Nuveen Gresham Managed Futures Fund

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (www.nuveen.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically anytime by contacting the financial intermediary (such as a broker-dealer or bank) through which you hold your Fund shares or, if you are a direct investor, by enrolling at www.nuveen.com/e-reports.

You may elect to receive all future shareholder reports in paper free of charge at any time by contacting your financial intermediary or, if you are a direct investor, by calling 800-257-8787 and selecting option #1. Your election to receive reports in paper will apply to all funds held in your account with your financial intermediary or, if you are a direct investor, to all your directly held Nuveen Funds and any other directly held funds within the same group of related investment

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Annual Report

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Chair’s Letter to Shareholders

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Portfolio Managers’

Comments

Nuveen Gresham Managed Futures Strategy Fund

The Fund is managed by Nuveen Fund Advisors, LLC. The Fund is sub-advised by Gresham Investment Management LLC, acting through its Term Structure Monetization division (Gresham). Jonathan S. Spencer, Xiong Lin, CFA, and Hiroshi Hamazaki from Gresham manage the Fund.

On September 23, 2020, it was announced that the Fund will be liquidated after the close of business on November 20, 2020 (subsequent to the close of the reporting period). Effective October 23, 2020, the Fund stopped accepting purchases from new investors. Existing shareholders were able to purchase Fund shares until November 6, 2020 and continue to reinvest dividends and capital gains distributions received from the Fund. The Fund reserves the right to modify the extent to which sales of shares are limited prior to the Fund’s liquidation. After the close of business on November 20, 2020, the Fund liquidated all remaining shareholder accounts and sent shareholders the proceeds of the liquidation.

Effective November 25, 2019, Michael P. Magers no longer serves as a portfolio manager for the Fund and Hiroshi Hamazaki was added as a portfolio manager.

Here the managers review general market conditions and trends, key strategies and the performance of the Fund for the twelve-month reporting period ended September 30, 2020.

What factors affected the U.S. economy and financial markets during the twelve-month reporting period ended September 30, 2020?

The U.S. economy rebounded more quickly than expected from the deep downturn caused by the coronavirus containment measures. As business and social activities were drastically restricted in March and April 2020 to slow the spread of COVID-19, U.S. gross domestic product (GDP) shrank 31.4% on an annualized basis in the second quarter of 2020 (following a 5% decline in the first quarter), according to the Bureau of Economic Analysis (BEA) “third” estimate. GDP measures the value of goods and services produced by the nation’s economy less the value of the goods and services used up in production, adjusted for price changes. Government relief programs provided significant aid to individuals and businesses as the economy began reopening in May 2020, which helped the economy bounce back strongly over the summer months. GDP rose 33.1% in the third quarter of 2020, according to the BEA’s “advance” estimate. While the third quarter gain was historic, the economy remained below pre-pandemic growth levels. GDP growth was 2.4% in the fourth quarter of 2019 and 2.2% for 2019 overall.

Consumer spending, the largest driver of the economy, was well supported earlier in this reporting period by low unemployment, wage gains and tax cuts. However, the COVID-19 crisis containment measures drove a significant drop in consumer spending and a sharp rise in unemployment starting in March 2020. The Bureau of Labor Statistics said the unemployment rate rose to 7.9% in September 2020 from 3.5% in September 2019. As of September 2020, roughly half of the 22 million jobs lost in March and April 2020 have been recovered. The average hourly earnings rate appeared to soar, growing at an annualized rate of 4.7% in September 2020, despite the spike in unemployment. Earnings data was skewed by the concentration of job losses in lower-wage work, which effectively eliminated most of the low-wage data, resulting in an average of mostly higher numbers. The overall trend of inflation

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

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

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

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Portfolio Managers’ Comments (continued)

remained muted, as decreases in gasoline, apparel and transportation prices offset an increase in food prices. The Bureau of Labor Statistics said the Consumer Price Index (CPI) increased 1.4% over the twelve-month reporting period ended September 30, 2020 before seasonal adjustment.

Prior to the COVID-19 crisis recession, the U.S. Federal Reserve (the Fed) had reduced its benchmark interest rate to support the economy’s slowing growth. The Fed also stopped shrinking its bond portfolio sooner than scheduled and began buying short-term Treasury bills to help money markets operate smoothly and maintain short-term borrowing rates at low levels.

As the health and economic crisis deepened, the Fed enacted an array of emergency measures in March 2020 to stabilize the financial system and support the markets, including cutting its main interest rate to near zero, offering lending programs to aid small and large companies and allowing unlimited bond purchases, known as quantitative easing. There were no policy changes at the Fed’s April, June and July 2020 meetings, where Chairman Powell reiterated a commitment to keep rates near zero until the economy recovers and maintained a cautious outlook for the U.S. economy. Also at the July 2020 meeting, the Fed extended some of its pandemic funding facilities by another three months to December 2020. At the annual Jackson Hole Economic Symposium, held virtually in August 2020, the Fed announced a change in inflation policy to average inflation targeting. Under this regime, the Fed will tolerate the inflation rate temporarily overshooting the target rate to offset periods of below-target inflation, so that inflation averages a 2% rate over time. The Fed provided further clarification of the new inflation policy and left the benchmark interest rate unchanged at its September 2020 meeting.

Meanwhile, the U.S. government approved three aid packages. These included $2 trillion allocated across direct payments to Americans, an expansion of unemployment insurance, loans to large and small businesses, funding to hospitals and health agencies and support to state and local governments, as well as more than $100 billion in funding to health agencies and employers offering paid leave. As some of these programs began to expire, additional relief measures were under discussion in Congress, but a final deal had not been reached as of the end of this reporting period.

The COVID-19 crisis rapidly dwarfed all other market concerns starting in late February 2020. Equity and commodity markets sold-off and safe-haven assets rallied in March 2020 as China, other countries and then the United States initiated quarantines, restricted travel and shuttered factories and businesses. The potential economic shock was particularly difficult to assess, which amplified market volatility. An ill-timed oil price war between the Organization of the Petroleum Exporting Countries (OPEC) and non-OPEC member Russia, which caused oil prices to plunge in March 2020, exacerbated the market sell-off.

Geopolitical uncertainty remained elevated with the U.S. presidential election, the Brexit transition period winding down and U.S.-China relations deteriorating. While markets remained concerned about the potential for a disputed outcome, the next round of fiscal stimulus was expected to follow the presidential election. In Europe, the EU and U.K. continued to negotiate, but had not yet reached, a final Brexit agreement after the U.K. formally exited at the end of January 2020 and triggered the one-year transition period (which ends on December 31, 2020). Although China and the U.S. signed a “phase one” trade deal in January 2020, tensions continued to flare over other trade and technology/security issues, Hong Kong’s sovereignty and the management of the COVID-19 crisis.

How did the Fund perform during the twelve-month reporting period ended September 30, 2020?

The table in the Fund Performance and Expense Ratios section of this report provides total return performance information for each share class of the Fund for the period ending September 30, 2020. The Fund’s Class A Share total return at net asset value (NAV) is compared with the performance of the ICE BofA 3-Month U.S. Treasury Bill Index (“T-Bill Index”) and its Lipper classification average. The Fund’s Class A Shares at net asset value (NAV) underperformed the T-Bill Index and outperformed its Lipper classification average for the twelve-month reporting period ended September 30, 2020.

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What strategies were used to manage the Fund during the twelve-month reporting period ended September 30, 2020 and how did these strategies influence performance?

The Fund’s investment objective is to seek capital appreciation. The Fund employs a proprietary, quantitatively-driven, systematically-executed investment process that seeks to capitalize on the existence of price momentum (or “trend”) within the global equity, fixed income, currency and commodity markets. The Fund takes long and short positions within these markets based on the systematic analysis and identification of price trends by Gresham. The owner of a “long” position will benefit from an increase in the price of the asset, while the owner of a “short” position will benefit from a decrease in the price of the asset. Gresham generally expects that the Fund will have long and short positions in all four of these markets, but at any one time the Fund may have significantly greater exposure to one or more of the markets, and the Fund’s exposure may consist predominantly of long or short positions within a market.

The Fund’s investment strategy has two elements, 1) a portfolio of derivative instruments, including futures, forward contracts and swaps, to gain its market exposure and 2) a portfolio of cash and cash equivalent holdings, including but not limited to U.S. Treasury securities and money market funds, which serve as collateral for the Fund’s derivative positions. The Fund’s derivatives portfolio results in investment exposure that greatly exceeds the Fund’s net assets, and therefore creates the economic effect of leverage. As a result of the Fund’s strategy, the Fund may at times have highly leveraged exposure across and within one or more markets. The Fund’s investments are generally made without restriction as to market capitalization, country, currency or maturity. The Fund may have exposure to issuers located in the United States as well as foreign developed and emerging markets.

Gresham’s investment philosophy is based on the belief that markets exhibit momentum, trends and other inefficiencies over time. Trends in particular reflect the phenomenon of serial correlation, whereby past price movements may influence current price behavior. Although the persistence of this phenomenon, as well as price correlation and the intensity of a price trend, will fluctuate depending on the characteristics of a given market, these features typically re-occur across markets and sectors, thus creating attractive, repeatable investment opportunities. Gresham identifies investment opportunities across a broad set of markets utilizing computerized processes. As such, the decision to trade is quantitative and directional in nature and decisions are grounded in mathematical models based on market trends and other relationships. This process is bolstered by ongoing research, diversification, risk control and a drive for efficiency in execution.

As geopolitical risk moderated somewhat in the fourth quarter of 2019, with trade tensions subsiding on signs of a U.S.-China entente and the U.S. Federal Reserve cutting rates for the third time in 2019, risk appetite remained strong through year-end and early 2020. As U.S. stock markets surged toward all-time highs in February 2020, few would have expected that the discussion would soon become centered on a global pandemic, and not whether a recession was on the horizon, but whether the one that had just arrived would turn into a full-blown depression. By mid-March 2020, the dismantling in asset markets was widespread, as the price of equities and other macro risk factors were re-rated dramatically. Market conditions came under unprecedented levels of duress, as volatility climbed into uncharted territory, correlations spiked and liquidity dried up or was materially impaired. An oil-price war at the worst possible time, a perceived shortage of U.S. dollars and record declines in macroeconomic indicators all stoked the fire.

Still, assets partially bounced back in the waning days of March 2020, as the dynamics of an unprecedented shuttering of social and economic activity were met by equally unprecedented levels of central bank and government intervention in the form of record-breaking fiscal support programs and seemingly limitless quantitative easing.

Market sentiment thereafter continued to be dominated by perceptions of the COVID-19 crisis, its impact on macroeconomic aggregates such as employment and the policy reaction (or, notably, the lack thereof in the U.S. in the third quarter of 2020). The upward trends in asset prices that commenced in late March 2020 continued through August 2020, with investors perhaps buying into the “V-shaped recovery” narrative. While equity markets reflected growing optimism for a sharper-than-previously-anticipated rebound, traditional safe-haven assets also enjoyed a solid bid, with U.S. Treasuries and gold both delivering strong returns. This may be partly attributable to the tension between upside surprises in economic data and anecdotal reports of vaccine trials on the one hand; and fears of a re-emergence of the virus, potential solvency concerns and a tailing away of fiscal support programs on the other.

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Portfolio Managers’ Comments (continued)

Governments and central banks around the globe continued to indicate, pledge and (to different extents) provide support for their respective economies over the third quarter of 2020. This led to varying effects by market and region: The U.S. dollar continued to weaken, propelling commodities broadly higher alongside equities and other risk assets, in continuation of the generally bullish trend in place since the depths of March 2020. Furthermore, Chinese economic growth and commodity demand, marked by a recovery in purchasing managers indexes over the past seven months as well as other supportive data flows, remained strong.

The path, however, was uncertain. After a summer of increasingly looser restrictions by local governments and increased activity by the public, COVID-19 caseloads in September 2020 began to rise more rapidly on both sides of the Atlantic, particularly in Europe, where fears of a second wave began to materialize. Markets also had to contend with heightened political uncertainty in the U.S., as the presidential election approached its final phase, and negotiations over additional stimulus seemed to grind toward a standstill rather than making any tangible progress.

The Fund’s performance was slightly negative during this tumultuous reporting period characterized by the turmoil in markets caused by the COVID-19 crisis. The Fund’s positive contributions from long rates and bonds positions, as well as short commodities positions, was offset by losses from equities and currency sectors.

Long positions in U.S. Treasuries of various maturities and 30-day federal funds futures comprised the bulk of the positive contributions during the reporting period, as yields plummeted in early March 2020, with the 10-year Treasury yield subsequently hovering at around 0.5% as of early August 2020. The long position in 90-day eurodollar futures also contributed significantly to performance in the first quarter of 2020. The short Brazilian real position was another of the largest individual contributors, as the Brazilian real continued to make new record lows through mid-May 2020 and its weakness continued throughout the summer. Short gas/oil positions contributed especially well in the first quarter of 2020, as prices fell sharply amid the demand destruction caused by the pandemic hitting the energy sector especially hard.

The Fund’s losing positions were mostly concentrated in the currency and equity markets, such as the Fund’s short position in Japanese yen, as the yen rallied on strong safe-haven demand, while a long position in Mexican peso took away from performance, also on COVID-19 crisis concerns. The Fund’s long positions in the Dow Jones Industrial Average and the Russell 2000^® Index were the largest detractors in equities, with a short position in Chicago Board Options Exchange (Cboe) Volatility Index^® (the VIX^®) futures also detracting from performance on the sudden and violent downward move in U.S. equities that occurred from February to mid-March 2020. Long positions in French 10-year bonds also negatively impacted returns as yields rose on expectations of government stimulus needed to combat the pending economic effects of the COVID-19 crisis.

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Risk Considerations

Nuveen Gresham Managed Futures Strategy Fund

Mutual fund investing involves risk; principal loss is possible. There is no guarantee the Fund’s investment objective will be achieved. The Fund employs proprietary trading models developed by Gresham that rely on historical pricing data provided by third-parties which introduces model and data risk. The Fund’s investment decisions are determined by the models; Gresham’s investment professionals do not exercise trade-by-trade discretion over the Fund’s investments. The Fund bears the risk that Gresham’s models will not be successful in identifying trends or in determining the size and direction of investment positions that will enable the Fund to achieve its investment objective. Models and data are subject to errors, omissions, imperfections and malfunctions which may materially negatively impact the Fund and/or its returns. The Fund may take short positions in derivative instruments, which is a speculative technique. The Fund will suffer a loss when the price of a security that it holds long decreases or the price of a security that it has holds short increases. Losses on short positions arise from increases in the value of the underlying instrument, and therefore are theoretically unlimited. More information on these risks, as well as information on other risks to which the Fund is subject, such as commodities, counterparty, credit, currency, derivatives, equity security, frequent trading, leverage, non-diversification, non-U.S. investment, subsidiary, tax, and volatility risks, are included in the Fund’s prospectus.

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Fund Performance

and Expense Ratios

The Fund Performance and Expense Ratios for the Fund are shown within this section of the report.

Fund Performance

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.

Total returns for a period of less than one year are not annualized (i.e. cumulative returns). Since inception returns are shown for share classes that have less than 10-years of performance. Returns at net asset value (NAV) would be lower if the sales charge were included. Returns assume reinvestment of dividends and capital gains. For performance, current to the most recent month-end visit nuveen.com or call (800) 257-8787.

Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

Returns may reflect fee waivers and/or expense reimbursements by the investment adviser during the periods presented. If any such waivers and/or reimbursements had not been in place, returns would have been reduced. See Notes to Financial Statements, Note 7—Management Fees and Other Transactions with Affiliates for more information.

Returns reflect differences in sales charges and expenses, which are primarily differences in distribution and service fees, and assume reinvestment of dividends and capital gains.

Comparative index and Lipper return information is provided for Class A Shares at NAV only.

Expense Ratios

The expense ratios shown are as of the Fund’s most recent prospectus. The expense ratios shown reflect the total operating expenses (before fee waivers and/or expense reimbursements, if any). The expense ratios include management fees and other fees and expenses.

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Fund Performance and Expense Ratios (continued)

Nuveen Gresham Managed Futures Strategy Fund

Refer to the first page of this Fund Performance and Expense Ratios section for further explanation of the information included within this section. Refer to the Glossary of Terms Used in this Report for definitions of terms used within this section.

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Growth of an Assumed $10,000 Investment as of September 30, 2020 – Class A Shares

The graphs do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares.

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Holding Summaries    as of September 30, 2020

Nuveen Gresham Managed Futures Strategy Fund

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

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

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Expense Examples

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including up-front and back-end sales charges (loads) or redemption fees, where applicable; and (2) ongoing costs, including management fees; distribution and service (12b-1) fees, where applicable; and other Fund expenses. The Examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Examples below are based on an investment of $1,000 invested at the beginning of the period and held through the period ended September 30, 2020.

The beginning of the period is April 1, 2020.

The information under “Actual Performance,” together with the amount you invested, allows you to estimate actual expenses incurred over the reporting period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.60) and multiply the result by the cost shown for your share class, in the row entitled “Expenses Incurred During Period” to estimate the expenses incurred on your account during this period.

The information under “Hypothetical Performance,” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expense you incurred for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the following tables are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the hypothetical information is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds or share classes. In addition, if these transaction costs were included, your costs would have been higher.

For each class of the Fund, expenses are equal to the Fund’s annualized net expense ratio of 1.49%, 2.26%, 1.21% and 1.25% for Classes A, C, R6 and I, respectively, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).

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Investments in Derivatives (continued)

Futures Contracts (continued):

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Investments in Derivatives (continued)

Futures Contracts (continued):