index composed of commodities traded on U.S. exchanges, with the exception of aluminum, nickel and zinc, which trade on the London Metal Exchange (LME). You cannot invest directly in an index. Net Asset Value (NAV) is the net market value of all securities held in a portfolio. A WORD ON RISK Mutual fund investing involves risk; principal loss is possible. An investor should consider the following risk factors. Investments in commodity-linked derivative instruments have a high degree of price variability and are subject to rapid and substantial price change which may subject the Fund to greater volatility than investments in traditional securities, particularly if the instruments involve leverage. Because the Fund has a significant portion of its assets concentrated in commoditylinked derivative instruments, developments affecting commodities including political and regulatory changes, seasonal variations, weather, technology, economic and market conditions will have a disproportionate impact on the Fund. As a result of short selling risk, the Fund bears the risk of unlimited loss on contracts it sells short. More information on these risks, as well as information on other risks to which the Fund is Nuveen Investments West Wacker Drive Chicago, IL nuveen.com 5 subject, such as clearing broker, counterparty, credit, derivatives, frequent trading, non-u.s. investment, regulatory, subsidiary, and tax risks, are included in the Fund s prospectus. Before investing, carefully consider fund investment objectives, risks, charges and expenses. For this and other information that should be read carefully, please request a prospectus or summary prospectus from your financial advisor or Nuveen Investments at or visit nuveen.com. The Fund features portfolio management by Gresham Investment Management, LLC, an affiliate of Nuveen Securities, LLC. Funds distributed by Nuveen Securities, LLC, a subsidiary of Nuveen Investments, Inc. 206 Nuveen Investments, Inc. All rights reserved. MQU-GLS-06P 569-INV-Q-07/6