UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form 10-Q

(Mark One)

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

For the quarterly period ended ~~September~~March 3031, ~~2015~~2016

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

For the transition period from to

Commission File Number 001-34879

Nuveen Diversified Commodity Fund

(Exact name of registrant as specified in its charter)


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

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

(877) 827-5920

(Registrant’s telephone number, including area code)

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

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

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


Large accelerated filer	¨		Accelerated filer	x

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

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

As of ~~November 3~~May 5, ~~2015~~2016, the registrant had 9,047,040 shares outstanding.

NUVEEN DIVERSIFIED COMMODITY FUND

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

TABLE OF CONTENTS

		Page No.
PART I. FINANCIAL INFORMATION
Item 1.	Financial Statements:		3
	Schedule of Investments at September 30, 2015 (Unaudited)		3
	Schedule of Investments at March 31, 2016 (Unaudited)		3
	Statements of Financial Condition at September 30, 2015 (Unaudited) and December 31, 2014		9
	Statements of Financial Condition at March 31, 2016 (Unaudited) and December 31, 2015		9
	Statements of Operations (Unaudited) for the three months ended September 30, 2015 and September 30, 2014 and for the nine months ended September 30, 2015 and September 30, 2014		10
	Statements of Operations (Unaudited) for the three months ended March 31, 2016 and March 31, 2015		10
	Statements of Changes in Shareholders’ Capital for the nine months ended September 30, 2015 (Unaudited) and the year ended December 31, 2014		11
	Statements of Changes in Shareholders’ Capital for the three months ended March 31, 2016 (Unaudited) and the year ended December 31, 2015		11
	Statements of Cash Flows (Unaudited) for the nine months ended September 30, 2015 and September 30, 2014		12
	Statements of Cash Flows (Unaudited) for the three months ended March 31, 2016 and March 31, 2015		12
	Notes to Financial Statements (Unaudited)		13
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations		26
Item 3.	Quantitative and Qualitative Disclosures About Market Risk		4038
Item 4.	Controls and Procedures		4441
PART II. OTHER INFORMATION
Item 1.	Legal Proceedings		4543
Item 1A.	Risk Factors		4543
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds		4543
Item 3.	Defaults Upon Senior Securities		4543
Item 4.	Mine Safety Disclosures		4543
Item 5.	Other Information		4543
Item 6.	Exhibits		4644
Signatures			4745

PART 1. FINANCIAL INFORMATION

Item 1.

Financial Statements

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Unaudited)

~~September 30~~March 31, 2016 ~~2015~~

Investments

PrincipalAmount (000)		Description	Coupon			Maturity		Ratings(1)		Value
Principal Amount (000)		Description	Coupon			Maturity		Ratings(1)		Value
		Short-Term Investments
		U.S. Government and Agency Obligations
	$2,000	U.S. Treasury Bills		0.000	%		10/15/15		Aaa	$	2,000,040
	$14,000	U.S. Treasury Bills		0.000	%		4/28/16		Aaa	$	13,998,208
	6,000	U.S. Treasury Bills		0.000	%		11/12/15		Aaa		6,000,090
	15,620	U.S. Treasury Bills		0.000	%		5/26/16		Aaa		15,615,923
	1,500	U.S. Treasury Bills		0.000	%		12/10/15		Aaa		1,500,105
	5,000	U.S. Treasury Bills		0.000	%		6/23/16		Aaa		4,997,525
	1,500	U.S. Treasury Bills		0.000	%		2/04/16		Aaa		1,499,901
	7,000	U.S. Treasury Bills		0.000	%		7/21/16		Aaa		6,994,183
	6,000	U.S. Treasury Bills		0.000	%		3/03/16		Aaa		5,999,328
	8,000	U.S. Treasury Bills		0.000	%		9/15/16		Aaa		7,987,576
	10,000	U.S. Treasury Bills		0.000	%		3/31/16		Aaa		9,996,210
	3,500	U.S. Treasury Bills		0.000	%		11/10/16		Aaa		3,493,871
	23,000	U.S. Treasury Bills		0.000	%		4/28/16		Aaa		22,991,122
	500	U.S. Treasury Bills		0.000	%		12/08/16		Aaa		498,813
	15,620	U.S. Treasury Bills		0.000	%		5/26/16		Aaa		15,611,737
	2,000	U.S. Treasury Bills		0.000	%		1/05/17		Aaa		1,992,608
	5,000	U.S. Treasury Bills		0.000	%		6/23/16		Aaa		4,993,860
	2,500	U.S. Treasury Bills		0.000	%		2/02/17		Aaa		2,488,843
	7,000	U.S. Treasury Bills		0.000	%		7/21/16		Aaa		6,986,567
	5,300	U.S. Treasury Bills		0.000	%		3/02/17		Aaa		5,272,790
	8,000	U.S. Treasury Bills		0.000	%		93/1530/1617		Aaa		7,~~976~~952,~~280~~992
	$85,620	Total U.S. Government And Agency Obligations (cost $85,491,116)									85,555,240
	$71,420	Total U.S. Government and Agency Obligations (cost $71,279,650)									71,293,332
		Repurchase Agreements
	$1,184	Repurchase Agreement with State Street Bank, dated 9/30/15, repurchase price $1,183,578, collateralized by $1,105,000 U.S. Treasury Notes, 3.125%, due 5/15/21, value $1,210,493		0.000	%		10/01/15		N/A	$	1,183,578
	$10,770	Repurchase Agreement with State Street Bank, dated 3/31/16, repurchase price $10,769,895, collateralized by $10,900,000 U.S. Treasury Notes, 1.000%, due 5/15/18, value $10,987,865		0.010	%		4/01/16		N/A	$	10,769,892
		Total Repurchase Agreements (cost $1,183,578)									1,183,578
		Total Repurchase Agreements (cost $10,769,892)									10,769,892
		Total Short-Term Investments (cost $86,674,694)								$	86,738,818
		Total Short-Term Investments (cost $82,049,542)								$	82,063,224

Investments in Derivatives

Futures Contracts outstanding:

CommodityGroup

Contract

ContractPosition(2)

ContractExpiration

Number ofContracts(3)

NotionalAmount at Value(3)

UnrealizedAppreciation(Depreciation)(4)

Energy

Crude Oil

ICE Brent Crude Oil Futures Contract

Long

~~November~~June ~~2015~~2016

~~107~~146

5,~~175~~888,~~590~~180

(57134,~~470~~264

)

ICE Brent Crude Oil Futures Contract

Long

~~January~~July 2016

~~107~~109

54,~~318~~443,~~970~~930

~~(83~~218,~~060~~160

)

NYMEX Crude Oil Futures Contract

Long

~~November~~May ~~2015~~2016

89107

4,~~013~~102,~~010~~380

(~~166~~229,~~430~~070

)

NYMEX Crude Oil Futures Contract

Long

~~January~~July 2016

6548

31,~~000~~953,~~400~~120

(~~120~~35,~~250~~434

)

NYMEX Crude Oil Futures Contract

Long

March 2016

378,960

(14,320

)

Total Crude Oil

(180,608

)

Total Crude Oil

(441,530

)

Natural Gas

NYMEX Natural Gas Futures Contract

Long

November 2015

205

5,174,200

(227,500

)

NYMEX Natural Gas Futures Contract

Long

January 2016

905,920

(24,380

)

Total Natural Gas

(251,880

)

Heating Oil

ICE Low Sulphur Gasoil Futures Contract

Long

~~November~~May ~~2015~~2016

5770

2,~~661~~509,~~900~~500

(729,~~125~~000

)

NYMEX NY Harbor ULSD Futures Contract

Long

~~November~~May ~~2015~~2016

4251

2,~~711~~539,~~974~~341

4439,~~806~~627

Total Heating Oil

3768,~~681~~627

Natural Gas

NYMEX Natural Gas Futures Contract

Long

May 2016

170

3,330,300

66,029

NYMEX Natural Gas Futures Contract

Long

July 2016

1,334,860

(30,760

)

Total Natural Gas

35,269

Unleaded Gas

NYMEX Gasoline RBOB Futures Contract

Long

May 2016

2,977,309

115,643

Total Energy

38,931

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

~~September 30~~March 31, ~~2015~~2016

Investments in Derivatives (Continued)

Futures Contracts outstanding (Continued):

CommodityGroup

Contract

ContractPosition(2)

ContractExpiration

Number ofContracts(3)

NotionalAmount at Value(3)

UnrealizedAppreciation(Depreciation)(4)

Energy

Unleaded Gas

(continued)

NYMEX Gasoline RBOB Futures Contract

Long

November 2015

3,616,288

(39,879

)

Total Energy

(695,608

)

Industrial Metals

Copper

COMEX Copper Futures Contract

Long

~~December~~May ~~2015~~2016

4721

21,~~750~~146,~~675~~075

~~(55~~72,~~813~~837

)

COMEX Copper Futures Contract

Long

March 2016

1,465,625

(30,313

)

LME Copper Futures Contract

Long

April 2016

4,263,438

255,938

LME Copper Futures Contract

~~Long~~Short

~~October~~April ~~2015~~2016

353

4(365,~~531,625~~438

)

~~(91~~8,~~000~~588

)

Total Copper

(177,126

)

LME Copper Futures Contract

Long

May 2016

1,943,400

79,300

Total Copper

416,663

Aluminum

LME Primary Aluminum Futures Contract

Long

~~October~~April ~~2015~~2016

~~133~~120

54,~~244~~526,~~356~~250

~~(148~~18,~~794~~750

)

LME Primary Aluminum Futures Contract

Short

October 2015

)

(197,156

)

(2,281

)

Total Aluminum

(151,075

)

Nickel

LME Nickel Futures Contract

Long

October 2015

1,805,511

93,351

LME Nickel Futures Contract

Long

November 2015

186,984

9,666

Total Nickel

103,017

Zinc

LME Zinc Futures Contract

Long

~~October~~April ~~2015~~2016

4036

1,~~681~~629,~~000~~675

30117,~~000~~675

LME Zinc Futures Contract

Short

~~October~~April ~~2015~~2016

(13

)

(42135,~~025~~806

)

~~(850~~1,444

)

Total Zinc

29119,~~150~~119

Nickel

LME Nickel Futures Contract

Long

April 2016

1,420,776

1,932

Lead

LME Lead Futures Contract

Long

~~October~~April ~~2015~~2016

2318

~~957~~764,~~375~~437

(2033,~~988~~763

)

LME Lead Futures Contract

Short

~~October~~April ~~2015~~2016

)

(8384,~~250~~938

)

~~(100~~5,388

)

Total Lead

(2128,~~088~~375

)

Total Industrial Metals

~~(217~~528,~~122~~089

)

Agriculturals

Soybean

CBOT Soybean Futures Contract

Long

~~November~~May ~~2015~~2016

~~106~~96

4,~~727~~371,600

94186,~~075~~400

CBOT Soybean Futures Contract

Long

January 2016

804,600

9,700

Total Soybean

103,775

Corn

CBOT Corn Futures Contract

Long

~~December~~May ~~2015~~2016

~~183~~138

32,~~547~~425,~~912~~350

29(128,~~738~~100

)

CBOT Corn Futures Contract

Long

July 2016

711,500

(36,000

)

Total Corn

(164,100

)

Wheat

CBOT Wheat Futures Contract

Long

~~December~~May ~~2015~~2016

4766

1,~~204~~562,~~963~~550

3713,~~600~~462

KCBT Wheat Futures Contract

Long

~~December~~May ~~2015~~2016

8966

21,~~232~~571,~~787~~625

5067,~~063~~187

Total Wheat

8780,~~663~~649

Soybean Meal

CBOT Soybean Meal Futures Contract

Long

~~December~~May ~~2015~~2016

8974

2,~~750~~000,~~100~~220

1539,~~620~~090

Soybean Oil

CBOT Soybean Oil Futures Contract

Long

~~December~~May ~~2015~~2016

6851

1,~~115~~047,~~472~~132

2381,~~184~~654

Total Agriculturals

~~259~~223,~~980~~693

Precious Metals

Gold

CEC Gold Futures Contract

Long

June 2016

7,537,160

83,920

Silver

CEC Silver Futures Contract

Long

May 2016

2,087,640

30,425

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

~~September 30~~March 31, ~~2015~~2016

Investments in Derivatives (Continued)

Futures Contracts outstanding (Continued):

CommodityGroup

Contract

ContractPosition(2)

ContractExpiration

Number ofContracts(3)

NotionalAmount at Value(3)

UnrealizedAppreciation(Depreciation)(4)

Precious Metals

~~Gold~~Platinum

CEC Gold Futures Contract

Long

December 2015

8,921,600

(140,800

)

(continued)

NYMEX Platinum Futures Contract

Long

July 2016

586,500

(1,815

)

Silver

CEC Silver Futures Contract

Long

December 2015

2,468,060

(119,510

)

Platinum

NYMEX Platinum Futures Contract

Long

January 2016

772,735

(54,910

)

Palladium

NYMEX Palladium Futures Contract

Long

~~December~~June ~~2015~~2016

~~520~~451,~~760~~200

2738,~~880~~240

Total Precious Metals

~~(287~~150,~~340~~770

)

Livestock

Live Cattle

CME Live Cattle Futures Contract

Long

~~October~~April ~~2015~~2016

7370

3,~~640~~721,~~510~~900

(~~359~~17,~~890~~960

)

CME Live Cattle Futures Contract

Long

~~December~~June ~~2015~~2016

4140

21,~~147~~984,~~170~~400

(~~144~~26,~~730~~620

)

Total Live Cattle

(~~504~~44,~~620~~580

)

Lean Hogs

CME Lean Hog Futures Contract

Long

~~October~~April ~~2015~~2016

6346

1,~~852~~257,~~830~~640

47(19,~~880~~213

)

CME Lean Hog Futures Contract

Long

~~December~~June ~~2015~~2016

5627

1873,~~494,640~~180

39(9,~~200~~090

)

CME Lean Hog Futures Contract

Long

February 2016

165,660

(1,500

)

Total Lean Hogs

(28,303

)

Total Lean Hogs

85,580

Feeder Cattle

CME Feeder Cattle Futures Contract

Long

~~November~~May ~~2015~~2016

516

~~431~~1,~~500~~242,000

(3132,~~125~~245

)

CME Feeder Cattle Futures Contract

Long

~~January~~August 2016

126

1465,~~003,650~~225

(5419,~~462~~125

)

Total Feeder Cattle

(8551,~~587~~370

)

Total Livestock

(~~504~~124,~~627~~253

)

Foods and Fibers

Sugar

Foods andFibers

Sugar

ICE Sugar Futures Contract

Long

~~March~~May 2016

~~130~~113

1,~~875~~942,~~328~~696

~~176~~294,~~176~~179

ICE White Sugar Futures Contract

Long

~~December~~May ~~2015~~2016

155

~~277~~111,~~500~~175

2111,~~450~~495

Total Sugar

197,626

ICE White Sugar Futures Contract

Long

August 2016

66,030

(2,070

)

Cotton

Total Sugar

303,604

ICE Cotton Futures Contract

Long

December 2015

1,782,980

(10,325

)

Coffee

ICE Coffee C Futures Contract

Long

~~December~~May ~~2015~~2016

3133

1,~~410~~577,~~694~~194

47116,~~662~~400

LIFFE Coffee Robusta Futures Contract

Long

~~November~~May ~~2015~~2016

1317

~~202~~255,~~410~~170

315,~~120~~300

LIFFE Coffee Robusta Futures Contract

Long

January 2016

78,200

1,250

Total Coffee

131,700

Total Coffee

52,032

Cotton

ICE Cotton Futures Contract

Long

May 2016

1,051,920

(20,182

)

ICE Cotton Futures Contract

Long

July 2016

145,775

850

Total Cotton

(19,332

)

Cocoa

ICE Cocoa Futures Contract

Long

May 2016

413,000

18,340

ICE Cocoa Futures Contract

Long

July 2016

384,670

(8,320

)

Total Cocoa

10,020

Total Foods and Fibers

425,992

Total Futures Contracts outstanding

2,161

84,031,241

1,243,222

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

~~September 30~~March 31, ~~2015~~2016

Investments in Derivatives (Continued)

Futures Contracts outstanding (Continued)

CommodityGroup	Contract	ContractPosition(2)		ContractExpiration		Number ofContracts(3)		NotionalAmount at Value(3)		UnrealizedAppreciation(Depreciation)(4)
Foods and Fibers	Cocoa
(continued)	ICE Cocoa Futures Contract		Long		December 2015		27	$	840,780	$	(53,190	)
	Total Foods and Fibers										186,143
	Total Futures Contracts outstanding						2,377	$	97,528,373	$	(1,258,574	)

Call Options Written outstanding:

Commodity Group	Contract	ContractExpiration		~~Number ofContracts~~NumberofContracts			~~Strike Price~~StrikePrice		Value
Energy	Crude Oil
	ICE Brent Crude Oil Futures Options		~~November~~June ~~2015~~2016		(~~104~~127	)	$	5445.5000	$	(841,~~320~~910	)
	ICE Brent Crude Oil Futures Options		November 2015		(3	)		52.00		(780	)
	NYMEX Crude Oil Futures Options		April 2016		(77	)		43.00		(10,010	)
	NYMEX Crude Oil Futures Options		October 2015		(81	)		48.50		(38,880	)
	Total Crude Oil									(51,920	)
	Total Crude Oil									(47,980	)
	Natural Gas
	NYMEX Natural Gas Futures Options		October 2015		(118	)		2.85		(24,780	)
	Heating Oil
	NYMEX NY Harbor ULSD Futures Options		~~October~~April ~~2015~~2016		(4251	)		~~164~~130.00		(3622,~~162~~919	)
	Natural Gas
	NYMEX Natural Gas Futures Options		April 2016		(116	)		2.10		(48,720	)
	Unleaded Gas
	NYMEX Gasoline RBOB Futures Options		~~October~~April ~~2015~~2016		(3125	)		~~149~~164.00		(299,~~164~~030	)
	Total Energy									(~~138~~132,~~086~~589	)
Industrial Metals	Copper
	LME Copper Futures Options (5)		October 2015		(34	)		5,400.00		(12,402	)
	LME Copper Futures Options(5)		April 2016		(29	)		4,800.00		(73,841	)
	Aluminum
	LME Primary Aluminum Futures Options (5)		October 2015		(64	)		1,675.00		(624	)
	LME Primary Aluminum Futures Options(5)		April 2016		(60	)		1,600.00		(105	)
	Nickel
	LME Nickel Futures Options (5)		October 2015		(16	)		11,000.00		(5,195	)
	Zinc
	LME Zinc Futures Options (5)		October 2015		(20	)		1,975.00		—
	LME Zinc Futures Options(5)		April 2016		(16	)		1,800.00		(12,264	)
	Nickel
	LME Nickel Futures Options(5)		April 2016		(14	)		9,200.00		(301	)
	Lead
	LME Lead Futures Options (5)		October 2015		(11	)		1,850.00		(33	)
	LME Lead Futures Options(5)		April 2016		(8	)		1,900.00		(2	)
	Total Industrial Metals									(1886,~~254~~513	)
Agriculturals	Soybean
	CBOT Soybean Futures Options		~~October~~April ~~2015~~2016		(3548	)		~~980~~930.00		(110,~~531~~500	)
	CBOT Soybean Futures Options		October 2015		(27	)		1,000.00		(844	)
	Corn
	Total Soybean									(2,375	)
	CBOT Corn Futures Options		April 2016		(89	)		395.00		(1,113	)
	Wheat
	CBOT Wheat Futures Options		April 2016		(33	)		495.00		(8,044	)
	CBOT Wheat Futures Options		April 2016		(33	)		500.00		(5,981	)
	Total Wheat									(14,025	)
	Soybean Meal
	CBOT Soybean Meal Futures Options		April 2016		(37	)		290.00		(2,220	)
	Soybean Oil
	CBOT Soybean Oil Futures Options		April 2016		(25	)		34.00		(11,550	)
	Total Agriculturals									(39,408	)
Precious Metals	Gold
	COMEX Gold Futures Options		May 2016		(30	)		1,320.00		(25,500	)
	Silver
	CEC Silver Futures Options		April 2016		(13	)		16.75		(4,875	)
	Total Precious Metals									(30,375	)

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

~~September 30~~March 31, ~~2015~~2016

Investments in Derivatives (Continued)

Call Options Written outstanding (Continued):

Commodity Group	Contract	ContractExpiration		~~Number ofContracts~~NumberofContracts			~~Strike Price~~StrikePrice		Value
Agriculturals	Corn
(continued)	CBOT Corn Futures Options		November 2015		(92	)	$	400.00	$	(43,125	)
	Wheat
	CBOT Wheat Futures Options		November 2015		(45	)		580.00		(5,906	)
	CBOT Wheat Futures Options		November 2015		(24	)		580.00		(4,350	)
	Total Wheat									(10,256	)
	Soybean Meal
	CBOT Soybean Meal Futures Options		November 2015		(29	)		360.00		(2,175	)
	CBOT Soybean Meal Futures Options		November 2015		(15	)		340.00		(3,075	)
	Total Soybean Meal									(5,250	)
	Soybean Oil
	CBOT Soybean Oil Futures Options		November 2015		(17	)		31.00		(1,428	)
	CBOT Soybean Oil Futures Options		November 2015		(17	)		29.00		(4,488	)
	Total Soybean Oil									(5,916	)
	Total Agriculturals									(66,922	)
Precious Metals	Gold
	CEC Gold Futures Options		November 2015		(40	)		1,180.00		(35,200	)
	Silver
	CEC Silver Futures Options		November 2015		(17	)		16.00		(15,300	)
	Total Precious Metals									(50,500	)
Livestock	Live Cattle
	CME Live Cattle Futures Options		~~October~~April ~~2015~~2016		(7369	)	$	~~156~~142.00	$	(~~380~~690	)
	Lean Hogs
	CME Lean Hogs Futures Options		~~October~~April ~~2015~~2016		(6337	)		6974.00		(~~115,920~~370	)
	Total Livestock									(~~116~~1,~~300~~060	)
Foods and Fibers	Sugar
	ICE Sugar Futures Options		~~February~~April 2016		(3061	)		1314.0050		(2966,~~232~~271	)
	ICE Sugar Futures Options		February 2016		(46	)		13.75		(30,397	)
	Total Sugar									(59,629	)
	Cotton
	ICE Cotton Futures Options		November 2015		(30	)		69.00		(1,650	)
	Coffee
	ICE Coffee C Futures Options		~~November~~April ~~2015~~2016		(19	)		~~155~~130.00		(39,~~705~~191	)
	Cotton
	ICE Cotton Futures Options		April 2016		(20	)		64.00		(600	)
	Cocoa
	ICE Cocoa Futures Options		~~November~~June ~~2015~~2016		(13	)		3,~~400~~250.00		(23,~~080~~510	)
	Total Foods and Fibers									(6779,~~064~~572	)
	Total Call Options Written outstanding
	(premiums received $585,992)				(1,156	)			$	(457,126	)
	(premiums received $560,095)				(1,050	)			$	(369,517	)

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

~~September 30~~March 31, ~~2015~~2016

(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, when applicable.
(4)		The gross unrealized appreciation (depreciation) on futures contracts is $~~802~~2,~~421~~027,253 and $(2784,~~060,995~~031), respectively.
(5)		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
COMEX		Commodities Exchange, Inc.
ICE		Intercontinental Exchange
KCBT		Kansas City Board of Trade
LIFFE		London International Financial Futures Exchange
LME		London Metal Exchange
NY Harbor ULSD		New York Harbor Ultra-Low Sulfur Diesel
NYMEX		New York Mercantile Exchange
RBOB		Reformulated Gasoline Blendstock for Oxygen Blending

See accompanying notes to financial statements.

NUVEEN DIVERSIFIED COMMODITY FUND

STATEMENTS OF FINANCIAL CONDITION

At ~~September 30~~March 31, ~~2015~~2016 (Unaudited) and December 31, ~~2014~~2015

	September 30, 2015			December 31, 2014
	March 31, 2016			December 31, 2015
ASSETS
Short-term investments, at value(cost $86,674,694 and $113,736,191, respectively)	$	86,738,818		$	113,737,383
Short-term investments, at value: U.S. government and agency obligations (cost $71,279,650 and $70,029,645 respectively)	$	71,293,332		$	70,000,297
Deposits with brokers		13,752,397			21,197,009
Repurchase agreement (cost approximates value)		10,769,892			1,088,249
Unrealized appreciation on futures contracts		802,421			633,319
Deposits with brokers		10,224,703			16,182,840
Other assets		3,780			—
Unrealized appreciation on futures contracts		2,027,253			1,629,675
Total assets	$	~~101~~94,~~297~~315,~~416~~180		$	~~135~~88,~~567~~901,~~711~~061
LIABILITIES
Options written, at value(premiums received $585,992 and $952,693, respectively)	$	457,126		$	296,907
Call options written, at value(premiums received $560,095 and $633,387, respectively)	$	369,517		$	439,772
Unrealized depreciation on futures contracts		2784,~~060,995~~031			112,~~470~~259,~~952~~165
Payable for distributions		669,481			—
Payable for:
Distributions		524,724			—
Investments purchased		7,953,496			—
Accrued expenses:
Conversion fees		129,167			—
Conversion		54,759			74,106
Management fees		~~102~~89,~~014~~572			~~138~~91,~~599~~477
Independent Committee fees		1210,~~172~~022			1310,~~103~~926
Other		376,509			450,146
Professional fees		262,567			309,773
Total liabilities		3,807,464			12,369,707
Other		122,355			84,301
Total liabilities		10,171,043			3,269,520
SHAREHOLDERS’ CAPITAL
Paid-in capital, unlimited number of shares authorized, 9,047,040 shares issued and outstanding at September 30, 2015 and December 31, 2014		217,646,428			217,646,428
Paid-in capital, unlimited number of shares authorized, 9,047,040 shares issued and outstanding at March 31, 2016 and December 31, 2015		217,646,428			217,646,428
Accumulated undistributed earnings (deficit)		(~~120~~133,~~156~~502,~~476~~291	)		(94132,~~448~~014,~~424~~887	)
Total shareholders’ capital (Net assets)		9784,~~489~~144,~~952~~137			~~123~~85,~~198~~631,~~004~~541
Total liabilities and shareholders’ capital	$	~~101~~94,~~297~~315,~~416~~180		$	~~135~~88,~~567~~901,~~711~~061
Net assets	$	9784,~~489~~144,~~952~~137		$	~~123~~85,~~198~~631,~~004~~541
Shares outstanding		9,047,040			9,047,040
Net asset value per share outstanding(net assets divided by shares outstanding)	$	109.7830		$	139.6247
Market value per share outstanding	$	108.3191		$	129.8302

See accompanying notes to financial statements.

NUVEEN DIVERSIFIED COMMODITY FUND

STATEMENTS OF OPERATIONS (Unaudited)

For the Three Months Ended ~~September 30~~March 31, ~~2015~~2016 and ~~September 30~~March 31, ~~2014~~2015

and the Nine Months Ended September 30, 2015 and September 30, 2014


	Three Months Ended March 31,
	2016			2015
Investment Income:
Interest	$	57,750		$	25,959

Total investment income		57,750			25,959

Expenses:
Management fees		255,978			363,800
Brokerage commissions		27,861			33,568
Custodian fees and expenses		19,671			26,640
Independent Committee fees and expenses		9,118			11,455
Professional fees		111,969			123,017
Shareholder reporting expenses		28,899			34,551
Other expenses		6,983			6,078

Total expenses		460,479			599,109

Net investment income (loss)		(402,729	)		(573,150	)

Net realized gain (loss) from:
Short-term investments		101			1,145
Futures contracts		(2,621,452	)		(15,565,740	)
Call options written		1,198,143			1,834,913
Change in net unrealized appreciation (depreciation) of:
Short-term investments		43,030			4,555
Futures contracts		1,872,712			8,176,470
Call options written		(3,037	)		(178,288	)

Net realized gain (loss) and change in net unrealized appreciation (depreciation)		489,497			(5,726,945	)

Net income (loss)	$	86,768		$	(6,300,095	)


Net income (loss) per weighted-average share	$	0.01		$	(0.70	)
Weighted-average shares outstanding		9,047,040			9,047,040

	Three Months EndedSeptember 30,						Nine Months EndedSeptember 30,
	2015			2014			2015			2014
Investment Income:
Interest	$	47,524		$	33,081		$	109,335		$	108,684
Total Investment Income		47,524			33,081			109,335			108,684
Expenses:
Management fees		325,901			501,527			1,055,126			1,556,703
Brokerage commissions		31,564			24,809			99,541			89,681
Conversion expenses		221,651			—			320,430			—
Custodian fees and expenses		24,021			26,813			80,766			77,982
Independent Committee fees and expenses		13,098			15,905			36,399			43,498
Professional fees		129,815			115,721			359,552			368,562
Shareholder reporting expenses		34,241			25,786			94,243			101,659
Other expenses		7,041			4,461			21,633			14,124
Total expenses		787,332			715,022			2,067,690			2,252,209
Net investment income (loss)		(739,808	)		(681,941	)		(1,958,355	)		(2,143,525	)
Net realized gain (loss) from:
Short-term investments		15			—			1,160			17
Futures contracts		(16,351,021	)		(7,002,815	)		(29,779,957	)		1,487,968
Options written		1,345,893			898,238			4,757,815			2,969,070
Change in net unrealized appreciation (depreciation) of:
Short-term investments		38,500			10,432			62,932			13,813
Futures contracts		(690,315	)		(11,377,594	)		9,579,059			(11,352,074	)
Options written		414,767			247,519			(526,920	)		537,637
Net realized gain (loss) and change in net unrealized appreciation (depreciation)		(15,242,161	)		(17,224,220	)		(15,905,911	)		(6,343,569	)
Net income (loss)	$	(15,981,969	)	$	(17,906,161	)	$	(17,864,266	)	$	(8,487,094	)
Net income (loss) per weighted-average share	$	(1.77	)	$	(1.94	)	$	(1.97	)	$	(0.92	)
Weighted-average shares outstanding		9,047,040			9,206,940			9,047,040			9,206,940

See accompanying notes to financial statements.

NUVEEN DIVERSIFIED COMMODITY FUND

STATEMENTS OF CHANGES IN SHAREHOLDERS’ CAPITAL

For the ~~Nine~~Three Months Ended ~~September 30~~March 31, ~~2015~~2016 (Unaudited) and the Year Ended December 31, ~~2014~~2015

	Nine Months EndedSeptember 30, 2015			Year EndedDecember 31, 2014
	Three Months EndedMarch 31, 2016			Year Ended December 31, 2015
Shareholders’ capital—beginning of period	$	~~123~~85,~~198~~631,~~004~~541		$	~~167~~123,~~146~~198,~~684~~004
Repurchase of shares		—			~~(2,001,984~~—	)
Net increase (decrease) in shareholders’ capital resulting from operations:
Net investment income (loss)		(1402,~~958,355~~729	)		(2,~~746~~382,~~661~~074	)
Net realized gain (loss) from:
Short-term investments		~~1,160~~101			~~547~~79
Futures contracts		(292,~~779~~621,~~957~~452	)		(1640,~~873~~931,~~345~~647	)
Options written		4,757,815			3,826,262
Call options written		1,198,143			5,739,221
Change in net unrealized appreciation (depreciation) of:
Short-term investments		6243,~~932~~030			(2030,~~004~~540	)
Futures contracts		91,~~579~~872,~~059~~712			~~(12~~10,~~716~~208,~~647~~143	)
Options written		(526,920	)		908,317
Call options written		(3,037	)		(462,171	)
Net income (loss)		~~(17~~86,~~864,266~~768	)		(27,~~621~~858,~~531~~989	)
Distributions to shareholders		(71,~~843~~574,~~786~~172	)		(149,~~325~~707,~~165~~474	)
Shareholders’ capital—end of period	$	9784,~~489~~144,~~952~~137		$	~~123~~85,~~198~~631,~~004~~541
Shares—beginning of period		9,047,040			9,~~206~~047,~~940~~040
Repurchase of shares		—			~~(159,900~~—	)
Shares—end of period		9,047,040			9,047,040

See accompanying notes to financial statements.

NUVEEN DIVERSIFIED COMMODITY FUND

STATEMENTS OF CASH FLOWS (Unaudited)

For the ~~Nine~~Three Months Ended ~~September 30~~March 31, ~~2015~~2016 and ~~September 30~~March 31, ~~2014~~2015

	Nine Months Ended September 30,
	Three Months Ended March 31,
	2015			2014
	2016			2015
Cash flows from operating activities:
Net income (loss)	$	~~(17~~86,~~864,266~~768	)	$	(86,~~487~~300,~~094~~095	)
Adjustments to reconcile net income (loss) to net cash provided by(used in) operating activities:
Purchases of U.S. government and agency obligations		(7517,~~929~~697,~~831~~035	)		(~~127~~5,~~082~~986,~~367~~236	)
Proceeds from sales and maturities of U.S. government and agency obligations		~~103~~16,~~199~~498,~~872~~823			~~135~~23,~~199~~999,~~997~~877
Proceeds from (Purchases of) repurchase agreements, net		(98,157	)		(1,340,185	)
Proceeds from (purchases of) repurchase agreements, net		(9,681,643	)		(420,347	)
Premiums received for options written		5,280,496			3,640,803
Premiums received for call options written		1,267,141			1,774,828
Cash paid for options written		(889,382	)		(839,697	)
Cash paid for call options written		(142,290	)		(182,986	)
Amortization (Accretion) of short-term investments		(109,227	)		(108,684	)
Amortization (accretion) of short-term investments		(51,692	)		(25,959	)
(Increase) Decrease in:
(Increase) decrease in:
Deposits with brokers		75,~~444~~958,~~612~~137			~~890~~(768,~~653~~388	)
Other assets		~~(3,780~~—	)		(311,~~779~~301	)
Increase (Decrease) in:
Increase (decrease) in:
Accrued conversion fees		129,167			—
Payable for investments purchased		7,953,496			—
Accrued management fees		(36,585	)		(21,632	)
Accrued conversion expenses		(19,347	)		—
Accrued Independent Committee fees		(931	)		967
Accrued management fees		(1,905	)		(15,153	)
Other accrued expenses		(73,637	)		46,235
Accrued Independent Committee fees		(904	)		(824	)
Accrued professional fees		(47,206	)		—
Other accrued expenses		38,054			(116,661	)
Net realized (gain) loss from:
Short-term investments		(~~1,160~~101	)		(171,145	)
Options written		(4,757,815	)		(2,969,070	)
Call options written		(1,198,143	)		(1,834,913	)
Change in net unrealized (appreciation) depreciation of:
Short-term investments		(6243,~~932~~030	)		(134,~~813~~555	)
Futures contracts		(91,~~579~~872,~~059~~712	)		11(8,~~352~~176,~~074~~470	)
Options written		526,920			(537,637	)
Call options written		3,037			178,288
Net cash provided by (used in) operating activities		71,~~174~~049,~~305~~448			92,~~726~~107,~~754~~960
Cash flows from financing activities:
Cash paid for shares repurchased		—			(151,538	)
Cash distributions paid to shareholders		(1,049,448	)		(2,107,960	)
Cash distributions paid to shareholders		(7,174,305	)		(9,575,216	)
Net cash provided by (used in) financing activities		(1,049,448	)		(2,107,960	)
Net cash provided by (used in) financing activities		(7,174,305	)		(9,726,754	)
Net increase (decrease) in cash		—			—
Cash—beginning of period		—			—
Cash—end of period	$	—		$	—

See accompanying notes to financial statements.

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Unaudited)

~~September 30~~March 31, ~~2015~~2016

1. Organization

Fund Information

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.

Proposed Conversion to Exchange-Traded Fund (“ETF”) Structure

On December 19, 2014, the Fund issued a press release announcing that the Manager had approved a plan to convert the Fund (the “Conversion”) into an open-ended ~~exchange-traded fund (“~~ETF”). On June 1530, 2015, shareholders of the Fund approved amendments to the Fund’s Declaration of Trust that are necessary to complete the Conversion. To facilitate the Conversion, on July 9, 2015, the Fund filed a registration statement with the Securities and Exchange Commission (the “SEC”) to register common shares that may be issued from time to time after the Conversion. ~~The~~As ~~Conversion remains subject to the receipt~~ of ~~certain regulatory approvals. The Fund is not currently~~March 31, ~~and~~2016 ~~after~~ the Conversion ~~will~~remains subject ~~not~~to ~~be, a mutual fund or any other type of investment company within~~ the ~~meaning~~receipt of ~~1940~~regulatory ~~Act~~approvals. ~~Until the Conversion occurs, the Fund will continue to operate as currently structured.~~

InOn ~~connection~~March 2, ~~with~~2016, the ~~Conversion,~~Fund ~~the~~announced ~~Manager~~an ~~intends~~update toon ~~implement~~the aexpected time frame ~~number~~for ofthe ~~additional~~Conversion. ~~changes~~Assuming toreceipt ~~the~~of ~~Fund~~regulatory ~~that~~approvals, the ~~Manager~~Conversion ~~believes~~is ~~will~~expected ~~better~~to ~~align~~be acompleted ~~number~~in of the ~~Fund’s~~second ~~features~~quarter ~~with~~of ~~its~~2016. ~~newly-adopted~~The ~~ETF~~Conversion ~~structure~~requires regulatory clearance, including ~~a reduction of~~ the ~~management fee,~~ adoption of ana ~~expense~~new ~~cap,~~exchange ~~and~~rule ~~changes~~pursuant to ~~the~~ which the Fund’s ~~investment~~shares ~~strategy,~~will ~~name,~~trade ~~distribution~~following ~~policy~~the ~~and~~Conversion. ~~the~~The ~~exchange~~Fund onhas ~~which~~been working with the ~~Fund’s~~NYSE ~~shares~~MKT, ~~trade.~~which ~~None~~has ofinitiated ~~these~~the ~~expected~~rule ~~changes~~making ~~have~~process ~~been~~for ~~finalized,~~the ~~and~~new ~~they~~rule, ~~remain~~which ~~subject~~will toultimately ~~further~~require ~~revision~~approval by the ~~Manager~~SEC. InThere ~~addition, following~~can ~~the~~be ~~Conversion,~~no ~~the~~assurance ~~Manager~~that such clearance will ~~continue~~be toobtained, ~~have~~or ~~the~~if ~~ability~~obtained, ~~without~~that ~~shareholder~~the ~~approval,~~Conversion towill ~~make~~be ~~subsequent~~completed ~~changes~~in to the ~~operation~~anticipated oftime ~~the Fund~~frame.

The Fund is not currently, and after the Conversion will not be, a mutual fund or any other type of investment company within the meaning of the 1940 Act. Until the Conversion occurs, the Fund will continue to operate as currently structured.

Investment Adviser

The Manager has selected its affiliate, Gresham Investment Management LLC (“Gresham LLC”), acting through its Near Term Active division (in that capacity, “Gresham” or the “Commodity Sub-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 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.

Investment Objectives and Principal Investment Strategies

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

~~September 30~~March 31, ~~2015~~2016

1. Organization (Continued)

~~portfolio~~The ~~(the combination of which equals its total return) per unit of risk taken~~Manager, ~~with~~the ~~such~~Commodity ~~risk~~Sub-adviser ~~measured~~and by the ~~volatility~~Collateral ofSub-adviser ~~the~~are ~~portfolio’s total returns over a specific period of~~subsidiaries ~~time.~~of InNuveen ~~pursuing its investment objective~~Investments, ~~the~~Inc. ~~Fund~~(“Nuveen ~~invests~~Investments”). Nuveen ~~directly~~Investments inis a ~~diversified~~subsidiary ~~portfolio~~ of ~~commodity~~TIAA ~~futures,~~Global ~~forward~~Asset ~~and options contracts to obtain broad exposure to all principal groups in the global commodity markets~~Management. ~~The Fund’s investment strategy has three principal elements:~~

Investment Objectives and Principal Investment Strategies

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 this 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.

2. Summary of Significant Accounting Policies

The Fund follows accounting and reporting guidance under Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) Topic 946 “Financial Services-Investment Companies.” 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, ~~2014~~2015.

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

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

~~September 30~~March 31, ~~2015~~2016

2. Summary of Significant Accounting Policies (Continued)

~~conversely~~Futures ifContracts 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.

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 in an amount, 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.

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 ~~nine~~three months ended ~~September 30~~March 31, ~~2015~~2016 and year ended December 31, ~~2014~~2015 was as follows:

	Nine Months EndedSeptember 30, 2015		Year EndedDecember 31, 2014
	Three Months EndedMarch 31, 2016		Year EndedDecember 31, 2015
Average number of futures contracts outstanding*		2,~~478~~206		2,~~764~~432

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

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 “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 options written” on the

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

~~September 30~~March 31, ~~2015~~2016

2. Summary of Significant Accounting Policies (Continued)

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~~ underlying instrument may be sold (called) and as a result bears the risk of an unfavorable change in the market value of the instrument underlying the written option. There is also the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. During the ~~nine~~three months ended ~~September~~March 3031, ~~2015~~2016 and year ended December 31, ~~2014~~2015, the Fund wrote call options on futures contracts.

The Fund did not purchase options on futures or forward contracts during the ~~nine~~three months ended ~~September~~March 3031, ~~2015~~2016 and year ended December 31, ~~2014~~2015. 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.

Transactions in call options written during the ~~nine~~three months ended ~~September~~March 3031, ~~2015~~2016 and year ended December 31, ~~2014~~2015 were as follows:

Nine Months EndedSeptember 30, 2015

Year EndedDecember 31, 2014

Three Months EndedMarch 31, 2016

Year EndedDecember 31, 2015

Number ofContracts

PremiumsReceived

Number ofContracts

PremiumsReceived

Outstanding, beginning of period

1,~~257~~098

~~952~~633,~~693~~387

1,~~377~~257

~~777~~952,~~236~~693

Options written

92,~~127~~098

51,~~280~~267,~~496~~141

911,~~114~~246

56,~~003~~566,~~593~~423

Options terminated in closing purchase transactions

(51,~~332~~147

)

(3636,~~378,031~~489

)

(46,~~006~~402

)

(13,~~970~~978,~~074~~394

)

Options expired

(~~3,110~~639

)

(1377,~~762,193~~211

)

(34,~~848~~217

)

(2,~~173~~400,~~528~~362

)

Options exercised

(~~786~~360

)

(~~506~~326,~~973~~733

)

(~~1,380~~786

)

(~~684~~506,~~534~~973

)

Outstanding, end of the period

1,~~156~~050

~~585~~560,~~992~~095

1,~~257~~098

~~952~~633,~~693~~387

The average number of call options written outstanding during the ~~nine~~three months ended ~~September 30~~March 31, ~~2015~~ 2016 and year ended December 31, ~~2014~~2015 was as follows:

	Nine Months EndedSeptember 30, 2015		Year EndedDecember 31, 2014
	Three MonthsEndedMarch 31, 2016		Year EndedDecember 31, 2015
Average number of options written outstanding*		1,204		1,338
Average number of call options written outstanding*		1,074		1,183

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

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

Forward Contracts

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

~~September 30~~March 31, ~~2015~~2016

2. Summary of Significant Accounting Policies (Continued)

~~contracts~~Forward ~~are~~Contracts 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 Fund may enter into forward contracts but did not make any such investments since its commencement of operations on September 27, 2010. A forward contract is an agreement between two parties to purchase or sell a specified quantity of a commodity at or before a specified date in the future at a specified price. Forward contracts are typically traded in the over-the-counter (“OTC”) markets and all details of the contract are negotiated between the counterparties to the agreement. Accordingly, the forward contracts are valued by reference to the contracts traded in the OTC markets.

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

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

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

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

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

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 ~~September 30~~March 31, ~~2015~~2016 and December 31, ~~2014~~2015, 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.~~

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

~~September 30~~March 31, ~~2015~~2016

2. Summary of Significant Accounting Policies (Continued)

~~The following tables present the~~ repurchase ~~agreements~~transaction, ~~for~~including ~~the~~accrued ~~Fund~~interest, ~~presented~~at onall ~~the Statements~~times. ofIf ~~Financial~~the ~~Condition~~counterparty ~~as of September 30~~defaults, ~~2015~~ and ~~December 31,~~the ~~2014,~~fair ~~and~~value ~~recognized as a component~~ of ~~“Short-term~~the ~~investments,~~collateral ~~at value~~declines,” ~~that~~realization ~~are subject to netting agreements as~~ of the ~~end of each reporting period, and the~~ collateral ~~delivered~~may ~~related~~be todelayed ~~those repurchase agreements~~or limited.

	September 30, 2015
	Counterparty		Short-TermInvestments,at Value		Collateral Pledged(From)Counterparty*			NetExposure
Repurchase Agreements		State Street Bank	$	1,183,578	$	(1,183,578	)	$	—

The following tables present the repurchase agreements for the Fund, presented on the Statements of Financial Condition as of March 31, 2016 and December 31, 2015, 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.

December 31, 2014

March 31, 2016

Counterparty

Short-TermInvestments,at Value

Collateral Pledged(From)Counterparty*

NetExposure

Repurchase Agreements

State Street Bank

110,~~085~~769,~~421~~892

(110,~~085~~769,~~421~~892

)

—

* As of September 30, 2015 and December 31, 2014, the value of the collateral pledged from the counterparty exceeded the value of the repurchase agreements. The value of the collateral pledged from the counterparty as of September 30, 2015 and December 31, 2014 was $1,210,493 and $1,113,007, respectively.


	December 31, 2015
	Counterparty		Short-Term Investments, at Value		Collateral Pledged (From) Counterparty*			Net Exposure
Repurchase Agreements		State Street Bank	$	1,088,249	$	(1,088,249	)	$	—

*	As of March 31, 2016 and December 31, 2015, the value of the collateral pledged from the counterparty exceeded the value of the repurchase agreements. The value of the collateral pledged from the counterparty as of March 31, 2016 and December 31, 2015 was $10,987,865 and $1,111,113, respectively.

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 Collateral Sub-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 Collateral Sub-adviser to be of comparable quality.

Investment Valuation

Commodity futures contracts and options on commodity futures contracts which are traded on an exchange are 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 which are not traded on an exchange are 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 determines a fair valuation for such investments that in its opinion is reflective of fair market value. These investments are generally classified as Level 2 or Level 3 depending on the priority of the significant inputs.

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

~~September 30~~March 31, ~~2015~~2016

2. Summary of Significant Accounting Policies (Continued)

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

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

Fair Value Measurements

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

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

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

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

The inputs or methodologies used for valuing securities are not an indication of the risks associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of ~~September 30~~March 31, ~~2015~~2016 and December 31, ~~2014~~2015:

September 30, 2015

March 31, 2016

Level 1

Level 2

Level 3

Total

Short-Term Investments:

U.S. Government and Agency Obligations

—

8571,~~555~~293,~~240~~332

—

8571,~~555~~293,~~240~~332

Repurchase Agreements

—

110,~~183~~769,~~578~~892

—

110,~~183~~769,~~578~~892

Investments in Derivatives:

Futures Contracts*

(1,~~258~~243,~~574~~222

)

—

(1,~~258~~243,~~574~~222

)

Call Options Written**

(~~438~~283,~~872~~004

)

(1886,~~254~~513

)

—

(~~457~~369,~~126~~517

)

Total

(1960,~~697,446~~218

)

8681,~~720~~976,~~564~~711

—

8582,~~023~~936,~~118~~929

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

~~September 30~~March 31, ~~2015~~2016

2. Summary of Significant Accounting Policies (Continued)

	December 31, 2014
	December 31, 2015
	Level 1			Level 2			Level 3		Total
Short-Term Investments:
U.S. Government and Agency Obligations	$	—		$	~~112~~70,~~651~~000,~~962~~297		$	—	$	~~112~~70,~~651~~000,~~962~~297
Repurchase Agreements		—			1,~~085~~088,~~421~~249			—		1,~~085~~088,~~421~~249
Investments in Derivatives:
Futures Contracts*		(10629,~~837,633~~490	)		—			—		(10629,~~837,633~~490	)
Call Options Written		(296,775	)		(132	)		—		(296,907	)
Call Options Written**		(350,916	)		(88,856	)		—		(439,772	)
Total	$	(11980,~~134,408~~406	)	$	~~113~~70,~~737~~999,~~251~~690		$	—	$	~~102~~70,~~602~~019,~~843~~284

*	Represents the net unrealized appreciation (depreciation) of futures contracts as reported on the Statements of Financial Condition.

**	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 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.

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

~~September 30~~March 31, ~~2015~~2016

2. Summary of Significant Accounting Policies (Continued)

Income Taxes

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

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

Expense Recognition

All expenses of the Fund are recognized on an accrual basis. The Fund pays all ~~routine and extraordinary~~ costs and expenses of its operations, ~~brokerage~~including 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.

In connection with the Conversion described previously, the Fund has incurred certain costs and expenses. Such amounts are recognized as a component of “Accrued ~~other~~conversion expenses” on the Statements of Financial Condition and “Conversion expenses” on the Statements of Operations, when applicable.

Calculation of Net Asset Value

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

Distributions

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

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

~~During~~Commitments ~~the nine months ended September 30, 2015, the Fund’s monthly per share distribution rate decreased from $0.130 to $0.103 effective with the distribution payable March 2, 2015~~ and ~~from~~Contingencies ~~$0.103 to $0.074 effective with the distribution payable August 3, 2015.~~

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

~~September 30~~March 31, ~~2015~~2016

2. Summary of Significant Accounting Policies (Continued)

~~Commitments~~ 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 ~~Contingencies~~believes the risk of loss to be remote.

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 ~~September 30~~March 31, ~~2015~~2016 and December 31, ~~2014~~2015, the financial instruments held by the Fund were traded on an exchange and are ~~standardized~~ 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.

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

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

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

~~September 30~~March 31, ~~2015~~2016

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 ~~September~~ March 3031, 2016 ~~2015~~ and December 31, ~~2014~~2015, the location of these instruments on the Statements of Financial Condition and the primary underlying risk exposure.

September 30, 2015

March 31, 2016 Location on the Statements of Financial Condition

Location on the Statements of Financial Condition

UnderlyingRisk Exposure

DerivativeInstrument

Asset Derivatives

Liability Derivatives

Location

Value

Location

Value

Commodity

Futures Contracts

Unrealized appreciation on futures contracts

~~802~~2,~~421~~027,253

Unrealized depreciation on futures contracts

2784,~~060,995~~031

Commodity

Options

—

~~Options~~Call options written, at value

~~457~~369,~~126~~517

Total

~~802~~2,~~421~~027,253

21,~~518~~153,~~121~~548

December 31, 2014

December 31, 2015 Location on the Statements of Financial Condition

Location on the Statements of Financial Condition

UnderlyingRisk Exposure

DerivativeInstrument

Asset Derivatives

Liability Derivatives

Location

Value

Location

Value

Commodity

Futures Contracts

Unrealized appreciation on futures contracts

~~633~~1,~~319~~629,675

Unrealized depreciation on futures contracts

112,~~470~~259,~~952~~165

Commodity

Options

—

~~Options~~Call options written, at value

~~296~~439,~~907~~772

Total

~~633~~1,~~319~~629,675

112,~~767~~698,~~859~~937

The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized on derivative instruments during the ~~nine~~three months ended ~~September~~March 3031, ~~2015~~2016 and ~~September~~March 3031, ~~2014~~2015, the location of these instruments on the Statements of Operations and the primary underlying risk exposure.

Commodity Risk Exposure	~~Nine~~Three Months Ended ~~September~~March 3031, ~~2015~~2016			~~Nine~~Three Months ~~EndedSeptember~~Ended 30March 31, ~~2014~~2015
Net realized gain (loss) from:
Futures contracts	$	(292,~~779~~621,~~957~~452	)	$	1(15,~~487~~565,~~968~~740	)
Options written		4,757,815			2,969,070
Call options written		1,198,143			1,834,913
Change in net unrealized appreciation (depreciation) of:
Futures contracts	$	91,~~579~~872,~~059~~712		$	~~(11~~8,~~352~~176,~~074~~470	)
Options written		(526,920	)		537,637
Call options written		(3,037	)		(178,288	)

4. Related Parties

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

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

~~September 30~~March 31, ~~2015~~2016

4. Related Parties (continued)

The Manager, the Commodity Sub-adviser and the Collateral Sub-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 into sub-advisory agreements with the Commodity Sub-adviser and the Collateral Sub-adviser. Both the Commodity Sub-adviser and the Collateral Sub-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.

~~Transactions~~On inMarch 6, 2014, the Fund reauthorized its share ~~repurchases~~repurchase ~~during~~program, pursuant to which it may repurchase up to 10% of its outstanding common shares as of the ~~nine~~reauthorization ~~months~~date ~~ended~~(approximately ~~September 30~~920,000 ~~2015~~shares) ~~and~~in ~~year~~open-market ~~ended~~transactions ~~December 31,~~at ~~2014,~~the ~~were~~Manager’s asdiscretion. ~~follows:~~

	Nine Months EndedSeptember 30, 2015		Year EndedDecember 31, 2014
Shares repurchased		—		159,900
Weighted average price per share repurchased		—	$	12.50
Weighted average discount per share repurchased		—		18.14	%

The Fund did not have any transactions in share repurchases during the three months ended March 31, 2016 and year ended December 31, 2015.

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, 2016 and March 31, 2015. 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.

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

~~September 30~~March 31, ~~2015~~2016

6. Financial Highlights (continued)

The following financial highlights relate to investment performance and operations for a Fund share outstanding during the three and nine months ended September 30, 2015 and the three and nine months ended September 30, 2014. The Net Asset Value presentation is calculated using average daily shares outstanding. The Ratios to Average Net Assets are calculated using average daily net assets and have been annualized for periods less than a full 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,
	2016			2015
Net Asset Value:
Net asset value per share—beginning of period	$	9.47		$	13.62
Net investment income (loss)		(0.04	)		(0.06	)
Net realized and unrealized gain (loss)		0.04			(0.63	)
Distributions		(0.17	)		(0.34	)

Net asset value per share—end of period	$	9.30		$	12.59

Market Value:
Market value per share—beginning of period	$	9.02		$	12.83

Market value per share—end of period	$	8.91		$	11.90

Ratios to Average Net Assets:^(a)
Net investment income (loss)		(1.96	)%		(1.97	)%

Expenses		2.24	%		2.06	%

Total Returns:^(b)
Based on Net Asset Value		0.09	%		(5.13	)%

Based on Market Value		0.77	%		(4.66	)%

	Three Months EndedSeptember 30,						Nine Months EndedSeptember 30,
	2015			2014			2015			2014
Net Asset Value:
Net asset value per share—beginning of period	$	12.76		$	18.40		$	13.62		$	18.15
Net investment income (loss)		(0.08	)		(0.07	)		(0.22	)		(0.23	)
Net realized and unrealized gain (loss)		(1.68	)		(1.88	)		(1.75	)		(0.69	)
Distributions		(0.22	)		(0.39	)		(0.87	)		(1.17	)
Net asset value per share—end of period	$	10.78		$	16.06		$	10.78		$	16.06
Market Value:
Market value per share—beginning of period	$	11.91		$	16.26		$	12.83		$	15.17
Market value per share—end of period	$	10.31		$	13.79		$	10.31		$	13.79
Ratios to Average Net Assets:(a)
Net investment income (loss)		(2.84	)%		(1.70	)%		(2.32	)%		(1.72	)%
Expenses		3.02	%		1.78	%		2.45	%		1.81	%
Total Returns:(b)
Based on Net Asset Value		(13.80	)%		(10.67	)%		(15.13	)%		(5.54	)%
Based on Market Value		(11.60	)%		(12.93	)%		(13.49	)%		(2.05	)%

(a)	Annualized.

(b)

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

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

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

This information should be read in conjunction with the financial statements and notes to financial statements included in Item 1 of Part I of this Quarterly Report (the “Report”). The discussion and analysis includes forward-looking statements that generally relate to future events or future performance. In some cases, you can identify forward-looking statements by terminology such as “may,” “will,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential” or the negative of these terms or other comparable terminology. These forward-looking statements are based on information currently available to Nuveen Commodities Asset Management, LLC (“NCAM” or the “Manager”), Gresham Investment Management LLC and its Near Term Active division (such division referred to herein as “Gresham” or the “Commodity Sub-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 Fund’s shares trade on the NYSE MKT under the ticker symbol “CFD”. The Fund’s investment objective is to generate higher risk-adjusted total return than leading commodity market benchmarks. In pursuing its investment objective, the Fund invests directly in a diversified portfolio of commodity futures and forward contracts to obtain broad exposure to all principal groups in the global commodity markets. The Fund is unleveraged, and the Fund’s commodity contract positions are fully collateralized with cash equivalents, U.S. government securities and other short-term, high-grade debt securities. The Fund writes commodity call options seeking to enhance the Fund’s risk-adjusted total return. The Manager focuses on the Bloomberg Commodity Index (“BCOM”) when evaluating the performance of the commodity futures, forwards, and options positions (the “commodity portfolio”) in the Fund’s portfolio.

Proposed Conversion to ETF Structure

On December 19, 2014, the Fund issued a press release announcing that the Manager had approved a plan to convert the Fund (the “Conversion”) into an open-ended ~~exchange-traded fund (“~~ETF”). On June 15 30, 2015, shareholders of the Fund approved amendments to the Fund’s Declaration of Trust that are necessary to complete the Conversion. To facilitate the Conversion, on July 9, 2015, the Fund filed a registration statement with the Securities and Exchange Commission (the “SEC”) to register common shares that may be issued from time to time after the Conversion. ~~The~~As ~~Conversion remains subject to the receipt~~ of ~~certain~~March ~~regulatory approvals. The Fund is not currently~~31, ~~and~~2016 ~~after~~ the Conversion ~~will~~remains ~~not~~subject ~~be,~~to ~~a mutual fund or any other type of investment company within~~ the ~~meaning~~receipt of ~~1940~~regulatory ~~Act~~approvals. ~~Until the Conversion occurs, the Fund will continue to operate as currently structured.~~

In connection with the Conversion, the Manager intends to implement a number of additional changes to the Fund that the Manager believes will better align a number of the Fund’s features with its newly-adopted ETF structure, including a reduction of the management fee, ~~adoption of an expense cap,~~ and changes to the Fund’s investment strategy, name, ~~distribution policy,~~ and ~~the exchange~~distribution ~~on which the Fund’s shares trade~~policy. None of these expected changes have been finalized, and they remain subject to further revision by the Manager. In addition, following the Conversion, the Manager will continue to have the ability, without shareholder approval, to make subsequent changes to the operation of the Fund.

On March 2, 2016, the Fund announced an update on the expected time frame for the Conversion. Assuming receipt of regulatory approvals, the Conversion is expected to be completed in the second quarter of 2016. The Conversion requires regulatory clearance, including the adoption of a new exchange rule pursuant to which the

Fund’s shares will trade following the Conversion. The Fund has been working with the NYSE MKT, which has initiated the rule making process for the new rule, which will ultimately require approval by the SEC. There can be no assurance that such clearance will be obtained, or if obtained, that the Conversion will be completed in the anticipated time frame.

Results of Operations

The Quarter Ended ~~September~~March 3031, ~~2015~~2016 – Fund Share Price

The Fund’s shares traded on on the NYSE MKT at a price of $108.3191 on the close of business on ~~September 30~~March 31, ~~2015,~~2016. This represents a decrease of 131.4322% in share price (not including an assumed reinvestment of distributions) from the $119.9102 price at which the shares of the Fund traded on the close of business on ~~June 30~~December 31, 2015. The high and low intra-day share prices for the quarter were $129.3016 (~~July 2~~March 21, ~~2015~~2016) and $97.2388 (~~August~~January 2420, ~~2015~~2016), respectively. During the quarter, the Fund declared distributions totaling $0.~~222~~174 per share to shareholders, of which $0.~~074~~058 was paid on ~~October~~April 1, ~~2015~~2016. 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 ~~-11~~ 0.6077%. At ~~September 30~~March 31, ~~2015~~2016, shares of the Fund traded at a 4.3619% discount to the Fund’s net asset value of $109.7830 per share.

The Quarter Ended ~~September~~March 3031, ~~2014~~2015 – Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $1311.7990 on the close of business on ~~September~~March 3031, ~~2014,~~2015. This represents a decrease of 157.1925% in share price (not including an assumed reinvestment of distributions) from the $1612.2683 price at which the shares of the Fund traded on the close of business on ~~June~~December 3031, 2014. The high and low intra-day share prices for the quarter were $1613.3000 (~~July~~January 3015, ~~2014~~2015) and $1311.4652 (~~September 26~~March 18, ~~2014~~2015), respectively. During the quarter, the Fund declared distributions totaling $0.~~390~~336 per share to shareholders, of which $0.~~130~~103 was paid on April ~~October~~ 1, ~~2014~~2015. 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 -124.9366%. At ~~September~~ 30March 31, ~~2014~~2015, shares of the Fund traded at a 14 5.1348% discount to the Fund’s net asset value of $1612.0659 per share.

The Quarter Ended ~~September~~ 30March 31, ~~2015~~2016 – Net Assets of the Fund

The Fund’s net assets decreased from $~~115~~85.5 6 million at ~~June 30~~December 31, 2015, to ~~approximately~~ $9784.5 1 million at ~~September 30~~March 31, ~~2015~~2016, a decrease of $181.0 5 million. The decrease in the Fund’s net assets was due to ~~a net loss of~~ $161.0 6 million, inof ~~addition~~distributions to ~~$2.0~~shareholders, ~~million~~offset ofby ~~distributions~~net toincome ~~shareholders~~of $0.1 million.

The Fund generated a net ~~loss~~income of $~~16.~~0 .1 million for the quarter ended ~~September~~March 3031, ~~2015~~2016, resulting from ~~net~~interest ~~realized~~income ~~losses~~ of $~~15.~~0 .1 million, and change in net unrealized ~~depreciation~~appreciation of $01.2 9 million, offset ~~and~~by ~~total~~ expenses of $0.85 million and net realized losses of $1.4 million.

During the quarter ended ~~September 30~~March 31, ~~2015~~2016, the Fund’s collateral investments generated interest income of $4757,~~524~~750, which represents 0.0507% of average net assets for the quarter ended ~~September 30~~March 31, ~~2015~~2016.

The net asset value per share on ~~September 30~~March 31, ~~2015~~2016, was $109.~~78,~~30. This represents a decrease of 151.5280% in net asset value per share (not including an assumed reinvestment of distributions) from the $129.76 47 net asset value per share as of ~~June~~ December 3031, 2015. During the quarter, the Fund declared distributions totaling $0.~~222~~174 per share to shareholders, of which $0.~~074~~058 was paid on ~~October~~ April 1, ~~2015~~2016. When an assumed reinvestment of these distributions is taken into account, the cumulative total return for the Fund on net asset value was ~~-13~~0.8009% for the quarter ended ~~September~~March 3031, ~~2015~~2016.

The Quarter Ended September 30, 2014 – Net Assets of the Fund

The Fund’s net assets decreased from $169.4 million at June 30, 2014, to $147.9 million at September 30, 2014, a decrease of $21.5 million. The decrease in the Fund’s net assets was due to a net loss of $17.9 million, in addition to approximately $3.6 million of distributions to shareholders.

The Fund generated a net loss of $17.9 million for the quarter ended September 30, 2014, resulting from net realized losses of $6.1 million, expenses of $0.7 million, and net unrealized depreciation of $11.1 million.

~~During~~The ~~the~~Quarter ~~quarter~~Ended ~~ended~~March ~~September 30~~31, ~~2014,~~2015 ~~the~~– ~~Fund’s~~Net ~~collateral~~Assets ~~investments generated interest income~~ of ~~$33,081 which represents 0.02% of average net assets for~~ the ~~quarter~~Fund ~~ended September 30, 2014.~~

The Fund’s net ~~asset~~assets ~~value~~decreased ~~per~~from ~~share~~$123.2 ~~on September~~million 30at December 31, 2014, ~~was~~to $16113.~~06,~~9 amillion ~~decrease~~at ofMarch ~~12.72%~~31, in2015, ~~net~~a ~~asset~~decrease ~~value (not including an assumed reinvestment~~ of ~~distributions) from the~~ $189.403 ~~net asset value as of June 30, 2014~~million. The decrease ~~Fund~~in ~~declared~~the ~~distributions~~Fund’s ~~totaling~~net ~~$0.390~~assets ~~per~~was ~~share during~~due ~~the~~to ~~quarter.~~a ~~When~~net anloss ~~assumed reinvestment~~ of ~~these~~$6.3 ~~distributions is taken into account~~million, ~~the~~in ~~cumulative~~addition ~~total~~to ~~return for the Fund on net asset value was -10~~$3.~~67%~~0 ~~for~~million ~~the~~of ~~quarter~~distributions ~~ended~~to ~~September 30, 2014~~shareholders.

The ~~Quarter~~Fund ~~Ended~~generated ~~September~~a 30net loss of $6.3 million for the quarter ended March 31, 2015, –resulting ~~Overall~~from change in net unrealized appreciation of $8.0 million, ~~Commodity~~offset ~~Market~~by ~~Commentary~~net realized losses of $13.7 million, and total expenses of $0.6 million.

~~Declines~~During ~~were widespread in~~ the ~~broad~~quarter ~~commodity~~ended ~~market~~March ~~during~~31, ~~the third quarter of~~ 2015, ~~with~~the ~~all~~Fund’s ~~six~~collateral ~~commodity~~investments ~~groups~~generated ininterest ~~the~~income ~~BCOM~~of ~~finishing~~$25,959, ~~the~~which ~~quarter~~represents ~~lower~~0.02% ~~Of all~~ of ~~the~~average ~~commodities~~net ~~represented~~assets infor the ~~BCOM,~~quarter ~~only~~ended ~~five~~March ~~didn’t post a loss in excess of 10%~~31, ~~and of those five only lean hogs had a positive return~~2015.

The ~~largest~~net ~~group~~asset byvalue ~~weight,~~per ~~energy~~share ~~commodities~~on ~~represented~~March ~~32.6%~~31, of2015, ~~the~~was ~~BCOM at the end of the period~~$12.59. ~~The~~This ~~energy~~represents ~~group~~a ~~led~~decrease ~~the~~of ~~BCOM’s decline, down 22~~7.456% ~~for~~in ~~the~~net ~~quarter.~~asset Anvalue ~~ongoing~~(not ~~supply~~including ~~glut,~~an ~~particularly~~assumed ~~for~~reinvestment ~~crude~~of ~~oil,~~distributions) ~~and~~from ~~global~~the ~~macroeconomic~~$13.62 ~~worries,~~net ~~especially~~asset invalue as ~~China~~of December 31, ~~weighed heavily on energy prices~~2014. The ~~finalization~~Fund ofdeclared ~~Iran’s~~distributions ~~nuclear~~totaling ~~deal,~~$0.336 ~~which~~per ~~lifts~~share ~~sanctions~~to onshareholders ~~oil exports,~~during ~~also~~the ~~disrupted~~quarter. ~~oil~~When ~~markets—even~~an ~~though~~assumed ~~Iranian~~reinvestment ~~exports~~of ~~aren’t~~these ~~expected~~distributions tois ~~impact~~taken ~~the~~into ~~global~~account, ~~oil~~the ~~supply~~cumulative ~~until~~total ~~2016.~~return ~~West~~for ~~Texas~~the ~~Intermediate~~Fund ~~(WTI)~~on ~~and~~net asset ~~Brent~~value ~~crude~~was ~~were the worst~~-~~performing~~5.13% ~~individual~~for ~~commodities in~~ the ~~BCOM,~~quarter ~~falling 27.4%~~ended ~~and~~March ~~26.3%~~31, ~~respectively~~2015.

~~Agricultural commodities, as grouped by Gresham, made up 23.1% of the BCOM at the end of the period.~~ The ~~agriculture~~ ~~group~~Quarter ~~sustained~~Ended ~~double-digit~~March ~~declines across all of its commodities~~31, ~~which~~2016 ~~resulted~~– inOverall aCommodity ~~14.1%~~Market ~~loss for the group overall. Abundant crop yields in South America, favorable growing conditions in the U.S. Midwest, and weak currencies in~~Commentary ~~Brazil and Argentina continued to put downward pressure on grain prices.~~

~~The~~After ~~precious~~a ~~metals~~volatile ~~group~~start, ~~which~~the isbroad ~~made~~commodity ~~up of gold and silver commodities~~market, ~~represented~~as ~~16.6%~~measured ofby the BCOM, atended ~~the~~with ~~end~~a ofslight ~~the~~gain ~~period.~~for ~~Precious~~the ~~metals~~first ~~prices~~quarter ~~were~~of ~~choppy~~2016. ~~over~~In early ~~the quarter~~January, ~~driven~~worldwide byfinancial ~~global~~market ~~macroeconomic~~turmoil ~~concerns,~~sent ~~fluctuating~~global ~~currencies~~equity and ~~the~~commodity Uprices tumbling.S. ~~Federal~~Risk ~~Reserve’s~~aversion ~~decision~~intensified toas ~~leave~~the ~~interest rates~~World ~~unchanged~~Bank atdowngraded its ~~September~~global ~~meeting.~~growth ~~The group fell 5.6% for the quarter. Platinum and palladium~~forecast, ~~which~~persistent ~~are~~global ~~held~~supply ingluts ~~the~~pushed ~~Fund’s~~crude ~~portfolio~~oil ~~but~~prices ~~not~~below in$30 per ~~the BCOM~~barrel, ~~also~~and ~~had~~concerns ~~negative~~about ~~performance~~how ~~over~~quickly the ~~quarter~~U.S. ~~Platinum~~Federal ~~prices~~Reserve ~~were~~(the ~~further roiled~~“Fed”) byintended ~~the~~to ~~Volkswagen~~raise ~~emissions~~short-term ~~scandal~~interest ~~in September~~rates. The ~~metal~~Bank isof ~~widely~~Japan ~~used~~added into ~~diesel~~the ~~engines,~~turmoil ~~and~~in the ~~auto~~markets ~~industry~~with ~~consumes~~its ~~roughly~~surprise ~~30%~~decision ofin ~~global~~January ~~supply.~~to ~~Investors~~join ~~feared~~Europe ~~shrinking~~in adopting ~~platinum~~a ~~demand~~negative ifinterest ~~consumers~~rate ~~switched to gasoline or electric vehicles~~policy.

~~The~~However, ~~commodities~~later in February, the ~~industrial~~commodity ~~metals~~market ~~group~~began ~~comprised~~to 15rebound.5% ofInvestor ~~the~~sentiment ~~BCOM~~improved atamid signals ~~the~~that ~~end~~fewer-than-expected ofFed ~~the~~rate ~~period.~~increases ~~Industrial~~were ~~metals continued~~likely ~~their~~in ~~decline~~2016 ~~due~~and tospeculation ~~concerns~~that ~~about~~members ~~China’s~~of ~~economy.~~the ~~Investors~~Organization ~~reacted~~of ~~negatively to~~ the ~~country’s~~Petroleum ~~unexpected~~Exporting ~~currency~~Countries ~~devaluation~~(OPEC) and ~~other~~Russia ~~policy~~might ~~measures~~agree ~~taken~~ to ~~try~~a toproduction ~~counteract~~freeze ~~its~~at ~~slackening~~an ~~growth.~~upcoming ~~Adding~~April tomeeting. With the ~~sector~~Fed’s ~~bearish~~more dovish tone, ~~were~~the ~~rumors~~U.S. ofdollar ~~inventory~~weakened ~~reductions~~appreciably ~~and/or~~relative ~~liquidations~~to ~~following~~major ~~the~~world ~~collapse~~currencies, ofincluding ~~Swiss~~those ~~mining~~of ~~giant~~emerging ~~Glencore~~markets, ~~PLC’s~~which ~~stock~~provided ~~price.~~an ~~The~~additional ~~industrial~~tailwind ~~metals~~to ~~group~~commodity ~~sank 11~~prices.1% ~~for the quarter.~~

~~Foods~~Weather ~~and~~continued ~~fibers~~to influence commodities, as ~~grouped~~El byNiño-induced ~~Gresham,~~droughts ~~made~~bolstered upsoybean aoil ~~combined~~and ~~7.4%~~sugar ofprices, ~~the~~in ~~BCOM~~particular, atduring the ~~end~~quarter. However, of the ~~period.~~El ~~For~~Niño ~~most~~pattern ofis ~~the~~now ~~quarter,~~waning ~~sugar~~and ~~prices declined~~investors ~~due~~are tomonitoring ~~favorable~~forecasts ~~weather~~for ina ~~Brazil,~~2016 ~~one~~La ofNiña ~~the~~weather ~~main sugar producers~~phenomenon, ~~boosting~~which ~~supply~~produces ~~expectations and~~ the ~~weak~~opposite ~~Brazilian real~~effects. ~~Coffee~~Additionally ~~prices~~during ~~were~~the ~~also~~quarter, ~~hurt~~terrorist byattacks ~~the~~at ~~real~~Belgium’s ~~weakness~~Brussels airport and atransit ~~supply~~system, ~~increase~~an ~~due~~Ivory toCoast ~~timely~~beach ~~rainfall~~and ina ~~Brazil. Cotton~~Nigerian ~~futures~~oil ~~also~~pipeline ~~declined~~disrupted ~~over~~financial ~~the quarter~~markets, ~~contributing~~although tothe aimpact ~~7.6%~~on ~~drop~~commodity ~~for~~markets ~~the~~of ~~foods~~these ~~and~~attacks ~~fibers~~was ~~group overall~~temporary.

The ~~livestock~~fundamental ~~group~~outlook for many commodities continued to be challenging. Notably, atcrude oil, natural gas, corn, copper and nickel remained in oversupply conditions, which pressured prices for those 4commodities during the quarter.8 The BCOM as a whole gained 0.4% for the quarter, buoyed by a double-digit return in gold. As gold reasserted its role as a favored “safe haven” asset in times of uncertainty, the ~~BCOM~~precious atmetals group was by far the ~~end~~best-performing ofsector, rising 15.2% for the ~~period~~quarter. In contrast, isdespite a March rally, the ~~smallest~~energy group. ~~Lean~~stayed ~~hogs~~in ~~prices~~negative ~~rallied~~territory 13for the quarter overall, down 9.4%, and ~~were~~was the ~~only~~weakest ~~commodity~~performer in the BCOM. toReturns ~~post~~in afoods ~~gain~~and fibers, inas ~~the~~grouped ~~third~~by ~~quarter~~Gresham, were down 1.1%, ~~Hot~~livestock ~~summer~~was ~~weather~~ up 1.1%, agriculture was up 1.4%, and industrial metals posted a gain of 2.2%.

~~stifled~~The ~~weight~~Quarter ~~gain~~Ended inMarch ~~pigs~~31, ~~and~~2015 ~~U.S.~~– ~~retail~~Overall ~~demand~~Commodity ~~was~~Market ~~strong~~Commentary as pork continued to be cheaper than beef. However, live cattle prices fell 14.6%, as beef’s supply-demand imbalance persisted amid reports of higher carcass weights, price competition from pork, and a strong dollar, which slowed exports and encouraged imports. The overall livestock group was down 5.4% for the quarter.

The ~~Quarter~~broad ~~Ended~~commodity ~~September~~market, 30as measured by the BCOM, ~~2014~~fell –5.9% ~~Overall~~for ~~Commodity~~the ~~Market~~three-month ~~Commentary~~period, with all commodity groups except precious metals ending the period lower.

The ~~BCOM~~largest ~~declined~~group 11by weight, energy commodities represented 33.82% ~~during~~of the ~~quarter,~~BCOM asat athe ~~strengthening~~end Uof the period.S. ~~dollar~~All ~~and~~energy ~~unfavorable~~commodities except ~~supply-demand~~unleaded ~~dynamics~~gasoline ~~led~~traded tolower ~~widespread losses~~over inthe ~~commodity~~period, ~~contracts~~collectively ~~during~~down ~~the~~8.2%. ~~third~~Crude ~~quarter~~oil ofcontinued ~~2014.~~to ~~Anticipation~~reel offrom the ~~U.S.~~OPEC ~~Federal~~decision ~~Reserve’s~~at ~~first~~year-end ~~rate~~to ~~hike~~maintain ~~prompted~~production alevels ~~rally~~despite infalling ~~the~~prices, ~~dollar.~~as ~~Because~~well ~~most~~as ~~commodities~~expectations ~~are~~for ~~priced~~weakening inglobal ~~dollars,~~demand amid a ~~stronger~~strong U.S. dollar ~~makes~~and ~~commodities~~weak ~~more expensive,~~economic ~~which~~data ~~softens~~in ~~demand~~China and ~~puts~~Europe. ~~downward~~Natural ~~pressure~~gas ~~on commodity~~ prices. Atalso ~~the~~suffered ~~same~~amid ~~time,~~plentiful ~~China~~supply ~~announced~~as ~~some~~a ~~disappointing~~result ~~economic~~of ~~data~~record production and ~~another~~softer ~~stimulus~~demand ~~measure,~~expectations ~~prompting~~driven ~~concerns~~by ~~about~~mild ~~weakening~~weather ~~global~~forecasts. ~~demand~~Unleaded ~~for~~gas ~~raw~~and ~~materials.~~heating ~~Additionally~~oil fared slightly better, ~~energy~~as ~~and~~a ~~grain~~U.S. ~~commodities~~refinery ~~began~~strike toin ~~report~~February ~~oversupply,~~and ~~which~~cold ~~weighed~~weather onhampered refining capacity. Lower gas prices also bolstered consumer demand in the U.S., China and India.

InAgricultural ~~this~~commodities, ~~environment~~as grouped by Gresham, ~~all~~made ~~six~~up ~~commodity~~21.9% ~~groups in~~of the BCOM, asat ~~grouped~~the byend ~~Gresham,~~of ~~ended~~ the ~~quarter lower~~period. ~~Livestock~~The ~~and~~group ~~industrial~~fell ~~metals~~7.5% ~~posted~~over the ~~smallest declines~~period, ~~while~~with all agriculture ~~was~~commodities ~~the~~declining. ~~weakest~~Wheat ~~performer~~fell 12.6% ~~Only~~and ~~four~~was ~~individual~~the ~~commodities~~weakest performer in the ~~BCOM~~group, ~~had~~dragged ~~positive~~down ~~returns~~by ~~during~~its sensitivity to the ~~quarter:~~ ~~Arabica~~strong ~~coffee~~U.S. dollar, ~~live~~which ~~cattle,~~makes ~~zinc,~~foreign crop prices cheaper in comparison. Corn prices fell 7.2% on news that U.S. stockpiles and ~~aluminum~~spring planting estimates were larger than analysts expected.

The ~~largest~~commodities ~~group~~in bythe ~~weight,~~industrial ~~energy~~metals ~~commodities~~group ~~represented~~comprised 3116.7% of the BCOM at the end of the ~~quarter~~period. ~~With~~Concerns about ~~all~~China’s ~~energy~~economic ~~commodities~~slowdown ~~falling~~and ~~during~~ the ~~quarter,~~rallying ~~the group declined 12~~U.1%S. ~~Crude oil suffered a double-digit loss as the~~ dollar ~~gained,~~continued ~~demand~~to ~~from~~hamper ~~Europe and China slowed, and~~ the ~~Organization of the Petroleum Exporting Countries (OPEC) increased production amid booming North American shale oil production. Natural gas prices were dampened by ample storage injections~~sector, ~~less~~which ~~cooling~~ended ~~demand for~~ the ~~summer,~~period ~~and~~down ~~moderate fall weather forecasts~~5.3%.

~~Agricultural~~The precious ~~commodities,~~metals asgroup ~~grouped~~represented ~~by Gresham, made up 18~~16.65% of the BCOM at the end of the ~~quarter~~period. ~~The~~Gold ~~group~~prices ~~had~~were ~~the~~volatile, ~~biggest~~topping ~~losses~~$1,300 per ounce in ~~the~~January, ~~BCOM~~then falling below $1,150 ~~down 21.7%.~~in ~~Corn~~mid-March, ~~prices~~and ~~dropped~~advancing in the final weeks of the period to aend ~~five-year~~close ~~low~~to where onthey ~~expectations~~started. Silver, however, was one of athe ~~record~~few ~~U.S.~~commodities ~~crop~~in ~~yield~~the BCOM with a ~~high~~positive ~~percentage~~return offor ~~crops~~the ~~rated~~period. ~~good~~As orwith ~~excellent.~~gold, ~~Abundant~~silver ~~supply~~prices rose early in the period, and ~~favorable~~a ~~crop~~short-covering ~~ratings~~rally ~~dragged~~in ~~soybean~~March in which traders drove prices higher as they bought back contracts to acover ~~four-year~~open ~~low~~short positions, which helped silver rise 6.1% for the period.

~~The~~Foods and fibers commodities, inas grouped ~~the~~by ~~industrial~~Gresham, ~~metals~~made ~~group~~up ~~comprised~~a 18combined 6.07% of the BCOM at the end of the ~~quarter~~period. ~~Performance~~Sugar ~~was~~and ~~mixed~~Arabica ~~among~~coffee, ~~the~~which ~~individual commodities.~~are ~~Reduced~~predominantly ~~stockpiles~~produced ofin ~~aluminum~~Brazil, ~~and~~experienced ~~zinc~~sharp ~~helped~~sell-offs ~~their~~as ~~prices~~growing ~~rally~~conditions ~~early~~were expected to improve with favorable weather forecasts and as weakness in the ~~quarter.~~Brazilian ~~However~~currency encourages exports, ~~those~~which ~~gains~~could ~~were~~further ~~tempered~~contribute byto ~~losses~~global insupply ~~nickel~~gluts. ~~and~~Cocoa ~~copper~~futures, which ~~saw~~the ~~tumbling~~Fund ~~prices~~holds onbut ~~concerns~~the ~~about~~BCOM ~~languishing~~does not, also lost value amid waning chocolate demand, ~~from~~especially ~~China.~~in the ~~Overall~~emerging markets, and an expected bumper crop in the ~~industrial~~Ivory ~~metals~~Coast. ~~group~~In ~~declined~~contrast, 4cotton prices rallied on the back of strong U.1%S. ~~for~~export sales and lower expected plantings in the ~~quarter~~U.S.

~~Gold~~Livestock ~~and~~is ~~silver~~the ~~collectively~~smallest ~~represented~~group, 15comprising 5.81% of the BCOM at the end of the quarter. ~~Not~~Lean ~~included~~hogs were the worst-performing contract in the BCOM, ~~are~~plunging ~~platinum~~23.7% ~~and~~during ~~palladium,~~the ~~which~~quarter. ~~are~~Supply ~~held~~continued into outpace ~~the~~demand ~~Fund’s~~for ~~commodity~~several ~~portfolio~~reasons. ~~All~~U.S. ~~four~~exports ~~precious~~slackened, ~~metals~~due ~~commodities~~to ~~declined~~the ~~during~~stronger ~~the~~U.S. ~~quarter,~~dollar asand a ~~strengthening~~port ~~dollar~~strike ~~sapped~~in ~~demand~~California that created a bottleneck for ~~these~~sales ~~commodities as~~to Asia. Meanwhile, a ~~hedge~~seasonal ~~against~~increase ~~dollar~~in ~~weakness.~~a ~~The~~fatal ~~BCOM’s~~pig ~~precious~~virus ~~metals~~did ~~group~~not ~~lost~~materialize ~~11.3%~~as expected, ~~during~~and ~~the~~cheaper ~~quarter~~feed costs resulting from weaker grain prices continued to encourage farmers to bulk up their hogs.

~~Foods and fibers commodities, as grouped by Gresham, made up a combined 9.6% of the BCOM at the end of the quarter.~~ The ~~foods~~Quarter ~~and~~Ended ~~fibers~~March ~~group tumbled 9.6% during the quarter~~31, ~~with~~2016 ~~cotton~~– ~~and~~Fund ~~sugar~~Commodity ~~prices~~Portfolio ~~falling~~Commentary but Arabica coffee rallying. Arabica supply continued to shrink as crops were damaged by heat and drought in Brazil, the world’s leading Arabica producer, and by a coffee-plant fungus in Central America.

~~Livestock~~The isFund’s ~~the~~commodity ~~smallest~~portfolio ~~group,~~was ~~comprising~~up 60.46% offor the ~~BCOM~~three-month atperiod, before considering the ~~end~~expenses of the ~~quarter.~~Fund ~~Live~~or ~~cattle~~the ~~prices~~performance ~~appreciated~~of ~~on concerns about smaller herd~~its ~~sizes~~collateral ~~and~~portfolio. ~~underweight~~The ~~cows.~~overall Incommodities ~~contrast~~market, ~~lean~~as ~~hogs~~measured ~~prices~~by ~~were~~the ~~choppy~~BCOM, ~~ending~~rose ~~the~~0.4%. ~~quarter~~The ~~lower.~~Fund’s ~~Producers~~total ~~were~~return ~~able~~on tonet ~~offset~~asset ~~shortages~~value byfor ~~bulking~~the upsame ~~hogs~~period, aswhich ~~lower~~includes ~~grain prices this year have reduced~~ the ~~cost~~effect of ~~feed.~~the AsFund’s aexpenses ~~result,~~and ~~lean~~the ~~hog~~performance ~~supply~~of the ~~was~~collateral ~~larger than expected~~portfolio, ~~causing~~and ~~prices~~assumes toreinvestment ~~fall.~~of ~~The~~the ~~BCOM~~Fund’s ~~livestock~~distributions, ~~group~~was ~~fell 2~~0.209% ~~during the quarter~~.

The ~~Quarter~~Fund ~~Ended~~writes ~~September~~– 30that is, ~~2015~~ 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 ~~Commodity~~distributions. ~~Portfolio~~Gresham ~~Commentary~~generally sells exchange-traded commodity call options on up to 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.

~~The~~During the quarter the Fund’s ~~commodity~~option-writing ~~portfolio~~activity ~~was~~added ~~down~~to ~~13.3%~~performance for the ~~quarter,~~period. ~~before~~Although ~~considering~~premiums ~~the~~collected ~~expenses~~on ofcall ~~the~~options ~~Fund.~~helped ~~The~~manage ~~overall~~the ~~commodities~~Fund’s ~~market~~volatility, as measured by the ~~BCOM~~standard deviation of return, ~~declined~~for ~~14.5%.~~the ~~The~~quarter the Fund’s ~~total~~standard ~~return~~deviation onwas ~~net~~slightly ~~asset~~higher ~~value~~than ~~for~~ the ~~same~~BCOM’s. ~~period,~~Commodity ~~which~~prices ~~includes~~were especially volatile at the ~~effect~~beginning of the period, and the Fund’s ~~expenses~~held ~~and~~higher weightings than the ~~performance~~BCOM in some of the ~~collateral~~more ~~portfolio~~volatile commodities, such as crude oil and industrial ~~assumes~~metals, ~~reinvestment~~which ofresulted in the Fund’s ~~distributions,~~standard ~~was~~deviation ~~-13~~for the quarter being slightly higher than the BCOM’s.~~80%.~~

~~The~~At ~~Fund~~the commodity ~~writes~~group ~~– that is~~level, ~~sells~~the –largest ~~covered~~contributor ~~call~~to ~~options~~the ~~on its portfolio~~Fund’s ~~commodity~~outperformance ~~futures,~~relative ~~seeking~~ to ~~limit~~the ~~return~~BCOM ~~volatility,~~was ~~and~~the ~~to provide~~energy ~~cash~~group, ~~flow~~with tosmaller ~~support~~relative ~~the~~gains ~~Fund’s~~provided ~~distributions.~~by ~~Gresham~~the ~~sells~~industrial ~~exchange-traded~~metals ~~commodity~~group. ~~call~~The ~~options~~precious onmetals upgroup towas ~~50%~~the ofchief detractor from the ~~value~~Fund’s ofrelative ~~each~~performance, ofwhile the Fund’s ~~commodity~~agriculture, ~~futures contracts~~livestock, ~~when~~and ~~those~~foods ~~options~~and ~~are~~fibers ~~deemed~~positions tohad ~~have~~a ~~sufficient trading~~neutral ~~volume~~or ~~and~~slightly ~~liquidity~~negative impact on relative returns. ~~The~~Also, in early January, the Fund’s ~~receives~~target ~~cash~~weights ~~premiums~~were inrebalanced. No ~~return~~commodities were added to or removed from the portfolio.

~~During~~Within the ~~quarter~~energy group, the Fund’s ~~sold~~outperformance ~~options~~relative onto ~~approximately~~the ~~50%~~BCOM ofwas ~~the~~mainly ~~value~~driven ofby ~~each~~its ~~commodity~~underweight ~~position~~in natural gas. ~~Overall,~~Natural ~~the~~gas ~~Fund’s~~was ~~option~~the weakest-~~writing~~performing ~~activity~~commodity ~~contributed~~in ~~positively~~the toenergy ~~performance~~group ~~for~~and the ~~period~~BCOM overall, as prices continued to be pressured by unseasonal warm weather, ample storage and ~~helped~~high ~~reduce~~production ~~the~~levels. The Fund also benefited from its position in crude oil, which outpaced the BCOM’s ~~volatility~~position. ~~versus~~Early in the ~~BCOM~~year, ascrude ~~measured~~oil byprices ~~the~~continued ~~standard~~to ~~deviation~~decline ofon oversupply concerns and global macroeconomic woes but recovered beginning in late February amid ~~return~~evidence of slowing U.S. ~~Call~~production ~~options~~levels ~~written~~and anticipation that key producers might agree to a production freeze at an April meeting in Doha, Qatar. The Fund sold call options on ~~all~~crude ofoil and unleaded gasoline that went in-the-money as prices for these commodities rose later in the quarter, and the options contracts were exercised. This reduced the Fund’s ~~commodity~~participation ~~positions~~in ~~expired~~the ~~out~~petroleum ofcomplex ~~the~~rally. ~~money~~However, ~~enabling~~the heightened price volatility in WTI crude oil contracts during the quarter helped the Fund togain ~~retain~~higher ~~all~~premiums ofon options sold on those ~~premiums~~contracts, which improved performance.

AtIn industrial metals, the ~~commodity~~Fund’s overweight ~~group~~position ~~level,~~was ~~the~~advantageous to relative returns. The Fund’s ~~positions~~underweight in ~~agriculture~~zinc, ~~industrial~~which ~~metals,~~rallied ~~energy~~in ~~and~~the ~~livestock~~broad ~~contributed~~market toon expectations of tightening supplies, slightly hurt relative performance, ~~foods~~but ~~and~~was ~~fibers~~more ~~had~~than offset by a ~~neutral~~positive contribution ~~impact,~~from ~~and~~the ~~precious metals~~Fund’s ~~detracted~~overweight ~~from~~copper ~~returns~~position. ~~relative~~Copper toprices declined early in the ~~BCOM,~~quarter ason ~~highlighted~~oversupply ~~below~~fears but weakness in the U.S. dollar later in the quarter helped prices rebound.

The ~~agriculture~~precious metals group ~~added~~was the ~~most~~main todetractor ~~the~~from ~~Fund’s~~ relative ~~returns~~ performance during the quarter. ~~The~~During ~~Fund’s~~the ~~underweight to agricultural commodities as well as outperformance in its soybean~~quarter, ~~wheat~~gold and ~~soybean~~silver ~~oil~~benefited ~~positions were beneficial. Relative gains in the industrial metals group came~~ from ~~the Fund’s~~robust ~~larger~~investor ~~and~~demand ~~more~~due ~~diversified~~to ~~position.~~being ~~The~~perceived ~~Fund~~as ~~includes~~“safe ~~London~~haven” ~~Metal Exchange (LME) copper and lead~~assets, ~~which~~as ~~are~~well ~~not~~as ~~represented~~weakness in the ~~BCOM~~U.S. ~~Although~~dollar. ~~both~~The ofFund ~~these~~held ~~contracts had negative performance for the quarter, they were among the better-performing commodities on~~ a ~~relative~~lower ~~basis~~weighting ~~to the BCOM as their losses were smaller~~ than the BCOM’s ~~overall~~in ~~decline. In~~ the ~~energy~~ group, ~~the~~which ~~Fund’s~~dampened relative ~~results~~returns. ~~were~~Additionally, ~~boosted~~gold byoptions ~~its~~written ~~underweight in natural gas and~~ by ~~its options~~the ~~strategy.~~Fund ~~When~~went ~~volatility spiked~~ in ~~September,~~ -the-money ~~Fund~~and ~~collected~~were ~~higher~~exercised ~~premiums~~in ~~on the crude oil options it wrote~~March, ~~which~~keeping ~~was~~the ~~advantageous~~Fund tofrom ~~performance.~~fully ~~Driving~~participating ~~relative outperformance~~ in ~~the livestock group was the Fund~~gold’s ~~overweight~~price toappreciation ~~lean hogs,~~during the ~~top-performing commodity in both the Fund and the BCOM for the~~ quarter.

~~Performance~~In in the ~~foods~~agriculture ~~and fibers~~ group, ~~was mixed. While~~ the Fund’s ~~exposure~~underweight toin ~~sugar~~soybean ~~(New~~oil ~~York-traded)~~detracted ~~was~~from ~~detrimental to~~ relative performance,. ~~the~~El ~~loss~~Niño-induced ~~was~~drought ~~offset~~continued byto ~~small~~hurt ~~relative~~palm ~~gains~~oil ~~across~~crops, ~~the~~driving ~~Fund’s~~prices ~~cotton~~higher across all vegetable oils, ~~coffee~~including ~~and~~soybean ~~cocoa~~oil. ~~(cocoa~~In isaddition, ~~not~~a ~~represented~~portion inof the ~~BCOM)~~soybean ~~positions.~~oil ~~The~~options ~~precious metals~~contracts ~~group,~~sold ~~however,~~by ~~was~~the aFund ~~meaningful~~were ~~detractor~~exercised ~~over~~during the quarter. ~~The~~when ~~Fund’s~~prices ~~underweight~~were ~~allocations~~rising, towhich ~~gold~~limited ~~and~~the ~~silver~~Fund’s ~~were~~full ~~unfavorable~~participation toin ~~relative~~the ~~returns~~rally. ~~Although~~However, ~~both~~a positive ~~gold~~contribution ~~and~~from ~~silver~~an underweight in corn, which saw falling prices ~~over~~due ~~the~~to ~~period~~oversupply concerns, ~~their~~helped ~~single-digit losses~~to ~~placed~~partially ~~them~~mitigate ~~among~~those ~~the~~relative ~~better-performing commodities~~losses.

The ~~Quarter~~livestock ~~Ended September~~group ~~30,~~also ~~2014~~delivered –mixed results for the quarter. The Fund’s ~~Commodity~~greater ~~Portfolio~~exposure ~~Commentary~~to live cattle and feeder cattle dampened relative performance, as herd rebuilding in the U.S. and weakening beef demand weighed

The Fund’s commodity portfolio declined 10.3% for the quarter ended September 30, 2014, before considering the expenses of the Fund. The overall commodities market, as measured by the BCOM, lost 11.8% 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 -10.67%.

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 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~~ on ~~the~~prices. ~~quarter~~Conversely, the Fund ~~sold options on approximately 50% of the value of each commodity position. The Fund~~’s ~~option-writing~~lean ~~activity~~hogs ~~contributed~~exposure ~~positively~~added to relative performance. ~~for~~Lean ~~the~~hogs ~~quarter~~prices ~~and~~rose ~~helped~~during ~~reduce~~ the ~~Fund’s~~quarter ~~volatility,~~due asto ~~measured~~supply bydisruptions ~~the~~and ~~standard~~stronger ~~deviation~~demand. ~~of return~~However, ~~versus~~lean ~~the~~hogs call ~~BCOM. Call~~ options ~~written~~sold onby the Fund’s ~~lean hogs~~went ~~position~~in-the-money and onwere ~~all energy~~exercised, ~~agriculture,~~tempering ~~precious metals, and foods and fibers positions expired out of~~ the ~~money, enabling the~~ Fund’s togain ~~retain~~from ~~all~~the ofprice ~~those premiums~~increase.

AtIn ~~the~~foods ~~commodity~~and fibers ~~group~~commodities, ~~level~~as grouped by Gresham, the Fund’s ~~commodity~~positions ~~portfolio~~in ~~bested~~sugar and white sugar aided relative performance, while its cocoa position was detrimental. White sugar and cocoa are not represented in the BCOM. Sugar rallied on anexpectations of ~~absolute~~a ~~basis~~global production deficit, rising demand for sugar-based ethanol, and favorable currency movements. However, the performance of the Fund’s sugar position was slightly diminished by the exercise of a portion of the Fund’s call options position in ~~all~~February. ~~six~~Cocoa ~~groups~~performed poorly amid aggressive selling by investors holding long positions and concerns about waning global demand for chocolate.

~~In the energy group, the Fund and the BCOM performed nearly in line with each other.~~ The ~~Fund’s~~Quarter ~~strategic~~Ended ~~weighting~~March ~~decisions~~31, in2015 ~~regards~~– ~~to crude oil resulted in negative performance relative to the BCOM due to the~~ Fund’s ~~higher~~Commodity ~~weight.~~Portfolio ~~However,~~Commentary ~~the Fund benefited from collecting the full option premiums on its energy options contracts, all of which expired without being exercised.~~

The Fund’s ~~outperformance~~commodity inportfolio ~~the~~declined ~~agriculture~~4.7% ~~group~~for ~~was~~the ~~driven~~three-month byperiod, abefore ~~lower~~considering ~~weighting~~the inexpenses of the ~~group~~Fund. The overall commodities market, ~~and~~as ~~particularly~~measured inby ~~corn~~the BCOM, aswas ~~well~~down as5.9%. ~~favorable~~The ~~contract~~Fund’s ~~selection~~total inreturn ~~corn.~~on ~~Additionally,~~net ~~all~~asset value for the same period, which includes the effect of the Fund’s ~~option~~expenses ~~positions~~and ~~expired~~the ~~out~~performance of the ~~money,~~collateral ~~enabling~~portfolio ~~the~~and ~~Fund~~assumes toreinvestment ~~retain~~of the ~~full~~Fund’s ~~premiums~~distributions, ~~from~~was ~~selling those options~~-5.13%.

The Fund writes–that is, sells–covered call options on its portfolio’s ~~industrial~~commodity ~~metals~~futures, ~~position~~seeking ~~declined~~to ~~slightly~~limit ~~less~~return ~~than~~volatility, and to provide cash flow to support the ~~BCOM~~Fund’s ~~position~~ distributions. ~~The~~Gresham ~~Fund~~sells ~~captured~~exchange-traded ~~less~~commodity call options on up to 50% of the ~~rally~~value inof ~~aluminum~~each ~~and~~of ~~zinc~~the ~~due~~Fund’s tocommodity futures contracts, when those options onare ~~these~~deemed ~~commodities~~to ~~being~~have ~~exercised.~~sufficient ~~However,~~trading ~~relative~~volume ~~losses~~and ~~were~~liquidity. ~~offset~~The byFund ~~the~~receives ~~Fund’s~~cash ~~outperformance~~premiums in ~~copper~~return.

~~The~~During the quarter, the Fund’s ~~lower~~sold ~~weight~~options inon ~~precious~~approximately ~~metals~~50% ~~helped~~of the value of each commodity position. Overall, the Fund’s ~~post~~option-writing aactivity ~~smaller~~contributed ~~decline~~positively to performance for the ~~quarter. The~~period and helped reduce the Fund’s ~~option~~volatility ~~strategy~~versus ~~had~~the aBCOM, ~~positive~~as ~~impact~~measured by the standard deviation of return. Call options written on ~~performance~~the asFund’s agriculture, ~~well~~foods and fibers, asand ~~all~~livestock positions expired out of the ~~precious~~money, ~~metals~~helping ~~options~~the ~~expired~~Fund’s ~~without~~comparative ~~being~~performance ~~exercised~~against the BCOM.

OnAt ~~an absolute basis,~~ the ~~Fund’s~~commodity ~~foods~~group ~~and fibers position slightly outperformed the BCOM’s. However~~level, ~~when the Fund’s strategic weighting decisions are taken into account, these resulted in negative performance~~ relative to the BCOM, ~~due in part to~~ the Fund’s ~~smaller~~commodity ~~Arabica~~portfolio ~~coffee~~benefited ~~position~~from ~~was~~energy, ~~disadvantageous~~agriculture, ~~during~~foods ~~the~~and ~~quarter’s~~fibers, ~~price~~and ~~rally.~~industrial ~~Contributing~~metals, ~~positively~~while toprecious ~~performance~~metals ~~was~~detracted ~~the Fund’s options strategy, as all~~from ~~foods~~relative performance and ~~fibers~~livestock ~~options~~had ~~expired~~a ~~out~~neutral ~~of the money and were not exercised~~impact.

In the ~~livestock~~energy group, the Fund was down 6.7% versus the BCOM’s 8.2% drop. The Fund’s natural gas position drove relative outperformance in the energy group. The Fund benefited from a lower weighting in natural gas, the higher ~~weight~~premiums collected from writing natural gas options in ~~live cattle~~a ~~contracts~~higher volatility environment, ~~superior~~and favorable contract selection. inHowever, ~~lean~~relative ~~hogs~~gains were somewhat tempered by crude oil, ~~and~~heating ~~lean~~oil, ~~hogs~~and gasoline options that ~~expired~~went ~~out~~in of the money ~~helped~~and ~~the~~were ~~Fund~~exercised ~~outperform~~during the ~~BCOM~~period. AHeightened ~~position~~price volatility in ~~feeder~~heating ~~cattle,~~oil ~~which~~and ~~rallied~~gasoline ~~during~~futures also helped the ~~quarter~~Fund ~~but~~gain ~~isn’t~~larger ~~represented~~premiums inon ~~the BCOM,~~options ~~was~~sold ~~also~~on ~~advantageous~~those tocontracts, ~~the~~which ~~Fund’s~~was ~~relative~~additive to performance.

The ~~Nine~~Fund’s ~~Months~~agriculture position ~~Ended~~lost ~~September~~5.3%, 30while the BCOM’s tumbled 7.5%. The Fund’s overall underweight in the group, ~~2015~~and –particularly in corn and wheat, helped relative performance. Additionally, all of the Fund’s ~~Share~~agriculture ~~Price~~options expired out of the money, further improving the Fund’s performance relative to the BCOM.

~~The~~In ~~Fund’s~~the ~~shares~~industrial ~~traded~~metals ongroup, the ~~NYSE~~Fund ~~MKT~~declined ~~at a price of $10~~4.315% onand the BCOM ~~close~~lost ~~of business on September 30, 2015, a decrease of 19~~5.643% ~~in share price (not including an assumed reinvestment of distributions) from the $12~~.83 ~~price~~Copper atcontributed ~~which~~ the ~~shares~~most ofto the Fund’s ~~traded~~better onrelative ~~the~~performance ~~close~~in ofthe ~~business on December 31, 2014~~sector. The ~~high~~Fund’s ~~and~~more ~~low~~diversified ~~intra-day~~copper ~~share~~position, ~~prices~~comprised ~~for~~of ~~the~~both ~~nine~~LME ~~month period were $13.00 (January 15, 2015)~~ and ~~$9.23~~COMEX ~~(August 24~~contracts, ~~2015),~~outperformed ~~respectively. During~~ the ~~nine~~Index’s ~~month~~copper ~~period~~position, which ~~the~~only ~~Fund~~has ~~declared~~COMEX ~~distributions totaling $0~~exposure.~~867~~ ~~per share to shareholders~~However, ~~of which $0.074 was paid on October 1, 2015. The remainder was paid during~~ the ~~period. The~~ Fund’s ~~cumulative total return on market value for the nine month period, which assumes reinvestment of such distributions,~~ was ~~-13.49%.~~hurt Atby ~~September~~aluminum ~~30,~~options ~~2015,~~that ~~shares~~went ofin the ~~Fund~~money ~~traded~~during ~~at a 4.36% discount to~~ the ~~Fund’s~~quarter ~~net asset~~and ~~value~~were ofexercised ~~$10~~against it.~~78.~~

The Nine Months Ended September 30, 2014 – Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $13.79 on the close of business on September 30, 2014, a decrease of 9.10% in share price (not including an assumed reinvestment of distributions) from the

~~$15.17~~The ~~price~~Fund’s atprecious ~~which~~metals ~~the~~position ~~shares~~was ofup ~~the~~0.8%, ~~Fund~~trailing ~~traded on~~ the ~~close~~BCOM’s ~~of business on December 31, 2013~~1.3% ~~The~~return ~~high and low intra-day share prices~~ for the ~~nine month period were $16~~group.~~51 (May 23, 2014) and~~ ~~$13.46~~Gold ~~(September~~options ~~26,~~that ~~2014),~~were ~~respectively.~~exercised ~~During~~against the ~~nine month period, the~~ Fund ~~declared~~detracted ~~distributions~~from ~~totaling~~its ~~$1.170~~relative ~~per share to shareholders, of which $0~~performance.~~130~~ ~~was paid on October 1~~Additionally, ~~2014.~~despite ~~The remainder was paid during~~ the ~~period. The~~ Fund’s ~~cumulative~~outperformance ~~total~~in ~~return~~silver, onits ~~market~~underweight ~~value~~to ~~for~~ the ~~nine~~commodity ~~month~~during ~~period, which assumes reinvestment of such distributions, was -2.05%. At September 30, 2014, shares of~~ the ~~Fund~~period ~~traded~~hurt atits aperformance ~~14.13%~~relative ~~discount~~ to the ~~Fund’s net asset value of $16~~BCOM.~~06.~~

The ~~Nine~~foods ~~Months~~and ~~Ended~~fibers ~~September~~group, 30driven by declines in sugar and coffee, ~~2015~~was –the ~~Net~~worst ~~Assets~~performing group in both the Fund and the BCOM for the quarter, down 11.8% and 13.7%, respectively. The Fund’s relative performance benefited primarily from the options strategy, particularly in coffee and sugar, where the Fund wrote call options on a greater share of its contracts. While the Fund typically sells call options on approximately 50% of the value of each commodity contract seeking to reduce risk, in some instances the Fund writes calls on a higher value of a contract to cover a separate contract position within the same commodity type, that may have a relatively illiquid options market. In this case, the Robusta coffee and white sugar (London-traded) options markets lacked sufficient liquidity, and therefore the Fund wrote additional Arabica coffee and NY-traded sugar calls to cover its Robusta coffee and white sugar positions. All of the foods and fibers options sold expired out of the money during the quarter, benefitting the Fund’s relative performance against the BCOM.

The Fund’s ~~net~~livestock ~~assets~~position ~~decreased~~declined ~~from~~7.5%, ~~$123~~and the BCOM’s fell 9.28%. ~~million~~Live atcattle ~~December~~contributed 31positively to the Fund’s relative returns, bolstered ~~2014~~by favorable contract selection, toa ~~$97.5~~higher ~~million~~weighting atthan ~~September~~the 30BCOM, ~~2015~~and the options strategy. As with coffee and sugar, the Fund wrote calls on a ~~decrease~~higher value of ~~$25.7~~the ~~million.~~live ~~The~~cattle position to cover its feeder cattle position, given the ~~decrease~~insufficient liquidity in the feeder cattle options market. The Fund’s ~~net~~relative ~~assets~~overweight in lean hogs was ~~due~~disadvantageous to arelative ~~net~~performance ~~loss~~in ofa ~~$17.9 million,~~period inof ~~addition~~falling toprices, ~~$7.8~~offsetting ~~million~~the benefits of ~~distributions~~the tocattle ~~shareholders~~positions.

The Fund generated a net loss of $17.9 million for the nine month period ended September 30, 2015, resulting from interest income of $0.1 million and change in net unrealized appreciation of $9.1 million, offset by expenses of $2.1 million and net realized losses of $25.0 million.

During the nine month period ended September 30, 2015, the Fund’s collateral investments generated interest income of $109,335, which represents 0.10% of average net assets for the nine month period ended September 30, 2015.

The net asset value per share on September 30, 2015, was $10.78, a decrease of 20.85% in net asset value (not including an assumed reinvestment of distributions) from the $13.62 net asset value as of December 31, 2014. During the nine month period, the Fund declared distributions totaling $0.867 per share to shareholders, of which $0.074 was paid on October 1, 2015. When an assumed reinvestment of these distributions is taken into account, the cumulative total return for the Fund on net asset value was -15.13% for the nine month period ended September 30, 2015.

The Nine Months Ended September 30, 2014 – Net Assets of the Fund

The Fund’s net assets decreased from $167.1 million at December 31, 2013, to $147.9 million at September 30, 2014, a decrease of $19.2 million. The decrease in the Fund’s net assets was due to a net loss of $8.5 million, in addition to approximately $10.7 million of distributions to shareholders.

The Fund generated a net loss of $8.5 million for the nine month period ended September 30, 2014, resulting from interest income of $0.1 million and net realized gains of $4.5 million, offset by expenses of approximately $2.3 million and net unrealized depreciation of $10.8 million.

During the nine month period ended September 30, 2014, the Fund’s collateral investments generated interest income of $108,684, which represents 0.07% of average net assets for the nine month period ended September 30, 2014.

The net asset value per share on September 30, 2014, was $16.06, a decrease of 11.52% 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 $1.170 per share during the nine month period. When an assumed reinvestment of these distributions is taken into account, the cumulative total return for the Fund on net asset value was -5.54% for the nine month period ended September 30, 2014.

The Nine Months Ended September 30, 2015 – Overall Commodity Market Commentary

The broad commodity market continued to face significant headwinds, falling 15.8% for the nine-month period, as measured by the BCOM. All sectors in the BCOM posted negative results, with five of the six sectors declining by double digits.

In the energy group, oversupply conditions persisted, while global macroeconomic uncertainties, led by worries about China’s economy, continued to undermine demand expectations. Despite a 10.9% rally in the second quarter of 2015, the energy group suffered considerable volatility early in 2015 and again in the third quarter to finish the nine-month period down 20.9%. Crude oil and natural gas were the worst performers, down 26.7% and 23.0% over the period, respectively.

Agriculture commodities, as grouped by Gresham, followed a similar trajectory to energy commodities. A turbulent first quarter was followed by a 10.4% rebound in the second quarter, but expectations for abundant crops and the weakness in Brazil’s currency drove grain prices lower during the third quarter. The agriculture group posted a 12.3% loss for the nine-month period.

The precious metals group, down 6.8% for the nine-month period, was the best-performing sector in the BCOM. Gold and silver prices remained choppy throughout the period, amid waning demand, anticipation of rising interest rates in the U.S. and the strength of the U.S. dollar.

Industrial metals prices were hit hard by China’s economic woes and fears of rising inventories. Declines were compounded by periods of aggressive selling of long positions in the marketplace. The group plunged 20.3% for the nine-month period, with nickel leading the decline with losses exceeding 30% for the nine-month period.

Coffee was the other commodity down more than 30% in the nine-month period, leading the foods and fibers group, as grouped by Gresham, to an 18.9% loss overall. Sugar also declined sharply over the period. Both coffee and sugar are predominantly produced in Brazil, where favorable weather bolstered expectations for crop yields, which would in turn contribute to a growing global supply glut. In addition, the weakening Brazilian real made exporting these two commodities more attractive. In contrast, cotton, down 1.5%, was the top-performing individual commodity for all of the BCOM over the nine-month period.

In the livestock group, both lean hogs and live cattle prices fell by double digits for the period. Lean hogs futures sustained most of their losses early in the year, as supply outpaced demand, but prices reversed course, rallying strongly in the third quarter, as pork demand accelerated and weight gain in hogs was less than expected during the summer months. Live cattle prices were choppy, impacted by herd rebuilding continued from last year, cold and rainy weather in the U.S. which hampered weight gain and transport, lower beef demand due to price competition with pork and poultry, and a slowdown in exports while imports increased. Overall, the livestock

group dropped 16.0% for the period.

The Nine Months Ended September 30, 2014 – Overall Commodity Market Commentary

After rising in the first half of 2014, the broad commodity market gave back all of its gains during a turbulent third quarter. For the nine months ended September 30, 2014, the broad commodity market was down 5.6%, as measured by the BCOM. Performance across the six commodity groups, as grouped by Gresham, was mixed, with a double-digit gain in livestock and a double-digit decline in agriculture.

The energy group lost 4.4%. Crude oil, heating oil, and unleaded gas (RBOB) slumped during the period, while natural gas was up modestly. Crude oil prices were hit hard in the third quarter by the strengthening U.S. dollar, weakening demand, and rising supply.

The worst-performing group in the BCOM, agriculture, dropped 20.2% during the period. After rallying in the first quarter, agriculture commodities as a group declined in the second and third quarters on expectations of oversupply amid ideal growing conditions in the U.S.

The industrial metals group traded nearly flat, down 0.7%, during the period. Concerns about slowing demand from China weighed on prices, especially for copper. However, nickel advanced during the period, as supply was threatened by a mineral ore export ban in Indonesia and economic sanctions in Russia.

The precious metals group fell 3.0% during the period. Gold and silver saw rallies throughout the first half of the year on speculation of higher inflation in the U.S. But, in the third quarter, a rising U.S. dollar and disinflation fears weighed on prices.

A 2.1% gain in the foods and fibers group, as grouped by Gresham, was led by soaring prices in Arabica coffee. Forecasts called for the largest coffee shortage in nine years because of heat and drought in Brazil, the world’s main Arabica supplier.

Livestock, up 17.8%, was the best-performing group in the BCOM during the period. Prices for both live cattle and lean hogs increased during the period. Lean hog prices reached all-time highs early in 2014 as a highly infectious pig virus was expected to decrease supply. Live cattle prices rallied on supply concerns as well, with the harsh winter weather early in 2014 hindering breeding, weight gain, and slaughter.

The Nine Months Ended September 30, 2015 – Fund Commodity Portfolio Commentary

The Fund’s commodity portfolio was down 13.7% for the nine months ended September 30, 2015, before considering the expenses of the Fund. The overall commodities market, as measured by the BCOM, lost 15.8%. 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 -15.13%.

During the period, the Fund sold options on approximately 50% of the value of each commodity position. The Fund’s option-writing activity added to performance for the period, and premiums collected on call options helped reduce the Fund’s volatility versus the BCOM, as measured by the standard deviation of return.

At the commodity group level, the Fund’s commodity portfolio outperformed relative to the BCOM on its energy, foods and fibers, industrial metals and agriculture positions, livestock had a nearly neutral impact, and precious metals detracted from relative performance.

Relative outperformance in the energy group was led by the Fund’s natural gas, WTI crude and heating oil positions, although its Brent crude position slightly diminished relative gains. In the foods and fibers group, the Fund’s relative performance benefited from its Arabica coffee and cocoa exposures. The largest contributors in the industrial metals group were its copper (which includes both LME and COMEX contracts) and nickel position. The agriculture group added to relative performance primarily due to its soybean position.

Within the livestock group, the added value from the Fund’s lean hogs position was offset by relative losses in the live cattle and feeder cattle exposures, resulting in a nearly neutral impact on relative returns. The precious metals group hurt relative performance, driven mainly by the Fund’s underweight in gold.

The Nine Months Ended September 30, 2014 – Fund Commodity Portfolio Commentary

The Fund’s commodity portfolio fell 4.4% for the nine months ended September 30, 2014, before considering the expenses of the Fund. The overall commodities market, as measured by the BCOM, was down 5.6%. 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 -5.54%.

During the period, the Fund sold options on approximately 50% of the value of each commodity position. The Fund’s option-writing activity detracted slightly from performance for the period, but premiums collected on other call options helped reduce the Fund’s volatility, as measured by the standard deviation of return, versus the BCOM.

At the commodity group level, the Fund’s commodity portfolio outperformed the BCOM on an absolute basis in precious metals, livestock, and agriculture. The foods and fibers group was the Fund’s largest underperformer on an absolute basis, while industrial metals and energy marginally lagged. When the Fund’s strategic weighting decisions are taken into account they resulted in positive performance relative to the BCOM in all commodity groups except for food and fibers.

The Fund’s energy position performed nearly in line with the BCOM’s position on an absolute basis. When the Fund’s strategic weighting decisions are taken into account, they resulted in positive performance relative to the BCOM, due mostly to the Fund’s crude oil and unleaded gas positions.

In the agriculture group, the Fund outperformed the BCOM. The Fund’s lower weights in corn and soybean oil, both of which saw declining prices during the period, added to relative gains.

Although it underperformed the BCOM on an absolute basis, the Fund’s strategic weighting decisions in regards to its industrial metals position had a positive impact on relative performance. The Fund’s lower weight in New York copper contracts was beneficial amid falling copper prices.

The Fund’s precious metals position outperformed the BCOM. Silver prices traded lower over the period, and the Fund’s smaller weight in silver contracts contributed positively to relative returns.

Relative underperformance in the Fund’s foods and fibers position was driven by an underweight in coffee contracts, as the Fund had less exposure than the BCOM to coffee’s substantial rally over the period.

In the livestock group, the Fund’s relative results benefited primarily from the Fund’s exposure to feeder cattle contracts, which performed well during the period and are not represented in the BCOM.

Fund Total Returns

The following table presents selected total returns for the Fund and BCOM as of ~~September~~March 3031, ~~2015~~2016. Market value and net asset value total returns are based on the change in market value and net asset value, respectively, for a share during the period presented. ~~The~~ The total returns presented assume the reinvestment of distributions at 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 at the end of the period for total returns based on market value, and at the net asset value at the end of the period for total returns based on net asset value.

	Total Returns as of September 30, 2015
	Total Returns as of March 31, 2016
	Cumulative			Average Annual			~~Average Annual~~
	3 Months			~~Year~~1 ~~to Date~~Year			15 Year			Since Inception
Market Value		~~-11~~0.6077	%		-1318.4929	%		-1712.0554	%		-89.51	%
Net Asset Value		~~-13~~0.8009	%		-1519.1370	%		-2612.1186	%		-78.4460	%
BCOM		~~-14~~0.4742	%		-1519.8056	%		-2514.9915	%		-89.8182	%

“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.

Commodity Portfolio Composition and Weightings

The table below presents the composition and weightings of the Fund’s TAP PLUSSM 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 BCOM as of ~~September 30~~March 31, ~~2015~~2016. The table below serves as a guide to how the composition and weightings of the Fund’s TAP PLUSSM investment strategy compared to that of the BCOM, a leading commodity market benchmark, as of ~~September~~March 3031, ~~2015~~2016.

		~~Composition~~	Composition
Commodity Group	Commodity	~~TAP PLUSSM~~	TAP PLUSSM		~~BCOM~~	BCOM
Energy	Crude Oil		1819.3550	%		1516.8301	%
	Natural Gas		6.23	%		8.69	%
	Heating Oil		6.01	%		3.90	%
	Heating Oil		5.51	%		3.90	%
	Natural Gas		5.55	%		6.81	%
	Unleaded Gas		3.7154	%		4.1428	%
			33.80	%		32.56	%
			34.60	%		31.00	%
Industrial Metals	Copper		8.31	%		7.52	%
	Aluminum		5.39	%		4.44	%
	Zinc		1.78	%		2.79	%
	Nickel		1.69	%		2.19	%
	Lead		0.81	%		0.00	%
			17.98	%		16.94	%
Agriculturals	Soybean		5.20	%		5.66	%
	Corn		3.73	%		6.89	%
	Wheat		3.73	%		4.33	%
	Soybean Meal		2.38	%		2.70	%
	Soybean Oil		1.25	%		3.07	%
			16.29	%		22.65	%
Precious Metals	Gold		8.97	%		12.13	%
	Silver		2.48	%		4.39	%
	Platinum		0.70	%		0.00	%
	Palladium		0.54	%		0.00	%
			12.69	%		16.52	%
Livestock	Live Cattle		6.79	%		3.05	%
	Lean Hogs		2.54	%		2.58	%
	Feeder Cattle		2.03	%		0.00	%
			11.36	%		5.63	%
Foods and Fibers	Sugar		2.52	%		3.63	%
	Coffee		2.18	%		2.30	%
	Cotton		1.43	%		1.33	%
	Cocoa		0.95	%		0.00	%
			7.08	%		7.26	%
Total			100.00	%		100.00	%

3634

		Composition
Commodity Group	Commodity	TAP PLUSSM			BCOM
Industrial Metals	Copper		8.96	%		7.22	%
	Aluminum		5.18	%		4.54	%
	Nickel		2.04	%		1.60	%
	Zinc		1.68	%		2.15	%
	Lead		0.90	%		0.00	%
			18.76	%		15.51	%
Agriculturals	Soybean		5.68	%		5.42	%
	Corn		3.64	%		8.00	%
	Wheat		3.52	%		4.39	%
	Soybean Meal		2.82	%		2.71	%
	Soybean Oil		1.14	%		2.62	%
			16.80	%		23.14	%
Precious Metals	Gold		9.15	%		12.37	%
	Silver		2.53	%		4.24	%
	Platinum		0.79	%		0.00	%
	Palladium		0.53	%		0.00	%
			13.00	%		16.61	%
Livestock	Live Cattle		5.94	%		2.97	%
	Lean Hogs		3.60	%		1.84	%
	Feeder Cattle		1.47	%		0.00	%
			11.01	%		4.81	%
Foods and Fibers	Sugar		2.21	%		3.93	%
	Cotton		1.83	%		1.71	%
	Coffee		1.73	%		1.73	%
	Cocoa		0.86	%		0.00	%
			6.63	%		7.37	%
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 10% to 25% of its net assets in a margin account with 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 as of the authorization date 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 ~~nine~~three months ended ~~September~~March 3031, ~~2015~~2016.

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

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

Market Risk

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

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

Credit Risk

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

The Fund attempts to minimize market risks, and the Commodity Sub-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:

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 cash equivalents, U.S. government securities and other short-term, high-grade debt securities, like any investment, these too would be affected by any credit difficulties that might be experienced by their issuers.

Off-Balance Sheet Arrangements

As of ~~September 30~~March 31, ~~2015~~2016, 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 transactions, dealers. Management fee payments made to the Manager are calculated as a 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 change 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.~~

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.

Item 3.

Quantitative and Qualitative Disclosures About Market Risk

Quantitative Disclosure

The Fund is exposed to commodity price risk through the futures and forward contracts and the options on futures and forward contracts that the Fund invests in as part of its investment strategy. These instruments have been entered into for trading purposes. The following table provides information about the Fund’s futures contracts and options on futures contracts, which are sensitive to changes in commodity prices, as of ~~September~~March 3031, ~~2015~~2016. 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, 2016, the Fund has not invested in forward contracts.

LME futures positions. For every short LME futures contract held by the Fund, the Fund had previously entered into a long futures contract. As of September 30, 2015, the Fund has not invested in forward contracts.

Futures Contracts

CommodityGroup	Contract	ContractPosition		ContractExpiration		NumberofContracts			ValuationPrice		ContractMultiplier		NotionalAmountat Value
Energy	Crude Oil
	ICE Brent Crude Oil Futures Contract		Long		~~November~~June ~~2015~~2016		~~107~~146		$	4840.~~3700~~3300		1,000	$	5,~~175~~888,~~590~~180
	ICE Brent Crude Oil Futures Contract		Long		~~January~~July 2016		~~107~~109			4940.~~7100~~7700		1,000		54,~~318~~443,~~970~~930
	NYMEX Crude Oil Futures Contract		Long		~~November~~May ~~2015~~2016		89107			4538.~~0900~~3400		1,000		4,~~013~~102,~~010~~380
	NYMEX Crude Oil Futures Contract		Long		~~January~~July 2016		6548			4640.~~1600~~6900		1,000		31,~~000~~953,~~400~~120
	NYMEX Crude Oil Futures Contract		Long		March 2016		8			47.3700		1,000		378,960
	Natural Gas
	NYMEX Natural Gas Futures Contract		Long		November 2015		205			2.5240		10,000		5,174,200
	NYMEX Natural Gas Futures Contract		Long		January 2016		32			2.8310		10,000		905,920
	Heating Oil
	ICE Low Sulphur Gasoil Futures Contract		Long		~~November~~May ~~2015~~2016		5770			~~467~~358.~~0000~~5000		100		2,~~661~~509,~~900~~500
	NYMEX NY Harbor ULSD Futures Contract		Long		~~November~~May ~~2015~~2016		4251			1.~~5374~~1855		42,000		2,~~711~~539,~~974~~341
	Natural Gas
	NYMEX Natural Gas Futures Contract		Long		May 2016		170			1.9590		10,000		3,330,300
	NYMEX Natural Gas Futures Contract		Long		July 2016		62			2.1530		10,000		1,334,860
	Unleaded Gas
	NYMEX Gasoline RBOB Futures Contract		Long		~~November~~May ~~2015~~2016		6349			1.~~3667~~4467		42,000		32,~~616~~977,~~288~~309
Industrial Metals	Copper
	COMEX Copper Futures Contract		Long		~~December~~May ~~2015~~2016		4721			2.~~3410~~1830		25,000		21,~~750~~146,~~675~~075
	COMEX Copper Futures Contract		Long		March 2016		25			2.3450		25,000		1,465,625
	LME Copper Futures Contract		Long		April 2016		35			4,872.5000		25		4,263,438
	LME Copper Futures Contract		~~Long~~Short		~~October~~April ~~2015~~2016		353			54,872.~~1790~~5000		25~~,000~~		4(365,~~531,625~~438	)
	LME Copper Futures Contract		Long		May 2016		16			4,858.0000		25		1,943,400
	Aluminum
	LME Primary Aluminum Futures Contract		Long		~~October~~April ~~2015~~2016		~~133~~120			1,~~577~~508.~~2499~~7500		25		54,~~244~~526,~~356~~250
	LME Primary Aluminum Futures Contract		Short		October 2015		(5	)		1,577.2480		25		(197,156	)
	Nickel
	LME Nickel Futures Contract		Long		October 2015		29			10,376.5000		6		1,805,511
	LME Nickel Futures Contract		Long		November 2015		3			10,388.0000		6		186,984
	Zinc
	LME Zinc Futures Contract		Long		~~October~~April ~~2015~~2016		4036			1,~~681~~810.~~0000~~7500		25		1,~~681~~629,~~000~~675
	LME Zinc Futures Contract		Short		~~October~~April ~~2015~~2016		(13	)		1,~~681~~810.~~0000~~7467		25		(42135,~~025~~806	)
	Nickel
	LME Nickel Futures Contract		Long		April 2016		28			8,457.0000		6		1,420,776
	Lead
	LME Lead Futures Contract		Long		~~October~~April ~~2015~~2016		2318			1,~~665~~698.~~0000~~7500		25		~~957~~764,~~375~~437
	LME Lead Futures Contract		Short		~~October~~April ~~2015~~2016		(2	)		1,~~665~~698.~~0000~~7500		25		(8384,~~250~~938	)
Agriculturals	Soybean
	CBOT Soybean Futures Contract		Long		November 2015		106			8.9200		5,000		4,727,600
	CBOT Soybean Futures Contract		Long		January 2016		18			8.9400		5,000		804,600
	Corn
	CBOT Corn Futures Contract		Long		December 2015		183			3.8775		5,000		3,547,912
	Wheat
	CBOT Wheat Futures Contract		Long		December 2015		47			5.1275		5,000		1,204,963
	KCBT Wheat Futures Contract		Long		December 2015		89			5.0175		5,000		2,232,787
	Soybean Meal
	CBOT Soybean Meal Futures Contract		Long		December 2015		89			309.0000		100		2,750,100
	Soybean Oil
	CBOT Soybean Oil Futures Contract		Long		December 2015		68			0.2734		60,000		1,115,472
Precious Metals	Gold
	CEC Gold Futures Contract		Long		December 2015		80			1,115.2000		100		8,921,600
	Silver
	CEC Silver Futures Contract		Long		December 2015		34			14.5180		5,000		2,468,060
	Platinum
	NYMEX Platinum Futures Contract		Long		January 2016		17			909.1000		50		772,735
	Palladium
	NYMEX Palladium Futures Contract		Long		December 2015		8			650.9500		100		520,760

4138

CommodityGroup	Contract	ContractPosition		ContractExpiration		NumberofContracts		ValuationPrice		ContractMultiplier		NotionalAmountat Value
Livestock	Live Cattle
	CME Live Cattle Futures Contract		Long		October 2015		73	$	49.8700		1,000	$	3,640,510
	CME Live Cattle Futures Contract		Long		December 2015		41		52.3700		1,000		2,147,170
	Lean Hogs
	CME Lean Hog Futures Contract		Long		October 2015		63		29.4100		1,000		1,852,830
	CME Lean Hog Futures Contract		Long		December 2015		56		26.6900		1,000		1,494,640
	CME Lean Hog Futures Contract		Long		February 2016		6		27.6100		1,000		165,660
	Feeder Cattle
	CME Feeder Cattle Futures Contract		Long		November 2015		5		86.3000		1,000		431,500
	CME Feeder Cattle Futures Contract		Long		January 2016		12		83.6375		1,000		1,003,650
Foods and Fibers	Sugar
	ICE Sugar Futures Contract		Long		March 2016		130		0.1288		112,000		1,875,328
	ICE White Sugar Futures Contract		Long		December 2015		15		18.5000		1,000		277,500
	Cotton
	ICE Cotton Futures Contract		Long		December 2015		59		0.6044		50,000		1,782,980
	Coffee
	ICE Coffee C Futures Contract		Long		December 2015		31		45.5063		1,000		1,410,694
	LIFFE Coffee Robusta Futures Contract		Long		November 2015		13		15.5700		1,000		202,410
	LIFFE Coffee Robusta Futures Contract		Long		January 2016		5		15.6400		1,000		78,200
	Cocoa
	ICE Cocoa Futures Contract		Long		December 2015		27		31.1400		1,000		840,780

Commodity Call Options Written

CommodityGroup	Contract	ContractExpiration		NumberofContracts			StrikePrice		Value
Energy	Crude Oil
	ICE Brent Crude Oil Futures Options		November 2015		(104	)	$	54.50	$	(8,320	)
	ICE Brent Crude Oil Futures Options		November 2015		(3	)		52.00		(780	)
	NYMEX Crude Oil Futures Options		October 2015		(81	)		48.50		(38,880	)
	Natural Gas
	NYMEX Natural Gas Futures Options		October 2015		(118	)		2.85		(24,780	)
	Heating Oil
	NYMEX NY Harbor ULSD Futures Options		October 2015		(42	)		164.00		(36,162	)
	Unleaded Gas
	NYMEX Gasoline RBOB Futures Options		October 2015		(31	)		149.00		(29,164	)
Industrial Metals	Copper
	LME Copper Futures Options		October 2015		(34	)		5,400.00		(12,402	)
	Aluminum
	LME Primary Aluminum Futures Options		October 2015		(64	)		1,675.00		(624	)
	Nickel
	LME Nickel Futures Options		October 2015		(16	)		11,000.00		(5,195	)
	Zinc
	LME Zinc Futures Options		October 2015		(20	)		1,975.00		—
	Lead
	LME Lead Futures Options		October 2015		(11	)		1,850.00		(33	)

Futures Contracts (Continued)


Commodity Group	Contract	Contract Position		Contract Expiration		Number of Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Agriculturals	Soybean
	CBOT Soybean Futures Contract		Long		May 2016		96	$	9.1075		5,000	$	4,371,600
	Corn
	CBOT Corn Futures Contract		Long		May 2016		138		3.5150		5,000		2,425,350
	CBOT Corn Futures Contract		Long		July 2016		40		3.5575		5,000		711,500
	Wheat
	CBOT Wheat Futures Contract		Long		May 2016		66		4.7350		5,000		1,562,550
	KCBT Wheat Futures Contract		Long		May 2016		66		4.7625		5,000		1,571,625
	Soybean Meal
	CBOT Soybean Meal Futures Contract		Long		May 2016		74		270.3000		100		2,000,220
	Soybean Oil
	CBOT Soybean Oil Futures Contract		Long		May 2016		51		0.3422		60,000		1,047,132
Precious Metals	Gold
	CEC Gold Futures Contract		Long		June 2016		61		1,235.6000		100		7,537,160
	Silver
	CEC Silver Futures Contract		Long		May 2016		27		15.4640		5,000		2,087,640
	Platinum
	NYMEX Platinum Futures Contract		Long		July 2016		12		977.5000		50		586,500
	Palladium
	NYMEX Palladium Futures Contract		Long		June 2016		8		564.0000		100		451,200
Livestock	Live Cattle
	CME Live Cattle Futures Contract		Long		April 2016		70		1.3293		40,000		3,721,900
	CME Live Cattle Futures Contract		Long		June 2016		40		1.2403		40,000		1,984,400
	Lean Hogs
	CME Lean Hog Futures Contract		Long		April 2016		46		0.6835		40,000		1,257,640
	CME Lean Hog Futures Contract		Long		June 2016		27		0.8085		40,000		873,180
	Feeder Cattle
	CME Feeder Cattle Futures Contract		Long		May 2016		16		1.5525		50,000		1,242,000
	CME Feeder Cattle Futures Contract		Long		August 2016		6		1.5508		50,000		465,225
Foods and Fibers	Sugar
	ICE Sugar Futures Contract		Long		May 2016		113		0.1535		112,000		1,942,696
	ICE White Sugar Futures Contract		Long		May 2016		5		444.7000		50		111,175
	ICE White Sugar Futures Contract		Long		August 2016		3		440.2000		50		66,030
	Coffee
	ICE Coffee C Futures Contract		Long		May 2016		33		1.2745		37,500		1,577,194
	LIFFE Coffee Robusta Futures Contract		Long		May 2016		17		1,501.0000		10		255,170
	Cotton
	ICE Cotton Futures Contract		Long		May 2016		36		0.5844		50,000		1,051,920
	ICE Cotton Futures Contract		Long		July 2016		5		0.5831		50,000		145,775
	Cocoa
	ICE Cocoa Futures Contract		Long		May 2016		14		2,950.0000		10		413,000
	ICE Cocoa Futures Contract		Long		July 2016		13		2,959.0000		10		384,670

CommodityGroup	Contract	ContractExpiration		NumberofContracts			StrikePrice		Value
Agriculturals	Soybean
	CBOT Soybean Futures Options		October 2015		(35	)	$	980.00	$	(1,531	)
	CBOT Soybean Futures Options		October 2015		(27	)		1,000.00		(844	)
	Corn
	CBOT Corn Futures Options		November 2015		(92	)		400.00		(43,125	)
	Wheat
	CBOT Wheat Futures Options		November 2015		(45	)		580.00		(5,906	)
	CBOT Wheat Futures Options		November 2015		(24	)		580.00		(4,350	)
	Soybean Meal
	CBOT Soybean Meal Futures Options		November 2015		(29	)		360.00		(2,175	)
	CBOT Soybean Meal Futures Options		November 2015		(15	)		340.00		(3,075	)
	Soybean Oil
	CBOT Soybean Oil Futures Options		November 2015		(17	)		31.00		(1,428	)
	CBOT Soybean Oil Futures Options		November 2015		(17	)		29.00		(4,488	)
Precious Metals	Gold
	CEC Gold Futures Options		November 2015		(40	)		1,180.00		(35,200	)
	Silver
	CEC Silver Futures Options		November 2015		(17	)		16.00		(15,300	)
Livestock	Live Cattle
	CME Live Cattle Futures Options		October 2015		(73	)		156.00		(380	)
	Lean Hogs
	CME Lean Hogs Futures Options		October 2015		(63	)		69.00		(115,920	)
Foods and Fibers	Sugar
	ICE Sugar Futures Options		February 2016		(30	)		13.00		(29,232	)
	ICE Sugar Futures Options		February 2016		(46	)		13.75		(30,397	)
	Cotton
	ICE Cotton Futures Options		November 2015		(30	)		69.00		(1,650	)
	Coffee
	ICE Coffee C Futures Options		November 2015		(19	)		155.00		(3,705	)
	Cocoa
	ICE Cocoa Futures Options		November 2015		(13	)		3,400.00		(2,080	)

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 2016		(127	)	$	45.00	$	(41,910	)
	NYMEX Crude Oil Futures Options		April 2016		(77	)		43.00		(10,010	)
	Heating Oil
	NYMEX NY Harbor ULSD Futures Options		April 2016		(51	)		130.00		(22,919	)
	Natural Gas
	NYMEX Natural Gas Futures Options		April 2016		(116	)		2.10		(48,720	)
	Unleaded Gas
	NYMEX Gasoline RBOB Futures Options		April 2016		(25	)		164.00		(9,030	)
Industrial Metals	Copper
	LME Copper Futures Options		April 2016		(29	)		4,800.00		(73,841	)
	Aluminum
	LME Primary Aluminum Futures Options		April 2016		(60	)		1,600.00		(105	)
	Zinc
	LME Zinc Futures Options		April 2016		(16	)		1,800.00		(12,264	)
	Nickel
	LME Nickel Futures Options		April 2016		(14	)		9,200.00		(301	)
	Lead
	LME Lead Futures Options		April 2016		(8	)		1,900.00		(2	)
Agriculturals	Soybean
	CBOT Soybean Futures Options		April 2016		(48	)		930.00		(10,500	)
	Corn
	CBOT Corn Futures Options		April 2016		(89	)		395.00		(1,113	)
	Wheat
	CBOT Wheat Futures Options		April 2016		(33	)		495.00		(8,044	)
	CBOT Wheat Futures Options		April 2016		(33	)		500.00		(5,981	)
	Soybean Meal
	CBOT Soybean Meal Futures Options		April 2016		(37	)		290.00		(2,220	)
	Soybean Oil
	CBOT Soybean Oil Futures Options		April 2016		(25	)		34.00		(11,550	)
Precious Metals	Gold
	COMEX Gold Futures Options		May 2016		(30	)		1,320.00		(25,500	)
	Silver
	CEC Silver Futures Options		April 2016		(13	)		16.75		(4,875	)
Livestock	Live Cattle
	CME Live Cattle Futures Options		April 2016		(69	)		142.00		(690	)
	Lean Hogs
	CME Lean Hogs Futures Options		April 2016		(37	)		74.00		(370	)
Foods and Fibers	Sugar
	ICE Sugar Futures Options		April 2016		(61	)		14.50		(66,271	)
	Coffee
	ICE Coffee C Futures Options		April 2016		(19	)		130.00		(9,191	)
	Cotton
	ICE Cotton Futures Options		April 2016		(20	)		64.00		(600	)
	Cocoa
	ICE Cocoa Futures Options		June 2016		(13	)		3,250.00		(3,510	)


CBOT		Chicago Board of Trade
CEC		Commodities Exchange Center
CME		Chicago Mercantile Exchange
COMEX		Commodities Exchange, Inc.
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~~40 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-grade debt securities, which exposes the Fund to interest rate risk. These instruments are deemed to be entered into for non-trading purposes, with an emphasis on current income, liquidity and preservation of capital. As of September 30, 2015, the Fund held U.S. Treasury bills worth $85,555,240 with a total par value of $85,620,000 and a repurchase agreement worth $1,183,578.

Qualitative Disclosure

~~associated~~The ~~with~~Fund ~~these~~also ~~investments~~invests ~~(as~~the ~~discussed~~assets inheld ~~Part~~as ~~I—Item~~collateral ~~1A.~~for ~~Risk~~its ~~Factors~~investments in ~~the~~commodity ~~Fund’s~~futures ~~annual~~and ~~report~~forward contracts onin ~~Form~~cash ~~10-K~~equivalents, ~~for~~U.S. ~~the~~government ~~year ended December 31~~securities, ~~2014~~ and ~~Part~~other ~~II—Item 1A.~~short-term, ~~Risk~~high-grade ~~Factors~~debt insecurities, which exposes the Fund’s ~~subsequent~~to ~~quarterly~~interest ~~reports~~rate onrisk. ~~Form~~These ~~10-Q,~~instruments ~~filed~~are ~~with~~deemed ~~the~~to ~~SEC)~~be ~~which~~entered ~~include,~~into ~~but~~for ~~are~~non-trading ~~not~~purposes, ~~limited~~with ~~to,~~an ~~government~~emphasis ~~interventions~~on current income, ~~defaults~~liquidity and ~~expropriations,~~preservation ~~adverse~~of ~~weather conditions,~~capital. ~~commodity~~As ~~supply~~of ~~factors~~March 31, ~~illiquid markets~~2016, the ~~emergence~~Fund ofheld ~~dominant~~U.S. ~~fundamental~~Treasury ~~factors,~~bills ~~political~~worth ~~upheavals~~$71,293,332 ~~changes~~with ina ~~historical~~total ~~price~~par ~~relationships,~~value ~~an influx~~ of ~~new market participants~~$71,420,000 and ~~increased~~a ~~regulation.~~repurchase ~~Investors~~agreement ~~may~~worth ~~lose all or substantially all of their investment in the Fund~~$10,769,892.

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, 2015 and Part II—Item 1A. Risk Factors in the Fund’s subsequent quarterly reports on Form 10-Q, filed with the 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-adviser 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.

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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, ~~2014~~2015, 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 ~~nine~~three month period ended on ~~September 30,~~ ~~2015~~March 31, 2016.

c) On December 21, 2011, the Fund adopted an open-market share repurchase program, pursuant to which it was authorized to repurchase an aggregate of up to 10% of its outstanding common shares (approximately 920,000 shares) in open-market transactions at the Manager’s discretion. On March 6, 2014, the Fund reauthorized its share repurchase program, pursuant to which it may repurchase an aggregate of up to 10% of its outstanding common shares as of the reauthorization date (approximately 920,000 shares). NoDuring ~~shares~~the ~~have~~three ~~been~~month ~~repurchased~~period ~~during~~ended ~~the~~March ~~fiscal~~31, ~~year~~2016, tothe ~~date~~Fund ~~period~~did ~~ended~~not ~~September 30,~~repurchase ~~2015~~any shares. A cumulative total of of 220,000 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.

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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 ~~November~~May 59, ~~2015~~2016.


Nuveen Diversified Commodity Fund

By:		Nuveen Commodities Asset Management, LLC, its Manager

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

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

Nuveen Commodities Asset Management, LLC

Manager of Registrant

/s/ William Adams IV President (Principal Executive Officer) ~~November~~May 59, ~~2015~~2016 /s/ Stephen D. Foy Chief Financial Officer (Principal Financial and Accounting Officer) ~~November~~May 59, ~~2015~~2016

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Filing Compare · Nuveen Diversified Commodity Fund