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 June 30, 2013

¨	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 August 6, 2013, 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 :

	Statements of Financial Condition at June 30, 2013 (Unaudited) and December 31, 2012		3

	Schedule of Investments at June 30, 2013 (Unaudited)		4

	Statements of Operations for the three months ended June 30, 2013 and June 30, 2012 and the six months ended June 30, 2013 and June 30, 2012 (Unaudited)		10

	Statements of Changes in Shareholders’ Capital for the six months ended June 30, 2013 (Unaudited) and the year ended December 31, 2012		11

	Statements of Cash Flows for the six months ended June 30, 2013 and June 30, 2012 (Unaudited)		12

	Notes to Financial Statements at June 30, 2013 (Unaudited)		13

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations		26

Item 3.	Quantitative and Qualitative Disclosures About Market Risk		39

Item 4.	Controls and Procedures		42

PART II. OTHER INFORMATION

Item 1.	Legal Proceedings		43

Item 1A.	Risk Factors		43

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

Item 3.	Defaults Upon Senior Securities		44

Item 4.	Mine Safety Disclosures		44

Item 5.	Other Information		44

Item 6.	Exhibits		44

Signatures			45

PART I. FINANCIAL INFORMATION

Item 1.

Financial Statements

NUVEEN DIVERSIFIED COMMODITY FUND

STATEMENTS OF FINANCIAL CONDITION

At June 30, 2013 (Unaudited) and December 31, 2012


	June 30, 2013			December 31, 2012
ASSETS
Short-term investments: U.S. Government and agency obligations, at value (cost $148,606,275 and 169,871,660)	$	148,619,541		$	170,486,289
Repurchase agreements, at value (cost approximates value)		20,207,573			—
Deposits with brokers		28,970,057			31,490,459
Unrealized appreciation on futures contracts		433,898			2,671,325
Interest receivable		17			—
Other assets		1,016			—

Total assets		198,232,102			204,648,073


LIABILITIES
Call options written, at value (premiums received $839,158 and $974,047, respectively)		338,406			536,013
Unrealized depreciation on futures contracts		8,460,230			6,454,358
Payables:
Investments purchased		16,983,276			—
Distributions		1,336,790			—
Accrued expenses:
Management fees		182,200			210,988
Independent Committee fees		13,212			20,123
Other		249,344			284,683

Total liabilities		27,563,458			7,506,165


SHAREHOLDERS’ CAPITAL
Paid-in capital, unlimited number of shares authorized, 9,219,240 shares issued and outstanding at June 30, 2013 and December 31, 2012		219,835,071			219,835,071
Accumulated undistributed earnings (deficit)		(49,166,427	)		(22,693,163	)

Total shareholders’ capital (Net assets)		170,668,644			197,141,908


Total liabilities and shareholders’ capital	$	198,232,102		$	204,648,073


Net assets	$	170,668,644		$	197,141,908

Shares outstanding		9,219,240			9,219,240

Net asset value per share outstanding (net assets divided by shares outstanding)	$	18.51		$	21.38

Market value per share outstanding	$	17.07		$	19.97

See accompanying notes to financial statements.

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Unaudited)

June 30, 2013

Investments


Principal Amount (000)		Description	Coupon			Maturity		Ratings ⁽¹⁾		Value
		Short-Term Investments
		U.S. Government and Agency Obligations
	$ 19,000	Federal Home Loan Mortgage Corporation		0.000	%		7/26/13		Aaa	$	18,999,734
	15,000	U.S. Treasury Bills		0.000	%		7/25/13		Aaa		14,999,820
	13,000	U.S. Treasury Bills		0.000	%		9/19/13		Aaa		12,998,986
	17,000	U.S. Treasury Bills		0.000	%		12/12/13		Aaa		16,994,968
	9,300	U.S. Treasury Bills		0.000	%		1/09/14		Aaa		9,296,903
	15,000	U.S. Treasury Bills		0.000	%		2/06/14		Aaa		14,992,440
	11,900	U.S. Treasury Bills		0.000	%		3/06/14		Aaa		11,891,396
	10,500	U.S. Treasury Bills		0.000	%		4/03/14		Aaa		10,491,149
	13,000	U.S. Treasury Bills		0.000	%		5/01/14		Aaa		12,986,831
	12,000	U.S. Treasury Bills		0.000	%		5/29/14		Aaa		11,986,164
	13,000	U.S. Treasury Bills		0.000	%		6/26/14		Aaa		12,981,150

	$ 148,700	Total U.S. Government And Agency Obligations (cost $148,606,275)									148,619,541

		Repurchase Agreements
	$ 20,208	Repurchase Agreement with State Street Bank, dated 6/28/13, repurchase price $20,207,590, collateralized by $20,950,000 U.S. Treasury Notes, 0.625%, due 5/31/17, value $20,616,308		0.010	%		7/01/13		N/A	$	20,207,573

		Total Repurchase Agreements (cost $20,207,573)									20,207,573

		Total Short-Term Investments (cost $168,813,848)								$	168,827,114

Investments in Derivatives

Futures Contracts outstanding:


Commodity Group	Contract	Contract Position ⁽²⁾		Contract Expiration		Number of Contracts		Notional Amount at Value ⁽³⁾		Unrealized Appreciation (Depreciation)
Energy	Crude Oil
	ICE Brent Crude Oil Futures Contract		Long		August 2013		88	$	8,990,080	$	(73,920	)
	ICE Brent Crude Oil Futures Contract		Long		September 2013		67		6,815,240		(42,030	)
	ICE Brent Crude Oil Futures Contract		Long		November 2013		20		2,017,000		(5,280	)
	NYMEX Crude Oil Futures Contract		Long		August 2013		105		10,138,800		45,150
	NYMEX Crude Oil Futures Contract		Long		September 2013		50		4,822,000		(65,752	)
	NYMEX Crude Oil Futures Contract		Long		November 2013		42		3,994,200		37,130

	Total Crude Oil										(104,702	)

	Heating Oil
	ICE Gas Oil Futures Contract		Long		August 2013		12		1,052,700		2,150
	ICE Gas Oil Futures Contract		Long		September 2013		15		1,311,000		16,975
	NYMEX NY Harbor ULSD Futures Contract		Long		August 2013		40		4,802,784		(101	)
	NYMEX NY Harbor ULSD Futures Contract		Long		September 2013		20		2,405,172		(25,292	)

	Total Heating Oil										(6,268	)

	Natural Gas
	NYMEX Natural Gas Futures Contract		Long		August 2013		77		2,745,050		(295,680	)
	NYMEX Natural Gas Futures Contract		Long		September 2013		236		8,399,240		(1,030,970	)

	Total Natural Gas										(1,326,650	)

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

June 30, 2013

Investments in Derivatives (Continued)

Futures Contracts outstanding (Continued):


Commodity Group	Contract	Contract Position ⁽²⁾		Contract Expiration		Number of Contracts			Notional Amount at Value ⁽³⁾			Unrealized Appreciation (Depreciation)
Energy	Unleaded Gas
(continued)	NYMEX Gasoline RBOB Futures Contract		Long		August 2013		26		$	2,965,435		$	(12,449	)
	NYMEX Gasoline RBOB Futures Contract		Long		September 2013		27			3,060,439			(104,488	)

	Total Unleaded Gas												(116,937	)

	Total Energy												(1,554,557	)

Industrial Metals	Aluminum
	LME Primary Aluminum Futures Contract		Long		July 2013		88			3,821,950			(790,675	)
	LME Primary Aluminum Futures Contract		Long		August 2013		178			7,809,750			(459,706	)
	LME Primary Aluminum Futures Contract		Short		July 2013		(88	)		(3,821,950	)		(15,988	)
	LME Primary Aluminum Futures Contract		Short		August 2013		(1	)		(43,875	)		(200	)

	Total Aluminum												(1,266,569	)

	Copper
	CEC Copper Futures Contract		Long		September 2013		97			7,414,438			(485,313	)
	LME Copper Futures Contract		Long		August 2013		45			7,591,781			(790,312	)

	Total Copper												(1,275,625	)

	Nickel
	LME Nickel Futures Contract		Long		August 2013		27			2,216,241			(270,702	)
	LME Nickel Futures Contract		Short		August 2013		(1	)		(82,083	)		846

	Total Nickel												(269,856	)

	Zinc
	LME Zinc Futures Contract		Long		July 2013		1			45,700			(1,331	)
	LME Zinc Futures Contract		Long		August 2013		50			2,303,125			(175,313	)
	LME Zinc Futures Contract		Long		September 2013		1			46,350			956
	LME Zinc Futures Contract		Short		July 2013		(1	)		(45,700	)		(950	)
	LME Zinc Futures Contract		Short		August 2013		(3	)		(138,188	)		(206	)

	Total Zinc												(176,844	)

	Lead
	LME Lead Futures Contract		Long		August 2013		27			1,382,569			(135,619	)

	Total Industrial Metals												(3,124,513	)


Agriculturals	Corn
	CBOT Corn Futures Contract		Long		September 2013		310			8,482,375			(461,913	)
	CBOT Corn Futures Contract		Long		December 2013		31			792,050			(29,387	)

	Total Corn												(491,300	)

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

June 30, 2013

Investments in Derivatives (Continued)

Futures Contracts outstanding (Continued):


Commodity Group	Contract	Contract Position ⁽²⁾		Contract Expiration		Number of Contracts		Notional Amount at Value ⁽³⁾		Unrealized Appreciation (Depreciation)
Agriculturals	Soybean
(continued)	CBOT Soybean Futures Contract		Long		November 2013		167	$	10,454,200	$	37,113

	Wheat
	CBOT Wheat Futures Contract		Long		September 2013		110		3,617,625		(236,812	)
	KCBT Wheat Futures Contract		Long		September 2013		107		3,694,175		(190,937	)

	Total Wheat										(427,749	)

	Soybean Meal
	CBOT Soybean Meal Futures Contract		Long		December 2013		99		3,702,600		124,070

	Soybean Oil
	CBOT Soybean Oil Futures Contract		Long		December 2013		99		2,680,128		(145,573	)

	Total Agriculturals										(903,439	)

Precious Metals	Gold
	CEC Gold Futures Contract		Long		August 2013		129		15,785,730		(2,184,259	)

	Silver
	CEC Silver Futures Contract		Long		September 2013		46		4,478,100		(12,880	)

	Platinum
	NYMEX Platinum Futures Contract		Long		October 2013		19		1,272,905		(103,835	)

	Palladium
	NYMEX Palladium Futures Contract		Long		September 2013		12		792,840		(75,220	)

	Total Precious Metals										(2,376,194	)

Foods and Fibers	Cotton
	ICE Cotton Futures Contract		Long		December 2013		51		2,142,255		(78,357	)

	Sugar
	ICE Sugar Futures Contract		Long		October 2013		179		3,392,122		(27,205	)

	Coffee
	ICE Coffee C Futures Contract		Long		September 2013		26		1,173,900		(54,525	)
	LIFFE Coffee Robusta Futures Contract		Long		September 2013		43		756,370		(16,220	)

	Total Coffee										(70,745	)

	Cocoa
	ICE Cocoa Futures Contract		Long		September 2013		31		670,840		(60,830	)

	Total Foods and Fibers										(237,137	)

Livestock	Live Cattle
	CME Live Cattle Futures Contract		Long		August 2013		157		7,663,170		105,311
	CME Live Cattle Futures Contract		Long		October 2013		19		955,130		1,470

	Total Live Cattle										106,781

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

June 30, 2013

Investments in Derivatives (Continued)

Futures Contracts outstanding (Continued):

Commodity Group

Contract

Position ⁽²⁾

Contract

Expiration

Number

Contracts

Notional

Amount

at Value ⁽³⁾

Unrealized

Appreciation

(Depreciation)

Livestock

Lean Hogs

(continued)

CME Lean Hogs Futures Contract

Long

August 2013

3,313,300

22,200

CME Lean Hogs Futures Contract

Long

October 2013

720,720

5,152

Total Lean Hogs

27,352

Feeder Cattle

CME Feeder Cattle Futures Contract

Long

August 2013

1,494,500

33,275

CME Feeder Cattle Futures Contract

Long

October 2013

459,450

2,100

Total Feeder Cattle

35,375

Total Livestock

169,508

Total Futures Contracts outstanding

3,012

(8,026,332

)

Call Options Written outstanding:


Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Energy	Crude Oil
	ICE Brent Crude Oil Futures Options		August 2013		(87	)	$	108.0	$	(11,310	)
	NYMEX Crude Oil Futures Options		July 2013		(98	)		101.0		(31,360	)

	Total Crude Oil									(42,670	)

	Heating Oil
	NYMEX NY Harbor ULSD Futures Options		July 2013		(40	)		3.0		(15,792	)

	Natural Gas
	NYMEX Natural Gas Futures Options		July 2013		(73	)		4,350.0		(2,920	)
	NYMEX Natural Gas Futures Options		August 2013		(83	)		4,300.0		(14,940	)

	Total Natural Gas									(17,860	)

	Unleaded Gas
	NYMEX Gasoline RBOB Futures Options		July 2013		(26	)		29,600.0		(5,788	)

	Total Energy									(82,110	)

Industrial Metals	Aluminum
	LME Primary Aluminum Futures Options ⁽⁴⁾		August 2013		(89	)		2,100.0		(579	)

	Copper
	LME Copper Futures Options ⁽⁴⁾		August 2013		(45	)		8,000.0		(4,342	)

	Nickel
	LME Nickel Futures Options ⁽⁴⁾		August 2013		(13	)		16,500.0		(502	)

	Zinc
	LME Zinc Futures Options ⁽⁴⁾		August 2013		(24	)		2,100.0		(912	)

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

June 30, 2013

Investments in Derivatives (Continued)

Call Options Written outstanding (Continued):


Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Industrial Metals	Lead
(continued)	LME Lead Futures Options ⁽⁴⁾		August 2013		(14	)	$	2,400.0	$	(648	)

	Total Industrial Metals									(6,983	)

Agriculturals	Corn
	CBOT Corn Futures Options		August 2013		(170	)		640.0		(35,062	)

	Soybean
	CBOT Soybean Futures Options		October 2013		(84	)		1,440.0		(46,725	)

	Wheat
	CBOT Wheat Futures Options		August 2013		(55	)		745.0		(10,656	)
	KCBT Wheat Futures Options		August 2013		(54	)		770.0		(11,475	)

	Total Wheat									(22,131	)

	Soybean Meal
	CBOT Soybean Meal Futures Options		November 2013		(50	)		430.0		(36,250	)

	Soybean Oil
	CBOT Soybean Oil Futures Options		November 2013		(50	)		510.0		(12,300	)

	Total Agriculturals									(152,468	)

Precious Metals	Gold
	CEC Gold Futures Options		July 2013		(65	)		1,510.0		(1,950	)

	Silver
	CEC Silver Futures Options		August 2013		(23	)		2,275.0		(20,240	)

	Total Precious Metals									(22,190	)

Foods and Fibers	Cotton
	ICE Cotton Futures Options		November 2013		(25	)		96.0		(15,125	)

	Sugar
	ICE Sugar Futures Options		September 2013		(89	)		18.3		(22,926	)

	Coffee
	ICE Coffee C Futures Options		August 2013		(21	)		135.0		(9,214	)

	Cocoa
	ICE Cocoa Futures Options		August 2013		(16	)		2,550.0		(320	)

	Total Foods and Fibers									(47,585	)

Livestock	Live Cattle
	CME Live Cattle Futures Options		August 2013		(35	)		127.0		(1,750	)
	CME Live Cattle Futures Options		August 2013		(73	)		126.0		(7,300	)

	Total Live Cattle									(9,050	)

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

June 30, 2013

Investments in Derivatives (Continued)

Call Options Written outstanding (Continued):

Commodity Group

Contract

Contract
Expiration

Number
of
Contracts

Strike
Price

Value

Livestock

Lean Hogs

(continued)

CME Lean Hogs Futures Options

August 2013

(53

)

102.0

(18,020

)

Total Livestock

(27,070

)

Total Call Options Written outstanding

(premiums received $839,158)

(1,455

)

(338,406

)


⁽¹⁾		Ratings: Using the highest of Standard & Poor’s Group, Moody’s Investors 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⁾		Total notional amount at value, including LME short futures positions is $170,513,733.
⁽⁴⁾		For fair value measurement disclosure purposes, these Call Options Written are classified as Level 2. See Notes to Financial Statements, Footnote 2 – Summary of Significant Accounting Policies, Investment Valuation and Fair Value Measurements for more information.
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
NY Harbor ULSD		New York Harbor Ultra-Low Sulfur Diesel
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)

For the Three Months Ended June 30, 2013 and June 30, 2012

and the Six Months Ended June 30, 2013 and June 30, 2012


	Three Months Ended June 30,						Six Months Ended June 30,
	2013			2012			2013			2012
Investment Income:
Interest	$	56,393		$	57,392		$	117,053		$	123,178

Total Investment Income		56,393			57,392			117,053			123,178

Expenses:
Management fees		562,438			631,736			1,166,839			1,320,011
Brokerage commissions		38,390			42,716			74,011			83,938
Custodian fees and expenses		29,206			32,769			55,934			59,045
Independent Committee fees and expenses		13,476			25,111			27,124			56,361
Professional fees		134,985			119,326			238,337			217,903
Shareholder reporting expenses		34,509			39,680			50,970			71,088
Other expenses		6,834			6,982			16,896			11,343

Total expenses		819,838			898,320			1,630,111			1,819,689

Net investment income (loss)		(763,445	)		(840,928	)		(1,513,058	)		(1,696,511	)

Net realized gain (loss) from:
Short-term investments		984			—			1,279			(652	)
Futures contracts		(10,843,456	)		(22,226,328	)		(15,192,263	)		(16,939,576	)
Call options written		1,129,161			1,659,694			2,450,012			4,236,174
Change in net unrealized appreciation (depreciation) of:
Short-term investments		(19,918	)		(4,822	)		(17,913	)		(28,176	)
Futures contracts		(4,974,150	)		7,190,243			(4,243,299	)		7,710,570
Call options written		198,405			(1,352,546	)		62,718			(1,709,545	)

Net realized gain (loss) and change in net unrealized appreciation (depreciation)		(14,508,974	)		(14,733,759	)		(16,939,466	)		(6,731,205	)

Net income (loss)	$	(15,272,419	)	$	(15,574,687	)		$(18,452,524)		$	(8,427,716	)


Net income (loss) per weighted-average share	$	(1.66	)	$	(1.69	)	$	(2.00	)	$	(0.91	)
Weighted-average shares outstanding		9,219,240			9,219,240			9,219,240			9,219,589

See accompanying notes to financial statements.

NUVEEN DIVERSIFIED COMMODITY FUND

STATEMENTS OF CHANGES IN SHAREHOLDERS’ CAPITAL

For the Six Months Ended June 30, 2013 (Unaudited) and the Year Ended December 31, 2012


	Six Months Ended June 30, 2013			Year Ended December 31, 2012
Shareholders’ capital—beginning of period	$	197,141,908		$	214,180,129
Issuance of shares, net of offering costs		—			—
Repurchase of shares		—			(203,766	)

Net increase (decrease) in shareholders’ capital resulting from operations:
Net investment income (loss)		(1,513,058	)		(3,626,137	)
Net realized gain (loss) from:
Short-term investments		1,279			(425	)
Futures contracts		(15,192,263	)		(5,031,471	)
Call options written		2,450,012			7,166,083
Change in net unrealized appreciation (depreciation) of:
Short-term investments		(17,913	)		(1,266	)
Futures contracts		(4,243,299	)		1,138,797
Call options written		62,718			(438,556	)

Net income (loss)		(18,452,524	)		(792,975	)

Distributions to shareholders		(8,020,740	)		(16,041,480	)

Shareholders’ capital—end of period	$	170,668,644		$	197,141,908

Shares—beginning of period		9,219,240			9,229,040
Issuance of shares		—			—
Repurchase of shares		—			(9,800	)

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

See accompanying notes to financial statements.

NUVEEN DIVERSIFIED COMMODITY FUND

STATEMENTS OF CASH FLOWS (Unaudited)

For the Six Months Ended June 30, 2013 and June 30, 2012


	Six Months Ended June 30,
	2013			2012
Cash flows from operating activities:
Net income (loss)	$	(18,452,524	)	$	(8,427,716	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term investments		(262,342,192	)		(632,368,697	)
Proceeds from sales and maturities of short-term investments		264,101,700			643,736,671
Premiums received for call options written		2,761,100			4,489,456
Cash paid for call options written		(445,977	)		(177,052	)
Amortization (Accretion)		(116,967	)		796,826
(Increase) Decrease in:
Deposits with brokers		2,520,402			8,995,035
Interest receivable		(17	)		496,959
Other assets		(1,016	)		(23,906	)
Increase (Decrease) in:
Payable for investments purchased		16,983,276			—
Accrued management fees		(28,788	)		(32,955	)
Accrued independent committee fees		(6,911	)		(6,250	)
Other accrued expenses		(35,339	)		(66,439	)
Net realized (gain) loss from:
Short-term investments		(1,279	)		652
Call options written		(2,450,012	)		(4,236,174	)
Change in net unrealized (appreciation) depreciation of:
Short-term investments		17,913			28,176
Futures contracts		4,243,299			(7,710,570	)
Call options written		(62,718	)		1,709,545

Net cash provided by (used in) operating activities		6,683,950			7,203,561

Cash flows from financing activities:
Cash paid for shares repurchased		—			(519,611	)
Cash distributions paid to shareholders		(6,683,950	)		(6,683,950	)

Net cash provided by (used in) financing activities		(6,683,950	)		(7,203,561	)

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

Cash—end of period	$	—		$	—

See accompanying notes to financial statements.

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Unaudited)

June 30, 2013

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 Investments”), is a Delaware limited liability company registered as a commodity pool operator 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 (the “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 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 its affiliate, 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.

The Manager has selected its affiliate, Nuveen Asset Management, LLC (“Nuveen Asset Management” or the “Collateral Sub-advisor”), to manage the Fund’s collateral invested in cash equivalents, U.S. government securities and other 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, U.S. government securities and other short-term, high grade debt securities.

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2013

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 presentation of “Unrealized appreciation and depreciation on futures contracts” on the Statements of Financial Condition has been reclassified to conform to the June 30, 2013 presentation.

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, 2012.

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 execution of a futures contract, the Fund is obligated to deposit cash or eligible securities, also known as “initial margin,” into an account at its clearing broker. Generally investments in futures contracts also obligate the investor and the clearing broker to settle monies on a daily basis representing changes in the prior days “mark-to-market” of the open contracts. If the investor has unrealized appreciation the clearing broker would credit the investors account with an amount equal to appreciation and conversely if the investor has unrealized depreciation the clearing broker would debit the investors account with an amount equal to depreciation. These daily cash settlements are also known as “variation margin.” In lieu of posting variation margin daily, the Fund has deposited cash with the clearing broker, generally representing approximately twice the required initial margin to cover the initial margin and the daily changes in the market value of its futures investments. Cash held by the clearing broker to cover both 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” 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

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2013

2. Summary of Significant Accounting Policies (Continued)

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.

The average number of futures contracts outstanding during the six months ended June 30, 2013 and the fiscal year ended December 31, 2012 was as follows:


	Six Months Ended June 30, 2013		Year Ended December 31, 2012
Average number of futures contracts outstanding*		3,243		3,518

*	The average number of contracts is calculated based on the absolute aggregate outstanding number of contracts at the beginning of the fiscal year and at the end of each quarter within the current fiscal year.

Refer to Note 3 – Derivative Instruments and Hedging Activities within these Notes to Financial Statements 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 six months ended June 30, 2013 and the fiscal year ended December 31, 2012, the Fund wrote call options on futures contracts.

The Fund did not purchase options on futures or forward contracts during the six months ended June 30, 2013 and the fiscal year ended December 31, 2012. 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.

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2013

2. Summary of Significant Accounting Policies (Continued)

Transactions in call options written were as follows:


	Six Months Ended June 30, 2013						Year Ended December 31, 2012
	Number of Contracts			Premiums Received			Number of Contracts			Premiums Received
Outstanding, beginning of period		1,537		$	974,047			1,657		$	1,428,047
Options written		5,962			2,761,100			12,756			8,160,238
Options terminated in closing purchase transactions		(3,366	)		(1,654,535	)		(6,408	)		(3,529,781	)
Options expired		(1,903	)		(857,801	)		(4,686	)		(3,614,858	)
Options exercised		(775	)		(383,653	)		(1,782	)		(1,469,599	)

Outstanding, end of the period		1,455		$	839,158			1,537		$	974,047

The average number of call options written outstanding during the six months ended June 30, 2013 and the fiscal year ended December 31, 2012 was as follows:


	Six Months Ended June 30, 2013		Year Ended December 31, 2012
Average number of call options written outstanding*		1,481		1,627

*	The average number of contracts is calculated based on the outstanding number of contracts at the beginning of the fiscal year and at the end of each quarter within the current fiscal year.

Refer to Note 3 – Derivative Instruments and Hedging Activities within these Notes to Financial Statements for further details on options activity.

Forward Contracts

The Fund may enter into forward contracts but did not make any such investments during the six months ended June 30, 2013 and the fiscal year ended December 31, 2012. 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.

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2013

2. Summary of Significant Accounting Policies (Continued)

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.

Repurchase Agreements

In connection with transactions in repurchase agreements, it is the Fund’s policy that its custodian take possession of the underlying collateral securities, the fair value of which exceeds the principal amount of the repurchase transaction, including accrued interest, at all times. If the counterparty defaults, and the fair value of the collateral declines, realization of the collateral may be delayed or limited.

Collateral Investments

Currently, approximately 15% of the Fund’s net 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 high-quality instruments permitted under CFTC regulations.

The Fund’s 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, U.S. government securities and other high-quality short-term debt securities with final terms not exceeding one year at the time of investment. The collateral portfolio’s debt securities (other than U.S. government securities) are rated at the highest applicable rating 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.

Investment Valuation

Commodity futures contracts and options on commodity futures 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.

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2013

2. Summary of Significant Accounting Policies (Continued)

Prices of fixed-income securities, including, but not limited to, highly rated agency discount notes and U.S. Treasury bills, 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, 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) (Unaudited)

June 30, 2013

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 June 30, 2013 and December 31, 2012:


	June 30, 2013
	Level 1			Level 2			Level 3		Total
Short-Term Investments:
U.S. Government and Agency Obligations	$	—		$	148,619,541		$	—	$	148,619,541
Repurchase Agreements		—			20,207,573			—		20,207,573
Derivatives:
Futures Contracts*		(8,026,332	)		—			—		(8,026,332	)
Call Options Written**		(331,423	)		(6,983	)		—		(338,406	)

Total	$	(8,357,755	)	$	168,820,131		$	—	$	160,462,376


	December 31, 2012
	Level 1			Level 2			Level 3		Total
Short-Term Investments:
U.S. Government and Agency Obligations	$	—		$	169,902,839		$	—	$	169,902,839
Repurchase Agreements		—			583,450			—		583,450
Derivatives:
Futures Contracts*		(3,783,033	)		—			—		(3,783,033	)
Call Options Written**		(502,586	)		(33,427	)		—		(536,013	)

Total	$	(4,285,619	)	$	170,452,862		$	—	$	166,167,243

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

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

The Manager is responsible for the Fund’s valuation process and has delegated daily oversight of the process to the Manager’s Valuation Committee. The Valuation Committee, pursuant to its valuation policies and procedures, is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Manager’s senior management. The Valuation Committee is aided in its efforts by the Manager’s Securities Valuation Team, which is responsible for administering the daily valuation process and applying fair value methodologies as approved by the Valuation Committee. When determining the reliability of independent pricing services for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of the pricing services and monitors the quality of security prices received through various testing reports conducted by the Securities Valuation Team.

For each portfolio instrument that has been fair valued pursuant to the Valuation Committee’s policies, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such testing and fair valuation occurrences are reported to the Manager’s senior management.

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2013

2. Summary of Significant Accounting Policies (Continued)

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 discounts for financial reporting purposes, is recorded on an accrual basis.

Brokerage Commissions and Fees

The Fund pays 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 its commodity trading activities.

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 2011 and 2012 in connection with the planned offering were recorded as a deferred charge and recognized as a component of “Other assets” on the Statements of Financial Condition during the fiscal year ended December 31, 2011. Due to adverse market conditions the offering did not take place and the Fund withdrew the Form S-1 filing during October 2012. As a result, the costs incurred by the Fund were expensed in 2012 since they would not benefit the Fund in a future

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2013

2. Summary of Significant Accounting Policies (Continued)

offering and the Manager reimbursed the Fund for half of such costs. These costs are recognized as “Offering costs” on the Statements of Operations for the fiscal year ended December 31, 2012.

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. Among other factors, the Manager seeks to establish a distribution rate that roughly corresponds to its projections of the total return that could reasonably be expected to be generated by the Fund over an extended period of time. In the event that the amount of income earned or capital gains realized by the Fund is not sufficient to cover the Fund’s distributions, the Fund may be required to liquidate investments to fund distributions at times or on terms that are disadvantageous to the Fund and its shareholders. As market conditions and portfolio performance may change, the rate of distribution on the shares and the Fund’s distribution policy could change. The Manager reserves the right to change the Fund’s distribution policy and the basis for establishing the rate of the Fund’s 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 believes the risk of loss to be remote.

Financial Instrument Risk

The Fund utilizes 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 June 30, 2013 and December 31, 2012, the financial instruments held by the Fund were 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. Investing in commodity futures and forward

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2013

2. Summary of Significant Accounting Policies (Continued)

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 is the possibility that a loss may occur due to failure of a counterparty performing according to the terms of the forwards, futures and option contracts. 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 commodity markets have volatility risk. The commodity markets have experienced periods of extreme volatility. General market uncertainty and consequent repricing risk have led to market imbalances of sellers and buyers, which in turn have resulted in significant reductions in values of a variety of commodities. Similar future market conditions may result in rapid and substantial valuation increases or decreases in the Fund’s holdings. In addition, volatility in the commodity and securities markets may directly and adversely affect the setting of distribution rates on the Fund’s shares.

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2013

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.

The following tables present the fair value of all derivative instruments held by the Fund as of June 30, 2013 and December 31, 2012, the location of these instruments on the Statements of Financial Condition and the primary underlying risk exposure.

Six Months Ended June 30, 2013

Location on the Statements of Financial Condition

Underlying
Risk Exposure

Derivative
Instrument

Asset Derivatives

Liability Derivatives

Location

Value

Location

Value

Commodity

Futures Contracts

Unrealized appreciation on futures contracts

433,898

Unrealized depreciation on futures contracts

8,460,230

Commodity

Options

—

Call options written, at value

338,406

Total

433,898

8,798,636

Year Ended December 31, 2012

Location on the Statements of Financial Condition*

Underlying
Risk Exposure

Derivative
Instrument

Asset Derivatives

Liability Derivatives

Location

Value

Location

Value

Commodity

Futures Contracts

Unrealized appreciation on futures contracts

2,671,325

Unrealized depreciation on futures contracts

6,454,358

Commodity

Options

—

Call options written, at value

536,013

Total

2,671,325

6,990,371

*	Amounts have been reclassified to conform to the current presentation.

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



Commodity Risk Exposure	Six Months Ended June 30, 2013			Six Months Ended June 30, 2012
Net realized gain (loss) from:
Futures contracts	$	(15,192,263	)	$	(16,939,576	)
Call options written		2,450,012			4,236,174
Change in net unrealized appreciation (depreciation) of:
Futures contracts	$	(4,243,299	)	$	7,710,570
Call options written		62,718			(1,709,545	)

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2013

4. Related Parties

The Manager, the Commodity Sub-advisor 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 pays 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 are compensated for their services to the Fund from the management fees paid to the Manager, and the Fund does not reimburse the Manager for those fees.

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:


	Six Months Ended June 30, 2013		Year Ended December 31, 2012
Shares repurchased		—		9,800

Weighted average price per share repurchased	$	—	$	20.77

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2013

6. Financial Highlights

The following financial highlights relate to investment performance and operations for a Fund share outstanding during the three and six months ended June 30, 2013 and the three and six months ended June 30, 2012. 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						Six Months Ended
	June 30, 2013			June 30, 2012			June 30, 2013			June 30, 2012
Net Asset Value:
Net asset value per share —beginning of period	$	20.60		$	23.55		$	21.38		$	23.21
Net investment income (loss)		(.08	)		(.09	)		(.16	)		(.18	)
Net realized and unrealized gain (loss)		(1.57	)		(1.59	)		(1.84	)		(.73	)
Distributions		(.44	)		(.44	)		(.87	)		(.87	)

Net asset value per share—end of period	$	18.51		$	21.43		$	18.51		$	21.43

Market Value:
Market value per share—beginning of period	$	20.75		$	23.08		$	19.97		$	20.30

Market value per share—end of period	$	17.07		$	20.40		$	17.07		$	20.40

Ratios to Average Net Assets: ^(a)
Net investment income (loss)		(1.70	)%		(1.67	)%		(1.62	)%		(1.61	)%

Expenses		1.83	%		1.78	%		1.75	%		1.72	%

Total Returns: ^(b)
Based on Net Asset Value		(8.09	)%		(7.17	)%		(9.59	)%		(4.10	)%

Based on Market Value		(15.75	)%		(9.74	)%		(10.62	)%		4.55	%

(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.

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 or otherwise, 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 commenced operations on September 27, 2010, with its initial public offering. 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, and 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.

Results of Operations

The Quarter Ended June 30, 2013—Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $17.07 on the close of business on June 28, 2013 (the last trading day of the quarter). This represents a decrease of 17.73% in share price (not including an assumed reinvestment of distributions) from the $20.75 price at which the shares of the Fund traded on the close of business on March 28, 2013 (the last trading day of the previous quarter). The high and low intra-day share prices for the quarter were $20.84 (April 1, 2013) and $16.54 (June 24, 2013), respectively. During the quarter, the Fund declared distributions totaling $0.435 per share to shareholders, of which $0.145 was paid on July 1, 2013. The remainder was paid during the quarter. The Fund’s cumulative total return on market value for the quarter, which assumes reinvestment of such distributions, was -15.75%. At June 28, 2013 (the last trading day of the quarter), the shares of the Fund traded at a 7.78% discount to the Fund’s net asset value of $18.51.

The Quarter Ended June 30, 2012—Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $20.40 on the close of business on June 29, 2012 (the last trading day of the period). This represents a decrease of 11.61% in share price (not including an assumed reinvestment of distributions) from the $23.08 price at which the shares of the Fund traded on the close of business

on March 30, 2012 (the last trading day of the previous fiscal period). The high and low intra-day share prices for the quarter were $23.57 (April 3, 2012) and $19.16 (June 1, 2012), respectively. During the quarter, the Fund declared distributions totaling $0.435 per share to shareholders, of which $0.145 was paid on July 2, 2012. The remainder was paid during the quarter. The cumulative total return on market value for the Fund, including distributions during the period, for the quarter ended June 30, 2012 was -9.74%. At June 29, 2012, the shares of the Fund traded at a 4.81% discount to the Fund’s net asset value of $21.43.

The Quarter Ended June 30, 2013—Net Assets of the Fund

The Fund’s net assets decreased from $190.0 million as of March 31, 2013, to $170.7 million as of June 30, 2013, a decrease of $19.3 million. The decrease in the Fund’s net assets was due to $9.7 million in net realized losses and $4.8 million in unrealized depreciation on the Fund’s portfolio during the quarter, a net investment loss of $0.8 million, and $4.0 million of distributions declared to shareholders.

Commodity markets continued to struggle in the second quarter of 2013 and were heavily influenced by supply and demand fundamentals of individual markets. The broad commodity market fell consecutively in April, May, and June falling 9.5% overall as five of the six commodity groups tracked by the DJ-USBCI posted declines for the quarter.

Energy commodities represented 36.5% of the DJ-UBSCI at the end of the period and were broadly lower losing 8.5% in the quarter as weakening global demand put downward pressure on prices. Natural gas prices were especially weak, down 13.9% for the quarter and offsetting a significant advance during the first quarter. This decline was in response to reduced demand stemming from mild weather in the U.S. at the end of the quarter and reports of rebuilding of inventories.

Agricultural commodities (as composed in the Commodity Weightings table later in this Report) made up 21.8% of the DJ-UBSCI at the end of the period and were under pressure during the second quarter, losing 3.1% due to expectations of generous supplies for many markets, including corn and wheat. Corn and wheat fell as the U.S. Department of Agriculture increased its forecasts of crop sizes for the 2013/2014 season.

Industrial metals, which made up 16.0% of the DJ-UBSCI at the end of the period, fell 10.4% during the period. Slowing GDP growth in China, pointing to lower demand in global manufacturing and domestic construction, took all four industrial metals components of the DJ-UBSCI down. Most notably, nickel and copper experienced double digit declines.

Precious metals represented 11.8% of the DJ-UBSCI at the end of the period and were the worst performing group, down 25.5%. Selling pressures resulted in a 23.4% loss for gold and a 31.6% loss in silver for the second quarter. Precious metals prices fell in April on the news that the Central Bank of Cyprus might liquidate its gold reserves as part of its bailout settlement with the International Monetary Fund and the European Union. Gold and silver weakened further in May and June, stemming from the U.S. Federal Reserve’s indication that it might begin to reduce its policy of quantitative easing.

Foods and fibers, which made up 8.2% of the DJ-UBSCI at the end of the period, were down 8.4% as favorable weather for sugar and coffee growing raised expectations of surplus for the season in global markets coupled with a backdrop of weak demand pushed prices lower.

Livestock was the smallest group in the DJ-UBSCI, representing 5.7% at the end of the period. Livestock was the only group to post a gain for the quarter rising approximately 2.2%. Appreciation in lean hog prices was driven by seasonal strength in U.S. demand for summer grilling and reports in April and May of a virus affecting piglets that could impair breeding of the U.S. herd later in 2013.

In this challenging environment of downward price action, the Fund’s commodity portfolio outperformed, falling 7.7% (before considering the expenses of the Fund or the performance of the collateral portfolio) vs. the 9.5%

decline of the DJ-UBSCI. Relative to the DJ-UBSCI, the primary drivers of outperformance were in the energy and agriculture groups. The Fund’s total return on net asset value for the quarter, which includes the effect of the Fund’s expenses and the performance of the collateral portfolio and assumes the reinvestment of the Fund’s distribution, was a loss of 8.09%.

Within energy, the portfolio’s better relative results were mainly attributable to an underweight to natural gas, which retreated 13.9% as measured by the DJ-UBSCI. The portfolio had nearly half the exposure of the DJ-UBSCI in this commodity, a 6.5% weight vs. a 12.6% weight, respectively, leading to the better relative performance. Together, the Fund’s portfolio lost 5.5% in energy commodities while the DJ-UBSCI fell 8.5% over the period.

The agriculture group was an area of both positive absolute performance and relative outperformance for the Fund’s commodity portfolio. The Fund’s portfolio gained approximately 0.2% in this group vs. the DJ-UBSCI’s 3.1% loss. This was primarily driven by an underweight position, and better returns in corn for the Fund’s commodity portfolio versus the DJ-UBSCI. The Fund’s commodity portfolio was also overweight soybeans which rallied over the quarter on spotty crop conditions and increased demand from China. Options positions that expired without being exercised (meaning the Fund retained the premium received for selling those options) contributed to the better returns for the Fund as well.

The Fund’s portfolio was overweight precious metals with a weighting of 13.1% versus the DJ-UBSCI weight of 11.8% using period ending weights, which detracted from relative performance versus the DJ-UBSCI given the strong declines in that commodity group. Industrial metals was also an area of underperformance mainly driven by an overweight position in the underperforming copper commodity.

During the quarter, most of the commodity portfolio’s call options expired without being exercised. Depending on the contract and time period, this allowed the Fund to earn the entire call option premium without sacrificing any appreciation on the related futures contract, thereby offsetting some of the Fund’s losses, or partially offsetting any losses on the related futures contract, and benefiting the Fund’s overall performance. In certain cases during the quarter where the futures contract 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 summary, the options program allowed the Fund to limit its volatility relative to its benchmark while also allowing the Fund to participate meaningfully in the appreciation in those commodity groups with strong price appreciation.

During the quarter ended June 30, 2013, the Fund’s collateral investments generated interest income of $56,393, which represents 0.03% of average net assets for the quarter ended June 30, 2013.

The net asset value per share on June 30, 2013, was $18.51. This represents a decrease of 10.15% in net asset value (not including an assumed reinvestment of distributions) from the $20.60 net asset value as of March 31, 2013. The Fund declared distributions of $0.435 per share during the quarter, of which $0.145 was paid on July 1, 2013. The remainder was paid during the quarter. When an assumed reinvestment of these distributions is taken into account, the cumulative total return for the Fund on net asset value was -8.09% for the quarter ended June 30, 2013.

The Fund generated a net loss of $15.3 million for the quarter ended June 30, 2013, resulting from interest income of $0.1 million, expenses of $0.9 million, net realized losses of $9.7 million, and net unrealized depreciation of $4.8 million.

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

The Fund’s net assets decreased from $217.1 million as of March 31, 2012, to $197.5 million as of June 30, 2012, a decrease of $19.6 million. The decrease in the Fund’s net assets was due to $20.6 million in net realized

losses and $5.8 million in unrealized appreciation on the Fund’s commodity portfolio during the quarter, a net investment loss of $0.8 million, and $4.0 million of distributions declared to shareholders.

The Fund’s commodity and options portfolio fell approximately 6.8% during the quarter before considering the expenses of the Fund. The overall commodities market, as measured by the DJ-UBSCI, fell 4.6% during the quarter. Commodity markets had a volatile quarter with the gains generated in June overshadowed by losses in April and May. Commodity performance was driven by continued investor uncertainty over the global economic outlook spurred by the disappointing progress in the world economy and continued financial stress in Europe. Shocks to specific commodities because of extreme weather conditions throughout the United States and other parts of the world also factored into the volatility of commodity markets.

In aggregate, the Fund’s commodity portfolio underperformed the DJ-UBSCI by approximately 2.2% for the quarter, before considering the expenses of the Fund. The main causes of the underperformance were the Fund’s larger allocation to crude oil and its smaller allocations to the top performing agricultural group, as well as natural gas. Positive contributors included exposure to soybean meal (which is not held by the DJ-UBSCI), a smaller allocation to aluminum, zinc and nickel positions and lesser exposure to gold relative to the DJ-UBSCI.

During the second quarter of 2012, agriculture and livestock were the only two of the six principal commodity groups to post positive results for both the Fund and the DJ-UBSCI. Agricultural commodities in the DJ-UBSCI, particularly wheat, corn and soybeans, increased by more than 7.2% because of the hot weather and lower forecasts of expected crop yields. The Fund’s commodity portfolio captured most of this price appreciation with a gain of approximately 6.4% in this group. Correspondingly, the lower expected crop yields also raised the prices of livestock by almost 3% as feed is now more expensive. The Fund’s commodity portfolio outperformed with respect to natural gas, posting a gain of approximately 15.6% versus the DJ-UBSCI’s 13.9%. Record heat across much of the United States drove the positive returns. Despite the gains in natural gas, the energy group was down approximately 9% for the DJ-UBSCI and approximately 12% for the Fund for the quarter. The Fund underperformed within the energy group, primarily because of its overweight to crude oil, which performed poorly for both the Fund and the DJ-UBSCI, falling approximately 18% and 19%, respectively. Rounding out the three remaining principal commodity groups, foods and fibers, industrial metals, and precious metals declined approximately 11%, 9%, and 7%, respectively, within the Fund’s commodity portfolio.

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. For example, with respect to natural gas, out-of the money options with high relative premiums helped the portfolio’s performance. Crude oil and heating oil options also earned premiums offsetting futures losses. However, among the agricultural commodity group, the options writing generally limited upside capture. This is illustrated by soybean meal prices, which rose approximately 11.7% in the month of April. The performance of the Fund’s soybean meal position was approximately 8.5% over the same period, reflecting the negative impact of forgone futures contract appreciation as the option contracts expired in-the-money. The premiums received on the soybean meal options contracts were less than the foregone upside of the futures positions. For the Fund’s commodity portfolio overall, the increased volatility drove higher premiums for option writing.

During the quarter ended June 30, 2012, the Fund’s collateral investments generated interest income of $57,392, which represents 0.03% of average net assets for the quarter ended June 30, 2012.

The net asset value per share on June 30, 2012, was $21.43. This represents a decrease of 9.00% in net asset value (not including an assumed reinvestment of distributions) from the $23.55 net asset value as of March 31, 2012. The Fund declared distributions of $0.435 per share during the quarter, of which $0.145 was paid on July 2, 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 -7.17% for the quarter ended June 30, 2012.

The Fund generated a net loss of $15.6 million for the quarter ended June 30, 2012, resulting from interest income of $0.1 million, net expenses of $0.9 million, net realized losses of $20.6 million, and net unrealized appreciation of $5.8 million.

The Six Months Ended June 30, 2013—Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $17.07 on the close of business on June 28, 2013 (the last trading day of the period). This represents a decrease of 14.52% in share price (not including an assumed reinvestment of distributions) from the $19.97 price at which the shares of the Fund traded on the close of business on December 31, 2012. The high and low intra-day share prices for the six month period were $22.09 (January 23, 2013) and $16.54 (June 24, 2013), respectively. During the six month period, the Fund declared distributions totaling $0.870 per share to shareholders, of which $0.145 was paid on July 1, 2013. The remainder was paid during the six month period. The Fund’s cumulative total return on market value for the six month period, which assumes reinvestment of such distributions, was -10.62%. At June 28, 2013, (the last trading day of the period) the shares of the Fund traded at a 7.78% discount to the Fund’s net asset value of $18.51.

The Six Months Ended June 30, 2012—Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $20.40 on the close of business on June 29, 2012 (the last trading day of the period). This represents an increase of 0.49% 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 six month period were $24.98 (March 22, 2012) and $19.16 (June 1, 2012), respectively. During the six month period, the Fund declared distributions totaling $0.870 per share to shareholders, of which $0.145 was paid on July 2, 2012. The remainder was paid during the six month period. The cumulative total return on market value for the Fund, including distributions, for the six month period ended June 30, 2012 was 4.55%. As of June 29, 2012, the shares of the Fund traded at a 4.81% discount to the Fund’s net asset value of $21.43.

The Six Months Ended June 30, 2013—Net Assets of the Fund

The Fund’s net assets decreased from $197.1 million as of December 31, 2012, to $170.7 million as of June 30, 2013, a decrease of $26.4 million. The decrease in the Fund’s net assets was due to $12.7 million in net realized losses and $4.2 million in unrealized depreciation on the Fund’s portfolio during the period, a net investment loss of $1.5 million, and $8.0 million of distributions declared to shareholders.

Commodities markets fell steadily during the first six months of 2013, and while rallies in January, March and late April limited the drop, the broad market ended down 10.5% for the period, as measured by the DJ-UBSCI, with each of the six commodity groups in the DJ-UBSCI losing ground during the first half of 2013.

Energy commodities represented 36.5% of the DJ-UBSCI at the end of the period. The group gained during the first quarter of the year, but weakened in the second quarter, giving up all of the first quarter gains, and falling 2.0% for the six month period. The only commodity in the group experiencing gains for the period was West Texas Intermediate (“WTI”) crude oil, which rose 2.5%, as measured by the DJ-UBSCI. WTI crude was higher in the first quarter on a spurt of growth in the U.S. economy, and in the second quarter on early signs of a resolution to the large supply buildup resulting from growing domestic production in shale oil fields. Natural gas

posted a loss of 1.0% for the first six months of 2013, as measured by the DJ-UBSCI, after an unseasonably cold late winter and early spring in the U.S. took prices up approximately 14%, it then sold off from a rebuilding of inventories in the second quarter.

Agricultural commodities (as composed in the Commodity Weightings table later in this Report) made up 21.8% of the DJ-UBSCI at the end of the period and experienced mixed results for the period. Overall, the group returned a loss of 6.1% for the period as measured by the DJ-UBSCI. Prices of both corn and wheat were lower on influential forecasts from the U.S. Department of Agriculture, issued at the end of March and again in June, on the likely abundance of the coming harvest. In contrast, soybeans and soybean meal moved higher on developments in the physical markets, namely shortages for current domestic consumption and exports to China.

Industrial metals, which made up 16.0% of the DJ-UBSCI at the end of the period, fell steadily through the first half of 2013, reflecting weak demand in the global manufacturing environment. The group experienced a loss of 17.4% for the period as measured by the DJ-UBSCI, with losses in all underlying components of the DJ-UBSCI.

Precious metals represented 11.8% of the DJ-UBSCI at the end of the period and were the weakest component of the DJ-UBSCI, down 29.6% during the first six months of 2013, driven by losses in gold and silver. Gold underperformed early in the period as investors sought opportunities in the rising equity markets, compounded by the mid-April bailout negotiations for Cyprus, when markets focused on the possibility that the Central Bank of Cyprus might liquidate a portion of its gold reserves. In mid-June, gold and silver experienced additional losses, when the U.S. Federal Reserve chairman suggested that a withdrawal from its quantitative easing program might begin in late 2013.

Foods and fibers, which made up 8.2% of the DJ-UBSCI at the end of the period, declined 11.4% over the period. Growing conditions for coffee and sugar have been favorable, particularly in Brazil, so that global stocks continue to increase driving most of the price decline.

Livestock, the smallest group in the DJ-UBSCI at the end of the period making up 5.7%, experienced gains in the second quarter of 2013, but were unable to overcome a weak first quarter and suffered a decline of 4.4% for the six month period, as measured by the DJ-UBSCI.

In this challenging environment of mostly falling prices over the first six months of 2013, the Fund’s commodity portfolio outperformed its benchmark falling 8.9% (before considering the expenses of the Fund or the performance of the collateral portfolio) vs. the 10.5% decline of the DJ-UBSCI. The Fund’s commodity portfolio outperformed relative to the Index in five of the six commodity groups, most notably within the agriculture and foods and fibers, while underperforming in livestock. The Fund’s total return on net asset value for the period, which includes the effect of the Fund’s expenses and the performance of the collateral portfolio and assumes the reinvestment of the Fund’s distributions, was a loss of 9.59%.

The Fund’s commodity portfolio outperformed the DJ-UBSCI in every agricultural commodity with strong results across the board. The portfolio benefited from underweight positions in the falling markets of corn and soybean oil, as well as an overweight position in the rising soybean market, in comparison to the DJ-UBSCI. Additionally, while certain options positions were exercised against the Fund creating small losses, during the period the Fund generally benefited from its option activity in corn, soybeans, soybean meal and soybean oil.

The foods and fibers group within the Fund’s commodity portfolio experienced a loss of approximately 9.7% during the six month period. Despite this loss, the Fund’s portfolio performed better than the DJ-UBSCI where this group fell 11.4%. The Fund’s commodity portfolio benefited from lower portfolio weightings than the Index in coffee and sugar.

The Fund’s commodity portfolio experienced a loss of approximately 5.5% in the livestock group, underperforming the DJ-UBSCI which lost 4.4%. The underperformance was mostly a result of the portfolio’s position in feeder cattle, which lost approximately 11.5% and is not held in the DJ-UBSCI.

During the period, most of the commodity futures portfolio’s call options expired without being exercised. Depending on the contract and time period, this allowed the Fund to earn the entire call option premium without sacrificing any appreciation on the related futures contract, thereby offsetting some of the Fund’s losses, or partially offsetting any losses on the related futures contract, and benefiting the Fund’s overall performance. In certain cases during the period where the futures contract 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 summary, the options program allowed the Fund to limit its volatility relative to its benchmark while also allowing the Fund to participate meaningfully in the appreciation in those commodity groups with strong price appreciation.

During the six month period ended June 30, 2013, the Fund’s collateral investments generated interest income of $117,053, which represents 0.06% of average net assets for the six months ended June 30, 2013.

The net asset value per share on June 30, 2013, was $18.51. This represents a decrease of 13.42% in net asset value (not including an assumed reinvestment of distributions) from the $21.38 net asset value as of December 31, 2012. The Fund declared distributions of $0.870 per share during the six month period, of which $0.145 was paid on July 1, 2013. The remainder was paid during the period. When an assumed reinvestment of these distributions is taken into account, the cumulative total return for the Fund on net asset value was -9.59% for the six months ended June 30, 2013.

The Fund generated a net loss of $18.5 million for the six months ended June 30, 2013, resulting from interest income of $0.1 million, expenses of $1.7 million, net realized losses of $12.7 million, and net unrealized depreciation of $4.2 million.

The Six Months Ended June 30, 2012—Net Assets of the Fund

The Fund’s net assets decreased from $214.2 million as of December 31, 2011, to $197.5 million as of June 30, 2012, a decrease of $16.7 million. The decrease in the Fund’s net assets was due to $12.7 million in net realized losses and $6.0 million in unrealized appreciation on the Fund’s commodity portfolio during the period, a net investment loss of $1.7 million, $8.1 million of distributions declared to shareholders and $0.2 million decrease in net assets due to share repurchases.

The Fund’s commodity portfolio fell approximately 3.2% during the six month period before considering the expenses of the Fund. The overall commodities market, as measured by the DJ-UBSCI, decreased 3.7%. During January and February 2012 commodities markets generally rose, but from March through June commodities markets were hurt by increased investor uncertainty over the global economic outlook. Some short-term developments in 2012, such as extreme heat throughout the United States and other parts of the world, boosted prices, particularly in the agricultural group, while economic weakness in Europe and early signs of slowdowns in the emerging market economies hurt commodities prices broadly.

For the six month period, four of the six principal commodity groups in the DJ-UBSCI and the Fund’s commodity portfolio declined. Foods and fibers experienced a decrease of approximately 11% within the Fund. Within foods and fibers, cotton declined approximately 16% and was negatively impacted by concerns regarding a slowdown in China. A decline of approximately 15% in coffee also negatively impacted the foods and fibers group. Energy experienced a decrease of approximately 11% within the Fund, driven by decreases in both natural gas and crude oil. Rounding out the remaining underperformers for the Fund, industrial metals and livestock experienced a decrease of approximately 3% and 2%, respectively, during the period. Turning to the positive performing groups for the Fund, agriculturals, driven by soybean meal and soybeans, and precious metals, driven by gold, increased by approximately 13% and 1%, respectively.

For the six month period the Fund’s commodity portfolio outperformed the DJ-UBSCI benchmark in five of the six commodity groups. The commodity portfolio’s holdings in the energy group had the largest outperformance

when compared to the DJ-UBSCI (returning approximately -11.4% vs. -14.5%, respectively), largely due to the Fund’s smaller allocation to natural gas. Within foods and fibers, the Fund benefited from exposure to coffee contracts traded in the London International Financial Futures Exchange. Additionally, the commodity portfolio’s positions in nickel, gold, and live cattle contributed to the Fund’s outperformance of the DJUBSCI in the industrial metals, precious metals, and livestock groups. Agriculture was the sole relative underperformer, driven by the Fund’s lower weights to soybeans, wheat, and corn. As inclement weather drove these commodity prices higher, the Fund’s lower exposures to these commodities was a negative during the period.

During the six 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. The option writing was most beneficial within the energy group where options premium helped cushion losses experienced in both crude oil and natural gas. In certain cases, such as soybean meal, 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 0.5% before considering the expenses of the Fund, while experiencing less volatility.

During the six month period ended June 30, 2012, the Fund’s collateral investments generated interest income of $123,178, which represents 0.06% of average net assets for the six months ended June 30, 2012.

The net asset value per share as of June 30, 2012, was $21.43. This represents a decrease of 7.67% in net asset value (not including an assumed reinvestment of distributions) from the $23.21 net asset value as of December 31, 2011. The Fund declared distributions of $0.870 per share during the six month period, of which $0.145 was paid on July 2, 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 -4.10% for the six months ended June 30, 2012.

The Fund generated a net loss of $8.4 million for the six month period ended June 30, 2012, resulting from interest income of $0.1 million, net expenses of $1.8 million, net realized losses of $12.7 million, and net unrealized appreciation of $6.0 million.

Fund Total Returns

The following table presents selected total returns for the Fund as of June 30, 2013. Total returns based on market value and net asset 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						Annualized
	3 Month			Year to Date			1 Year			Since Inception
Market Value		-15.75	%		-10.62	%		-8.81	%		-5.92	%
Net Asset Value		-8.09	%		-9.59	%		-6.21	%		-1.79	%

“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.

Distributions

The Fund makes regular monthly distributions to its shareholders stated in terms of a fixed cents per share distribution rate. The Manager seeks to establish a distribution rate that, among other factors, roughly corresponds to its projections of the total return that could reasonably be expected to be generated by the Fund over an extended period of time. The Fund’s projected or actual distribution rate is not a prediction of what the Fund’s actual total returns will be over any specific future period.

The Fund’s ability to make distributions will depend on a number of factors, including, most importantly, the long-term total returns generated by the Fund’s commodity investments and the gains generated through the Fund’s options strategy. The Fund’s actual financial performance will likely vary significantly from month-to-month and from year-to-year, and there may be periods, perhaps of extended durations of up to several years, when the distribution rate exceeds the Fund’s actual total returns. In the event that the amount of income earned or capital gains realized by the Fund is not sufficient to cover the Fund’s distributions, the Fund may be required to liquidate investments to fund distributions at times or on terms that could be disadvantageous to the Fund and its shareholders.

Because the Fund’s investment performance since its inception has been negative, the Fund has effectively been drawing upon its assets to meet payments prescribed by its distribution policy. The Fund also has paid fees and expenses that have also been drawn from the Fund’s assets.

As market conditions and portfolio performance may change, the rate of distributions on the shares and the Fund’s distribution policy could change. The Manager reserves the right to change the Fund’s 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. The reduction or elimination of the Fund’s distributions could have the effect of increasing the Manager’s management fees. As disclosed in a press release dated July 1, 2013, the Manager has reduced the Fund’s distribution rate effective with the distribution payable on August 1, 2013.

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 June 30, 2013. 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		21.57	%		16.49	%
	Heating Oil		5.61	%		3.72	%
	Natural Gas		6.54	%		12.58	%
	Unleaded Gas		3.53	%		3.73	%

			37.25	%		36.52	%

Industrial Metals	Aluminum		4.55	%		4.69	%
	Copper		8.80	%		6.73	%
	Nickel		1.25	%		1.99	%
	Zinc		1.30	%		2.58	%
	Lead		0.81	%		0.00	%

			16.71	%		15.99	%

Agriculturals	Corn		5.44	%		6.26	%
	Soybean		6.13	%		5.51	%
	Wheat		4.29	%		4.60	%
	Soybean Meal		2.17	%		2.65	%
	Soybean Oil		1.57	%		2.75	%

			19.60	%		21.77	%

Precious Metals	Gold		9.26	%		8.94	%
	Silver		2.63	%		2.81	%
	Platinum		0.75	%		0.00	%
	Palladium		0.46	%		0.00	%

			13.10	%		11.75	%

Foods and Fibers	Cotton		1.26	%		2.18	%
	Sugar		1.99	%		3.88	%
	Coffee		1.13	%		2.17	%
	Cocoa		0.39	%		0.00	%

			4.77	%		8.23	%

Livestock	Live Cattle		5.05	%		3.35	%
	Lean Hogs		2.37	%		2.39	%
	Feeder Cattle		1.15	%		0.00	%

			8.57	%		5.74	%

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 currently expects to post approximately 15% of its net assets in a margin account with Barclay’s Capital Inc., the Fund’s clearing broker, to cover its futures contracts; the remaining assets are held by the Fund in a separate collateral pool managed by the Collateral Sub-advisor. The Fund believes the higher allocation to initial margin will provide a significant buffer to accommodate variations in the required margin posting that may result from market volatility, potential gains and losses on the contracts, and changes in margin rules, and will minimize the frequency of cash transfers from the Fund’s other collateral pool to meet variation margin requirements. 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 cash equivalents, U.S. government securities and other short-term, high grade debt securities. 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 December 21, 2011, the Fund announced the adoption of an open-market share repurchase program, pursuant to which it 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, if any, during the six months ended June 30, 2013.

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 attempts to minimize market risks, and the Commodity Sub-advisor attempts to minimize credit risks, by abiding 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 limit directional risk (although there is no guarantee that the Fund’s options strategy will be successful);

•

Executing and clearing trades only with counterparties the Commodity Sub-advisor believes are creditworthy;

•

Limiting the amount of margin or premium required for any one commodity contract or all commodity 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, is required by Commodity Futures Trading Commission (“CFTC”) regulations to separately account for and segregate all assets of the Fund relating to domestic futures investments. A commodity broker is not allowed to commingle such assets with other assets of 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 “secured” account the assets of the Fund related to foreign commodity futures investments and not commingle such assets with assets of 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 June 30, 2013, 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 primarily based on the Fund’s assets and trading activity. The transfer agent fee is calculated based on the Fund’s total number of registered accounts. Commission payments to the commodity broker are on a contract-by-contract or round-turn 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 futures contracts, options contracts, and short-term, high grade debt instruments, all of which are recorded on a trade date basis and recognized at fair value in the financial statements, 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) and changes in unrealized appreciation (depreciation) on open positions are determined on a specific identification basis and recognized in the Statements of Operations during the period in which the contract is closed or the changes occur, respectively.

•

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

Refer to note 2 of the Fund’s Notes to Financial Statements in “Part 1—Item 1. Financial Statements” of this Report for the summary of significant accounting policies of the Fund.

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 June 30, 2013. 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 June 30, 2013, 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	August 2013		88		$	102.1600		1,000	$	8,990,080
	ICE Brent Crude Oil Futures Contract	Long	September 2013		67			101.7200		1,000		6,815,240
	ICE Brent Crude Oil Futures Contract	Long	November 2013		20			100.8500		1,000		2,017,000
	NYMEX Crude Oil Futures Contract	Long	August 2013		105			96.5600		1,000		10,138,800
	NYMEX Crude Oil Futures Contract	Long	September 2013		50			96.4400		1,000		4,822,000
	NYMEX Crude Oil Futures Contract	Long	November 2013		42			95.1000		1,000		3,994,200
	Heating Oil
	ICE Gas Oil Futures Contract	Long	August 2013		12			877.2500		100		1,052,700
	ICE Gas Oil Futures Contract	Long	September 2013		15			874.0000		100		1,311,000
	NYMEX NY Harbor ULSD Futures Contract	Long	August 2013		40			2.8588		42,000		4,802,784
	NYMEX NY Harbor ULSD Futures Contract	Long	September 2013		20			2.8633		42,000		2,405,172
	Natural Gas
	NYMEX Natural Gas Futures Contract	Long	August 2013		77			3.5650		10,000		2,745,050
	NYMEX Natural Gas Futures Contract	Long	September 2013		236			3.5590		10,000		8,399,240
	Unleaded Gas
	NYMEX Gasoline RBOB Futures Contract	Long	August 2013		26			2.7156		42,000		2,965,435
	NYMEX Gasoline RBOB Futures Contract	Long	September 2013		27			2.6988		42,000		3,060,439

Industrial Metals	Aluminum
	LME Primary Aluminum Futures Contract	Long	July 2013		88			1,737.2500		25		3,821,950
	LME Primary Aluminum Futures Contract	Long	August 2013		178			1,755.0000		25		7,809,750
	LME Primary Aluminum Futures Contract	Short	July 2013		(88	)		1,737.2500		25		(3,821,950	)
	LME Primary Aluminum Futures Contract	Short	August 2013		(1	)		1,755.0000		25		(43,875	)
	Copper
	CEC Copper Futures Contract	Long	September 2013		97			3.0575		25,000		7,414,438
	LME Copper Futures Contract	Long	August 2013		45			6,748.2500		25		7,591,781
	Nickel
	LME Nickel Futures Contract	Long	August 2013		27			13,680.5000		6		2,216,241
	LME Nickel Futures Contract	Short	August 2013		(1	)		13,680.5000		6		(82,083	)
	Zinc
	LME Zinc Futures Contract	Long	July 2013		1			1,828.0000		25		45,700
	LME Zinc Futures Contract	Long	August 2013		50			1,842.5000		25		2,303,125
	LME Zinc Futures Contract	Long	September 2013		1			1,854.0000		25		46,350
	LME Zinc Futures Contract	Short	July 2013		(1	)		1,828.0000		25		(45,700	)
	LME Zinc Futures Contract	Short	August 2013		(3	)		1,842.5000		25		(138,188	)
	Lead
	LME Lead Futures Contract	Long	August 2013		27			2,048.2500		25		1,382,569

Futures Contracts (Continued)


Commodity Group	Contract	Contract Position	Contract Expiration	Number of Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value

Agriculturals	Corn
	CBOT Corn Futures Contract	Long	September 2013		310	$	5.4725		5,000	$	8,482,375
	CBOT Corn Futures Contract	Long	December 2013		31		5.1100		5,000		792,050
	Soybean
	CBOT Soybean Futures Contract	Long	November 2013		167		12.5200		5,000		10,454,200
	Wheat
	CBOT Wheat Futures Contract	Long	September 2013		110		6.5775		5,000		3,617,625
	KCBT Wheat Futures Contract	Long	September 2013		107		6.9050		5,000		3,694,175
	Soybean Meal
	CBOT Soybean Meal Futures Contract	Long	December 2013		99		374.0000		100		3,702,600
	Soybean Oil
	CBOT Soybean Oil Futures Contract	Long	December 2013		99		0.4512		60,000		2,680,128

Precious Metals	Gold
	CEC Gold Futures Contract	Long	August 2013		129		1,223.7000		100		15,785,730
	Silver
	CEC Silver Futures Contract	Long	September 2013		46		19.4700		5,000		4,478,100
	Platinum
	NYMEX Platinum Futures Contract	Long	October 2013		19		1,339.9000		50		1,272,905
	Palladium
	NYMEX Palladium Futures Contract	Long	September 2013		12		660.7000		100		792,840

Foods and Fibers	Cotton
	ICE Cotton Futures Contract	Long	December 2013		51		0.8401		50,000		2,142,255
	Sugar
	ICE Sugar Futures Contract	Long	October 2013		179		0.1692		112,000		3,392,122
	Coffee
	ICE Coffee C Futures Contract	Long	September 2013		26		1.2040		37,500		1,173,900
	LIFFE Coffee Robusta Futures Contract	Long	September 2013		43		1,759.0000		10		756,370
	Cocoa
	ICE Cocoa Futures Contract	Long	September 2013		31		2,164.0000		10		670,840

Livestock	Live Cattle
	CME Live Cattle Futures Contract	Long	August 2013		157		1.2203		40,000		7,663,170
	CME Live Cattle Futures Contract	Long	October 2013		19		1.2568		40,000		955,130
	Lean Hogs
	CME Lean Hog Futures Contract	Long	August 2013		85		0.9745		40,000		3,313,300
	CME Lean Hog Futures Contract	Long	October 2013		21		0.8580		40,000		720,720
	Feeder Cattle
	CME Feeder Cattle Futures Contract	Long	August 2013		20		1.4945		50,000		1,494,500
	CME Feeder Cattle Futures Contract	Long	October 2013		6		1.5315		50,000		459,450

Commodity Call Options Written


Commodity Group	Contract	Contract Expiration	Number of Contracts			Strike Price		Value

Energy	Crude Oil
	ICE Brent Crude Oil Futures Options	August 2013		(87	)	$	108.0	$	(11,310	)
	NYMEX Crude Oil Futures Options	July 2013		(98	)		101.0		(31,360	)
	Heating Oil
	NYMEX NY Harbor ULSD Futures Contract	July 2013		(40	)		3.0		(15,792	)
	Natural Gas
	NYMEX Natural Gas Futures Options	July 2013		(73	)		4,350.0		(2,920	)
	NYMEX Natural Gas Futures Options	August 2013		(83	)		4,300.0		(14,940	)
	Unleaded Gas
	NYMEX Gasoline RBOB Futures Options	July 2013		(26	)		29,600.0		(5,788	)

Commodity Call Options Written (Continued)


Commodity Group	Contract	Contract Expiration	Number of Contracts			Strike Price		Value

Industrial Metals	Aluminum
	LME Primary Aluminum Futures Options	August 2013		(89	)	$	2,100.0	$	(579	)
	Copper
	LME Copper Futures Options	August 2013		(45	)		8,000.0		(4,342	)
	Nickel
	LME Nickel Futures Options	August 2013		(13	)		16,500.0		(502	)
	Zinc
	LME Zinc Futures Options	August 2013		(24	)		2,100.0		(912	)
	Lead
	LME Lead Futures Options	August 2013		(14	)		2,400.0		(648	)

Agriculturals	Corn
	CBOT Corn Futures Options	August 2013		(170	)		640.0		(35,062	)
	Soybean
	CBOT Soybean Futures Options	October 2013		(84	)		1,440.0		(46,725	)
	Wheat
	CBOT Wheat Futures Options	August 2013		(55	)		745.0		(10,656	)
	KCBT Wheat Futures Options	August 2013		(54	)		770.0		(11,475	)
	Soybean Meal
	CBOT Soybean Meal Futures Options	November 2013		(50	)		430.0		(36,250	)
	Soybean Oil
	CBOT Soybean Oil Futures Options	November 2013		(50	)		510.0		(12,300	)

Precious Metals	Gold
	CEC Gold Futures Options	July 2013		(65	)		1,510.0		(1,950	)
	Silver
	CEC Silver Futures Options	August 2013		(23	)		2,275.0		(20,240	)

Foods and Fibers	Cotton
	ICE Cotton Futures Options	November 2013		(25	)		96.0		(15,125	)
	Sugar
	ICE Sugar Futures Options	September 2013		(89	)		18.3		(22,926	)
	Coffee
	ICE Coffee C Futures Options	August 2013		(21	)		135.0		(9,214	)
	Cocoa
	ICE Cocoa Futures Options	August 2013		(16	)		2,550.0		(320	)

Livestock	Live Cattle
	CME Live Cattle Futures Options	August 2013		(35	)		127.0		(1,750	)
	CME Live Cattle Futures Options	August 2013		(73	)		126.0		(7,300	)
	Lean Hogs
	CME Lean Hogs Futures Options	August 2013		(53	)		102.0		(18,020	)

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

NY Harbor ULSD

New York Harbor Ultra-Low Sulfur Diesel

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, U.S. government securities, and other 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 June 30, 2013, the Fund held agency discount notes and U.S. Treasury bills worth $148,619,541 with a total par value of $148,700,000 and a repurchase agreement worth $20,207,573.

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, 2012, filed with the Securities and Exchange Commission (“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.

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. To further help manage commodity price risk, 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 the 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’s primary non-trading risk exposures are interest rate risk and credit risk related to the collateral portfolio. Interest rate risk is mitigated by the short-term nature of the collateral portfolio’s debt securities. Credit risk is mitigated by the fact that the collateral portfolio’s debt securities (other than U.S. government securities) are rated at the highest applicable rating as determined by at least one nationally recognized statistical rating organization (“NRSRO”) 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 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 (the “Exchange Act”). 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 to provide reasonable assurance that information required to be disclosed in the reports that the Fund files or submits to the SEC under the Exchange Act is recorded, processed, summarized and reported, within the time periods specified in the applicable rules and forms, and that it is accumulated and communicated to the management of the Manager as appropriate to allow timely decisions regarding required disclosure.

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 Exchange Act) 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 its most recent Annual Report on Form 10- K (the “Annual Report”) and its subsequent Quarterly Reports on Form 10-Q (the “Quarterly Reports”). The following represent changes and/or additions to the risks previously disclosed in the Fund’s most recent Annual Report and subsequent Quarterly Reports:

The Fund’s distribution policy may change at any time. Distributions paid by the Fund to its shareholders are generally expected over the long-term to be derived from the current income and gains from the Fund’s portfolio investments and the options strategy, but to the extent such current income and gains are not sufficient to pay distributions, the Fund’s distributions may represent a return of capital. The Fund’s actual financial performance will likely vary significantly from month-to-month and from year-to-year, and there may be periods, perhaps of extended durations of up to several years, when the distribution rate exceeds the Fund’s actual total returns. In that event, the Fund may liquidate investments in order to make distributions, and the timing and terms of any such liquidations could be disadvantageous to the Fund and its shareholders. The manager reserves the right to change the Fund’s 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. Any suspension or reduction of distributions will increase the Fund’s assets under management upon which NCAM earns management fees.

Departure of key personnel could adversely affect the Fund. In managing and directing the Fund’s activities and affairs, the manager relies heavily on Gresham LLC, which has a relatively small number of personnel. If any of Jonathan S. Spencer, President and Chief Investment Officer of Gresham LLC, or Susan Wager and Randy Migdal, the Fund’s portfolio managers, were to leave Gresham LLC or be unable to carry out their present responsibilities, it may have an adverse effect on the Fund’s management. In addition, should market conditions deteriorate or for other reasons, Nuveen Investments, NCAM, Nuveen Asset Management and Gresham LLC may need to implement cost reductions in the future which could make the retention of qualified and experienced personnel more difficult and could lead to personnel turnover.

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds

a) None.

b) The Fund did not issue new shares within the six month period ended on June 30, 2013.

c) 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. Share repurchases during the fiscal year to date period ended June 30, 2013 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
1/1/13 to 1/31/13	—	$ —	Approximately 872,200
2/1/13 to 2/28/13	—	$ —	Approximately 872,200
3/1/13 to 3/31/13	—	$ —	Approximately 872,200
4/1/13 to 4/30/13	—	$ —	Approximately 872,200
5/1/13 to 5/31/13	—	$ —	Approximately 872,200
6/1/13 to 6/30/13	—	$ —	Approximately 872,200

A cumulative 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 August 7, 2013.


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) August 7, 2013

/s/ Stephen D. Foy
Chief Financial Officer (Principal Financial and Accounting Officer) August 7, 2013