Oppenheimer Commodity Strategy Total Return Fund

N-CSRS 1 d766320dncsrs.htm OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND Oppenheimer Commodity Strategy Total Return Fund

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-07857

Oppenheimer Commodity Strategy Total Return Fund

(Exact name of registrant as specified in charter)

6803 South Tucson Way, Centennial, Colorado 80112-3924

(Address of principal executive offices) (Zip code)

Arthur S. Gabinet

OFI Global Asset Management, Inc.

Two World Financial Center, New York, New York 10281-1008

(Name and address of agent for service)

Registrant’s telephone number, including area code: (303) 768-3200

Date of fiscal year end: December 31

Date of reporting period: 6/30/2014

Item 1. Reports to Stockholders.

LOGO


Table of Contents
Fund Performance Discussion			3

Top Holdings and Allocations			6

Fund Expenses			9

Consolidated Statement of Investments			11

Consolidated Statement of Assets and Liabilities			17

Consolidated Statement of Operations			19

Consolidated Statements of Changes in Net Assets			21

Consolidated Financial Highlights			22

Notes to Consolidated Financial Statements			28

Portfolio Proxy Voting Policies and Procedures; Updates to Statement of Investments			50

Trustees and Officers			51

Privacy Policy Notice			52

Class A Shares

AVERAGE ANNUAL TOTAL RETURNS AT 6/30/14


	Class A Shares of the Fund
	Without Sales Charge	With Sales Charge	Bloomberg Commodity Index Total Return
6-Month	6.38%	0.26%	7.08%

1-Year	8.56	2.32	8.21

5-Year	1.10	-0.09	1.99

10-Year	-2.77	-3.35	0.87

Performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Fund returns include changes in share price, reinvested distributions, and a 5.75% maximum applicable sales charge except where “without sales charge” is indicated. Returns do not consider capital gains or income taxes on an individual’s investment. Returns for periods of less than one year are cumulative and not annualized. For performance data current to the most recent month-end, visit oppenheimerfunds.com or call 1.800.CALL OPP (225.5677).

2 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

Fund Performance Discussion

The Fund’s Class A shares (without sales charge) returned 6.38%. On a relative basis, the Bloomberg Commodity Index Total Return (the “Index”) produced a return of 7.08%. A variety of factors supported commodity prices early in 2014, including weather (e.g., extreme cold/drought in parts of the U.S., drought in parts of Latin America), a spike in geopolitical risk (Russia and Ukraine are major producers/exporters of grains), and more volatile equity markets.

MARKET OVERVIEW

At the start of the reporting period, renewed concerns about economic instability in the emerging markets caused some analysts to question the sustainability of the global economic recovery. In addition, unusually severe winter weather throughout the United States contributed to a 2.1% (annualized) domestic economic contraction over the first quarter of the year, and newly risk-averse investors responded negatively to rising geopolitical tensions between Russia and Ukraine.

However, the U.S. and global economic recoveries seemed to get back on track in the spring. Robust U.S. employment gains and mildly encouraging economic data in Europe helped address investors’ concerns. Central banks throughout the world also maintained stimulative monetary policies. Among the central bank measures that boosted the markets this reporting period, the European Central Bank (the “ECB”) announced numerous measures in June, including a benchmark interest rate cut, and the introduction of a negative deposit rate to encourage banks to lend, among various

other measures to flood the system with liquidity. Beyond that, the ECB said it would prepare to purchase packages of loans from banks to allow for increased lending. In June, the Fed also stated it would reduce the amount of monthly bond purchases by an additional $10 billion and reaffirmed its intention to keep short-term interest rates near zero.

FUND REVIEW

At period end, the Fund had its largest allocation to the energy and agriculture sectors, consisting of 32% and 30% of its commodity-linked investments at period end, respectively. Energy produced positive performance this reporting period as turmoil in the Middle East helped support both West Texas Intermediate (“WTI”) and Brent crude oil pricing. However, relative to the Index, we had an underweight position in WTI Crude and an overweight in Brent Crude, which detracted from performance as WTI Crude outperformed Brent in the second quarter of 2014. WTI Crude oil is refined mostly in the Midwest and Gulf Coast regions in the U.S., whereas Brent is extracted from

3 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

the North Sea. Strong withdrawals from storage in Cushing, Oklahoma, which is a major trading hub of WTI Crude, and strong demand for refined products drove WTI higher. Conversely, better-than-forecasted Iraqi production along with subdued geopolitical responses to Russia’s takeover of Crimea played a role in Brent’s relative underperformance.

Agriculture was the best performing sector over the first half of the reporting period, but reversed course sharply and posted the worst performance over the second half. Corn, wheat and sugar were all under significant pressure due to improved growing conditions, healthier inventory levels and a change in investor sentiment. Corn prices were hit especially hard after a U.S. Department of Agriculture report showed a large corn stock against the backdrop of an expected record harvest. We maintained an underweight position relative to the Index this reporting period, which benefited performance as the sector declined over the second half of the period.

At period end, the Fund had 15% of its commodity-linked investments in industrial metals, 14% in precious metals and 6% in livestock. Industrial metals was the worst performing sector over the first half of the reporting period, but produced positive results over the second half. Several factors pressured metals pricing over the first half of the reporting period, including mixed economic data in the U.S. and weak

manufacturing data from China. However, the sector rallied later on with both nickel and zinc rising by double digits amid diminishing supplies due to an increase in construction and mine shutdowns. Precious Metals performed positively this reporting period with both gold and silver posting positive returns as a result of geopolitical tensions, a rally in U.S. interest rates and a marginal weakening of the U.S. dollar. Livestock rallied over the first half of the period, driven by the performance of lean hogs and live cattle. A deadly swine virus, porcine epidemic diarrhea virus (“PEDV”), that primarily affects piglets, reduced the number of ready hogs and caused pork processors to compete for the small number of hogs available. Cattle benefited from the approaching start to the grilling season.

STRATEGY & OUTLOOK

While there are reasons to remain mindful of risks at period end, there are also a number of potential positives that we believe could be supportive of commodity pricing going forward. For example, the U.S. economy has stabilized after posting sharply negative growth in the first quarter, the Eurozone continues to grow slowly but steadily, Japan is engaged in a bold money printing experiment and China has strengthened a bit after slowing earlier this year. Both monetary and fiscal policies in the G8 countries (U.S., U.K., Europe and Japan), and many others as well, remain extremely accommodative, and many commodity markets look fairly well balanced. This means that supply side

4 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

fundamentals and commodity specific relative value opportunities can continue to evolve as correlations among commodity sectors fall.

LOGO

George Zivic

Portfolio Manager

LOGO

Christopher Proctor, CFA

Portfolio Manager

5 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

Top Holdings and Allocations

SECTOR ALLOCATION OF COMMODITY-

LINKED INVESTMENTS


Energy		32%
Agriculture		30
Industrial Metals		15
Precious Metals		14
Livestock		6

Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2014, and represent the relative economic exposure, by sector, of the commodity-linked investments held by the Fund and its Wholly-Owned Subsidiary, RAF Fund Ltd., and are based on net assets. Commodity-linked investments are investments whose return is based upon the price movements (whether up or down) of a particular commodity or basket of commodities. The Fund’s allocation of its investments within each sector of the Bloomberg Commodity Index Total Return may differ (at times, significantly) from the sector weightings of the Bloomberg Commodity Index Total Return. The Fund is not an index fund.

PORTFOLIO ALLOCATION


Investment Company
Oppenheimer Institutional Money Market Fund			42.4%
Structured Securities			18.9
U.S. Government Obligations			16.0
Short-Term Notes			11.5
Corporate Bonds and Notes			11.0
Exchange-Traded Options Purchased			0.2
Mortgage-Backed Obligations Non-Agency			—^*

*	Represents less than 0.005%.

Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2014, and are based on the total market value of investments.

6 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

Share Class Performance

AVERAGE ANNUAL TOTAL RETURNS WITHOUT SALES CHARGE AS OF 6/30/14


	Inception Date		6-Month			1-Year			5-Year			10-Year
Class A (QRAAX)		3/31/97		6.38	%		8.56	%		1.10	%		-2.77%
Class B (QRABX)		3/31/97		6.19	%		7.67	%		0.31	%		-3.26%
Class C (QRACX)		3/31/97		6.29	%		7.42	%		0.32	%		-3.54%
Class I (QRAIX)		4/27/12		6.98	%		8.78	%		-3.63	%*		N/A
Class N (QRANX)		3/1/01		6.16	%		8.01	%		0.80	%		-3.08%
Class Y (QRAYX)		3/31/97		6.65	%		8.81	%		1.50	%		-2.35%

AVERAGE ANNUAL TOTAL RETURNS WITH SALES CHARGE AS OF 6/30/14


	Inception Date		6-Month			1-Year			5-Year			10-Year
Class A (QRAAX)		3/31/97		0.26	%		2.32	%		-0.09	%		-3.35%
Class B (QRABX)		3/31/97		1.19	%		2.67	%		-0.07	%		-3.26%
Class C (QRACX)		3/31/97		5.29	%		6.42	%		0.32	%		-3.54%
Class I (QRAIX)		4/27/12		6.98	%		8.78	%		-3.63	%*		N/A
Class N (QRANX)		3/1/01		5.16	%		7.01	%		0.80	%		-3.08%
Class Y (QRAYX)		3/31/97		6.65	%		8.81	%		1.50	%		-2.35%

*	Shows performance since inception.

Performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Returns do not consider capital gains or income taxes on an individual’s investment. For performance data current to the most recent month-end, visit oppenheimerfunds.com or call 1.800.CALL OPP (225.5677). Fund returns include changes in share price, reinvested distributions, and the applicable sales charge: for Class A shares, the current maximum initial sales charge of 5.75%; for Class B shares, the contingent deferred sales charge (“CDSC”) of 5% (1-year) and 2% (5-year); and for Class C and N shares, the CDSC of 1% for the 1-year period. As of July 1, 2014, Class N shares will be renamed Class R shares. Beginning July 1, 2014, new purchases of Class R shares will no longer be subject to a CDSC upon redemption (any CDSC will remain in effect for purchases prior to July 1, 2014). There is no sales charge for Class I and Class Y shares. Because Class B shares convert to Class A shares 72 months after purchase, the 10-year return for Class B shares uses Class A performance for the period after conversion. Returns for periods of less than one year are cumulative and not annualized.

The Fund’s performance is compared to the performance of the Bloomberg Commodity Index Total Return. Effective July 1, 2014, the calculation and distribution of the Dow Jones-UBS Commodity Index Total Return transitioned to Bloomberg and was rebranded as the Bloomberg Commodity Index Total Return. The Bloomberg Commodity Index Total Return is a broadly diversified index that is composed of futures contracts on 20 physical commodities traded on U.S. futures exchanges, with the exception of aluminum, nickel, and zinc, which

7 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

trade on the London Metal Exchange. The Index is unmanaged and cannot be purchased directly by investors. While index comparisons may be useful to provide a benchmark for the Fund’s performance, it must be noted that the Fund’s investments are not limited to the investments comprising the indices. Index performance includes reinvestment of income, but does not reflect transaction costs, fees, expenses or taxes. Index performance is shown for illustrative purposes only as a benchmark for the Fund’s performance, and does not predict or depict performance of the Fund. The Fund’s performance reflects the effects of the Fund’s business and operating expenses.

The Fund’s investment strategy and focus can change over time. The mention of specific fund holdings does not constitute a recommendation by OppenheimerFunds, Inc. or its affiliates.

Before investing in any of the Oppenheimer funds, investors should carefully consider a fund’s investment objectives, risks, charges and expenses. Fund prospectuses and summary prospectuses contain this and other information about the funds, and may be obtained by asking your financial advisor, visiting oppenheimerfunds.com, or calling 1.800.CALL OPP (225.5677). Read prospectuses and summary prospectuses carefully before investing.

Shares of Oppenheimer funds are not deposits or obligations of any bank, are not guaranteed by any bank, are not insured by the FDIC or any other agency, and involve investment risks, including the possible loss of the principal amount invested.

8 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

Fund Expenses

Fund Expenses. As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions; and (2) ongoing costs, including management fees; distribution and service fees; and other Fund expenses. These examples 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 are based on an investment of $1,000.00 invested at the beginning of the period and held for the entire 6-month period ended June 30, 2014.

Actual Expenses. The first section of the table provides information about actual account values and actual expenses. You may use the information in this section for the class of shares you hold, together with the amount you invested, to estimate the expense that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600.00 account value divided by $1,000.00 = 8.60), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes. The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio for each class of shares, and an assumed rate of return of 5% per year for each class before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid 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 for the class of shares you hold 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 transactional costs, such as front-end or contingent deferred sales charges (loads). Therefore, the “hypothetical” section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

9 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND


Actual	Beginning Account Value January 1, 2014	Ending Account Value June 30, 2014	Expenses Paid During 6 Months Ended June 30, 2014
Class A	$ 1,000.00	$ 1,063.80	$ 7.19
Class B	1,000.00	1,061.90	11.10
Class C	1,000.00	1,062.90	11.10
Class I	1,000.00	1,069.80	4.94
Class N	1,000.00	1,061.60	8.47
Class Y	1,000.00	1,066.50	5.24

Hypothetical (5% return before expenses)
Class A	1,000.00	1,017.85	7.03
Class B	1,000.00	1,014.08	10.84
Class C	1,000.00	1,014.08	10.84
Class I	1,000.00	1,020.03	4.82
Class N	1,000.00	1,016.61	8.28
Class Y	1,000.00	1,019.74	5.12

Expenses are equal to the Fund’s annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Those annualized expense ratios, excluding indirect expenses from affiliated funds, based on the 6-month period ended June 30, 2014 are as follows:


Class	Expense Ratios
Class A		1.40	%
Class B		2.16
Class C		2.16
Class I		0.96
Class N		1.65
Class Y		1.02

The expense ratios reflect voluntary and/or contractual waivers and/or reimbursements of expenses by the Fund’s Manager. Some of these undertakings may be modified or terminated at any time, as indicated in the Fund’s prospectus. The “Consolidated Financial Highlights” tables in the Fund’s consolidated financial statements, included in this report, also show the gross expense ratios, without such waivers or reimbursements and reduction to custodian expenses, if applicable.

10 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

CONSOLIDATED

STATEMENT OF INVESTMENTS June 30, 2014 Unaudited


	Principal Amount		Value

Mortgage-Backed Obligation—0.0%

NC Finance Trust, Series 1999-I, Cl. D, 8.75%, 1/25/29^1,2 (Cost $481,671)	$	645,555	$	41,638


U.S. Government Obligations—16.0%

United States Treasury Nts.:
0.125%, 4/30/15		3,700,000		3,700,866
0.25%, 8/31/14-2/28/15³		8,200,000		8,205,143
0.25%, 7/15/15		500,000		500,518
0.375%, 11/15/14-1/15/16		5,900,000		5,908,271
0.375%, 11/15/15-2/15/16³		7,000,000		7,014,627
0.50%, 8/15/14-10/15/14^3,4		4,300,000		4,303,450
0.625%, 7/15/14^3,4		7,100,000		7,101,526
1.25%, 10/31/15		5,200,000		5,273,736
1.75%, 7/31/15-5/31/16		1,400,000		1,427,446
2.00%, 4/30/16		2,450,000		2,522,400
2.125%, 11/30/14³		3,800,000		3,832,509
2.25%, 1/31/15³		4,400,000		4,456,030
2.375%, 10/31/14³		3,850,000		3,879,476
2.625%, 7/31/14³		4,000,000		4,008,672
4.125%, 5/15/15³		1,800,000		1,862,894
4.25%, 8/15/14-8/15/153^3,4		6,620,000		6,773,434

Total U.S. Government Obligations (Cost $70,670,445)				70,770,998


Corporate Bonds and Notes—11.0%

Consumer Discretionary—1.6%

Automobiles—0.9%

Nissan Motor Acceptance Corp., 4.50% Sr. Unsec. Nts., 1/30/15⁵		3,997,000		4,084,291


Media—0.7%

Comcast Corp., 6.50% Sr. Unsec. Nts., 1/15/15		2,687,000		2,774,228


Consumer Staples—3.2%

Beverages—2.3%

Anheuser-Busch InBev Worldwide, Inc., 5.375% Sr. Unsec. Unsub. Nts., 11/15/14		5,000,000		5,090,295

SABMiller Holdings, Inc., 1.85% Sr. Unsec. Nts., 1/15/15⁵		5,000,000		5,035,725

				10,126,020


Food Products—0.9%

General Mills, Inc., 5.20% Sr. Unsec. Nts., 3/17/15		4,000,000		4,135,040


Financials—2.9%

Commercial Banks—1.2%

Bank of America Corp., 4.709% Sr. Unsec. Nts., 4/1/15		5,000,000		5,149,950


Consumer Finance—0.5%

Capital One Financial Corp., 2.125% Sr. Unsec. Nts., 7/15/14		2,355,000		2,356,622


Diversified Financial Services—1.2%

Citigroup, Inc., 6.01% Sr. Unsec. Nts., 1/15/15		5,015,000		5,166,764

11 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

CONSOLIDATED

STATEMENT OF INVESTMENTS Unaudited / Continued


	Principal Amount		Value

Industrials—1.2%

Road & Rail—1.2%

CSX Corp., 6.25% Sr. Unsec. Nts., 4/1/15	$	5,000,000	$	5,216,375


Information Technology—1.3%

IT Services—1.1%

Xerox Corp., 4.25% Sr. Unsec. Nts., 2/15/15		4,685,000		4,793,509


Software—0.2%

CA, Inc., 6.125% Sr. Unsec. Nts., 12/1/14		1,128,000		1,154,371


Materials—0.8%

Chemicals—0.8%

Ecolab, Inc., 4.875% Sr. Unsec. Nts., 2/15/15		3,595,000		3,693,061

Total Corporate Bonds and Notes (Cost $48,658,958)				48,650,231


Structured Securities—18.8%

Hybrid Instrument—18.8%

Canadian Imperial Bank of Commerce, Custom 8 Enhanced Roll DJ Commodity Linked Nts., 0.052%, 4/15/15⁶		17,200,000		17,599,040

Canadian Imperial Bank of Commerce, Oppenheimer Quarterly Roll Index Linked Nts., 0.068%, 8/6/14⁶		24,300,000		30,604,090

UBS AG (London Branch), UBS Custom Pre-post Roll Strategy Excess Return Linked Nts., 0.077%, 4/15/15⁶		17,200,000		17,637,052

UBS AG (London Branch), UBS Multi-roll Strategy Excess Return Linked Nts., 0.077%, 4/15/15⁶		17,200,000		17,597,148

Total Structured Securities (Cost $75,900,000)				83,437,330


Short-Term Notes—11.5%

Banks—2.2%
Intesa Funding LLC, 0.803%, 12/3/14		5,000,000		4,985,700

Santander Commercial Paper SA, 0.756%, 6/4/15⁷		5,000,000		4,962,083

				9,947,783


Chemicals—1.1%
Agrium US, Inc., 0.29%, 8/14/14⁷		5,100,000		5,098,192


Leasing & Factoring—1.9%
Daimler Finance North America LLC, 0.604%, 2/26/15⁷		3,000,000		2,990,748

Hitachi Capital America Corp., 0.30%, 7/23/14		5,100,000		5,099,065

				8,089,813


Multi Utilities—1.1%
Xcel Energy, Inc., 0.472%, 11/7/14⁷		5,000,000		4,994,283


Oil, Gas & Consumable Fuels—1.2%
Eni Finance USA, Inc., 0.522%, 1/22/15⁷		5,200,000		5,188,217


Receivable Finance—1.6%

Arabella Finance LLC, 0.37%, 7/1/14⁷		2,000,000		2,000,000

12 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND


						Principal Amount		Value

Receivable Finance (Continued)

Silver Tower US Funding, 0.27%, 7/2/14⁷						$	5,100,000	$	5,099,962

									7,099,962


Tobacco—1.2%
BAT International Finance plc, 0.31%, 7/9/14⁷							5,300,000		5,299,731


Transportation & Infrastructure —1.2%
ERAC USA Finance LLC:
0.33%, 7/8/14⁷							2,000,000		1,999,911
0.34%, 7/15/14⁷							3,300,000		3,299,711

									5,299,622

Total Short-Term Notes (Cost $51,008,041)									51,017,603

						Shares

Investment Company—42.3%

Oppenheimer Institutional Money Market Fund, Cl. E, 0.09%^8,9 (Cost $187,791,940)							187,791,940		187,791,940

	Exercise Price		Expiration Date			Contracts

Exchange-Traded Options Purchased—0.2%

Brent Crude Oil Put¹⁰	USD	102.000		8/11/14	USD		100		10,000

Corn Futures, 12/12/14 Call¹⁰	USD	480.000		11/21/14	USD		15		7,781

Dow Jones-UBS Commodity Index Put¹⁰	USD	135.300		9/10/14	USD		70,953		153,472

Natural Gas Call¹⁰	USD	4.750		7/28/14	USD		100		45,100

Nickel Futures, 10/14/14 Call¹⁰	USD	22,000.000		10/1/14	USD		100		209,460

Silver Put¹⁰	USD	20.000		8/26/14	USD		100		123,500

Soybean Futures, 11/14/14 Call¹⁰	USD	1,220.000		10/24/14	USD		10		14,750

Soybean Futures, 11/14/14 Put¹⁰	USD	1,140.000		10/24/14	USD		100		231,250

Soybean Futures, 11/14/14 Put¹⁰	USD	1,220.000		10/24/14	USD		10		46,063

Zinc Call¹⁰	USD	2,250.000		10/1/14	USD		50		72,025

Total Exchange-Traded Options Purchased (Cost $1,210,893)									913,401


Total Investments, at Value (Cost $435,721,948)							99.8%		442,623,141

Net Other Assets (Liabilities)							0.2		718,285

Net Assets							100.0%	$	443,341,426

Footnotes to Consolidated Statement of Investments

1. Restricted security. The aggregate value of restricted securities as of June 30, 2014 was $41,638, which represents 0.01% of the Fund’s net assets. See Note 7 of the accompanying Consolidated Notes. Information concerning restricted securities is as follows:


Security	Acquisition Date		Cost		Value		Unrealized Depreciation

NC Finance Trust, Series 1999-I, Cl. D, 8.75%, 1/25/29		8/10/10	$	481,671	$	41,638	$	440,033

2. This security is not accruing income because the issuer has missed an interest payment on it and/or is not anticipated to make future interest and or principal payments. The rate shown is the original contractual interest rate. See Note 1 of the accompanying Consolidated Notes.

13 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

CONSOLIDATED

STATEMENT OF INVESTMENTS Unaudited / Continued

Footnotes to Consolidated Statement of Investments (Continued)

3. All or a portion of the security position is held in segregated accounts and pledged to cover margin requirements under certain derivative contracts. The aggregate market value of such securities is $17,238,147. See Note 6 of the accompanying Consolidated Notes.

4. All or a portion of the security position is held in accounts at a futures clearing merchant and pledged to cover margin requirements on open futures contracts and written options on futures, if applicable. The aggregate market value of such securities is $6,942,313. See Note 6 of the accompanying Consolidated Notes.

5. Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $9,120,016 or 2.06% of the Fund’s net assets as of June 30, 2014.

6. Represents the current interest rate for a variable or increasing rate security.

7. Security issued in an exempt transaction without registration under the Securities Act of 1933. Such securities amount to $40,932,838 or 9.23% of the Fund’s net assets, and have been determined to be liquid pursuant to guidelines adopted by the Board of Trustees.

8. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended June 30, 2014, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows:


	Shares December 31, 2013		Gross Additions		Gross Reductions		Shares June 30, 2014

Oppenheimer Institutional Money Market Fund, Cl. E		207,050,783		343,462,158		362,721,001		187,791,940


	Value		Income

Oppenheimer Institutional Money Market Fund, Cl. E	$	187,791,940	$	70,986

9. Rate shown is the 7-day yield as of June 30, 2014.

10. Non-income producing security.


Futures Contracts as of June 30, 2014*
Description	Exchange		Buy/Sell		Expiration Date		Number of Contracts		Value		Unrealized Appreciation (Depreciation)

Aluminum		LME		Sell		9/15/14		20	$	945,375	$	5,340
Brent Crude Oil		ICE		Buy		7/16/14		103		11,573,080		(107,933)
Coffee “C”		NYB		Buy		9/18/14		11		722,288		29,467
Copper		LME		Sell		9/15/14		52		9,131,200		(482,989)
Corn		CBT		Sell		7/14/14		106		2,248,525		514,356
Corn		CBT		Buy		7/14/14		106		2,248,525		(98,307)
Corn		CBT		Sell		9/12/14		70		1,465,625		122,893
Corn		CBT		Buy		12/12/14		114		2,423,925		(99,772)
Corn		CBT		Sell		12/12/14		106		2,253,825		104,193
Corn		CBT		Buy		12/14/15		1		22,325		(2,077)
Lead		LME		Buy		8/18/14		20		1,080,375		33,375
Lean Hogs		CME		Buy		10/14/14		25		1,160,000		139,454
Natural Gas		NYM		Sell		7/29/14		179		7,985,190		201,306
Natural Gas		NYM		Sell		8/27/14		66		2,930,400		93,767
New York Harbor ULSD		NYM		Buy		7/31/14		200		24,992,520		86,065
Palladium		NYM		Sell		9/26/14		50		4,215,750		(32,153)
Platinum		NYM		Buy		10/29/14		110		8,155,950		26,430
RBOB Gasoline		NYM		Sell		7/31/14		200		25,563,720		(290,214)
Silver		CMX		Sell		9/26/14		5		526,400		(210)
Soybean		CBT		Sell		11/14/14		102		5,901,975		272,478
WTI Crude Oil		ICE		Sell		7/21/14		103		10,853,110		102,157

14 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

Futures Contracts (Continued)*

Description

Exchange

Buy/Sell

Expiration
Date

Number of
Contracts

Value

Unrealized
Appreciation
(Depreciation)

WTI Crude Oil

NYM

Buy

11/20/14

300

30,654,000

(19,784)

WTI Crude Oil

NYM

Sell

7/22/14

300

31,611,000

300,703

Zinc

LME

Buy

9/15/14

1,110,000

17,965

916,510

*All or a portion of this security is owned by the subsidiary. See Note 1 of the accompanying Consolidated Notes.


Exchange-Traded Options Written at June 30, 2014*
Description	Exercise Price		Expiration Date		Number of Contracts		Premiums Received		Value

Copper Call	USD	7,050.000		9/3/14	USD	(50)	$	212,412	$	(210,025)

Corn Futures, 12/12/14 Call	USD	440.000		11/21/14	USD	(40)		61,966		(41,000)

Corn Futures, 12/12/14 Put	USD	440.000		11/21/14	USD	(30)		43,169		(52,875)

Natural Gas Put	USD	4.450		9/25/14	USD	(30)		83,908		(76,080)

Natural Gas Call	USD	4.450		9/25/14	USD	(30)		65,908		(71,310)

Nickel Futures, 11/14/14 Put	USD	18,000.000		10/1/14	USD	(100)		491,825		(382,488)

Primary Aluminium Call	USD	2,175.000		10/1/14	USD	(50)		74,177		(6,237)

Primary Aluminium Call	USD	1,875.000		10/1/14	USD	(50)		87,413		(90,638)

Total Exchange-Traded Options Written							$	1,120,778	$	(930,653)

*	All or a portion of this security is owned by the subsidiary. See Note 1 of the accompanying Consolidated Notes.

Over-the-Counter Total Return Swaps at June 30, 2014*

Reference Asset

Counterparty

Pay/Receive
Total
Return**

Floating Rate

Maturity
Date

Notional Amount
(000’s)

Value

CIBZGSPP Index

CIBC

Receive

Official
settlement price
of CIBZGSPP
Index

8/5/14

USD

15,200

(2)

CIBZNGLO Index

CIBC

Receive

Official
settlement price
of CIBZNGLO
Index

8/5/14

USD

24,000

—

DJUBS Index

MAC

Receive

Official
settlement price
of DJUBS Index

8/5/14

USD

36,000

DJUBSPR Index

CIBC

Receive

Official
settlement price
of DJUBSPR
Index

8/5/14

USD

3,000

—

DJUBSPR Index

MAC

Receive

Official
settlement price
of DJUBSPR
Index

7/3/14

USD

35,600

208,037

MLCILRIE Index

MLCI

Receive

Official
settlement price
of MLCILRIE
Index

8/5/14

USD

32,000

(5)

MLCILRLE Index

MLCI

Receive

Official
settlement price
of MLCILRLE
Index

7/3/14

USD

10,000

747,997

15 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

CONSOLIDATED

STATEMENT OF INVESTMENTS Unaudited / Continued

Over-the-Counter Total Return Swaps (Continued)*

Reference Asset

Counterparty

Pay/Receive
Total
Return**

Floating Rate

Maturity
Date

Notional Amount
(000’s)

Value

MLCILRLE Index

MLCI

Receive

Official
settlement price
of MLCILRLE
Index

8/5/14

USD

10,750

MLCILRME Index

MLCI

Receive

Official
settlement price
of MLCILRME
Index

8/5/14

USD

43,000

—

MLCILROE Index

MLCI

Receive

Official
settlement price
of MLCILROE
Index

8/5/14

USD

38,750

MLCILRSE Index

MLCI

Receive

Official
settlement price
of MLCILRSE
Index

8/5/14

USD

14,000

(5)

Total Over-the-Counter Total Return Swaps

956,066

* All or a portion of this security is owned by the subsidiary. See Note 1 of the accompanying Consolidated Notes.

** Fund will pay or receive the total return of the reference asset depending on whether the return is positive or negative. For contracts where the Fund has elected to receive the total return of the reference asset if positive, it will be responsible for paying the floating rate and the total return of the reference asset if negative. If the Fund has elected to pay the total return of the reference asset if positive, it will receive the floating rate and the total return of the reference asset if negative.


Glossary:
Counterparty Abbreviations
CIBC		Canadian Imperial Bank of Commerce
MAC		Macquarie Bank Ltd.
MLCI		Merrill Lynch Commodities, Inc.

Definitions
CIBZNGLO		CIBC Natural Gas Long Only Commodity Index
MLCILRIE		Merrill Lynch Commodities Long Pre-Roll Industrial Metals ER Index
MLCILRLE		Merrill Lynch Commodities Long Pre-Roll Livestock ER Index
MLCILROE		DJ Petroleum rolling from -11 to 4 ER Index
MLCILRSE		Merrill Lynch Commodities DJ Grains+ rolling from -11 to 4 Index

Exchange Abbreviations
CBT		Chicago Board of Trade
CME		Chicago Mercantile Exchanges
CMX		Commodity Exchange, Inc.
ICE		Intercontinental Exchange
LME		London Metal Exchange
NYB		New York Board of Trade
NYM		New York Mercantile Exchange

See accompanying Notes to Consolidated Financial Statements.

16 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

CONSOLIDATED STATEMENT OF

ASSETS AND LIABILITIES June 30, 2014 Unaudited



Assets
Investments, at value—see accompanying consolidated statement of investments:
Unaffiliated companies (cost $247,930,008)	$	254,831,201
Affiliated companies (cost $187,791,940)		187,791,940

		442,623,141

Cash		692,850

Swaps, at value		956,078

Receivables and other assets:
Variation margin receivable		1,343,618
Interest and dividends		994,651
Investments sold		273,069
Shares of beneficial interest sold		177,817
Other		460,563

Total assets		447,521,787

Liabilities
Options written, at value (premiums received $1,120,778)		930,653

Swaps, at value		12

Payables and other liabilities:
Variation margin payable		1,714,081
Investments purchased		797,739
Shares of beneficial interest redeemed		609,255
Distribution and service plan fees		47,477
Trustees’ compensation		42,111
Shareholder communications		18,153
Other		20,880

Total liabilities		4,180,361

Net Assets	$	443,341,426



Composition of Net Assets
Par value of shares of beneficial interest	$	139,721

Additional paid-in capital		1,390,850,645

Accumulated net investment loss		(307,855,294)

Accumulated net realized loss on investments		(648,757,540)

Net unrealized appreciation on investments		8,963,894

Net Assets	$	443,341,426

17 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

CONSOLIDATED STATEMENT OF

ASSETS AND LIABILITIES Unaudited / Continued



Net Asset Value Per Share

Class A Shares:

Net asset value and redemption price per share (based on net assets of $164,610,256 and 51,963,930 shares of beneficial interest outstanding)	$	3.17

Maximum offering price per share (net asset value plus sales charge of 5.75% of offering price)	$	3.36


Class B Shares:

Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $6,887,167 and 2,231,417 shares of beneficial interest outstanding)	$	3.09


Class C Shares:

Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $44,655,629 and 14,699,597 shares of beneficial interest outstanding)	$	3.04


Class I Shares:

Net asset value, redemption price and offering price per share (based on net assets of $158,620,260 and 49,322,989 shares of beneficial interest outstanding)	$	3.22


Class N Shares:

Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $11,835,599 and 3,818,402 shares of beneficial interest outstanding)	$	3.10


Class Y Shares:

Net asset value, redemption price and offering price per share (based on net assets of $56,732,515 and 17,684,513 shares of beneficial interest outstanding)	$	3.21

See accompanying Notes to Consolidated Financial Statements.

18 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

CONSOLIDATED STATEMENT OF

OPERATIONS For the Six Months Ended June 30, 2014 Unaudited



Investment Income
Interest	$	311,850

Dividends from affiliated companies		70,986

Total investment income		382,836

Expenses
Management fees		2,548,853

Distribution and service plan fees:
Class A		208,802
Class B		36,531
Class C		220,403
Class N		30,176

Transfer and shareholder servicing agent fees:
Class A		184,036
Class B		7,928
Class C		48,245
Class I		20,238
Class N		13,321
Class Y		72,929

Shareholder communications:
Class A		12,135
Class B		1,043
Class C		3,827
Class I		6
Class N		632

Trustees’ compensation		15,185

Custodian fees and expenses		10,943

Other		10,545

Total expenses		3,445,778
Less waivers and reimbursements of expenses		(600,859)

Net expenses		2,844,919

Net Investment Loss		(2,462,083)

19 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

CONSOLIDATED STATEMENT OF

OPERATIONS Unaudited / Continued



Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments from unaffiliated companies (including premiums on options exercised)			$ (7,361,725)
Closing and expiration of option contracts written			1,510,830
Closing and expiration of futures contracts			(85,261)
Swap contracts			9,641,803

Net realized loss			3,705,647

Net change in unrealized appreciation/depreciation on:
Investments			22,989,410
Futures contracts			869,662
Option contracts written			(44,727)
Swap contracts			2,606,524

Net change in unrealized appreciation/depreciation			26,420,869

Net Increase in Net Assets Resulting from Operations			$ 27,664,433

See accompanying Notes to Consolidated Financial Statements.

20 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

CONSOLIDATED STATEMENTS OF

CHANGES IN NET ASSETS


	Six Months Ended June 30, 2014 (Unaudited)		Year Ended December 31, 2013

Operations
Net investment loss	$	(2,462,083)	$	(5,358,932)

Net realized loss		3,705,647		(6,844,032)

Net change in unrealized appreciation/depreciation		26,420,869		(34,404,260)

Net increase (decrease) in net assets resulting from operations		27,664,433		(46,607,224)


Beneficial Interest Transactions
Net increase (decrease) in net assets resulting from beneficial interest transactions:
Class A		(10,287,999)		(44,981,219)
Class B		(1,317,999)		(4,411,230)
Class C		(2,322,283)		(14,008,780)
Class I		41,362,110		108,339,416
Class N		(478,929)		(1,252,957)
Class Y		(20,181,053)		(209,035,789)

		6,773,847		(165,350,559)


Net Assets
Total increase (decrease)		34,438,280		(211,957,783)

Beginning of period		408,903,146		620,860,929

End of period (including accumulated net investment loss of $307,855,294 and $305,393,211, respectively)	$	443,341,426	$	408,903,146

See accompanying Notes to Consolidated Financial Statements.

21 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND



CONSOLIDATED FINANCIAL HIGHLIGHTS


Class A	Six Months Ended June 30, 2014 (Unaudited)		Year Ended December 31, 2013		Year Ended December 31, 2012		Year Ended December 30, 2011¹		Year Ended December 31, 2010		Year Ended December 31, 2009

Per Share Operating Data
Net asset value, beginning of period	$	2.98	$	3.28	$	3.34	$	3.66	$	3.42	$	3.11

Income (loss) from investment operations:
Net investment loss²		(0.02)		(0.04)		(0.04)		(0.04)		(0.04)		(0.02)
Net realized and unrealized gain (loss)		0.21		(0.26)		(0.02)		(0.07)		0.33		0.33

Total from investment operations		0.19		(0.30)		(0.06)		(0.11)		0.29		0.31

Dividends and/or distributions to shareholders:
Dividends from net investment income		0.00		0.00		0.00		(0.21)		(0.05)		0.00

Net asset value, end of period	$	3.17	$	2.98	$	3.28	$	3.34	$	3.66	$	3.42



Total Return, at Net Asset Value³		6.38%		(9.15)%		(1.80)%		(2.93)%		8.61%		9.97%


Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	164,610	$	163,932	$	228,224	$	326,818	$	439,204	$	457,757

Average net assets (in thousands)	$	172,460	$	190,441	$	284,670	$	424,280	$	410,353	$	385,924

Ratios to average net assets:⁴
Net investment loss		(1.22)%		(1.20)%		(1.18)%		(1.15)%		(1.11)%		(0.68)%
Total expenses⁵		1.67%		1.77%		1.90%		1.72%		1.79%		1.92%
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses		1.40%		1.44%		1.49%		1.41%		1.40%		1.45%

Portfolio turnover rate		36%		80%		44%		21%		38%		51%⁶

1. December 30, 2011 represents the last business day of the Fund’s reporting period.

2. Per share amounts calculated based on the average shares outstanding during the period.

3. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

4. Annualized for periods less than one full year.

5. Total expenses including indirect expenses from affiliated fund were as follows:


Six Months Ended June 30, 2014	1.72	%
Year Ended December 31, 2013	1.82	%
Year Ended December 31, 2012	1.95	%
Year Ended December 30, 2011	1.77	%
Year Ended December 31, 2010	1.85	%
Year Ended December 31, 2009	1.97	%

6. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:


	Purchase Transactions		Sale Transactions

Year Ended December 31, 2009		$39,303,425		$39,062,313

See accompanying Notes to Consolidated Financial Statements.

22 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND


Class B	Six Months Ended June 30, 2014 (Unaudited)		Year Ended December 31, 2013		Year Ended December 31, 2012		Year Ended December 30, 2011¹		Year Ended December 31, 2010		Year Ended December 31, 2009

Per Share Operating Data
Net asset value, beginning of period	$	2.91	$	3.23	$	3.32	$	3.63	$	3.40	$	3.12

Income (loss) from investment operations:
Net investment loss²		(0.03)		(0.06)		(0.07)		(0.07)		(0.06)		(0.04)
Net realized and unrealized gain (loss)		0.21		(0.26)		(0.02)		(0.06)		0.31		0.32

Total from investment operations		0.18		(0.32)		(0.09)		(0.13)		0.25		0.28

Dividends and/or distributions to shareholders:
Dividends from net investment income		0.00		0.00		0.00		(0.18)		(0.02)		0.00

Net asset value, end of period	$	3.09	$	2.91	$	3.23	$	3.32	$	3.63	$	3.40



Total Return, at Net Asset Value³		6.19%		(9.91)%		(2.71)%		(3.57)%		7.48%		8.97%


Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	6,887	$	7,762	$	13,291	$	17,965	$	23,489	$	28,683

Average net assets (in thousands)	$	7,408	$	10,188	$	15,469	$	22,207	$	23,528	$	27,137

Ratios to average net assets:⁴
Net investment loss		(1.99)%		(1.98)%		(2.08)%		(1.95)%		(1.89)%		(1.43)%
Total expenses⁵		2.44%		2.64%		3.18%		2.99%		3.17%		3.26%
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses		2.16%		2.24%		2.39%		2.23%		2.21%		2.25%

Portfolio turnover rate		36%		80%		44%		21%		38%		51%⁶

1. December 30, 2011 represents the last business day of the Fund’s reporting period.

2. Per share amounts calculated based on the average shares outstanding during the period.

4. Annualized for periods less than one full year.

5. Total expenses including indirect expenses from affiliated fund were as follows:


Six Months Ended June 30, 2014	2.49	%
Year Ended December 31, 2013	2.69	%
Year Ended December 31, 2012	3.23	%
Year Ended December 30, 2011	3.04	%
Year Ended December 31, 2010	3.23	%
Year Ended December 31, 2009	3.31	%

6. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:


	Purchase Transactions		Sale Transactions
Year Ended December 31, 2009		$39,303,425		$39,062,313

See accompanying Notes to Consolidated Financial Statements.

23 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND



CONSOLIDATED FINANCIAL HIGHLIGHTS Continued


Class C	Six Months Ended June 30, 2014 (Unaudited)		Year Ended December 31, 2013		Year Ended December 31, 2012		Year Ended December 30, 2011¹		Year Ended December 31, 2010		Year Ended December 31, 2009

Per Share Operating Data
Net asset value, beginning of period	$	2.86	$	3.18	$	3.26	$	3.58	$	3.35	$	3.08

Income (loss) from investment operations:
Net investment loss²		(0.03)		(0.06)		(0.07)		(0.07)		(0.06)		(0.04)
Net realized and unrealized gain (loss)		0.21		(0.26)		(0.01)		(0.06)		0.32		0.31

Total from investment operations		0.18		(0.32)		(0.08)		(0.13)		0.26		0.27

Dividends and/or distributions to shareholders:
Dividends from net investment income		0.00		0.00		0.00		(0.19)		(0.03)		0.00

Net asset value, end of period	$	3.04	$	2.86	$	3.18	$	3.26	$	3.58	$	3.35



Total Return, at Net Asset Value³		6.29%		(10.06)%		(2.45)%		(3.69)%		7.74%		8.77%


Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	44,656	$	44,362	$	64,074	$	82,710	$	86,502	$	90,170

Average net assets (in thousands)	$	44,807	$	52,931	$	74,103	$	92,415	$	80,967	$	78,974

Ratios to average net assets:⁴
Net investment loss		(1.98)%		(1.97)%		(2.00)%		(1.91)%		(1.87)%		(1.44)%
Total expenses⁵		2.43%		2.56%		2.74%		2.55%		2.68%		2.84%
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses		2.16%		2.22%		2.31%		2.18%		2.17%		2.23%

Portfolio turnover rate		36%		80%		44%		21%		38%		51%⁶

1. December 30, 2011 represents the last business day of the Fund’s reporting period.

2. Per share amounts calculated based on the average shares outstanding during the period.

4. Annualized for periods less than one full year.

5. Total expenses including indirect expenses from affiliated fund were as follows:


Six Months Ended June 30, 2014	2.48	%
Year Ended December 31, 2013	2.61	%
Year Ended December 31, 2012	2.79	%
Year Ended December 30, 2011	2.60	%
Year Ended December 31, 2010	2.74	%
Year Ended December 31, 2009	2.89	%

6. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:


	Purchase Transactions		Sale Transactions
Year Ended December 31, 2009		$39,303,425		$39,062,313

See accompanying Notes to Consolidated Financial Statements.

24 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND


Class I	Six Months Ended June 30, 2014 (Unaudited)		Year Ended December 31, 2013		Period Ended December 31, 2012¹

Per Share Operating Data
Net asset value, beginning of period	$	3.01	$	3.31	$	3.49

Income (loss) from investment operations:
Net investment loss²		(0.01)		(0.02)		(0.01)
Net realized and unrealized gain (loss)		0.22		(0.28)		(0.17)

Total from investment operations		0.21		(0.30)		(0.18)

Dividends and/or distributions to shareholders:
Dividends from net investment income		0.00		0.00		0.00

Net asset value, end of period	$	3.22	$	3.01	$	3.31



Total Return, at Net Asset Value³		6.98%		(9.06)%		(5.16)%


Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	158,620	$	109,031	$	7,383

Average net assets (in thousands)	$	137,192	$	76,647	$	275

Ratios to average net assets:⁴
Net investment loss		(0.78)%		(0.75)%		(0.70)%
Total expenses⁵		1.23%		1.25%		1.31%
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses		0.96%		0.96%		1.03%

Portfolio turnover rate		36%		80%		44%

1. For the period from April 27, 2012 (inception of offering) to December 31, 2012.

2. Per share amounts calculated based on the average shares outstanding during the period.

4. Annualized for periods less than one full year.

5. Total expenses including indirect expenses from affiliated fund were as follows:


Six Months Ended June 30, 2014	1.28	%
Year Ended December 31, 2013	1.30	%
Period Ended December 31, 2012	1.36	%

See accompanying Notes to Consolidated Financial Statements.

25 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND



CONSOLIDATED FINANCIAL HIGHLIGHTS Continued


Class N	Six Months Ended June 30, 2014 (Unaudited)		Year Ended December 31, 2013		Year Ended December 31, 2012		Year Ended December 30, 2011¹		Year Ended December 31, 2010		Year Ended December 31, 2009

Per Share Operating Data
Net asset value, beginning of period	$	2.92	$	3.22	$	3.29	$	3.61	$	3.38	$	3.08

Income (loss) from investment operations:
Net investment loss²		(0.02)		(0.04)		(0.05)		(0.05)		(0.04)		(0.03)
Net realized and unrealized gain (loss)		0.20		(0.26)		(0.02)		(0.06)		0.32		0.33

Total from investment operations		0.18		(0.30)		(0.07)		(0.11)		0.28		0.30

Dividends and/or distributions to shareholders:
Dividends from net investment income		0.00		0.00		0.00		(0.21)		(0.05)		0.00

Net asset value, end of period	$	3.10	$	2.92	$	3.22	$	3.29	$	3.61	$	3.38



Total Return, at Net Asset Value³		6.16%		(9.32)%		(2.13)%		(3.08)%		8.21%		9.74%


Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	11,836	$	11,580	$	14,102	$	17,044	$	18,176	$	16,412

Average net assets (in thousands)	$	12,280	$	12,654	$	15,775	$	18,734	$	16,050	$	13,661

Ratios to average net assets:⁴
Net investment loss		(1.48)%		(1.47)%		(1.48)%		(1.40)%		(1.37)%		(0.92)%
Total expenses⁵		1.92%		2.09%		2.38%		2.13%		2.29%		2.50%
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses		1.65%		1.70%		1.79%		1.66%		1.66%		1.70%

Portfolio turnover rate		36%		80%		44%		21%		38%		51%⁶

1. December 30, 2011 represents the last business day of the Fund’s reporting period.

2. Per share amounts calculated based on the average shares outstanding during the period.

4. Annualized for periods less than one full year.

5. Total expenses including indirect expenses from affiliated fund were as follows:


Six Months Ended June 30, 2014	1.97	%
Year Ended December 31, 2013	2.14	%
Year Ended December 31, 2012	2.43	%
Year Ended December 30, 2011	2.18	%
Year Ended December 31, 2010	2.35	%
Year Ended December 31, 2009	2.55	%

6. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:


	Purchase Transactions		Sale Transactions
Year Ended December 31, 2009		$39,303,425		$39,062,313

See accompanying Notes to Consolidated Financial Statements.

26 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND


Class Y	Six Months Ended June 30, 2014 (Unaudited)		Year Ended December 31, 2013		Year Ended December 31, 2012		Year Ended December 30, 2011¹		Year Ended December 31, 2010		Year Ended December 31, 2009

Per Share Operating Data
Net asset value, beginning of period	$	3.01	$	3.30	$	3.35	$	3.67	$	3.43	$	3.11

Income (loss) from investment operations:
Net investment loss²		(0.01)		(0.03)		(0.03)		(0.03)		(0.02)		(0.01)
Net realized and unrealized gain (loss)		0.21		(0.26)		(0.02)		(0.07)		0.33		0.33

Total from investment operations		0.20		(0.29)		(0.05)		(0.10)		0.31		0.32

Dividends and/or distributions to shareholders:
Dividends from net investment income		0.00		0.00		0.00		(0.22)		(0.07)		0.00

Net asset value, end of period	$	3.21	$	3.01	$	3.30	$	3.35	$	3.67	$	3.43



Total Return, at Net Asset Value³		6.65%		(8.79)%		(1.49)%		(2.57)%		8.99%		10.29%


Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	56,732	$	72,236	$	293,787	$	740,166	$	1,198,790	$	838,122

Average net assets (in thousands)	$	67,592	$	130,023	$	470,565	$	1,173,253	$	974,924	$	549,032

Ratios to average net assets:⁴
Net investment loss		(0.84)%		(0.82)%		(0.81)%		(0.81)%		(0.74)%		(0.16)%
Total expenses⁵		1.29%		1.36%		1.39%		1.33%		1.31%		1.18%
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses		1.02%		1.07%		1.11%		1.07%		1.03%		0.89%

Portfolio turnover rate		36%		80%		44%		21%		38%		51%⁶

1. December 30, 2011 represents the last business day of the Fund’s reporting period.

2. Per share amounts calculated based on the average shares outstanding during the period.

4. Annualized for periods less than one full year.

5. Total expenses including indirect expenses from affiliated fund were as follows:


Six Months Ended June 30, 2014	1.34	%
Year Ended December 31, 2013	1.41	%
Year Ended December 31, 2012	1.44	%
Year Ended December 30, 2011	1.38	%
Year Ended December 31, 2010	1.37	%
Year Ended December 31, 2009	1.23	%

6. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:


	Purchase Transactions		Sale Transactions
Year Ended December 31, 2009		$39,303,425		$39,062,313

See accompanying Notes to Consolidated Financial Statements.

27 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

NOTES TO CONSOLIDATED

FINANCIAL STATEMENTS June 30, 2014 Unaudited

1. Significant Accounting Policies

Oppenheimer Commodity Strategy Total Return Fund (the “Fund”) is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended. The Fund’s investment objective is to seek total return. The Fund’s investment adviser is OFI Global Asset Management, Inc. (“OFI Global” or the “Manager”), a wholly-owned subsidiary of OppenheimerFunds, Inc. (“OFI” or the “Sub-Adviser”). The Manager has entered into a sub-advisory agreement with OFI.

The Fund offers Class A, Class C, Class I, Class N and Class Y shares, and previously offered Class B shares for new purchase through June 29, 2012. Subsequent to that date, no new purchases of Class B shares are permitted, however reinvestment of dividend and/or capital gain distributions and exchanges of Class B shares into and from other Oppenheimer funds will be allowed. Class A shares are sold at their offering price, which is normally net asset value plus a front-end sales charge. Class C and Class N shares are sold, and Class B shares were sold, without a front-end sales charge but may be subject to a contingent deferred sales charge (“CDSC”). Class N shares are sold only through retirement plans. Retirement plans that offer Class N shares may impose charges on those accounts. As of July 1, 2014, Class N shares will be renamed Class R shares. Class N shares subject to a CDSC on July 1, 2014, will continue to be subject to a CDSC after the shares are renamed. Purchases of Class R shares occurring on or after July 1, 2014, will not be subject to a CDSC upon redemption. Class I and Class Y shares are sold to certain institutional investors or intermediaries without either a front-end sales charge or a CDSC, however, the intermediaries may impose charges on their accountholders who beneficially own Class I and Class Y shares. All classes of shares have identical rights and voting privileges with respect to the Fund in general and exclusive voting rights on matters that affect that class alone. Earnings, net assets and net asset value per share may differ due to each class having its own expenses, such as transfer and shareholder servicing agent fees and shareholder communications, directly attributable to that class. Class A, B, C and N shares have separate distribution and/or service plans under which they pay fees. Class I and Class Y shares do not pay such fees. Class B shares will automatically convert to Class A shares 72 months after the date of purchase.

The following is a summary of significant accounting policies consistently followed by the Fund.

Basis for Consolidation. The Fund has established a Cayman Islands exempted company, RAF Fund Ltd., which is wholly-owned and controlled by the Fund (the “Subsidiary”). The Fund and Subsidiary are both managed by the Manager. The Fund may invest up to 25% of its total assets in the Subsidiary. The Subsidiary invests primarily in commodity-linked derivatives (including commodity futures, financial futures, options and swap contracts) and exchange-traded funds related to gold or other special minerals (“Gold ETFs”). The Subsidiary may also invest in certain fixed-income securities and other investments that may serve as margin or collateral for its derivatives positions. Investments in the Subsidiary are expected to provide the Fund with exposure to commodities market returns within the limitations of the federal tax requirements that apply to the Fund. The Subsidiary is subject to the same

28 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

1. Significant Accounting Policies (Continued)

investment restrictions and guidelines, and follows the same compliance policies and procedures, as the Fund.

The financial statements have been consolidated and include accounts of the Fund and the Subsidiary. Accordingly, all inter-company transactions and balances have been eliminated. At June 30, 2014, the Fund owned 4,000,000 shares with a market value of $106,378,342.

Other financial information at June 30, 2014:


Total market value	$	106,356,964
Net assets	$	106,378,342
Net loss	$	407,147
Net realized gain (loss)	$	11,812,416
Net change in unrealized appreciation/depreciation	$	3,373,628

Structured Securities. The Fund invests in structured securities whose market values, interest rates and/or redemption prices are linked to the performance of underlying foreign currencies, interest rate spreads, stock market indices, prices of individual securities, commodities or other financial instruments or the occurrence of other specific events. The structured securities are often leveraged, increasing the volatility of each note’s market value relative to the change in the underlying linked financial element or event. Fluctuations in value of these securities are recorded as unrealized gains and losses in the accompanying Consolidated Statement of Operations. The Fund records a realized gain or loss when a structured security is sold or matures.

Credit Risk. The Fund invests in high-yield, non-investment-grade bonds, which may be subject to a greater degree of credit risk. Credit risk relates to the ability of the issuer to meet interest or principal payments or both as they become due. The Fund may acquire securities that have missed an interest payment, and is not obligated to dispose of securities whose issuers or underlying obligors subsequently miss an interest payment. Information concerning securities not accruing interest as of June 30, 2014 is as follows:


Cost			$481,671
Market Value			$41,638
Market value as % of Net Assets			0.01%

Investment in Oppenheimer Institutional Money Market Fund. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund (“IMMF”) to seek current income while preserving liquidity. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is the investment adviser of IMMF, and the Sub-Adviser provides investment and related advisory services to IMMF. When applicable, the Fund’s investment in IMMF is included in the Consolidated Statement of Investments. Shares of IMMF are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of IMMF’s Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF.

29 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

NOTES TO CONSOLIDATED

FINANCIAL STATEMENTS Unaudited / Continued

1. Significant Accounting Policies (Continued)

Allocation of Income, Expenses, Gains and Losses. Income, expenses (other than those attributable to a specific class), gains and losses are allocated on a daily basis to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.

Federal Taxes. The Fund intends to comply with provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its investment company taxable income to shareholders. Therefore, no federal income or excise tax provision is required. The Fund files income tax returns in U.S. federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remain open for the three preceding fiscal reporting period ends.

Subchapter M requires, among other things, that at least 90% of the Fund’s gross income be derived from securities or derived with respect to its business of investing in securities (typically referred to as “qualifying income”). Income from commodity-linked derivatives may not be treated as “qualifying income” for purposes of the 90% gross income requirement. The Internal Revenue Service (IRS) has previously issued a number of private letter rulings which conclude that income derived from commodity index-linked notes and investments in a wholly-owned subsidiary will be “qualifying income.” As a result, the Fund will gain exposure to commodities through commodity-linked notes and its wholly-owned subsidiary.

The IRS has suspended the granting of private letter rulings pending further review. As a result, there can be no assurance that the IRS will not change its position with respect to commodity-linked notes and wholly-owned subsidiaries. In addition, future legislation and guidance from Treasury and the IRS may adversely affect the fund’s ability to gain exposure to commodities through commodity-linked notes and its wholly-owned subsidiary.

The Fund is required to include in income for federal income tax purposes all of the subsidiary’s net income and gains whether or not such income is distributed by the subsidiary. Net income and gains from the subsidiary are generally treated as ordinary income by the Fund, regardless of the character of the subsidiary’s underlying income. Net losses from the subsidiary do not pass through to the Fund for federal income tax purposes.

During the fiscal year ended December 31, 2013, the Fund did not utilize any capital loss carryforward to offset capital gains realized in that fiscal year. Details of the fiscal year ended December 31, 2013 capital loss carryforwards are included in the table below. Capital loss carryforwards with no expiration, if any, must be utilized prior to those with expiration dates. Capital losses with no expiration will be carried forward to future years if not offset by gains.


Expiring
2015	$	183,272,671
2017		374,871,458
No expiration		19,926,892

Total	$	578,071,021

As of June 30, 2014, it is estimated that the capital loss carryforwards would be $558,144,129 expiring by 2017 and $29,440,996 which will not expire. The estimated capital loss carryforward represents the carryforward as of the end of the last fiscal year,

30 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

1. Significant Accounting Policies (Continued)

increased or decreased by capital losses or gains realized in the first six months of the current fiscal year. During the six months ended June 30, 2014, it is estimated that the Fund will not utilize any capital loss carryforward to offset realized capital gains.

Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes. The character of dividends and distributions made during the fiscal year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. Also, due to timing of dividends and distributions, the fiscal year in which amounts are distributed may differ from the fiscal year in which the income or net realized gain was recorded by the Fund.

The aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of June 30, 2014 are noted in the following table. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses or tax realization of financial statement unrealized gain or loss.


Federal tax cost of securities	$	435,721,948
Federal tax cost of other investments		(191,812,580)

Total federal tax cost	$	243,909,368

Gross unrealized appreciation	$	10,806,240
Gross unrealized depreciation		(1,842,137)

Net unrealized appreciation	$	8,964,103

Trustees’ Compensation. The Board of Trustees has adopted a compensation deferral plan for independent trustees that enables trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Fund. For purposes of determining the amount owed to the Trustee under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of the Fund or in other Oppenheimer funds selected by the Trustee. The Fund purchases shares of the funds selected for deferral by the Trustee in amounts equal to his or her deemed investment, resulting in a Fund asset equal to the deferred compensation liability. Such assets are included as a component of “Other” within the asset section of the Consolidated Statement of Assets and Liabilities. Deferral of trustees’ fees under the plan will not affect the net assets of the Fund, and will not materially affect the Fund’s assets, liabilities or net investment income per share. Amounts will be deferred until distributed in accordance with the compensation deferral plan.

Dividends and Distributions to Shareholders. Dividends and distributions to shareholders, which are determined in accordance with income tax regulations and may differ from U.S. generally accepted accounting principles, are recorded on the ex-dividend date. Income and capital gain distributions, if any, are declared and paid annually or at other times as deemed necessary by the Manager.

The tax character of distributions is determined as of the Fund’s fiscal year end. Therefore, a portion of the Fund’s distributions made to shareholders prior to the Fund’s fiscal year end may ultimately be categorized as a tax return of capital.

31 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

NOTES TO CONSOLIDATED

FINANCIAL STATEMENTS Unaudited / Continued

1. Significant Accounting Policies (Continued)

Investment Income. Dividend income is recorded on the ex-dividend date or upon ex-dividend notification in the case of certain foreign dividends where the ex-dividend date may have passed. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income is recognized on an accrual basis. Discount and premium, which are included in interest income on the Consolidated Statement of Operations, are amortized or accreted daily.

Custodian Fees. “Custodian fees and expenses” in the Consolidated Statement of Operations may include interest expense incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on such cash overdrafts, to the extent they are not offset by positive cash balances maintained by the Fund, at a rate equal to the Federal Funds Rate plus 0.50%. The “Reduction to custodian expenses” line item, if applicable, represents earnings on cash balances maintained by the Fund during the period. Such interest expense and other custodian fees may be paid with these earnings.

Security Transactions. Security transactions are recorded on the trade date. Realized gains and losses on securities sold (except for the investments in the Subsidiary) are determined on the basis of identified cost.

Indemnifications. The Fund’s organizational documents provide current and former trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.

Other. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

2. Securities Valuation

The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the “Exchange”), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading.

The Fund’s Board has adopted procedures for the valuation of the Fund’s securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a “fair valuation” for any security for which market quotations are not “readily

32 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

2. Securities Valuation (Continued)

available.” The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.

Valuation Methods and Inputs

Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers.

The following methodologies are used to determine the market value or the fair value of the types of securities described below:

Securities traded on a registered U.S. securities exchange (including exchange-traded derivatives other than futures and futures options) are valued based on the last sale price of the security reported on the principal exchange on which it is traded, prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the current day’s closing “bid” and “asked” prices, and if not, at the current day’s closing bid price. A security of a foreign issuer traded on a foreign exchange, but not listed on a registered U.S. securities exchange, is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the third party pricing service used by the Manager, prior to the time when the Fund’s assets are valued. If the last sale price is unavailable, the security is valued at the most recent official closing price on the principal exchange on which it is traded. If the last sales price or official closing price for a foreign security is not available, the security is valued at the mean between the bid and asked price per the exchange or, if not available from the exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority): (1) using a bid from the exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer.

Shares of a registered investment company that are not traded on an exchange are valued at that investment company’s net asset value per share.

Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, event-linked bonds, loans, mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers who may use matrix pricing methods to determine the evaluated prices.

Short-term money market type debt securities with a remaining maturity of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. Short-term debt securities with a remaining maturity in excess of sixty days are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers.

Structured securities, swaps, swaptions, and other over-the-counter derivatives are valued utilizing evaluated prices obtained from third party pricing services or broker-dealers.

Futures contracts and futures options traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as

33 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

NOTES TO CONSOLIDATED

FINANCIAL STATEMENTS Unaudited / Continued

2. Securities Valuation (Continued)

reported by such principal exchange at its trading session ending at, or most recently prior to, the time when the Fund’s assets are valued.

A description of the standard inputs that may generally be considered by the third party pricing vendors in determining their evaluated prices is provided below.


Security Type		Standard inputs generally considered by third-party pricing vendors
Corporate debt, government debt, municipal, mortgage-backed and asset-backed securities		Reported trade data, broker-dealer price quotations, benchmark yields, issuer spreads on comparable securities, the credit quality, yield, maturity, and other appropriate factors.
Loans		Information obtained from market participants regarding reported trade data and broker-dealer price quotations.
Event-linked bonds		Information obtained from market participants regarding reported trade data and broker-dealer price quotations.
Structured securities		Relevant market information such as the price of underlying financial instruments, stock market indices, foreign currencies, interest rate spreads, commodities, or the occurrence of other specific events.
Swaps		Relevant market information, including underlying reference assets such as credit spreads, credit event probabilities, index values, individual security values, forward interest rates, variable interest rates, volatility measures, and forward currency rates.

If a market value or price cannot be determined for a security using the methodologies described above, or if, in the “good faith” opinion of the Manager, the market value or price obtained does not constitute a “readily available market quotation,” or a significant event has occurred that would materially affect the value of the security the security is fair valued either (i) by a standardized fair valuation methodology applicable to the security type or the significant event as previously approved by the Valuation Committee and the Fund’s Board or (ii) as determined in good faith by the Manager’s Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Fair value determinations by the Manager are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security.

To assess the continuing appropriateness of security valuations, the Manager, or its third party service provider who is subject to oversight by the Manager, regularly compares prior

34 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

2. Securities Valuation (Continued)

day prices, prices on comparable securities, and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available.

Classifications

Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Various data inputs are used in determining the value of each of the Fund’s investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:

1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange)

2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.)

3) Level 3-significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability).

The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities.

The table below categorizes amounts that are included in the Fund’s Consolidated Statement of Assets and Liabilities as of June 30, 2014 based on valuation input level:


	Level 1— Unadjusted Quoted Prices		Level 2— Other Significant Observable Inputs		Level 3— Significant Unobservable Inputs		Value

Assets Table
Investments, at Value:
Mortgage-Backed Obligation	$	—	$	—	$	41,638	$	41,638
U.S. Government Obligations		—		70,770,998		—		70,770,998
Corporate Bonds and Notes		—		48,650,231		—		48,650,231
Structured Securities		—		83,437,330		—		83,437,330
Short-Term Notes		—		51,017,603		—		51,017,603
Exchange-Traded Options Purchased		550,469		362,932		—		913,401
Investment Company		187,791,940		—		—		187,791,940

Total Investments, at Value		188,342,409		254,239,094		41,638		442,623,141
Other Financial Instruments:
Swaps, at value		—		956,078		—		956,078
Futures contracts		2,049,949		—		—		2,049,949

Total Assets	$	190,392,358	$	255,195,172	$	41,638	$	445,629,168

35 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

NOTES TO CONSOLIDATED

FINANCIAL STATEMENTS Unaudited / Continued

2. Securities Valuation (Continued)


	Level 1— Unadjusted Quoted Prices			Level 2— Other Significant Observable Inputs			Level 3— Significant Unobservable Inputs		Value

Liabilities Table
Other Financial Instruments:
Swaps, at value	$	—		$	(12	)	$	—	$	(12)
Options written, at value		(247,503	)		(683,150	)		—		(930,653)
Futures contracts		(1,133,439	)		—			—		(1,133,439)

Total Liabilities	$	(1,380,942	)	$	(683,162	)	$	—	$	(2,064,104)

Forward currency exchange contracts and futures contracts, if any, are reported at their unrealized appreciation/ depreciation at measurement date, which represents the change in the contract’s value from trade date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.

3. Shares of Beneficial Interest

The Fund has authorized an unlimited number of $0.001 par value shares of beneficial interest of each class. Transactions in shares of beneficial interest were as follows:


	Six Months Ended June 30, 2014				Year Ended December 31, 2013
	Shares		Amount		Shares		Amount

Class A
Sold		9,614,430	$	29,760,194		15,114,737	$	46,580,792
Redeemed		(12,739,074)		(40,048,193)		(29,654,865)		(91,562,011)

Net decrease		(3,124,644)	$	(10,287,999)		(14,540,128)	$	(44,981,219)



Class B
Sold		65,989	$	204,295		57,879	$	181,735
Redeemed		(502,210)		(1,522,294)		(1,504,926)		(4,592,965)

Net decrease		(436,221)	$	(1,317,999)		(1,447,047)	$	(4,411,230)



Class C
Sold		1,249,454	$	3,763,318		2,341,014	$	7,046,822
Redeemed		(2,038,319)		(6,085,601)		(7,004,969)		(21,055,602)

Net decrease		(788,865)	$	(2,322,283)		(4,663,955)	$	(14,008,780)



Class I
Sold		15,475,465	$	48,624,630		43,658,354	$	138,180,955
Redeemed		(2,319,238)		(7,262,520)		(9,725,106)		(29,841,539)

Net increase		13,156,227	$	41,362,110		33,933,248	$	108,339,416

36 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

3. Shares of Beneficial Interest (Continued)


	Six Months Ended June 30, 2014				Year Ended December 31, 2013
	Shares		Amount		Shares		Amount

Class N
Sold		635,833	$	1,943,959		1,293,343	$	3,900,488
Redeemed		(790,072)		(2,422,888)		(1,700,781)		(5,153,445)

Net decrease		(154,239)	$	(478,929)		(407,438)	$	(1,252,957)


Class Y
Sold		1,356,941	$	4,276,100		12,784,139	$	40,564,855
Redeemed		(7,697,967)		(24,457,153)		(77,832,346)		(249,600,644)

Net decrease		(6,341,026)	$	(20,181,053)		(65,048,207)	$	(209,035,789)

4. Purchases and Sales of Securities

The aggregate cost of purchases and proceeds from sales of securities, other than short-term obligations and investments in IMMF, for the six months ended June 30, 2014 were as follows:


	Purchases		Sales

Investment securities		$ 51,582,193		$ 50,814,877
U.S. government and government agency obligations		1,004,120		38,719,664

5. Fees and Other Transactions with Affiliates

Management Fees. Under the investment advisory agreement, the Fund pays the Manager a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:


Fee Schedule
Up to $200 million			1.00%
Next $200 million			0.90
Next $200 million			0.85
Next $200 million			0.80
Over $800 million			0.75

Sub-Adviser Fees. The Manager has retained the Sub-Adviser to provide the day-to-day portfolio management of the Fund. Under the Sub-Advisory Agreement, the Manager pays the Sub-Adviser an annual fee in monthly installments, equal to a percentage of the investment management fee collected by the Manager from the Fund, which shall be calculated after any investment management fee waivers. The fee paid to the Sub-Adviser is paid by the Manager, not by the Fund.

Transfer Agent Fees. OFI Global (the “Transfer Agent”) serves as the transfer and shareholder servicing agent for the Fund. The Fund pays the Transfer Agent a fee based on annual net assets. Fees incurred and average net assets for each class with respect to these services are detailed in the Consolidated Statement of Operations and Consolidated Financial Highlights, respectively.

37 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

NOTES TO CONSOLIDATED

FINANCIAL STATEMENTS Unaudited / Continued

5. Fees and Other Transactions with Affiliates (Continued)

Sub-Transfer Agent Fees. The Transfer Agent has retained Shareholder Services, Inc., a wholly-owned subsidiary of OFI (the “Sub-Transfer Agent”), to provide the day-to-day transfer agent and shareholder servicing of the Fund and the Subsidiary. Under the Sub-Transfer Agency Agreement, the Transfer Agent pays the Sub-Transfer Agent an annual fee in monthly installments, equal to a percentage of the transfer agent fee collected by the Transfer Agent from the Fund, which shall be calculated after any applicable fee waivers. The fee paid to the Sub-Transfer Agent is paid by the Transfer Agent, not by the Fund.

Distribution and Service Plan (12b-1) Fees. Under its General Distributor’s Agreement with the Fund, OppenheimerFunds Distributor, Inc. (the “Distributor”) acts as the Fund’s principal underwriter in the continuous public offering of the Fund’s classes of shares.

Service Plan for Class A Shares. The Fund has adopted a Service Plan (the “Plan”) for Class A shares under Rule 12b-1 of the Investment Company Act of 1940. Under the Plan, the Fund reimburses the Distributor for a portion of its costs incurred for services provided to accounts that hold Class A shares. Reimbursement is made periodically at an annual rate of up to 0.25% of the daily net assets of Class A shares of the Fund. The Distributor currently uses all of those fees to pay dealers, brokers, banks and other financial institutions periodically for providing personal service and maintenance of accounts of their customers that hold Class A shares. Any unreimbursed expenses the Distributor incurs with respect to Class A shares in any fiscal year cannot be recovered in subsequent periods. Fees incurred by the Fund under the Plan are detailed in the Consolidated Statement of Operations.

Distribution and Service Plans for Class B, Class C and Class N Shares. The Fund has adopted Distribution and Service Plans (the “Plans”) for Class B, Class C and Class N shares under Rule 12b-1 of the Investment Company Act of 1940 to compensate the Distributor for its services in connection with the distribution of those shares and servicing accounts. Under the Plans, the Fund pays the Distributor an annual asset-based sales charge of 0.75% on Class B and Class C shares daily net assets and 0.25% on Class N shares daily net assets. The Distributor also receives a service fee of 0.25% per year under each plan. If either the Class B, Class C or Class N plan is terminated by the Fund or by the shareholders of a class, the Board of Trustees and its independent trustees must determine whether the Distributor shall be entitled to payment from the Fund of all or a portion of the service fee and/or asset-based sales charge in respect to shares sold prior to the effective date of such termination. Fees incurred by the Fund under the Plans are detailed in the Consolidated Statement of Operations. The Distributor determines its uncompensated expenses under the Plans at calendar quarter ends. The Distributor’s aggregate uncompensated expenses under the Plans at June 30, 2014 were as follows:


Class B	$	3,370,154
Class C		5,874,356
Class N		730,631

38 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

5. Fees and Other Transactions with Affiliates (Continued)

Sales Charges. Front-end sales charges and contingent deferred sales charges (“CDSC”) do not represent expenses of the Fund. They are deducted from the proceeds of sales of Fund shares prior to investment or from redemption proceeds prior to remittance, as applicable. The sales charges retained by the Distributor from the sale of shares and the CDSC retained by the Distributor on the redemption of shares is shown in the following table for the period indicated.


Six Months Ended	Class A Front-End Sales Charges Retained by Distributor		Class B Contingent Deferred Sales Charges Retained by Distributor		Class C Contingent Deferred Sales Charges Retained by Distributor		Class N Contingent Deferred Sales Charges Retained by Distributor

June 30, 2014		$24,582		$13,521		$1,055		$371

Waivers and Reimbursements of Expenses. The Manager has contractually agreed to waive the Fund’s management fee in an amount equal to the management fee of the Subsidiary. During the six months ended June 30, 2014, this waiver reduced the Fund’s management fee by $74,331.

The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF. During the six months ended June 30, 2014, the Manager waived fees and/or reimbursed the Fund $526,528 for IMMF management fees.

Some of these undertakings may be modified or terminated at any time; some may not be modified or terminated until after one year from the date of the current prospectus, as indicated therein.

6. Risk Exposures and the Use of Derivative Instruments

The Fund’s investment objective not only permits the Fund to purchase investment securities, it also allows the Fund to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, variance swaps and purchased and written options. In doing so, the Fund will employ strategies in differing combinations to permit it to increase, decrease, or change the level or types of exposure to market risk factors. These instruments may allow the Fund to pursue its objectives more quickly and efficiently than if it were to make direct purchases or sales of securities capable of effecting a similar response to market factors. Such contracts may be entered into through a bilateral over-the-counter (“OTC”) transaction, or through a securities or futures exchange and cleared through a clearinghouse.

Market Risk Factors. In accordance with its investment objectives, the Fund may use derivatives to increase or decrease its exposure to one or more of the following market risk factors:

Commodity Risk. Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market. Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products.

39 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

NOTES TO CONSOLIDATED

FINANCIAL STATEMENTS Unaudited / Continued

6. Risk Exposures and the Use of Derivative Instruments (Continued)

Credit Risk. Credit risk relates to the ability of the issuer to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield bonds are subject to credit risk to a greater extent than lower-yield, higher-quality bonds.

Equity Risk. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.

Foreign Exchange Rate Risk. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency.

Interest Rate Risk. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities.

Volatility Risk. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument’s price over a defined time period. Large increases or decreases in a financial instrument’s price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.

Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost due to unanticipated changes in the market risk factors and the overall market. This use of embedded leverage allows the Fund to increase its market value exposure relative to its net assets and can substantially increase the volatility of the Fund’s performance. In instances where the Fund is using derivatives to decrease, or hedge, exposures to market risk factors for securities held by the Fund, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions. Some derivatives have the potential for unlimited loss, regardless of the size of the Fund’s initial investment.

Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and the Fund. Typically, the associated risks are not the risks that the Fund is attempting to increase or decrease exposure to, per its investment objectives, but are the additional risks from investing in derivatives. Examples of these associated risks are liquidity risk, which is the risk that the Fund will not be able to sell the derivative in the open market in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund.

The Fund’s actual exposures to these market risk factors and associated risks during the period are discussed in further detail, by derivative type, below.

40 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

6. Risk Exposures and the Use of Derivative Instruments (Continued)

Futures Contracts

A futures contract is a commitment to buy or sell a specific amount of a commodity, financial instrument or currency at a negotiated price on a stipulated future date. The Fund may buy and sell futures contracts and may also buy or write put or call options on these futures contracts. Futures contracts and options thereon are generally entered into on a regulated futures exchange and cleared through a clearinghouse associated with the exchange.

Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin) in an amount equal to a certain percentage of the contract value in an account registered in the futures commission merchant’s name. Subsequent payments (variation margin) are paid to or from the futures commission merchant each day equal to the daily changes in the contract value. Such payments are recorded as unrealized gains and losses. Should the Fund fail to make requested variation margin payments, the futures commission merchant can gain access to the initial margin to satisfy the Fund’s payment obligations.

Futures contracts are reported on a schedule following the Consolidated Statement of Investments. Securities held by a futures commission merchant to cover initial margin requirements on open futures contracts are noted in the Consolidated Statement of Investments. Cash held by a futures commission merchant to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted in the Consolidated Statement of Assets and Liabilities. The net change in unrealized appreciation and depreciation is reported in the Consolidated Statement of Operations. Realized gains (losses) are reported in the Consolidated Statement of Operations at the closing or expiration of futures contracts.

The Fund has purchased futures contracts, which have values that are linked to the price movement of the related commodities, in order to increase exposure to commodity risk.

The Fund has sold futures contracts, which have values that are linked to the price movement of the related commodities, in order to decrease exposure to commodity risk.

During the six months ended June 30, 2014, the Fund had an ending monthly average market value of $100,283,672 and $118,053,019 on futures contracts purchased and sold, respectively.

Additional associated risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Fund’s securities.

Option Activity

The Fund may buy and sell put and call options, or write put and call options. When an option is written, the Fund receives a premium and becomes obligated to sell or purchase the underlying security, currency or other underlying financial instrument at a fixed price, upon exercise of the option.

Options can be traded through an exchange or through a privately negotiated arrangement with a dealer in an OTC transaction. Options traded through an exchange are generally cleared through a clearinghouse (such as The Options Clearing Corporation). The difference

41 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

NOTES TO CONSOLIDATED

FINANCIAL STATEMENTS Unaudited / Continued

6. Risk Exposures and the Use of Derivative Instruments (Continued)

between the premium received or paid, and market value of the option, is recorded as unrealized appreciation or depreciation. The net change in unrealized appreciation or depreciation is reported in the Consolidated Statement of Operations. When an option is exercised, the cost of the security purchased or the proceeds of the security sale are adjusted by the amount of premium received or paid. Upon the expiration or closing of the option transaction, a gain or loss is reported in the Consolidated Statement of Operations.

The Fund has purchased put options on individual equity securities and/or equity indexes to decrease exposure to equity risk. A purchased put option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.

The Fund has purchased put options on individual commodities and/or commodity indexes to decrease exposure to commodity risk. A purchased put option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.

The Fund has purchased call options on individual commodities and/or commodity indexes to increase exposure to commodity risk. A purchased call option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price.

During the six months ended June 30, 2014, the Fund had an ending monthly average market value of $305,085 and $302,493 on purchased call options and purchased put options, respectively.

Options written, if any, are reported in a schedule following the Consolidated Statement of Investments and as a liability in the Consolidated Statement of Assets and Liabilities. Securities held in collateral accounts to cover potential obligations with respect to outstanding written options are noted in the Consolidated Statement of Investments.

The risk in writing a call option is that the market price of the security increases and if the option is exercised, the Fund must either purchase the security at a higher price for delivery or, if the Fund owns the underlying security, give up the opportunity for profit. The risk in writing a put option is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying an option is that the Fund pays a premium whether or not the option is exercised. The Fund also has the additional risk that there may be an illiquid market where the Fund is unable to close the contract.

The Fund has written put options on individual commodities and/or commodity indexes to increase exposure to commodity risk. A written put option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price.

The Fund has written call options on individual commodities and/or commodity indexes to decrease exposure to commodity risk. A written call option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.

During the six months ended June 30, 2014, the Fund had an ending monthly average market value of $490,461 and $422,979 on written call options and written put options, respectively.

Additional associated risks to the Fund include counterparty credit risk and liquidity risk.

42 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

6. Risk Exposures and the Use of Derivative Instruments (Continued)

Written option activity for the six months ended June 30, 2014 was as follows:


	Call Options				Put Options
	Number of Contracts		Amount of Premiums		Number of Contracts		Amount of Premiums

Options outstanding as of December 31, 2013		250	$	226,144		450	$	729,736
Options written		1,523		2,308,667		1,709		2,360,782
Options closed or expired		(860)		(987,409)		(682)		(597,598)
Options exercised		(693)		(1,045,526)		(1,317)		(1,874,018)

Options outstanding as of June 30, 2014		220	$	501,876		160	$	618,902

Swap Contracts

The Fund may enter into swap contract agreements with a counterparty to exchange a series of cash flows based on either specified reference rates, the price or volatility of asset or non-asset references, or the occurrence of a credit event, over a specified period. Swaps can be executed in a bi-lateral privately negotiated arrangement with a dealer in an OTC transaction (“OTC swaps”) or executed on a regulated market. Certain swaps, regardless of the venue of their execution, are required to be cleared through a clearinghouse (“centrally cleared swaps”). Swap contracts may include interest rate, equity, debt, index, total return, credit default, currency, and volatility swaps.

Swap contracts are reported on a schedule following the Consolidated Statement of Investments. The values of centrally cleared swap and OTC swap contracts are aggregated by positive and negative values and disclosed separately on the Consolidated Statement of Assets and Liabilities. The unrealized appreciation (depreciation) related to the change in the valuation of the notional amount of the swap is combined with the accrued interest due to (owed by) the Fund, if any, at termination or settlement. The net change in this amount during the period is included on the Consolidated Statement of Operations. The Fund also records any periodic payments received from (paid to) the counterparty, including at termination, under such contracts as realized gain (loss) on the Consolidated Statement of Operations.

Swap contract agreements are exposed to the market risk factor of the specific underlying reference rate or asset. Swap contracts are typically more attractively priced compared to similar investments in related cash securities because they isolate the risk to one market risk factor and eliminate the other market risk factors. Investments in cash securities (for instance bonds) have exposure to multiple risk factors (credit and interest rate risk). Because swaps have embedded leverage, they can expose the Fund to substantial risk in the isolated market risk factor.

Total Return Swap Contracts. A total return swap is an agreement between counterparties to exchange periodic payments based on the value of asset or non-asset references. One cash flow is typically based on a non-asset reference (such as an interest rate) and the other on the total return of a reference asset (such as a security or a basket of securities or securities index). The total return of the reference asset typically includes appreciation or depreciation on the reference asset, plus any interest or dividend payments.

43 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

NOTES TO CONSOLIDATED

FINANCIAL STATEMENTS Unaudited / Continued

6. Risk Exposures and the Use of Derivative Instruments (Continued)

Total return swap contracts are exposed to the market risk factor of the specific underlying financial instrument or index. Total return swaps are less standard in structure than other types of swaps and can isolate and/or include multiple types of market risk factors including equity risk, credit risk, and interest rate risk.

The Fund has entered into total return swaps on various commodity indexes to increase exposure to commodity risk. These commodity risk related total return swaps require the Fund to pay a fixed or a floating reference interest rate, and an amount equal to the negative price movement of an index (expressed as a percentage) multiplied by the notional amount of the contract. The Fund will receive payments equal to the positive price movement of the same index (expressed as a percentage) multiplied by the notional amount of the contract.

For the six months ended June 30, 2014, the Fund had ending monthly average notional amounts of $165,535,714 and $25,285,714 on total return swaps which are long the reference asset and total return swaps which are short the reference asset, respectively.

Additional associated risks to the Fund include counterparty credit risk and liquidity risk.

Counterparty Credit Risk. Derivative positions are subject to the risk that the counterparty will not fulfill its obligation to the Fund. The Fund intends to enter into derivative transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction.

The Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund. For OTC options purchased, the Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by the Fund should the counterparty fail to perform under the contracts. Options written by the Fund do not typically give rise to counterparty credit risk, as options written generally obligate the Fund and not the counterparty to perform.

To reduce counterparty risk with respect to OTC transactions, the Fund has entered into master netting arrangements, established within the Fund’s International Swap and Derivatives Association, Inc. (“ISDA”) master agreements, which allow the Fund to make (or to have an entitlement to receive) a single net payment in the event of default (close-out netting) for outstanding payables and receivables with respect to certain OTC positions in swaps, options, swaptions, and forward currency exchange contracts for each individual counterparty. In addition, the Fund may require that certain counterparties post cash and/or securities in collateral accounts to cover their net payment obligations for those derivative contracts subject to ISDA master agreements. If the counterparty fails to perform under these contracts and agreements, the cash and/or securities will be made available to the Fund.

As of June 30, 2014, the Fund has required certain counterparties to post collateral of $300,000.

ISDA master agreements include credit related contingent features which allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the

44 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

6. Risk Exposures and the Use of Derivative Instruments (Continued)

event that, for example, the Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA master agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.

For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Consolidated Statement of Assets and Liabilities. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.

The Fund’s risk of loss from counterparty credit risk on exchange-traded derivatives cleared through a clearinghouse and for centrally cleared swaps is generally considered lower than as compared to OTC derivatives. However, counterparty credit risk exists with respect to initial and variation margin deposited/paid by the Fund that is held in futures commission merchant, broker and/or clearinghouse accounts for such exchange-traded derivatives and for centrally cleared swaps.

With respect to centrally cleared swaps, such transactions will be submitted for clearing, and if cleared, will be held in accounts at futures commission merchants or brokers that are members of clearinghouses. While brokers, futures commission merchants and clearinghouses are required to segregate customer margin from their own assets, in the event that a broker, futures commission merchant or clearinghouse becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker, futures commission merchant or clearinghouse for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the broker’s, futures commission merchant’s or clearinghouse’s customers, potentially resulting in losses to the Fund.

There is the risk that a broker, futures commission merchant or clearinghouse will decline to clear a transaction on the Fund’s behalf, and the Fund may be required to pay a termination fee to the executing broker with whom the Fund initially enters into the transaction. Clearinghouses may also be permitted to terminate centrally cleared swaps at any time. The Fund is also subject to the risk that the broker or futures commission merchant will improperly use the Fund’s assets deposited/paid as initial or variation margin to satisfy payment obligations of another customer. In the event of a default by another customer of the broker or futures commission merchant, the Fund might not receive its variation margin payments from the clearinghouse, due to the manner in which variation margin payments are aggregated for all customers of the broker/futures commission merchant.

Collateral and margin requirements differ by type of derivative. Margin requirements are established by the broker, futures commission merchant or clearinghouse for exchange-traded and cleared derivatives, including centrally cleared swaps. Brokers, futures commission merchants and clearinghouses can ask for margin in excess of the regulatory minimum, or increase the margin amount, in certain circumstances.

Collateral terms are contract specific for OTC derivatives. For derivatives traded under an ISDA master agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund or the counterparty.

45 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

NOTES TO CONSOLIDATED

FINANCIAL STATEMENTS Unaudited / Continued

6. Risk Exposures and the Use of Derivative Instruments (Continued)

For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund, if any, is reported separately on the Consolidated Statement of Assets and Liabilities as cash pledged as collateral. Non-cash collateral pledged by the Fund, if any, is noted in the Consolidated Statement of Investments. Generally, the amount of collateral due from or to a party must exceed a minimum transfer amount threshold (e.g. $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance.

The following table presents by counterparty the Fund’s OTC derivative assets net of the related collateral posted for the benefit of the Fund at June 30, 2014:


			Gross Amounts Not Offset in the Consolidated Statement of Assets & Liabilities
Counterparty	Gross Amount of Assets in the Consolidated Statement of Assets & Liabilities*		Financial Instruments Available for Offset		Financial Instruments Collateral Received**		Cash Collateral Received**		Net Amount

Macquarie Bank Ltd.	$	208,038	$	—	$	—	$	—	$	208,038
Merrill Lynch Commodities, Inc.		748,040		(10)		—		—		748,030

	$	956,078	$	(10)	$	—	$	—	$	956,068

* OTC derivatives are reported gross on the Consolidated Statement of Assets and Liabilities. Exchange traded options and margin related to cleared swaps and futures are excluded from these reported amounts.

** Reported collateral posted for the benefit of the Fund within this table is limited to the net outstanding amount due from an individual counterparty. The collateral posted for the benefit of the Fund may exceed these amounts.

The following table presents by counterparty the Fund’s OTC derivative liabilities net of the related collateral pledged by the Fund at June 30, 2014:


			Gross Amounts Not Offset in the Consolidated Statement of Assets & Liabilities
Counterparty	Gross Amount of Liabilities in the Consolidated Statement of Assets & Liabilities*		Financial Instruments Available for Offset		Financial Instruments Collateral Pledged**		Cash Collateral Pledged**		Net Amount

Canadian Imperial Bank of Commerce	$	(2)	$	—	$	2	$	—	$	—
Merrill Lynch Commodities, Inc.		(10)		10		—		—		—

	$	(12)	$	10	$	2	$	—	$	—

46 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

6. Risk Exposures and the Use of Derivative Instruments (Continued)

** Reported collateral pledged within this table is limited to the net outstanding amount due from the Fund. The securities pledged as collateral by the Fund as reported on the Consolidated Statement of Investments may exceed these amounts.

The following table presents the valuations of derivative instruments by risk exposure as reported within the Consolidated Statement of Assets and Liabilities as of June 30, 2014:

Asset Derivatives

Liability Derivatives

Derivatives Not

Accounted for as

Hedging

Instruments

Consolidated Statement

of Assets and Liabilities

Location

Value

Consolidated Statement

of Assets and Liabilities

Location

Value

Commodity contracts

Swaps, at value

956,078

Swaps, at value

Commodity contracts

Variation margin receivable

1,343,618^*

Variation margin payable

1,714,081^*

Commodity contracts

Investments, at value

759,929^**

Investments, at value

930,653^**

Equity contracts

Investments, at value

153,472^**

Investments, at value

—

Total

3,213,097

2,644,746

* Includes only the current day’s variation margin. Prior variation margin movements have been reflected in cash on the Consolidated Statement of Assets and Liabilities upon receipt or payment.

**Amounts relate to purchased option contracts and purchased swaption contracts.

The effect of derivative instruments on the Consolidated Statement of Operations is as follows:


Amount of Realized Gain or (Loss) Recognized on Derivatives

Derivatives Not Accounted for as Hedging Instruments	Investments from unaffiliated companies (including premiums on options exercised)*		Closing and expiration of option contracts written		Closing and expiration of futures contracts		Swap contracts		Total

Commodity contracts	$	729,976	$	1,510,830		$ (85,261)	$	9,641,803	$	11,797,348

* Includes purchased option contracts, purchased swaption contracts, written option contracts and written swaption contracts exercised, if any.


Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives
Derivatives Not Accounted for as Hedging Instruments	Investments*		Option contracts written		Futures contracts		Swap contracts		Total

Commodity contracts	$	(237,561)	$	(44,727)	$	869,662	$	2,606,524	$	3,193,898
Equity contracts		153,472		—		—		—		153,472

Total	$	(84,089)	$	(44,727)	$	869,662	$	2,606,524	$	3,347,370

*Includes purchased option contracts and purchased swaption contracts, if any.

7. Restricted Securities

As of June 30, 2014, investments in securities included issues that are restricted. A restricted security may have a contractual restriction on its resale and is valued under methods approved by the Board of Trustees as reflecting fair value. Securities that are restricted are

47 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

NOTES TO CONSOLIDATED

FINANCIAL STATEMENTS Unaudited / Continued

7. Restricted Securities (Continued)

marked with an applicable footnote on the Consolidated Statement of Investments. Restricted securities are reported on a schedule following the Consolidated Statement of Investments.

8. Pending Litigation

In 2009, seven class action lawsuits were filed in the U.S. District Court for the District of Colorado against OppenheimerFunds, Inc. (“OFI”), OppenheimerFunds Distributor, Inc., the Fund’s principal underwriter and distributor (the “Distributor”), and certain funds (but not including the Fund) advised by OFI Global Asset Management, Inc. and distributed by the Distributor (the “Defendant Funds”). The lawsuits also named as defendants certain officers and current and former trustees of the respective Defendant Funds. The lawsuits raised claims under federal securities law and alleged, among other things, that the disclosure documents of the respective Defendant Funds contained misrepresentations and omissions and that the respective Defendant Funds’ investment policies were not followed. The plaintiffs in these actions sought unspecified damages, equitable relief and awards of attorneys’ fees and litigation expenses. The Defendant Funds’ Boards of Trustees also engaged counsel to represent the Funds and the present and former Independent Trustees named in those suits. On March 5, 2014, the parties in six of these lawsuits executed stipulations and agreements of settlement resolving those actions. On July 31, 2014, the court entered an order and final judgment approving the settlements as fair, reasonable and adequate. The settlements do not resolve a seventh outstanding lawsuit relating to Oppenheimer Rochester California Municipal Fund.

Other class action and individual lawsuits have been filed since 2008 in various state and federal courts against OFI and certain of its affiliates by investors seeking to recover investments they allegedly lost as a result of the “Ponzi” scheme run by Bernard L. Madoff and his firm, Bernard L. Madoff Investment Securities, LLC (“BLMIS”). Plaintiffs in these suits allege that they suffered losses as a result of their investments in several funds managed by an affiliate of OFI and assert a variety of claims, including breach of fiduciary duty, fraud, negligent misrepresentation, unjust enrichment, and violation of federal and state securities laws and regulations, among others. They seek unspecified damages, equitable relief and awards of attorneys’ fees and litigation expenses. Neither the Distributor, nor any of the Oppenheimer mutual funds, their independent trustees or directors are named as defendants in these lawsuits. None of the Oppenheimer mutual funds invested in any funds or accounts managed by Madoff or BLMIS. On February 28, 2011, a stipulation of partial settlement of three groups of consolidated putative class action lawsuits relating to these matters was filed in the U.S. District Court for the Southern District of New York. On August 19, 2011, the court entered an order and final judgment approving the settlement as fair, reasonable and adequate. In September 2011, certain parties filed notices of appeal from the court’s order approving the settlement. In June 2014, the appellate court affirmed the lower court’s order approving the settlement. Certain parties subsequently filed a petition for certiorari before the U.S. Supreme Court further challenging the settlement approval order. The settlement does not resolve other outstanding lawsuits against OFI and its affiliates relating to BLMIS.

48 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

8. Pending Litigation (Continued)

OFI believes the lawsuits and appeals described above are without legal merit and, with the exception of actions it has settled, is defending against them vigorously. While it is premature to render any opinion as to the outcome in these lawsuits, or whether any costs that the Defendant Funds may bear in defending the suits might not be reimbursed by insurance, OFI believes that these suits should not impair the ability of OFI or the Distributor to perform their respective duties to the Fund, and that the outcome of all of the suits together should not have any material effect on the operations of any of the Oppenheimer mutual funds.

49 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

PORTFOLIO PROXY VOTING POLICIES AND PROCEDURES;

UPDATES TO STATEMENTS OF INVESTMENTS Unaudited

The Fund has adopted Portfolio Proxy Voting Policies and Procedures under which the Fund votes proxies relating to securities (“portfolio proxies”) held by the Fund. A description of the Fund’s Portfolio Proxy Voting Policies and Procedures is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.CALL OPP (225.5677), (ii) on the Fund’s website at oppenheimerfunds.com, and (iii) on the SEC’s website at www.sec.gov. In addition, the Fund is required to file Form N-PX, with its complete proxy voting record for the 12 months ended June 30th, no later than August 31st of each year. The Fund’s voting record is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.CALL OPP (225.5677), and (ii) in the Form N-PX filing on the SEC’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the SEC for the first quarter and the third quarter of each fiscal year on Form N-Q. The Fund’s Form N-Q filings are available on the SEC’s website at www.sec.gov. Those forms may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

Householding—Delivery of Shareholder Documents

This is to inform you about OppenheimerFunds’ “householding” policy. If more than one member of your household maintains an account in a particular fund, OppenheimerFunds will mail only one copy of the fund’s prospectus (or, if available, the fund’s summary prospectus), annual and semiannual report and privacy policy. The consolidation of these mailings, called householding, benefits your fund through reduced mailing expense, and benefits you by reducing the volume of mail you receive from OppenheimerFunds. Householding does not affect the delivery of your account statements.

Please note that we will continue to household these mailings for as long as you remain an OppenheimerFunds shareholder, unless you request otherwise. If you prefer to receive multiple copies of these materials, please call us at 1.800.CALL-OPP (225-5677). You may also notify us in writing or via email. We will begin sending you individual copies of the prospectus (or, if available, the summary prospectus), reports and privacy policy within 30 days of receiving your request to stop householding.

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OPPENHEIMER COMMODITY STRATEGY TOTAL

RETURN FUND


Trustees and Officers		Sam Freedman, Chairman of the Board of Trustees and Trustee
		Edward L. Cameron, Trustee
		Jon S. Fossel, Trustee
		Richard F. Grabish, Trustee
		Beverly L. Hamilton, Trustee
		Victoria J. Herget, Trustee
		Robert J. Malone, Trustee
		F. William Marshall, Jr., Trustee
		Karen L. Stuckey, Trustee
		James D. Vaughn, Trustee
		William F. Glavin, Jr., Trustee, President and Principal Executive Officer
		George Zivic, Vice President
		Christopher Proctor, Vice President
		Arthur S. Gabinet, Secretary and Chief Legal Officer
		Christina M. Nasta, Vice President and Chief Business Officer
		Mary Ann Picciotto, Chief Compliance Officer and Chief Anti-Money
		Laundering Officer Brian W. Wixted, Treasurer and Principal Financial & Accounting Officer

Manager		OFI Global Asset Management, Inc.

Sub-Adviser		OppenheimerFunds, Inc.

Distributor		OppenheimerFunds Distributor, Inc.

Transfer and Shareholder Servicing Agent		OFI Global Asset Management, Inc.

Sub-Transfer Agent		Shareholder Services, Inc. DBA OppenheimerFunds Services

Independent Registered Public Accounting Firm		KPMG LLP

Legal Counsel		K&L Gates LLP

		The financial statements included herein have been taken from the records of the Fund without examination of those records by the independent registered public accounting firm.

51 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

As an Oppenheimer fund shareholder, you are entitled to know how we protect your personal information and how we limit its disclosure.

Information Sources

We obtain nonpublic personal information about our shareholders from the following sources:

—	Applications or other forms

—	When you create a user ID and password for online account access

—	When you enroll in eDocs Direct, our electronic document delivery service

—	Your transactions with us, our affiliates or others

—	A software program on our website, often referred to as a “cookie,” which indicates which parts of our site you’ve visited

—	When you set up challenge questions to reset your password online

If you visit oppenheimerfunds.com and do not log on to the secure account information areas, we do not obtain any personal information about you. When you do log on to a secure area, we do obtain your user ID and password to identify you. We also use this information to provide you with products and services you have requested, to inform you about products and services that you may be interested in and assist you in other ways.

We do not collect personal information through our website unless you willingly provide it to us, either directly by email or in those areas of the website that request information. In order to update your personal information (including your mailing address, email address and phone number) you must first log on and visit your user profile.

If you have set your browser to warn you before accepting cookies, you will receive the warning message with each cookie. You can refuse cookies by turning them off in your browser. However, doing so may limit your access to certain sections of our website.

We use cookies to help us improve and manage our website. For example, cookies help us recognize new versus repeat visitors to the site, track the pages visited, and enable some special features on the website. This data helps us provide a better service for our website visitors.

Protection of Information

We do not disclose any non-public personal information (such as names on a customer list) about current or former customers to anyone, except as permitted by law.

Disclosure of Information

We send your financial advisor (as designated by you) copies of confirmations, account statements and other documents reporting activity in your fund accounts. We may also use details about you and your investments to help us, our financial service affiliates, or firms that jointly market their financial products and services with ours, to better serve your investment needs or suggest financial services or educational material that may be of interest to you. If this requires us to provide you with an opportunity to “opt in” or “opt out” of such information sharing with a firm not affiliated with us, you will receive notification on how to do so, before any such sharing takes place.

Right of Refusal

We will not disclose your personal information to unaffiliated third parties (except as permitted by law), unless we first offer you a reasonable opportunity to refuse or “opt out” of such disclosure.

52 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

Internet Security and Encryption

In general, the email services provided by our website are encrypted and provide a secure and private means of communication with us. To protect your own privacy, confidential and/or personal information should only be communicated via email when you are advised that you are using a secure website.

As a security measure, we do not include personal or account information in non-secure emails, and we advise you not to send such information to us in non-secure emails. Instead, you may take advantage of the secure features of our website to encrypt your email correspondence. To do this, you will need to use a browser that supports Secure Sockets Layer (SSL) protocol.

We do not guarantee or warrant that any part of our website, including files available for download, are free of viruses or other harmful code. It is your responsibility to take appropriate precautions, such as use of an anti-virus software package, to protect your computer hardware and software.

—	All transactions, including redemptions, exchanges and purchases, are secured by SSL and 128-bit encryption. SSL is used to establish a secure connection between your PC and OppenheimerFunds’ server. It transmits information in an encrypted and scrambled format.

—

Encryption is achieved through an electronic scrambling technology that uses a “key” to code and then decode the data. Encryption acts like the cable converter box you may have on your television set. It scrambles data with a secret code so that no one can make sense of it while it is being transmitted. When the data reaches its destination, the same software unscrambles the data.

—	You can exit the secure area by either closing your browser, or for added security, you can use the Log Out button before you close your browser.

Other Security Measures

We maintain physical, electronic and procedural safeguards to protect your personal account information. Our employees and agents have access to that information only so that they may offer you products or provide services, for example, when responding to your account questions.

How You Can Help

You can also do your part to keep your account information private and to prevent unauthorized transactions. If you obtain a user ID and password for your account, do not allow it to be used by anyone else. Also, take special precautions when accessing your account on a computer used by others.

Who We Are

This joint notice describes the privacy policies of the Oppenheimer funds, OppenheimerFunds, Inc., and each of its investment adviser subsidiaries, OppenheimerFunds Distributor, Inc. and OFI Global Trust Co. It applies to all Oppenheimer fund accounts you presently have, or may open in the future, using your Social Security number—whether or not you remain a shareholder of our funds. This notice was last updated November 2013. In the event it is updated or changed, we will post an updated notice on our website at oppenheimerfunds.com. If you have any questions about these privacy policies, write to us at P.O. Box 5270, Denver, CO 80217-5270, email us by clicking on the Contact Us section of our website at oppenheimerfunds.com or call us at 1.800.CALL OPP (225.5677).

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54 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

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55 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

LOGO

Item 2. Code of Ethics.

Not applicable to semiannual reports.

Item 3. Audit Committee Financial Expert.

Not applicable to semiannual reports.

Item 4. Principal Accountant Fees and Services.

Not applicable to semiannual reports.

Item 5. Audit Committee of Listed Registrants

Not applicable.

Item 6. Schedule of Investments.

a) Not applicable. The complete schedule of investments is included in Item 1 of this Form N-CSR.

b) Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

The Fund’s Governance Committee Provisions with Respect to Nominations of Directors/Trustees to the Respective Boards

None

Item 11. Controls and Procedures.

Based on their evaluation of the registrant’s disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c)) as of 6/30/2014, the registrant’s principal executive officer and principal financial officer found the registrant’s disclosure controls and procedures to provide reasonable assurances that information required to be disclosed by the registrant in the reports that it files under the Securities Exchange Act of 1934 (a) is accumulated and communicated to registrant’s management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission.

There have been no changes in the registrant’s internal controls over financial reporting that occurred during the registrant’s second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Exhibits.


(a)		(1) Not applicable to semiannual reports.

		(2) Exhibits attached hereto.

		(3) Not applicable.

(b)		Exhibit attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Oppenheimer Commodity Strategy Total Return Fund


By:		/s/ William F. Glavin, Jr.
		William F. Glavin, Jr.
		Principal Executive Officer

Date:		8/8/2014

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


By:		/s/ William F. Glavin, Jr.
		William F. Glavin, Jr.
		Principal Executive Officer

Date:		8/8/2014


By:		/s/ Brian W. Wixted
		Brian W. Wixted
		Principal Financial Officer

Date:		8/8/2014