Oppenheimer Commodity Strategy Total Return Fund

N-CSR 1 d128552dncsr.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.

225 Liberty Street, 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: 12/31/2015

Item 1. Reports to Stockholders.

LOGO

Table of Contents


Fund Performance Discussion			3

Top Holdings and Allocations			7

Fund Expenses			10

Consolidated Statement of Investments			12

Consolidated Statement of Assets and Liabilities			20

Consolidated Statement of Operations			22

Consolidated Statements of Changes in Net Assets			24

Consolidated Financial Highlights			25

Notes to Consolidated Financial Statements			31

Report of Independent Registered Public Accounting Firm			53

Federal Income Tax Information			54

Board Approval of the Fund’s Investment Advisory and Sub-Advisory Agreements			55

Portfolio Proxy Voting Policies and Procedures; Updates to Consolidated Statements of Investments			58

Trustees and Officers			59

Privacy Policy Notice			65

Class A Shares

AVERAGE ANNUAL TOTAL RETURNS AT 12/31/15


	Class A Shares of the Fund
	Without Sales Charge	With Sales Charge	Bloomberg Commodity Index
1-Year	-27.71%	-31.86%	-24.66%
5-Year	-13.46	-14.48	-13.47
10-Year	-11.40	-11.92	-6.43

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. 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).

2 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

Fund Performance Discussion

In what was a difficult environment for commodities, the Fund’s Class A shares (without sales charge) returned -27.71% in 2015. The Fund underperformed the Bloomberg Commodity Index (the “Index”), which returned -24.66% during the same period.

MARKET OVERVIEW

Several factors help to explain the weakness in commodities during the year, including slowing economic growth in China, the emerging markets and certain developed markets, supply/demand at the commodity level, inventories, weather, lack of inflation and relative monetary policy. Much of the pressure on commodity prices since the middle of 2014 has stemmed from the strength of the U.S. dollar. Furthermore, economic growth in both the developed and emerging markets remained soft during 2015, which negatively impacted overall demand. The flare-up in the Greek debt crisis sent investors into risk-off mode and put added pressure on commodities in the second quarter of the year, as did gyrations in the

Chinese equity markets and the surprise devaluation of the Yuan in the third quarter. Market volatility spiked again and risk assets sold off in December as the Federal Reserve (the “Fed”) prepared to hike rates for the first time in nine years. Against this backdrop, the dollar continued to strengthen, which put added pressure on commodity prices during the fourth quarter.

FUND REVIEW

The Fund underperformed the Index during the reporting period, driven by overweight positions in Nickel, Platinum and Silver.

In terms of Nickel, macroeconomic concerns stemming from the economic slowdown in

COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN:

LOGO

3 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

China, gyrations in the Chinese equity markets and a surprise devaluation of the Yuan found their way into China-sensitive metals. In our view, however, the fundamental picture for Nickel did not change. If anything, it improved with solid Chinese import figures, and we continue to see fundamental value in the metal at these prices.

We express length in the Precious Metals sector through a pair trade that is overweight Platinum and underweight Gold. The Fund also has an overweight position in Silver. The Platinum part of the pair trade hurt performance in the period. The combination of the Fed’s quarter point rate hike and a strengthening dollar hurt the Platinum price. We continue to see value at these levels as domestic economic data continues to impress as do car sales globally. The Fund’s overweight position in Silver detracted from performance as the metal experienced declines.

Top performing areas for the Fund during the reporting period included its positions in Reformulated Gasoline Blendstock for Oxygen Blending (RBOB gasoline), Copper and Palladium.

We held RBOB gasoline as a relative value proposition against short oil, as we felt that early in the year it would appreciate relative

to oil due to increased Chinese and Indian demand. We believed that price elasticity of gasoline demand was higher than the market was pricing. Late in the year, U.S. inventory started to grow, showing a slight decrease in global exports (companies in the U.S. can and do export refined gasoline, but are not allowed to export oil). When we saw this increase in what was being stored we went slightly underweight and were also able to capitalize on the reversal of trend. We remain of the view that global gasoline demand will remain strong and feel it will be the best performer in the energy complex. We currently hold an overweight position relative to the Index.

Copper was used as a downside hedge against our position in the Industrial Metals sector, primarily in Nickel. Our position in Copper benefited from a sector wide selloff bringing prices not seen since 2009. Constant pressure on all markets, not just commodities, was due to data coming from China showing evidence of a slowing economy. Since China is the largest commodity consumer, investors with long positions ran for the exits. The hedge has now been lifted.

Palladium is an out-of-benchmark position. In our view, growing industrial demand combined with tighter supply/demand fundamentals should benefit Palladium

4 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

relative to both Gold and Silver. Near the end of August the price experienced a decisive break to $520 which we used to add to our overweight and to upside optionality. The price recovered to $600 within three days and would stay in a tight range until September 18 when the U.S. Environmental Protection Agency (“EPA”) issued a notice of violation of the Clean Air Act against Volkswagen. The EPA found that Volkswagen had fitted 11 million diesel powered vehicles worldwide with devices that provided false emissions testing results. After hitting Platinum as a proxy for diesel cars, the market digested this news as supportive to gasoline powered vehicles, which use Palladium heavy catalytic converters. This news, while presumptive, was enough to clean up shorts and drive the price up.

STRATEGY & OUTLOOK

Commodity prices fell in the first quarter, rebounded in the second quarter and then fell sharply in the third and fourth quarters. While there are reasons to remain mindful of risks, 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 continues to grow (albeit slowly) and we are in the eighth consecutive year of an economic expansion with no signs of a U.S. recession on the horizon. The Eurozone continues to grow steadily as well, and the European Central Bank (the “ECB”) has launched a massive

quantitative easing program designed to increase both growth and inflation. The ECB recently extended that program for an additional six months through at least March 2017. At the same time, Japan is engaged in a bold money printing experiment and China has initiated several new rounds of stimulus, including five interest rate cuts and four reserve ratio requirement cuts last year. In 2015, more than 35 central banks around the world collectively cut interest rates more than 55 times in an effort to accelerate growth. Both monetary and fiscal policies around the world remain extremely accommodative, and certain commodity markets look fairly well balanced. This means that supply side fundamentals and commodity specific relative value opportunities should continue to evolve.

We see value in certain commodities on a fundamental basis. For example, we believe the market is not properly discounting the geopolitical and other risks to global crude production. To take advantage of this, we are overweight WTI crude oil and Unleaded Gasoline, and we are overweight the Energy sector overall. In Industrial Metals, we are overweight Nickel, Aluminum and Zinc because we believe fundamentals should improve and pricing has overcorrected to the downside. Finally, we are overweight Precious Metals with the bulk of our position in Platinum and Palladium, two out-of-

5 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

benchmark positions. (We are underweight Gold.) In our view, growing industrial demand for Platinum (primarily from the auto industry) combined with potential labor issues in South Africa should drive the price of these metals higher over time.

LOGO

George Zivic

Portfolio Manager

LOGO

Christopher Proctor, CFA

Portfolio Manager

6 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

Top Holdings and Allocations

SECTOR ALLOCATION OF COMMODITY-LINKED INVESTMENTS


Energy			36.6%
Agriculture			32.4
Industrial Metals			21.9
Precious Metals			21.3
Livestock			5.2

Portfolio holdings and allocations are subject to change. Percentages are as of December 31, 2015, 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 may differ (at times, significantly) from the sector weightings of the Bloomberg Commodity Index. The Fund is not an index fund.

PORTFOLIO ALLOCATION


Short-Term Notes			28.6%
Non-Convertible Corporate Bonds and Notes			27.3
Investment Company Oppenheimer Institutional Money Market Fund			17.7
U.S. Government Obligations			16.0
Structured Securities			9.6
Exchange-Traded Options Purchased			0.7
Mortgage-Backed Obligation Non-Agency			0.1

Portfolio holdings and allocations are subject to change. Percentages are as of December 31, 2015, and are based on the total market value of investments.

7 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

Share Class Performance

AVERAGE ANNUAL TOTAL RETURNS WITHOUT SALES CHARGE AS OF 12/31/15


	Inception Date		1-Year		5-Year		10-Year
Class A (QRAAX)		3/31/97		-27.71%		-13.46%	-11.40%
Class B (QRABX)		3/31/97		-28.13		-14.10	-11.82
Class C (QRACX)		3/31/97		-28.05		-14.03	-12.05
Class I (QRAIX)		4/27/12		-27.23		-17.63*	N/A
Class R (QRANX)		3/1/01		-27.88		-13.65	-11.64
Class Y (QRAYX)		3/31/97		-27.35		-13.14	-11.01
AVERAGE ANNUAL TOTAL RETURNS WITH SALES CHARGE AS OF 12/31/15
	Inception Date		1-Year		5-Year		10-Year
Class A (QRAAX)		3/31/97		-31.86%		-14.48%	-11.92%
Class B (QRABX)		3/31/97		-31.72		-14.43	-11.82
Class C (QRACX)		3/31/97		-28.77		-14.03	-12.05
Class I (QRAIX)		4/27/12		-27.23		-17.63*	N/A
Class R (QRANX)		3/1/01		-27.88		-13.65	-11.64
Class Y (QRAYX)		3/31/97		-27.35		-13.14	-11.01

*	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 of 5% (1-year) and 2% (5-year); and for Class C shares, the contingent deferred sales charge (“CDSC”) of 1% for the 1-year period. Prior to 7/1/14, Class R shares were named Class N shares. Beginning 7/1/14, 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 7/1/14). 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.

The Fund’s performance is compared to the performance of the Bloomberg Commodity Index. The Bloomberg Commodity Index Total Return is a broadly diversified index that is composed of futures contracts on 22 physical commodities traded on U.S. futures exchanges, with the exception of aluminum, nickel, and zinc, which 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

8 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

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.

9 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 and/or 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 December 31, 2015.

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 6 Months Ended December 31, 2015” 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 Fund’s 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.

10 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND


Actual	Beginning Account Value July 1, 2015		Ending Account Value December 31, 2015		Expenses Paid During 6 Months Ended December 31, 2015
Class A	$	1,000.00	$	762.60	$	6.56
Class B		1,000.00		759.40		10.09
Class C		1,000.00		760.80		9.96
Class I		1,000.00		763.40		4.50
Class R		1,000.00		761.70		7.68
Class Y		1,000.00		762.30		5.39

Hypothetical (5% return before expenses)
Class A		1,000.00		1,017.80		7.50
Class B		1,000.00		1,013.81		11.54
Class C		1,000.00		1,013.96		11.38
Class I		1,000.00		1,020.11		5.16
Class R		1,000.00		1,016.53		8.78
Class Y		1,000.00		1,019.11		6.18

Expenses are equal to the Fund’s annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Those annualized expense ratios, excluding indirect expenses from affiliated funds, based on the 6-month period ended December 31, 2015 are as follows:


Class		Expense Ratios
Class A		1.47%
Class B		2.26
Class C		2.23
Class I		1.01
Class R		1.72
Class Y		1.21

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 financial statements, included in this report, also show the gross expense ratios, without such waivers or reimbursements and reduction to custodian expenses, if applicable.

11 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND


CONSOLIDATED STATEMENT OF INVESTMENTS _{December 31, 2015}


	Principal Amount		Value

Mortgage-Backed Obligation—0.1%
NC Finance Trust, Series 1999-I, Cl. D, 8.75%, 1/25/29^1,2,3(Cost $481,671)		$ 645,555		$ 161,389


U.S. Government Obligations—15.3%
United States Treasury Bills, 0.158%, 1/28/16^2,4,12		3,000,000		2,999,646
United States Treasury Nts.:
0.25%, 4/15/16^2,4		3,000,000		2,999,697
0.375%, 3/15/16^2,5		6,000,000		6,002,352
0.375%, 2/15/16^2,4,5		3,500,000		3,500,448
0.375%, 1/15/16²		2,000,000		2,000,136
0.625%, 7/15/16^2,5		4,000,000		4,000,800
1.50%, 6/30/16^2,5		1,000,000		1,004,853
1.75%, 5/31/16^2,5		400,000		402,182
2.00%, 1/31/16-4/30/16^2,5		3,450,000		3,464,550
2.125%, 2/29/16^2,4,5		2,400,000		2,407,584
2.625%, 4/30/16^2,4,5		2,700,000		2,720,123
3.00%, 8/31/16^2,5		3,000,000		3,046,068
3.25%, 5/31/16^2,4,5		2,000,000		2,023,268
4.50%, 2/15/16^2,5		1,600,000		1,607,560
5.125%, 5/15/16^2,5		1,500,000		1,526,532
Total U.S. Government Obligations (Cost $39,695,224)				39,705,799



Corporate Bonds and Notes—26.2%
Consumer Discretionary—3.9%
Automobiles—0.8%
Daimler Finance North America LLC:
1.45% Sr. Unsec. Nts., 8/1/16⁶		1,000,000		1,001,483
2.95% Sr. Unsec. Nts., 1/11/17⁶		1,000,000		1,012,133
				2,013,616

Household Durables—0.8%
Whirlpool Corp.:
6.50% Sr. Unsec. Nts., 6/15/16		1,100,000		1,123,751
7.75% Sr. Unsec. Nts., 7/15/16		1,000,000		1,031,219
				2,154,970

Media—2.3%
CBS Corp., 7.625% Sr. Unsec. Nts., 1/15/16		2,375,000		2,378,672
Omnicom Group, Inc., 5.90% Sr. Unsec. Nts., 4/15/16		3,578,000		3,623,974
				6,002,646

Energy—1.4%
Oil, Gas & Consumable Fuels—1.4%
Marathon Petroleum Corp., 3.50% Sr. Unsec. Nts., 3/1/16		3,000,000		3,008,583
TransCanada PipeLines Ltd., 7.69% Sr. Unsec. Nts., 6/30/16		500,000		514,390
				3,522,973

12 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND


	Principal Amount		Value
Financials—11.7%
Capital Markets—1.9%
Goldman Sachs Group, Inc. (The), 3.625% Sr. Unsec. Nts., 2/7/16	$	1,500,000	$	1,503,832
Morgan Stanley:
1.75% Sr. Unsec. Nts., 2/25/16		2,000,000		2,002,374
5.45% Sr. Unsec. Nts., 1/9/17		1,500,000		1,557,410
				5,063,616

Commercial Banks—8.6%
Bank of America Corp.:
5.625% Sr. Unsec. Nts., 10/14/16		1,500,000		1,547,745
6.50% Sr. Unsec. Nts., 8/1/16		1,000,000		1,029,288
BNP Paribas SA, 1.25% Sr. Unsec. Nts., 12/12/16		1,500,000		1,498,059
Citigroup, Inc., 5.85% Sr. Unsec. Nts., 8/2/16		1,500,000		1,538,997
Danske Bank, 3.875% Sr. Unsec. Nts., 4/14/16⁶		3,581,000		3,610,558
Fifth Third Bancorp, 3.625% Sr. Unsec. Nts., 1/25/16		3,000,000		3,005,340
ING Bank NV, 1.375% Sr. Unsec. Nts., 3/7/16⁶		3,050,000		3,052,833
JPMorgan Chase & Co., 3.15% Sr. Unsec. Nts., 7/5/16		2,000,000		2,020,784
PNC Funding Corp., 2.70% Sr. Unsec. Nts., 9/19/16		1,500,000		1,514,835
SunTrust Banks, Inc., 3.60% Sr. Unsec. Nts., 4/15/16		3,300,000		3,317,087
				22,135,526

Consumer Finance—1.2%
Capital One Financial Corp., 3.15% Sr. Unsec. Nts., 7/15/16		3,000,000		3,028,170

Industrials—2.7%
Commercial Services & Supplies—1.2%
Cintas Corp. No. 2, 2.85% Sr. Unsec. Nts., 6/1/16		3,075,000		3,087,370

Road & Rail—1.5%
Norfolk Southern Corp., 5.75% Sr. Unsec. Nts., 1/15/16		1,436,000		1,437,745
Ryder System, Inc.:
3.60% Sr. Unsec. Nts., 3/1/16		1,000,000		1,003,953
5.85% Sr. Unsec. Nts., 11/1/16		1,500,000		1,555,233
				3,996,931

Information Technology—1.5%
IT Services—1.5%
Western Union Co., 5.93% Sr. Unsec. Nts., 10/1/16		3,700,000		3,818,145

Materials—2.1%
Chemicals—2.1%
Airgas, Inc., 2.95% Sr. Unsec. Nts., 6/15/16		3,000,000		3,017,244
Ecolab, Inc., 3% Sr. Unsec. Nts., 12/8/16		2,500,000		2,536,528
				5,553,772

Telecommunication Services—0.9%
Diversified Telecommunication Services—0.9%
Verizon Communications, Inc., 2.042% Sr. Unsec. Nts., 9/15/16⁷		2,200,000		2,213,849

13 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND



CONSOLIDATED STATEMENT OF INVESTMENTS Continued


	Principal Amount		Value
Utilities—2.0%
Electric Utilities—0.8%
Xcel Energy, Inc., 0.75% Sr. Unsec. Nts., 5/9/16	$	2,000,000	$	1,998,372

Multi-Utilities—1.2%
Sempra Energy, 6.50% Sr. Unsec. Nts., 6/1/16		3,005,000		3,059,868
Total Corporate Bonds and Notes (Cost $67,722,432)				67,649,824


Structured Securities—9.2%
Canadian Imperial Bank of Commerce, Custom 8 Enhanced Roll
Commodity Index Linked Nts., 0.167%, 12/22/16⁶		10,330,000		9,189,423
Canadian Imperial Bank of Commerce, Custom 9 Enhanced Roll
Commodity Index Linked Nts., 0.322%, 1/25/17⁶		13,930,000		14,673,238
Total Structured Securities (Cost $24,260,000)				23,862,661

Short-Term Notes—27.4%
Beverages—1.5%
Bacardi Corp., 0.52%, 1/6/16⁸		3,900,000		3,899,718

Chemicals—1.9%
Ecolab, Inc., 0.511%, 1/4/16		1,300,000		1,299,945
PPG Industries, Inc., 0.59%, 1/7/16		3,800,000		3,799,626
				5,099,571

Computers & Peripherals—1.4%
HP, Inc., 0.621%, 1/11/16		3,700,000		3,699,363

Containers & Packaging—1.5%
Amcor Ltd., 0.591%, 1/25/16		3,800,000		3,798,505

Electric Utilities—3.0%
Duke Energy Corp., 0.63%, 1/11/16⁸		3,900,000		3,899,317
Eversource Energy, 0.50%, 1/4/16⁸		3,800,000		3,799,842
				7,699,159

Food Products—1.4%
Kroger Co., 0.51%, 1/15/16⁸		3,600,000		3,599,286

Leasing & Factoring—5.7%
Harley-Davidson Funding, 0.47%, 1/8/16⁸		3,900,000		3,899,644
Hitachi Capital America, 1.261%, 1/25/16		3,400,000		3,397,144
Hyundai Capital America:
0.541%, 1/25/16⁸		1,100,000		1,099,604
0.551%, 1/12/16⁸		2,500,000		2,499,580
Nissan Motor Acceptance Corp., 0.51%, 1/25/16⁸		3,800,000		3,798,708
				14,694,680

Multi-Utilities—1.5%
Virginia Electric & Power Co., 0.501%, 1/11/16⁸		3,900,000		3,899,458

14 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND


	Principal Amount		Value
Municipal—0.4%
Albany Industrial Development Agency Revenue Bonds, Albany
Medical Center, 0.64%, 5/1/27⁷	$	1,030,000	$	1,030,000


Software—1.5%
Thomson Reuters Corp.:
0.63%, 1/12/16		1,800,000		1,799,654
0.822%, 1/4/16		2,000,000		1,999,863
				3,799,517

Telephone Utilities—4.3%
Bell Canada, 0.561%, 1/15/16⁸		3,700,000		3,699,194
Deutsche Telekom AG, 0.481%, 1/13/16		3,900,000		3,899,376
TELUS Corp., 0.601%, 2/16/16⁶		3,600,000		3,597,240
				11,195,810

Transportation Infrastructure—1.9%
ERAC USA Finance LLC, 0.581%, 1/19/16⁸		3,600,000		3,598,956
Ryder System. Inc., 0.55%, 1/5/16		1,300,000		1,299,921
				4,898,877

Water Utilities—1.4%
American Water Capital Corp., 0.49%, 1/19/16⁸		3,600,000		3,599,118
Total Short-Term Notes (Cost $70,913,062)				70,913,062


		Exercise Price		Expiration Date			Contracts
Exchange-Traded Options Purchased—0.7%
Corn Futures, 3/16 Call^2,9	USD		380.000		2/19/16	USD		100	20,000
Crude Oil Futures, 12/16 Call^2,9	USD		55.000		11/16/16	USD		200	440,000
Crude Oil Futures, 12/16 Cal^2,9	USD		58.000		11/16/16	USD		100	172,000
Crude Oil Futures, 6/16 Call^2,9	USD		54.000		5/17/16	USD		400	300,000
Gold (100 oz.) Futures, 4/16 Call^2,9	USD		1,120.000		3/28/16	USD		100	103,000
Gold (100 oz.) Futures, 6/16 Call^2,9	USD		1,150.000		5/25/16	USD		50	63,500
Natural Gas Futures, 2/16 Call^2,9	USD		2.800		1/26/16	USD		500	142,500
Natural Gas Futures, 3/16 Call^2,9	USD		2.650		2/24/16	USD		100	93,600
Nickel Futures, 3/16 Call^2,9	USD		12,500.000		3/2/16	USD		100	2,781
Palladium Futures, 3/16 Call^2,9	USD		720.000		2/17/16	USD		200	8,600
Palladium Futures, 6/16 Call^2,9	USD		640.000		5/18/16	USD		90	148,950
Platinum Futures, 4/16 Call^2,9	USD		1,050.000		3/16/16	USD		200	37,000
Silver Futures, 3/16 Call^2,9	USD		16.500		2/24/16	USD		50	5,250
Soybean Futures, 3/16 Call^2,9	USD		920.000		2/19/16	USD		50	12,187
SPGCINP Index Call^2,9	USD		188.192		7/25/16	USD		10,627	5,685
Wheat Futures, 3/16 Call^2,9	USD		540.000		2/19/16	USD		100	12,500
Wheat Futures, 3/16 Put^2,9	USD		440.000		2/19/16	USD		100	19,375
Zinc Futures, 3/16 Call^2,9	USD		1,725.000		3/2/16	USD		185	169,058
Zinc Futures, 3/16 Call^2,9	USD		2,000.000		3/2/16	USD		250	25,500
Total Exchange-Traded Options Purchased (Cost $4,528,097)									1,781,486

15 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND



CONSOLIDATED STATEMENT OF INVESTMENTS Continued


	Shares		Value
Investment Company—16.9%
Oppenheimer Institutional Money Market Fund, Cl. E, 0.30%^2,10,11
(Cost $43,821,966)		43,821,966		$ 43,821,966

Total Investments, at Value (Cost $251,422,452)		95.8%		247,896,187
Net Other Assets (Liabilities)		4.2		10,755,148
Net Assets		100.0%	$	258,651,335

Footnotes to Consolidated Statement of Investments

1. Restricted security. The aggregate value of restricted securities at period end was $161,389, which represents 0.06% of the Fund’s net assets. See Note 4 of the accompanying Consolidated Notes. Information concerning restricted securities is as follows:


Security	Acquisition Dates		Cost		Value		Unrealized Depreciation
NC Finance Trust, Series 1999-I,
Cl. D, 8.75%, 1/25/29		8/10/10	$	481,671	$	161,389	$	320,282

2. All or a portion of the security is owned by the subsidiary. See Note 2 of the accompanying Consolidated Notes.

3. 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 contractual interest rate. See Note 4 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 $8,560,493. See Note 6 of the accompanying Consolidated Notes.

5. 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 $10,615,343. See Note 6 of the accompanying Consolidated Notes.

6. 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 $36,136,908 or 13.97% of the Fund’s net assets at period end.

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

8. Security issued in an exempt transaction without registration under the Securities Act of 1933. Such securities amount to $41,292,425 or 15.96% of the Fund’s net assets, and have been determined to be liquid pursuant to guidelines adopted by the Board of Trustees.

9. Non-income producing security.

10. Rate shown is the 7-day yield at period end.

11. Is or was an affiliate, as defined in the Investment Company Act of 1940, as amended, at or during the reporting period, 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 reporting period in which the issuer was an affiliate are as follows:


	Shares December 31, 2014		Gross Additions		Gross Reductions		Shares December 31, 2015
Oppenheimer Institutional Money
Market Fund, Cl. E		65,847,635		862,281,732		884,307,401		43,821,966

					Value		Income
Oppenheimer Institutional Money Market Fund, Cl. E						43,821,966		97,191

12. Zero coupon bond reflects effective yield on the date of purchase.

16 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND



Futures Contracts as of December 31, 2015*
Description	Exchange		Buy/Sell		Expiration Date		Number of Contracts		Value		Unrealized Appreciation (Depreciation)

Aluminum		LME		Buy		3/15/16		85	$	3,203,969	$	42,759
Brent Crude Oil		ICE		Buy		1/14/16		30		1,118,400		(34,552)
Cocoa		NYB		Sell		3/15/16		20		642,200		33,092
Coffee “C”		NYB		Buy		3/18/16		17		807,713		47,913
Copper		CMX		Buy		3/29/16		90		4,803,750		175,112
Copper		LME		Sell		6/13/16		15		1,763,250		(30,798)
Corn		CBT		Sell		3/14/16		30		538,125		21,022
Cotton No. 2		NYB		Buy		3/8/16		3		94,920		1,650
Gas Oil		NYM		Buy		1/29/16		75		4,003,650		(48,931)
Gold (100 oz.)		CMX		Sell		2/25/16		41		4,346,820		47,428
Live Cattle		CME		Buy		2/29/16		6		328,320		1,002
Natural Gas		NYM		Buy		2/25/16		20		472,600		(57,047)
Natural Gas		NYM		Buy		1/27/16		159		3,715,830		(169,945)
New York Harbor ULSD		NYM		Buy		1/29/16		10		472,038		(368)
Nickel		LME		Buy		3/14/16		176		9,307,584		75,469
Palladium		NYM		Buy		3/29/16		17		955,400		(64,775)
Platinum		NYM		Buy		4/27/16		275		12,281,500		171,112
Silver		CMX		Buy		3/29/16		103		7,108,545		(158,410)
Soybean		CBT		Sell		3/14/16		8		147,600		1,315
Soybean		CBT		Sell		3/14/16		4		106,200		4,709
Soybean		CBT		Sell		3/14/16		10		432,125		2,088
Sugar #11 World		NYB		Buy		4/29/16		50		835,520		188,575
Sugar #11 World		NYB		Sell		6/30/16		25		409,920		(48,233)
Sugar #11 World		NYB		Buy		2/29/16		98		1,672,742		128,526
Wheat		CBT		Sell		3/14/16		9		211,500		3,173
Wheat		KC		Sell		5/13/16		50		1,196,875		(1,011)
Wheat		CBT		Buy		5/13/16		50		1,191,250		(19,985)
WTI Crude Oil		NYM		Buy		1/20/16		200		7,408,000		261,128
Zinc		LME		Buy		1/18/16		6		240,000		(36,019)

											$	535,999

*All or a portion of these securities are owned by the subsidiary. See Note 2 of the accompanying Consolidated Notes.



Exchange-Traded Options Written at December 31, 2015*
Description		Exercise Price		Expiration Date			Number of Contracts			Premiums Received		Value
Copper Futures, 3/16 Call	USD		5400.000		3/2/16	USD		(65	)		$ 126,705	$	(20,988)
Copper Futures, 3/16 Call	USD		5450.000		3/2/16	USD		(40	)		235,872		(10,234)
Crude Oil Futures, 12/16 Call	USD		65.000		11/16/16	USD		(400	)		441,596		(384,000)
Crude Oil Futures, 6/16 Call	USD		60.000		5/17/16	USD		(375	)		383,684		(138,750)
Gold (100 oz.) Futures 4/16 Call	USD		1160.000		3/28/16	USD		(150	)		89,631		(72,000)
Gold (100 oz.) Futures, 4/16 Put	USD		980.000		3/28/16	USD		(50	)		60,877		(37,500)
Gold (100 oz.) Futures, 6/16 Call	USD		1150.000		5/25/16	USD		(50	)		82,377		(63,500)
Natural Gas Futures, 2/16 Call	USD		3.200		1/26/16	USD		(600	)		423,894		(54,000)
Platinum/Gold Spread Put	USD		250.000		2/29/16	USD		(1,000	)		15,600		(4,247)
Primary Aluminum Futures, 3/16 Call	USD		1700.000		3/2/16	USD		(100	)		87,180		(17,007)
Wheat Futures, 3/16 Call	USD		640.000		2/19/16	USD		(150	)		20,537		(2,813)

17 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND



CONSOLIDATED STATEMENT OF INVESTMENTS Continued



Exchange-Traded Options Written (Continued)*
Description		Exercise Price		Expiration Date			Number of Contracts			Premiums Received		Value

Zinc Futures, 3/16 Call	USD		1925.000		3/2/16	USD		(185	)	$	65,314	$	(37,213)

Zinc Futures, 3/16 Put	USD		1350.000		3/2/16	USD		(185	)		81,502		(33,411)

Total of Exchange-Traded Options Written										$	2,114,769	$	(875,663)

*All or a portion of these securities are owned by the subsidiary. See Note 2 of the accompanying Consolidated Notes.

Over-the-Counter Total Return Swaps at December 31, 2015*

Reference Asset

Counterparty

Pay/Receive
Total
Return**

Floating Rate

Maturity
Date

Notional Amount
(000’s)

Value

BCOM Index

CITNA-B

Receive

Official
settlement price

of BCOM Index

1/25/16

USD

(44,250

)

1,127,553

BCOM Index

GSG

Receive

Official

settlement price

of BCOM Index

1/25/16

USD

(34,250

)

872,223

BCOM Index

MAC

Receive

Official

settlement price

of BCOM Index

1/25/16

USD

(36,250

)

923,155

BCOMEN Index

MER

Receive

Official

settlement price

of BCOMEN

Index

1/25/16

USD

(15,250

)

854,359

BCOMGR Index

MER

Receive

Official

settlement price

of BCOMGR

Index

1/25/16

USD

(15,750

)

(474,920)

BCOMIN Index

MER

Receive

Official

settlement price

of BCOMIN

Index

1/25/16

USD

(9,000

)

355,325

BCOMLI Index

MER

Receive

Official

settlement price
of BCOMLI
Index

1/25/16

USD

(3,000

)

301,886

BCOMSO Index

MER

Receive

Official

settlement price

of BCOMSO

Index

1/25/16

USD

(5,000

)

183,816

CIBZGSPP Index

CIBC

Receive

Official

settlement price

of CIBZGSPP

Index

1/25/16

USD

(6,250

)

186,314

Total of Over-the-Counter Total Return Swaps

4,329,711

*All or a portion of these securities are owned by the subsidiary. See Note 2 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.

18 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND


Glossary:
Counterparty Abbreviations
CIBC		Canadian Imperial Bank of Commerce
CITNA-B		Citibank NA
GSG		Goldman Sachs Group, Inc. (The)
MAC		Macquarie Bank Ltd.
MER		Merrill Lynch

Definitions
BCOM		Bloomberg Commodity Index
BCOMEN		Bloomberg Energy Subindex
BCOMGR		Bloomberg Energy Subindex
BCOMIN		Bloomberg Industrial Metals Subindex
BCOMLI		Bloomberg Livestock Subindex
BCOMSO		Bloomberg Softs Subindex
CIBZGSPP		CIBC Custom 16 Commodity Index

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

See accompanying Notes to Consolidated Financial Statements.

19 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

CONSOLIDATED

STATEMENT OF ASSETS AND LIABILITIES December 31, 2015


Assets
Investments, at value—see accompanying statement of investments:
Unaffiliated companies (cost $207,600,486)	$	204,074,221
Affiliated companies (cost $43,821,966)		43,821,966

		247,896,187

Cash		5,740,895

Swaps, at value		4,804,631

Receivables and other assets:
Shares of beneficial interest sold		1,280,065
Interest and dividends		950,567
Variation margin receivable		891,305
Other		62,233

Total assets		261,625,883
Liabilities
Options written, at value (premiums received $2,114,769)		875,663

Swaps, at value		474,920

Payables and other liabilities:
Shares of beneficial interest redeemed		1,249,649
Variation margin payable		123,053
Investments purchased		83,427
Trustees’ compensation		37,444
Distribution and service plan fees		20,658
Shareholder communications		10,378
Other		99,356

Total liabilities		2,974,548
Net Assets	$	258,651,335


Composition of Net Assets
Par value of shares of beneficial interest	$	153,229

Additional paid-in capital		1,232,631,060

Accumulated net investment loss		(306,956,363)

Accumulated net realized loss on investments		(669,755,141)

Net unrealized appreciation on investments		2,578,550

Net Assets	$	258,651,335

20 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND


Net Asset Value Per Share
Class A Shares:
Net asset value and redemption price per share (based on net assets of $69,535,694 and 41,518,920 shares of beneficial interest outstanding)	$	1.67
Maximum offering price per share (net asset value plus sales charge of 5.75% of offering price)	$	1.77

Class B Shares:
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $1,574,986 and 976,407 shares of beneficial interest outstanding)	$	1.61

Class C Shares:
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $20,143,440 and 12,684,901 shares of beneficial interest outstanding)	$	1.59

Class I Shares:
Net asset value, redemption price and offering price per share (based on net assets of $121,076,549 and 70,706,645 shares of beneficial interest outstanding)	$	1.71

Class R Shares:
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $5,933,814 and 3,634,085 shares of beneficial interest outstanding)	$	1.63

Class Y Shares:
Net asset value, redemption price and offering price per share (based on net assets of $40,386,852 and 23,707,767 shares of beneficial interest outstanding)	$	1.70

See accompanying Notes to Consolidated Financial Statements.

21 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

CONSOLIDATED

STATEMENT OF OPERATIONS For the Year Ended December 31, 2015


Investment Income
Interest	$	1,226,391

Dividends affiliated companies		97,191

Total investment income		1,323,582
Expenses
Management fees		3,614,673

Distribution and service plan fees:
Class A		218,828
Class B		26,687
Class C		254,517
Class R		35,158

Transfer and shareholder servicing agent fees:
Class A		197,859
Class B		5,881
Class C		56,136
Class I		39,738
Class R		15,538
Class Y		105,404

Shareholder communications:
Class A		17,473
Class B		1,328
Class C		5,235
Class I		21
Class R		921
Class Y		2,025

Custodian fees and expenses		30,877

Trustees’ compensation		28,569

Borrowing fees		2,218

Other		102,671

Total expenses		4,761,757
Less reduction to custodian expenses		(443)
Less waivers and reimbursements of expenses		(768,238)

Net expenses		3,993,076

Net Investment Loss		(2,669,494)

22 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND


Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments from unaffiliated companies	$	(56,138,481)
Closing and expiration of option contracts written		1,676,214
Closing and expiration of futures contracts		(11,371,337)
Swap contracts		(53,239,899)

Net realized loss		(119,073,503)

Net change in unrealized appreciation/depreciation on:
Investments		11,354,861
Futures contracts		3,626,142
Option contracts written		1,337,675
Swap contracts		10,359,537

Net change in unrealized appreciation/depreciation		26,678,215

Net Decrease in Net Assets Resulting from Operations	$	(95,064,782)

See accompanying Notes to Consolidated Financial Statements.

23 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS


	Year Ended December 31, 2015		Year Ended December 31, 2014
Operations
Net investment loss	$	(2,669,494)	$	(4,619,391)

Net realized loss		(119,073,503)		(81,490,690)

Net change in unrealized appreciation/depreciation		26,678,215		(6,642,690)

Net decrease in net assets resulting from operations		(95,064,782)		(92,752,771)
Beneficial Interest Transactions
Net increase (decrease) in net assets resulting from beneficial interest transactions:
Class A		(8,048,277)		(27,268,471)
Class B		(1,571,473)		(2,610,118)
Class C		(1,885,607)		(5,218,604)
Class I		29,677,937		60,812,589
Class R¹		(21,364)		(1,050,094)
Class Y		11,206,818		(16,457,594)

		29,358,034		8,207,708
Net Assets
Total decrease		(65,706,748)		(84,545,063)

Beginning of period		324,358,083		408,903,146

End of period (including accumulated net investment loss of $306,956,363 and $306,425,756, respectively)	$	258,651,335	$	324,358,083

1. Effective July 1, 2014, Class N shares were renamed Class R. See Note 1 of the accompanying Consolidated Notes.

See accompanying Notes to Consolidated Financial Statements.

24 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

CONSOLIDATED FINANCIAL HIGHLIGHTS


Class A	Year Ended December 31, 2015		Year Ended December 31, 2014		Year Ended December 31, 2013		Year Ended December 31, 2012		Year Ended December 30, 2011¹
Per Share Operating Data
Net asset value, beginning of period	$	2.31	$	2.98	$	3.28	$	3.34	$	3.66

Income (loss) from investment operations:
Net investment loss²		(0.02)		(0.04)		(0.04)		(0.04)		(0.04)
Net realized and unrealized loss		(0.62)		(0.63)		(0.26)		(0.02)		(0.07)

Total from investment operations		(0.64)		(0.67)		(0.30)		(0.06)		(0.11)

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

Net asset value, end of period	$	1.67	$	2.31	$	2.98	$	3.28	$	3.34

Total Return, at Net Asset Value³		(27.71)%		(22.48)%		(9.15)%		(1.80)%		(2.93)%


Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	69,536	$	105,124	$	163,932	$	228,224	$	326,818

Average net assets (in thousands)	$	89,808	$	156,040	$	190,441	$	284,670	$	424,280

Ratios to average net assets:⁴
Net investment loss		(1.04)%		(1.22)%		(1.20)%		(1.18)%		(1.15)%
Expenses excluding interest and fees from borrowings		1.72%		1.68%		1.77%		1.90%		1.72%
Interest and fees from borrowings		0.00%⁵		0.00%		0.00%		0.00%		0.00%

Total expenses⁶		1.72%		1.68%		1.77%		1.90%		1.72%
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses		1.47%		1.42%		1.44%		1.49%		1.41%

Portfolio turnover rate		138%		122%		80%		44%		21%

1. December 30, 2011 represents the last business day of the Fund’s reporting period. See Note 2 of the accompanying Consolidated Notes.

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. Less than 0.005%.

6. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:


Year Ended December 31, 2015		1.96%
Year Ended December 31, 2014		1.72%
Year Ended December 31, 2013		1.82%
Year Ended December 31, 2012		1.95%
Year Ended December 30, 2011		1.77%

See accompanying Notes to Consolidated Financial Statements.

25 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND


CONSOLIDATED FINANCIAL HIGHLIGHTS Continued


Class B	Year Ended December 31, 2015		Year Ended December 31, 2014		Year Ended December 31, 2013		Year Ended December 31, 2012		Year Ended December 30, 2011¹
Per Share Operating Data
Net asset value, beginning of period	$	2.24	$	2.91	$	3.23	$	3.32	$	3.63

Income (loss) from investment operations:
Net investment loss²		(0.04)		(0.06)		(0.06)		(0.07)		(0.07)
Net realized and unrealized loss		(0.59)		(0.61)		(0.26)		(0.02)		(0.06)

Total from investment operations		(0.63)		(0.67)		(0.32)		(0.09)		(0.13)

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

Net asset value, end of period	$	1.61	$	2.24	$	2.91	$	3.23	$	3.32

Total Return, at Net Asset Value³		(28.13)%		(23.02)%		(9.91)%		(2.71)%		(3.57)%


Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,575	$	3,943	$	7,762	$	13,291	$	17,965

Average net assets (in thousands)	$	2,663	$	6,421	$	10,188	$	15,469	$	22,207

Ratios to average net assets:⁴
Net investment loss		(1.84)%		(1.98)%		(1.98)%		(2.08)%		(1.95)%
Expenses excluding interest and fees from borrowings		2.51%		2.45%		2.64%		3.18%		2.99%
Interest and fees from borrowings		0.00%⁵		0.00%		0.00%		0.00%		0.00%

Total expenses⁶		2.51%		2.45%		2.64%		3.18%		2.99%
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses		2.26%		2.19%		2.24%		2.39%		2.23%

Portfolio turnover rate		138%		122%		80%		44%		21%

1. December 30, 2011 represents the last business day of the Fund’s reporting period. See Note 2 of the accompanying Consolidated Notes.

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

4. Annualized for periods less than one full year.

5. Less than 0.005%.

6. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:


Year Ended December 31, 2015		2.75%
Year Ended December 31, 2014		2.49%
Year Ended December 31, 2013		2.69%
Year Ended December 31, 2012		3.23%
Year Ended December 30, 2011		3.04%

See accompanying Notes to Consolidated Financial Statements.

26 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND


Class C	Year Ended December 31, 2015		Year Ended December 31, 2014		Year Ended December 31, 2013		Year Ended December 31, 2012		Year Ended December 30, 2011¹
Per Share Operating Data
Net asset value, beginning of period	$	2.21	$	2.86	$	3.18	$	3.26	$	3.58

Income (loss) from investment operations:
Net investment loss²		(0.04)		(0.06)		(0.06)		(0.07)		(0.07)
Net realized and unrealized loss		(0.58)		(0.59)		(0.26)		(0.01)		(0.06)

Total from investment operations		(0.62)		(0.65)		(0.32)		(0.08)		(0.13)

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

Net asset value, end of period	$	1.59	$	2.21	$	2.86	$	3.18	$	3 .26

Total Return, at Net Asset Value³		(28.05)%		(22.73)%		(10.06)%		(2.45)%		(3.69)%


Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	20,143	$	29,997	$	44,362	$	64,074	$	82,710

Average net assets (in thousands)	$	25,479	$	41,478	$	52,931	$	74,103	$	92,415

Ratios to average net assets:⁴
Net investment loss		(1.80)%		(1.97)%		(1.97)%		(2.00)%		(1.91)%
Expenses excluding interest and fees from borrowings		2.48%		2.44%		2.56%		2.74%		2.55%
Interest and fees from borrowings		0.00%⁵		0.00%		0.00%		0.00%		0.00%

Total expenses⁶		2.48%		2.44%		2.56%		2.74%		2.55%
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses		2.23%		2.18%		2.22%		2.31%		2.18%

Portfolio turnover rate		138%		122%		80%		44%		21%

1. December 30, 2011 represents the last business day of the Fund’s reporting period. See Note 2 of the accompanying Consolidated Notes.

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

4. Annualized for periods less than one full year.

5. Less than 0.005%.

6. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:


Year Ended December 31, 2015		2.72%
Year Ended December 31, 2014		2.48%
Year Ended December 31, 2013		2.61%
Year Ended December 31, 2012		2.79%
Year Ended December 30, 2011		2.60%

See accompanying Notes to Consolidated Financial Statements.

27 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND


CONSOLIDATED FINANCIAL HIGHLIGHTS Continued


Class I	Year Ended December 31, 2015		Year Ended December 31, 2014		Year Ended December 31, 2013		Period Ended December 31, 2012¹
Per Share Operating Data
Net asset value, beginning of period	$	2.35	$	3.01	$	3.31	$	3.49

Income (loss) from investment operations:
Net investment loss²		(0.01)		(0.02)		(0.02)		(0.01)
Net realized and unrealized loss		(0.63)		(0.64)		(0.28)		(0.17)

Total from investment operations		(0.64)		(0.66)		(0.30)		(0.18)

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

Net asset value, end of period	$	1.71	$	2.35	$	3.01	$	3.31

Total Return, at Net Asset Value³		(27.23)%		(21.93)%		(9 .06)%		(5.16)%


Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	121,076	$	133,080	$	109,031	$	7,383

Average net assets (in thousands)	$	132,437	$	141,492	$	76,647	$	275

Ratios to average net assets:⁴
Net investment loss		(0.58)%		(0.76)%		(0.75)%		(0.70)%
Expenses excluding interest and fees from borrowings		1.27%		1.24%		1.25%		1.31%
Interest and fees from borrowings		0.00%⁵		0.00%		0.00%		0.00%

Total expenses⁶		1.27%		1.24%		1.25%		1.31%
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses		1.02%		0.98%		0.96%		1.03%

Portfolio turnover rate		138%		122%		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. Less than 0.005%.

6. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:


Year Ended December 31, 2015		1.51%
Year Ended December 31, 2014		1.28%
Year Ended December 31, 2013		1.30%
Period Ended December 31, 2012		1.36%

See accompanying Notes to Consolidated Financial Statements.

28 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND


Class R	Year Ended December 31, 2015		Year Ended December 31, 2014		Year Ended December 31, 2013		Year Ended December 31, 2012		Year Ended December 30, 2011¹
Per Share Operating Data
Net asset value, beginning of period	$	2.26	$	2.92	$	3.22	$	3.29	$	3.61

Income (loss) from investment operations:
Net investment loss²		(0.03)		(0.04)		(0.04)		(0.05)		(0.05)
Net realized and unrealized loss		(0.60)		(0.62)		(0.26)		(0.02)		(0.06)

Total from investment operations		(0.63)		(0.66)		(0.30)		(0.07)		(0.11)

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

Net asset value, end of period	$	1.63	$	2.26	$	2 .92	$	3.22	$	3.29

Total Return, at Net Asset Value³		(27.88)%		(22.60)%		(9.32)%		(2.13)%		(3.08)%


Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	5,934	$	8,156	$	11,580	$	14,102	$	17,044

Average net assets (in thousands)	$	7,058	$	11,184	$	12,654	$	15,775	$	18,734

Ratios to average net assets:⁴
Net investment loss		(1.29)%		(1.47)%		(1.47)%		(1.48)%		(1.40)%
Expenses excluding interest and fees from borrowings		1.97%		1.93%		2.09%		2.38%		2.13%
Interest and fees from borrowings		0.00%⁵		0.00%		0.00%		0.00%		0.00%

Total expenses⁶		1.97%		1.93%		2.09%		2.38%		2.13%
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses		1.72%		1.67%		1.70%		1.79%		1.66%

Portfolio turnover rate		138%		122%		80%		44%		21%

1. December 30, 2011 represents the last business day of the Fund’s reporting period. See Note 2 of the accompanying Consolidated Notes.

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

4. Annualized for periods less than one full year.

5. Less than 0.005%.

6. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:


Year Ended December 31, 2015		2.21%
Year Ended December 31, 2014		1.97%
Year Ended December 31, 2013		2.14%
Year Ended December 31, 2012		2.43%
Year Ended December 30, 2011		2.18%

See accompanying Notes to Consolidated Financial Statements.

29 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND


CONSOLIDATED FINANCIAL HIGHLIGHTS Continued


Class Y	Year Ended December 31, 2015		Year Ended December 31, 2014		Year Ended December 31, 2013		Year Ended December 31, 2012		Year Ended December 30, 2011¹

Per Share Operating Data
Net asset value, beginning of period		$2.34		$3.01		$3.30		$3.35		$3.67

Income (loss) from investment operations:
Net investment loss²		(0.02)		(0.03)		(0.03)		(0.03)		(0.03)
Net realized and unrealized loss		(0.62)		(0.64)		(0.26)		(0.02)		(0.07)

Total from investment operations		(0.64)		(0.67)		(0.29)		(0.05)		(0.10)

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

Net asset value, end of period		$1.70		$2.34		$3.01		$3 .30		$3 .35



Total Return, at Net Asset Value³		(27.35)%		(22.26)%		(8.79)%		(1.49)%		(2.57)%


Ratios/Supplemental Data
Net assets, end of period (in thousands)		$40,387		$44,058		$72,236		$293,787		$740,166

Average net assets (in thousands)		$47,911		$60,364		$130,023		$470,565		$1,173,253

Ratios to average net assets:⁴
Net investment loss		(0.78)%		(0.89)%		(0.82)%		(0.81)%		(0.81)%
Expenses excluding interest and fees from borrowings		1.46%		1.35%		1.36%		1.39%		1.33%
Interest and fees from borrowings		0.00%⁵		0.00%		0.00%		0.00%		0.00%

Total expenses⁶		1.46%		1.35%		1.36%		1.39%		1.33%
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses		1.21%		1.09%		1.07%		1.11%		1.07%

Portfolio turnover rate		138%		122%		80%		44%		21%

1. December 30, 2011 represents the last business day of the Fund’s reporting period. See Note 2 of the accompanying Consolidated Notes.

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

4. Annualized for periods less than one full year.

5. Less than 0.005%.

6. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:


Year Ended December 31, 2015		1.70%
Year Ended December 31, 2014		1.39%
Year Ended December 31, 2013		1.41%
Year Ended December 31, 2012		1.44%
Year Ended December 30, 2011		1.38%

See accompanying Notes to Consolidated Financial Statements.

30 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS December 31, 2015

1. Organization

Oppenheimer Commodity Strategy Total Return Fund (the “Fund”) is a diversified open-end management investment company registered under the Investment Company Act of 1940 (“1940 Act”), 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 R 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 are allowed. As of July 1, 2014, Class N shares were renamed Class R shares. Class N shares subject to a contingent deferred sales charge (“CDSC”) on July 1, 2014, continue to be subject to a CDSC after the shares were renamed. Purchases of Class R shares occurring on or after July 1, 2014, are not subject to a CDSC upon redemption. 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 R 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 R shares are sold only through retirement plans. Retirement plans that offer Class R shares may impose charges on those accounts. 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 R 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 followed in the Fund’s preparation of financial statements in accordance with accounting principles generally accepted in the United States (“U.S. GAAP”).

2. Significant Accounting Policies

Security Valuation. All investments in securities are recorded at their estimated fair value, as described in Note 3.

Reporting Period End Date. The last day of the Fund’s reporting period is the last day the New York Stock Exchange was open for trading during the period. The Fund’s financial statements have been presented through that date to maintain consistency with the Fund’s net asset value calculations used for shareholder transactions.

31 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND


NOTES TO CONSOLIDATED FINANCIAL STATEMENTS Continued

2. Significant Accounting Policies (Continued)

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, option and swap contracts) and exchange-traded funds related to gold or other special minerals (“Gold ETFs”). The Subsidiary is subject to the same 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 period end, the Fund owned 13,309,647 shares with net assets of $58,832,876 in the Subsidiary.

Other financial information at period end:


Total market value of investments	$	54,508,892
Net assets	$	58,832,876
Net income (loss)	$	(521,543	)
Net realized gain (loss)	$	(64,717,312	)
Net change in unrealized appreciation/depreciation	$	13,239,520

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.

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. GAAP, 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.

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

32 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

2. Significant Accounting Policies (Continued)

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.

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, including any net realized gain on investments not offset by capital loss carryforwards, if any, 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 remains 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 the 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

33 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND


NOTES TO CONSOLIDATED FINANCIAL STATEMENTS Continued

2. Significant Accounting Policies (Continued)

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.

The tax components of capital shown in the following table represent distribution requirements the Fund must satisfy under the income tax regulations, losses the Fund may be able to offset against income and gains realized in future years and unrealized appreciation or depreciation of securities and other investments for federal income tax purposes.


Undistributed Net Investment Income	Undistributed Long-Term Gain		Accumulated Loss Carryforward^1,2,3,4		Net Unrealized Depreciation Based on cost of Securities and Other Investments for Federal Income Tax Purposes
$—		$—		$487,845,808		$446,278,622

1. At period end, the Fund had $487,845,808 of net capital loss carryforward available to offset future realized capital gains, if any, and thereby reduce future taxable gain distributions. Details of the capital loss carryforwards are included in the table below. Capital loss carryovers with no expiration, if any, must be utilized prior to those with expiration dates.


Expiring

2017	$	374,871,458
No expiration		112,974,350

Total	$	487,845,808

2. During the reporting period, the Fund did not utilize any capital loss carryforward.

3. During the previous reporting period, the Fund did not utilize any capital loss carryforward.

4. During the reporting period, $183,272,671 of unused capital loss carryforward expired.

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 are determined in accordance with federal income tax requirements, which may differ from the character of net investment income or net realized gains presented in those financial statements in accordance with U.S. GAAP. 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.

Accordingly, the following amounts have been reclassified for the reporting period. Net assets of the Fund were unaffected by the reclassifications.

Reduction

to Paid-in Capital

Reduction

to Accumulated

Net Investment

Loss

Reduction

to Accumulated Net

Realized Loss on

Investments

$185,411,126

$2,138,887

$183,272,239

No distributions were paid during the reporting periods.

34 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

2. Significant Accounting Policies (Continued)

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 at period end 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	$	700,279,624
Federal tax cost of other investments		47,576,349

Total federal tax cost	$	747,855,973

Gross unrealized appreciation	$	110,574,973
Gross unrealized depreciation		(556,853,595)

Net unrealized depreciation	$	(446,278,622)

Use of Estimates. The preparation of financial statements in conformity with U.S. GAAP 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.

3. 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, except in the case of a scheduled early closing of the Exchange, in which case the Fund will calculate net asset value of the shares as of the scheduled early closing time of the Exchange.

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 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 mean between the bid and asked price on the principal exchange or, if not available from the

35 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND


NOTES TO CONSOLIDATED FINANCIAL STATEMENTS Continued

3. Securities Valuation (Continued)

principal 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) a bid from the principal exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer. 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) 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. Forward foreign currency exchange contracts are valued utilizing current and forward currency rates obtained from third party pricing services. When the settlement date of a contract is an interim date for which a quotation is not available, interpolated values are derived using the nearest dated forward currency rate.

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 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.

36 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

3. Securities Valuation (Continued)


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 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

37 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND


NOTES TO CONSOLIDATED FINANCIAL STATEMENTS Continued

3. Securities Valuation (Continued)

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 at period end 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	$	—		$	—		$	161,389	$	161,389
U.S. Government Obligations		—			39,705,799			—		39,705,799
Corporate Bonds and Notes		—			67,649,824			—		67,649,824
Structured Securities		—			23,862,661			—		23,862,661
Short-Term Notes		—			70,913,062			—		70,913,062
Exchange-Traded Options Purchased		1,578,462			203,024			—		1,781,486
Investment Company		43,821,966			—			—		43,821,966

Total Investments, at Value		45,400,428			202,334,370			161,389		247,896,187
Other Financial Instruments:
Swaps, at value		—			4,804,631			—		4,804,631
Futures contracts		1,206,073			—			—		1,206,073

Total Assets	$	46,606,501		$	207,139,001		$	161,389	$	253,906,891


Liabilities Table
Other Financial Instruments:
Swaps, at value	$	—		$	(474,920	)	$	—	$	(474,920)
Options written, at value		(752,563	)		(123,100	)		—		(875,663)
Futures contracts		(670,074	)		—			—		(670,074)

Total Liabilities	$	(1,422,637	)	$	(598,020	)	$	—	$	(2,020,657)

38 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

3. Securities Valuation (Continued)

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.

4. Investments and Risks

Investments in Affiliated Funds. The Fund is permitted to invest in other mutual funds advised by the Manager (“Affiliated Funds”). Affiliated Funds are open-end management investment companies registered under the 1940 Act, as amended. The Manager is the investment adviser of, and the Sub-Adviser provides investment and related advisory services to, the Affiliated Funds. When applicable, the Fund’s investments in Affiliated Funds are included in the Consolidated Statement of Investments. Shares of Affiliated Funds are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of the Affiliated Funds’ expenses, including their 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 the Affiliated Funds.

Each of the Affiliated Funds in which the Fund invests has its own investment risks, and those risks can affect the value of the Fund’s investments and therefore the value of the Fund’s shares. To the extent that the Fund invests more of its assets in one Affiliated Fund than in another, the Fund will have greater exposure to the risks of that Affiliated Fund.

Investment in Oppenheimer Institutional Money Market Fund. The Fund is permitted to invest daily available cash balances in a money market Affiliated 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 or for defensive purposes. IMMF is regulated as a money market fund under the Investment Company Act of 1940, as amended.

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.

Restricted Securities. At period end, 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 marked with an applicable footnote on the Consolidated Statement of Investments. Restricted securities are reported on a schedule following the Consolidated Statement of Investments.

39 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND


NOTES TO CONSOLIDATED FINANCIAL STATEMENTS Continued

4. Investments and Risks (Continued)

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 at period end is as follows:


Cost	$	481,671
Market Value	$	161,389
Market Value as % of Net Assets		0.06%

5. Market Risk Factors

The Fund’s investments in securities and/or financial derivatives may expose the fund to various 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.

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

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.

40 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

6. Use of Derivatives

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.

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.

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.

41 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND


NOTES TO CONSOLIDATED FINANCIAL STATEMENTS Continued

6. Use of Derivatives (Continued)

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 reporting period, the Fund had an ending monthly average market value of $74,518,707 and $49,452,598 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 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 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 reporting period, the Fund had an ending monthly average market value of $1,145,767 and $366,684 on purchased call options and purchased put options, respectively.

42 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

6. Use of Derivatives (Continued)

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 reporting period, the Fund had an ending monthly average market value of $309,823 and $392,328 on written call options and written put options, respectively.

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

Written option activity for the reporting period was as follows:


	Number of Contracts			Amount of Premiums

Options outstanding as of December 31, 2014		245			$	638,193
Options written		6,210				4,886,824
Options closed or expired		(1,815	)			(1,676,214	)
Options exercised		(1290	)			(1,734,034	)

Options outstanding as of December 31, 2015		3,350			$	2,114,769

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

43 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND


NOTES TO CONSOLIDATED FINANCIAL STATEMENTS Continued

6. Use of Derivatives (Continued)

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.

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.

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

For the reporting period, the Fund had ending monthly average notional amounts of $161,076,923 and $1,513,076 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.

44 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

6. Use of Derivatives (Continued)

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.

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

45 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND


NOTES TO CONSOLIDATED FINANCIAL STATEMENTS Continued

6. Use of Derivatives (Continued)

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. 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 pledged by the Fund at period end:


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

Canadian Imperial Bank of Commerce	$	186,314	$	—	$	—	$	—	$	186,314
Citibank NA		1,127,553		—		—		—		1,127,553
Goldman Sachs Group,
Inc. (The)		872,223		—		—		—		872,223

46 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

6. Use of Derivatives (Continued)


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

Macquarie Bank Ltd.	$	923,155	$	—	$	—	$	—	$	923,155
Merrill Lynch		1,695,386		(474,920)		—		—		1,220,466

	$	4,804,631	$	(474,920)	$	—	$	—	$	4,329,711

*OTC derivatives are reported gross on the Consolidated Statement of Assets and Liabilities. Exchange traded options and margin related to centrally 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 period end:


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

Merrill Lynch	$	(474,920)	$	474,920	$	—	$	—	$	—

**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 Statements 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 at period end:

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

Swap, at value

$4,804,631

Swap, at value

$474,920

Commodity contracts

Variation margin receivable

891,305^*

Variation margin payable

123,053^*

Commodity contracts

Options written, at value

875,663

Commodity contracts

Investments, at value

1,781,486^**

Total

$7,477,422

$1,473,636

*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.

47 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND


NOTES TO CONSOLIDATED FINANCIAL STATEMENTS Continued

6. Use of Derivatives (Continued)

**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	$	(1,783,564)	$	1,676,214	$	(11,371,337)	$	(53,239,899)	$	(64,718,586)

*Includes purchased option contracts, purchased swaption contracts, written option contracts exercised 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	$	(2,083,234)	$	1,337,675	$	3,626,142	$	10,359,537	$	13,240,120

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

7. 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:


	Year Ended December 31, 2015						Year Ended December 31, 2014
	Shares			Amount			Shares			Amount

Class A
Sold		10,552,722		$	21,263,013			14,421,191		$	42,901,547
Redeemed		(14,558,073	)		(29,311,290	)		(23,985,494	)		(70,170,018)

Net decrease		(4,005,351)		$	(8,048,277)			(9,564,303)		$	(27,268,471)



Class B
Sold		76,862		$	161,487			104,763		$	302,921
Redeemed		(859,625	)		(1,732,960	)		(1,013,231	)		(2,913,039)

Net decrease		(782,763)		$	(1,571,473)			(908,468)		$	(2,610,118)



Class C
Sold		3,124,788		$	5,972,119			2,358,751		$	6,697,280
Redeemed		(4,037,309	)		(7,857,726	)		(4,249,791	)		(11,915,884)

Net decrease		(912,521)		$	(1,885,607)			(1,891,040)		$	(5,218,604)

48 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

7. Shares of Beneficial Interest (Continued)


	Year Ended December 31, 2015				Year Ended December 31, 2014
	Shares		Amount		Shares		Amount

Class I
Sold		31,335,292	$	64,722,907		30,165,052	$	89,258,753
Redeemed		(17,262,347)		(35,044,970)		(9,698,114)		(28,446,164)

Net increase		14,072,945	$	29,677,937		20,466,938	$	60,812,589



Class R¹
Sold		1,460,597	$	2,838,660		1,148,790	$	3,340,276
Redeemed		(1,440,424)		(2,860,024)		(1,507,519)		(4,390,370)

Net increase (decrease)		20,173	$	(21,364)		(358,729)	$	(1,050,094)



Class Y
Sold		10,998,835	$	23,395,858		6,543,715	$	19,049,869
Redeemed		(6,105,052)		(12,189,040)		(11,755,270)		(35,507,463)

Net increase (decrease)		4,893,783	$	11,206,818		(5,211,555)	$	(16,457,594)

1. Effective July 1, 2014, Class N shares were renamed Class R.

8. 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 reporting period were as follows:


	Purchases		Sales
Investment securities	$	96,572,940	$	69,082,276
U.S. government and government agency obligations		2,590,039		28,100,422

9. 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

The Manager also provides investment management related services to the Subsidiary. The Subsidiary pays the Manager a monthly management fee at an annual rate according to the above schedule. The Subsidiary also pays certain other expenses including custody and directors’ fees.

The Fund’s effective management fee for the reporting period was 0.97% of average annual net assets before any Subsidiary management fees or any applicable waivers.

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

49 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND


NOTES TO CONSOLIDATED FINANCIAL STATEMENTS Continued

9. Fees and Other Transactions with Affiliates (Continued)

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.

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. 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.

Trustees’ Compensation. The Fund’s Board of Trustees (“Board”) 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 Trustees 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 Trustees. The Fund purchases shares of the funds selected for deferral by the Trustees 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.

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 pursuant to Rule 12b-1 under the 1940 Act. 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

50 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

9. Fees and Other Transactions with Affiliates (Continued)

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 R Shares. The Fund has adopted Distribution and Service Plans (the “Plans”) for Class B, Class C and Class R shares pursuant to Rule 12b-1 under the 1940 Act to compensate the Distributor for distributing those share classes, maintaining accounts and providing shareholder services. 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 R shares’ daily net assets. The Fund also pays a service fee under the Plans at an annual rate of 0.25% of daily net assets. The Plans continue in effect from year to year only if the Fund’s Board of Trustees votes annually to approve their continuance at an in person meeting called for that purpose. Fees incurred by the Fund under the Plans are detailed in the Consolidated Statement of Operations.

Sales Charges. Front-end sales charges and 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.

Year Ended

Class A

Front-End
Sales Charges
Retained by
Distributor

Class A
Contingent
Deferred Sales
Charges
Retained by
Distributor

Class B
Contingent
Deferred Sales
Charges
Retained by
Distributor

Class C
Contingent
Deferred Sales
Charges
Retained by
Distributor

Class R
Contingent
Deferred Sales
Charges
Retained by
Distributor

December 31, 2015

$7,496

$50

$8,051

$2,129

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 reporting period, this waiver reduced the Fund’s management fee by $662,346.

Effective November 1, 2015, the Manager has agreed to waive 0.10% of the Fund’s management fee. This waiver will be in effect for one year, unless the Board of Trustees approves its extension. During the reporting period, this waiver reduced the Fund’s management fee by $45,046.

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 reporting period, the Manager waived fees and/or reimbursed the Fund $60,846 for IMMF management fees.

Waivers and/or reimbursements may be modified or terminated as set forth according to the terms in the prospectus.

51 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND


NOTES TO CONSOLIDATED FINANCIAL STATEMENTS Continued

10. Borrowing and Other Financing

Joint Credit Facility. A number of mutual funds managed by the Manager participate in a $1.28 billion revolving credit facility (the “Facility”) intended to provide short-term financing, if necessary, subject to certain restrictions in connection with atypical redemption activity. Expenses and fees related to the Facility are paid by the participating funds and are disclosed separately or as other expenses on the Consolidated Statement of Operations. The Fund did not utilize the Facility during the reporting period.

11. Pending Litigation

In 2009, several putative class action lawsuits were filed and later consolidated before the U.S. District Court for the District of Colorado against OppenheimerFunds, Inc. (“OFI”), OppenheimerFunds Distributor, Inc. (“OFDI”), and Oppenheimer Rochester California Municipal Fund, a fund advised by OFI Global Asset Management, Inc. and distributed by the Distributor (the “California Fund”), in connection with the California Fund’s investment performance. The plaintiffs asserted claims against OFI, OFDI and certain present and former trustees and officers of the California Fund under the federal securities laws, alleging, among other things, that the disclosure documents of the California Fund contained misrepresentations and omissions and the investment policies of the California Fund were not followed. Plaintiffs in the suit filed an amended complaint and defendants filed a motion to dismiss. In 2011, the court issued an order which granted in part and denied in part the defendants’ motion to dismiss. In 2012, plaintiffs filed a motion, which defendants opposed, to certify a class and appoint class representatives and class counsel. In March 2015, the court granted plaintiffs’ motion for class certification. In May 2015, the U.S. Court of Appeals for the Tenth Circuit vacated the class certification order and remanded the matter to the district court for further proceedings. In October 2015, the district court reaffirmed its order granting plaintiffs’ motion for class certification. In December 2015, the Tenth Circuit denied defendants’ petition to appeal the district court’s reaffirmed class certification order.

OFI and OFDI believe the suit is without merit; that it is premature to render any opinion as to the likelihood of an outcome unfavorable to them in the suit; and that no estimate can yet be made as to the amount or range of any potential loss. Furthermore, OFI believes that the suit should not impair the ability of OFI or OFDI to perform their respective duties to the Fund and that the outcome of the suit should not have any material effect on the operations of any of the Oppenheimer funds.

52 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

The Board of Trustees and Shareholders of Oppenheimer Commodity Strategy Total Return Fund:

We have audited the accompanying consolidated statement of assets and liabilities of Oppenheimer Commodity Strategy Total Return Fund and subsidiary, including the consolidated statement of investments, as of December 31, 2015, and the related consolidated statement of operations for the year then ended, the consolidated statements of changes in net assets for each of the years in the two-year period then ended, and the consolidated financial highlights for each of the years or periods in the five-year period then ended. These consolidated financial statements and consolidated financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these consolidated financial statements and consolidated financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2015, by correspondence with the custodian, transfer agent and brokers, or by other appropriate auditing procedures where replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the consolidated financial statements and consolidated financial highlights referred to above present fairly, in all material respects, the financial position of Oppenheimer Commodity Strategy Total Return Fund and subsidiary as of December 31, 2015, the results of their operations for the year then ended, the changes in their net assets for each of the years in the two-year period then ended, and the consolidated financial highlights for each of the years or periods in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.

KPMG LLP

Denver, Colorado

February 25, 2016

53 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

FEDERAL INCOME TAX INFORMATION Unaudited

In early 2016, if applicable, shareholders of record received information regarding all dividends and distributions paid to them by the Fund during calendar year 2015.

The foregoing information is presented to assist shareholders in reporting distributions received from the Fund to the Internal Revenue Service. Because of the complexity of the federal regulations which may affect your individual tax return and the many variations in state and local tax regulations, we recommend that you consult your tax advisor for specific guidance.

54 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

BOARD APPROVAL OF THE FUND’S INVESTMENT ADVISORY

AND SUB-ADVISORY AGREEMENTS Unaudited

The Fund has entered into an investment advisory agreement with OFI Global Asset Management, Inc. (“OFI Global” or the “Adviser”), a wholly-owned subsidiary of OppenheimerFunds, Inc. (“OFI” or the “Sub-Adviser”) (“OFI Global” and “OFI” together the “Managers”) and OFI Global has entered into a sub-advisory agreement with OFI whereby OFI provides investment sub-advisory services to the Fund (collectively, the “Agreements”). Each year, the Board of Trustees (the “Board”), including a majority of the independent Trustees, is required to determine whether to approve the terms of the Agreements and the renewal thereof. The Investment Company Act of 1940, as amended, requires that the Board request and evaluate, and that the Managers provide, such information as may be reasonably necessary to evaluate the terms of the Agreements. The Board employs an independent consultant to prepare a report that provides information, including comparative information that the Board requests for that purpose. In addition to in-person meetings focused on this evaluation, the Board receives information throughout the year regarding Fund services, fees, expenses and performance.

The Adviser, Sub-Adviser and the independent consultant provided information to the Board on the following factors: (i) the nature, quality and extent of the Managers’ services, (ii) the comparative investment performance of the Fund and the Managers, (iii) the fees and expenses of the Fund, including comparative fee and expense information, (iv) the profitability of the Managers and their affiliates, including an analysis of the cost of providing services, (v) whether economies of scale are realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors and (vi) other benefits to the Managers from their relationship with the Fund. The Board was aware that there are alternatives to retaining the Managers.

Outlined below is a summary of the principal information considered by the Board as well as the Board’s conclusions.

Nature, Quality and Extent of Services. The Board considered information about the nature, quality and extent of the services provided to the Fund and information regarding the Managers’ key personnel who provide such services. The Managers’ duties include providing the Fund with the services of the portfolio managers and the Sub-Adviser’s investment team, who provide research, analysis and other advisory services in regard to the Fund’s investments; and securities trading services. OFI Global is responsible for oversight of third-party service providers; monitoring compliance with applicable Fund policies and procedures and adherence to the Fund’s investment restrictions; risk management; and oversight of the Sub-Adviser. OFI Global is also responsible for providing certain administrative services to the Fund as well. Those services include providing and supervising all administrative and clerical personnel who are necessary in order to provide effective corporate administration for the Fund; compiling and maintaining records with respect to the Fund’s operations; preparing and filing reports required by the U.S. Securities and Exchange Commission; preparing periodic reports regarding the operations of the Fund for its shareholders; preparing proxy materials for shareholder meetings; and preparing the registration statements required by federal and state securities laws for the sale of the Fund’s shares. OFI Global also provides the Fund with office space, facilities and equipment.

The Board also considered the quality of the services provided and the quality of the Managers’ resources that are available to the Fund. The Board took account of the fact that

55 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND


BOARD APPROVAL OF THE FUND’S INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS Unaudited / Continued

the Sub-Adviser has had over fifty years of experience as an investment adviser and that its assets under management rank it among the top mutual fund managers in the United States. The Board evaluated the Managers’ advisory, administrative, accounting, legal, compliance services and risk management, and information the Board has received regarding the experience and professional qualifications of the Managers’ key personnel and the size and functions of its staff. In its evaluation of the quality of the portfolio management services provided, the Board considered the experience of George Zivic and Christopher Proctor, the portfolio managers for the Fund, and the Sub-Adviser’s investment team and analysts. The Board members also considered the totality of their experiences with the Managers as directors or trustees of the Fund and other funds advised by the Managers. The Board considered information regarding the quality of services provided by affiliates of the Managers, which the Board members have become knowledgeable about through their experiences with the Managers and in connection with the renewal of the Fund’s service agreements. The Board concluded, in light of the Managers’ experience, reputation, personnel, operations and resources that the Fund benefits from the services provided under the Agreements.

Investment Performance of the Managers and the Fund. Throughout the year, Managers provided information on the investment performance of the Fund, including comparative performance information. The Board also reviewed information, prepared by the Managers and by the independent consultant, comparing the Fund’s historical performance to relevant market indices and to the performance of other retail commodities broad basket funds. The Board considered that the independent consultant does not have a performance category for retail front-end load specialty diversified funds that, like the Fund, specialize in commodities. The Board also considered management’s assertion that reviewing performance of the commodity-only portion of the Fund’s portfolio provides greater insight into the performance of the Fund with respect to active commodities management. The Board noted that the Fund switched benchmarks on March 31, 2013 and that reviewing performance of the commodity-only portion of the Fund versus the Bloomberg Commodity Index (formerly known as the DJ-UBS Excess Return Index) provides greater insight into the performance of the Fund with respect to active commodities management. The Board also noted that the commodities-only portion of the Fund outperformed the Bloomberg Commodity Index in the second quarter of 2014. The Board considered that the Fund underperformed its performance category median for the one-, three-, five- and ten-year periods. The Board considered the change in portfolio management in April 2013.

Fees and Expenses of the Fund. The Board reviewed the fees paid to the Adviser and the other expenses borne by the Fund. The Board noted that the Adviser, not the Fund, pays the Sub-Adviser’s fee under the sub-advisory agreement. The independent consultant provided comparative data in regard to the fees and expenses of the Fund and other retail commodities broad basket funds with comparable asset levels and distribution features. The Board noted that the Fund’s contractual management fees were lower than its peer group median and equal to its category median and its total expenses were higher than its peer group median and category median. Within the total asset range of $250 million to $500 million, the Fund’s effective management fee rate was higher than its peer group median and

56 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

category median. The Board considered that the Adviser agreed to waive 10 basis points of the Fund’s advisory fee effective November 1, 2015.

Economies of Scale and Profits Realized by the Managers. The Board considered information regarding the Managers’ costs in serving as the Fund’s investment adviser and sub-adviser, including the costs associated with the personnel and systems necessary to manage the Fund, and information regarding the Managers’ profitability from their relationship with the Fund. The Board reviewed whether the Managers may realize economies of scale in managing and supporting the Fund. The Board noted that the Fund currently has management fee breakpoints, which are intended to share with Fund shareholders economies of scale that may exist as the Fund’s assets grow.

Other Benefits to the Managers. In addition to considering the profits realized by the Managers, the Board considered information that was provided regarding the direct and indirect benefits the Managers receive as a result of their relationship with the Fund, including compensation paid to the Managers’ affiliates.

Conclusions. These factors were also considered by the independent Trustees meeting separately from the full Board, assisted by experienced counsel to the Fund and to the independent Trustees. Fund counsel and the independent Trustees’ counsel are independent of the Managers within the meaning and intent of the Securities and Exchange Commission Rules.

Based on its review of the information it received and its evaluations described above, the Board, including a majority of the independent Trustees, decided to continue the Agreements through August 31, 2016. In arriving at its decision, the Board did not identify any factor or factors as being more important than others, but considered all of the above information, and considered the terms and conditions of the Agreements, including the management fees, in light of all the surrounding circumstances.

57 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

PORTFOLIO PROXY VOTING POLICIES AND PROCEDURES;

UPDATES TO CONSOLIDATED 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 www.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.

58 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND

TRUSTEES AND OFFICERS Unaudited



Name, Position(s) Held with the Fund, Length of Service, Age		Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in the Fund Complex Currently Overseen

INDEPENDENT TRUSTEES		The address of each Trustee in the chart below is 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Trustee serves for an indefinite term, or until his or her resignation, retirement, death or removal.

Sam Freedman, Chairman of the Board of Trustees (since 2013) and Trustee (since 1997) Year of Birth: 1940		Director of Colorado UpLIFT (charitable organization) (since September 1984). Mr. Freedman held several positions with the Sub-Adviser and with subsidiary or affiliated companies of the Sub-Adviser (until October 1994). Oversees 47 portfolios in the OppenheimerFunds complex. Mr. Freedman has served on the Boards of certain Oppenheimer funds since 1996, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations.

Jon S. Fossel, Trustee (since 1997) Year of Birth: 1942		Chairman of the Board of Jack Creek Preserve Foundation (non-profit organization) (since 2005); Chairman of the Board (2006-December 2011) and Director (June 2002-December 2011) of UNUMProvident (insurance company); Director of Northwestern Energy Corp. (public utility corporation) (November 2004-December 2009); Director of P.R. Pharmaceuticals (October 1999-October 2003); Director of Rocky Mountain Elk Foundation (non-profit organization) (February 1998-February 2003 and February 2005-February 2007); Chairman and Director (until October 1996) and President and Chief Executive Officer (until October 1995) of the Sub-Adviser; President, Chief Executive Officer and Director of the following: Oppenheimer Acquisition Corp. (“OAC”) (parent holding company of the Sub-Adviser), Shareholders Services, Inc. and Shareholder Financial Services, Inc. (until October 1995). Oversees 47 portfolios in the OppenheimerFunds complex. Mr. Fossel has served on the Boards of certain Oppenheimer funds since 1990, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations.

Richard F. Grabish, Trustee (since 2012) Year of Birth: 1948		Formerly Senior Vice President and Assistant Director of Sales and Marketing (March 1997-December 2007), Director (March 1987-December 2007) and Manager of Private Client Services (June 1985-June 2005) of A.G. Edwards & Sons, Inc. (broker/dealer and investment firm); Chairman and Chief Executive Officer of A.G. Edwards Trust Company, FSB (March 2001-December 2007); President and Vice Chairman of A.G. Edwards Trust Company, FSB (investment adviser) (April 1987-March 2001); President of A.G. Edwards Trust Company, FSB (investment adviser) (June 2005-December 2007). Oversees 47 portfolios in the OppenheimerFunds complex. Mr. Grabish has served on the Boards of certain Oppenheimer funds since 2001, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations.

Beverly L. Hamilton, Trustee (since 2002) Year of Birth: 1946		Trustee of Monterey Institute for International Studies (educational organization) (since February 2000); Board Member of Middlebury College (educational organization) (December 2005-June 2011); Chairman (since

59 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND


TRUSTEES AND OFFICERS Unaudited / Continued



Beverly L. Hamilton, Continued		2010) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); Director of The California Endowment (philanthropic organization) (April 2002-April 2008); Director (February 2002-2005) and Chairman of Trustees (2006-2007) of the Community Hospital of Monterey Peninsula; Director (October 1991-2005); Vice Chairman (2006-2009) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); President of ARCO Investment Management Company (February 1991-April 2000); Member of the investment committees of The Rockefeller Foundation (2001-2006) and The University of Michigan (since 2000); Advisor at Credit Suisse First Boston’s Sprout venture capital unit (venture capital fund) (1994-January 2005); Trustee of MassMutual Institutional Funds (investment company) (1996-June 2004); Trustee of MML Series Investment Fund (investment company) (April 1989-June 2004); Member of the investment committee of Hartford Hospital (2000-2003); and Advisor to Unilever (Holland) pension fund (2000-2003). Oversees 47 portfolios in the OppenheimerFunds complex. Ms. Hamilton has served on the Boards of certain Oppenheimer funds since 2002, during which time she has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations.

Victoria J. Herget, Trustee (since 2012) Year of Birth: 1951		Board Chair (2008-Present) and Director (2004-Present), United Educators (insurance company); Trustee (since 2000) and Chair (since 2010), Newberry Library (independent research library); Trustee, Mather LifeWays (senior living organization) (since 2001); Independent Director of the First American Funds (mutual fund family) (2003-2011); former Managing Director (1993-2001), Principal (1985-1993), Vice President (1978-1985) and Assistant Vice President (1973-1978) of Zurich Scudder Investments (investment adviser) (and its predecessor firms); Trustee (1992-2007), Chair of the Board of Trustees (1999-2007), Investment Committee Chair (1994-1999) and Investment Committee member (2007-2010) of Wellesley College; Trustee, BoardSource (non-profit organization) (2006-2009) and Chicago City Day School (K-8 School) (1994-2005). Oversees 47 portfolios in the OppenheimerFunds complex. Ms. Herget has served on the Boards of certain Oppenheimer funds since 2012, during which time she has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations.

Robert J. Malone, Trustee (since 2002) Year of Birth: 1944		Chairman - Colorado Market of MidFirst Bank (since January 2015); Chairman of the Board (since 2012) and Director (since August 2005) of Jones International University (educational organization); Trustee of the Gallagher Family Foundation (non-profit organization) (2000-2015); Chairman, Chief Executive Officer and Director of Steele Street Bank Trust (commercial banking) (August 2003-January 2015); Board of Directors of Opera Colorado Foundation (non-profit organization) (2008-2012); Director of Colorado UpLIFT (charitable organization) (1986-2010); Director of Jones Knowledge, Inc. (2006-2010); Former Chairman of U.S. Bank-Colorado (subsidiary of U.S. Bancorp and formerly Colorado National Bank) (July 1996-April 1999); Director of Commercial Assets, Inc. (real estate investment trust) (1993-2000); Director of U.S. Exploration, Inc. (oil and gas exploration) (1997-February 2004); Chairman of the Board (1991-1994) and Trustee (1985-1994) of Regis University; and Chairman of the Board (1990-1991 and Trustee (1984-1999) of Young Presidents Organization. Oversees 47 portfolios in the OppenheimerFunds complex. Mr. Malone has served on the Boards of certain

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Robert J. Malone, Continued		Oppenheimer funds since 2002, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations.

F. William Marshall, Jr., Trustee (since 2000) Year of Birth: 1942		Trustee Emeritus of Worcester Polytech Institute (WPI) (private university) (since 2009); Trustee of MassMutual Select Funds (formerly MassMutual Institutional Funds) (investment company) (since 1996), MML Series Investment Fund (investment company) (since 1996) and Mass Mutual Premier Funds (investment company) (since January 2012); President and Treasurer of the SIS Funds (private charitable fund) (January 1999-March 2011); Former Trustee of WPI (1985-2008); Former Chairman of the Board (2004-2006) and Former Chairman of the Investment Committee of WPI (1994-2008); Chairman of SIS Family Bank, F.S.B. (formerly SIS Bank) (commercial bank) (January 1999-July 1999); Executive Vice President of Peoples Heritage Financial Group, Inc. (commercial bank) (January 1999-July 1999); and Former President and Chief Executive Officer of SIS Bancorp. (1993-1999). Oversees 47 portfolios in the OppenheimerFunds complex. Mr. Marshall has served on the Boards of certain Oppenheimer funds since 2000, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations.

Karen L. Stuckey, Trustee (since 2012) Year of Birth: 1953		Partner (1990-2012) of PricewaterhouseCoopers LLP (professional services firm) (held various positions 1975-1990); Trustee (1992-2006) and member of Executive, Nominating and Audit Committees and Chair of Finance Committee of Lehigh University; and member, Women’s Investment Management Forum (professional organization) since inception. Oversees 47 portfolios in the OppenheimerFunds complex. Ms. Stuckey has served on the Boards of certain Oppenheimer funds since 2012, during which time she has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations.

James D. Vaughn, Trustee (since 2012) Year of Birth: 1945		Retired; former managing partner (1994-2001) of Denver office of Deloitte & Touche LLP, (held various positions 1969-1993); Trustee and Chairman of the Audit Committee of Schroder Funds (2003-2012); Board member and Chairman of Audit Committee of AMG National Trust Bank (since 2005); Trustee, Investment Committee member, University of South Dakota Foundation (since 1996); Board member, Audit Committee Member and past Board Chair, Junior Achievement (since 1993); former Board member, Mile High United Way, Boys and Girls Clubs, Boy Scouts, Colorado Business Committee for the Arts, Economic Club of Colorado and Metro Denver Network. Oversees 47 portfolios in the OppenheimerFunds complex. Mr. Vaughn has served on the Boards of certain Oppenheimer funds since 2012, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations.

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TRUSTEES AND OFFICERS Unaudited / Continued



INTERESTED TRUSTEE		Mr. Steinmetz is an “Interested Trustee” because he is affiliated with the Manager and the Sub-Adviser by virtue of his positions as Chairman and director of the Sub-Adviser and officer and director of the Manager. Both as a Trustee and as an officer, Mr. Steinmetz serves for an indefinite term, or until his resignation, retirement, death or removal. Mr. Steinmetz’s address is 225 Liberty Street, New York, New York 10281-1008.

Arthur P. Steinmetz Trustee (Since 2015), President and Principal Executive Officer (since 2014) Year of Birth: 1958		Chairman of the Sub-Adviser (since January 2015); CEO and Chairman of the Manager (since July 2014), President of the Manager (since May 2013), a Director of the Manager (since January 2013), Director of the Sub-Adviser (since July 2014), President, Management Director and CEO of Oppenheimer Acquisition Corp. (the Sub-Adviser’s parent holding company) (since July 2014), and President and Director of OFI SteelPath, Inc. (since January 2013). Chief Investment Officer of the OppenheimerFunds advisory entities from (January 2013-December 2013); Executive Vice President of the Manager (January 2013-May 2013); Chief Investment Officer of the Sub-Adviser (October 2010-December 2012); Chief Investment Officer, Fixed-Income, of the Sub-Adviser (April 2009-October 2010); Executive Vice President of the Sub-Adviser (October 2009-December 2012); Director of Fixed Income of the Sub-Adviser (January 2009-April 2009); and a Senior Vice President of the Sub-Adviser (March 1993-September 2009). An officer of 101 portfolios in the OppenheimerFunds complex.

OTHER OFFICERS OF THE FUND		The addresses of the Officers in the chart below are as follows: for Messrs. Zivic, Gabinet, Mss. Sexton and Picciotto, 225 Liberty Street, New York, New York 10281-1008, for Messrs. Proctor and Wixted, 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Officer serves for an indefinite term or until his or her resignation, retirement, death or removal.

George Zivic, Vice President (since 2013) Year of Birth: 1969		Senior Vice President and Team Leader, Commodities, of the Sub-Adviser (since April 2013). Prior to joining the Sub-Adviser, he was a founding partner and portfolio manager of Almanac Capital Management, LP, a commodity focused alternative investment firm, (2006-2013) and also(2004-2005). Director, Head of Commodity Allocations, Alternative Capital at Credit Suisse (in 2006), and Vice President, Structured Derivatives Group at Rabobank International (2003-2004), and Vice President of Commodity Trading at XL Capital (2001-2003). A portfolio manager and officer of in the OppenheimerFunds complex.

Christopher Proctor, Vice President (since 2013) Year of Birth: 1968		Head of the Cash Strategies Team (since July 2013); Senior Vice President of the Sub-Adviser (since July 2013) and Senior Portfolio Manager of the Sub- Adviser (since January 2010). Vice President of the Sub-Adviser (August 2008- July 2013). Vice President at Calamos Asset Management (January 2007- March 2008) and Scudder-Kemper Investments (1999-2002). Managing Director and Co-Founder of Elmhurst Capital Management (June 2004- January 2007); Senior Manager of Research for Etrade Global Asset Management (2002-2004). A portfolio manager and officer of other portfolios in the OppenheimerFunds complex.

Arthur S. Gabinet, Secretary and Chief Legal Officer (since 2011) Year of Birth: 1958		Executive Vice President, Secretary and General Counsel of the Manager (since January 2013); General Counsel OFI SteelPath, Inc. (since January 2013); Executive Vice President (May 2010-December 2012) and General Counsel (since January 2011) of the Sub-Adviser; General Counsel of the Distributor

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Arthur S. Gabinet, Continued		(since January 2011); General Counsel of Centennial Asset Management Corporation (January 2011-December 2012); Executive Vice President (January 2011-December 2012) and General Counsel of HarbourView Asset Management Corporation (since January 2011); Assistant Secretary (since January 2011) and Director (since January 2011) of OppenheimerFunds International Ltd. and OppenheimerFunds plc; Director of Oppenheimer Real Asset Management, Inc. (January 2011-December 2012) and General Counsel (since January 2011); Executive Vice President (January 2011-December 2011) and General Counsel of Shareholder Financial Services, Inc. and Shareholder Services, Inc. (since January 2011); Executive Vice President (January 2011- December 2012) and General Counsel of OFI Private Investments Inc. (since January 2011); Vice President of OppenheimerFunds Legacy Program (January 2011-December 2011); Executive Vice President (January 2011-December 2012) and General Counsel of OFI Institutional Asset Management, Inc. (since January 2011); General Counsel, Asset Management of the Sub-Adviser (May 2010-December 2010); Principal, The Vanguard Group (November 2005-April 2010); District Administrator, U.S. Securities and Exchange Commission (January 2003-October 2005). An officer of 101 portfolios in the OppenheimerFunds complex.

Jennifer Sexton, Vice President and Chief Business Officer (since 2014) Year of Birth: 1969		Senior Vice President of OppenheimerFunds Distributor, Inc. (since June 2014); Vice President of OppenheimerFunds Distributor, Inc. (April 2006-June 2014); Vice President of the Sub-Adviser (January 1998-March 2006); Assistant Vice President of the Sub-Adviser (October 1991-December 1998). An officer of 101 portfolios in the OppenheimerFunds complex.

Mary Ann Picciotto, Chief Compliance Officer and Chief Anti-Money Laundering Officer (since 2014) Year of Birth: 1973		Senior Vice President and Chief Compliance Officer of the Manager (since March 2014); Chief Compliance Officer of the Sub-Adviser, OFI SteelPath, Inc., OFI Global Trust Company, OFI Global Institutional, Inc., Oppenheimer Real Asset Management, Inc., OFI Private Investments, Inc., Harborview Asset Management Corporation, Trinity Investment Management Corporation, and Shareholder Services, Inc. (since March 2014); Managing Director of Morgan Stanley Investment Management Inc. and certain of its various affiliated entities; Chief Compliance Officer of various Morgan Stanley Funds (May 2010-January 2014); Chief Compliance Officer of Morgan Stanley Investment Management Inc. (April 2007-January 2014). An officer of 101 portfolios in the OppenheimerFunds complex.

Brian W. Wixted, Treasurer and Principal Financial & Accounting Officer (since 1999) Year of Birth: 1959		Senior Vice President of the Manager (since January 2013); Treasurer of the Sub-Adviser, HarbourView Asset Management Corporation, Shareholder Financial Services, Inc., Shareholder Services, Inc., and Oppenheimer Real Asset Management, Inc. (March 1999-June 2008), OFI Private Investments, Inc. (March 2000-June 2008), OppenheimerFunds International Ltd. and OppenheimerFunds plc (since May 2000), OFI Institutional Asset Management, Inc. (November 2000-June 2008), and OppenheimerFunds Legacy Program (charitable trust program established by the Sub-Adviser) (June 2003-December 2011); Treasurer and Chief Financial Officer of OFI Trust Company (since May 2000); Assistant Treasurer of Oppenheimer Acquisition Corporation (March 1999-June 2008). An officer of 101 portfolios in the OppenheimerFunds complex.

The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and Officers is available without charge upon request, by calling 1.800.CALL OPP (225.5677).

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OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND


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

Counsel		Ropes & Gray LLP

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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

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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

Copies of confirmations, account statements and other documents reporting activity in your fund accounts are made available to your financial advisor (as designated by you). 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.

65 OPPENHEIMER COMMODITY STRATEGY TOTAL RETURN FUND


PRIVACY POLICY NOTICE Continued

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 256-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.

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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., 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 March 2015. 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 this privacy policy, 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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		OppenheimerFunds^® The Right Way to Invest

		Visit us at oppenheimerfunds.com for 24-hr access to account information and transactions or call us at 800 CALL OPP (800 225 5677) for 24-hr automated information and automated transactions. Representatives also available Mon–Fri 8am–8pm ET.

Visit Us oppenheimerfunds.com

Call Us 800 225 5677

Follow Us		Oppenheimer funds are distributed by OppenheimerFunds Distributor, Inc. 225 Liberty Street, New York, NY 10281-1008 © 2016 OppenheimerFunds Distributor, Inc. All rights reserved. RA0735.001.1215 February 22, 2016

Item 2. Code of Ethics.

The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions.

Item 3. Audit Committee Financial Expert.

The Board of Trustees of the registrant has determined that F. William Marshall, Jr., the Chairman of the Board’s Audit Committee, is the audit committee financial expert and that Mr. Marshall is “independent” for purposes of this Item 3.

Item 4. Principal Accountant Fees and Services.

(a)	Audit Fees

The principal accountant for the audit of the registrant’s annual financial statements billed $44,500 in fiscal 2015 and $39,400 in fiscal 2014.

(b)	Audit-Related Fees

The principal accountant for the audit of the registrant’s annual financial statements billed no such fees in fiscal 2015 and no such fees in fiscal 2014.

The principal accountant for the audit of the registrant’s annual financial statements billed $621,859 in fiscal 2015 and $1,012,359 in fiscal 2014 to the registrant’s investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant.

Such services include: Internal control reviews, GIPS attestation procedures, reorganization, system conversion testing, audit overages, and audit scope changes.

(c)

Tax Fees

The principal accountant for the audit of the registrant’s annual financial statements billed no such fees in fiscal 2015 and $10,000 in fiscal 2014.

The principal accountant for the audit of the registrant’s annual financial statements billed $720,026 in fiscal 2015 and $477,069 in fiscal 2014 to the registrant’s investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant.

Such services include: tax compliance, tax planning and tax advice. Tax compliance generally involves preparation of original and amended tax returns, claims for a refund and tax payment-planning services. Tax planning and tax advice includes assistance with tax audits and appeals, tax advice related to mergers and acquisitions and requests for rulings or technical advice from taxing authorities.

(d)	All Other Fees

The principal accountant for the audit of the registrant’s annual financial statements billed no such fees in fiscal 2015 and no such fees in fiscal 2014.

The principal accountant for the audit of the registrant’s annual financial statements billed no such fees in fiscal 2015 and no such fees in fiscal 2014 to the registrant’s investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant.

Such fees would include the cost to the principal accountant of attending audit committee meetings and consultations regarding the registrant’s retirement plan with respect to its Trustees.

(e)	(1) During its regularly scheduled periodic meetings, the registrant’s audit committee will pre-approve all audit, audit-related, tax and other services to be provided by the principal accountants of the registrant.

The audit committee has delegated pre-approval authority to its Chairman for any subsequent new engagements that arise between regularly scheduled meeting dates provided that any fees such pre-approved are presented to the audit committee at its next regularly scheduled meeting.

Under applicable laws, pre-approval of non-audit services may be waived provided that: 1) the aggregate amount of all such services provided constitutes no more than five percent of the total amount of fees paid by the registrant to its principal accountant during the fiscal year in which services are provided 2) such services were not recognized by the registrant at the time of engagement as non-audit services and 3) such services are promptly brought to the attention of the audit committee of the registrant and approved prior to the completion of the audit.

(2) 0%

(f)	Not applicable as less than 50%.

(g)

The principal accountant for the audit of the registrant’s annual financial statements billed $1,341,885 in fiscal 2015 and $1,499,428 in fiscal 2014 to the registrant and the registrant’s investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant related to non-audit fees. Those billings did not include any prohibited non-audit services as defined by the Securities Exchange Act of 1934.

(h)

The registrant’s audit committee of the board of Trustees has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser, and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. No such services were rendered.

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 12/31/2015, 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) Exhibit attached hereto.

(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/ Arthur P. Steinmetz
		Arthur P. Steinmetz
		Principal Executive Officer
Date:		2/16/2016

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/ Arthur P. Steinmetz
		Arthur P. Steinmetz
		Principal Executive Officer
Date:		2/16/2016

By:		/s/ Brian W. Wixted
		Brian W. Wixted
		Principal Financial Officer
Date:		2/16/2016