Certified Semi-annual Shareholder Report for Management Investment Companies (n-csrs)

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Table of Contents

Letter to Shareholders

Portfolio Managers’ Comments

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 Funds disclaim any obligation to update publicly or revise any forward-looking statements or views expressed herein.

Ratings shown are the highest rating given by one of the following national rating agencies: Standard & Poor’s, Moody’s Investors Service, Inc. or Fitch, Inc. Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below investment grade ratings. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by these national rating agencies.

These Funds feature portfolio management by Nuveen Asset Management, LLC, an affiliate of Nuveen Investments, Inc. John Miller, CFA, and Doug White, CFA, manage the All-American Municipal Bond Fund. John began managing the Fund in 2010 and Doug joined John as co-manager of the All-American Municipal Bond Fund in 2011. John has managed the High Yield Municipal Bond Fund since 2000. Dan Close, CFA, and Doug Baker, CFA, have managed the Inflation Protected Municipal Bond Fund since its inception in 2011. Paul Brennan, CFA, has managed the Intermediate Duration Municipal Bond Fund since 2007 and the Limited Term Municipal Bond Fund since 2006.

Recently, the portfolio managers discussed their investment strategies and the Funds’ performance for the six-month period ending October 31, 2012.

How did the Funds perform during the six-month reporting period ending October 31, 2012?

The tables in the Fund Performance, Expense and Effective Leverage Ratios section of this report provide each Fund’s Class A Share total returns for the six-month, one-year, five-year, ten-year and since-inception periods ending October 31, 2012. The tables also compare these returns to each Fund’s benchmark index and their appropriate Lipper classification average.

Nuveen All-American Municipal Bond Fund

During the six months ending October 31, 2012, the Nuveen All-American Municipal Bond Fund Class A Shares at net asset value (NAV) outperformed the S&P Municipal Bond Index and the Lipper General Municipal Debt Funds Classification Average.

The Fund’s strong performance relative to its S&P benchmark was driven most notably by favorable duration positioning, meaning the Fund’s sensitivity to changes in interest rates. Continuing a trend that has been in place for several years, nearly all bonds, especially longer dated issues, experienced a decline in rates, while their prices rose accordingly (bond prices and yields move in opposite directions). The Fund had a somewhat longer duration than the benchmark during the period and, therefore, greater sensitivity to interest rate movements, it was better positioned to take advantage of the constructive market environment.

A second factor benefiting the Fund’s results was credit-rating positioning. Given the low interest rate environment of the past six months, investors were increasingly willing to accept more credit risk in exchange for higher yields. Against this backdrop, the portfolio was significantly overweight in BBB-rated bonds and modestly overweight in A-rated bonds, which reflect the lower end of the investment grade bond universe. These two

credit rating categories substantially outperformed their higher quality counterparts, bonds rated AAA and AA, which did well in absolute terms, but did not gain as much ground as lower rated bonds. As a result, the Fund benefited on a relative basis from having less exposure to them.

The Fund was supported by its health care sector positioning. We worked closely with Nuveen’s credit research team to select high quality, financially stable health care and hospital bonds that we believed were underpriced relative to their quality. Strong demand for health care issues boosted the performance of this group, in which the Fund was overweight. The Fund’s allocations to several other sectors also contributed to relative performance, including an overweighting in dedicated tax, corporate-backed industrial development revenue (IDR) and transportation (especially toll-road) bonds. The Fund was also helped by being underweight in sectors that are generally seen as more defensive areas, which did not fare as well given investors’ heightened tolerance for risk. In particular, underweightings relative to the benchmark in general obligation debt proved beneficial, as they did not gain to the same extent as the S&P index.

In a generally positive period of performance, there were relatively few negative factors to mention. One sector in which the portfolio was slightly overweight, to the Fund’s detriment, was housing bonds, which underperformed the index, and therefore the Fund would have been better off owning fewer bonds from this group.

Nuveen High Yield Municipal Bond Fund

During the six months ending October 31, 2012, the Nuveen High Yield Municipal Bond Fund Class A Shares at NAV enjoyed favorable results in absolute terms as well as relative to its unmanaged benchmark, the S&P Municipal Yield Index as well as the S&P Municipal Bond High Yield Index. In addition, the Fund surpassed the Lipper High Yield Municipal Debt Funds Classification Average. Please note in August 2011, the Nuveen High Yield Municipal Bond Fund’s primary index was changed. Previously, the Fund used the S&P Municipal Bond High Yield Index as it benchmark. The Fund is now compared to the S&P Municipal Yield Index because it more closely reflects the Fund’s investment universe.

During a very strong reporting period for high yield municipal bonds in general, several key factors lifted the Fund’s performance. First among these was our favorable duration, or interest rate, positioning. As in prior reporting periods, longer dated bonds outperformed shorter dated securities because they benefited to a greater extent from declining interest rates, while short term interest rates, already anchored close to zero, had little room left to fall. Given that the Fund’s holdings had an average maturity of 22 years at period end, the portfolio was well positioned amid these market conditions that favored longer dated holdings.

Further supporting the performance of high yield bonds was the ongoing narrowing of credit spreads, meaning that investors were willing to take on more credit risk in exchange for higher income in a low interest rate environment. Because this Fund concentrates its investments on lower rated bonds (at period end, more than 60% of the portfolio was invested in non-rated municipal bonds or issues with credit ratings of BB and below), the Fund’s positioning was helpful as investors preferred bonds with weaker credit quality and higher levels of income.

Favorable security selection also added to results relative to the benchmark. One of the top-contributing securities of the past six months, for example, was a sizeable portfolio position in corporate-backed Tulsa Airport American Airlines bonds for the air travel company’s maintenance facility. Investors’ concerns about American Airlines’ financial stability and its capacity to maintain this Tulsa site and meet its debt obligations eased during the period, and the bonds’ solid price recovery resulted in a nice contribution to the Fund’s return.

Going into the period, the housing market appeared to be approaching a bottom, while more recently, investor sentiment shifted in favor of the view that this sector was actively leading the economic recovery. Non-rated bonds for the Tolomato community development district outside of Jacksonville, Florida, maturing in 2037 and paying interest of 5.40%, enjoyed strong performance. These securities benefited from the general narrowing of credit spreads, as we described before, as well as the recovering housing market, which in turn would increase the security of the property tax revenues that support these bonds’ payments. On a related note, the Fund was bolstered by its position in Pennsylvania Economic Development Authority bonds for USG Corporation, a leading manufacturer of wallboard used in building and home construction. The Fund also had a helpful position in Fulton County, Georgia, continuing care retirement facility bonds for the Lenbrook Square Project facility. Like many other retirement living center bonds, the securities benefited in part from improvements in the housing and financial markets that made senior living facilities a more affordable and attractive alternative for seniors. Other securities adding value to the Fund’s performance included tobacco securitization bonds, which gained in price in response to data suggesting that the bonds’ interest payments could be more secure than some investors had feared.

While many more bonds added value than not during the six-month period, several investments did not perform as well as we had hoped. One notable underperforming portfolio holding was a bond issue for Allegheny West Penn Health System, a Pittsburgh-area network of hospitals, maturing in 2040 with a 5.375% coupon. Investors’ concerns about a planned merger with the region’s dominant health insurance provider contributed to a substantial drop in price for these bonds. Another position that failed to perform well during the period was a New York City Industrial Development Authority parking garage bond issue for Yankee Stadium. Credit spreads on these bonds widened during a period in which the average high yield bond experienced credit spread tightening. Despite these setbacks, we remained confident in the long range prospects of these securities and continued to hold the positions at period end.

The Fund maintained several interest rate swaps that we used to moderate the Fund’s duration risk. While these investments functioned exactly as planned, the overall performance impact was negative, given that longer duration securities outperformed in the environment of falling rates. The Fund also used credit default swaps to manage credit risk. Using a credit default swap, the Fund purchased credit protection on a small set of issuers, which had a mildly negative impact on performance. Because the credit default swap contract was paired with specifics bonds, however, the same improvement in credit quality that led to negative performance on the credit default swap contract caused positive performance in the bonds it was hedging.

Nuveen Inflation Protected Municipal Bond Fund

During the six-month period ending October 31, 2012, the Nuveen Inflation Protected Municipal Bond Fund Class A Shares at NAV significantly outpaced the results of its benchmark, the Barclays 1-10 Year Municipal Bond Index, as well as the Lipper Intermediate Municipal Debt Funds Classification Average.

The Fund’s performance is generally shaped by its two portfolio components, intermediate duration municipal bonds and inflation linked swaps, the latter of which are designed to hedge the Fund against changes in inflation expectations.

During this strong reporting period, the sources of the Fund’s outperformance were broad based. The Fund’s municipal bond portfolio benefited primarily from its duration, or interest rate, positioning. Specifically, the Fund was helped by being overweight in bonds on the longer end of the intermediate bond universe, given that longer bonds gained to a greater extent from declining interest rates. The Fund also realized an added advantage from being underweight relative to the Barclays Index in shorter dated bonds, which did not fare as well as their longer intermediate counterparts.

The Fund’s credit rating positioning was another notable factor contributing to positive performance. An overweighting in BBB-rated and A-rated securities, which comprise the lower half of the investment grade bond universe that is our primary focus in managing the portfolio proved beneficial, as these bonds significantly outperformed the index as a whole, due to investors’ willingness to take on added credit risk in exchange for a higher level of income. At the same time, the Fund was underweight relative to the Index in the two highest credit rating categories, AAA and AA, which lagged the market overall, so this positioning was similarly helpful. Meanwhile, the Fund’s sector allocation was proved advantageous as the Fund was underweight in pre-refunded bonds adding to results. The pre-refunded bond sector had the lowest positive return of any sector in the index, owing to the bonds’ very high credit quality and short maturities. The Fund’s lesser exposure to this category lifted relative performance. In addition, the Fund was overweight in three of the better performing sectors which included health care, dedicated-tax and higher education, all of which added to results. While very little detracted in this period of good performance, the Fund was underweight in general obligation bonds, an index sector that did relatively well, and we would have benefited from owning more of these securities.

The Fund’s inflation protection component fulfilled its function of hedging against the risk of rising prices. During the period, investors’ inflation expectations rose, which caused the Fund’s inflation linked swaps to gain in value accordingly, adding to performance during the six-month period.

Nuveen Intermediate Duration Municipal Bond Fund

During the six-month period ending October 31, 2012, the Nuveen Intermediate Duration Municipal Bond Fund Class A Shares at NAV modestly outperformed the S&P Municipal Bond Intermediate Index and outpaced the Lipper Intermediate Municipal Debt Funds Classification Average.

Declining interest rates throughout the six-month period lifted the performance of intermediate municipal bonds, and this factor was the strongest contributor to the Fund’s

favorable results in absolute terms. At the same time, the Fund’s duration, or its sensitivity to interest rates, was slightly shorter than that of its benchmark index, making the Fund somewhat less responsive to interest-rate movements. In retrospect, it would have been better for the Fund’s performance relative to the index if the Fund’s duration had been at the higher end of our target range, rather than at the lower end. As a result, the portfolio was not optimally positioned in terms of its interest rate sensitivity, a slightly negative factor relative to the benchmark.

Another strategy that benefited the Fund’s performance, in absolute terms and also relative to the S&P Municipal Bond Intermediate Index, was the Fund’s credit quality exposure. As investors searched for income in a low interest rate environment, increasing demand boosted the results of lower rated bonds, which offered more attractive income to compensate for the higher level of credit risk. These conditions pushed down the yield premiums on lower rated bonds to a greater extent than on their higher rated counterparts, while the securities’ prices rose accordingly. The Fund had increased exposure to securities with credit ratings of BBB and A that we believed were creditworthy and offered shareholders a favorable risk/reward trade-off, and our allocation to these lower rated bonds supported the Fund’s results.

Another contributor to the Fund’s relative performance was its allocation to certain strong performing sectors, especially with a sizeable amount of lower rated issuance. For example, the Fund’s weighting in health care bonds saw good results, as did our position in tobacco securitization bonds, the top performing sector of the period, thanks to an improving legal environment for these securities. Transportation and various tax supported issues also added to results. An allocation to state supported general obligation debt was helpful, in part because of an overweighting in State of Illinois bonds, as these securities were rewarded for the state’s preliminary steps in seeking to arrive at a solution to its pension financing problems. In contrast, the Fund’s exposure to pre-refunded bonds was unfavorable, given the securities’ very high credit quality and very short maturities.

Nuveen Limited Term Municipal Bond Fund

For the six-month period ending October 31, 2012, the Nuveen Limited Term Municipal Bond Fund Class A Shares at NAV modestly outperformed the S&P Municipal Bond Short-Intermediate Index, as well as the Lipper Short Intermediate Municipal Debt Funds Classification Average.

Similar to the other Funds profiled in this report, the Limited Term Fund benefited from the falling interest rate environment. Relative to the S&P benchmark, the Fund also gained from having a duration that was incrementally longer than the index. This added level of interest rate sensitivity positioned the Fund to take advantage of the favorable market conditions and enabled it to modestly outperform its benchmark during the six-month period.

Another positive factor behind the Fund’s results was its credit quality positioning. The Fund was significantly invested among bonds in the lower half of the investment grade municipal bond universe, with about 35% of the portfolio held in bonds with credit ratings of BBB or A. Because of investors’ willingness to take on more credit risk in exchange for

higher yields, this stance added to the Fund’s results in absolute terms as well as relative to the S&P Index.

Also, sector positioning proved helpful, with exposure to health care bonds, and especially hospital bonds, providing a meaningful positive impact. Other sectors similarly contributed, including tobacco securitization bonds, as tobacco bond issuers enjoyed a better than expected fundamental backdrop; transportation bonds, especially airport issues, which have benefited from the rebounding travel industry; and state general obligation debt, with a position in Illinois bonds adding notably to the Fund’s performance. In contrast, the Fund’s exposure to pre-refunded bonds hindered returns, given that category’s underperformance in light of the securities’ very high credit quality and very short maturities, two characteristics that were at a relative performance disadvantage.

What strategies did you use to manage the Funds during the six-month period ended October 31, 2012?

All of the Funds continued to employ the same fundamental investment strategies and tactics long relied upon by Nuveen Asset Management. Our municipal bond portfolios are managed with a value oriented approach and close input from Nuveen Asset Management’s experienced research team. Below, we highlight the specific factors influencing each Fund’s investment strategy, as well as how we managed each portfolio in light of recent market conditions.

Nuveen All-American Municipal Bond Fund

Investors were eager buyers of municipal bonds during the six-month reporting period, and the Fund was a beneficiary of the increased level of activity. Substantial shareholder inflows into the Fund provided us with a large amount of assets requiring investment throughout the period, so we took advantage of attractive buying opportunities. For the most part, our approach entailed investing in areas that had performed well and that we expected to continue to do so. These included bonds with longer maturities (which had the potential to continue to benefit if interest rates remained low) and in a variety of revenue sectors, especially higher education, health care, Industrial Development Revenue (IDR) and “other revenue” bonds, which typically generate sales or use tax and therefore could be positioned to do well as the economy picks up.

We continued to increase our exposure to essential service bonds, such as water/sewer and public power bonds. Essential service securities help fund projects deemed critical to the communities they serve. They tend to be more defensive issues, given their ability to hold up well amid difficult economic circumstances, and we found periodic opportunities to purchase these types of bonds at valuations we believed were attractive. We also identified select opportunities among high yield bonds, securities rated below investment grade that we believed were financially solid but offered unusually high yields relative to their risk level. However, because this Fund is focused on the investment grade bond universe, this was a marginal area of emphasis and reflected just a few specific issues that we believed offered good potential for our shareholders.

With the large amount of investment inflows into the portfolio during the period, there was very little need to sell securities. The vast majority of our purchases were funded with the proceeds of new investments, bond calls or bond maturities.

Nuveen High Yield Municipal Bond Fund

With a substantial level of new investment inflows into the Fund, we were active buyers of high yield tax exempt debt in the primary and, especially, the secondary municipal bond market. We believed the secondary market was a better source of market inefficiencies, namely securities whose issuers we believed had been unfairly punished relative to what we saw as their reasonably stable fundamentals and we applied Nuveen Asset Management’s credit research resources to identify and take advantage of those good value opportunities. As we regularly do in all types of markets, we looked to invest in high yield municipal bonds we believed were attractive but trading at prices below what we thought was warranted given issuers’ underlying credit quality. This strategy included both establishing new bond positions and adding to the portfolio’s holdings in securities we already owned but whose prices we believed were still relatively low.

Several of these additions were bonds we discussed previously in this report that added to the Fund’s relative performance as they recovered off of comparatively low valuations. For example, we increased the Fund’s stake in bonds for the American Airlines maintenance facility that we mentioned earlier. We also augmented the Fund’s exposure to various community development district bonds, including several issues of the Tolomato district outside of Jacksonville, Florida.

These securities continued to be heavily discounted, even as they gained in price amid renewed optimism for the housing market recovery. Other additions to the portfolio during the period included purchases of the Lenbrook continuing care retirement facility bonds and Virginia tobacco securitization bonds previously discussed. Funding for these purchases came predominantly from new shareholder investments into the Fund as well as the proceeds of bond calls. With the exception of occasional bond swaps, in which we exchanged securities in the portfolio for similar holdings with what we believed were more favorable characteristics, we saw little need to sell other holdings from the portfolio.

Nuveen Inflation Protected Municipal Bond Fund

The Fund received sizeable new inflows of shareholder cash during the reporting period. As the Fund’s assets grew significantly during the past six months, our primary focus was to keep the Fund’s portfolio fully invested by taking advantage of attractive opportunities in the municipal bond market as they came available. In fact, we were able to accomplish this objective by investing across a wide range of sectors. Notable areas of activity were the transportation sector, specifically toll-road bonds, and corporate-backed IDR bonds, as in both areas we were successful in identifying securities that we believed offered our shareholders a favorable trade-off of risk versus reward.

While we invested in a variety of sectors in both the primary and secondary municipal bond markets, we kept the Fund’s credit quality positioning largely consistent, with a modestly reduced exposure to AA-rated securities. The portfolio remained relatively unchanged from the perspective of geographic diversification as well, with a somewhat

lower allocation to California bonds on a percentage basis of the portfolio and a slightly higher weighting in Illinois bonds. Although the Fund maintained its intermediate duration, we sought to extend the portfolio’s level of interest-rate sensitivity slightly during the period, as we generally identified better value opportunities among longer bonds within the intermediate bond universe, namely those with maturities ranging from seven to ten years.

As the Fund grew in size, we added additional inflation linked swap positions to the portfolio several times during the period, and we monitored the Fund on a regular basis to help ensure appropriate inflation protection.

Nuveen Intermediate Duration Municipal Bond Fund

As we mentioned earlier, the Fund’s duration was slightly shorter than its benchmark and, accordingly, we looked for opportunities throughout the period to bring that duration closer to neutral, thereby making the portfolio slightly more sensitive to interest rate changes. We were successful in this goal and finished the period approaching a neutral duration. While we added bonds across a range of maturities, our emphasis (when such bonds could be found) was on securities with maturities ranging from roughly seven to twenty years, a range that both enabled us to achieve our intermediate duration objectives while taking advantage of attractive value in the municipal marketplace. Given the low yields on the short end of the yield curve, we believed that investing a little further out on the curve offered a good source of value relative to the risk.

In terms of the Fund’s credit quality exposure, we did not make substantial changes. We continued to look for opportunities among lower investment grade rated bonds, believing that we could potentially identify securities offering a good risk/reward trade-off. As the period progressed, however, and credit spreads narrowed, meaning that the premium available to investors for taking on more credit risk declined, we became steadily more selective in the securities we considered adding to the portfolio.

One emerging area of opportunity was unemployment compensation-backed bonds, a relatively rare bond category, and we participated in a variety of these bond deals throughout the period. During the depths of the financial crisis in 2008 and 2009, a number of states depleted their unemployment compensation funds amid historically high levels of joblessness. Several states had to borrow from the federal government and issue new state tax-exempt bonds to pay off the debt. During the period, Michigan, Illinois and Pennsylvania all issued sizeable bond deals of these securities, and we purchased these types of bonds from all three states. Because these securities were very high in credit quality, mostly AAA-rated and AA-rated, we believed they offered our shareholders a good level of compensation in light of the size and unique characteristics of the program, as well as giving us an opportunity to enhance the Fund’s diversification, as these types of bonds do not come to market very often.

To finance our purchases during the past six months, we relied primarily on the proceeds of new shareholder inflows, of which there was a substantial amount, given investors’ enthusiasm for the municipal bond asset class during the period. We also used the proceeds of called bonds to fund new purchases, so there was limited need to sell existing positions in the portfolio.

Nuveen Limited Term Municipal Bond Fund

The Fund began the period with a duration that was slightly longer than that of its benchmark, and our purchases during the past six months enabled us to preserve that favorable positioning. To accomplish this goal, we often bought bonds with maturities on the longer end of our limited term universe, particularly emphasizing bonds with maturities spanning from five to ten years. We believed these bonds offered significantly better value than shorter dated bonds, which did not strike us as particularly attractive for our shareholders in the very low short-term interest-rate environment.

Our credit quality positioning also remained relatively consistent. Unlike in the Intermediate Duration Fund, we were somewhat slower in this portfolio to buy bonds with lower credit quality, because the yield premiums on very short bonds had narrowed to such an extent that we believed the risk/reward trade-off was often unfavorable. We did buy lower investment grade rated bonds for the Limited Term Fund, but we were careful to add securities with the best potential to provide our shareholders with good value.

As with the Intermediate Duration Fund, we took advantage of the significant issuance of unemployment compensation bonds in Michigan, Illinois and Pennsylvania. We saw these bonds as a source of good value and diversification, due to their rarity, and added a number of these highly rated issues to the Limited Term portfolio.

With substantial new investment inflows during the period, we had little need to sell securities in the portfolio to fund recent purchases. Instead, we were able to use the proceeds of those inflows, as well as those of bonds that were called during the past six months.

Impact of Nuveen High Yield Municipal Bond Fund’s Leveraging Strategy on Performance

One important factor impacting the returns of Nuveen High Yield Municipal Bond Fund relative to its comparative benchmarks was the Fund’s use of substantial leverage through its investments in inverse floating rate securities, which represent leveraged investments in underlying bonds. The Fund uses leverage because the manager believes that, over time, leveraging provides opportunities for additional income and total return, particularly in the recent market environment where short-term market rates are at or near historical lows, meaning that the short-term rates the Fund has been paying on its leveraging instruments have been much lower than the interest the Fund has been earning on its portfolio of long-term bonds that it has bought with the proceeds of that leverage. However, use of leverage also can expose the Fund to additional volatility. For example, the value of an inverse floating rate security will increase or decrease in value by a multiple of the increase or decrease of the market value of the underlying bond due to changes in market interest rates or the bond’s creditworthiness. Thus, when investing in an inverse floating rate security rather than directly in the underlying bond, the Fund will experience a greater increase in its net asset value if the underlying municipal bond increases in value, but will also experience a correspondingly larger decline in its net asset value if the underlying bond declines in value, which will make the Fund’s net asset value more volatile, and its total return performance more variable over time. In addition, income on inverse floating rate securities will decrease when short-term interest rates

increase and increase when short-term interest rates decrease. As a consequence, although investments in inverse floating rate securities offer the opportunity for higher income than the underlying bond at times of low short-term market interest rates, those investments would serve to reduce the Fund’s income if short-term interest rates rise such that they exceed the net income on the underlying bond.

The Fund’s use of leverage through inverse floating rate securities made a positive contribution to the performance of the Fund over this reporting period, largely because of the income differential between the higher rates earned on the Fund’s long-term bond investments and the lower rates paid on its leveraging instruments.

Risk Considerations

Nuveen All-American Municipal Bond Fund/Nuveen Intermediate Duration Municipal Bond Fund/Nuveen Limited Term Municipal Bond Fund

Mutual fund investing involves risk; principal loss is possible. Debt or fixed income securities such as those held by the Funds, are subject to market risk, credit risk, interest rate risk, call risk, tax risk, political and economic risk, and income risk. As interest rates rise, bond prices fall. Credit risk refers to an issuers ability to make interest and principal payments when due. Below investment grade or high yield debt securities are subject to liquidity risk and heightened credit risk. The Funds’ use of inverse floaters creates effective leverage. Leverage involves the risk that the Funds could lose more than their original investment and also increases the Funds’ exposure to volatility, interest rate risk and credit risk.

Nuveen High Yield Municipal Bond Fund

Mutual fund investing involves risk; principal loss is possible. Debt or fixed income securities such as those held by the Fund, are subject to market risk, credit risk, interest rate risk, call risk, tax risk, political and economic risk, and income risk. As interest rates rise, bond prices fall. Credit risk refers to an issuers ability to make interest and principal payments when due.

The Fund concentrates in non-investment-grade and unrated bonds with long maturities and durations which carry heightened credit risk, liquidity risk, and potential for default. In addition, the Fund oftentimes engages in a significant amount of portfolio leverage and in doing so, assumes a high level of risk in pursuit of its objectives. Leverage involves the risk that the Fund could lose more than its original investment and also increases the Fund’s exposure to volatility, interest rate risk and credit risk.

Nuveen Inflation Protected Municipal Bond Fund

Mutual fund investing involves risk; principal loss is possible. Debt or fixed income securities such as those held by the Fund, are subject to market risk, credit risk, interest rate risk, non-diversification risk, call risk, tax risk, political and economic risk, and income risk. As interest rates rise, bond prices fall. Credit risk refers to an issuer’s ability to make interest and principal payments when due. Below investment grade or high yield debt securities are subject to liquidity risk and heightened credit risk. The Fund’s use of derivative instruments such as consumer price index (CPI) swaps creates leverage and

involves a high degree of financial risk, including the risk that the loss may be greater than the principal amount invested. There can be no assurance that the Fund’s inflation-hedging strategy will be successful or perform as expected.

Dividend Information

All share classes of each of the five Funds experienced a dividend cut in August 2012, except the Class A, C, and I Shares of the Nuveen High Yield Municipal Bond Fund and all share classes of Nuveen Intermediate Duration Municipal Bond Fund, which did not experience a dividend change throughout the period.

Each Fund seeks to pay dividends at a rate that reflects the past and projected performance of the Fund. To permit a Fund to maintain a more stable monthly dividend, the Fund may pay dividends at a rate that may be more or less than the amount of net investment income actually earned by the Fund during the period. If the Fund has cumulatively earned more than it has paid in dividends, it will hold the excess in reserve as undistributed net investment income (UNII) as part of the Fund’s net asset value. Conversely, if the Fund has cumulatively paid in dividends more than it has earned, the excess will constitute a negative UNII that will likewise be reflected in the Fund’s net asset value. Each Fund will, over time, pay all its net investment income as dividends to shareholders. As of October 31, 2012, all the Funds in this report had positive UNII balance, based upon our best estimate, for tax purposes. As of October 31, 2012, the Nuveen Inflation Protected Municipal Fund and Nuveen Limited Term Municipal Bond Fund had negative UNII balances and the Nuveen All-American Municipal Bond Fund, Nuveen High Yield Municipal Bond Fund and Nuveen Limited Term Municipal Bond Fund had positive UNII balances for financial reporting purposes.

Fund Performance, Expense and Effective Leverage Ratios

The Fund Performance, Expense and Effective Leverage Ratios for each Fund are shown on the following five pages.

Returns quoted represent past performance, which is no guarantee of future results. Current performance may be higher or lower than the performance shown. Investment returns and principal value will fluctuate so that when shares are redeemed, they may be worth more or less than their original cost. Returns without sales charges would be lower if the sales charge were included. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Income is generally exempt from regular federal income taxes. Some income may be subject to state and local income taxes and to the federal alternative minimum tax. Capital gains, if any, are subject to tax.

Returns may reflect a contractual agreement between certain Funds and the investment adviser to waive certain fees and expenses; see Notes to Financial Statements, Footnote 7 — Management Fees and Other Transactions with Affiliates for more information. In addition, returns may reflect a voluntary expense limitation by the Funds’ investment adviser that may be modified or discontinued at any time without notice. For the most recent month-end performance visit www.nuveen.com or call (800) 257-8787.

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

Comparative index and Lipper return information is provided for the Funds’ Class A Shares at net asset value (NAV) only.

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

Leverage is created whenever the Fund has investment exposure (both reward and/or risk) equivalent to more than 100% of the investment capital. The effective leverage ratio shown is the amount of investment exposure created either through borrowings or indirectly through inverse floaters, divided by the assets invested, including those assets that were purchased with the proceeds of the leverage, or referenced by the levered instrument.

Nuveen All-American Municipal Bond Fund

Refer to the first page of this Fund Performance, Expense and Effective Leverage Ratios section for further explanation of the information included within this page.

Fund Performance

Average Annual Total Returns as of October 31, 2012*

Average Annual Total Returns as of September 30, 2012 (Most Recent Calendar Quarter)*

Class A Shares have a maximum 4.20% sales charge (Offering Price). Class A Share purchases of $1 million or more are sold at net asset value without an up-front sales charge but may be subject to a contingent deferred sales charge (CDSC), also known as a back-end sales charge, if redeemed within eighteen months of purchase. Class B Shares have a CDSC that begins at 5% for redemptions during the first year and declines periodically until after six years when the charge becomes 0%. Class B Shares automatically convert to Class A Shares eight years after purchase. Class C Shares have a 1% CDSC for redemptions within less than twelve months, which is not reflected in the one-year total return. Class I Shares have no sales charge and may be purchased under limited circumstances or by specified classes of investors.

Effective Leverage Ratio as of October 31, 2012

Fund Performance, Expense and Effective Leverage Ratios (continued)

Nuveen High Yield Municipal Bond Fund

Refer to the first page of this Fund Performance, Expense and Effective Leverage Ratios section for further explanation of the information included within this page.

Fund Performance

Average Annual Total Returns as of October 31, 2012*

Average Annual Total Returns as of September 30, 2012 (Most Recent Calendar Quarter)*

Class A Shares have a maximum 4.20% sales charge (Offering Price). Class A Share purchases of $1 million or more are sold at net asset value without an up-front sales charge but may be subject to a contingent deferred sales charge (CDSC), also known as a back-end sales charge, if redeemed within eighteen months of purchase. Class B Shares have a CDSC that begins at 5% for redemptions during the first year and declines periodically until after six years when the charge becomes 0%. Class B Shares automatically convert to Class A Shares eight years after purchase. Class C Shares have a 1% CDSC for redemptions within less than twelve months, which is not reflected in the one-year total return. Class I Shares have no sales charge and may be purchased under limited circumstances or by specified classes of investors.

Effective Leverage Ratio as of October 31, 2012

Nuveen Inflation Protected Municipal Bond Fund

Refer to the first page of this Fund Performance, Expense and Effective Leverage Ratios section for further explanation of the information included within this page.

Fund Performance

Average Annual Total Returns as of October 31, 2012*

Average Annual Total Returns as of September 30, 2012 (Most Recent Calendar Quarter)*

Class A Shares have a maximum 3.00% sales charge (Offering Price). Class A Share purchases of $1 million or more are sold at net asset value without an up-front sales charge but may be subject to a contingent deferred sales charge (CDSC), also known as a back-end sales charge, if redeemed within eighteen months of purchase. Class C Shares have a 1% CDSC for redemptions within less than twelve months, which is not reflected in the one-year total return. Class I Shares have no sales charge and may be purchased under limited circumstances or by specified classes of investors.

The Fund’s investment adviser has agreed to waive fees and/or reimburse expenses through August 31, 2013 so that total annual Fund operating expenses (excluding 12b-1 distribution and service fees, interest expenses, taxes, fees incurred in acquiring and disposing of portfolio securities and extraordinary expenses) do not exceed 0.60% (1.05% after August 31, 2013) of the average daily net assets of any class of Fund shares. The expense limitation expiring August 31, 2013 may be terminated or modified prior to that date only with the approval of the Board of Trustees of the Fund. The expense limitation in effect thereafter may be terminated or modified only with the approval of shareholders of the Fund.

Effective Leverage Ratio as of October 31, 2012

Fund Performance, Expense and Effective Leverage Ratios (continued)

Nuveen Intermediate Duration Municipal Bond Fund

Refer to the first page of this Fund Performance, Expense and Effective Leverage Ratios section for further explanation of the information included within this page.

Fund Performance

Average Annual Total Returns as of October 31, 2012*

Average Annual Total Returns as of September 30, 2012 (Most Recent Calendar Quarter)*

Class A Shares have a maximum 3.00% sales charge (Offering Price). Class A Share purchases of $1 million or more are sold at net asset value without an up-front sales charge but may be subject to a contingent deferred sales charge (CDSC), also known as a back-end sales charge, if redeemed within eighteen months of purchase. Class B Shares have a CDSC that begins at 5% for redemptions during the first year and declines periodically until after six years when the charge becomes 0%. Class B Shares automatically convert to Class A Shares eight years after purchase. Class C Shares have a 1% CDSC for redemptions within less than twelve months, which is not reflected in the one-year total return. Class I Shares have no sales charge and may be purchased under limited circumstances or by specified classes of investors.

Effective Leverage Ratio as of October 31, 2012

Nuveen Limited Term Municipal Bond Fund

Refer to the first page of this Fund Performance, Expense and Effective Leverage Ratios section for further explanation of the information included within this page.

Fund Performance

Average Annual Total Returns as of October 31, 2012*

Average Annual Total Returns as of September 30, 2012 (Most Recent Calendar Quarter)*

Class A Shares have a maximum 2.50% sales charge (Offering Price). Class A Share purchases of $1 million or more are sold at net asset value without an up-front sales charge but may be subject to a contingent deferred sales charge (CDSC), also known as a back-end sales charge, if redeemed within eighteen months of purchase. Class C Shares have a 1% CDSC for redemptions within less than twelve months, which is not reflected in the one-year total return. Class I Shares have no sales charge and may be purchased under limited circumstances or by specified classes of investors.

Effective Leverage Ratio as of October 31, 2012

Yields as of October 31, 2012

Dividend Yield is the most recent dividend per share (annualized) divided by the offering price per share.

The SEC 30-Day Yield is a standardized measure of a Fund’s yield that accounts for the future amortization of premiums or discounts of bonds held in the Fund’s portfolio. The SEC 30-Day Yield is computed under an SEC standardized formula and is based on the maximum offer price per share. Dividend Yield may differ from the SEC 30-Day Yield because the Fund may be paying out more or less than it is earning and it may not include the effect of amortization of bond premium.

The Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis at a specified tax rate. With respect to investments that generate qualified dividend income that is taxable at a maximum rate of 15%, the Taxable-Equivalent Yield is lower.

Holding Summaries as of October 31, 2012

This data relates to the securities held in each Fund’s portfolio of investments. It should not be construed as a measure of performance for the Fund itself.

Ratings shown are the highest rating given by one of the following national rating agencies: Standard & Poor’s, Moody’s Investors Service, Inc. or Fitch, Inc. Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below investment grade ratings. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by these national rating agencies.

Expense Examples

As a shareholder of one or more of the Funds, 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 Funds 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 end of the period.

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 respective 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 table 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.