Nuveen Diversified Commodity Fund (CFD) 10-Q 2012 Q2 Quarterly report

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, 2012

Or

¨ 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, 2012, the registrant had 9,219,240 shares outstanding.

NUVEEN DIVERSIFIED COMMODITY FUND

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

TABLE OF CONTENTS

		Page No.
PART I. FINANCIAL INFORMATION
Item 1.	Financial Statements (Unaudited):
	Statements of Financial Condition at June 30, 2012 and December 31, 2011		3
	Schedule of Investments at June 30, 2012		4
	Statements of Operations for the three months ended June 30, 2012 and June  30, 2011 and the six months ended June 30, 2012 and June 30, 2011		11
	Statements of Changes in Shareholders’ Capital for the six months ended June  30, 2012 and the year ended December 31, 2011		12
	Statements of Cash Flows for the six months ended June 30, 2012 and June 30, 2011		13
	Notes to Financial Statements		14
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations		25
Item 3.	Quantitative and Qualitative Disclosures About Market Risk		36
Item 4.	Controls and Procedures		40
PART II. OTHER INFORMATION
Item 1.	Legal Proceedings		41
Item 1A.	Risk Factors		41
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds		42
Item 3.	Defaults Upon Senior Securities		42
Item 4.	Mine Safety Disclosures		42
Item 5.	Other Information		42
Item 6.	Exhibits		42
Signatures			43

2

PART I. FINANCIAL INFORMATION

Item 1. Financial Statements

NUVEEN DIVERSIFIED COMMODITY FUND

STATEMENTS OF FINANCIAL CONDITION

(Unaudited)

	June 30, 2012			December 31, 2011
ASSETS
Short-term investments, at value (cost $163,429,056 and $175,594,508, respectively)	$	163,433,325		$	175,626,953
Deposits with brokers		35,198,742			44,193,777
Interest receivable		64,090			561,049
Unrealized appreciation on futures contracts, net		2,788,740			—
Other assets		224,651			200,745
Total assets		201,709,548			220,582,524
LIABILITIES
Call options written, at value (premiums received $1,504,277 and $1,428,047, respectively)		2,337,232			551,457
Unrealized depreciation on futures contracts, net		—			4,921,830
Payable for:
Distributions		1,336,790			—
Shares repurchased		—			315,845
Accrued expenses:
Management fees		196,679			229,634
Other		310,940			383,629
Total liabilities		4,181,641			6,402,395
SHAREHOLDERS’ CAPITAL
Paid-in capital, unlimited number of shares authorized, 9,219,240 shares issued and outstanding at June 30, 2012 and 9,229,040 shares issued and outstanding at December 31, 2011		219,835,071			220,038,837
Accumulated undistributed earnings (deficit)		(22,307,164	)		(5,858,708	)
Total shareholders’ capital (Net assets)		197,527,907			214,180,129
Total liabilities and shareholders’ capital	$	201,709,548		$	220,582,524
Net assets	$	197,527,907		$	214,180,129
Shares outstanding		9,219,240			9,229,040
Net asset value per share outstanding (net assets divided by shares outstanding)	$	21.43		$	23.21
Market value per share outstanding	$	20.40		$	20.30

3

SCHEDULE

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS

June 30, 2012

(Unaudited)

Investments

Principal Amount (000)		Description	Coupon			Maturity		Ratings(1)		Value
		Short-Term Investments
		U.S. Government and Agency Obligations
$	30,000	Federal Home Loan Mortgage Corporation		0.000	%		8/07/12		Aaa	$	29,998,500
	18,860	Federal Home Loan Mortgage Corporation		1.000	%		8/28/12		Aaa		18,884,914
	21,000	Federal National Mortgage Association		0.000	%		9/04/12		Aaa		20,997,018
	20,000	Federal National Mortgage Association		0.000	%		11/30/12		Aaa		19,990,780
	15,000	U.S. Treasury Bills		0.000	%		8/23/12		Aaa		14,999,025
	25,000	U.S. Treasury Bills		0.000	%		11/15/12		Aaa		24,989,375
	10,000	U.S. Treasury Bills		0.000	%		2/07/13		Aaa		9,990,230
	10,000	U.S. Treasury Bills		0.000	%		5/30/13		Aaa		9,982,510
	149,860	Total U.S. Government and Agency Obligations (cost $149,828,083)									149,832,352
		Repurchase Agreements
	13,601	Repurchase Agreement with State Street Bank, dated 6/29/12, repurchase price $13,600,984, collateralized by $13,250,000 U.S. Treasury Notes, 1.750%, due 5/31/16, value $13,874,976		0.010	%		7/02/12		N/A		13,600,973
		Total Repurchase Agreements (cost $13,600,973)									13,600,973
		Total Short-Term Investments (cost $163,429,056)								$	163,433,325

Investments in Derivatives

Futures Contracts outstanding:

Commodity Group	Contract	Contract Position(2)	Contract Expiration		Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Energy	Crude Oil
	ICE Brent Crude Oil Futures Contract	Long		August 2012		61	$	5,965,800	$	8,300
	ICE Brent Crude Oil Futures Contract	Long		September 2012		47		4,600,360		(543,370	)
	ICE Brent Crude Oil Futures Contract	Long		November 2012		8		782,320		33,280
	NYMEX Crude Oil Futures Contract	Long		August 2012		166		14,103,360		104,580
	NYMEX Crude Oil Futures Contract	Long		September 2012		127		10,841,990		(1,128,470	)
	Total Crude Oil									(1,525,680	)
	Heating Oil
	ICE Gas Oil Futures Contract	Long		August 2012		20		1,686,500		(8,725	)
	ICE Gas Oil Futures Contract	Long		September 2012		8		671,800		14,300
	NYMEX Heating Oil Futures Contract	Long		August 2012		41		4,666,448		120,712
	NYMEX Heating Oil Futures Contract	Long		September 2012		14		1,594,421		33,369
	NYMEX Heating Oil Futures Contract	Long		November 2012		6		685,692		27,249
	Total Heating Oil									186,905
	Natural Gas
	NYMEX Natural Gas Futures Contract	Long		August 2012		205		5,789,200		43,050
	NYMEX Natural Gas Futures Contract	Long		September 2012		119		3,371,270		348,815
	NYMEX Natural Gas Futures Contract	Long		November 2012		80		2,472,800		(55,650	)
	Total Natural Gas									336,215

4

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2012

(Unaudited)

Investments in Derivatives (Continued)

Futures Contracts outstanding: (Continued):

Commodity Group	Contract	Contract Position(2)	Contract Expiration		Number of Contracts			Notional Amount at Value			Unrealized Appreciation (Depreciation)
Energy (continued)	Unleaded Gas
	NYMEX Gasoline RBOB Futures Contract	Long		August 2012		31		$	3,426,604		$	87,074
	NYMEX Gasoline RBOB Futures Contract	Long		September 2012		23			2,470,545			23,915
	NYMEX Gasoline RBOB Futures Contract	Long		November 2012		6			595,904			42,827
	Total Unleaded Gas											153,816
	Total Energy											(848,744	)
Industrial Metals	Aluminum
	LME Primary Aluminum Futures Contract	Long		August 2012		197			9,332,875			(438,550	)
	Copper
	CEC Copper Futures Contract	Long		September 2012		113			9,877,613			(743,663	)
	LME Copper Futures Contract	Long		August 2012		52			10,003,500			346,450
	Total Copper											(397,213	)
	Nickel
	LME Nickel Futures Contract	Long		August 2012		32			3,208,704			84,096
	LME Nickel Futures Contract	Long		September 2012		16			1,605,984			39,552
	LME Nickel Futures Contract	Short		August 2012		(16	)		(1,604,352	)		(39,552	)
	Total Nickel											84,096
	Zinc
	LME Zinc Futures Contract	Long		July 2012		29			1,364,088			(91,531	)
	LME Zinc Futures Contract	Long		August 2012		30			1,411,500			(15,750	)
	LME Zinc Futures Contract	Long		September 2012		29			1,362,637			(14,863	)
	LME Zinc Futures Contract	Short		July 2012		(29	)		(1,364,088	)		13,775
	Total Zinc											(108,369	)
	Lead
	LME Lead Futures Contract	Long		July 2012		18			832,725			(80,325	)
	LME Lead Futures Contract	Long		August 2012		35			1,623,125			2,963
	LME Lead Futures Contract	Short		July 2012		(18	)		(832,725	)		(29,675	)
	Total Lead											(107,037	)
	Total Industrial Metals											(967,073	)

5

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2012

(Unaudited)

Investments in Derivatives (Continued)

Futures Contracts outstanding: (Continued):

Commodity Group	Contract	Contract Position(2)	Contract Expiration		Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Agriculturals	Corn
	CBOT Corn Futures Contract	Long		September 2012		337	$	10,590,225	$	1,535,681
	Soybean
	CBOT Soybean Futures Contract	Long		November 2012		175		12,492,812		570,713
	Wheat
	CBOT Wheat Futures Contract	Long		September 2012		113		4,278,462		533,737
	KCBT Wheat Futures Contract	Long		September 2012		110		4,158,000		454,325
	Total Wheat									988,062
	Soybean Meal
	CBOT Soybean Meal Futures Contract	Long		August 2012		8		343,600		9,840
	CBOT Soybean Meal Futures Contract	Long		December 2012		67		2,767,770		79,360
	Total Soybean Meal									89,200
	Soybean Oil
	CBOT Soybean Oil Futures Contract	Long		December 2012		93		2,961,864		177,042
	Total Agriculturals									3,360,698
Precious Metals	Gold
	CEC Gold Futures Contract	Long		August 2012		120		19,250,400		320,100
	Silver
	CEC Silver Futures Contract	Long		September 2012		47		6,488,820		81,545
	Platinum
	NYMEX Platinum Futures Contract	Long		October 2012		21		1,525,020		(40,950	)
	Palladium
	NYMEX Palladium Futures Contract	Long		September 2012		14		818,370		(35,485	)
	Total Precious Metals									325,210
Foods and Fibers	Cotton
	ICE Cotton Futures Contract	Long		December 2012		113		4,030,145		(177,740	)
	Sugar
	ICE Sugar Futures Contract	Long		October 2012		308		7,247,610		439,853
	Coffee
	ICE Coffee C Futures Contract	Long		September 2012		55		3,520,688		251,438
	LIFFE Coffee Robusta Futures Contract	Long		September 2012		64		1,365,760		36,200
	Total Coffee									287,638

6

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2012

(Unaudited)

Investments in Derivatives (Continued)

Futures Contracts outstanding: (Continued):

Commodity Group	Contract	Contract Position(2)	Contract Expiration		Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Foods and Fibers (continued)	Cocoa
	ICE Cocoa Futures Contract	Long		September 2012		53	$	1,214,230	$	48,520
	Total Foods and Fibers									598,271
Livestock	Live Cattle
	CME Live Cattle Futures Contract	Long		August 2012		159		7,660,620		101,500
	CME Live Cattle Futures Contract	Long		October 2012		16		796,160		12,720
	Total Live Cattle									114,220
	Lean Hogs
	CME Lean Hog Futures Contract	Long		July 2012		55		2,125,750		143,030
	CME Lean Hog Futures Contract	Long		August 2012		50		1,895,500		100,768
	CME Lean Hog Futures Contract	Long		October 2012		5		165,900		360
	Total Lean Hogs									244,158
	Feeder Cattle
	CME Feeder Cattle Futures Contract	Long		August 2012		14		1,060,150		(19,300	)
	CME Feeder Cattle Futures Contract	Long		October 2012		10		781,125		(18,700	)
	Total Feeder Cattle									(38,000	)
	Total Livestock									320,378
	Total Futures Contracts outstanding								$	2,788,740

7

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2012

(Unaudited)

Investments in Derivatives (Continued)

Call Options Written outstanding:

Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Energy	Crude Oil
	ICE Brent Crude Oil Futures Options		August 2012		(58	)	$	108.5	$	(5,220	)
	NYMEX Crude Oil Futures Options		July 2012		(147	)		91.0		(64,680	)
	Total Crude Oil									(69,900	)
	Heating Oil
	NYMEX Heating Oil Futures Options		July 2012		(41	)		2.9		(27,724	)
	Natural Gas
	NYMEX Natural Gas Futures Options		July 2012		(202	)		2,950.0		(248,460	)
	Unleaded Gas
	NYMEX Gasoline RBOB Futures Options		July 2012		(30	)		28,500.0		(14,994	)
	Total Energy									(361,078	)
Industrial Metals	Aluminum
	LME Primary Aluminum Futures Options(3)		August 2012		(98	)		2,100.0		(3,920	)
	Copper
	LME Copper Futures Options(3)		August 2012		(52	)		8,025.0		(119,730	)
	Nickel
	LME Nickel Futures Options(3)		August 2012		(16	)		17,900.0		(16,825	)
	Zinc
	LME Zinc Futures Options(3)		August 2012		(29	)		2,050.0		(7,852	)
	Lead
	LME Lead Futures Options(3)		August 2012		(18	)		2,075.0		(3,789	)
	Total Industrial Metals									(152,116	)
Agriculturals	Corn
	CBOT Corn Futures Options		August 2012		(169	)		565.0		(648,538	)
	Soybean
	CBOT Soybean Futures Options		October 2012		(87	)		1,520.0		(245,231	)
	Wheat
	CBOT Wheat Futures Options		August 2012		(56	)		725.0		(165,200	)
	KCBT Wheat Futures Options		August 2012		(55	)		760.0		(103,125	)
	Total Wheat									(268,325	)

8

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2012

(Unaudited)

Investments in Derivatives (Continued)

Call Options Written outstanding (Continued):

Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Agriculturals (continued)	Soybean Meal
	CBOT Soybean Meal Futures Options		November 2012		(38	)	$	450.0	$	(63,650	)
	Soybean Oil
	CBOT Soybean Oil Futures Options		November 2012		(47	)		545.0		(65,565	)
	Total Agriculturals									(1,291,309	)
Precious Metals	Gold
	CEC Gold Futures Options		July 2012		(60	)		1,740.0		(12,000	)
	Silver
	CEC Silver Futures Options		August 2012		(24	)		3,125.0		(41,040	)
	Total Precious Metals									(53,040	)
Foods and Fibers	Cotton
	ICE Cotton Futures Options		November 2012		(31	)		740.0		(63,395	)
	ICE Cotton Futures Options		November 2012		(26	)		780.0		(35,750	)
	Total Cotton									(99,145	)
	Sugar
	ICE Sugar Futures Options		September 2012		(154	)		212.5		(179,379	)
	Coffee
	ICE Coffee C Futures Options		August 2012		(38	)		172.5		(102,885	)
	Cocoa
	ICE Cocoa Futures Options		August 2012		(26	)		2,550.0		(6,500	)
	Total Foods and Fibers									(387,909	)
Livestock	Live Cattle
	CME Live Cattle Futures Options		August 2012		(107	)		128.0		(9,630	)
	Lean Hogs
	CME Lean Hogs Futures Options		July 2012		(54	)		93.0		(82,080	)
	CME Lean Hogs Futures Options		July 2012		(1	)		100.0		(70	)
	Total Lean Hogs									(82,150	)
	Total Livestock									(91,780	)
	Total Call Options Written outstanding (premiums received $1,504,277)				(1,664	)			$	(2,337,232	)

9

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued)

June 30, 2012

(Unaudited)

⁽¹⁾  Ratings: Using the highest of Standard & Poor’s Group, Moody’s Investor Service, Inc. or Fitch, Inc. rating.

⁽²⁾  The Fund expects to invest only in long futures contracts. Some short futures positions arise in futures contracts traded on the London Metal Exchange (“LME”) solely as the result of closing existing long LME futures positions. For every short LME futures contract outstanding, the Fund had previously entered into a long LME futures contract. The London Clearing House is the counterparty for both the long and short position.

⁽³⁾  For fair value measurement disclosure purposes, these Call Options Written are categorized as Level 2. See Notes to Financial Statements, Footnote 2—Summary of Significant Accounting Policies, Investment Valuation and Fair Value Measurements for more information.

N/A	Not applicable.
CBOT	Chicago Board of Trade
CEC	Commodities Exchange Center
CME	Chicago Mercantile Exchange
ICE	Intercontinental Exchange
KCBT	Kansas City Board of Trade
LIFFE	London International Financial Futures Exchange
LME	London Metal Exchange
NYMEX	New York Mercantile Exchange
RBOB	Reformulated Gasoline Blendstock for Oxygen Blending

See accompanying notes to financial statements

10

NUVEEN DIVERSIFIED COMMODITY FUND

STATEMENTS OF OPERATIONS

(Unaudited)

	Three Months Ended June 30,						Six Months Ended June 30,
	2012			2011			2012			2011
Investment Income:
Interest	$	57,392		$	73,513		$	123,178		$	183,856
Total Investment Income		57,392			73,513			123,178			183,856
Expenses:
Management fees		631,736			785,305			1,320,011			1,559,406
Brokerage commissions		42,716			45,188			83,938			85,276
Custodian’s fees and expenses		32,769			31,605			59,045			35,442
Trustees’ fees and expenses		25,111			27,500			56,361			60,625
Professional fees		119,326			53,888			217,903			138,195
Shareholder reporting expense		39,680			53,382			71,088			110,305
Other expenses		6,982			7,888			11,343			19,247
Total expenses		898,320			1,004,756			1,819,689			2,008,496
Net investment income (loss)		(840,928	)		(931,243	)		(1,696,511	)		(1,824,640	)
Net realized gain (loss) from:
Short-term investments		—			10,899			(652	)		10,899
Futures contracts		(22,226,328	)		(7,066,543	)		(16,939,576	)		18,030,482
Call options written		1,659,694			2,963,912			4,236,174			5,357,510
Change in net unrealized appreciation (depreciation) of:
Short-term investments		(4,822	)		10,559			(28,176	)		(7,586	)
Futures contracts		7,190,243			(9,779,337	)		7,710,570			(22,956,284	)
Call options written		(1,352,546	)		(134,460	)		(1,709,545	)		2,364,079
Net realized gain (loss) and change in net unrealized appreciation (depreciation)		(14,733,759	)		(13,994,970	)		(6,731,205	)		2,799,100
Net income (loss)	$	(15,574,687	)	$	(14,926,213	)	$	(8,427,716	)	$	974,460
Net income (loss) per weighted-average share	$	(1.69	)	$	(1.61	)	$	(0.91	)	$	0.11
Weighted-average shares outstanding		9,219,240			9,267,040			9,219,589			9,267,040

See accompanying notes to financial statements

11

NUVEEN DIVERSIFIED COMMODITY FUND

STATEMENTS OF CHANGES IN SHAREHOLDERS’ CAPITAL

(Unaudited)

	Six Months Ended June 30, 2012			Year Ended December 31, 2011
Shareholders’ capital—beginning of period	$	214,180,129		$	247,757,748
Repurchase of shares		(203,766	)		(748,433	)
Net increase (decrease) in shareholders’ capital resulting from operations:
Net investment income (loss)		(1,696,511	)		(3,612,955	)
Net realized gain (loss) from:
Short-term investments		(652	)		21,761
Futures contracts		(16,939,576	)		(2,120,418	)
Call options written		4,236,174			10,035,572
Change in net unrealized appreciation (depreciation) of:
Short-term investments		(28,176	)		4,506
Futures contracts		7,710,570			(23,776,469	)
Call options written		(1,709,545	)		2,741,582
Net income (loss)		(8,427,716	)		(16,706,421	)
Distributions to shareholders		(8,020,740	)		(16,122,765	)
Shareholders’ capital—end of period	$	197,527,907		$	214,180,129
Shares—beginning of period		9,229,040			9,267,040
Issuance of shares		—			—
Repurchase of shares		(9,800	)		(38,000	)
Shares—end of period		9,219,240			9,229,040

See accompanying notes to financial statements

12

NUVEEN DIVERSIFIED COMMODITY FUND

STATEMENTS OF CASH FLOWS

(Unaudited)

	Six Months Ended June 30,
	2012			2011
Cash flows from operating activities:
Net income (loss)	$	(8,427,716	)	$	974,460
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term investments		(632,368,697	)		(1,059,885,820	)
Proceeds from sales and maturities of short-term investments		643,736,671			1,053,519,063
Premiums paid for call options written		(177,052	)		(448,520	)
Premiums received for call options written		4,489,456			5,351,925
Amortization (Accretion)		796,826			439,244
(Increase) Decrease in:
Deposits with brokers		8,995,035			(7,681,048	)
Interest receivable		496,959			(677,274	)
Other assets		(23,906	)		(29,517	)
Increase (Decrease) in:
Accrued management fees		(32,955	)		(2,782	)
Other accrued expenses		(72,689	)		(72,524	)
Net realized (gain) loss from:
Short-term investments		652			(10,899	)
Call options written		(4,236,174	)		(5,357,510	)
Change in net unrealized (appreciation) depreciation of:
Short-term investments		28,176			7,586
Futures contracts		(7,710,570	)		22,956,284
Call options written		1,709,545			(2,364,079	)
Net cash provided by (used in) operating activities		7,203,561			6,718,589
Cash flows from financing activities:
Cash paid for shares repurchased		(519,611	)		—
Cash distributions to shareholders		(6,683,950	)		(6,718,605	)
Net cash provided by (used in) financing activities		(7,203,561	)		(6,718,605	)
Net increase (decrease) in cash		—			(16	)
Cash—beginning of period		—			16
Cash—end of period	$	—		$	—

See accompanying notes to financial statements

13

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS

June 30, 2012

(Unaudited)

1. Organization

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

The Manager has selected Gresham Investment Management LLC (“Gresham” or the “Commodity Sub-advisor”) to manage the Fund’s commodity investment strategy and its options strategy. Gresham is a Delaware limited liability company, the successor to Gresham Investment Management, Inc., formed in July 1992. Gresham is registered with the CFTC as a commodity trading advisor and commodity pool operator, is a member of the NFA and is registered with the Securities and Exchange Commission (the “SEC”) as an investment adviser. On December 31, 2011, Nuveen completed its acquisition of a 60% stake in Gresham. As part of the acquisition, Gresham’s management and investment teams will maintain a significant minority ownership stake in the firm, and will continue to operate independently while levering the strengths of Nuveen’s shared resources. Gresham continues to serve as the Fund’s Commodity Sub-advisor and there have been no changes in the Fund’s investment objectives, strategies or expenses as a result of this transaction.

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

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

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

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

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

14

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

June 30, 2012

(Unaudited)

2. Summary of Significant Accounting Policies

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

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

Basis of Accounting

The accompanying financial statements have been prepared in conformity with U.S. GAAP. The preparation of financial statements in conformity with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Futures Contracts

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

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

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

15

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

June 30, 2012

(Unaudited)

2. Summary of Significant Accounting Policies (Continued)

The average number of futures contracts outstanding during the six months ended June 30, 2012 and the fiscal year ended December 31, 2011, was 3,559 and 3,636, respectively.

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

Options Contracts

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

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

Transactions in call options written were as follows:

	Six Months Ended June 30, 2012						Year Ended December 31, 2011
	Number of Contracts			Premiums Received			Number of Contracts			Premiums Received
Outstanding, beginning of period		1,657		$	1,428,047			1,813		$	1,629,313
Options written		7,357			4,489,456			13,702			10,798,390
Options terminated in closing purchase transactions		(4,822	)		(2,775,250	)		(9,895	)		(8,022,605	)
Options expired		(2,528	)		(1,637,976	)		(3,963	)		(2,977,051	)
Outstanding, end of the period		1,664		$	1,504,277			1,657		$	1,428,047

The average number of outstanding call option contracts written during the six months ended June 30, 2012 and the fiscal year ended December 31, 2011, was 1,675 and 1,712, respectively.

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

16

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

June 30, 2012

(Unaudited)

2. Summary of Significant Accounting Policies (Continued)

Forward Contracts

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

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

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

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

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

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

Collateral Investments

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

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

17

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

June 30, 2012

(Unaudited)

2. Summary of Significant Accounting Policies (Continued)

Investment Valuation

Commodity futures and forward contracts and options on commodity futures and forward contracts traded on an exchange will be valued at the final settlement price or official closing price as determined by the principal exchange on which the instruments are traded as supplied by independent pricing services. These securities 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 securities 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 securities are generally classified as Level 2 or Level 3 depending on the priority of the significant inputs.

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

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

Fair Value Measurements

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

Level 1	—	Inputs are unadjusted and prices are determined by quoted prices in active markets for identical securities.
Level 2	—	Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3	—	Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments).

18

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

June 30, 2012

(Unaudited)

2. Summary of Significant Accounting Policies (Continued)

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

	June 30, 2012
	Level 1			Level 2			Level 3		Total
Short-Term Investments:
U.S. Government and Agency Obligations	$	—		$	149,832,352		$	—	$	149,832,352
Repurchase Agreements		—			13,600,973			—		13,600,973
Derivatives:
Futures Contracts*		2,788,740			—			—		2,788,740
Call Options Written**		(2,185,116	)		(152,116	)		—		(2,337,232	)
Total	$	603,624		$	163,281,209		$	—	$	163,884,833

	December 31, 2011
	Level 1			Level 2			Level 3		Total
Short-Term Investments:
U.S. Government and Agency Obligations	$	—		$	174,425,536		$	—	$	174,425,536
Repurchase Agreements		—			1,201,417			—		1,201,417
Derivatives:
Futures Contracts*		(4,921,830	)		—			—		(4,921,830	)
Call Options Written**		(548,427	)		(3,030	)		—		(551,457	)
Total	$	(5,470,257	)	$	175,623,923		$	—	$	170,153,666

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

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

During the six months ended June 30, 2012 and the fiscal year ended December 31, 2011, the Fund recognized no transfers to or from Level 1, Level 2 or Level 3.

Investment Transactions

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

Investment Income

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

Brokerage Commissions and Fees

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

19

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

June 30, 2012

(Unaudited)

2. Summary of Significant Accounting Policies (Continued)

Income Taxes

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

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

Expense Recognition

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

Custodian Fee Credit

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

Calculation of Net Asset Value

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

Distributions

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

20

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

June 30, 2012

(Unaudited)

2. Summary of Significant Accounting Policies (Continued)

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

Commitments and Contingencies

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

Financial Instrument Risk

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

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

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

21

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

June 30, 2012

(Unaudited)

3. Derivative Instruments and Hedging Activities

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

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

		Six Months Ended June 30, 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, net*	$	6,271,039		—	$	—
Commodity	Futures Contracts	Unrealized appreciation on futures contracts, net*		(3,482,299	)	—		—
Commodity	Options	—		—		Call options written, at value		(2,337,232	)
Total			$	2,788,740			$	(2,337,232	)
		Year Ended December 31, 2011 Location on the Statements of Financial Condition
Underlying Risk Exposure	Derivative Instrument	Asset Derivatives				Liability Derivatives
		Location	Value			Location	Value
Commodity	Futures Contracts	—	$	—		Unrealized depreciation on futures contracts, net*	$	(7,771,315	)
Commodity	Futures Contracts	—		—		Unrealized depreciation on futures contracts, net*		2,849,485
Commodity	Options	—		—		Call options written, at value		(551,457	)
Total			$	—			$	(5,473,287	)

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

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

Commodity Risk Exposure	Six Months Ended June 30, 2012			Year Ended December 31, 2011
Net realized gain (loss) from:
Futures contracts	$	(16,939,576	)	$	(2,120,418	)
Call options written		4,236,174			10,035,572
Change in net unrealized appreciation (depreciation) of:
Futures contracts	$	7,710,570		$	(23,776,469	)
Call options written		(1,709,545	)		2,741,582

22

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

June 30, 2012

(Unaudited)

4. Related Parties

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

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

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

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

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

5. Share Repurchase Program

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

Transactions in share repurchases were as follows:

	Six Months Ended June 30, 2012			Year Ended December 31, 2011
Shares repurchased		(9,800	)		(38,000	)
Weighted average price per share repurchased	$	20.77		$	19.68

23

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

June 30, 2012

(Unaudited)

6. Financial Highlights

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

	Three Months Ended						Six Months Ended
	June 30, 2012			June 30, 2011			June 30, 2012			June 30, 2011
Net Asset Value:
Net asset value per share—beginning of period	$	23.55		$	28.02		$	23.21		$	26.74
Net investment income (loss)		(.09	)		(.10	)		(.18	)		(.20	)
Net realized and unrealized gain (loss)		(1.59	)		(1.51	)		(.73	)		(.30	)
Distributions		(.44	)		(.44	)		(.87	)		(.87	)
Net asset value per share—end of period	$	21.43		$	25.97			21.43		$	25.97
Market Value:
Market value per share—beginning of period	$	23.08		$	27.26		$	20.30		$	25.80
Market value per share—end of period	$	20.40		$	26.25		$	20.40		$	26.25
Ratios to Average Net Assets:(a)
Net investment income (loss)		(1.67	)%		(1.48	)%		(1.61	)%		(1.46	)%
Expenses		1.78	%		1.60	%		1.72	%		1.61	%
Total Returns:(b)
Based on Net Asset Value		(7.17	)%		(5.82	)%		(4.10	)%		.25	%
												��
Based on Market Value		(9.74	)%		(2.15	)%		4.55	%		5.03	%

(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.

24

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 (“Gresham” or the “Commodity Sub-advisor”) and Nuveen Asset Management, LLC (“Nuveen Asset Management” or the “Collateral Sub-advisor”) and are subject to a number of risks, uncertainties and other factors, both known and unknown, that could cause the actual results, performance, prospects or opportunities of the Nuveen Diversified Commodity Fund (the “Fund”) to differ materially from those expressed in, or implied by, these forward-looking statements.

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

Introduction

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

Results of Operations

The Quarter Ended 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 the effect 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, 2011—Fund Share Price

The Fund’s shares traded on the NYSE Amex (currently NYSE MKT) at a price of $26.25 on the close of business on June 30, 2011. This represented a decrease of 3.71% in share price (not including the effect of distributions) from the $27.26 price at which the shares of the Fund traded on the close of business on March 31, 2011. The high and low share prices for the quarter were $29.40 (April 29, 2011) and $24.55 (June 24, 2011), respectively. During the quarter, the Fund declared distributions totaling $0.435 per share to shareholders, of which $0.145 was paid on July 1, 2011. The remainder was paid during the quarter. The cumulative total return on market value for the Fund, including distributions, for the quarter ended June 30, 2011 was -2.15%. At June 30, 2011, the shares of the Fund traded at a 1.08% premium to the Fund’s net asset value of $25.97.

25

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.

26

During the quarter ended June 30, 2012, the Fund’s collateral investments generated interest income of $57,392.

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 the effect 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 Quarter Ended June 30, 2011—Net Assets of the Fund

The Fund’s net assets decreased from $259.6 million at March 31, 2011, to $240.7 million at June 30, 2011, a decrease of $18.9 million. The decrease in the Fund’s net assets was primarily due to the realization of $4.1 million in net losses and a change of $9.9 million in net unrealized depreciation on the Fund’s commodity portfolio during the quarter, a net investment loss of $0.9 million, and $4 million of distributions declared to shareholders.

The Fund’s commodity portfolio fell approximately 5.8% during the quarter before considering the expenses of the Fund. The overall commodities market, as measured by the DJ-UBSCI, fell 6.7% during the quarter. Commodity market performance was driven by growing concerns about the weakening global macroeconomic environment, specifically concerns about Europe’s continued sovereign debt troubles, slowing global economic growth, a possible double-dip recession in the United States, and continued unrest in the Middle East, which affected the supply and demand relationship of various commodities in which the Fund trades.

Given this environment, five of the six principal commodity groups in the DJ-UBSCI declined in the second quarter of 2011 with only precious metals, on the strength of gold, posting a positive result. The Fund’s commodity portfolio experienced a decrease in value among all six groups. The most significant declines were in agriculturals, livestock and energy, which experienced decreases of approximately 12%, 8%, and 7%, respectively. The Fund’s holdings in foods and fibers, industrial metals, and precious metals experienced decreases of approximately 3%, 3%, and 1%, respectively. Most of the individual commodities in which the Fund trades experienced a decrease in value, with the exception of sugar, cocoa, and gold, which experienced increases in value of approximately 9%, 6%, and 4%, respectively. When compared to its benchmark, the Fund outperformed the DJ-UBSCI by approximately 1.0% for the quarter, before considering the expenses of the Fund, due to the Fund’s commodity weighting differences and trading strategy. Five of the six commodity groups in which the Fund trades outperformed the benchmark, led by the portfolio’s investments in agriculturals which outperformed the DJ-UBSCI due mainly to the underweight in soybeans and in Chicago wheat, along with the inclusion of Kansas City wheat, which was not held in the DJ-UBSCI. The Fund’s investment in the energy group also outperformed the DJ-UBSCI, mostly due to the Fund’s smaller allocation to natural gas. The commodity portfolio’s sole underperforming group when compared to the DJ-UBSCI was precious metals.

27

The commodity call option component of the investment strategy used by the Commodity Sub-advisor was generally successful over the period as it served to limit volatility without sacrificing significant appreciation in the commodity futures contracts. The Commodity Sub-advisor utilizes a quantitatively driven strategy to set the call option strike prices it writes (sells) at various levels out-of-the money. Typically, the more out-of-the-money a written call option strike price is, the more upside potential remains, though this is balanced by less premium received for selling the options. During the quarter, several of the commodity portfolio’s options expired without being exercised. This allowed the Fund to earn the call option premium without sacrificing any appreciation in the commodity futures contracts which benefited the Fund’s performance. In certain cases where the futures price appreciation was significant, such as silver, the options the Fund wrote were exercised, which limited the Fund’s full participation in that commodity contract’s gains. While silver futures prices rose approximately 28% during the month of April, the commodity portfolio’s futures and options performance in silver was approximately 17% over the same period, reflecting the impact of the forgone futures contract appreciation due to the option contracts being exercised. In total for the quarter, across all of the commodity and options holdings, the Fund’s commodity portfolio outperformed the DJ-UBSCI by approximately 1% before expenses while experiencing less volatility.

During the quarter ended June 30, 2011, the Fund’s collateral investments generated interest income of $73,513.

The net asset value per share as of June 30, 2011, was $25.97. This represented a decrease of 7.32% in net asset value (not including the effect of distributions) from the $28.02 net asset value as of March 31, 2011. The Fund declared distributions of $0.435 per share during the quarter, of which $0.145 was paid on July 1, 2011. The remainder was paid during the quarter. When these distributions were taken into account, the cumulative total return for the Fund on net asset value was -5.82% for the quarter ended June 30, 2011.

The Fund generated a net loss of $14.9 million for the quarter ended June 30, 2011, resulting from interest income of $0.1 million being offset by net expenses of $1.0 million, net realized losses of $4.1 million, and a change in net unrealized depreciation of $9.9 million.

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 the effect 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, 2011—Fund Share Price

The Fund’s shares traded on the NYSE Amex (currently NYSE MKT) at a price of $26.25 on the close of business on June 30, 2011. This represented an increase of 1.74% in share price (not including the effect of distributions) from the $25.80 price at which the shares of the Fund traded on the close of business on December 31, 2010. The high and low share prices for the six month period were $29.40 (April 29, 2011) and $24.55 (June 24, 2011), 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, 2011. The remainder was paid during the period. The cumulative total return on market value for the Fund, including distributions, for the six month period ended June 30, 2011 was 5.03%. At June 30, 2011, the shares of the Fund traded at a 1.08% premium to the Fund’s net asset value of $25.97.

28

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 DJ-UBSCI 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.

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 the effect 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.

29

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.

The Six Months Ended June 30, 2011—Net Assets of the Fund

The Fund’s net assets decreased from $247.8 million as of December 31, 2010, to $240.7 million as of June 30, 2011, a decrease of $7.1 million. The decrease in the Fund’s net assets was primarily due to the realization of $23.4 million of gains on the Fund’s commodity portfolio during the period, offset by an increase of $20.6 million in the change in net unrealized depreciation of the Fund’s commodity portfolio, a net investment loss of $1.8 million, and $8.1 million of distributions declared to shareholders.

The Fund’s commodity portfolio rose approximately 0.7% during the six month period before considering the expenses of the Fund. The overall commodities market, as measured by the DJ-UBSCI, decreased 2.6%. After a first quarter where expectations of a global economic recovery and rising inflation pushed commodity prices higher, commodity market performance during the second quarter had been driven by growing concerns about the weakening global macroeconomic environment, specifically concerns about Europe’s continued sovereign debt troubles, slowing global economic growth, a possible double-dip recession in the United States, and continued unrest in the Middle East, which affected the supply and demand relationship of various commodities in which the Fund trades.

For the six month period, three of the six principal commodity groups in the DJ-UBSCI declined. Only energy, driven by increases in unleaded gas and heating oil, precious metals, driven by increases in silver and gold, and the foods and fibers, driven by increases in coffee, increased over the period. The Fund’s commodity portfolio experienced increases in value in foods and fibers, energy and precious metals of approximately 6%, 4%, and 4%, respectively. Agriculturals experienced a decrease of approximately 10% in value, driven in large part by a 25% decrease in the value of the Fund’s wheat holdings (the commodity portfolio’s wheat holdings outperformed the DJ-UBSCI wheat position by more than 7%). Livestock and industrial metals both experienced decreases of approximately 1% during the period. For the six month period, the Fund’s commodity portfolio outperformed the DJ-UBSCI benchmark in five of the six commodity groups, with precious metals being the sole underperformer driven by holdings in silver. The commodity portfolio’s holdings in the energy group had the largest outperformance when compared to the DJ-UBSCI (by approximately 2.2%), largely due to the Fund’s investments in brent crude, which was up approximately 19.5% for the year and was not held in the DJ-UBSCI. The commodity portfolio’s positions in natural gas, Chicago wheat, and soybeans also contributed to the Fund’s outperformance of the DJ-UBSCI.

The commodity call option component of the investment strategy used by the Commodity Sub-advisor was generally successful over the period as it served to limit volatility without sacrificing significant appreciation in the commodity futures contracts. The Commodity Sub-advisor utilizes a quantitatively driven strategy to set the call option strike prices it writes (sells) at various levels out-of-the money. Typically, the more out-of-the-money a written call option strike price is, the more upside potential remains, though this is balanced by less premium received for selling the options. During the six month period, several of the commodity portfolio’s options expired without being exercised. This allowed the Fund to earn the call option premium without sacrificing any appreciation in the commodity futures contracts, which benefited the Fund’s performance. In certain cases where the futures price appreciation was significant the options the Fund wrote were exercised, which limited the Fund’s full participation in that commodity contract’s gains. In total, across all of the commodity and options holdings, the Fund’s commodity portfolio outperformed the DJ-UBSCI by approximately 3.3% before considering the expenses of the Fund, while experiencing less volatility.

30

During the six month period ended June 30, 2011, the Fund’s collateral investments generated interest income of $183,856.

The net asset value per share as of June 30, 2011, was $25.97. This represents a decrease of 2.88% in net asset value (not including the effect of distributions) from the $26.74 net asset value as of December 31, 2010. 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, 2011. The remainder was paid during the period. When these distributions are taken into account, the cumulative total return for the Fund on net asset value was 0.25% for the six month period ended June��30, 2011.

The Fund generated net income of $1.0 million for the six month period ended June 30, 2011, resulting from interest income of $0.2 million, offset by expenses of $2.0 million, net realized gain of $23.4 million, and a change in net unrealized depreciation of $20.6 million.

Fund Total Returns

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

	Cumulative						Annualized
	1 Month			3 Month			1 Year			Since Inception
Market Value		4.34	%		-9.74	%		-15.97	%		-4.24	%
Net Asset Value		3.43	%		-7.17	%		-11.19	%		0.81	%

“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.

31

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, 2012. This table serves as a guide to how the composition of the Fund’s TAP PLUS^SM investment strategy compared to that of the DJ-UBSCI, a leading commodity market benchmark.

		Composition
Commodity Group	Commodity	TAP  PLUSSM			DJ-UBSCI
Energy	Crude Oil		18.32	%		13.17	%
	Heating Oil		4.70	%		3.17	%
	Natural Gas		5.87	%		10.19	%
	Unleaded Gas		3.28	%		3.26	%
			32.17	%		29.79	%
Industrial Metals	Aluminum		4.71	%		5.62	%
	Copper		10.04	%		7.44	%
	Nickel		1.62	%		2.38	%
	Zinc		1.40	%		3.28	%
	Lead		0.82	%		0.00	%
			18.59	%		18.72	%
Agriculturals	Corn		5.34	%		6.74	%
	Soybean		6.31	%		8.75	%
	Wheat		4.26	%		6.22	%
	Soybean Meal		1.57	%		0.00	%
	Soybean Oil		1.50	%		3.62	%
			18.98	%		25.33	%
Precious Metals	Gold		9.72	%		10.06	%
	Silver		3.28	%		2.76	%
	Platinum		0.77	%		0.00	%
	Palladium		0.41	%		0.00	%
			14.18	%		12.82	%
Foods and Fibers	Cotton		2.03	%		1.54	%
	Sugar		3.66	%		3.51	%
	Coffee		2.47	%		2.05	%
	Cocoa		0.61	%		0.00	%
			8.77	%		7.10	%
Livestock	Live Cattle		4.27	%		3.77	%
	Lean Hogs		2.11	%		2.47	%
	Feeder Cattle		0.93	%		0.00	%
			7.31	%		6.24	%
Total			100.00	%		100.00	%

32

Liquidity and Capital Resources

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

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

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

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

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

Market Risk

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

The Fund’s exposure to market risk may be influenced by a number of factors, including changes in international balances of payments and trade, currency devaluations and revaluations, changes in interest and foreign currency exchange rates, price volatility of commodity futures and forwards contracts and market liquidity, weather, geopolitical events and other factors. These factors also affect the Fund’s investments in options on commodity futures and forward contracts. The inherent uncertainty of the Fund’s investments as well as the development of drastic market occurrences could ultimately lead to a loss of all or substantially all of investors’ capital.

33

Credit Risk

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

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

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

• Executing and clearing trades only with creditworthy counterparties;

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

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

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

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

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

Off-Balance Sheet Arrangements

As of June 30, 2012, the Fund has not utilized, nor does it expect to utilize in the future, special purpose entities to facilitate off-balance sheet financing arrangements and has no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Fund. While the Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on the Fund’s financial position.

34

Contractual Obligations

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

Critical Accounting Policies

The Fund’s critical accounting policies are as follows:

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

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

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

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

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

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

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

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

35

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, 2012. The Fund expects to invest only in long futures contracts. Some short futures positions arise in futures contracts traded on the London Metal Exchange (“LME”) solely as the result of closing existing long LME futures positions. For every short LME futures contract held by the Fund, the Fund had previously entered into a long futures contract. As of June 30, 2012, the Fund has not invested in forward contracts.

Futures Contracts

Commodity Group	Contract	Contract Position	Contract Expiration		Number of Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Energy	Crude Oil
	ICE Brent Crude Oil Futures Contract	Long		August 2012		61	$	97.8000		1,000	$	5,965,800
	ICE Brent Crude Oil Futures Contract	Long		September 2012		47		97.8800		1,000		4,600,360
	ICE Brent Crude Oil Futures Contract	Long		November 2012		8		97.7900		1,000		782,320
	NYMEX Crude Oil Futures Contract	Long		August 2012		166		84.9600		1,000		14,103,360
	NYMEX Crude Oil Futures Contract	Long		September 2012		127		85.3700		1,000		10,841,990
	Heating Oil
	ICE Gas Oil Futures Contract	Long		August 2012		20		843.2500		100		1,686,500
	ICE Gas Oil Futures Contract	Long		September 2012		8		839.7500		100		671,800
	NYMEX Heating Oil Futures Contract	Long		August 2012		41		2.7099		42,000		4,666,448
	NYMEX Heating Oil Futures Contract	Long		September 2012		14		2.7116		42,000		1,594,421
	NYMEX Heating Oil Futures Contract	Long		November 2012		6		2.7210		42,000		685,692
	Natural Gas
	NYMEX Natural Gas Futures Contract	Long		August 2012		205		2.8240		10,000		5,789,200
	NYMEX Natural Gas Futures Contract	Long		September 2012		119		2.8330		10,000		3,371,270
	NYMEX Natural Gas Futures Contract	Long		November 2012		80		3.0910		10,000		2,472,800
	Unleaded Gas
	NYMEX Gasoline RBOB Futures Contract	Long		August 2012		31		2.6318		42,000		3,426,604
	NYMEX Gasoline RBOB Futures Contract	Long		September 2012		23		2.5575		42,000		2,470,545
	NYMEX Gasoline RBOB Futures Contract	Long		November 2012		6		2.3647		42,000		595,904

36

Futures Contracts (Continued)

Commodity Group	Contract	Contract Position	Contract Expiration		Number of Contracts			Valuation Price		Contract Multiplier		Notional Amount at Value
Industrial Metals	Aluminum
	LME Primary Aluminum Futures Contract	Long		August 2012		197		$	1,895.0000		25	$	9,332,875
	Copper
	CEC Copper Futures Contract	Long		September 2012		113			3.4965		25,000		9,877,613
	LME Copper Futures Contract	Long		August 2012		52			7,695.0000		25		10,003,500
	Nickel
	LME Nickel Futures Contract	Long		August 2012		32			16,712.0000		6		3,208,704
	LME Nickel Futures Contract	Long		September 2012		16			16,729.0000		6		1,605,984
	LME Nickel Futures Contract	Short		August 2012		(16	)		16,712.0000		6		(1,604,352	)
	Zinc
	LME Zinc Futures Contract	Long		July 2012		29			1,881.5000		25		1,364,088
	LME Zinc Futures Contract	Long		August 2012		30			1,882.0000		25		1,411,500
	LME Zinc Futures Contract	Long		September 2012		29			1,879.5000		25		1,362,637
	LME Zinc Futures Contract	Short		July 2012		(29	)		1,881.5000		25		(1,364,088	)
	Lead
	LME Lead Futures Contract	Long		July 2012		18			1,850.5000		25		832,725
	LME Lead Futures Contract	Long		August 2012		35			1,855.0000		25		1,623,125
	LME Lead Futures Contract	Short		July 2012		(18	)		1,850.5000		25		(832,725	)
Agriculturals	Corn
	CBOT Corn Futures Contract	Long		September 2012		337			6.2850		5,000		10,590,225
	Soybean
	CBOT Soybean Futures Contract	Long		November 2012		175			14.2775		5,000		12,492,812
	Wheat
	CBOT Wheat Futures Contract	Long		September 2012		113			7.5725		5,000		4,278,462
	KCBT Wheat Futures Contract	Long		September 2012		110			7.5600		5,000		4,158,000
	Soybean Meal
	CBOT Soybean Meal Futures Contract	Long		August 2012		8			429.5000		100		343,600
	CBOT Soybean Meal Futures Contract	Long		December 2012		67			413.1000		100		2,767,770
	Soybean Oil
	CBOT Soybean Oil Futures Contract	Long		December 2012		93			0.5308		60,000		2,961,864
Precious Metals	Gold
	CEC Gold Futures Contract	Long		August 2012		120			1,604.2000		100		19,250,400
	Silver
	CEC Silver Futures Contract	Long		September 2012		47			27.6120		5,000		6,488,820
	Platinum
	NYMEX Platinum Futures Contract	Long		October 2012		21			1,452.4000		50		1,525,020
	Palladium
	NYMEX Palladium Futures Contract	Long		September 2012		14			584.5500		100		818,370
Foods and Fibers	Cotton
	ICE Cotton Futures Contract	Long		December 2012		113			0.7133		50,000		4,030,145
	Sugar
	ICE Sugar Futures Contract	Long		October 2012		308			0.2101		112,000		7,247,610
	Coffee
	ICE Coffee C Futures Contract	Long		September 2012		55			1.7070		37,500		3,520,688
	LIFFE Coffee Robusta Futures Contract	Long		September 2012		64			2,134.0000		10		1,365,760
	Cocoa
	ICE Cocoa Futures Contract	Long		September 2012		53			2,291.0000		10		1,214,230

37

Futures Contracts (Continued)

Commodity Group	Contract	Contract Position	Contract Expiration		Number of Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Livestock	Live Cattle
	CME Live Cattle Futures Contract	Long		August 2012		159	$	1.2045		40,000	$	7,660,620
	CME Live Cattle Futures Contract	Long		October 2012		16		1.2440		40,000		796,160
	Lean Hogs
	CME Lean Hog Futures Contract	Long		July 2012		55		0.9663		40,000		2,125,750
	CME Lean Hog Futures Contract	Long		August 2012		50		0.9478		40,000		1,895,500
	CME Lean Hog Futures Contract	Long		October 2012		5		0.8295		40,000		165,900
	Feeder Cattle
	CME Feeder Cattle Futures Contract	Long		August 2012		14		1.5145		50,000		1,060,150
	CME Feeder Cattle Futures Contract	Long		October 2012		10		1.5623		50,000		781,125

38

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 2012		(58	)	$	108.5	$	(5,220	)
	NYMEX Crude Oil Futures Options		July 2012		(147	)		91.0		(64,680	)
	Heating Oil
	NYMEX Heating Oil Futures Options		July 2012		(41	)		2.9		(27,724	)
	Natural Gas
	NYMEX Natural Gas Futures Options		July 2012		(202	)		2,950.0		(248,460	)
	Unleaded Gas
	NYMEX Gasoline RBOB Futures Options		July 2012		(30	)		28,500.0		(14,994	)
Industrial Metals	Aluminum
	LME Primary Aluminum Futures Options		August 2012		(98	)		2,100.0		(3,920	)
	Copper
	LME Copper Futures Options		August 2012		(52	)		8,025.0		(119,730	)
	Nickel
	LME Nickel Futures Options		August 2012		(16	)		17,900.0		(16,825	)
	Zinc
	LME Zinc Futures Options		August 2012		(29	)		2,050.0		(7,852	)
	Lead
	LME Lead Futures Options		August 2012		(18	)		2,075.0		(3,789	)
Agriculturals	Corn
	CBOT Corn Futures Options		August 2012		(169	)		565.0		(648,538	)
	Soybean
	CBOT Soybean Futures Options		October 2012		(87	)		1,520.0		(245,231	)
	Wheat
	CBOT Wheat Futures Options		August 2012		(56	)		725.0		(165,200	)
	KCBT Wheat Futures Options		August 2012		(55	)		760.0		(103,125	)
	Soybean Meal
	CBOT Soybean Meal Futures Options		November 2012		(38	)		450.0		(63,650	)
	Soybean Oil
	CBOT Soybean Oil Futures Options		November 2012		(47	)		545.0		(65,565	)
Precious Metals	Gold
	CEC Gold Futures Options		July 2012		(60	)		1,740.0		(12,000	)
	Silver
	CEC Silver Futures Options		August 2012		(24	)		3,125.0		(41,040	)
Foods and Fibers	Cotton
	ICE Cotton Futures Options		November 2012		(31	)		740.0		(63,395	)
	ICE Cotton Futures Options		November 2012		(26	)		780.0		(35,750	)
	Sugar
	ICE Sugar Futures Options		September 2012		(154	)		212.5		(179,379	)
	Coffee
	ICE Coffee C Futures Options		August 2012		(38	)		172.5		(102,885	)
	Cocoa
	ICE Cocoa Futures Options		August 2012		(26	)		2,550.0		(6,500	)
Livestock	Live Cattle
	CME Live Cattle Futures Options		August 2012		(107	)		128.0		(9,630	)
	Lean Hogs
	CME Lean Hogs Futures Options		July 2012		(54	)		93.0		(82,080	)
	CME Lean Hogs Futures Options		July 2012		(1	)		100.0		(70	)

39

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

The Fund also invests the assets held as collateral for its investments in commodity futures and forward contracts in cash equivalents and short-term, high-quality debt securities, which exposes the Fund to interest rate risk. These instruments are deemed to be entered into for non-trading purposes, with an emphasis on current income, liquidity and preservation of capital. As of June 30, 2012, the Fund held agency notes, agency discount notes, and U.S. Treasury bills worth $149,832,352 with a total par value of $149,860,000, and repurchase agreements worth $13,600,973.

Qualitative Disclosure

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

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

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

Item 4. Controls and Procedures

Evaluation of Disclosure Controls and Procedures

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

Changes in Internal Control Over Financial Reporting

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

40

PART II. OTHER INFORMATION

Item 1. Legal Proceedings

None.

Item 1A. Risk Factors

The Fund is subject to various risks that could negatively affect the Fund as described in the Fund’s annual report on Form 10-K and the Fund’s quarterly reports on Form 10-Q. The following statements represent changes and/or additions to the risks previously disclosed in the Fund’s annual report and quarterly reports:

Recent Market Conditions. The financial crisis in the U.S. and global economies over the past several years, including the European sovereign debt crisis, has resulted, and may continue to result, in an unusually high degree of volatility in the financial markets, both domestic and foreign. Liquidity in some markets has decreased and credit has become scarcer worldwide. Recent regulatory changes, including the Dodd-Frank Act and the introduction of new international capital and liquidity requirements under Basel III, may cause lending activity within the financial services sector to be constrained for several years as Basel III rules phase in and rules and regulations are promulgated and interpreted under the Dodd-Frank Act. These market conditions may continue or deteriorate further and may add significantly to the risk of short-term volatility in the Fund. In response to the crisis, the U.S. and other governments and the Federal Reserve and certain foreign central banks have taken steps to support financial markets. Withdrawal of this support, failure of efforts in response to the crisis, or investor perception that such efforts are not succeeding, could adversely impact the value and liquidity of certain securities and futures contracts. Because these events are widespread and largely unprecedented, it may be unusually difficult for the Fund to identify both risks and opportunities using past models of the interplay of market forces, or to predict the duration of these market conditions. The severity or duration of these conditions may also be affected by policy changes made by governments or quasi-governmental organizations. Changes in market conditions will not have the same impact on all types of securities and futures contracts.

In addition, since 2010, the risks of investing in certain foreign government debt have increased dramatically as a result of the ongoing European debt crisis, which began in Greece and has spread throughout various other European countries. These debt crises and the ongoing efforts of governments around the world to address these debt crises have also resulted in increased volatility and uncertainty in the global financial markets and it is impossible to predict the effects of these or similar events in the future on the Fund, though it is possible that these or similar events could have a significant adverse impact on the value and risk of investments held by the Fund.

In the United States, on August 5, 2011, Standard & Poor’s Financial Services, LLC, a subsidiary of The McGraw-Hill Companies, Inc. (“S&P”), lowered its long-term sovereign credit rating on the U.S. federal government debt to “AA+” from “AAA.” The downgrade by S&P has increased volatility in financial markets, and could result in higher interest rates and higher Treasury yields and increase the costs of capital and financing. In addition, global economies and financial markets are becoming increasingly interconnected, which increases the possibilities that conditions in one country or region might adversely impact issuers in a different country or region.

Possible constructive termination. The Fund will be considered to have terminated for tax purposes if there is a sale or exchange of 50% or more of the total Fund shares within a 12-month period. A constructive termination results in the closing of the Fund’s taxable year for the Fund for all holders of shares. Among other things, constructive termination could result in the imposition of substantial penalties on the Fund if the Fund were unable to determine that the termination had occurred.

41

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, 2012.

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

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

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

Item 3. Defaults Upon Senior Securities

None.

Item 4. Mine Safety Disclosures

Not applicable.

Item 5. Other Information

As described in the Fund’s Form 8-K filed with the SEC on June 19, 2012, the Fund experienced a constructive termination under federal tax law during the calendar year 2011. The Fund recently received relief from the Internal Revenue Service in the form of an “extraordinary extension” with respect to the constructive termination issue, which will permit the Fund to file its federal tax returns on September 17, 2012 and avoid any late filing penalties.

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.

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

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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 8, 2012.

Nuveen Diversified Commodity Fund
By:	Nuveen Commodities Asset Management, LLC, its Manager
By:	/s/ William Adams IV
President (Principal Executive Officer)

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

Nuveen Commodities Asset Management, LLC

Manager of Registrant

/s/ William Adams IV

President

(Principal Executive Officer) August 8, 2012

/s/ Stephen D. Foy

Chief Financial Officer

(Principal Financial and Accounting Officer) August 8, 2012

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