- Quarterly Report (10-Q)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form 10-Q

(Mark One)

x	QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended September 30, 2012

¨	TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from to

Commission File Number 001-34879

Nuveen Diversified Commodity Fund

(Exact name of registrant as specified in its charter)


Delaware		27-2048014
(State or other jurisdiction of incorporation or organization)		(I.R.S. Employer Identification No.)

333 West Wacker Drive Chicago Illinois		60606
(Address of principal executive offices)		(Zip Code)

(877) 827-5920

(Registrant’s telephone number, including area code)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes x No ¨

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Website, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§229.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes x No ¨

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated file, or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):


Large accelerated filer	¨		Accelerated filer	x

Non-accelerated filer	¨	(Do not check if smaller reporting company)	Smaller reporting company	¨

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ¨ No x

As of November 6, 2012, the registrant had 9,219,240 shares outstanding.

NUVEEN DIVERSIFIED COMMODITY FUND

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

TABLE OF CONTENTS


		Page No.
PART I. FINANCIAL INFORMATION

Item 1.	Financial Statements (Unaudited):

	Statements of Financial Condition at September 30, 2012 and December 31, 2011		3

	Schedule of Investments at September 30, 2012		4

	Statements of Operations for the three months ended September 30, 2012 and September 30, 2011 and the nine months ended September 30, 2012 and September 30, 2011		11

	Statements of Changes in Shareholders’ Capital for the nine months ended September 30, 2012 and the year ended December 31, 2011		12

	Statements of Cash Flows for the nine months ended September 30, 2012 and September 30, 2011		13

	Notes to Financial Statements		14

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations		25

Item 3.	Quantitative and Qualitative Disclosures About Market Risk		37

Item 4.	Controls and Procedures		41

PART II. OTHER INFORMATION

Item 1.	Legal Proceedings		42

Item 1A.	Risk Factors		42

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds		43

Item 3.	Defaults Upon Senior Securities		43

Item 4.	Mine Safety Disclosures		43

Item 5.	Other Information		43

Item 6.	Exhibits		44

Signatures			45

PART I. FINANCIAL INFORMATION

Item 1.

Financial Statements

NUVEEN DIVERSIFIED COMMODITY FUND

STATEMENTS OF FINANCIAL CONDITION

(Unaudited)


	September 30, 2012			December 31, 2011
ASSETS
Short-term investments, at value (cost $178,024,839 and $175,594,508, respectively)	$	178,049,696		$	175,626,953
Deposits with brokers		29,621,008			44,193,777
Interest receivable		—			561,049
Unrealized appreciation on futures contracts, net		7,321,862			—
Other assets		112,296			200,745

Total assets		215,104,862			220,582,524


LIABILITIES
Call options written, at value (premiums received $1,549,959 and $1,428,047, respectively)		2,403,772			551,457
Unrealized depreciation on futures contracts, net		—			4,921,830
Payable for:
Distributions		1,336,790			—
Shares repurchased		—			315,845
Accrued expenses:
Management fees		216,137			229,634
Other		429,505			383,629

Total liabilities		4,386,204			6,402,395


SHAREHOLDERS’ CAPITAL
Paid-in capital, unlimited number of shares authorized, 9,219,240 shares issued and outstanding at September 30, 2012 and 9,229,040 shares issued and outstanding at December 31, 2011		219,835,071			220,038,837
Accumulated undistributed earnings (deficit)		(9,116,413	)		(5,858,708	)

Total shareholders’ capital (Net assets)		210,718,658			214,180,129

Total liabilities and shareholders’ capital	$	215,104,862		$	220,582,524


Net assets	$	210,718,658		$	214,180,129

Shares outstanding		9,219,240			9,229,040

Net asset value per share outstanding (net assets divided by shares outstanding)	$	22.86		$	23.21

Market value per share outstanding	$	22.02		$	20.30

See accompanying notes to financial statements.

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS

September 30, 2012

(Unaudited)

Investments


Principal Amount (000)	Description	Coupon			Maturity		Ratings ⁽¹⁾		Value
	Short-Term Investments
	U.S. Government and Agency Obligations
$ 25,000	Federal Home Loan Mortgage Corporation		0.000	%		5/31/13		Aaa	$	24,978,175
19,000	Federal Home Loan Mortgage Corporation		0.000	%		7/26/13		Aaa		18,977,998
20,000	Federal National Mortgage Association		0.000	%		11/30/12		Aaa		19,999,000
20,000	Federal National Mortgage Association		0.000	%		6/28/13		Aaa		19,980,520
25,000	U.S. Treasury Bills		0.000	%		11/15/12		Aaa		24,997,725
10,000	U.S. Treasury Bills		0.000	%		12/20/12		Aaa		9,998,170
10,000	U.S. Treasury Bills		0.000	%		2/07/13		Aaa		9,996,330
15,000	U.S. Treasury Bills		0.000	%		5/30/13		Aaa		14,984,955
17,000	U.S. Treasury Bills		0.000	%		6/27/13		Aaa		16,980,654
15,000	U.S. Treasury Bills		0.000	%		7/25/13		Aaa		14,980,845

176,000	Total U.S. Government And Agency Obligations (cost $175,849,515)									175,874,372

	Repurchase Agreements
2,175	Repurchase Agreement with State Street Bank, dated 9/28/12, repurchase price $2,175,326, collateralized by $2,215,000 U.S. Treasury Notes, 0.375%, due 4/15/15, value $2,223,266		0.010	%		10/01/12		N/A		2,175,324

	Total Repurchase Agreements (cost $2,175,324)									2,175,324

	Total Short-Term Investments (cost $178,024,839)								$	178,049,696

Investments in Derivatives

Futures Contracts outstanding:


Commodity Group	Contract	Contract Position ⁽²⁾		Contract Expiration		Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Energy	Crude Oil
	ICE Brent Crude Oil Futures Contract		Long		November 2012		57	$	6,406,230	$	(110,580	)
	ICE Brent Crude Oil Futures Contract		Long		January 2013		56		6,212,080		(202,740	)
	NYMEX Crude Oil Futures Contract		Long		November 2012		191		17,608,290		(1,219,292	)
	NYMEX Crude Oil Futures Contract		Long		January 2013		85		7,905,000		(478,960	)

	Total Crude Oil										(2,011,572	)

	Heating Oil
	ICE Gas Oil Futures Contract		Long		November 2012		27		2,631,150		(61,525	)
	NYMEX Heating Oil Futures Contract		Long		November 2012		45		5,970,888		169,342
	NYMEX Heating Oil Futures Contract		Long		January 2013		15		1,969,065		(12,125	)

	Total Heating Oil										95,692

	Natural Gas
	NYMEX Natural Gas Futures Contract		Long		November 2012		227		7,536,400		513,319
	NYMEX Natural Gas Futures Contract		Long		January 2013		123		4,633,410		488,580

	Total Natural Gas										1,001,899

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued)

September 30, 2012

(Unaudited)

Investments in Derivatives (Continued)

Futures Contracts outstanding (Continued):


Commodity Group	Contract	Contract Position ⁽²⁾		Contract Expiration		Number of Contracts			Notional Amount at Value			Unrealized Appreciation (Depreciation)
Energy (continued)	Unleaded Gas
	NYMEX Gasoline RBOB Futures Contract		Long		November 2012		46		$	5,641,633		$	432,558
	NYMEX Gasoline RBOB Futures Contract		Long		January 2013		18			2,065,543			(29,215	)

	Total Unleaded Gas												403,343

	Total Energy												(510,638	)

Industrial Metals	Aluminum
	LME Primary Aluminum Futures Contract		Long		October 2012		95			4,961,969			398,406
	LME Primary Aluminum Futures Contract		Long		November 2012		95			4,997,594			464,375
	LME Primary Aluminum Futures Contract		Long		January 2013		45			2,382,750			(87,188	)
	LME Primary Aluminum Futures Contract		Short		November 2012		(45	)		(2,367,281	)		89,156

	Total Aluminum												864,749

	Copper
	CEC Copper Futures Contract		Long		December 2012		72			6,764,400			619,025
	CEC Copper Futures Contract		Long		March 2013		37			3,483,550			101,075
	LME Copper Futures Contract		Long		October 2012		50			10,266,250			745,000

	Total Copper												1,465,100

	Nickel
	LME Nickel Futures Contract		Long		October 2012		30			3,319,020			462,240
	LME Nickel Futures Contract		Long		January 2013		16			1,776,000			161,550
	LME Nickel Futures Contract		Short		October 2012		(15	)		(1,659,510	)		(161,010	)

	Total Nickel												462,780

	Zinc
	LME Zinc Futures Contract		Long		October 2012		57			2,951,887			295,688
	LME Zinc Futures Contract		Short		October 2012		(1	)		(51,788	)		—

	Total Zinc												295,688

	Lead
	LME Lead Futures Contract		Long		October 2012		33			1,877,494			278,250

	Total Industrial Metals												3,366,567

Agriculturals	Corn
	CBOT Corn Futures Contract		Long		December 2012		285			10,776,563			(1,009,787	)
	CBOT Corn Futures Contract		Long		March 2013		38			1,443,050			(16,188	)

	Total Corn												(1,025,975	)

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued)

September 30, 2012

(Unaudited)

Investments in Derivatives (Continued)

Futures Contracts outstanding (Continued):


Commodity Group	Contract	Contract Position ⁽²⁾		Contract Expiration		Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Agriculturals (continued)	Soybean
	CBOT Soybean Futures Contract		Long		November 2012		117	$	9,365,850	$	1,258,072
	CBOT Soybean Futures Contract		Long		January 2013		28		2,243,850		119,625
	CBOT Soybean Futures Contract		Long		March 2013		27		2,111,737		53,950

	Total Soybean										1,431,647

	Wheat
	CBOT Wheat Futures Contract		Long		December 2012		78		3,519,750		44,800
	CBOT Wheat Futures Contract		Long		March 2013		15		684,188		2,925
	KCBT Wheat Futures Contract		Long		December 2012		91		4,220,125		134,307

	Total Wheat										182,032

	Soybean Meal
	CBOT Soybean Meal Futures Contract		Long		December 2012		65		3,164,850		509,229

	Soybean Oil
	CBOT Soybean Oil Futures Contract		Long		December 2012		85		2,685,660		143,795
	CBOT Soybean Oil Futures Contract		Long		March 2013		6		192,312		(12,546	)

	Total Soybean Oil										131,249

	Total Agriculturals										1,228,182

Precious Metals	Gold
	CEC Gold Futures Contract		Long		December 2012		130		23,060,700		2,386,350

	Silver
	CEC Silver Futures Contract		Long		December 2012		47		8,125,595		843,415

	Platinum
	NYMEX Platinum Futures Contract		Long		January 2013		20		1,669,300		15,010

	Palladium
	NYMEX Palladium Futures Contract		Long		December 2012		13		833,040		71,925

	Total Precious Metals										3,316,700

Foods and Fibers	Cotton
	ICE Cotton Futures Contract		Long		December 2012		81		2,861,325		(14,199	)
	ICE Cotton Futures Contract		Long		March 2013		26		931,840		(43,605	)

	Total Cotton										(57,804	)

	Sugar
	ICE Sugar Futures Contract		Long		March 2013		288		6,586,675		(76,036	)

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued)

September 30, 2012

(Unaudited)

Investments in Derivatives (Continued)

Futures Contracts outstanding (Continued):


Commodity Group	Contract	Contract Position ⁽²⁾		Contract Expiration		Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Foods and Fibers (continued)	Coffee
	ICE Coffee C Futures Contract		Long		December 2012		52	$	3,383,250	$	123,582
	LIFFE Coffee Robusta Futures Contract		Long		November 2012		63		1,374,660		71,910

	Total Coffee										195,492

	Cocoa
	ICE Cocoa Futures Contract		Long		December 2012		47		1,182,520		38,182

	Total Foods and Fibers										99,834

Livestock	Live Cattle
	CME Live Cattle Futures Contract		Long		December 2012		160		7,980,800		(121,270	)

	Lean Hogs
	CME Lean Hog Futures Contract		Long		December 2012		116		3,422,000		(25,690	)
	CME Lean Hog Futures Contract		Long		February 2013		7		224,700		1,540

	Total Lean Hogs										(24,150	)

	Feeder Cattle
	CME Feeder Cattle Futures Contract		Long		November 2012		24		1,732,200		(33,363	)

	Total Livestock										(178,783	)

	Total Futures Contracts outstanding									$	7,321,862

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued)

September 30, 2012

(Unaudited)

Investments in Derivatives (Continued)

Call Options Written outstanding:


Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Energy	Crude Oil

	ICE Brent Crude Oil Futures Options		November 2012		(57	)	$	124.5	$	(5,700	)

	NYMEX Crude Oil Futures Options		October 2012		(138	)		107.0		(15,180	)

	Total Crude Oil									(20,880	)

	Heating Oil

	NYMEX Heating Oil Futures Options		October 2012		(40	)		3.4		(29,568	)

	Natural Gas

	NYMEX Natural Gas Futures Options		October 2012		(175	)		3,200.0		(379,750	)

	Unleaded Gas

	NYMEX Gasoline RBOB Futures Options		October 2012		(32	)		31,200.0		(49,459	)

	Total Energy									(479,657	)

Industrial Metals	Aluminum

	LME Primary Aluminum Futures Options ⁽³⁾		October 2012		(95	)		2,000.0		(214,819	)

	Copper

	LME Copper Futures Options ⁽³⁾		October 2012		(50	)		8,300.0		(53,525	)

	Nickel

	LME Nickel Futures Options ⁽³⁾		October 2012		(15	)		17,000.0		(129,660	)

	Zinc

	LME Zinc Futures Options ⁽³⁾		October 2012		(28	)		1,950.0		(85,484	)

	Lead

	LME Lead Futures Options ⁽³⁾		October 2012		(17	)		2,125.0		(64,341	)

	Total Industrial Metals									(547,829	)

Agriculturals	Corn

	CBOT Corn Futures Options		November 2012		(162	)		940.0		(24,300	)

	Soybean

	CBOT Soybean Futures Options		October 2012		(84	)		1,520.0		(399,525	)

	CBOT Soybean Futures Options		October 2012		(2	)		1,780.0		(738	)

	Total Soybean									(400,263	)

	Wheat

	CBOT Wheat Futures Options		November 2012		(46	)		1,050.0		(23,575	)

	KCBT Wheat Futures Options		November 2012		(46	)		1,050.0		(30,187	)

	Total Wheat									(53,762	)

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued)

September 30, 2012

(Unaudited)

Investments in Derivatives (Continued)

Call Options Written outstanding (Continued):


Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Agriculturals (continued)	Soybean Meal

	CBOT Soybean Meal Futures Options		November 2012		(33	)	$	450.0	$	(140,580	)

	Soybean Oil

	CBOT Soybean Oil Futures Options		November 2012		(46	)		545.0		(26,634	)

	Total Agriculturals									(645,539	)

Precious Metals	Gold

	CEC Gold Futures Options		November 2012		(65	)		1,760.0		(343,200	)

	Silver

	CEC Silver Futures Options		November 2012		(23	)		3,525.0		(146,740	)

	Total Precious Metals									(489,940	)

Foods and Fibers	Cotton

	ICE Cotton Futures Options		November 2012		(31	)		740.0		(18,445	)

	ICE Cotton Futures Options		November 2012		(23	)		780.0		(4,945	)

	Total Cotton									(23,390	)

	Sugar

	ICE Sugar Futures Options		February 2013		(144	)		222.5		(111,283	)

	Coffee

	ICE Coffee C Futures Options		November 2012		(37	)		182.5		(57,304	)

	Cocoa

	ICE Cocoa Futures Options		November 2012		(23	)		2,600.0		(13,110	)

	Total Foods and Fibers									(205,087	)

Livestock	Live Cattle

	CME Live Cattle Futures Options		December 2012		(98	)		131.0		(19,600	)

	Lean Hogs

	CME Lean Hogs Futures Options		December 2012		(62	)		81.0		(16,120	)

	Total Livestock									(35,720	)

	Total Call Options Written outstanding (premiums received $1,549,959)				(1,572	)			$	(2,403,772	)

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued)

September 30, 2012

(Unaudited)


⁽¹⁾		Ratings: Using the highest of Standard & Poor’s Group, Moody’s Investor Service, Inc. or Fitch, Inc. rating.
⁽²⁾		The Fund expects to invest only in long futures contracts. Some short futures positions arise in futures contracts traded on the London Metal Exchange (“LME”) solely as the result of closing existing long LME futures positions. For every short LME futures contract outstanding, the Fund had previously entered into a long LME futures contract. The London Clearing House is the counterparty for both the long and short position.
⁽³⁾		For fair value measurement disclosure purposes, these Call Options Written are categorized as Level 2. See Notes to Financial Statements, Footnote 2 – Summary of Significant Accounting Policies, Investment Valuation and Fair Value Measurements for more information.
N/A		Not applicable.
CBOT		Chicago Board of Trade
CEC		Commodities Exchange Center
CME		Chicago Mercantile Exchange
ICE		Intercontinental Exchange
KCBT		Kansas City Board of Trade
LIFFE		London International Financial Futures Exchange
LME		London Metal Exchange
NYMEX		New York Mercantile Exchange
RBOB		Reformulated Gasoline Blendstock for Oxygen Blending

See accompanying notes to financial statements.

NUVEEN DIVERSIFIED COMMODITY FUND

STATEMENTS OF OPERATIONS

(Unaudited)


	Three Months Ended September 30,						Nine Months Ended September 30,
	2012			2011			2012			2011
Investment Income:
Interest	$	60,753		$	60,406		$	183,931		$	244,262

Total Investment Income		60,753			60,406			183,931			244,262

Expenses:
Management fees		648,984			756,870			1,968,995			2,316,276
Brokerage commissions		32,317			32,331			116,255			117,607
Custodian’s fees and expenses		26,476			29,729			85,521			65,171
Offering costs		108,554			—			108,554			—
Trustees’ fees and expenses		30,500			31,334			86,861			91,959
Professional fees		169,176			172,616			387,079			310,811
Shareholder reporting expense		42,709			10,794			113,797			121,099
Other expenses		6,451			1,454			17,794			20,701

Total expenses		1,065,167			1,035,128			2,884,856			3,043,624

Net investment income (loss)		(1,004,414	)		(974,722	)		(2,700,925	)		(2,799,362	)

Net realized gain (loss) from:
Short-term investments		140			10,912			(512	)		21,811
Futures contracts		12,753,981			(4,910,124	)		(4,185,595	)		13,120,358
Call options written		918,562			1,508,609			5,154,736			6,866,119
Change in net unrealized appreciation (depreciation) of:
Short-term investments		20,588			13,013			(7,588	)		5,427
Futures contracts		4,533,122			(20,252,466	)		12,243,692			(43,208,750	)
Call options written		(20,858	)		693,216			(1,730,403	)		3,057,295

Net realized gain (loss) and change in net unrealized appreciation (depreciation)		18,205,535			(22,936,840	)		11,474,330			(20,137,740	)

Net income (loss)	$	17,201,121		$	(23,911,562	)	$	8,773,405		$	(22,937,102	)


Net income (loss) per weighted-average share	$	1.87		$	(2.58	)	$	0.95		$	(2.48	)
Weighted-average shares outstanding		9,219,240			9,267,040			9,219,472			9,267,040

See accompanying notes to financial statements.

NUVEEN DIVERSIFIED COMMODITY FUND

STATEMENTS OF CHANGES IN SHAREHOLDERS’ CAPITAL

(Unaudited)


	Nine Months Ended September 30, 2012			Year Ended December 31, 2011
Shareholders’ capital—beginning of period	$	214,180,129		$	247,757,748
Repurchase of shares		(203,766	)		(748,433	)

Net increase (decrease) in shareholders’ capital resulting from operations:
Net investment income (loss)		(2,700,925	)		(3,612,955	)
Net realized gain (loss) from:
Short-term investments		(512	)		21,761
Futures contracts		(4,185,595	)		(2,120,418	)
Call options written		5,154,736			10,035,572
Change in net unrealized appreciation (depreciation) of:
Short-term investments		(7,588	)		4,506
Futures contracts		12,243,692			(23,776,469	)
Call options written		(1,730,403	)		2,741,582

Net income (loss)		8,773,405			(16,706,421	)

Distributions to shareholders		(12,031,110	)		(16,122,765	)

Shareholders’ capital—end of period	$	210,718,658		$	214,180,129

Shares—beginning of period		9,229,040			9,267,040
Issuance of shares		—			—
Repurchase of shares		(9,800	)		(38,000	)

Shares—end of period		9,219,240			9,229,040

See accompanying notes to financial statements.

NUVEEN DIVERSIFIED COMMODITY FUND

STATEMENTS OF CASH FLOWS

(Unaudited)


	Nine Months Ended September 30,
	2012			2011
Cash flows from operating activities:
Net income (loss)	$	8,773,405		$	(22,937,102	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term investments		(1,133,582,615	)		(1,758,367,206	)
Proceeds from sales and maturities of short-term investments		1,130,385,341			1,772,511,338
Premiums paid for call options written		(1,373,715	)		(850,717	)
Premiums received for call options written		6,650,363			7,750,883
Amortization (Accretion)		766,431			1,285,249
(Increase) Decrease in:
Deposits with brokers		14,572,769			(20,912,080	)
Interest receivable		561,049			(859,094	)
Other assets		88,449			(98,332	)
Increase (Decrease) in:
Accrued management fees		(13,497	)		(12,995	)
Accrued other expenses		45,876			(18,290	)
Net realized (gain) loss from:
Short-term investments		512			(21,811	)
Call options written		(5,154,736	)		(6,866,119	)
Change in net unrealized (appreciation) depreciation of:
Short-term investments		7,588			(5,427	)
Futures contracts		(12,243,692	)		43,208,750
Call options written		1,730,403			(3,057,295	)

Net cash provided by (used in) operating activities		11,213,931			10,749,752

Cash flows from financing activities:
Cash paid for shares repurchased		(519,611	)		—
Cash distributions to shareholders		(10,694,320	)		(10,749,768	)

Net cash provided by (used in) financing activities		(11,213,931	)		(10,749,768	)

Net increase (decrease) in cash		—			(16	)
Cash—beginning of period		—			16

Cash—end of period	$	—		$	—

See accompanying notes to financial statements.

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS

September 30, 2012

(Unaudited)

1. Organization

The Nuveen Diversified Commodity Fund (the “Fund”) was organized as a Delaware statutory trust on December 7, 2005, to operate as a commodity pool. Nuveen Commodities Asset Management, LLC, the Fund’s manager (“NCAM” or the “Manager”), a wholly-owned subsidiary of Nuveen Investments, Inc. (“Nuveen”), is a Delaware limited liability company registered as a commodity pool operator and commodity trading advisor with the Commodity Futures Trading Commission (the “CFTC”) and is a member of the National Futures Association (the “NFA”). The Fund commenced operations on September 27, 2010, with its initial public offering. The Fund operates pursuant to a Second Amended and Restated Trust Agreement dated as of March 30, 2012 (“Trust Agreement”). The Fund’s shares represent units of fractional undivided beneficial interest in, and ownership of, the Fund. The Fund’s shares trade on the NYSE MKT (formerly known as NYSE Amex) under the ticker symbol “CFD.” The Fund is not a mutual fund, a closed-end fund, or any other type of “investment company” within the meaning of the Investment Company Act of 1940, as amended, and is not subject to regulation thereunder.

The Manager has selected Gresham Investment Management LLC (“Gresham LLC”), acting through its Near Term Active division (in that capacity, “Gresham” or the “Commodity Sub-advisor”), to manage the Fund’s commodity investment strategy and its options strategy. Gresham LLC is a Delaware limited liability company, the successor to Gresham Investment Management, Inc., formed in July 1992. Gresham LLC is registered with the CFTC as a commodity trading advisor and commodity pool operator, is a member of the NFA and is registered with the Securities and Exchange Commission (the “SEC”) as an investment adviser. On December 31, 2011, Nuveen completed its acquisition of a 60% stake in Gresham LLC. As part of the acquisition, Gresham LLC’s management and investment teams will maintain a significant minority ownership stake in the firm, and will continue to operate independently while leveraging the strengths of Nuveen’s shared resources.

The Manager has selected Nuveen Asset Management, LLC (“Nuveen Asset Management” or the “Collateral Sub-advisor”), an affiliate of the Manager, to serve as the Fund’s Collateral Sub-advisor, investing the Fund’s collateral in short-term, high grade debt securities. Nuveen Asset Management is a Delaware limited liability company and is registered with the SEC as an investment adviser.

The Fund’s investment objective is to generate higher risk-adjusted total return than leading commodity market benchmarks. Risk-adjusted total return refers to the income and capital appreciation generated by a portfolio (the combination of which equals its total return) per unit of risk taken, with such risk measured by the volatility of the portfolio’s total returns over a specific period of time. In pursuing its investment objective, the Fund invests directly in a diversified portfolio of commodity futures, forward and options contracts to obtain broad exposure to all principal groups in the global commodity markets. The Fund’s investment strategy has three elements:

•

An actively managed portfolio of commodity futures and forward contracts utilizing Gresham’s proprietary Tangible Asset Program ^® , or TAP ^® , a long-only rules-based commodity investment strategy designed to maintain consistent, fully collateralized exposure to commodities as an asset class;

•

An integrated program of writing commodity call options designed to enhance the risk-adjusted total return of the Fund’s commodity investments (TAP ^® and the options strategy are collectively referred to as TAP PLUS ^SM ); and

•

A collateral portfolio of cash equivalents and short-term, high grade debt securities.

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

September 30, 2012

(Unaudited)

2. Summary of Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements in accordance with accounting principles generally accepted in the United States (“U.S. GAAP”).

The accompanying unaudited financial statements were prepared in accordance with U.S. GAAP for interim financial information and with the instructions for Form 10-Q and the rules and regulations of the SEC. In the opinion of management, all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements and the notes thereto should be read in conjunction with the Fund’s financial statements included in the Fund’s Annual Report on Form 10-K for the year ended December 31, 2011.

Basis of Accounting

The accompanying financial statements have been prepared in conformity with U.S. GAAP. The preparation of financial statements in conformity with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures 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.

Futures Contracts

The Fund invests in commodity futures contracts. Upon entering into a futures contract, the Fund is required to deposit with the broker an amount of cash or liquid securities equal to a specified dollar amount per contract. This is known as the “initial margin.” Cash held by the broker to cover initial margin requirements on open futures contracts is recognized as “Deposits with brokers” on the Statements of Financial Condition. During the period the futures contract is open, changes in the value of the contract are recognized as an unrealized gain or loss by “marking-to-market” on a daily basis to reflect the changes in market value of the contract, which are recognized as a component of “Unrealized appreciation or depreciation on futures contracts, net” on the Statements of Financial Condition and “Change in net unrealized appreciation (depreciation) of futures contracts” on the Statements of Operations. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract on the closing date and the value of the contract when originally entered into, which is recognized as a component of “Net realized gain (loss) from futures contracts” on the Statements of Operations.

The Fund expects to invest only in long futures contracts. Some short futures positions may arise in futures contracts traded on the London Metal Exchange (“LME”) solely as the result of closing existing long LME futures positions. For every short LME futures contract outstanding, the Fund had previously entered into a long futures contract. The LME Clearing House is the counterparty for both the long and short positions.

Risks of investments in commodity futures contracts include possible adverse movement in the price of the commodities underlying the contracts, the possibility that there may not be a liquid secondary market for the contracts and the possibility that a change in the value of the contract may not correlate with a change in the value of the underlying commodities.

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

September 30, 2012

(Unaudited)

2. Summary of Significant Accounting Policies (Continued)

The average number of futures contracts outstanding during the nine months ended September 30, 2012 and the fiscal year ended December 31, 2011, was 3,517 and 3,636, respectively.

Refer to Footnote 3 – Derivative Instruments and Hedging Activities for further details on futures contract activity.

Options Contracts

The Fund may write (sell) and purchase options on commodity futures and forward contracts to enhance the Fund’s risk-adjusted total return. When the Fund writes an option, an amount equal to the premium received is recognized as a component of “Call options written, at value” on the Statements of Financial Condition and is subsequently adjusted to reflect the current value of the written option until the option expires or the Fund enters into a closing purchase transaction. The changes in value of the options written during the reporting period are recognized as a component of “Change in net unrealized appreciation (depreciation) of call options written” on the Statements of Operations. When an option is exercised or expires, or the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid at expiration or on executing a closing purchase transaction is recognized as a component of “Net realized gain (loss) from call options written” on the Statements of Operations. The Fund, as writer of an option, has no control over whether the underlying instrument may be sold (called) and as a result bears the risk of an unfavorable change in the market value of the instrument underlying the written option. There is also the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. During the nine months ended September 30, 2012 and the fiscal year ended December 31, 2011, the Fund wrote call options on futures contracts.

The purchase of options involves the risk of loss of all or part of the cash paid for the options (the premium). The market risk associated with purchasing options is limited to the premium paid. The counterparty credit risk of purchasing options, however, needs to take into account the current value of the option, as this is the performance expected from the counterparty. The Fund did not purchase options on futures or forward contracts during the nine months ended September 30, 2012 or the fiscal year ended December 31, 2011.

Transactions in call options written were as follows:


	Nine Months Ended September 30, 2012						Year Ended December 31, 2011
	Number of Contracts			Premiums Received			Number of Contracts			Premiums Received
Outstanding, beginning of period		1,657		$	1,428,047			1,813		$	1,629,313
Options written		10,176			6,650,363			13,702			10,798,390
Options terminated in closing purchase transactions		(6,359	)		(3,774,682	)		(9,895	)		(8,022,605	)
Options expired and exercised		(3,902	)		(2,753,769	)		(3,963	)		(2,977,051	)

Outstanding, end of the period		1,572		$	1,549,959			1,657		$	1,428,047

The average number of outstanding call option contracts written during the nine months ended September 30, 2012 and the fiscal year ended December 31, 2011, was 1,650 and 1,712, respectively.

Refer to Footnote 3 – Derivative Instruments and Hedging Activities for further details on options activity.

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

September 30, 2012

(Unaudited)

2. Summary of Significant Accounting Policies (Continued)

Forward Contracts

The Fund may enter into forward contracts. A forward contract is an agreement between two parties to purchase or sell a specified quantity of a commodity at or before a specified date in the future at a specified price. Forward contracts are typically traded in the over-the-counter (“OTC”) markets and all details of the contract are negotiated between the counterparties to the agreement. Accordingly, the forward contracts are valued by reference to the contracts traded in the OTC markets.

The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity, establishing an opposite position in the contract and recognizing the profit or loss on both positions simultaneously on the delivery date or, in some instances, paying a cash settlement before the designated date of delivery. The forward contracts are adjusted by the daily fluctuation of the underlying commodity or currency and any gains or losses are recognized on the Statements of Operations as unrealized appreciation or depreciation until the contract settlement date.

Forward contracts are, in general, not cleared or guaranteed by a third party. The Fund may collateralize forward commodity contracts with cash and/or certain securities as indicated on its Statements of Financial Condition or Schedule of Investments, when applicable, and such collateral is held for the benefit of the counterparty in a segregated account at the custodian to protect the counterparty against non-payment by the Fund. In the event of a default by the counterparty, the Fund will seek return of this collateral and may incur certain costs exercising its right with respect to the collateral.

The Fund remains subject to credit risk with respect to the amount it expects to receive from counterparties, as those amounts are not similarly collateralized by the counterparty. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding. The Fund may obtain only limited recovery or may obtain no recovery in such circumstances.

Participants in trading foreign exchange forward contracts often do not require margin deposits, but rely upon internal credit limitations and their judgments regarding the creditworthiness of their counterparties.

The Fund will enter into forward contracts only with large, well-capitalized and well-established financial institutions. The creditworthiness of each of the firms which is a party to a forward contract is monitored by the Manager. The Fund did not enter into any forward contracts during the nine months ended September 30, 2012 or the fiscal year ended December 31, 2011.

Collateral Investments

Currently, in the normal course of business, approximately 15% of the Fund’s assets are committed to secure the Fund’s futures and forward contract positions. These assets are placed in a commodity futures account maintained by the Fund’s clearing broker, and are held in cash equivalents and high-quality short-term debt securities.

The remaining assets are held in a separate collateral investment account managed by the Collateral Sub-advisor. The Fund’s assets held in the separate collateral account are invested in cash equivalents and high-quality short-term debt securities with final terms not exceeding one year at the time of investment. These collateral investments are rated at the applicable highest short-term or long-term debt or deposit rating or money market fund rating as determined by at least one nationally recognized statistical rating organization (“NRSRO”), or if unrated, are judged by the Collateral Sub-advisor to be of comparable quality.

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

September 30, 2012

(Unaudited)

2. Summary of Significant Accounting Policies (Continued)

Investment Valuation

Commodity futures and forward contracts and options on commodity futures and forward contracts traded on an exchange will be valued at the final settlement price or official closing price as determined by the principal exchange on which the instruments are traded as supplied by independent pricing services. These investments are generally classified as Level 1 for fair value measurement purposes. OTC commodity futures and forward contracts and options on commodity futures and forward contracts not traded on an exchange will be valued, in order of hierarchy, by independent pricing services, price quotations obtained from counterparty broker-dealers, or through fair valuation methodologies as determined by the Manager. These investments are generally classified as Level 2. Additionally, events may occur after the close of the market, but prior to the determination of the Fund’s net asset value, that may affect the values of the Fund’s investments. In such circumstances, the Manager will determine a fair valuation for such investments that in its opinion is reflective of fair market value. These investments are generally classified as Level 2 or Level 3 depending on the priority of the significant inputs.

Prices of fixed-income securities, including, but not limited to, highly rated zero coupon fixed-income securities and U.S. Treasury bills, issued with maturities of one year or less, are provided by a pricing service approved by the Fund’s Manager. These securities are generally classified as Level 2. The pricing service establishes a security’s fair value using methods that may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligor’s credit characteristics considered relevant. These securities are generally classified as Level 2 or Level 3 depending on the priority of the significant inputs.

Repurchase agreements are valued at contract amount plus accrued interest, which approximates market value. These securities are generally classified as Level 2.

Fair Value Measurements

Fair value is defined as the price that the Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The following is a summary of the three-tier hierarchy of valuation inputs.

Level 1—Inputs are unadjusted and prices are determined by quoted prices in active markets for identical securities.

Level 2—Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments).

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

September 30, 2012

(Unaudited)

2. Summary of Significant Accounting Policies (Continued)

The inputs or methodologies used for valuing securities are not an indication of the risks associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of September 30, 2012 and December 31, 2011:


	September 30, 2012
	Level 1			Level 2			Level 3		Total
Short-Term Investments:
U.S. Government and Agency Obligations	$	—		$	175,874,372		$	—	$	175,874,372
Repurchase Agreements		—			2,175,324			—		2,175,324
Derivatives:
Futures Contracts*		7,321,862			—			—		7,321,862
Call Options Written**		(1,855,943	)		(547,829	)		—		(2,403,772	)

Total	$	5,465,919		$	177,501,867		$	—	$	182,967,786


	December 31, 2011
	Level 1			Level 2			Level 3		Total
Short-Term Investments:
U.S. Government and Agency Obligations	$	—		$	174,425,536		$	—	$	174,425,536
Repurchase Agreements		—			1,201,417			—		1,201,417
Derivatives:
Futures Contracts*		(4,921,830	)		—			—		(4,921,830	)
Call Options Written**		(548,427	)		(3,030	)		—		(551,457	)

Total	$	(5,470,257	)	$	175,623,923		$	—	$	170,153,666

*	Represents net unrealized appreciation (depreciation) as reported in the Schedule of Investments.

**	Refer to the Schedule of Investments for breakdown of Call Options Written classified as Level 2.

Investment Transactions

Investment transactions are recorded on a trade date basis. Realized gains and losses from investment transactions are determined on the specific identification method, which is the same for federal income tax purposes.

Investment Income

Interest income, which reflects the amortization of premiums and includes accretion of discount for financial reporting purposes, is recorded on an accrual basis.

Brokerage Commissions and Fees

The Fund pays its respective brokerage commissions, including applicable clearing costs, exchange fees, NFA fees, give-up fees, pit brokerage fees and other transaction-related fees and expenses, incurred in connection with trading activities for the Fund’s investment in CFTC regulated investments.

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

September 30, 2012

(Unaudited)

2. Summary of Significant Accounting Policies (Continued)

Income Taxes

No provision for federal, state, and local income taxes has been made in the accompanying financial statements because the Fund has elected to be classified as a partnership for U.S. federal income tax purposes. Each owner of the Fund’s shares will be required to take into account its allocable share of the Fund’s income, gains, losses, deductions and other items for the Fund’s taxable year.

For all open tax years and all major taxing jurisdictions, the Manager of the Fund has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Open tax years are those that are open for examination by taxing authorities (i.e., generally the last four tax year ends and the interim tax period since then). Furthermore, the Manager of the Fund is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

Expense Recognition

All expenses of the Fund are recognized on an accrual basis. The Fund pays all routine and extraordinary costs and expenses of its operations, brokerage expenses, custody fees, transfer agent expenses, professional fees, expenses of preparing, printing and distributing reports, notices, information statements, proxy statements, reports to governmental agencies, and taxes, if any.

Offering Costs

During April 2011, the Fund filed a Registration Statement on Form S-1 with the SEC to register additional shares of the Fund for future issuance. Costs incurred by the Fund in connection with a future offering were recorded as a deferred charge, which are recognized as a component of “Other assets” on the Statements of Financial Condition. Due to market conditions the offering has not taken place. During September 2012, the Manager concluded that some of the costs incurred by the Fund should be expensed since they would not benefit the Fund in a future offering. These costs are recognized as “Offering costs” on the Statements of Operations.

Custodian Fee Credit

The Fund has an arrangement with its custodian bank, State Street Bank and Trust Company, whereby certain custodian fees and expenses are reduced by net credits earned on the Fund’s cash on deposit. Such deposit arrangements are an alternative to overnight investments. Credits for cash balances may be offset by charges for any days on which the Fund overdraws its account at the custodian bank.

Calculation of Net Asset Value

The net asset value per share of the Fund on any given day is computed by dividing the value of all assets of the Fund (including any accrued interest), less all liabilities (including accrued expenses and distributions declared but unpaid), by the total number of shares outstanding.

Distributions

The Fund intends to make regular monthly distributions to its shareholders (stated in terms of a fixed cents per share distribution rate) based on the past and projected performance of the Fund. Among other factors, the

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

September 30, 2012

(Unaudited)

2. Summary of Significant Accounting Policies (Continued)

Fund seeks to establish a distribution rate that roughly corresponds to the Manager’s projections of the total return that could reasonably be expected to be generated by the Fund over an extended period of time. Each monthly distribution is not solely dependent on the amount of income earned or capital gains realized by the Fund, and such distributions may from time to time represent a return of capital and may require that the Fund liquidate investments. As market conditions and portfolio performance may change, the rate of distribution on the shares and the Fund’s distribution policy could change. The Fund reserves the right to change its distribution policy and the basis for establishing the rate of its monthly distributions, or may temporarily suspend or reduce distributions without a change in policy, at any time and may do so without prior notice to shareholders.

Distributions to shareholders are recorded on the ex-dividend date.

Commitments and Contingencies

Under the Fund’s organizational documents, the Manager, Wilmington Trust Company (the Fund’s Delaware trustee) and the Manager’s Independent Committee members are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund enters into contracts that provide general indemnifications to other parties. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, the Fund has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be immaterial.

Financial Instrument Risk

In the normal course of its business, the Fund is party to financial instruments with off-balance sheet risk. The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the Statements of Financial Condition, may result in a future obligation or loss. The financial instruments used by the Fund are commodity futures and options, whose values are based upon an underlying asset and generally represent future commitments that have a reasonable possibility of being settled in cash or through physical delivery. As of September 30, 2012 and December 31, 2011, the financial instruments held by the Fund are traded on an exchange and are standardized contracts.

Market risk is the potential for changes in the value of the financial instruments traded by the Fund due to market changes, including fluctuations in commodity prices. In entering into futures contracts, there exists a market risk that such futures contracts may be significantly influenced by adverse market conditions, resulting in such futures contracts being less valuable. If the markets should move against all of the futures contracts at the same time, the Fund could experience substantial losses.

Credit risk is the possibility that a loss may occur due to failure of a counterparty to perform according to the terms of the forwards, futures and option contracts. Credit risk with respect to exchange-traded instruments is reduced to the extent that an exchange or clearing organization acts as a counterparty to the transactions. The Fund’s risk of loss in the event of counterparty default is typically limited to the amounts recognized on the Statements of Financial Condition and not represented by the contract or notional amounts of the instruments.

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

September 30, 2012

(Unaudited)

3. Derivative Instruments and Hedging Activities

The Fund records derivative instruments at fair value, with changes in fair value recognized on the Statements of Operations. For additional information on the derivative instruments in which the Fund invested during and at the end of the reporting period, refer to the Schedule of Investments and Footnote 2 – Summary of Significant Accounting Policies.

The following tables present the fair value of all derivative instruments held by the Fund, the location of these instruments on the Statements of Financial Condition and the primary underlying risk exposure.


		Nine Months Ended September 30, 2012 Location on the Statements of Financial Condition
Underlying Risk Exposure	Derivative Instrument	Asset Derivatives				Liability Derivatives
Underlying Risk Exposure	Derivative Instrument	Location	Value			Location	Value

Commodity	Futures Contracts	Unrealized appreciation on futures contracts, net*	$	11,037,181		—	$	—
Commodity	Futures Contracts	Unrealized appreciation on futures contracts, net*		(3,715,319	)	—		—
Commodity	Options	—		—		Call options written, at value		(2,403,772	)
Total			$	7,321,862			$	(2,403,772	)


		Year Ended December 31, 2011 Location on the Statements of Financial Condition
Underlying Risk Exposure	Derivative Instrument	Asset Derivatives			Liability Derivatives
Underlying Risk Exposure	Derivative Instrument	Location	Value		Location	Value

Commodity	Futures Contracts	—	$	—	Unrealized depreciation on futures contracts, net*	$	(7,771,315	)
Commodity	Futures Contracts	—		—	Unrealized depreciation on futures contracts, net*		2,849,485
Commodity	Options	—		—	Call options written, at value		(551,457	)
Total			$	—		$	(5,473,287	)

Value represents cumulative gross unrealized appreciation (depreciation) of futures contracts as reported in the Schedule of Investments and not the “Deposits with brokers” or the “Unrealized appreciation (depreciation) on futures contracts, net” as presented on the Statements of Financial Condition.

The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized on derivative instruments and the primary underlying risk exposure.



Commodity Risk Exposure	Nine Months Ended September 30, 2012			Year Ended December 31, 2011
Net realized gain (loss) from:
Futures contracts Call options written	$	(4,185,595 5,154,736	)	$	(2,120,418 10,035,572	)
Change in net unrealized appreciation (depreciation) of:
Futures contracts Call options written	$	12,243,692 (1,730,403	)	$	(23,776,469 2,741,582	)

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

September 30, 2012

(Unaudited)

4. Related Parties

The Manager, the Commodity Sub-advisor (as of December 31, 2011) and the Collateral Sub-advisor are considered to be related parties to the Fund.

For the services and facilities provided by the Manager, the Fund has agreed to pay the Manager an annual management fee, payable monthly, based on the Fund’s average daily net assets, according to the following schedule:


Average Daily Net Assets	Management Fee
For the first $500 million		1.250	%
For the next $500 million		1.225
For the next $500 million		1.200
For the next $500 million		1.175
For net assets over $2 billion		1.150

“Average daily net assets” means the total assets of the Fund, minus the sum of its total liabilities.

The Manager and the Fund have entered into sub-advisory agreements with the Commodity Sub-advisor and the Collateral Sub-advisor. Both the Commodity Sub-advisor and Collateral Sub-advisor (collectively, the “Sub-advisors”) are compensated for their services to the Fund from the management fees paid to the Manager.

5. Share Repurchase Program

On December 21, 2011, the Fund adopted an open-market share repurchase program allowing the Fund to repurchase an aggregate of up to 10% of its outstanding common shares (approximately 920,000 shares) in open-market transactions at the Manager’s discretion.

Transactions in share repurchases were as follows:


	Nine Months Ended September 30, 2012			Year Ended December 31, 2011
Shares repurchased		(9,800	)		(38,000	)

Weighted average price per share repurchased	$	20.77		$	19.68

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

September 30, 2012

(Unaudited)

6. Financial Highlights

The following financial highlights relate to investment performance and operations for a Fund share outstanding during the three and nine months ended September 30, 2012 and the three and nine months ended September 30, 2011. The Net Asset Value presentation is calculated using average daily shares outstanding. The Ratios to Average Net Assets are calculated using average daily net assets and have been annualized for periods less than a full fiscal year. The Total Returns at Net Asset Value and Market Value are based on the change in net asset value and market value, respectively, for a share during the period. An investor’s return and ratios will vary based on the timing of purchasing and selling Fund shares.


	Three Months Ended						Nine Months Ended
	September 30, 2012			September 30, 2011			September 30, 2012			September 30, 2011
Net Asset Value:
Net asset value per share —beginning of period	$	21.43		$	25.97		$	23.21		$	26.74
Net investment income (loss)		(.11	)		(.10	)		(.29	)		(.30	)
Net realized and unrealized gain (loss)		1.98			(2.47	)		1.25			(2.17	)
Distributions		(.44	)		(.44	)		(1.31	)		(1.31	)

Net asset value per share—end of period	$	22.86		$	22.96			22.86		$	22.96

Market Value:
Market value per share—beginning of period	$	20.40		$	26.25		$	20.30		$	25.80

Market value per share—end of period	$	22.02		$	20.52		$	22.02		$	20.52

Ratios to Average Net Assets: ^(a)
Net investment income (loss)		(1.93	)%		(1.61	)%		(1.71	)%		(1.51	)%

Expenses		2.05	%		1.71	%		1.83	%		1.64	%

Total Returns: ^(b)
Based on Net Asset Value		8.74	%		(10.05	)%		4.29	%		(9.83	)%

Based on Market Value		10.12	%		(20.39	)%		15.13	%		(16.39	)%

(a)	Annualized.

(b)

Total Return Based on Net Asset Value is the combination of changes in net asset value per share and the assumed reinvestment of distributions, if any, at net asset value per share on the distribution payment date. The last distribution declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the net asset value per share at the end of the period. Total returns are not annualized.

Total Return Based on Market Value is the combination of changes in the market price per share and the assumed reinvestment of distributions, if any, at the ending market price per share on the distribution payment date. The last distribution declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price per share at the end of the period. Total returns are not annualized.

7. Subsequent Events

On October 5, 2012, the fund withdrew its Registration Statement on Form S-1 with the SEC to register additional shares of the Fund for future issuance.

Item 2.

Management’s Discussion and Analysis of Financial Condition and Results of Operations

This information should be read in conjunction with the financial statements and notes to financial statements included in Item 1 of Part I of this Quarterly Report (the “Report”). The discussion and analysis includes forward-looking statements that generally relate to future events or future performance. In some cases, you can identify forward-looking statements by terminology such as “may,” “will,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential” or the negative of these terms or other comparable terminology. These forward-looking statements are based on information currently available to Nuveen Commodities Asset Management, LLC (“NCAM” or the “Manager”), Gresham Investment Management LLC and its Near Term Active division (such division referred to herein as “Gresham” or the “Commodity Sub-advisor”) and Nuveen Asset Management, LLC (“Nuveen Asset Management” or the “Collateral Sub-advisor”) and are subject to a number of risks, uncertainties and other factors, both known and unknown, that could cause the actual results, performance, prospects or opportunities of the Nuveen Diversified Commodity Fund (the “Fund”) to differ materially from those expressed in, or implied by, these forward-looking statements.

You should not place undue reliance on any forward-looking statements. Except as expressly required by the federal securities laws, the Fund and the Manager undertake no obligation to publicly update or revise any forward-looking statements or the risks, uncertainties or other factors described in this Report, as a result of new information, future events or changed circumstances or for any other reason after the date of this Report.

Introduction

The Fund is a commodity pool which was organized as a Delaware statutory trust on December 7, 2005, and completed its initial public offering on September 30, 2010. The shares of the Fund trade on the NYSE MKT (formerly known as the NYSE Amex) under the ticker symbol “CFD.” The Fund’s investment objective is to generate higher risk-adjusted total return than leading commodity market benchmarks. In pursuing its investment objective, the Fund invests directly in a diversified portfolio of commodity futures and forward contracts to obtain broad exposure to all principal groups in the global commodity markets. The Fund is unleveraged, and the Fund’s commodity contract positions are fully collateralized with cash equivalents, U.S. government securities, and other short-term, high grade debt securities. The Fund also writes commodity call options seeking to enhance the Fund’s risk-adjusted total return. The Manager focuses on the Dow Jones-UBS Commodity Index ^® (“DJ-UBSCI”) when evaluating the performance of the commodity futures, forwards, and options positions (the commodity portfolio) in the Fund’s portfolio against the overall commodity market.

Results of Operations

The Quarter Ended September 30, 2012—Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $22.02 on the close of business on September 28, 2012 (the last trading day of the period). This represents an increase of 7.94% in share price (not including an assumed reinvestment of distributions) from the $20.40 price at which the shares of the Fund traded on the close of business on June 29, 2012 (the last trading day of the previous fiscal period). The high and low intra-day share prices for the quarter were $23.25 (September 24, 2012) and $20.20 (July 2, 2012), respectively. During the quarter, the Fund declared distributions totaling $0.435 per share to shareholders, of which $0.145 was paid on October 1, 2012. The remainder was paid during the quarter. The cumulative total return on market value for the Fund, including the assumed reinvestment of distributions during the period, for the quarter ended September 30, 2012 was 10.12%. At September 28, 2012, the shares of the Fund traded at a 3.67% discount to the Fund’s net asset value of $22.86.

The Quarter Ended September 30, 2011—Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $20.52 on the close of business on September 30, 2011. This represented a decrease of 21.83% in share price (not including an assumed reinvestment of

distributions) from the $26.25 price at which the shares of the Fund traded on the close of business on June 30, 2011. The high and low share prices for the quarter were $27.39 (July 7, 2011) and $20.41 (September 30, 2011), respectively. During the quarter, the Fund declared distributions totaling $0.435 per share to shareholders, of which $0.145 was paid on October 3, 2011. The remainder was paid during the quarter. The cumulative total return on market value for the Fund, including the assumed reinvestment of distributions during the period, for the quarter ended September 30, 2011 was -20.39%. At September 30, 2011, the shares of the Fund traded at a 10.63% discount to the Fund’s net asset value of $22.96.

The Quarter Ended September 30, 2012—Net Assets of the Fund

The Fund’s net assets increased from $197.5 million as of June 30, 2012, to $210.7 million as of September 30, 2012, an increase of $13.2 million. The increase in the Fund’s net assets was due to $13.7 million in net realized gains and $4.5 million in unrealized appreciation on the Fund’s commodity portfolio during the quarter, a net investment loss of $1.0 million, and $4.0 million of distributions declared to shareholders.

The Fund’s commodity and options portfolio gained approximately 9.0% during the quarter before considering the expenses of the Fund. The overall commodities market, as measured by the DJ-UBSCI, rose 9.7% during the quarter. The index rose during each month of the quarter, with the bulk of gains recorded in July. Commodity performance continued to be driven by investor uncertainty over the global economic outlook, although anticipation of a third round of quantitative easing by the U.S. Federal Reserve and apparent progress on solving the European debt crisis lifted some commodity markets at the end of the quarter. The effects of the severe drought across the United States also impacted a number of commodity markets, primarily agriculturals, livestock and natural gas.

In aggregate, the Fund’s commodity portfolio underperformed the DJ-UBSCI by approximately 0.7% for the quarter, before considering the expenses of the Fund. With respect to the different commodities groups, the Fund’s commodity portfolio outperformed the DJ-UBSCI for the quarter in energy, industrial metals, livestock, and foods and fibers, and underperformed the DJ-UBSCI in agriculturals and precious metals.

Agricultural commodities were generally strong for the third quarter, as the continuing severe drought reduced expected crop production and yields, thus tightening supplies. Grains prices made large gains in July and August, but moderated in September. Corn, soybeans and wheat gained 19%, 12% and 17%, respectively, within the DJ-UBSCI. For the agricultural group, the Fund returned approximately 7.1%, versus 13.7% for the DJ-UBSCI. Within the agricultural commodity group, the Fund’s options writing hindered the Fund’s performance when compared to the DJ-UBSCI.

Energy commodities also showed strength in the third quarter, up 12% as a group in the DJ-UBSCI. Crude oil and refined products gained from concerns over several potential threats to near-term supplies including political tensions in the Middle East, production shortfalls in the North Sea, and refinery outages in the United States from hurricanes and accidents. Natural gas gained in the quarter, benefiting from the hot summer weather and the consequent strong demand for gas to produce electricity for air conditioning. The Fund held larger portfolio allocations than the DJ-UBSCI to all energy commodities except natural gas. For the energy group, the Fund portfolio returned approximately 12.8%, versus 11.9% for the DJ-UBSCI.

Industrial metals experienced large gains during the quarter: aluminum rose 9%, copper rose 7%, and nickel and zinc each gained 10% in the DJ-UBSCI. Although weak performers earlier in the year, industrial metals rose on expectations of an improved global economy resulting from monetary easing by the Federal Reserve. The Fund’s portfolio weighting in industrial metals is slightly lower than that of the DJ-UBSCI, but the Fund was able to retain premiums on options positions and therefore outperformed for the third quarter. For the industrial metals group, the Fund portfolio returned approximately 9.6%, versus 8.6% for the DJ-UBSCI.

Livestock commodities were volatile during the third quarter. They rose early in the period with grain prices, as the market expected ranchers to pass along the increased costs. Later in the quarter, however, because of higher feeding costs, farmers began to bring livestock to market early, increasing short-term supplies and sending prices lower. Lean hogs were down 11% in the quarter, and live cattle prices were lower by approximately 3% in the DJ-UBSCI. For the overall livestock group, the Fund portfolio lost approximately 3.9%, compared to a loss of 5.8% for the DJ-UBSCI.

The precious metals group in the DJ-UBSCI gained 13.4% in the third quarter, primarily driven by a gain of almost 25% in silver and a gain in gold of slightly more than 10%. Prices rose in anticipation of monetary easing by the U.S. Federal Reserve. For the precious metals group, the Fund portfolio returned approximately 13.3%, versus 13.4% for the DJ-UBSCI.

Foods and fibers were off for the quarter by 3% in the DJ-UBSCI, primarily on a 6% drop in sugar, which weakened on forecasts that the sugar cane crop in Brazil would be larger than expected due to a favorable turn in the weather. Due to portfolio weights in coffee and cocoa contracts traded in the London International Financial Futures Exchange (“LIFFE”), which are not part of the DJ-UBSCI, the Fund outperformed the DJ-UBSCI in foods and fibers for the third quarter. For the food and fibers group, the Fund’s portfolio lost approximately 0.2%, versus a loss of 3.3% for the DJ-UBSCI.

The commodity call option component of the portfolio had mixed results over the period. Even though the Fund lost some of the upside on positions that were called, it served to limit the volatility of the overall portfolio. The Commodity Sub-advisor utilizes a quantitatively-driven strategy to set the call option strike prices it writes (sells) at various levels out of the money. Typically, when a call option’s strike price is further out of the money, a greater upside potential remains, although this benefit can be offset by a smaller premium for selling the options.

During the quarter, a portion of the commodity portfolio’s options expired without being exercised, which benefited the Fund’s performance. This allowed the Fund to earn the call option premium, offsetting some of the losses experienced in the futures positions, and in some cases, depending on the contract and time period, without sacrificing any appreciation. For example, with respect to crude oil (WTI), out-of-the-money options with high relative premiums helped the portfolio’s performance. Heating oil and copper options also earned premiums offsetting futures losses. However, among the agricultural commodity group, the Fund’s options writing limited the upside capture. This is illustrated by corn as prices rose approximately 19% in the quarter in the DJ-UBSCI, but the performance of the Fund’s corn position was approximately 7% over the same period, reflecting the negative impact of forgone futures contract appreciation as the option contracts were exercised. That is, the premiums received on the options contracts were less than the foregone upside of the futures positions. For the Fund’s commodity portfolio overall, the increased volatility in third quarter drove higher premiums for option writing.

During the quarter ended September 30, 2012, the Fund’s collateral investments generated interest income of $60,753.

The net asset value per share on September 30, 2012, was $22.86. This represents an increase of 6.67% in net asset value (not including the effect of reinvesting distributions) from the $21.43 net asset value as of June 30, 2012. The Fund declared distributions of $0.435 per share during the quarter, of which $0.145 was paid on October 1, 2012. The remainder was paid during the quarter. When these distributions are taken into account, the cumulative total return for the Fund on net asset value was 8.74% for the quarter ended September 30, 2012.

The Fund generated net income of $17.2 million for the quarter ended September 30, 2012, resulting from interest income of $0.1 million, net expenses of $1.1 million, net realized gains of $13.7 million, and net unrealized appreciation of $4.5 million.

The Quarter Ended September 30, 2011—Net Assets of the Fund

The Fund’s net assets decreased from $240.7 million at June 30, 2011, to $212.7 million at September 30, 2011, a decrease of $28.0 million. The decrease in the Fund’s net assets was due to $3.4 million in net realized losses and an increase of $19.6 million in the change in net unrealized depreciation on the Fund’s commodity portfolio during the quarter, a net investment loss of $1.0 million, and $4.0 million of distributions declared to shareholders.

The Fund’s commodity and options portfolio fell approximately 9.9% during the quarter before considering the expenses of the Fund. The overall commodities market, as measured by the DJ-UBSCI, fell 11.3% during the quarter. Commodity markets had a volatile quarter with gains generated in July and August being overshadowed by losses in September. Commodity performance was driven by a lack of confidence in the overall market and macro level events, such as the continuing sovereign debt crisis in Europe that plagued the majority of markets in the third quarter.

Even in this environment, two of the six principal commodity groups in the Fund’s and the DJ-UBSCI’s commodity portfolios increased in the third quarter of 2011. The increases came mainly from livestock, which experienced an increase of approximately 6%, and within that group its holding of lean hogs and live cattle, which posted positive returns of approximately 11% and 5%, respectively. Gold had an increase of approximately 7% and helped the precious metals group post a small positive return for the quarter, despite losses in other precious metals such as silver. The most significant decline came from the industrial metals group, which experienced a decline of approximately 22%, with all of its individual commodities losing over 21%, with the exception of aluminum, which was down approximately 16%. Energies, foods and fibers and agriculturals also decreased approximately 12%, 8% and 7%, respectively. When compared to its benchmark, the portfolio outperformed the DJ-UBSCI by approximately 1.4% for the quarter, before considering the expenses of the Fund, due to the Fund’s commodity weighting differences and trading strategy. Three of the six commodity groups in which the Fund trades outperformed the benchmark, led by the portfolio’s investments in energy commodities, which outperformed the DJ-UBSCI mainly due to the underweight in natural gas, along with the inclusion of Brent crude oil, which is held by the Fund but not held in the DJ-UBSCI. The Fund’s investments in the agricultural group also outperformed the DJ-UBSCI, mostly due to the Fund’s smaller allocation to corn, soybeans, and soybean oil. Precious metals and foods and fibers slightly underperformed when compared to the DJ-UBSCI, but industrial metals had a more significant underperformance due to the Fund being overweight on copper.

The commodity call option component of the portfolio was generally successful over the period as it served to limit volatility without significant impact on the commodity futures contracts. The Commodity Sub-advisor utilizes a quantitatively driven strategy to set the call option strike prices it writes (sells) at various levels out-of-the money. Typically, the more out-of-the-money a written call option strike price is, the more upside potential remains, though this is balanced by less premium received for selling the options. During the quarter, several of the commodity portfolio’s options expired without being exercised. This allowed the Fund to earn the call option premium offsetting some of the losses experienced in the futures positions and without sacrificing any appreciation depending on the contract and time period, which benefited the Fund’s performance. In certain cases earlier in the quarter where the futures price appreciation was significant, such as corn and silver, the options the Fund wrote were exercised, which limited the Fund’s full participation in that commodity contract’s gains. In July, while silver futures prices rose approximately 15%, the commodity portfolio’s futures and options performance was approximately 13% over the same period, reflecting the impact of the forgone futures contract appreciation due to the option contracts being in-the-money. In total for the quarter, across all of the commodity and options holdings, the Fund’s commodity portfolio outperformed the DJ-UBSCI by approximately 1.4% while experiencing less volatility.

During the quarter ended September 30, 2011, the Fund’s collateral investments generated interest income of $60,406.

The net asset value per share on September 30, 2011, was $22.96. This represents a decrease of 11.59% in net asset value (not including the effect of reinvesting distributions) from the $25.97 net asset value as of June 30, 2011. The Fund declared distributions of $0.435 per share during the quarter, of which $0.145 was paid on October 3, 2011. The remainder was paid during the quarter. When these distributions are taken into account, the cumulative total return for the Fund on net asset value was -10.05% for the quarter ended September 30, 2011.

The Fund generated a net loss of $23.9 million for the quarter ended September 30, 2011, resulting from interest income of $0.1 million being offset by net expenses of $1.0 million, net realized losses of $3.4 million, and an increase in the change in net unrealized depreciation of $19.6 million.

The Nine Months Ended September 30, 2012—Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $22.02 on the close of business on September 28, 2012 (the last trading day of the period). This represents an increase of 8.47% in share price (not including an assumed reinvestment of distributions) from the $20.30 price at which the shares of the Fund traded on the close of business on December 30, 2011 (the last trading day of the previous fiscal period). The high and low intra-day share prices for the nine month period were $24.98 (March 22, 2012) and $19.16 (June 1, 2012), respectively. During the nine month period, the Fund declared distributions totaling $1.305 per share to shareholders, of which $0.145 was paid on October 1, 2012. The remainder was paid during the nine month period. The cumulative total return on market value for the Fund, including the assumed reinvestment of distributions, for the nine month period ended September 30, 2012, was 15.13%. As of September 28, 2012, the shares of the Fund traded at a 3.67% discount to the Fund’s net asset value of $22.86.

The Nine Months Ended September 30, 2011—Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $20.52 on the close of business on September 30, 2011. This represented a decrease of 20.47% in share price (not including an assumed reinvestment of distributions) from the $25.80 price at which the shares of the Fund traded on the close of business on December 31, 2010. The high and low share prices for the nine month period were $29.40 (April 29, 2011) and $20.41 (September 30, 2011), respectively. During the nine month period, the Fund declared distributions totaling $1.305 per share to shareholders, of which $0.145 was paid on October 3, 2011. The remainder was paid during the period. The cumulative total return on market value for the Fund including the assumed reinvestment of distributions during the nine month period ended September 30, 2011 was -16.39%. At September 30, 2011, the shares of the Fund traded at a 10.63% discount to the Fund’s net asset value of $22.96.

The Nine Months Ended September 30, 2012—Net Assets of the Fund

The Fund’s net assets decreased from $214.2 million as of December 31, 2011, to $210.7 million as of September 30, 2012, a decrease of $3.5 million. The decrease in the Fund’s net assets was due to $0.9 million in net realized gains and $10.5 million in unrealized appreciation on the Fund’s commodity portfolio during the period, a net investment loss of $2.7 million, $12.0 million of distributions declared to shareholders and a $0.2 million decrease in net assets due to share repurchases.

The Fund’s commodity portfolio and options portfolio gained approximately 5.8% during the first nine months of 2012, before considering the expenses of the Fund. The overall commodities market, as measured by the DJ-UBSCI, gained 5.6%. Commodities markets generally rose during January and February 2012, but fell from March through May on investors’ concerns over the global economic outlook. Beginning in June, extreme heat throughout the United States and other parts of the world boosted prices, particularly in the agricultural group, while geopolitical tensions and supply disruption lifted prices in the energy group.

In aggregate, the Fund’s commodity portfolio outperformed the DJ-UBSCI by approximately 0.22% for the first nine months of 2012, before considering the expenses of the Fund. With respect to commodities groups, the

Fund’s commodity portfolio outperformed the DJ-UBSCI in energy, industrial metals, livestock, and foods and fibers, and underperformed the DJ-UBSCI in agriculturals and precious metals.

Agricultural commodities made small gains in the first quarter of 2012, but prices weakened through June as early crop forecasts called for ideal growing conditions and record production. In July and August, however, severe drought gripped much of the United States, threatening the year’s harvest and driving prices of corn and soybeans to record levels. As the growing season progressed, the production outlook improved, especially for soybeans, which benefited from late season rains. Soybeans gained 40% in the nine month period, and corn and wheat each gained 29% in the DJ-UBSCI. The Fund underperformed the DJ-UBSCI in those commodities due to losses on option positions, but added value with an allocation to soybean meal, which is not included in the DJ-UBSCI. The Fund’s portfolio returned approximately 21.5% in the agricultural group, while the DJ-UBSCI returned 28.6%.

In energy, prices fell from the start of 2012 through mid-June, on concerns over a decrease in the demand for oil and refined products from a global economic slowdown, as well as growing crude oil inventories and natural gas production in the United States. Crude oil prices reversed in mid-June, however, on fears that political actions in the Middle East might constrain global oil supplies. Additionally, in the United States, gasoline prices gained on refinery shutdowns, both planned and unplanned, and natural gas prices rose due to increased demand from power generation companies. WTI crude oil prices fell 10% in the nine month period, while Brent crude rose 7%, as measured by the DJ-UBSCI. Also, natural gas prices fell 22% for the period overall, while gasoline prices were up 26% in the DJ-UBSCI. The Fund held a larger portfolio allocation than the DJ-UBSCI in all energy commodities except natural gas, and thus outperformed the benchmark. The Fund’s portfolio gained 0.03% in the energy group, while the DJ-UBSCI lost 4.4%.

Prices of industrial metals lost ground from the start of 2012 through mid-June on a poor outlook for industrial production. The group turned around in late August, rallying in anticipation of the benefits to global industrial production of further monetary easing by central banks. Performance of individual commodities was mixed, with aluminum off 1%, while copper and zinc were up 8% and 12%, respectively, in the DJ-UBSCI. The Fund’s portfolio returned 6.3% in the industrial metals group, while the DJ-UBSCI returned 4.4%.

Livestock prices were volatile throughout the nine month period, fluctuating during the first half of the year following the trend of grain prices, reflecting expectations of falling feed costs and a generous supply of cattle and hogs later in the year. However, from July on, the severe drought and higher actual feed costs forced many ranchers to send their herds to market early, pulling prices back. For the first three quarters of 2012, prices of lean hogs, feeder cattle and live cattle all were off, and the livestock group lost 8% in price, as measured by the DJ-UBSCI. The Fund had a greater allocation to livestock than the DJ-UBSCI, but outperformed the benchmark through its profits on options positions. In particular, the Fund’s options on lean hogs added significant value in the third quarter. The Fund’s portfolio lost approximately 5.4% in the livestock group, while the DJ-UBSCI lost 7.9%.

Precious metals in the DJ-UBSCI advanced 15% for the nine month period, with a 23% gain in silver and a 12% rise in gold. The group experienced sharp gains in January and February, which were reversed through the second half of July. Between then and the end of the third quarter, precious metals gained on anticipation of monetary easing by the U.S. Federal Reserve and other central banks. The Fund’s portfolio returned approximately 14.5% in the precious metals group, while the DJ-UBSCI returned 14.6%.

All food and fiber commodities in the DJ-UBSCI benchmark experienced losses for 2012’s first nine months, with cotton falling 17%, sugar 9%, and coffee 27% in the DJ-UBSCI. Prices fell steadily through mid-June, and after staging a one-month rally, resumed their decline. Cotton prices were weak on concerns over global economic growth, while coffee and sugar prices were off due to larger-than-expected crops, as well as a slowdown in demand. For the commodities in the DJ-UBSCI, the Fund holds approximately equal allocations. However, the portfolio also holds positions in LIFFE-traded coffee and cocoa. Neither is included in the DJ-UBSCI, and both experienced gains

for the nine month period, providing the Fund with an outperformance for the foods and fibers group. In addition the Fund’s option writing strategy added value in coffee traded in the Intercontinental Exchange (“ICE”). The Fund’s portfolio lost approximately 10.9% in the foods and fibers group, while the DJ-UBSCI lost 16.7%.

During the first nine months of 2012, several of the Fund’s commodity portfolio’s options expired without being exercised. This allowed the Fund to earn the call option premium, and offset some of the losses experienced in the futures positions without sacrificing any appreciation, benefiting the Fund’s performance. The option writing was most beneficial in the energy group, where option premiums helped cushion losses experienced in both crude oil and natural gas positions. In certain cases, such as corn and soybeans, where the futures price appreciation was significant, the options which the Fund had written were exercised, thereby limiting the Fund’s full participation in those commodity contracts’ gains. In total, across all of the commodity and options holdings, the Fund’s portfolio outperformed the DJ-UBSCI by approximately 0.22% before considering the expenses of the Fund, while experiencing less volatility.

During the nine month period ended September 30, 2012, the Fund’s collateral investments generated interest income of $183,931.

The net asset value per share as of September 30, 2012, was $22.86. This represents a decrease of 1.51% in net asset value (not including the effect of reinvesting distributions) from the $23.21 net asset value as of December 31, 2011. The Fund declared distributions of $1.305 per share during the nine month period, of which $0.145 was paid on October 1, 2012. The remainder was paid during the period. When these distributions are taken into account, the cumulative total return for the Fund on net asset value was 4.29% for the nine months ended September 30, 2012.

The Fund generated a net gain of $8.8 million for the nine month period ended September 30, 2012, resulting from interest income of $0.2 million, net expenses of $2.9 million, net realized gains of $1.0 million, and net unrealized appreciation of $10.5 million.

The Nine Months Ended September 30, 2011—Net Assets of the Fund

The Fund’s net assets decreased from $247.8 million at December 31, 2010, to $212.7 million at September 30, 2011, a decrease of $35.1 million. The decrease in the Fund’s net assets was due to the realization of $20.0 million in gains from the Fund’s commodity portfolio during the period, offset by an increase of $40.2 million in the change in net unrealized depreciation of the Fund’s commodity portfolio, a net investment loss of $2.8 million, and $12.1 million of distributions declared to shareholders.

The Fund’s commodity portfolio fell approximately 9.0% during the nine month period before considering the expenses of the Fund. The overall commodities market, as measured by the DJ-UBSCI, decreased 13.7%. Concerns in the second quarter of 2011 carried over into the third, especially in September. Specifically, continued uncertainty regarding Europe’s sovereign debt troubles and the future of global economic growth remain unresolved and, as such, have created a market driven by headlines and uncertainty.

For the nine month period, four of the six principal commodity groups in the DJ-UBSCI and the Fund’s commodity portfolio declined. Both livestock, driven by lean hogs and feeder cattle, and precious metals, driven by gold, however, increased by approximately 5% and 4%, respectively. Industrial metals experienced a decrease of approximately 23% of its value, driven in large part by decreases of approximately 28% and 27% in the value of the Fund’s nickel and copper holdings, respectively. Agriculturals experienced a decrease of approximately 16% due to a loss of approximately 27% in wheat and a loss in both soybean meal and soybean oil of approximately 16%. Energies and foods and fibers experienced a decrease of approximately 8% and 2%, respectively, during the period. For the nine month period, the Fund’s commodity portfolio outperformed the DJ-UBSCI benchmark in four of the six commodity groups, with industrial metals having flat performance and precious metals being the sole underperformer driven by holdings in gold and silver, which underperformed when compared to the DJ-UBSCI. The commodity portfolio’s holdings in the energy group had the largest

outperformance when compared to the DJ-UBSCI (by approximately 3.3%), largely due to the Fund’s smaller allocation to natural gas and the inclusion of Brent crude oil, which is not currently held in the DJ-UBSCI portfolio. The commodity portfolio’s positions in soybeans, Chicago and Kansas City wheat, and sugar also contributed to the Fund’s outperformance of the DJ-UBSCI in the agricultural and foods and fibers group.

The commodity call option component of the investment strategy used by the Commodity Sub-advisor was generally successful over the period as it served to limit volatility without sacrificing significant appreciation in the commodity futures contracts. The Commodity Sub-advisor utilizes a quantitatively driven strategy to set the call option strike prices it writes (sells) at various levels out-of-the money. Typically, the more out-of-the-money a written call option strike price is, the more upside potential remains, though this is balanced by less premium received for selling the options. During the nine month period, several of the commodity portfolio’s options expired without being exercised. This allowed the Fund to earn the call option premium, offsetting some of the losses experienced in the futures positions, without sacrificing any appreciation depending on the contract and time period, which benefited the Fund’s performance. In certain cases where the futures price appreciation was significant the options the Fund wrote were exercised, which limited the Fund’s full participation in that commodity contract’s gains. In total, across all of the commodity and options holdings, the Fund’s commodity portfolio outperformed the DJ-UBSCI by approximately 4.6% before considering the expenses of the Fund, while experiencing less volatility.

During the nine month period ended September 30, 2011, the Fund’s collateral investments generated interest income of $244,262.

The net asset value per share on September 30, 2011, was $22.96. This represents a decrease of 14.14% in net asset value (not including the effect of reinvesting distributions) from the $26.74 net asset value as of December 31, 2010. During the nine month period, the Fund declared distributions totaling $1.305 per share to shareholders, of which $0.145 was paid on October 3, 2011. The remainder was paid during the period. When these distributions are taken into account, the cumulative total return for the Fund on net asset value was -9.83% for the nine month period ended September 30, 2011.

The Fund generated a net loss of $22.9 million for the nine month period ended September 30, 2011, resulting from interest income of $0.2 million, offset by net expenses of $3.0 million, net realized gains of $20.0 million, and an increase in the change in net unrealized depreciation of $40.1 million.

Fund Total Returns

The following table presents selected total returns for the Fund as of September 30, 2012. Total returns based on net asset value and market value are based on the change in net asset value and market value, respectively, for a share during the period presented. The total returns presented assume the reinvestment of distributions at net asset value on the distribution payment date for returns based on net asset value, and at market value on the distribution payment date for returns based on market value. The last distribution declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the net asset value per share at the end of the period for total returns based on net asset value, and at the ending market price per share at the end of the period for total returns based on market value.


	Cumulative												Average Annual
	1 Month			3 Month			6 Month			9 Month			1 Year			Since Inception
Market Value		2.19	%		10.12	%		-0.60	%		15.13	%		16.23	%		1.01	%
Net Asset Value		1.34	%		8.74	%		0.95	%		4.29	%		7.37	%		4.99	%

“Since inception” returns present performance for the period since the Fund’s commencement of operations on September 27, 2010.

Returns represent past performance, which is no guarantee of future performance.

Commodity Weightings

The table below presents the composition of the Fund’s TAP PLUS ^SM strategy (Gresham’s long-only rules-based investment strategy, which uses futures and forward contracts to gain exposure to commodities and options to enhance the Fund’s risk-adjusted total return) and the DJ-UBSCI as of September 30, 2012. This table serves as a guide to how the composition of the Fund’s TAP PLUS ^SM investment strategy compared to that of the DJ-UBSCI, a leading commodity market benchmark.


		Composition
Commodity Group	Commodity	TAP PLUS ^SM			DJ-UBSCI
Energy	Crude Oil		18.06	%		13.19	%
	Heating Oil		5.01	%		3.36	%
	Natural Gas		5.77	%		10.83	%
	Unleaded Gas		3.65	%		3.37	%

			32.49	%		30.75	%

Industrial Metals	Aluminum		4.73	%		5.65	%
	Copper		9.72	%		7.28	%
	Nickel		1.63	%		2.38	%
	Zinc		1.37	%		3.31	%
	Lead		0.89	%		0.00	%

			18.34	%		18.62	%

Agriculturals	Corn		5.80	%		7.02	%
	Soybean		6.50	%		8.80	%
	Wheat		3.99	%		6.42	%
	Soybean Meal		1.50	%		0.00	%
	Soybean Oil		1.36	%		3.28	%

			19.15	%		25.52	%

Precious Metals	Gold		10.93	%		10.20	%
	Silver		3.85	%		3.16	%
	Platinum		0.79	%		0.00	%
	Palladium		0.39	%		0.00	%

			15.96	%		13.36	%

Foods and Fibers	Cotton		1.80	%		1.41	%
	Sugar		3.12	%		3.11	%
	Coffee		2.25	%		1.91	%
	Cocoa		0.56	%		0.00	%

			7.73	%		6.43	%

Livestock	Live Cattle		3.78	%		3.57	%
	Lean Hogs		1.73	%		1.75	%
	Feeder Cattle		0.82	%		0.00	%

			6.33	%		5.32	%

Total			100.00	%		100.00	%

Liquidity and Capital Resources

The Fund pursues its investment objective by taking long positions in commodity futures contracts and writing commodity call options as part of an integrated program designed to enhance the risk-adjusted total return of the Fund’s commodity investments. The Fund’s investment activity in futures contracts and writing commodity call options does not require a significant outlay of capital. The Fund does not intend to utilize leverage and its commodity contract positions are fully collateralized. Ordinary expenses and distributions are met by cash on hand, although distributions may at times consist of return of capital and may require that the Fund liquidate investments. The Fund earns interest on its continuing investments in U.S. government securities and other short-term, high grade debt securities with any remaining cash balance on deposit with the custodian earning custody fee credits. The Fund also generates cash from the premiums it receives when writing call options on the Fund’s futures contracts.

The Fund’s investments in commodity futures contracts and options on commodity futures contracts may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, commodity exchanges limit fluctuations in certain commodity futures contract prices during a single day by regulations referred to as “daily limits.” During a single day, no trades may be executed at prices beyond the daily limit. Once the price of a futures contract for a particular commodity has increased or decreased by an amount equal to the daily limit, positions in the futures contract can neither be taken nor liquidated unless the traders are willing to effect trades at or within the limit. Commodity futures prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Such market conditions could prevent the Fund from promptly liquidating its commodity futures positions.

The Fund’s shares trade on the NYSE MKT and shares are not redeemed by the Fund in the normal course of business (although the Manager may decide to do so at its discretion), thereby alleviating the need for the Fund to have liquidity available for possible shareholder redemptions. On April 15, 2011, the Fund filed a Registration Statement on Form S-1 with the Securities and Exchange Commission (SEC) to register additional shares of the Fund for future issuance. On June 8, 2011, the Fund filed Pre-Effective Amendment No.1 to Form S-1 with the SEC. On October 5, 2012, the Fund withdrew the S-1 filing. On December 21, 2011 the Fund announced the adoption of an open-market share repurchase program, whereby the Fund is authorized to repurchase an aggregate of up to 10% of its outstanding common shares in open-market transactions. Refer to “Part II—Item 2. Unregistered Sales of Equity Securities and Use of Proceeds” in this Report for details of repurchase activity during the nine months ended September 30, 2012.

The Fund is unaware of any other trends, demands, conditions or events that are reasonably likely to result in material changes to the Fund’s liquidity needs.

Because the Fund invests in commodity futures contracts, its capital is at risk from changes in the value of these contracts (market risk) or the inability of clearing brokers or counterparties to perform under the terms of the contracts (credit risk).

Market Risk

Investing in commodity futures and forward contracts involves the Fund entering into contractual commitments to purchase or sell a particular commodity at a specified date and price. The market risk associated with the Fund’s commitments to purchase commodities will be limited to the gross or face amount of the contracts held.

The Fund’s exposure to market risk may be influenced by a number of factors, including changes in international balances of payments and trade, currency devaluations and revaluations, changes in interest and foreign currency exchange rates, price volatility of commodity futures and forwards contracts and market liquidity, weather, geopolitical events and other factors. These factors also affect the Fund’s investments in

options on commodity futures and forward contracts. The inherent uncertainty of the Fund’s investments as well as the development of drastic market occurrences could ultimately lead to a loss of all or substantially all of investors’ capital.

Credit Risk

The Fund may be exposed to credit risk from its investments in commodity futures and forward contracts and options on commodity futures and forward contracts resulting from the clearing house associated with a particular exchange failing to meet its obligations to the Fund. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance of one of their members, which should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., as in some foreign exchanges), it may be backed by a consortium of banks or other financial institutions. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to the Fund.

The Fund’s investment strategy attempts to moderate market risks, and the Commodity Sub-advisor attempts to minimize credit risks, by requiring the Fund to abide by various investment limitations and policies, which include limiting margin accounts, investing only in liquid markets and permitting the use of stop-loss orders. The Commodity Sub-advisor implements procedures which include, but are not limited to:

•

Employing the options strategy to reduce directional risk (although there is no guarantee that the Fund’s options strategy will be successful);

•

Executing and clearing trades only with creditworthy counterparties;

•

Limiting the amount of margin or premium required for any one commodity contract or all commodities contracts combined; and

•

Generally limiting transactions to contracts which are traded in sufficient volume to permit the efficient taking and liquidating of positions.

A commodity broker, when acting as the Fund’s futures commission merchant in accepting orders for the purchase or sale of domestic commodity futures contracts, is required by Commodity Futures Trading Commission (“CFTC”) regulations to separately account for, and segregate as belonging to the Fund, all assets of the Fund relating to domestic futures investments. A commodity broker is not allowed to commingle such assets with other assets of, or held by, the commodity broker. In addition, CFTC regulations also require a commodity broker, when acting as the Fund’s futures commission merchant, to hold in a separate account the assets of the Fund related to foreign commodity futures investments and not commingle such assets with other assets of, or held by, the commodity broker.

If the Fund purchases over-the-counter (“OTC”) commodity put options, the Fund will be exposed to credit risk that the counterparty to the contract will not meet its obligations. In cases where the Fund purchases OTC commodity put options with a counterparty, the sole recourse of the Fund will be the financial resources of the counterparty to the transaction since there is no clearing house to assume the obligations of the counterparty.

As it relates to the Fund’s assets held as collateral for its investments in commodity futures and forwards contracts, there is credit risk present in the securities used to invest the Fund’s cash. While these consist of eligible cash equivalents and high-quality short-term debt securities, like any investment, these too would be affected by any credit difficulties that might be experienced by their issuers.

Off-Balance Sheet Arrangements

As of September 30, 2012, the Fund has not utilized, nor does it expect to utilize in the future, special purpose entities to facilitate off-balance sheet financing arrangements and has no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing

services which are in the best interests of the Fund. While the Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on the Fund’s financial position.

Contractual Obligations

The Fund’s contractual obligations are with the Manager, the Collateral Sub-advisor, the Commodity Sub-advisor, the custodian, the transfer agent, the commodity broker and, to the extent that the Fund enters into OTC transactions, dealers. Management fee payments made to the Manager are calculated as a fixed percentage of the Fund’s net assets. The custodian fee is calculated based on the Fund’s assets and trading activity. The transfer agent fee is calculated based on the total number of registered accounts. Commission payments to the commodity broker are on a contract-by-contract basis, and payments to forward contract dealers are usually based on a fee or percentage of the notional value of the contract. The Manager cannot anticipate the amount of payments that will be required under these arrangements for future periods, as these payments are based on figures which are not known until a future date. Additionally, these agreements may be terminated by either party for various reasons.

Critical Accounting Policies

The Fund’s critical accounting policies are as follows:

•

Preparation of the financial statements and related disclosures in conformity with accounting principles generally accepted in the United States requires the application of appropriate accounting rules and guidance, as well as the use of estimates and assumptions. The Fund’s application of these policies involves judgments and actual results may differ from the estimates used.

•

The Fund holds a significant portion of its assets in options and futures contracts, and high quality debt instruments, all of which are recorded on a trade date basis and at fair value, with changes in fair value reported on the Statements of Operations as changes in net unrealized appreciation (depreciation).

•

The use of fair value to measure financial instruments, with related unrealized appreciation (depreciation) recognized in earnings in each period, is fundamental to the Fund’s financial statements.

•

The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.

•

Generally, commodity futures and forward contracts and options on commodity futures and forward contracts traded on an exchange will be valued at the final settlement price or official closing price as determined by the principal exchange on which the instruments are traded as supplied by independent pricing services. OTC commodity futures and forward contracts and options on commodity futures and forward contracts not traded on an exchange will be valued, in order of hierarchy, by independent pricing services, price quotations obtained from counterparty broker-dealers, or through fair valuation methodologies as determined by the Manager.

•

Market quotations for exchange-traded commodity futures and forward contracts and options on commodity futures and forward contracts may not be readily available as a result of significant events, which can include, but are not limited to: trading halts or suspensions, market disruptions, or the absence of market makers willing to make a market in such instruments. In addition, events may occur after the close of the market, but prior to the determination of the Fund’s net asset value, which may affect the values of the Fund’s investments. In such circumstances, the Manager will determine a fair valuation for such investments that in its opinion is reflective of fair market value.

•

Realized gains (losses) on investment transactions are determined on a specific identification basis and recognized in the Statements of Operations in the period in which they occur.

•

Interest income, which reflects the amortization of premiums and includes accretion of discounts for financial reporting purposes, is recorded on an accrual basis.

Item 3.

Quantitative and Qualitative Disclosures About Market Risk

Quantitative Disclosure

The Fund is exposed to commodity price risk through the futures and forward contracts and the options on futures and forward contracts that the Fund invests in as part of its investment strategy. These instruments have been entered into for trading purposes. The following table provides information about the Fund’s futures contracts and options on futures contracts, which are sensitive to changes in commodity prices, as of September 30, 2012. The Fund expects to invest only in long futures contracts. Some short futures positions arise in futures contracts traded on the London Metal Exchange (“LME”) solely as the result of closing existing long LME futures positions. For every short LME futures contract held by the Fund, the Fund had previously entered into a long futures contract. As of September 30, 2012, the Fund has not invested in forward contracts.

Futures Contracts


Commodity Group	Contract	Contract Position	Contract Expiration		Number of Contracts			Valuation Price		Contract Multiplier		Notional Amount at Value
Energy	Crude Oil
	ICE Brent Crude Oil Futures Contract	Long		November 2012		57		$	112.3900		1,000	$	6,406,230
	ICE Brent Crude Oil Futures Contract	Long		January 2013		56			110.9300		1,000		6,212,080
	NYMEX Crude Oil Futures Contract	Long		November 2012		191			92.1900		1,000		17,608,290
	NYMEX Crude Oil Futures Contract	Long		January 2013		85			93.0000		1,000		7,905,000
	Heating Oil
	ICE Gas Oil Futures Contract	Long		November 2012		27			974.5000		100		2,631,150
	NYMEX Heating Oil Futures Contract	Long		November 2012		45			3.1592		42,000		5,970,888
	NYMEX Heating Oil Futures Contract	Long		January 2013		15			3.1255		42,000		1,969,065
	Natural Gas
	NYMEX Natural Gas Futures Contract	Long		November 2012		227			3.3200		10,000		7,536,400
	NYMEX Natural Gas Futures Contract	Long		January 2013		123			3.7670		10,000		4,633,410
	Unleaded Gas
	NYMEX Gasoline RBOB Futures Contract	Long		November 2012		46			2.9201		42,000		5,641,633
	NYMEX Gasoline RBOB Futures Contract	Long		January 2013		18			2.7322		42,000		2,065,543

Industrial Metals	Aluminum
	LME Primary Aluminum Futures Contract	Long		October 2012		95			2,089.2500		25		4,961,969
	LME Primary Aluminum Futures Contract	Long		November 2012		95			2,104.2500		25		4,997,594
	LME Primary Aluminum Futures Contract	Long		January 2013		45			2,118.0000		25		2,382,750
	LME Primary Aluminum Futures Contract	Short		November 2012		(45	)		2,104.2500		25		(2,367,281	)
	Copper
	CEC Copper Futures Contract	Long		December 2012		72			3.7580		25,000		6,764,400
	CEC Copper Futures Contract	Long		March 2013		37			3.7660		25,000		3,483,550
	LME Copper Futures Contract	Long		October 2012		50			8,213.0000		25		10,266,250
	Nickel
	LME Nickel Futures Contract	Long		October 2012		30			18,439.0000		6		3,319,020
	LME Nickel Futures Contract	Long		January 2013		16			18,500.0000		6		1,776,000
	LME Nickel Futures Contract	Short		October 2012		(15	)		18,439.0000		6		(1,659,510	)

Futures Contracts (Continued)


Commodity Group	Contract	Contract Position		Contract Expiration		Number of Contracts			Valuation Price		Contract Multiplier		Notional Amount at Value
	Zinc
	LME Zinc Futures Contract		Long		October 2012		57		$	2,071.5000		25	$	2,951,887
	LME Zinc Futures Contract		Short		October 2012		(1	)		2,071.5000		25		(51,788	)
	Lead
	LME Lead Futures Contract		Long		October 2012		33			2,275.7500		25		1,877,494

Agriculturals	Corn
	CBOT Corn Futures Contract		Long		December 2012		285			7.5625		5,000		10,776,563
	CBOT Corn Futures Contract		Long		March 2013		38			7.5950		5,000		1,443,050
	Soybean
	CBOT Soybean Futures Contract		Long		November 2012		117			16.0100		5,000		9,365,850
	CBOT Soybean Futures Contract		Long		January 2013		28			16.0275		5,000		2,243,850
	CBOT Soybean Futures Contract		Long		March 2013		27			15.6425		5,000		2,111,737
	Wheat
	CBOT Wheat Futures Contract		Long		December 2012		78			9.0250		5,000		3,519,750
	CBOT Wheat Futures Contract		Long		March 2013		15			9.1225		5,000		684,188
	KCBT Wheat Futures Contract		Long		December 2012		91			9.2750		5,000		4,220,125
	Soybean Meal
	CBOT Soybean Meal Futures Contract		Long		December 2012		65			486.9000		100		3,164,850
	Soybean Oil
	CBOT Soybean Oil Futures Contract		Long		December 2012		85			0.5266		60,000		2,685,660
	CBOT Soybean Oil Futures Contract		Long		March 2013		6			0.5342		60,000		192,312

Precious Metals	Gold
	CEC Gold Futures Contract		Long		December 2012		130			1,773.9000		100		23,060,700
	Silver
	CEC Silver Futures Contract		Long		December 2012		47			34.5770		5,000		8,125,595
	Platinum
	NYMEX Platinum Futures Contract		Long		January 2013		20			1,669.3000		50		1,669,300
	Palladium
	NYMEX Palladium Futures Contract		Long		December 2012		13			640.8000		100		833,040

Foods and Fibers	Cotton
	ICE Cotton Futures Contract		Long		December 2012		81			0.7065		50,000		2,861,325
	ICE Cotton Futures Contract		Long		March 2013		26			0.7168		50,000		931,840
	Sugar
	ICE Sugar Futures Contract		Long		March 2013		288			0.2042		112,000		6,586,675
	Coffee
	ICE Coffee C Futures Contract		Long		December 2012		52			1.7350		37,500		3,383,250
	LIFFE Coffee Robusta Futures Contract		Long		November 2012		63			2,182.0000		10		1,374,660
	Cocoa
	ICE Cocoa Futures Contract		Long		December 2012		47			2,516.0000		10		1,182,520

Livestock	Live Cattle
	CME Live Cattle Futures Contract		Long		December 2012		160			1.2470		40,000		7,980,800
	Lean Hogs
	CME Lean Hog Futures Contract		Long		December 2012		116			0.7375		40,000		3,422,000
	CME Lean Hog Futures Contract		Long		February 2013		7			0.8025		40,000		224,700
	Feeder Cattle
	CME Feeder Cattle Futures Contract		Long		November 2012		24			1.4435		50,000		1,732,200

Commodity Call Options Written


Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Energy	Crude Oil
	ICE Brent Crude Oil Futures Options		November 2012		(57	)	$	124.5	$	(5,700	)
	NYMEX Crude Oil Futures Options		October 2012		(138	)		107.0		(15,180	)
	Heating Oil
	NYMEX Heating Oil Futures Options		October 2012		(40	)		3.4		(29,568	)
	Natural Gas
	NYMEX Natural Gas Futures Options		October 2012		(175	)		3,200.0		(379,750	)
	Unleaded Gas
	NYMEX Gasoline RBOB Futures Options		October 2012		(32	)		31,200.0		(49,459	)

Industrial Metals	Aluminum
	LME Primary Aluminum Futures Options		October 2012		(95	)		2,000.0		(214,819	)
	Copper
	LME Copper Futures Options		October 2012		(50	)		8,300.0		(53,525	)
	Nickel
	LME Nickel Futures Options		October 2012		(15	)		17,000.0		(129,660	)
	Zinc
	LME Zinc Futures Options		October 2012		(28	)		1,950.0		(85,484	)
	Lead
	LME Lead Futures Options		October 2012		(17	)		2,125.0		(64,341	)

Agriculturals	Corn
	CBOT Corn Futures Options		November 2012		(162	)		940.0		(24,300	)
	Soybean
	CBOT Soybean Futures Options		October 2012		(84	)		1,520.0		(399,525	)
	CBOT Soybean Futures Options		October 2012		(2	)		1,780.0		(738	)
	Wheat
	CBOT Wheat Futures Options		November 2012		(46	)		1,050.0		(23,575	)
	KCBT Wheat Futures Options		November 2012		(46	)		1,050.0		(30,187	)
	Soybean Meal
	CBOT Soybean Meal Futures Options		November 2012		(33	)		450.0		(140,580	)
	Soybean Oil
	CBOT Soybean Oil Futures Options		November 2012		(46	)		545.0		(26,634	)

Precious Metals	Gold
	CEC Gold Futures Options		November 2012		(65	)		1,760.0		(343,200	)
	Silver
	CEC Silver Futures Options		November 2012		(23	)		3,525.0		(146,740	)

Foods and Fibers	Cotton
	ICE Cotton Futures Options		November 2012		(31	)		740.0		(18,445	)
	ICE Cotton Futures Options		November 2012		(23	)		780.0		(4,945	)
	Sugar
	ICE Sugar Futures Options		February 2013		(144	)		222.5		(111,283	)
	Coffee
	ICE Coffee C Futures Options		November 2012		(37	)		182.5		(57,304	)
	Cocoa
	ICE Cocoa Futures Options		November 2012		(23	)		2,600.0		(13,110	)

Livestock	Live Cattle
	CME Live Cattle Futures Options		December 2012		(98	)		131.0		(19,600	)
	Lean Hogs
	CME Lean Hogs Futures Options		December 2012		(62	)		81.0		(16,120	)


CBOT		Chicago Board of Trade
CEC		Commodities Exchange Center
CME		Chicago Mercantile Exchange
ICE		Intercontinental Exchange
KCBT		Kansas City Board of Trade
LIFFE		London International Financial Futures Exchange
LME		London Metal Exchange
NYMEX		New York Mercantile Exchange
RBOB		Reformulated Gasoline Blendstock for Oxygen Blending

The Fund also invests the assets held as collateral for its investments in commodity futures and forward contracts in cash equivalents and short-term, high-quality debt securities, which exposes the Fund to interest rate risk. These instruments are deemed to be entered into for non-trading purposes, with an emphasis on current income, liquidity and preservation of capital. As of September 30, 2012, the Fund held agency discount notes, and U.S. Treasury bills worth $175,874,372 with a total par value of $176,000,000, and a repurchase agreement worth $2,175,324.

Qualitative Disclosure

The Fund’s primary trading risk exposure is commodity price risk, which affects the futures contracts and options on futures contracts in which the Fund invests. There are numerous uncertainties, contingencies and risks associated with these investments (as discussed in Part I—Item 1A. Risk Factors in the Fund’s annual report on Form 10-K for the year ended December 31, 2011, filed with the SEC). These include, but are not limited to, government interventions, defaults and expropriations, adverse weather conditions, commodity supply factors, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, and increased regulation. Investors may lose all or substantially all of their investment in the Fund.

To help manage the commodity price risk mentioned above, the Fund uses its options strategy in an attempt to enhance the Fund’s risk-adjusted total returns. In up markets, the portion of the Fund on which call options have been sold will forego potential appreciation in the value of the underlying contracts to the extent the price of those contracts exceeds the exercise price of options written plus the premium collected by writing the call options. In flat or sideways markets, the portion of the Fund on which call options have been sold will generate current gains from the premium collected by writing the call options. In down markets, the Fund will experience declines in value of the underlying contracts to the extent that the amount of the decline in the value of the underlying contracts exceeds the option premium collected by writing the call options. There can be no assurance that the Fund’s options strategy will be successful. The Fund’s risk-adjusted returns over any particular period may be positive or negative. The Fund invests in a diversified portfolio of commodity futures and forward contracts to obtain broad exposure to all principal groups in the global commodity markets, thereby limiting its exposure to the commodity price risk of any one futures contract or any specific commodity group.

The Fund’s primary non-trading risk exposure is interest rate risk as it relates to its collateral investments in short-term, high-quality debt securities which is mitigated due to the short-term nature of these debt securities, as well as by ensuring that the collateral investments are rated at the highest rating applicable for the type of investment as determined by at least one nationally recognized statistical rating organization or, if unrated, judged by the Collateral Sub-advisor to be of comparable quality.

Item 4.

Controls and Procedures

Evaluation of Disclosure Controls and Procedures

Under the supervision and with the participation of the principal executive officer and principal financial officer of the Manager of the Fund, the Manager has evaluated the effectiveness of the Fund’s disclosure controls and procedures pursuant to Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934. Based upon that evaluation, the principal executive officer and principal financial officer concluded that the Fund’s disclosure controls and procedures were effective as of the end of the period covered by this Report.

Changes in Internal Control Over Financial Reporting

There were no changes in the Fund’s internal control over financial reporting (as defined in Rules 13a-15(f) and 15d-15(f) of the Securities Exchange Act of 1934) that occurred during the reporting period covered by this Report that have materially affected, or are reasonably likely to materially affect, the Fund’s internal control over financial reporting.

PART II. OTHER INFORMATION

Item 1.

Legal Proceedings

None.

Item 1A.

Risk Factors

The Fund is subject to various risks that could negatively affect the Fund as described in the Fund’s annual report on Form 10-K and the Fund’s quarterly reports on Form 10-Q. Except for the changes noted below, there were no changes and/or additions to the risks previously disclosed in the Fund’s annual report and quarterly reports.

The risk factor set forth in the Fund’s annual report on Form 10-K for the year ended December 31, 2011 entitled “Regulatory trading and exchange position limits may adversely affect the Fund” and the risk factor set forth in the Fund’s quarterly report on Form 10-Q for the quarter ended June 30, 2012 entitled “Possible constructive termination” are hereby amended to read in their entirety as follows:

Daily trading limits imposed by the exchanges and position limits established by the CFTC may adversely affect the Fund— The CFTC and U.S. commodities exchanges limit the amount of fluctuation permitted in futures contract prices during a single trading day by regulations referred to as “daily price fluctuation limits” or “daily trading limits.” Once the daily trading limit has been reached in a particular futures contract, no trades may be made that day at a price beyond that limit or trading may be suspended for specified periods during the trading day. Futures contract prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially disguising substantial losses the Fund may ultimately incur.

Separately, the CFTC and the U.S. commodities exchanges and certain non-U.S. exchanges have established limits referred to as “speculative position limits” or “accountability levels” on the maximum net long or short futures positions that any person may hold or control in contracts traded on such exchanges. In October 2011, the CFTC adopted final regulations pursuant to the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 (the “Dodd-Frank Act”) that would have imposed new position limits on 28 physical commodity futures and options contracts and on swaps that are economically equivalent to such contracts in order to prevent excessive speculation and manipulation in the commodity markets. On September 28, 2012, the U.S. District Court for the District of Columbia vacated the new position limit regulations and remanded the matter to the CFTC for further consideration consistent with the court’s opinion. The CFTC may appeal the court’s decision and seek a stay of the decision pending appeal, and the new position limit regulations, or other regulations with similar effect, could still become effective in the future.

The existing and formerly proposed position limit regulations require that a trader aggregate all positions in accounts over which the trader controls trading. However, a trader is not required to aggregate positions in multiple accounts or commodity pools if such trader (or its applicable divisions/subsidiaries) qualifies as an “Independent Account Controller” under applicable CFTC regulations and avails itself of the independent account controller exemption under such regulations. If the formerly proposed position limit regulations or any re-proposed or other similar position limit regulations become effective, or if Gresham’s positions were to exceed currently applicable position limits, then Gresham’s Near Term Active division (“Gresham NTA”), which serves as the Fund’s Commodity Sub-advisor, would operate under the independent account controller exemption such that Gresham NTA would not be required to aggregate its positions with Gresham’s other division. If the CFTC were to terminate, suspend or revoke or not renew the independent account controller exemption, or that exemption were otherwise unavailable, Gresham NTA would be required to aggregate its positions with Gresham’s other division for purposes of the CFTC’s position limits. In that case, it is possible that investment decisions of the Commodity Sub-advisor would be modified and that positions held by the Fund would have to be liquidated to avoid exceeding such position limits, potentially resulting in substantial losses to the Fund and the value of your investment. In addition,

failure to comply with the requirements of the independent account controller exemption could lead to an enforcement proceeding against Gresham and could adversely affect the Fund.

The formerly proposed regulations are extremely complex and, if ultimately implemented, whether in their current or an alternative form, may require further guidance and interpretation by the CFTC to determine in all respects how they apply to the Fund. The full implementation of the Fund’s investment strategy could be negatively impacted by existing and proposed position limit regulations.

The following risk factor is hereby added:

Possible constructive termination —The Fund will be considered to have terminated for U.S. federal income tax purposes if there is a sale or exchange of 50% or more of the total Fund shares within a 12-month period. A constructive termination results in the closing of the Fund’s taxable year for the Fund for all holders of shares. Among other things, constructive termination could result in the imposition of substantial penalties on the Fund if the Fund were unable to determine that the termination had occurred. It is difficult for publicly traded partnerships to determine on a real-time basis when constructive terminations occur given that shares are typically held in street name. Publicly traded partnerships, such as the Fund, typically identify actual beneficial owners only during the course of preparing year-end tax information for shareholders. Therefore, the Fund may not be aware that a constructive termination occurred until well after the fact.

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds

a) None.

b) The Fund did not issue new shares within the nine month period ended on September 30, 2012.

c) On December 21, 2011 the Fund announced the adoption of an open-market share repurchase program whereby the Fund is authorized to repurchase an aggregate of up to 10% of its outstanding common shares (approximately 920,000 shares) in open-market transactions. Share repurchases during the fiscal year to date period ended September 30, 2012 were as set forth in the following table:


Period	Total Number of Shares Repurchased		Weighted Average Price per Share Repurchased		Maximum Number of Shares that May Yet Be Repurchased
1/1/12 to 1/31/12		9,800	$	20.77		Approximately 872,200
2/1/12 to 2/29/12		—	$	—		Approximately 872,200
3/1/12 to 3/31/12		—	$	—		Approximately 872,200
4/1/12 to 4/30/12		—	$	—		Approximately 872,200
5/1/12 to 5/31/12		—	$	—		Approximately 872,200
6/1/12 to 6/30/12		—	$	—		Approximately 872,200
7/1/12 to 7/31/12		—	$	—		Approximately 872,200
8/1/12 to 8/31/12		—	$	—		Approximately 872,200
9/1/12 to 9/30/12		—	$	—		Approximately 872,200

A total of 47,800 shares have been repurchased through the repurchase program described above. No shares have been repurchased outside of the program described.

Item 3.

Defaults Upon Senior Securities

None.

Item 4.

Mine Safety Disclosures

Not applicable.

Item 5.

Other Information

None.

Item 6.

Exhibits


4.1		Second Amended and Restated Trust Agreement of the Fund. ¹

31.1		Certification of Principal Executive Officer Pursuant to Rule 13a-14(a) or Rule 15d-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

31.2		Certification of Principal Financial Officer Pursuant to Rule 13a-14(a) or Rule 15d-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

32.1		Certification of Principal Executive Officer Pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

32.2		Certification of Principal Financial Officer Pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

101.INS XBRL		Instance Document.

101.SCH XBRL		Taxonomy Extension Schema Document.

101.CAL XBRL		Taxonomy Extension Calculation Linkbase Document.

101.LAB XBRL		Taxonomy Extension Label Linkbase Document.

101.PRE XBRL		Taxonomy Extension Presentation Linkbase Document.

101.DEF XBRL		Taxonomy Extension Definition Linkbase Document.

¹	Filed on March 30, 2012 as an exhibit to Registrant’s Form 8-K dated March 30, 2012 and incorporated by reference herein.

SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized, in the City of Chicago, State of Illinois, on November 8, 2012.


Nuveen Diversified Commodity Fund

By:		Nuveen Commodities Asset Management, LLC, its Manager

By: /s/ William Adams IV
President (Principal Executive Officer)

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

Nuveen Commodities Asset Management, LLC

Manager of Registrant


/s/ William Adams IV
President (Principal Executive Officer) November 8, 2012

/s/ Stephen D. Foy
Chief Financial Officer (Principal Financial and Accounting Officer) November 8, 2012