NTC Nuveen Connecticut Quality Municipal Income Fund

Item 1. Reports to Stockholders.

Mutual Funds

Table of Contents

Chairman’s Letter to Shareholders

Dear Shareholders,

I am pleased to have this opportunity to introduce myself to you as the new independent chairman of the Nuveen Fund Board, effective July 1, 2013. I am honored to have been selected as chairman, with its primary responsibility to serve the interests of the Nuveen Fund shareholders. My predecessor, Robert Bremner, was the first independent director to serve as chairman of the Board and I, and my fellow Board members, plan to continue his legacy of strong independent oversight of your funds.

The global economy has hit major turning points over the last several months to a year. The developed world is gradually recovering from its financial crisis while the emerging markets appear to be struggling with the downshift of China’s growth potential. Japan is entering a new era of growth after decades of economic stagnation and many of the Eurozone nations appear to be exiting their recession. Despite the positive events, there are still potential risks. Middle East tensions, rising oil prices, defaults in Europe and fallout from the financial stress in emerging markets could all reverse the recent progress in the global economy.

On the domestic front, recent events such as the Federal Reserve decision to slow down its bond buying program beginning in January of 2014 and the federal budget compromise that would guide government spending into 2015 are both positives for the economy moving forward. Corporate fundamentals are strong as earnings per share and corporate cash are at the highest level in two decades. Unemployment is trending down and the housing market has experienced a rebound, each assisting the positive economic scenario. However, there are some issues to be watched. Interest rates are expected to increase but significant uncertainty about the timing remains. Partisan politics in Washington D.C. with their troublesome outcomes add to the uncertainties that could cause problems for the economy going forward.

In the near term, governments are focused on economic recovery and the growth of their economies, which could lead to an environment of attractive investment opportunities. Over the long term, the uncertainties mentioned earlier could hinder the potential growth. Because of this, Nuveen’s investment management teams work hard to balance return and risk with a range of investment strategies. I encourage you to read the following commentary on the management of your fund.

On behalf of the other members of the Nuveen Fund Board, we look forward to continuing to earn your trust in the months and years ahead.

Sincerely,

William J. Schneider

Chairman of the Board

January 21, 2014

Portfolio Managers’ Comments

Nuveen Kansas Municipal Bond Fund

Nuveen Kentucky Municipal Bond Fund

Nuveen Michigan Municipal Bond Fund

Nuveen Missouri Municipal Bond Fund

Nuveen Ohio Municipal Bond Fund

Nuveen Wisconsin Municipal Bond Fund

These Funds feature portfolio management by Nuveen Asset Management, LLC, an affiliate of Nuveen Investments, Inc. Portfolio managers Daniel J. Close, CFA, Steven M. Hlavin and Christopher L. Drahn review key investment strategies and the performance of the Nuveen Kansas Municipal Bond Fund, Nuveen Kentucky Municipal Bond Fund, Nuveen Michigan Municipal Bond Fund, Nuveen Missouri Municipal Bond Fund, Nuveen Ohio Municipal Bond Fund and Nuveen Wisconsin Municipal Bond Fund. Dan has managed the Kentucky, Michigan and Ohio Funds since 2007, Steve has managed the Kansas and Wisconsin Funds since 2011, and Chris has managed the Missouri Fund since 2011.

How did the Funds perform during the six-month reporting period ending November 30, 2013?

The tables in the Fund Performance, Expense and Effective Leverage Ratios section of this report provide each Fund’s total return performance information for its Class A Shares at net asset value (NAV) for the six-month, one-year, five-year and ten-year periods ending November 30, 2013. Each Fund’s returns are compared with the performance of a corresponding market index and its and Lipper classification average.

During the first part of this reporting period, widespread uncertainty about the next step for the Federal Reserve’s (Fed) quantitative easing program and the potential impact on the economy and financial markets led to increased market volatility. After surprising the market in September 2013 with its decision to wait for additional evidence of an improving economy before making any adjustments to the program, the Fed announced on December 18 (subsequent to the close of this reporting period) that it would begin tapering its monthly bond-buying program by $10 billion (to $75 billion) in January 2014. Political debate over federal spending and headline credit stories involving Detroit and Puerto Rico also contributed to the unsettled environment during this period and prompted an increase in selling by bondholders across the fixed income markets. Although the second half of the period brought some stabilization and a rally in the municipal market, municipal bond prices generally declined for the period as a whole, especially at the longer end of the maturity spectrum, while interest rates rose. During this time, we continued to take a bottom-up approach to discovering sectors that appeared undervalued as well as individual credits that had the potential to perform well over the long term and helped us keep our Funds fully invested.

During the six-month period, the Class A Shares at net asset value (NAV) of all six Funds underperformed the benchmark S&P Municipal Bond Index. The Kentucky, Michigan, and Missouri Funds outperformed their respective Lipper

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 (S&P), Moody’s Investors Service (Moody’s), Inc. or Fitch, Inc. (Fitch). 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.

Portfolio Managers’ Comments (continued)

classification average, while the Kansas and Wisconsin Funds underperformed and the Ohio Fund performed roughly in line. Shareholders should note that the performance of the Lipper Other States classification represents the overall average of returns for funds from multiple states with a wide variety of municipal market conditions, making direct comparisons less meaningful.

What strategies were used to manage the Funds during the six-month reporting period ended November 30, 2013? How did these strategies influence performance?

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 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 Kansas and Wisconsin Municipal Bond Funds

The Nuveen Kansas Municipal Bond Fund lagged the S&P Municipal Bond Index during the six-month reporting period, with duration and credit quality positioning the primary factors behind the Fund’s underperformance.

Having a longer duration than the index meant the Fund was more sensitive to rising interest rates. It is worth noting that durations of both the Fund and the index naturally increased in response to higher rates. Furthermore, the Fund was overweight longer term bonds compared with the index, which further curtailed the Fund’s ability to keep pace with the benchmark. As interest rates climbed, the yield curve steepened, meaning that yields on longer term bonds significantly rose and disproportionately more so than yields on shorter-term bonds. This “bear market steepening” is rare, having occurred in only two other quarters since the 1980s.

Recognizing that longer term municipal bonds had suffered to a greater extent, we were hesitant to reduce the Fund’s duration. Had we overreacted to this short term market dislocation, we would have locked in duration-driven losses. Instead, we wanted to preserve the Fund’s ability to participate in a municipal market recovery, which it did in the final months of the period, as rates declined.

The Fund’s credit quality positioning, a relatively large overweighting in BBB-rated bonds detracted from performance versus the index, although this performance impact was skewed by the large negative performance of Puerto Rico bonds compared to other BBB-rated bonds in the market. Nearly all the negative contribution from rating allocation was offset by the positive contribution from credit selection, including the Fund’s Puerto Rico holdings. During the reporting period, we reduced our exposure to Puerto Rico debt, which made up roughly 6% of net assets at the end of the reporting period, down from approximately 9% six months earlier. While these sales tempered the negative impact of our allocation to the territorial issues, our weighting in Puerto Rico nevertheless detracted from the Fund’s results in relative terms. The reduction in the Fund’s Puerto Rico stake in BBB-rated bonds also helps explain why the portfolio allocation to this quality tier declined during the reporting period.

Sector selection provided mixed results, with our overweight in the utility sector, one of the poorest performing groups in the municipal bond market, proving to be a negative factor while an overweight in health care, one of the market’s better performing sectors contributed positively to performance. In addition, the Fund’s selection of health care holdings outpaced similar securities in the index.

The Fund mirrored the overall municipal bond market, in that it incurred investor outflows. In order to meet shareholder redemptions, we took advantage of pockets of strong investor demand to sell some high rated bonds with coupons

that were below prevailing rates. Although our purchases were limited during the reporting period, we did find some attractive opportunities in the new issue market that carried higher coupons and allowed us to further diversify the Fund’s holdings across issuers.

Similar to the Kansas Fund, the Wisconsin Fund underperformed the S&P Municipal Bond Index during the reporting period, with the Fund’s duration and credit quality positioning the biggest detractors. Compared with the index, the Fund had a longer duration, meaning it was more sensitive to interest rate changes and, as such, hurt more as rates rose. We note that durations of both the Fund and the index naturally increased in response to higher rates. Additionally, the Fund’s overweight to longer term bonds compared with the index further hampered its relative results. As interest rates rose, the yield curve steepened, meaning that yields on longer term bonds rose far more than those on shorter term bonds, resulting in significant underperformance of longer term securities.

Based on our analysis indicating that longer term municipal bonds were undervalued, we refrained from altering our longer-than-benchmark duration stance and maintained our overweighting in longer term bonds. These decisions proved beneficial in the final months of the reporting period, when the municipal market recovered and rates declined.

As for the Fund’s credit quality positioning, a relatively large overweighting in BBB bonds detracted from performance versus the index. Much of this quality driven underperformance resulted from the Fund’s allocation to BBB-rated Puerto Rico bonds, which came under considerable pressure during the reporting period. Given the extreme scarcity of Wisconsin bonds in previous years, tax-free debt in the state traded at what we believed were unattractive prices. At the same time, we had sometimes found that bonds issued in the U.S. territories of Puerto Rico, Guam and the Virgin Islands had been more attractively valued, which were sources of diversification for the Fund and helped enhance its income.

During the reporting period, however, we reduced our exposure to Puerto Rico bonds, which made up roughly 8% of net assets at the end of the reporting period, down from approximately 19% six months earlier, as we began to grow concerned about an erosion of liquidity and the resulting impact on trading valuations despite a number of positive credit developments. Shareholder redemptions reduced the need for triple-exempt territory paper. Although these sales tempered the negative performance impact of our Puerto Rico allocation, our weighting there nevertheless detracted from results in relative terms. The sale of Puerto Rico securities, many BBB-rated, resulted in a decline in the Fund’s exposure to bonds with that credit rating.

The Fund’s sector positioning had a mixed effect on relative performance. Compared to the national market, this portfolio was overweight in dedicated-tax bonds, one of the best-performing groups. In contrast, our overweight in utilities curtailed results because this group lagged the benchmark. Security selection had a negative effect on relative performance, primarily due to our exposure to inverse floating rate securities (known as inverse floaters). These bonds, whose coupon payments adjust inversely as interest rates change, produced disappointing results as rates climbed.

In addition to sales of Puerto Rico bonds, we also sold some lower coupon Wisconsin bonds, taking advantage of comparatively strong demand for these securities. Our new portfolio additions during the reporting period were focused on new issues which, given their higher coupons, helped enhance the Fund’s yield and further diversify its holdings.

Nuveen Kentucky, Michigan and Ohio Municipal Bond Funds

The Nuveen Kentucky Municipal Bond Fund underperformed the S&P Municipal Bond Index, as the Fund’s results were limited on a relative basis by unfavorable duration positioning, which heightened the Fund’s sensitivity to changes in interest rates. Specifically, the Fund was underweighted in shorter duration bonds, which were less influenced by the

Portfolio Managers’ Comments (continued)

negative effects of rising interest rates than their longer dated counterparts. In addition, the Fund had exposure to inverse floating rate securities. These bonds see their coupon income decline when rates go up, and therefore, they lagged during the reporting period.

During a six-month span characterized by considerable risk aversion on the part of investors, bonds with higher credit ratings tended to outperform lower rated securities. This trend modestly hampered results, given our slight overweighting in BBB-rated bonds.

Our sector positioning added value, with the greatest benefit coming from the health care sector. Tempering this advantage, however, was an overweighting in dedicated-tax bonds, which trailed the market and therefore detracted from results. The Fund’s exposure to Puerto Rico bonds, which struggled amid the U.S. territory’s credit challenges, was an additional drawback. Coming into the period, about 7% of the portfolio was held in Puerto Rico bonds. (A portion of this stake, however, was invested in pre-refunded bonds, whose very high credit quality and short maturities insulated them from the region’s troubles.) Our holdings in long dated zero coupon Puerto Rico tobacco-securitization bonds and Puerto Rico Sales Tax Financing Corporation (COFINA) sales tax bonds experienced significant price declines. By the early fall, we had nearly liquidated the Fund’s entire Puerto Rico stake.

In managing the portfolio, we focused on generating the proceeds needed to satisfy investment outflows, which were predominant within the entire municipal bond industry as well as the Fund. Some of the necessary financing was supplied by bond calls. We also sold various pre-refunded bonds from the portfolio, given that the securities’ relatively short maturities and high credit quality made them very liquid amid challenging market conditions. The continued theme behind our selling was to actively reduce exposure to territorial bonds. As previously mentioned, we sold various Puerto Rico securities, including Puerto Rico Aqueduct and Sewer Authority bonds, Puerto Rico Electric Power Authority bonds, COFINA sales-tax issues and zero coupon tobacco-securitization debt. We held only a small allocation of these positions at period end, and were preparing to sell most of our holdings. We also sold most of our holdings in Guam and U.S. Virgin Islands debt. Faced with a choice between selling Kentucky bonds or territorial securities, we selected the latter because we wanted to maintain increased exposure to in-state paper, especially in light of the fact that we believed Kentucky bonds would be more difficult to replace if market conditions shifted in favor of investment inflows. During the reporting period, we reduced the portfolio’s Guam weighting from approximately 5% at the start of the period to 0.5% at its end, while our Virgin Islands allocation declined from 1.1% of the portfolio to 0.5% at the end of the reporting period.

While we were much more active on the selling side, our notable purchases included a new health care bond issue for Catholic Health Initiatives. Because the Fund lacked prior exposure to these securities, the purchase provided valuable additional diversification. Other purchases included two electric utility bond issues and bonds of the University of Louisville.

The Nuveen Michigan Municipal Bond Fund underperformed the S&P Municipal Bond Index, in part because of the portfolio’s duration stance. The Fund was underweighted in short duration investments, which hurt performance in relative terms because these bonds are less sensitive to interest rate changes and therefore fared better than their longer dated counterparts during the reporting period. In particular, the portfolio’s allocation to inverse floaters hurt, as their long durations made them especially vulnerable to higher rates.

In contrast, the Fund’s credit quality and sector positioning proved beneficial. From a ratings standpoint, the Fund was overweighted in AA-rated bonds while underweighted in BBB-rated bonds. Both stances were helpful, given that higher rated credits outperformed lower rated securities amid an environment of heightened risk aversion on the part of

investors. Meanwhile, on a sector basis, the Fund’s overweighting in pre-refunded bonds added to results. This category, which consists of debt with very short durations and very high credit quality, was the only segment in the benchmark to generate positive performance during the difficult six month reporting period. Mitigating that positive impact, however, was our relative underweighting in higher education bonds, a category that marginally outperformed the index.

The period’s two major credit challenges involved Detroit, which filed for bankruptcy in July 2013 and U.S. territory Puerto Rico. We were fortunate to have very little exposure to Puerto Rico debt and no exposure in Detroit general obligation (GO) bonds. While the Fund entered the period with a 2% Puerto Rico stake, much of that was held in a pre-refunded bond issue backed by escrowed U.S. government securities. We sold this position during the reporting period, as well as our small holding in Puerto Rico tobacco-securitization debt. At period end, the Fund was 100% invested in Michigan bonds.

While we purposely avoided Detroit GO bonds, we continued to own and, occasionally, bought new bonds of issuers that investors perceived as having a connection to the city’s credit troubles, but which we determined were likely to withstand Detroit’s bankruptcy proceedings with no interruption in their income payments. We maintained the Fund’s stake in Detroit water/sewer bonds, which are backed by a dedicated revenue stream and are independent of the city’s general taxing authority. We also purchased AA-rated Detroit City School District bonds, which, under the School Bond Qualification and Loan Fund, are backed by the full faith and credit of the State of Michigan and some Wayne County (Detroit) airport bonds. In all of these cases, we had confidence in the issuers’ credit quality and believed the bonds were trading at unusually attractive prices, enabling us to add good long term value.

Although we made a few new purchases, the majority of our transactions involved selling bonds to generate the proceeds needed to fund investment outflows. We sold some of the Fund’s pre-refunded debt, as appropriate, because these bonds provided a ready source of liquidity. We also fully eliminated the portfolio’s territorial bond holdings, selling our Guam and U.S. Virgin Islands positions in addition to our Puerto Rico allocation. The remainder of our sales took place across multiple maturity ranges, economic sectors and credit quality segments. This tactic reflected our desire to preserve the portfolio’s essential characteristics, since we liked the Fund’s structure going into the reporting period and were careful to maintain it despite our selling activity.

The Nuveen Ohio Municipal Bond Fund, which underperformed the S&P Municipal Bond Index, was held back by its duration positioning as well. In addition to being underweighted in short term bonds, which outperformed the market, the Fund was overweighted in longer duration issues, which struggled amid difficult market conditions.

From a credit-rating standpoint, the Fund was helped by an overweighting in AA-rated bonds, as higher quality securities generally outperformed lower rated issues during the reporting period. Counterbalancing that positive impact, however, was an allocation to B-rated bonds, which consisted of a single underperforming issue, Buckeye Tobacco Settlement Financing Authority bonds.

Other underperformers that hurt results included inverse floaters, which suffered disproportionately in the face of rising interest rates and zero coupon Puerto Rico COFINA sales-tax bonds. These latter credits were hurt by a combination of their long duration and investors’ mounting concerns about the U.S. territory’s credit quality.

Our purchase activity was relatively limited during the reporting period and consisted of three new health care bonds and a corporate-backed industrial development revenue bond issue for CSX Corporation. We also participated in a very large new bond issue for the Ohio Turnpike over the summer.

Portfolio Managers’ Comments (continued)

In terms of bond sales, we actively reduced exposure to U.S. territorial paper, which we saw as a good source of liquidity to satisfy the shareholder redemptions that proliferated during the six month reporting period. We completely eliminated the Fund’s Puerto Rico allocation, and we trimmed our exposure to Guam bonds, which made up just over 1% of the portfolio at period end. (Bonds issued by U.S. territories are tax-exempt for investors in all 50 states.) We also sold certain pre-refunded and lower coupon bonds.

Nuveen Missouri Municipal Bond Fund

During the six-month reporting period, the Missouri Municipal Bond Fund underperformed the S&P Municipal Bond Index. The bulk of the Fund’s underperformance stemmed from its longer duration, meaning it was more sensitive to interest rate changes than the benchmark, hampering its ability to keep up with the index as interest rates rose. The Fund’s longer overall duration was due to its overweight in long duration bonds, which underperformed shorter duration securities, in which we had an underweight. This yield curve positioning detracted from relative results given that longer term bonds suffered disproportionately as rates climbed.

It is noteworthy that the durations of the Fund and the benchmark extended during the reporting period, as tends to happen when rates are increasing. In light of our commitment to maintaining the Fund’s income stream and also based on our analysis that longer term bonds were undervalued, we were hesitant to sell many long duration bonds or shorten the portfolio’s duration, a strategy that ultimately added to relative performance late in the reporting period, when rates drifted lower.

Overall, credit quality positioning, sector positioning and security selection were mostly neutral factors for relative performance. However, the Fund’s exposure to Puerto Rico bonds, which are free from income taxes nationwide, was a negative. Puerto Rico holdings performed poorly, especially those with longer maturities. During the reporting period, we reduced our exposure to Puerto Rico debt to just over 3%, down from slightly under 6% six months earlier.

As with the municipal bond mutual funds market, the Fund experienced shareholder redemptions, requiring us to sell some securities. On some occasions, we were able to take advantage of pockets of strong demand by individual investors to sell securities that were structured in a specific manner. For instance, we sold some bonds with lower or below market coupons at prices we believed were advantageous. We also frequently sold very short maturity holdings or utilized proceeds from called or maturing bonds.

Although our transaction activity was weighted toward the sell side, we made some notable purchases and added a number of higher coupon bonds. In doing so, our goal was to enhance the Fund’s income stream. We also participated in the new-issue market, buying securities across the investment grade ratings spectrum whose yields were typically higher than we had previously seen for comparable securities in several years. In this category, we added names such as Metropolitan St. Louis Sewer District, Bi-State Development Agency, University of Central Missouri and St. Louis College of Pharmacy.

An Update Regarding Detroit and Puerto Rico

During this reporting period, two credit situations weighed on the municipal market. It is important to note that, while these situations received much attention from the media, they represented isolated events. On July 18, 2013, the City of Detroit filed for Chapter 9 bankruptcy. Detroit, burdened by decades of population loss, declines in the auto manufacturing industry, and significant tax base deterioration, has been under severe financial stress for an extended period. Detroit’s bankruptcy filing will likely be a lengthy one, given the complexity of its debt portfolio, number of creditors, numerous union contracts, and significant legal questions that must be addressed.

Another factor affecting the Funds’ holdings was the downgrade of debt issued by Puerto Rico. In 2012, Moody’s downgraded Puerto Rico general obligation (GO) bonds to Baa3 from Baa1, COFINA senior sales tax revenue bonds to Aa3 from Aa2, and COFINA subordinate sales tax revenue bonds to A3 from A1. In October 2013, Moody’s further downgraded the COFINA senior sales tax bonds to A2, while affirming the subordinate bonds at A3. On November 14, 2013, Fitch Ratings announced that it was placing the majority of Puerto Rico issuance—with the exception of the COFINA bonds—on negative credit watch, which implies that another downgrade may be likely. While Fitch currently rates Puerto Rico issuance at BBB-, it affirmed the ratings on COFINA bonds at AA- for the senior bonds and A+ for the subordinate bonds, with stable outlooks. On December 11, 2013 (subsequent to the close of this reporting period), Moody’s announced that it also had placed its Baa3 rating on Puerto Rico GOs (and other Puerto Rico issues linked to the GO rating) on review for downgrade. These downgrades were based on Puerto Rico’s ongoing economic problems and, in the case of the COFINA bonds, the impact of these problems on the projected growth of sales tax revenues. However, the COFINA bonds were able to maintain a higher credit rating than the GOs because, unlike the revenue streams supporting some Puerto Rican issues, the sales taxes supporting the COFINA bonds cannot be diverted and used to support Puerto Rico’s GO bonds. For the six-month reporting period ended November 30, 2013, Puerto Rico paper underperformed the municipal market as a whole.

Risk Considerations and Dividend Information

Risk Considerations

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, state concentration risk, tax 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 and interest rate risk.

Dividend Information

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 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 November 30, 2013, all six Funds had positive UNII balances for tax purposes, based upon our best estimate, and 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 six 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, Note 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 a 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.

Fund Performance, Expense and Effective Leverage Ratios (continued)

Nuveen Kansas 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.

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 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 November 30, 2013

Nuveen Kentucky 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.

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 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 November 30, 2013

Fund Performance, Expense and Effective Leverage Ratios (continued)

Nuveen Michigan 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.

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 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 November 30, 2013

Nuveen Missouri 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.

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 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 November 30, 2013

Fund Performance, Expense and Effective Leverage Ratios (continued)

Nuveen Ohio 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.

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.

Expense Ratios as of Most Recent Prospectus

Effective Leverage Ratio as of November 30, 2013

Nuveen Wisconsin 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.

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 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 November 30, 2013

Yields November 30, 2013

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 November 30, 2013

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 Group, 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.

Nuveen Kansas Municipal Bond Fund

Nuveen Kentucky Municipal Bond Fund