Nuveen Diversified Commodity Fund (CFD) 10-Q 2014 Q1 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 March 31, 2014

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 May 6, 2014, the registrant had 9,206,940 shares outstanding.

NUVEEN DIVERSIFIED COMMODITY FUND

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM10-Q

TABLE OF CONTENTS

		Page No.
PART I. FINANCIAL INFORMATION
Item 1.	Financial Statements:
	Schedule of Investments at March 31, 2014 (Unaudited)		3
	Statements of Financial Condition at March 31, 2014 (Unaudited) and December 31, 2013		10
	Statements of Operations for the three months ended March 31, 2014 and March 31, 2013 (Unaudited)		11
	Statements of Changes in Shareholders’ Capital for the three months ended March 31, 2014 (Unaudited) and the year ended December 31, 2013		12
	Statements of Cash Flows for the three months ended March 31, 2014 and March 31, 2013 (Unaudited)		13
	Notes to Financial Statements (Unaudited)		14
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations		27
Item 3.	Quantitative and Qualitative Disclosures About Market Risk		37
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		41
Item 3.	Defaults Upon Senior Securities		41
Item 4.	Mine Safety Disclosures		41
Item 5.	Other Information		41
Item 6.	Exhibits		42
Signatures			43

2

PART I. FINANCIAL INFORMATION

Item 1. Financial Statements

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Unaudited)

March 31, 2014

Investments

Principal Amount (000)	Description	Coupon		Maturity	Ratings(1)		Value
	Short-Term Investments
	U.S. Government and Agency Obligations
$    15,500	U.S. Treasury Bills	0.000	%	4/03/14	Aaa	$	15,500,000
15,500	U.S. Treasury Bills	0.000	%	5/01/14	Aaa		15,499,706
12,000	U.S. Treasury Bills	0.000	%	5/29/14	Aaa		11,999,664
15,500	U.S. Treasury Bills	0.000	%	6/26/14	Aaa		15,498,698
17,000	U.S. Treasury Bills	0.000	%	7/24/14	Aaa		16,997,705
12,000	U.S. Treasury Bills	0.000	%	8/21/14	Aaa		11,997,276
8,000	U.S. Treasury Bills	0.000	%	9/18/14	Aaa		7,997,824
8,500	U.S. Treasury Bills	0.000	%	10/16/14	Aaa		8,497,314
9,500	U.S. Treasury Bills	0.000	%	11/13/14	Aaa		9,495,972
9,500	U.S. Treasury Bills	0.000	%	12/11/14	Aaa		9,494,803
5,000	U.S. Treasury Bills	0.000	%	1/08/15	Aaa		4,996,475
6,000	U.S. Treasury Bills	0.000	%	2/05/15	Aaa		5,994,576
10,000	U.S. Treasury Bills	0.000	%	3/05/15	Aaa		9,988,970
$  144,000	Total U.S. Government and Agency Obligations (cost $143,940,130)						143,958,983
	Repurchase Agreements
$      2,629	Repurchase Agreement with State Street Bank, dated 3/31/14, repurchase price $2,629,480, collateralized by $2,735,000 U.S. Treasury Notes, 0.625%, due 8/31/17, value $2,686,966	0.000	%	4/01/14	N/A	$	2,629,480
	Total Repurchase Agreements (cost $2,629,480)						2,629,480
	Total Short-Term Investments (cost $146,569,610)					$	146,588,463

Investments in Derivatives

Futures Contracts outstanding:

Commodity Group	Contract	Contract Position(2)		Contract Expiration		Number of Contracts(3)		Notional Amount at  Value(3)		Unrealized Appreciation (Depreciation)
Energy	Crude Oil
	ICE Brent Crude Oil Futures Contract		Long		May 2014		32	$	3,448,320	$	79,211
	ICE Brent Crude Oil Futures Contract		Long		June 2014		79		8,504,350		7,900
	ICE Brent Crude Oil Futures Contract		Long		July 2014		40		4,296,000		18,830
	NYMEX Crude Oil Futures Contract		Long		May 2014		145		14,729,100		605,547
	NYMEX Crude Oil Futures Contract		Long		July 2014		27		2,697,300		23,320
	Total Crude Oil										734,808
	Heating Oil
	ICE Gas Oil Futures Contract		Long		May 2014		23		2,058,500		(546	)
	NYMEX NY Harbor ULSD Futures Contract		Long		May 2014		52		6,398,683		(45,574	)
	Total Heating Oil										(46,120	)

3

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

March 31, 2014

Investments in Derivatives (Continued)

Futures Contracts outstanding (Continued):

Commodity Group	Contract	Contract Position(2)		Contract Expiration		Number of Contracts(3)			Notional Amount at  Value(3)			Unrealized Appreciation (Depreciation)
Energy	Natural Gas
(continued)	NYMEX Natural Gas Futures Contract		Long		May 2014		251		$	10,971,210		$	(136,959	)
	NYMEX Natural Gas Futures Contract		Long		July 2014		28			1,244,320			(30,410	)
	Total Natural Gas												(167,369	)
	Unleaded Gas
	NYMEX Gasoline RBOB Futures Contract		Long		May 2014		43			5,269,727			25,871
	Total Energy												547,190
Industrial Metals	Aluminum
	LME Primary Aluminum Futures Contract		Long		April 2014		88			3,852,200			122,650
	LME Primary Aluminum Futures Contract		Long		May 2014		87			3,845,944			19,575
	LME Primary Aluminum Futures Contract		Short		May 2014		(4	)		(176,825	)		(1,750	)
	Total Aluminum												140,475
	Copper
	CEC Copper Futures Contract		Long		May 2014		38			2,874,225			(214,950	)
	CEC Copper Futures Contract		Long		July 2014		8			604,400			(45,700	)
	LME Copper Futures Contract		Long		April 2014		43			7,150,900			(438,600	)
	LME Copper Futures Contract		Long		May 2014		21			3,493,613			(278,513	)
	Total Copper												(977,763	)
	Nickel
	LME Nickel Futures Contract		Long		April 2014		25			2,380,500			295,950
	LME Nickel Futures Contract		Long		May 2014		8			762,768			70,224
	LME Nickel Futures Contract		Short		April 2014		(1	)		(95,220	)		(6,942	)
	Total Nickel												359,232
	Zinc
	LME Zinc Futures Contract		Long		April 2014		46			2,267,512			2,300
	LME Zinc Futures Contract		Short		April 2014		(1	)		(49,294	)		2,706
	Total Zinc												5,006
	Lead
	LME Lead Futures Contract		Long		April 2014		28			1,433,250			(47,250	)
	LME Lead Futures Contract		Long		May 2014		2			102,950			763
	Total Lead												(46,487	)
	Total Industrial Metals												(519,537	)
Agriculturals	Corn
	CBOT Corn Futures Contract		Long		May 2014		343			8,609,300			741,475
	Soybean
	CBOT Soybean Futures Contract		Long		May 2014		134			9,808,800			777,488
	CBOT Soybean Futures Contract		Long		July 2014		19			1,358,025			45,900
	Total Soybean												823,388

4

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

March 31, 2014

Investments in Derivatives (Continued)

Futures Contracts outstanding (Continued):

Commodity Group	Contract	Contract Position(2)		Contract Expiration		Number of Contracts(3)			Notional Amount at  Value(3)		Unrealized Appreciation (Depreciation)
Agriculturals	Wheat
(continued)	CBOT Wheat Futures Contract		Long		May 2014		105		$	3,660,563	$	548,712
	KCBT Wheat Futures Contract		Long		May 2014		88			3,361,600		480,163
	KCBT Wheat Futures Contract		Long		July 2014		8			306,100		25,200
	Total Wheat											1,054,075
	Soybean Meal
	CBOT Soybean Meal Futures Contract		Long		May 2014		67			3,211,310		250,184
	CBOT Soybean Meal Futures Contract		Long		July 2014		28			1,298,080		58,970
	Total Soybean Meal											309,154
	Soybean Oil
	CBOT Soybean Oil Futures Contract		Long		May 2014		78			1,891,656		22,476
	CBOT Soybean Oil Futures Contract		Long		July 2014		21			511,938		(15,192	)
	Total Soybean Oil											7,284
	Total Agriculturals											2,935,376
Precious Metals	Gold
	CEC Gold Futures Contract		Long		June 2014		132			16,946,160		(159,720	)
	Silver
	CEC Silver Futures Contract		Long		May 2014		48			4,740,480		(452,160	)
	Platinum
	NYMEX Platinum Futures Contract		Long		July 2014		18			1,278,720		(55,185	)
	Palladium
	NYMEX Palladium Futures Contract		Long		June 2014		9			699,390		52,965
	Total Precious Metals											(614,100	)
Foods and Fibers	Cotton
	ICE Cotton Futures Contract		Long		May 2014		40			1,870,400		103,305
	ICE Cotton Futures Contract		Long		July 2014		9			420,975		18,640
	Total Cotton											121,945
	Sugar
	ICE Sugar Futures Contract		Long		May 2014		187			3,721,749		244,240
	Coffee
	ICE Coffee C Futures Contract		Long		May 2014		24			1,601,100		312,300
	ICE Coffee C Futures Contract		Long		July 2014		1	��		67,500		3,038
	LIFFE Coffee Robusta Futures Contract		Long		May 2014		66			1,382,040		156,105
	Total Coffee											471,443
	Cocoa
	ICE Cocoa Futures Contract		Long		May 2014		30			886,500		12,800
	Total Foods and Fibers											850,428

5

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

March 31, 2014

Investments in Derivatives (Continued)

Futures Contracts outstanding (Continued):

Commodity Group	Contract	Contract Position(2)		Contract Expiration		Number of Contracts(3)		Notional Amount at  Value(3)		Unrealized Appreciation (Depreciation)
Livestock	Live Cattle
	CME Live Cattle Futures Contract		Long		April 2014		97	$	5,658,980	$	211,620
	CME Live Cattle Futures Contract		Long		June 2014		59		3,245,000		47,271
	Total Live Cattle										258,891
	Lean Hogs
	CME Lean Hogs Futures Contract		Long		April 2014		21		1,058,400		263,826
	CME Lean Hogs Futures Contract		Long		June 2014		58		2,950,460		(101,860	)
	Total Lean Hogs										161,966
	Feeder Cattle
	CME Feeder Cattle Futures Contract		Long		May 2014		21		1,867,425		5,013
	CME Feeder Cattle Futures Contract		Long		August 2014		3		269,100		(2,213	)
	Total Feeder Cattle										2,800
	Total Livestock										423,657
	Total Futures Contracts outstanding						2,822	$	170,746,184	$	3,623,014

Call Options Written outstanding:

Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Energy	Crude Oil
	ICE Brent Crude Oil Futures Options		June 2014		(75	)	$	114.5	$	(30,750	)
	NYMEX Crude Oil Futures Options		April 2014		(86	)		103.5		(61,920	)
	Total Crude Oil									(92,670	)
	Heating Oil
	NYMEX NY Harbor ULSD Futures Options		April 2014		(35	)		3.1		(8,232	)
	Natural Gas
	NYMEX Natural Gas Futures Options		April 2014		(65	)		4,850.0		(13,000	)
	NYMEX Natural Gas Futures Options		April 2014		(74	)		4,650.0		(33,300	)
	Total Natural Gas									(46,300	)
	Unleaded Gas
	NYMEX Gasoline RBOB Futures Options		April 2014		(21	)		30,700.0		(9,349	)
	Total Energy									(156,551	)

6

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

March 31, 2014

Investments in Derivatives (Continued)

Call Options Written outstanding (Continued):

Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Industrial Metals	Aluminum
	LME Primary Aluminum Futures Options(4)		April 2014		(85	)	$	1,800.0	$	(489	)
	Copper
	LME Copper Futures Options (4)		April 2014		(43	)		7,450.0		—
	Nickel
	LME Nickel Futures Options (4)		April 2014		(16	)		15,000.0		(83,525	)
	Zinc
	LME Zinc Futures Options(4)		April 2014		(23	)		2,075.0		—
	Lead
	LME Lead Futures Options (4)		April 2014		(14	)		2,250.0		—
	LME Lead Futures Options (4)		May 2014		(1	)		2,175.0		(262	)
	Total Lead									(262	)
	Total Industrial Metals									(84,276	)
Agriculturals	Corn
	CBOT Corn Futures Options		April 2014		(171	)		480.0		(236,194	)
	Soybean
	CBOT Soybean Futures Options		April 2014		(77	)		1,420.0		(221,856	)
	Wheat
	CBOT Wheat Futures Options		April 2014		(48	)		715.0		(127,500	)
	CBOT Wheat Futures Options		April 2014		(50	)		640.0		(150,937	)
	CBOT Wheat Futures Options		April 2014		(3	)		750.0		(656	)
	Total Wheat									(279,093	)
	Soybean Meal
	CBOT Soybean Meal Futures Options		April 2014		(47	)		500.0		(25,850	)
	Soybean Oil
	CBOT Soybean Oil Futures Options		April 2014		(50	)		425.0		(6,300	)
	Total Agriculturals									(769,293	)
Precious Metals	Gold
	CEC Gold Futures Options		May 2014		(66	)		1,405.0		(26,400	)
	Silver
	CEC Silver Futures Options		April 2014		(24	)		2,400.0		(2,040	)
	Total Precious Metals									(28,440	)

7

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

March 31, 2014

Investments in Derivatives (Continued)

Call Options Written outstanding (Continued):

Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Foods and Fibers	Cotton
	ICE Cotton Futures Options		April 2014		(25	)	$	95.0	$	(15,875	)
	Sugar
	ICE Sugar Futures Options		April 2014		(94	)		17.5		(53,693	)
	Coffee
	ICE Coffee C Futures Options		April 2014		(7	)		150.0		(73,789	)
	ICE Coffee C Futures Options		April 2014		(15	)		147.5		(171,900	)
	ICE Coffee C Futures Options		June 2014		(1	)		200.0		(2,902	)
	Total Coffee									(248,591	)
	Cocoa
	ICE Cocoa Futures Options		April 2014		(15	)		3,150.0		(150	)
	Total Foods and Fibers									(318,309	)
Livestock	Live Cattle
	CME Live Cattle Futures Options		April 2014		(95	)		145.0		(43,700	)
	Lean Hogs
	CME Lean Hogs Futures Options		April 2014		(19	)		99.0		(205,200	)
	CME Lean Hogs Futures Options		June 2014		(20	)		148.0		(2,200	)
	Total Lean Hogs									(207,400	)
	Total Livestock									(251,100	)
	Total Call Options Written outstanding (premiums received $662,322)				(1,365	)			$	(1,607,969	)

8

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

March 31, 2014

(1)	Ratings: Using the highest of Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. rating.
(2)	The Fund expects to invest only in long futures contracts. Some short futures positions arise in futures contracts traded on the London Metal Exchange (“LME”) solely as the result of closing existing long LME futures positions. For every short LME futures contract outstanding, the Fund had previously entered into a long LME futures contract. The London Clearing House is the counterparty for both the long and short position.
(3)	Total number of contracts and notional amount at value include the net effect of LME short futures positions.
(4)	For fair value measurement disclosure purposes, these Call Options Written are classified as Level 2. See Notes to Financial Statements, Note 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
NY Harbor ULSD	New York Harbor Ultra-Low Sulfur Diesel
NYMEX	New York Mercantile Exchange
RBOB	Reformulated Gasoline Blendstock for Oxygen Blending

See accompanying notes to financial statements.

9

NUVEEN DIVERSIFIED COMMODITY FUND

STATEMENTS OF FINANCIAL CONDITION

At March 31, 2014 (Unaudited) and December 31, 2013

	March 31, 2014			December 31, 2013
ASSETS
Short-term investments, at value (cost $146,569,610 and $141,217,188, respectively)	$	146,588,463		$	141,238,384
Deposits with brokers		23,909,571			25,753,763
Unrealized appreciation on futures contracts		5,656,538			3,905,844
Other assets		11,300			—
Total assets	$	176,165,872		$	170,897,991
LIABILITIES
Call options written, at value (premiums received $662,322 and $777,236, respectively)	$	1,607,969		$	1,029,767
Unrealized depreciation on futures contracts		2,033,524			2,026,830
Payable for:
Distributions		1,196,902			—
Shares repurchased		—			151,538
Accrued expenses:
Management fees		182,235			178,826
Independent Committee fees		25,984			12,935
Other		284,339			351,411
Total liabilities		5,330,953			3,751,307
SHAREHOLDERS’ CAPITAL
Paid-in capital, unlimited number of shares authorized, 9,206,940 shares issued and outstanding at March 31, 2014 and December 31, 2013		219,648,412			219,648,412
Accumulated undistributed earnings (deficit)		(48,813,493	)		(52,501,728	)
Total shareholders’ capital (Net assets)		170,834,919			167,146,684
Total liabilities and shareholders’ capital	$	176,165,872		$	170,897,991
Net assets	$	170,834,919		$	167,146,684
Shares outstanding		9,206,940			9,206,940
Net asset value per share outstanding (net assets divided by shares outstanding)	$	18.56		$	18.15
Market value per share outstanding	$	15.88		$	15.17

See accompanying notes to financial statements.

10

NUVEEN DIVERSIFIED COMMODITY FUND

STATEMENTS OF OPERATIONS (Unaudited)

For the Three Months Ended March 31, 2014 and March 31, 2013

	Three Months Ended March 31,
	2014			2013
Investment Income:
Interest	$	37,292		$	60,660
Total Investment Income		37,292			60,660
Expenses:
Management fees		521,250			604,401
Brokerage commissions		30,049			35,621
Custodian fees and expenses		23,295			26,728
Independent Committee fees and expenses		13,048			13,648
Professional fees		124,439			103,352
Shareholder reporting expenses		32,806			16,461
Other expenses		6,252			10,062
Total expenses		751,139			810,273
Net investment income (loss)		(713,847	)		(749,613	)
Net realized gain (loss) from:
Short-term investments		17			295
Futures contracts		5,942,505			(4,348,807	)
Call options written		1,001,725			1,320,851
Change in net unrealized appreciation (depreciation) of:
Short-term investments		(2,343	)		2,005
Futures contracts		1,744,000			730,851
Call options written		(693,116	)		(135,687	)
Net realized gain (loss) and change in net unrealized appreciation (depreciation)		7,992,788			(2,430,492	)
Net income (loss)	$	7,278,941		$	(3,180,105	)
Net income (loss) per weighted-average share	$	.79		$	(.34	)
Weighted-average shares outstanding		9,206,940			9,219,240

See accompanying notes to financial statements.

11

NUVEEN DIVERSIFIED COMMODITY FUND

STATEMENTS OF CHANGES IN SHAREHOLDERS’ CAPITAL

For the Three Months Ended March 31, 2014 (Unaudited) and the Year Ended December 31, 2013

	Three Months Ended March 31, 2014			Year Ended December 31, 2013
Shareholders’ capital—beginning of period	$	167,146,684		$	197,141,908
Repurchase of shares		—			(186,659	)
Net increase (decrease) in shareholders’ capital resulting from operations:
Net investment income (loss)		(713,847	)		(3,055,568	)
Net realized gain (loss) from:
Short-term investments		17			3,618
Futures contracts		5,942,505			(21,217,789	)
Call options written		1,001,725			4,711,122
Change in net unrealized appreciation (depreciation) of:
Short-term investments		(2,343	)		(9,983	)
Futures contracts		1,744,000			5,662,047
Call options written		(693,116	)		(690,565	)
Net income (loss)		7,278,941			(14,597,118	)
Distributions to shareholders		(3,590,706	)		(15,211,447	)
Shareholders’ capital—end of period	$	170,834,919		$	167,146,684
Shares—beginning of period		9,206,940			9,219,240
Repurchase of shares		—			(12,300	)
Shares—end of period		9,206,940			9,206,940

See accompanying notes to financial statements.

12

NUVEEN DIVERSIFIED COMMODITY FUND

STATEMENTS OF CASH FLOWS (Unaudited)

For the Three Months Ended March 31, 2014 and March 31, 2013

	Three Months Ended March 31,
	2014			2013
Cash flows from operating activities:
Net income (loss)	$	7,278,941		$	(3,180,105	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term investments		(216,883,111	)		(56,993,500	)
Proceeds from sales and maturities of short-term investments		211,567,999			66,390,527
Premiums received for call options written		1,358,642			1,195,148
Cash paid for call options written		(471,831	)		(182,109	)
Amortization (Accretion)		(37,293	)		(60,642	)
(Increase) Decrease in:
Deposits with brokers		1,844,192			(502,525	)
Receivable for investments sold		—			(1,998,979	)
Other assets		(11,300	)		(1,016	)
Increase (Decrease) in:
Accrued management fees		3,409			(7,571	)
Accrued Independent Committee fees		13,049			(7,017	)
Accrued other expenses		(67,072	)		(60,316	)
Net realized (gain) loss from:
Short-term investments		(17	)		(295	)
Call options written		(1,001,725	)		(1,320,851	)
Change in net unrealized (appreciation) depreciation of:
Short-term investments		2,343			(2,005	)
Futures contracts		(1,744,000	)		(730,851	)
Call options written		693,116			135,687
Net cash provided by (used in) operating activities		2,545,342			2,673,580
Cash flows from financing activities:
Cash paid for shares repurchased		(151,538	)		—
Cash distributions paid to shareholders		(2,393,804	)		(2,673,580	)
Net cash provided by (used in) financing activities		(2,545,342	)		(2,673,580	)
Net increase (decrease) in cash		—			—
Cash—beginning of period		—			—
Cash—end of period	$	—		$	—

See accompanying notes to financial statements.

13

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Unaudited)

March 31, 2014

1. Organization

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

The Manager has selected its affiliate, Gresham Investment Management LLC (“Gresham LLC”), acting through its Near Term Active division (in that capacity, “Gresham” or the “CommoditySub-adviser”), to manage the Fund’s commodity investment strategy and its options strategy. Gresham LLC is a Delaware limited liability company, the successor to Gresham Investment Management, Inc., formed in July 1992. Gresham LLC is registered with the CFTC as a commodity trading adviser and commodity pool operator, is a member of the NFA and is registered with the Securities and Exchange Commission (the “SEC”) as an investment adviser.

The Manager has selected its affiliate, Nuveen Asset Management, LLC (“Nuveen Asset Management” or the “Collateral Sub-adviser”), to manage the Fund’s collateral invested in cash equivalents, U.S. government securities and other short-term, high grade debt securities. Nuveen Asset Management is a Delaware limited liability company and is registered with the SEC as an investment adviser.

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

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

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

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

14

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

March 31, 2014

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, 2013.

Basis of Accounting

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

Futures Contracts

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

During the period the futures contract is open, changes in the value of the contract are recognized as an unrealized gain or loss by “marking-to-market” on a daily basis to reflect the changes in market value of the contract, which are recognized as a component of “Unrealized appreciation or depreciation on futures contracts” on the Statements of Financial Condition and “Change in net unrealized appreciation (depreciation) of futures contracts” on the Statements of Operations. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract on the closing date and the value of the contract when originally entered into, which is recognized as a component of “Net realized gain (loss) from futures contracts” on the Statements of Operations.

The Fund expects to invest only in long futures contracts. Some short futures positions may arise in futures contracts traded on the London Metal Exchange (“LME”) solely as the result of closing existing long LME 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.

15

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

March 31, 2014

2. Summary of Significant Accounting Policies (Continued)

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

The average number of futures contracts outstanding during the three months ended March 31, 2014 and the fiscal year ended December 31, 2013 was as follows:

	Three Months Ended March 31, 2014		Year Ended December 31, 2013
Average number of futures contracts outstanding*		2,846		3,076

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

Refer to Note 3 – Derivative Instruments and Hedging Activities within these Notes to Financial Statements for further details on futures contracts 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 three months ended March 31, 2014 and the fiscal year ended December 31, 2013, the Fund wrote call options on futures contracts.

The Fund did not purchase options on futures or forward contracts during the three months ended March 31, 2014 and the fiscal year ended December 31, 2013. 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.

16

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

March 31, 2014

2. Summary of Significant Accounting Policies (Continued)

Transactions in call options written were as follows:

	Three Months Ended March 31, 2014						Year Ended December 31, 2013
	Number of Contracts			Premiums Received			Number of Contracts			Premiums Received
Outstanding, beginning of period		1,377		$	777,236			1,537		$	974,047
Options written		2,106			1,358,642			10,128			5,116,574
Options terminated in closing purchase transactions		(1,031	)		(614,174	)		(5,455	)		(2,788,807	)
Options expired		(740	)		(632,962	)		(3,897	)		(2,058,351	)
Options exercised		(347	)		(226,420	)		(936	)		(466,227	)
Outstanding, end of the period		1,365		$	662,322			1,377		$	777,236

The average number of call options written outstanding during the three months ended March 31, 2014 and the fiscal year ended December 31, 2013 was as follows:

	Three Months Ended March 31, 2014		Year Ended December 31, 2013
Average number of call options written outstanding*		1,371		1,452

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

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

Forward Contracts

The Fund may enter into forward contracts but did not make any such investments during the three months ended March 31, 2014 and the fiscal year ended December 31, 2013. 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.

17

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

March 31, 2014

2. Summary of Significant Accounting Policies (Continued)

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

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

The Fund will enter into forward contracts only with large, well-capitalized and well-established financial institutions. The creditworthiness of each of the firms which is a party to a forward contract is monitored by the Manager.

Netting Agreements

In the ordinary course of business, the Fund has entered into transactions subject to enforceable master repurchase agreements or other similar arrangements (“netting agreements”). Generally, the right to offset in netting agreements allows the Fund to offset any exposure to a specific counterparty with any collateral received or delivered to that counterparty based on the terms of the agreements. The Fund manages its cash collateral and securities collateral on a counterparty basis. As of March 31, 2014 and December 31, 2013, the Fund was not invested in any portfolio securities or derivatives, other than the repurchase agreements further described below, that are subject to netting agreements.

Repurchase Agreements

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

The following tables present the repurchase agreements for the Fund, presented on the Statements of Financial Condition as of March 31, 2014 and December 31, 2013, and recognized as a component of “Short-term investments, at value,” that are subject to netting agreements as of the end of each reporting period, and the collateral delivered related to those repurchase agreements.

	March 31, 2014
	Counterparty		Short-Term Investments, at Value		Collateral Pledged (From) Counterparty*			Net Exposure
Repurchase Agreements		State Street Bank	$	2,629,480	$	(2,629,480	)	$	—

	December 31, 2013
	Counterparty		Short-Term Investments, at Value		Collateral Pledged (From) Counterparty*			Net Exposure
Repurchase Agreements		State Street Bank	$	1,575,280	$	(1,575,280	)	$	—

* As of March 31, 2014 and December 31, 2013, the value of the collateral pledged from the counterparty exceeded the value of the repurchase agreements. Refer to the Schedule of Investments for details on the repurchase agreements.

18

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

March 31, 2014

2. Summary of Significant Accounting Policies (Continued)

Collateral Investments

Currently, approximately 15% of the Fund’s net assets are committed to secure the Fund’s futures contract positions. These assets are placed in a commodity futures account maintained by the Fund’s clearing broker, and are held in high-quality instruments permitted under CFTC regulations.

The Fund’s remaining assets are held in a separate collateral investment account managed by the CollateralSub-adviser. The Fund’s assets held in the separate collateral account are invested in cash equivalents, U.S. government securities and other high-quality short-term debt securities with final terms not exceeding one year at the time of investment. The collateral portfolio’s debt securities (other than U.S. government securities) are rated at the highest applicable rating as determined by at least one nationally recognized statistical rating organization, or if unrated, judged by the CollateralSub-adviser to be of comparable quality.

Investment Valuation

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

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

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

Fair Value Measurements

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

19

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

March 31, 2014

2. Summary of Significant Accounting Policies (Continued)

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).

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 March 31, 2014 and December 31, 2013:

	March 31, 2014
	Level 1			Level 2			Level 3		Total
Short-Term Investments:
U.S. Government and Agency Obligations	$	—		$	143,958,983		$	—	$	143,958,983
Repurchase Agreements		—			2,629,480			—		2,629,480
Investments in Derivatives:
Futures Contracts*		3,623,014			—			—		3,623,014
Call Options Written**		(1,523,693	)		(84,276	)		—		(1,607,969	)
Total	$	2,099,321		$	146,504,187		$	—	$	148,603,508
	December 31, 2013
	Level 1			Level 2			Level 3		Total
Short-Term Investments:
U.S. Government and Agency Obligations	$	—		$	139,663,104		$	—	$	139,663,104
Repurchase Agreements		—			1,575,280			—		1,575,280
Investments in Derivatives:
Futures Contracts		1,879,014			—			—		1,879,014
Call Options Written		(779,835	)		(249,932	)		—		(1,029,767	)
Total	$	1,099,179		$	140,988,452		$	—	$	142,087,631

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

** Refer to the Schedule of Investments for a breakdown of call options written classified as Level 2, which is comprised of the Fund’s call options written on the LME.

The Manager is responsible for the Fund’s valuation process and has delegated daily oversight of the process to the Manager’s Valuation Committee. The Valuation Committee, pursuant to its valuation policies and procedures, is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Manager’s senior management. The Valuation Committee is aided in its efforts by the Manager’s Securities Valuation Team, which is responsible for administering the daily valuation

20

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

March 31, 2014

2. Summary of Significant Accounting Policies (Continued)

process and applying fair value methodologies as approved by the Valuation Committee. When determining the reliability of independent pricing services for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of the pricing services and monitors the quality of security prices received through various testing reports conducted by the Securities Valuation Team.

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

Investment Transactions

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

Investment Income

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

Brokerage Commissions and Fees

The Fund pays brokerage commissions, including applicable clearing costs, exchange fees, NFA fees, give-up fees, pit brokerage fees and other transaction-related fees and expenses, incurred in connection with its commodity trading activities.

Income Taxes

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

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

Expense Recognition

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

21

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

March 31, 2014

2. Summary of Significant Accounting Policies (Continued)

Calculation of Net Asset Value

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

Distributions

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

Distributions to shareholders are recorded on theex-dividend date.

Commitments and Contingencies

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

Financial Instrument Risk

The Fund utilizes commodity futures and options, whose values are based upon an underlying asset and generally represent future commitments that have a reasonable possibility of being settled in cash or through physical delivery. As of March 31, 2014 and December 31, 2013, the financial instruments held by the Fund were traded on an exchange and are standardized contracts.

Market risk is the potential for changes in the value of the financial instruments traded by the Fund due to market changes, including fluctuations in commodity prices. Investing in commodity futures and forward 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.

22

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

March 31, 2014

2. Summary of Significant Accounting Policies (Continued)

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

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

3. Derivative Instruments and Hedging Activities

The Fund records derivative instruments at fair value, with changes in fair value recognized on the Statements of Operations.

The following tables present the fair value of all derivative instruments held by the Fund as of March 31, 2014 and December 31, 2013, the location of these instruments on the Statements of Financial Condition and the primary underlying risk exposure.

		March 31, 2014 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	$	5,656,538	Unrealized depreciation on futures contracts	$	2,033,524
Commodity	Options	—		—	Call options written, at value		1,607,969
Total			$	5,656,538		$	3,641,493
		December 31, 2013 Location on the Statements of Financial Condition
Underlying Risk Exposure	Derivative Instrument	Asset Derivatives			Liability Derivatives
		Location	Value		Location	Value
Commodity	Futures Contracts	Unrealized appreciation on futures contracts	$	3,905,844	Unrealized depreciation on futures contracts	$	2,026,830
Commodity	Options	—		—	Call options written, at value		1,029,767
Total			$	3,905,844		$	3,056,597

23

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

March 31, 2014

3. Derivative Instruments and Hedging Activities (Continued)

The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized on derivative instruments during the three months ended March 31, 2014 and March 31, 2013, the location of these instruments on the Statements of Operations and the primary underlying risk exposure.

Commodity Risk Exposure	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
Net realized gain (loss) from:
Futures contracts	$	5,942,505		$	(4,348,807	)
Call options written		1,001,725			1,320,851
Change in net unrealized appreciation (depreciation) of:
Futures contracts	$	1,744,000		$	730,851
Call options written		(693,116	)		(135,687)

4. Related Parties

The Manager, the Commodity Sub-adviser and the CollateralSub-adviser are considered to be related parties to the Fund.

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

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

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

The Manager and the Fund have entered intosub-advisory agreements with the CommoditySub-adviser and the CollateralSub-adviser. Both the CommoditySub-adviser and CollateralSub-adviser are compensated for their services to the Fund from the management fees paid to the Manager, and the Fund does not reimburse the Manager for those fees.

5. Share Repurchase Program

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

On March 6, 2014, the Fund reauthorized its share repurchase program, pursuant to which it may repurchase up to 10% of its outstanding common shares as of the reauthorization date (approximately 920,000 shares) in open-market transactions at the Manager’s discretion.

24

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

March 31, 2014

5. Share Repurchase Program (Continued)

Transactions in share repurchases during the three months ended March 31, 2014 and the fiscal year ended December 31, 2013, were as follows:

	Three Months Ended March 31, 2014		Year Ended December 31,  2013
Shares repurchased		—		12,300
Weighted average price per share repurchased		—	$	15.16
Weighted average discount per share repurchased		—		17.10	%

6. Financial Highlights

The following financial highlights relate to investment performance and operations for a Fund share outstanding during the three months ended March 31, 2014 and March 31, 2013. 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 are 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 March 31, 2014			Three Months Ended March 31, 2013
Net Asset Value:
Net asset value per share—beginning of period	$	18.15		$	21.38
Net investment income (loss)		(.08	)		(.08	)
Net realized and unrealized gain (loss)		.88			(.26	)
Distributions		(.39	)		(.44	)
Discount from shares repurchased		—			—
Net asset value per share—end of period	$	18.56		$	20.60
Market Value:
Market value per share—beginning of period	$	15.17		$	19.97
Market value per share—end of period	$	15.88		$	20.75
Ratios to Average Net Assets:(a)
Net investment income (loss)		(1.71	)%		(1.55	)%
Expenses		1.80	%		1.68	%
Total Returns:(b)
Based on Net Asset Value		4.44	%		(1.64	)%
Based on Market Value		7.27	%		6.08	%

(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

25

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

March 31, 2014

6. Financial Highlights (Continued)

date. The last distribution declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the net asset value per share at the end of the period. Total returns are not annualized.

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

7. New Accounting Pronouncement

Financial Accounting Standards Board (“FASB”) Financial Services—Investment Companies (Topic 946): Amendments to the Scope, Measurement, and Disclosure Requirements

In June 2013, the FASB issued Accounting Standards Update(“ASU”) 2013-08, “Financial Services—Investment Companies (Topic 946): Amendments to the Scope, Measurement, and Disclosure Requirements,” which amends the criteria that define an investment company and clarifies the measurement guidance and requires new disclosures for investment companies. ASU 2013-08 is effective for fiscal years beginning on or after December 15, 2013. The Fund has adopted ASU 2013-08 for its fiscal year end December 31, 2014 as it follows the investment company reporting requirements under U.S. GAAPand thereforefollows the accounting and reporting guidance under Topic 946. The adoption of ASU 2013-08 did not have an impact on the Fund’s financial statements or footnote disclosures.

8. Subsequent Events

Other Events

On April 14, 2014, TIAA-CREF, a national financial services organization, announced that it had entered into an agreement (the “Purchase Agreement”) to acquire Nuveen Investments, Inc., the parent company of the Manager, the Commodity Sub-adviser and the Collateral Sub-adviser, from an investor group majority-led by Madison Dearborn Partners, LLC, a private equity firm based in Chicago, IL. The transaction is expected to be completed by the end of the year, subject to customary closing conditions, including obtaining necessary client consents sufficient to satisfy the terms of the Purchase Agreement and obtaining customary regulatory approvals. There can be no assurance that the transaction described above will be consummated as contemplated or that necessary conditions will be satisfied.

The transaction is not expected to result in any change in the management of the Fund or in the Fund’s investment objectives or policies.

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

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

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

Introduction

The Fund is a commodity pool which was organized as a Delaware statutory trust on December 7, 2005 and commenced operations on September 27, 2010, with its public offering. The shares of the Fund trade on the NYSE MKT under the ticker symbol “CFD”. Prior to the initial public offering, the Fund was inactive except for matters relating to its organization and registration. The Fund’s investment objective is to generate higher risk-adjusted total return than leading commodity market benchmarks. In pursuing its investment objective, the Fund invests directly in a diversified portfolio of commodity futures and forward contracts to obtain broad exposure to all principal groups in the global commodity markets. The Fund is unleveraged, and the Fund’s commodity contract positions are fully collateralized with cash equivalents and short-term, high grade debt securities. The Fund writes commodity call options seeking to enhance the Fund’s risk-adjusted total return. The Manager focuses on the Dow Jones-UBS Commodity Index^®(“DJ-UBSCI”) when evaluating the performance of the commodity futures, forwards, and options positions (the “commodity portfolio”) in the Fund’s portfolio.

Results of Operations

The Quarter Ended March 31, 2014—Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $15.88 on the close of business on March 31, 2014. This represents an increase of 4.68% in share price (not including an assumed reinvestment of distributions) from the $15.17 price at which the shares of the Fund traded on the close of business on December 31, 2013. The high and low intra-day share prices for the quarter were $16.46 (February 25, 2014) and $14.93 (January 10, 2014), respectively. During the quarter, the Fund declared distributions totaling $0.390 per share to shareholders, of which $0.130 was paid on April 1, 2014. The remainder was paid during the quarter. The Fund’s cumulative total return on market value for the quarter, which assumes reinvestment of such distributions, was 7.27%. At March 31, 2014, shares of the Fund traded at a 14.44% discount to the Fund’s net asset value of $18.56.

The Quarter Ended March 31, 2014—Net Assets of the Fund

The Fund’s net assets increased from $167.1 million at December 31, 2013, to $170.8 million at March 31, 2014, an increase of $3.7 million. The increase in the Fund’s net assets was due to $6.9 million in net realized gains and $1.1 million in net unrealized appreciation on the Fund’s portfolio during the quarter, a net investment loss of $0.7 million, and $3.6 million of distributions to shareholders.

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During the quarter ended March 31, 2014, the Fund’s collateral investments generated interest income of $37,292, which represents 0.02% of average net assets for the quarter ended March 31, 2014.

The net asset value per share on March 31, 2014, was $18.56. This represents an increase of 2.26% in net asset value (not including an assumed reinvestment of distributions) from the $18.15 net asset value as of December 31, 2013. The Fund declared distributions totaling $0.390 per share during the quarter. When an assumed reinvestment of these distributions is taken into account, the cumulative total return for the Fund on net asset value was 4.44% for the quarter ended March 31, 2014.

The Fund generated a net income of $7.3 million for the quarter ended March 31, 2014, resulting from expenses of $0.7 million, net realized gains of $6.9 million, and net unrealized appreciation of $1.1 million.

The Quarter Ended March 31, 2014—Overall Commodity Market Commentary

The broad commodity market rose 7.0% in the first quarter, as measured by the DJ-UBSCI. Foods and fibers led the positive performance, followed by livestock and agriculture. Precious metals and energy had modest gains, while industrial metals was the weakest performer, posting a loss for the quarter.

Energy commodities represented 30.7% of the DJ-UBSCI at the end of the period, and were its most significant commodity group by weight. The group rose 4.2% for the period, led by natural gas. Demand for residential heating remained high as a polar vortex kept most of the United States in colder than usual temperatures during the period. Crude oil had a small gain overall, with less volatility than in the fourth quarter of 2013. West Texas Intermediate (WTI) was up, but Brent crude fell slightly on fear of supply disruptions amid geopolitical tensions.

Agricultural commodities, as grouped by Gresham, made up 24.6% of the DJ-UBSCI at the end of the period. All agriculture commodities were up for the period, resulting in a 14.8% gain for the group overall. The U.S. Department of Agriculture forecasted lower plantings and strong export sales of corn, bolstering corn prices. Wheat prices increased on concerns about damage to the winter crops from cold, dry weather in the United States. Wheat supplies were also threatened by shipping delays in Canada, reduced exports from South America, and the crisis in Ukraine (the sixth largest wheat exporter).

The commodities in foods and fibers, as grouped by Gresham, made up a combined 9.0% of the DJ-UBSCI at the end of the period. The group rose 21.3%, with all foods and fibers commodities advancing during the quarter. Coffee was the best performer in both the group and the DJ-UBSCI overall, posting a 58.2% return. Concerns about scorched crops amid record heat and drought in Brazil boosted coffee and sugar prices.

The industrial metals comprised 15.0% of the DJ-UBSCI at the end of the period and were the weakest performing group, down 4.6% for the period. Nickel led performance in the sector, rallying in January on news of a mineral ore export ban by Indonesia, which supplies nearly 20% of the world’s nickel, and again in March on speculation of supply disruptions from Russia. Copper, however, was the worst performer in the industrial metals group and the DJ-UBSCI as a whole. Copper prices fell to a 44-month low late in the first quarter when China’s first domestic corporate bond default sparked fears that credit tightening would shutter copper demand.

Precious metals commodities represented 15.1% of the DJ-UBSCI at the end of the period. The group rose 5.4% for the period. Gold and silver were up, as were platinum and palladium (neither of which are represented in the DJ-UBSCI but are traded in the Fund). At the beginning of the year, gold was trading near $1,200, a psychologically important level to technical analysts who believed it was signaling a change in the price trend. This contributed to gold’s rally during the first quarter. In addition, investors fled emerging market currencies for perceived safe-haven assets, the U.S. Federal Reserve maintained “stimulus friendly” comments, and physical gold continued to be in demand from Asia and the Middle East, all of which supported gold prices.

Livestock is the smallest group, comprising 5.7% of the DJ-UBSCI at the end of the period. Both live cattle and lean hogs performed well during the first quarter, contributing to the livestock group’s 16.4% return. Prices for both contracts were affected by supply issues: lean hogs continued to suffer from a highly infectious virus, and

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weight gain, slaughter, and feed costs for live cattle were all adversely affected by the harsh winter. Feeder cattle, which the Fund includes but the DJ-UBSCI doesn’t, posted a small gain as well.

The Quarter Ended March 31, 2014—Fund Commodity Portfolio Commentary

The Fund’s commodity portfolio returned 4.8% for the three-month period (before considering the expenses of the Fund or the performance of the collateral portfolio). The Fund underperformed the DJ-UBSCI, which returned 7.0% for the same period. The Fund’s total return on net asset value for the same period, which includes the effect of the Fund’s expenses, the performance of the collateral portfolio, and assumes reinvestment of the Fund’s distributions to shareholders, was 4.44%.

The Fund writes–that is, sells–covered call options on its portfolio’s commodity futures, seeking to limit return volatility, and to provide cash flow to support the Fund’s distributions. Gresham sells exchange-traded commodity call options on up to approximately 50% of the value of each of the Fund’s commodity futures contracts, when those options are deemed to have sufficient trading volume and liquidity. The Fund receives cash premiums in return. During the quarter, the Fund sold options on approximately 50% of the value of each commodity position. The Fund’s option-writing activity hurt performance in the period. Call options written on coffee, natural gas, lean hogs and live cattle expired in the money, limiting the Fund’s full participation in these contracts’ gains. However, premium retention on other call options did help reduce the Fund’s volatility versus the DJ-UBSCI, as measured by the standard deviation of return.

The Fund outperformed the DJ-UBSCI in precious metals, but underperformed in all other commodity groups. Below is a discussion of each of the commodity groups and the factors that contributed to the performance.

In the energy group, the Fund advanced 3.0%, while the DJ-UBSCI rose 4.2% for the period. As natural gas prices rallied, the Fund’s underweight detracted from performance relative to the Index, as did options positions in natural gas. A larger weighting in Brent crude also hurt the Fund’s relative returns, as Brent finished the quarter slightly lower.

The Fund’s agriculture position gained 14.2%, slightly below the DJ-UBSCI’s 14.8% return. The Fund’s lower weighting in corn relative to the DJ-UBSCI dampened relative performance. The Fund’s wheat position also detracted on a weighted basis, as losses from an underweight in Chicago Board of Trade (CBOT) wheat offset a small gain from an overweight in Kansas City wheat.

The Fund’s foods and fibers position appreciated 11.8% versus the DJ-UBSCI’s 21.4% rise. Relative underperformance was driven by the Fund’s smaller exposure to Arabica coffee and in-the-money call options that were exercised during the period.

In industrial metals, the Fund’s position declined 4.1% and the DJ-UBSCI’s fell 4.6% during the period. Weighting differences in copper drove the Fund’s relative underperformance, as the Fund’s higher weight was disadvantageous in a sinking market.

The Fund’s precious metals group advanced 6.1%, beating the DJ-UBSCI’s 5.4% gain. The Fund benefited from collecting option premiums on contracts that expired without being exercised.

The livestock group appreciated 9.6% for the Fund and 16.4% for the DJ-UBSCI. The Fund’s underperformance was primarily driven by lean hog and live cattle call options that went in the money when prices for both contracts rallied. However, on a weighted basis, the Fund’s live cattle position only slightly detracted from relative performance as an overweight was beneficial to relative performance.

The Quarter Ended March 31, 2013—Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $20.75 on the close of business on March 28, 2013 (the last trading day of the period). This represents an increase of 3.91% in share price (not including the effect of

29

distributions) from the $19.97 price at which the shares of the Fund traded on the close of business on December 31, 2012. The high and low intra-day share prices for the quarter were $22.09 (January 23, 2013) and $20.00 (January 4, 2013 and March 11, 2013), respectively. During the quarter, the Fund declared distributions totaling $0.435 per share to shareholders, of which $0.145 was paid on April 1, 2013. The remainder was paid during the quarter. The Fund’s total return on market value for the quarter, which assumes reinvestment of such distributions, was 6.08%. At March 28, 2013, the shares of the Fund traded at a 0.73% premium to the Fund’s net asset value of $20.60.

The Quarter Ended March 31, 2013—Net Assets of the Fund

The Fund’s net assets decreased from $197.1 million as of December 31, 2012, to $190.0 million as of March 31, 2013, a decrease of $7.1 million. The decrease in the Fund’s net assets was due to $3.0 million in net realized losses and $0.6 million in unrealized appreciation on the Fund’s commodity portfolio during the quarter, a net investment loss of $0.7 million, and $4.0 million of distributions declared to shareholders.

The Fund’s commodity portfolio lost 1.29% for the quarter, before considering the expenses of the Fund. The overall commodities market, as measured by the DJ-UBSCI, was down 1.15% for the quarter. The Fund’s total return on net asset value for the same period, which includes the effect of the Fund’s expenses and the performance of the collateral portfolio and assumes reinvestment of the Fund’s distributions, was -1.64%.

In contrast to 2012, when commodities prices moved in reaction to macroeconomic and geopolitical forces, during the first quarter of 2013 commodity prices responded to the supply and demand fundamentals of individual markets. For agriculture, grains were weak in reaction to large harvests in South America and the positive outlook for the United States (“U.S.”) crop, industrial metals fell on growing supplies, and energy and foods and fibers were mixed, according to the developments in each individual market. Commodities prices in the DJ-UBSCI had a favorable start to 2013 with a rise in January, but fell sharply in February, and saw a modest recovery in March.

Of the six commodity groups in the Fund’s portfolio, energy was the only group to experience a gain for the quarter, while agriculture, foods and fibers, precious metals, livestock and industrial metals all experienced negative returns. Energy gained approximately 5% for the quarter, with four of the six commodities within the group experiencing gains, the largest being natural gas at approximately 12%, as unseasonably cold weather in the U.S. increased demand and inventories dropped from their sustained record levels. WTI crude oil also experienced gains, aided by the slow-but-steady pace of economic growth in the U.S., with Brent crude oil also appreciating due to an apparent reduction in geopolitical tensions. The agricultural group fell approximately 3% for the quarter, due to large declines in wheat, a small drop in corn, and mixed returns in the soybean complex (including soybeans, soybean meal, and soybean oil). Wheat began the quarter with an outlook of tight supplies, but was hurt by news of lower U.S. export sales, and forecasts indicating greater U.S. production in 2013 as increased rain and snow fell on the Wheat Belt in February. Moreover, on the last day of the quarter, grains sold off sharply in response to reports from the U.S. Department of Agriculture showing larger-than-expected U.S. inventories in March, and forecasting greater supplies of corn, soybeans and wheat for the coming U.S. crop year. Foods and fibers lost approximately 3% for the quarter. Cotton experienced a gain of approximately 13% on expectations of greater exports to China and a smaller U.S. crop, while sugar, coffee and cocoa fell approximately 8%, 5% and 2%, respectively, on expectations of abundant crops and supplies for the coming year. Precious metals lost approximately 4%, with gold and silver both experiencing losses, likely due to investors’ renewed interest in “risk” financial markets and a reduced desire for safe investment havens. The livestock group fell approximately 6% on weakness in both cattle and hog prices, as those markets contended with disruptions to feed costs from last year’s extensive U.S. drought. In addition, in March, China placed bans on feed additives in pork imports, possibly constraining a large portion of U.S. export sales. Rising global production and inventories in industrial metals, as well as a slowdown in the expansion of global manufacturing, brought losses to all five metal commodities within this commodity group in the Fund’s commodity portfolio, ranging from a loss of approximately 2% for the quarter in London Metal Exchange nickel to a drop in zinc of approximately 9%. As a group, industrial metals declined approximately 7% for the quarter.

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Relative to the DJ-UBSCI, considering both the return and the portfolio weightings of the specific commodities, the Fund’s commodity portfolio performed in line with its benchmark, only trailing by 0.14%. Specifically, the commodity portfolio outperformed in four of the six commodity groups in which it trades (agriculture, industrial metals, precious metals, and foods and fibers) and underperformed in the energy and livestock groups. The Fund underperformed versus the index in energy primarily due to natural gas, where the Fund held a smaller allocation to natural gas, the largest gainer of the group for the quarter, when compared to the index. In addition, a run-up in the prices of heating oil, gas oil and Reformulated Gasoline Blendstock for Oxygen Blending (“RBOB”) gasoline (more commonly known as unleaded gasoline) during January and early February, and in natural gas for the entire first quarter 2013, resulted in the exercise of some of the Fund’s covered call options in the group, leading to underperformance. The Fund outperformed the index in agriculture, in part due to the Fund’s underweight position in Chicago wheat, which experienced a large drop during the quarter. Conversely, an overweight position in Kansas City wheat led to underperformance. The Fund also registered small relative gains in corn and the soybean complex.

The Fund employs a strategy of writing covered options on commodities futures positions in the portfolio, with the goal of limiting the volatility of the Fund’s return and providing cash flow for the Fund’s distributions. Over the period, the commodity call option component of the Fund’s portfolio was generally successful, as it served to limit volatility while allowing the Fund to participate meaningfully in the upside appreciation of certain underlying commodity futures contracts. The Commodity Sub-adviser utilizes a quantitative strategy to determine the strike prices of the call options it writes (sells) at various levels out of the money. Typically, the further out of the money a written call option’s strike price is, the more upside potential remains for the underlying futures contract, although this potential can be offset by a smaller premium being received for selling the option.

During the quarter, several of the Fund’s call options expired without being exercised. As a result, for many contracts and time periods, the Fund was able to earn the entire call option premium without sacrificing any appreciation on the related futures contract, thereby offsetting some of the Fund’s losses, and benefiting the Fund’s overall performance. In certain cases during the quarter where the futures contract price appreciation was significant, the options the Fund wrote were exercised, which limited the Fund’s full participation in that commodity contract’s gains. During the quarter this effect is illustrated by natural gas, where the commodity returned approximately 14% during March in the DJ-UBSCI (as measured by the May 2013 contract), but the exercise of option contracts limited the benefit to approximately a 10% return for the Fund over the same period. That is, the premiums received for the natural gas options contracts were less than the foregone upside of the natural gas futures positions. In summary, the options program in total allowed the Fund to limit its volatility relative to its benchmark while also allowing the Fund to participate meaningfully in the appreciation in those commodity groups with strong price appreciation.

During the quarter ended March 31, 2013, the Fund’s collateral investments generated interest income of $60,660, which represents 0.03% of average net assets for the quarter ended March 31, 2013.

The net asset value per share on March 31, 2013, was $20.60. This represents a decrease of 3.65% in net asset value (not including an assumed reinvestment of distributions) from the $21.38 net asset value as of December 31, 2012. The Fund declared distributions of $0.435 per share during the quarter, of which $0.145 was paid on April 1, 2013. The remainder was paid during the quarter. When an assumed reinvestment of these distributions is taken into account, the total return for the Fund on net asset value was -1.64% for the quarter ended March 31, 2013.

Fund Total Returns

The following table presents selected total returns for the Fund as of March 31, 2014. Total returns based on market value and net asset value are based on the change in market value and net asset value, respectively, for a share during the period presented. The total returns presented assume the reinvestment of distributions at

31

market value on the distribution payment date for returns based on market value, and at net asset value on the distribution payment date for returns based on net asset 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 market price per share at the end of the period for total returns based on market value, and at the ending net asset value per share at the end of the period for total returns based on net asset value.

	Total Returns as of March 31, 2014
	Cumulative			Average Annual
	3 Months			1 Year			Since Inception
Market Value		7.27	%		-15.71	%		-4.67	%
Net Asset Value		4.44	%		-1.86	%		0.45	%

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

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

Distributions

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

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

Because the Fund’s investment performance since its inception has not been sufficient to cover the distributions made, the Fund has effectively been drawing upon its assets to meet payments prescribed by its distribution policy. The Fund also has paid fees and expenses that have also been drawn from the Fund’s assets.

As market conditions and portfolio performance may change, the rate of distributions on the shares and the Fund’s distribution policy could change. The Manager reserves the right to change the Fund’s distribution policy and the basis for establishing the rate of its monthly distributions, or may temporarily suspend or reduce distributions without a change in policy, at any time and may do so without prior notice to shareholders. The reduction or elimination of the Fund’s distributions could have the effect of increasing the Manager’s management fees.

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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 March 31, 2014. The March 31, 2014 composition 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		19.73	%		14.64	%
	Heating Oil		4.95	%		3.45	%
	Natural Gas		7.15	%		9.00	%
	Unleaded Gas		3.09	%		3.65	%
			34.92	%		30.74	%
Industrial Metals	Aluminum		4.40	%		4.38	%
	Copper		8.27	%		6.29	%
	Nickel		1.79	%		2.25	%
	Zinc		1.30	%		2.08	%
	Lead		0.90	%		0.00	%
			16.66	%		15.00	%
Agriculturals	Corn		5.04	%		7.88	%
	Soybean		6.54	%		6.07	%
	Wheat		4.29	%		4.94	%
	Soybean Meal		2.64	%		2.88	%
	Soybean Oil		1.41	%		2.81	%
			19.92	%		24.58	%
Precious Metals	Gold		9.92	%		11.20	%
	Silver		2.78	%		3.85	%
	Platinum		0.75	%		0.00	%
	Palladium		0.41	%		0.00	%
			13.86	%		15.05	%
Foods and Fibers	Cotton		1.34	%		1.62	%
	Sugar		2.18	%		4.07	%
	Coffee		1.79	%		3.28	%
	Cocoa		0.52	%		0.00	%
			5.83	%		8.97	%
Livestock	Live Cattle		5.21	%		3.07	%
	Lean Hogs		2.35	%		2.59	%
	Feeder Cattle		1.25	%		0.00	%
			8.81	%		5.66	%
Total			100.00	%		100.00	%

Liquidity and Capital Resources

The Fund pursues its investment objective by taking long positions in commodity futures contracts and writing commodity call options as part of an integrated program designed to enhance the risk-adjusted total return of the Fund’s commodity investments. The Fund’s investment activity in futures contracts and writing commodity call options does not require a significant outlay of capital. The Fund currently expects to post approximately 15% of

33

its net assets in a margin account with Barclay’s Capital Inc., the Fund’s clearing broker, to cover its futures contracts; the remaining assets are held by the Fund in a separate collateral pool managed by the Collateral Sub-adviser. The Fund believes the higher allocation to initial margin will provide a significant buffer to accommodate variations in the required margin posting that may result from market volatility, potential gains and losses on the contracts, and changes in margin rules, and will minimize the frequency of cash transfers from the Fund’s other collateral pool to meet variation margin requirements. The Fund does not intend to utilize leverage and its commodity contract positions are fully collateralized. Ordinary expenses and distributions are met by cash on hand, although distributions may at times consist of return of capital and may require that the Fund liquidate investments. The Fund earns interest on its continuing investments in cash equivalents, U.S. government securities and other short-term, high grade debt securities. The Fund also generates cash from the premiums it receives when writing call options on the Fund’s futures contracts.

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

The Fund’s shares trade on the NYSE MKT and shares are not redeemed by the Fund in the normal course of business (although the Manager may decide to do so at its discretion), thereby alleviating the need for the Fund to have liquidity available for possible shareholder redemptions. On December 21, 2011, the Fund announced the adoption of an open-market share repurchase program, pursuant to which it is authorized to repurchase an aggregate of up to 10% of its outstanding common shares in open-market transactions. On March 6, 2014 the Fund reauthorized its share repurchase program, pursuant to which it may repurchase up to 10% of its outstanding common shares as of the reauthorization date (approximately 920,000 shares) in open-market transactions, at the Manager’s discretion. Refer to “Part II—Item 2. Unregistered Sales of Equity Securities and Use of Proceeds” in this Report for details of repurchase activity, if any, during the three months ended March 31, 2014.

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.

34

Credit Risk

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

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

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

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

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

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

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

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

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

Off-Balance Sheet Arrangements

As of March 31, 2014, the Fund has not utilized, nor does it expect to utilize in the future, special purpose entities to facilitate off-balance sheet financing arrangements and has no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Fund. While the Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on the Fund’s financial position.

Contractual Obligations

The Fund’s contractual obligations are with the Manager, the Collateral Sub-adviser, the Commodity Sub-adviser, the custodian, the transfer agent, the commodity broker and, to the extent that the Fund enters into OTC

35

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

Critical Accounting Policies

The Fund’s critical accounting policies are as follows:

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

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

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

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

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

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

• Realized gains (losses) on closed positions and changes in unrealized appreciation (depreciation) on open positions are determined on a specific identification basis and recognized in the Statements of Operations during the period in which the contract is closed or the changes occur, respectively.

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

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

36

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 March 31, 2014. 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 March 31, 2014, 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		May 2014		32		$	107.7600		1,000	$	3,448,320
	ICE Brent Crude Oil Futures Contract	Long		June 2014		79			107.6500		1,000		8,504,350
	ICE Brent Crude Oil Futures Contract	Long		July 2014		40			107.4000		1,000		4,296,000
	NYMEX Crude Oil Futures Contract	Long		May 2014		145			101.5800		1,000		14,729,100
	NYMEX Crude Oil Futures Contract	Long		July 2014		27			99.9000		1,000		2,697,300
	Heating Oil
	ICE Gas Oil Futures Contract	Long		May 2014		23			895.0000		100		2,058,500
	NYMEX NY Harbor ULSD Futures Contract	Long		May 2014		52			2.9298		42,000		6,398,683
	Natural Gas
	NYMEX Natural Gas Futures Contract	Long		May 2014		251			4.3710		10,000		10,971,210
	NYMEX Natural Gas Futures Contract	Long		July 2014		28			4.4440		10,000		1,244,320
	Unleaded Gas
	NYMEX Gasoline RBOB Futures Contract	Long		May 2014		43			2.9179		42,000		5,269,727
Industrial Metals	Aluminum
	LME Primary Aluminum Futures Contract	Long		April 2014		88			1,751.0000		25		3,852,200
	LME Primary Aluminum Futures Contract	Long		May 2014		87			1,768.2500		25		3,845,944
	LME Primary Aluminum Futures Contract	Short		May 2014		(4	)		1,768.2500		25		(176,825	)
	Copper
	CEC Copper Futures Contract	Long		May 2014		38			3.0255		25,000		2,874,225
	CEC Copper Futures Contract	Long		July 2014		8			3.0220		25,000		604,400
	LME Copper Futures Contract	Long		April 2014		43			6,652.0000		25		7,150,900
	LME Copper Futures Contract	Long		May 2014		21			6,654.5000		25		3,493,613
	Nickel
	LME Nickel Futures Contract	Long		April 2014		25			15,870.0000		6		2,380,500
	LME Nickel Futures Contract	Long		May 2014		8			15,891.0000		6		762,768
	LME Nickel Futures Contract	Short		April 2014		(1	)		15,870.0000		6		(95,220	)
	Zinc
	LME Zinc Futures Contract	Long		April 2014		46			1,971.7500		25		2,267,512
	LME Zinc Futures Contract	Short		April 2014		(1	)		1,971.7500		25		(49,294	)
	Lead
	LME Lead Futures Contract	Long		April 2014		28			2,047.5000		25		1,433,250
	LME Lead Futures Contract	Long		May 2014		2			2,059.0000		25		102,950
Agriculturals	Corn
	CBOT Corn Futures Contract	Long		May 2014		343			5.0200		5,000		8,609,300
	Soybean
	CBOT Soybean Futures Contract	Long		May 2014		134			14.6400		5,000		9,808,800
	CBOT Soybean Futures Contract	Long		July 2014		19			14.2950		5,000		1,358,025
	Wheat
	CBOT Wheat Futures Contract	Long		May 2014		105			6.9725		5,000		3,660,563
	KCBT Wheat Futures Contract	Long		May 2014		88			7.6400		5,000		3,361,600
	KCBT Wheat Futures Contract	Long		July 2014		8			7.6525		5,000		306,100

37

Futures Contracts (Continued)

Commodity Group	Contract	Contract Position		Contract Expiration		Number of Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
	Soybean Meal
	CBOT Soybean Meal Futures Contract		Long		May 2014		67	$	479.3000		100	$	3,211,310
	CBOT Soybean Meal Futures Contract		Long		July 2014		28		463.6000		100		1,298,080
	Soybean Oil
	CBOT Soybean Oil Futures Contract		Long		May 2014		78		0.4042		60,000		1,891,656
	CBOT Soybean Oil Futures Contract		Long		July 2014		21		0.4063		60,000		511,938
Precious Metals	Gold
	CEC Gold Futures Contract		Long		June 2014		132		1,283.8000		100		16,946,160
	Silver
	CEC Silver Futures Contract		Long		May 2014		48		19.7520		5,000		4,740,480
	Platinum
	NYMEX Platinum Futures Contract		Long		July 2014		18		1,420.8000		50		1,278,720
	Palladium
	NYMEX Palladium Futures Contract		Long		June 2014		9		777.1000		100		699,390
Foods and Fibers	Cotton
	ICE Cotton Futures Contract		Long		May 2014		40		0.9352		50,000		1,870,400
	ICE Cotton Futures Contract		Long		July 2014		9		0.9355		50,000		420,975
	Sugar
	ICE Sugar Futures Contract		Long		May 2014		187		0.1777		112,000		3,721,749
	Coffee
	ICE Coffee C Futures Contract		Long		May 2014		24		1.7790		37,500		1,601,100
	ICE Coffee C Futures Contract		Long		July 2014		1		1.8000		37,500		67,500
	LIFFE Coffee Robusta Futures Contract		Long		May 2014		66		2,094.0000		10		1,382,040
	Cocoa
	ICE Cocoa Futures Contract		Long		May 2014		30		2,955.0000		10		886,500
Livestock	Live Cattle
	CME Live Cattle Futures Contract		Long		April 2014		97		1.4585		40,000		5,658,980
	CME Live Cattle Futures Contract		Long		June 2014		59		1.3750		40,000		3,245,000
	Lean Hogs
	CME Lean Hogs Futures Contract		Long		April 2014		21		1.2600		40,000		1,058,400
	CME Lean Hogs Futures Contract		Long		June 2014		58		1.2718		40,000		2,950,460
	Feeder Cattle
	CME Feeder Cattle Futures Contract		Long		May 2014		21		1.7785		50,000		1,867,425
	CME Feeder Cattle Futures Contract		Long		August 2014		3		1.7940		50,000		269,100

Commodity Call Options Written

Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Energy	Crude Oil
	ICE Brent Crude Oil Futures Options		June 2014		(75	)	$	114.5	$	(30,750	)
	NYMEX Crude Oil Futures Options		April 2014		(86	)		103.5		(61,920	)
	Heating Oil
	NYMEX NY Harbor ULSD Futures Options		April 2014		(35	)		3.1		(8,232	)
	Natural Gas
	NYMEX Natural Gas Futures Options		April 2014		(65	)		4,850.0		(13,000	)
	NYMEX Natural Gas Futures Options		April 2014		(74	)		4,650.0		(33,300	)
	Unleaded Gas
	NYMEX Gasoline RBOB Futures Options		April 2014		(21	)		30,700.0		(9,349	)
Industrial Metals	Aluminum
	LME Primary Aluminum Futures Options		April 2014		(85	)		1,800.0		(489	)
	Copper
	LME Copper Futures Options		April 2014		(43	)		7,450.0		—
	Nickel
	LME Nickel Futures Options		April 2014		(16	)		15,000.0		(83,525	)

38

Commodity Call Options Written (Continued)

Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
	Zinc
	LME Zinc Futures Options		April 2014		(23	)	$	2,075.0	$	—
	Lead
	LME Lead Futures Options		April 2014		(14	)		2,250.0		—
	LME Lead Futures Options		May 2014		(1	)		2,175.0		(262	)
Agriculturals	Corn
	CBOT Corn Futures Options		April 2014		(171	)		480.0		(236,194	)
	Soybean
	CBOT Soybean Futures Options		April 2014		(77	)		1,420.0		(221,856	)
	Wheat
	CBOT Wheat Futures Options		April 2014		(48	)		715.0		(127,500	)
	CBOT Wheat Futures Options		April 2014		(50	)		640.0		(150,937	)
	CBOT Wheat Futures Options		April 2014		(3	)		750.0		(656	)
	Soybean Meal
	CBOT Soybean Meal Futures Options		April 2014		(47	)		500.0		(25,850	)
	Soybean Oil
	CBOT Soybean Oil Futures Options		April 2014		(50	)		425.0		(6,300	)
Precious Metals	Gold
	CEC Gold Futures Options		May 2014		(66	)		1,405.0		(26,400	)
	Silver
	CEC Silver Futures Options		April 2014		(24	)		2,400.0		(2,040	)
Foods and Fibers	Cotton
	ICE Cotton Futures Options		April 2014		(25	)		95.0		(15,875	)
	Sugar
	ICE Sugar Futures Options		April 2014		(94	)		17.5		(53,693	)
	Coffee
	ICE Coffee C Futures Options		April 2014		(7	)		150.0		(73,789	)
	ICE Coffee C Futures Options		April 2014		(15	)		147.5		(171,900	)
	ICE Coffee C Futures Options		June 2014		(1	)		200.0		(2,902	)
	Cocoa
	ICE Cocoa Futures Options		April 2014		(15	)		3,150.0		(150	)
Livestock	Live Cattle
	CME Live Cattle Futures Options		April 2014		(95	)		145.0		(43,700	)
	Lean Hogs
	CME Lean Hogs Futures Options		April 2014		(19	)		99.0		(205,200	)
	CME Lean Hogs Futures Options		June 2014		(20	)		148.0		(2,200	)

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

The Fund also invests the assets held as collateral for its investments in commodity futures and forward contracts in cash equivalents, U.S. government securities, and other short-term, high-quality debt securities, which exposes the Fund to interest rate risk. These instruments are deemed to be entered into for non-trading purposes, with an emphasis on current income, liquidity and preservation of capital. As of March 31, 2014, the Fund held U.S. Treasury bills worth $143,958,983 with a total par value of $144,000,000 and a repurchase agreement worth $2,629,480.

39

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, 2013 and Part II—Item 1A. Risk Factors in the Fund’s subsequent quarterly reports on Form 10-Q, filed with the Securities and Exchange Commission (“SEC”)) which include, but are not limited to, government interventions, defaults and expropriations, adverse weather conditions, commodity supply factors, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, and increased regulation. Investors may lose all or substantially all of their investment in the Fund.

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

The Fund’s primary non-trading risk exposures are interest rate risk and credit risk related to the collateral portfolio. Interest rate risk is mitigated by the short-term nature of the collateral portfolio’s debt securities. Credit risk is mitigated by the fact that the collateral portfolio’s debt securities (other than U.S. government securities) are rated at the highest applicable rating as determined by at least one nationally recognized statistical rating organization (“NRSRO”) or, if unrated, judged by the Collateral Sub-advisor to be of comparable quality.

Item 4. Controls and Procedures

Evaluation of Disclosure Controls and Procedures

Under the supervision and with the participation of the principal executive officer and principal financial officer of the 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 (the “Exchange Act”). Based upon that evaluation, the principal executive officer and principal financial officer concluded that the Fund’s disclosure controls and procedures were effective as of the end of the period covered by this Report to provide reasonable assurance that information required to be disclosed in the reports that the Fund files or submits to the SEC under the Exchange Act is recorded, processed, summarized and reported, within the time periods specified in the applicable rules and forms, and that it is accumulated and communicated to the management of the Manager as appropriate to allow timely decisions regarding required disclosure.

Changes in Internal Control Over Financial Reporting

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

40

PART II. OTHER INFORMATION

Item  1. Legal Proceedings

None.

Item  1A. Risk Factors

There have been no changes to the Risk Factors since last reported on Part I, Item 1A of the Fund’s annual report on Form 10-K dated December 31, 2013, filed with the SEC.

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

a) None.

b) The Fund did not issue new shares within the three month period ended on March 31, 2014.

c) On March 6, 2014, the Fund reauthorized its share repurchase program, pursuant to which it may repurchase up to 10% of its outstanding common shares as of the reauthorization date (approximately 920,000 shares) in open-market transactions, at the Manager’s discretion. Share repurchases during the fiscal year to date period ended March 31, 2014 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
1/1/14 to 1/31/14	—	$            —	Approximately 920,000
2/1/14 to 2/28/14	—	$            —	Approximately 920,000
3/1/14 to 3/31/14	—	$            —	Approximately 920,000

A cumulative total of 60,100 shares have been repurchased through the repurchase program described above. No shares have been repurchased outside of the program described.

Item  3. Defaults Upon Senior Securities

None.

Item  4. Mine Safety Disclosures

Not applicable.

Item  5. Other Information

None.

41

Item 6. Exhibits

4.1	Second Amended and Restated Trust Agreement of the Fund. (1)
31.1	Certification of Principal Executive Officer Pursuant to Rule 13a-14(a) or Rule 15d-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
31.2	Certification of Principal Financial Officer Pursuant to Rule 13a-14(a) or Rule 15d-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
32.1	Certification of Principal Executive Officer Pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
32.2	Certification of Principal Financial Officer Pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
101.INS	XBRL Instance Document.
101.SCH	XBRL Taxonomy Extension Schema Document.
101.CAL	XBRL Taxonomy Extension Calculation Linkbase Document.
101.LAB	XBRL Taxonomy Extension Label Linkbase Document.
101.PRE	XBRL Taxonomy Extension Presentation Linkbase Document.
101.DEF	XBRL Taxonomy Extension Definition Linkbase Document.

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

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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 May 8, 2014.

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)

May 8, 2014

/s/ Stephen D. Foy

Chief Financial Officer

(Principal Financial and Accounting Officer)

May 8, 2014

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