UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form 10-Q

(Mark One)

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

For the quarterly period ended ~~June~~September 30, 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 ~~August 2~~November 4, 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 June 30, 2016 (Unaudited)		3
	Schedule of Investments at September 30, 2016 (Unaudited)		3
	Statements of Financial Condition at June 30, 2016 (Unaudited) and December 31, 2015		9
	Statements of Financial Condition at September 30, 2016 (Unaudited) and December 31, 2015		9
	Statements of Operations (Unaudited) for the three months ended June 30, 2016 and June 30, 2015 and the six months ended June 30, 2016 and June 30, 2015		10
	Statements of Operations (Unaudited) for the three months ended September 30, 2016 and September 30, 2015 and the nine months ended September 30, 2016 and September 30, 2015		10
	Statements of Changes in Shareholders’ Capital for the six months ended June 30, 2016 (Unaudited) and the year ended December 31, 2015		11
	Statements of Changes in Shareholders’ Capital for the nine months ended September 30, 2016 (Unaudited) and the year ended December 31, 2015		11
	Statements of Cash Flows (Unaudited) for the six months ended June 30, 2016 and June 30, 2015		12
	Statements of Cash Flows (Unaudited) for the nine months ended September 30, 2016 and September 30, 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		41
Item 4.	Controls and Procedures		44
PART II. OTHER INFORMATION
Item 1.	Legal Proceedings		46
Item 1A.	Risk Factors		46
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds		46
Item 3.	Defaults Upon Senior Securities		46
Item 4.	Mine Safety Disclosures		46
Item 5.	Other Information		46
Item 6.	Exhibits		4746
Signatures			48

PART 1. FINANCIAL INFORMATION

Item 1.

Financial Statements

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Unaudited)

~~June~~September 30, 2016

Investments

PrincipalAmount (000)		Description	Coupon/ Yield		Maturity		Ratings(1)		Value		~~Value~~
		Short-Term Investments
		U.S. Government and Agency Obligations
	$14,000	U.S. Treasury Bills		0.000%		7/21/16		Aaa				$13,998,586
	$5,000	U.S. Treasury Bills		0.000%		10/13/16	Aaa			$4,999,775
	20,000	U.S. Treasury Bills		0.000%		9/15/16		Aaa				19,990,860
	8,500	U.S. Treasury Bills		0.000%		11/10/16	Aaa			8,498,096
	10,500	U.S. Treasury Bills		0.000%		9/22/16		Aaa				10,494,162
	16,500	U.S. Treasury Bills		0.000%		12/08/16	Aaa			16,494,407
	3,500	U.S. Treasury Bills		0.000%		11/10/16		Aaa				3,496,728
	11,000	U.S. Treasury Bills		0.000%		12/15/16	Aaa			10,995,611
	500	U.S. Treasury Bills		0.000%		12/08/16		Aaa				499,352
	2,000	U.S. Treasury Bills		0.000%		1/05/17	Aaa			1,998,498
	2,000	U.S. Treasury Bills		0.000%		1/05/17		Aaa				1,996,404
	2,500	U.S. Treasury Bills		0.000%		2/02/17	Aaa			2,497,232
	2,500	U.S. Treasury Bills		0.000%		2/02/17		Aaa				2,494,780
	5,300	U.S. Treasury Bills		0.000%		3/02/17	Aaa			5,291,960
	5,300	U.S. Treasury Bills		0.000%		3/02/17		Aaa				5,285,981
	8,000	U.S. Treasury Bills		0.000%		3/30/17	Aaa			7,982,752
	8,000	U.S. Treasury Bills		0.000%		3/30/17		Aaa				7,975,864
	12,800	U.S. Treasury Bills		0.000%		4/27/17	Aaa			12,765,453
	19,000	U.S. Treasury Bills		0.000%		4/27/17		Aaa				18,936,160
	$71,600	Total U.S. Government and Agency Obligations (cost $71,496,838)								$71,523,784
	$85,300	Total U.S. Government and Agency Obligations (cost $85,117,861)										$85,168,877
		Repurchase Agreements
		Repurchase Agreements
	$1,292	Repurchase Agreement with State Street Bank, dated 9/30/16, repurchase price $1,292,456, collateralized by $1,310,000 U.S. Treasury Notes, 1.000%, due 5/15/18, value $1,320,848		0.010%		10/03/16	N/A			$ 1,292,455
	$6,336	Repurchase Agreement with State Street Bank, dated 6/30/16, repurchase price $6,335,762, collateralized by $6,055,000 U.S. Treasury Notes, 2.250%, due 7/31/21, value $6,467,249		0.030%		7/01/16		N/A				$ 6,335,757
		Total Repurchase Agreements (cost $1,292,455)								$ 1,292,455
		Total Repurchase Agreements (cost $6,335,757)										$ 6,335,757
		Total Short-Term Investments (cost $72,789,293)								$72,816,239
		Total Short-Term Investments (cost $91,453,618)										$91,504,634

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

~~September~~December 2016

~~197~~97

$94,~~792~~868,~~870~~430

$ ~~366~~300,~~140~~700

NYMEX Crude Oil Futures Contract

Long

August 2016

4,204,710

(42,600

)

ICE Brent Crude Oil Futures Contract

Long

January 2017

4,872,000

330,900

NYMEX Crude Oil Futures Contract

Long

~~September~~November 2016

88114

45,~~312~~499,~~880~~360

~~(19~~414,~~930~~429

)

Total Crude Oil

303,610

NYMEX Crude Oil Futures Contract

Long

January 2017

2,815,800

110,290

Total Crude Oil

1,156,319

Heating Oil

ICE Low Sulphur Gasoil Futures Contract

Long

~~August~~November 2016

6439

21,~~856~~746,~~000~~225

11126,~~258~~433

NYMEX NY Harbor ULSD Futures Contract

Long

August 2016

2,813,643

(37,611

)

ICE Low Sulphur Gasoil Futures Contract

Long

December 2016

1,344,750

62,125

Total Heating Oil

(26,353

)

NYMEX NY Harbor ULSD Futures Contract

Long

November 2016

3,424,256

280,885

Total Heating Oil

469,443

Natural Gas

NYMEX Natural Gas Futures Contract

Long

~~August~~November 2016

95144

24,~~777~~184,~~800~~640

~~172~~(50,~~900~~810

)

NYMEX Natural Gas Futures Contract

Long

~~September~~January ~~2016~~2017

9535

21,~~772~~143,~~100~~800

~~284~~(19,~~990~~580

)

Total Natural Gas

~~457~~(70,~~890~~390

)

Unleaded Gas

NYMEX Gasoline RBOB Futures Contract

Long

~~August~~November 2016

2720

1,~~702~~229,~~474~~004

~~(92~~71,~~886)~~407

NYMEX Gasoline RBOB Futures Contract

Long

~~September~~January ~~2016~~2017

1913

1781,~~202,905~~271

(48,~~247)~~489

Total Unleaded Gas

~~(141~~119,~~133)~~896

Total Energy

~~594~~1,~~014~~675,268

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

~~June~~September 30, 2016

Investments in Derivatives (Continued)

Futures Contracts outstanding (Continued):

CommodityGroup

Contract

ContractPosition(2)

ContractExpiration

Number ofContracts(3)

NotionalAmount at Value(3)

UnrealizedAppreciation(Depreciation)(4)

Industrial Metals

Copper

COMEX Copper Futures Contract

Long

~~September~~December 2016

2523

$ 1,~~372~~271,~~187~~037

$ 9114,~~213~~387

LME Copper Futures Contract

Long

~~July~~October 2016

1653

16,~~936~~430,~~700~~225

~~(51~~255,~~000~~725

)

LME Copper Futures Contract

Long

August 2016

5,210,525

286,288

Total Copper

270,112

LME Copper Futures Contract

Long

September 2016

1,696,800

77,175

LME Copper Futures Contract

Short

July 2016

(1,936,700

)

(92,200

)

Total Copper

311,476

Aluminum

LME Primary Aluminum Futures Contract

Long

~~August~~October 2016

~~114~~115

4,~~696~~786,~~800~~156

~~270~~211,~~038~~312

LME Primary Aluminum Futures Contract

Short

~~August~~October 2016

(~~123~~83,~~600~~237)

)

(~~3,275~~413

)

Total Aluminum

~~266~~210,~~763~~899

Zinc

LME Zinc Futures Contract

Long

~~August~~October 2016

3116

1948,~~630,988~~400

~~151~~14,~~674~~700

LME Zinc Futures Contract

Long

December 2016

951,700

55,700

Total Zinc

70,400

Nickel

LME Nickel Futures Contract

Long

~~August~~October 2016

1,~~527~~706,~~012~~832

~~172~~49,~~773~~491

Lead

LME Lead Futures Contract

Long

~~August~~October 2016

2016

~~893~~846,~~875~~700

5171,~~400~~244

LME Lead Futures Contract

Short

August 2016

(44,694

)

(1,319

)

Total Industrial Metals

672,146

Total Lead

50,081

Total Industrial Metals

952,767

Agriculturals

Soybean

CBOT Soybean Futures Contract

Long

November 2016

9195

54,~~247~~531,~~288~~500

~~170~~(758,~~425~~913

)

Corn

CBOT Corn Futures Contract

Long

~~September~~December 2016

164

2,~~997~~761,~~100~~350

~~(253~~3,~~975~~763

)

Wheat

CBOT Wheat Futures Contract

Long

~~September~~December 2016

4458

~~980~~1,~~100~~165,800

(57100,~~399~~288

)

KCBT Wheat Futures Contract

Long

~~September~~December 2016

7956

1,~~668~~163,~~875~~400

(~~119~~60,~~013~~512

)

Total Wheat

(~~176~~160,~~412~~800

)

Soybean Meal

CBOT Soybean Meal Futures Contract

Long

December 2016

4863

1,~~924~~887,~~800~~480

~~110~~(513,~~530~~660

)

CBOT Soybean Meal Futures Contract

Long

January 2017

300,200

(36,000

)

Total Soybean Meal

(549,660

)

Soybean Oil

CBOT Soybean Oil Futures Contract

Long

December 2016

8847

1943,~~693,296~~008

~~(30~~34,~~966~~656

)

Total Agriculturals

(~~180~~1,~~398~~430,954

)

Precious Metals

Gold

CEC Gold Futures Contract

Long

~~August~~December 2016

6357

87,~~319~~507,~~780~~470

~~599~~(51,~~256~~930

)

Silver

CEC Silver Futures Contract

Long

~~September~~December 2016

2823

2,~~607~~209,~~220~~610

~~133~~(60,~~720~~740

)

Platinum

NYMEX Platinum Futures Contract

Long

~~October~~January ~~2016~~2017

1211

~~614~~568,~~580~~975

12(8,~~045~~195

)

Palladium

NYMEX Palladium Futures Contract

Long

~~September~~December 2016

~~418~~505,~~145~~050

56,~~310~~845

Total Precious Metals

~~750~~(114,~~331~~020

)

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

~~June~~September 30, 2016

Investments in Derivatives (Continued)

Futures Contracts outstanding (Continued):

CommodityGroup

Contract

ContractPosition(2)

ContractExpiration

Number ofContracts(3)

NotionalAmount at Value(3)

UnrealizedAppreciation(Depreciation)(4)

Livestock

Live Cattle

CME Live Cattle Futures Contract

Long

~~August~~December 2016

~~115~~117

$ 54,~~281~~685,~~950~~850

$ (~~190~~300,~~611~~566

)

Lean Hogs

CME Lean Hogs Futures Contract

Long

~~August~~December 2016

4780

1,~~565~~407,~~570~~200

(40254,~~300~~650

)

CME Lean Hogs Futures Contract

Long

October 2016

458,880

(150

)

Total Lean Hogs

(40,450

)

Feeder Cattle

CME Feeder Cattle Futures Contract

Long

~~August~~November 2016

2022

1,~~443~~316,~~000~~150

(~~101~~142,~~275~~850

)

Total Livestock

(~~332~~698,~~336~~066

)

Foods andFibers

Sugar

Foods and Fibers

Sugar

ICE Sugar Futures Contract

Long

~~October~~March ~~2016~~2017

~~105~~80

2,~~390~~060,~~808~~800

~~103~~169,~~153~~333

ICE White Sugar Futures Contract

Long

August 2016

221,000

47,915

ICE Sugar Futures Contract

Long

May 2017

595,661

(7,325

)

Total Sugar

151,068

ICE White Sugar Futures Contract

Long

December 2016

238,880

20,135

Total Sugar

182,143

Coffee

ICE Coffee C Futures Contract

Long

~~September~~December 2016

3226

1,~~747~~477,~~800~~613

31100,~~575~~763

LIFFE Coffee Robusta Futures Contract

Long

September 2016

274,720

8,480

ICE Coffee C Futures Contract

Long

March 2017

290,437

(750

)

Total Coffee

40,055

LIFFE Coffee Robusta Futures Contract

Long

November 2016

280,560

23,450

Total Coffee

123,463

Cotton

ICE Cotton Futures Contract

Long

December 2016

3831

1,~~219~~055,~~230~~240

~~(14~~49,~~784~~395

)

ICE Cotton Futures Contract

Long

March 2017

274,160

(16,865

)

Total Cotton

32,530

Cocoa

ICE Cocoa Futures Contract

Long

~~September~~December 2016

3025

~~888~~690,~~900~~250

(1347,~~110~~250

)

Total Foods and Fibers

163,229

ICE Cocoa Futures Contract

Long

March 2017

191,380

(9,880

)

Total Futures Contracts outstanding

2,038

$91,258,317

$1,947,607

Total Cocoa

(57,130

)

Total Foods and Fibers

281,006

Total Futures Contracts outstanding

2,000

$86,875,373

$385,380

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

~~June~~September 30, 2016

Investments in Derivatives (Continued)

Call Options Written outstanding:

Commodity Group	Contract	Contract Expiration		NumberofContracts			StrikePrice		Value
CommodityGroup	Contract	ContractExpiration		NumberofContracts			StrikePrice		Value
Energy	Crude Oil
	ICE Brent Crude Oil Futures Options		~~September~~December 2016		(~~98)~~97	)		$51.5000		$(~~105~~144,~~840~~530	)
	NYMEX Crude Oil Futures Options		~~July~~October 2016		(~~87)~~86	)		5247.50		(18160,~~270~~820	)
	Total Crude Oil									(~~124~~305,~~110~~350	)
	Heating Oil
	NYMEX NY Harbor ULSD Futures Options		~~July~~October 2016		(~~45)~~51	)		~~168~~158.00		(876,~~127~~041	)
	Natural Gas
	NYMEX Natural Gas Futures Options		~~July~~October 2016		(~~95)~~90	)		23.9520		(~~102~~28,~~600~~800	)
	Unleaded Gas
	NYMEX Gasoline RBOB Futures Options		~~July~~October 2016		(~~23)~~16	)		~~176~~148.00		(234,~~705~~541	)
	Total Energy									(~~237~~444,~~542~~732	)
Industrial Metals	Copper
	LME Copper Futures Options(5)		August 2016		(35)			4,950.00		(65,118	)
	LME Copper Futures Options (5)		October 2016		(32	)		4,850.00		(28,224	)
	Aluminum
	LME Primary Aluminum Futures Options(5)		August 2016		(56)			1,650.00		(47,404	)
	LME Primary Aluminum Futures Options (5)		October 2016		(57	)		1,650.00		(30,395	)
	Zinc
	LME Zinc Futures Options(5)		August 2016		(16)			2,000.00		(54,144	)
	LME Zinc Futures Options (5)		October 2016		(16	)		2,450.00		(1,336	)
	Nickel
	LME Nickel Futures Options(5)		August 2016		(14)			9,500.00		(26,069	)
	LME Nickel Futures Options (5)		October 2016		(14	)		11,000.00		(2,248	)
	Lead
	LME Lead Futures Options(5)		August 2016		(9)			1,800.00		(10,721	)
	LME Lead Futures Options (5)		October 2016		(8	)		2,050.00		(13,974	)
	Total Industrial Metals									(~~203~~76,~~456~~177	)
Agriculturals	Soybean
	CBOT Soybean Futures Options		October 2016		(~~45)~~47	)		1,220.00		(~~99,844~~294	)
	Corn
	CBOT Corn Futures Options		~~August~~November 2016		(82)	)		~~440~~370.00		(128,~~300~~200	)
	Wheat
	CBOT Wheat Futures Options		~~August~~November 2016		(~~22)~~29	)		~~520~~500.00		(31,~~712~~088	)
	CBOT Wheat Futures Options		~~August~~November 2016		(~~39)~~28	)		~~500~~490.00		(51,~~119~~750	)
	Total Wheat									(82,~~831~~838	)
	Soybean Meal
	CBOT Soybean Meal Futures Options		November 2016		(~~24)~~36	)		430.00		(~~47,280~~900	)
	Soybean Oil
	CBOT Soybean Oil Futures Options		November 2016		(~~44)~~23	)		36.00		(134,~~464~~968	)
	Total Agriculturals									(~~181~~17,~~719~~200	)
Precious Metals	Gold
	COMEX Gold Futures Options		~~July~~November 2016		(~~32)~~28	)		1,~~325~~450.00		(656,~~600~~160	)
	Silver
	CEC Silver Futures Options		~~August~~November 2016		(~~14)~~11	)		1922.2500		(355,~~980~~225	)
	Total Precious Metals									(~~101~~11,~~580~~385	)

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

~~June~~September 30, 2016

Investments in Derivatives (Continued)

Call Options Written outstanding (Continued):

Commodity Group	Contract	Contract Expiration		NumberofContracts			StrikePrice		Value
CommodityGroup	Contract	ContractExpiration		NumberofContracts			StrikePrice		Value
Livestock	Live Cattle
	CME Live Cattle Futures Options		~~August~~December 2016		(~~73)~~76	)	$	~~$125~~114.00	$	$ (1022,~~950~~040	)
	Lean Hogs
	CME Lean Hogs Futures Options		~~August~~December 2016		(~~31)~~40	)		9254.00		(17,~~550~~600	)
	Total Livestock									(1229,~~500~~640	)
Foods and Fibers	Sugar
	ICE Sugar Futures Options		~~September~~February ~~2016~~2017		(~~57)~~56	)		2122.50		(59131,~~371~~712	)
	Coffee
	ICE Coffee C Futures Options		~~August~~November 2016		(~~19)~~18	)		~~160~~162.0050		(2221,~~586~~127	)
	Cotton
	ICE Cotton Futures Options		November 2016		(19)	)		71.00		(810,~~930~~165	)
	Cocoa
	ICE Cocoa Futures Options		~~August~~November 2016		(~~15)~~14	)		3,250.00		(~~1,350~~420	)
	Total Foods and Fibers									(92,237	)
	ICE Cocoa Futures Options		November 2016		(2	)		3,050.00		(240	)
	Total Cocoa									(660	)
	Total Foods and Fibers									(163,664	)
	Total Call Options Written outstanding
	(premiums received $680,319)				(994)					$(829,034	)
	(premiums received $701,196)				(976	)			$	(742,798	)

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

~~June~~September 30, 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 $32,~~158~~826,~~258~~557 and $(12,~~210~~441,~~651~~177), 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 ~~June~~September 30, 2016 (Unaudited) and December 31, 2015

	June 30, 2016			December 31, 2015
	September 30, 2016			December 31, 2015
ASSETS
Short-term investments, at value: U.S. government and agency obligations (cost $85,117,861 and $70,029,645 respectively)	$	85,168,877		$	70,000,297
Short-term investments, at value: U.S. government and agency obligations (cost $71,496,838 and $70,029,645 respectively)	$	71,523,784		$	70,000,297
Repurchase agreements (cost approximates value)		61,~~335~~292,~~757~~455			1,088,249
Deposits with brokers		1015,~~236~~418,~~112~~668			16,182,840
Unrealized appreciation on futures contracts		32,~~158~~826,~~258~~557			1,629,675
Total assets	$	~~104~~91,~~899~~061,~~004~~464		$	88,901,061
LIABILITIES
Call options written, at value(premiums received $680,319 and $633,387, respectively)	$	829,034		$	439,772
Call options written, at value(premiums received $701,196 and $633,387, respectively)	$	742,798		$	439,772
Unrealized depreciation on futures contracts		12,~~210~~441,~~651~~177			2,259,165
Payable for:
Payable for distributions		524,724			—
Distributions		524,724			—
Investments purchased		10,494,723			—
Accrued expenses:
Conversion		7951,~~282~~147			74,106
Management fees		9387,~~161~~985			91,477
Independent Committee fees		1011,~~169~~131			10,926
Professional fees		~~224~~297,~~672~~784			309,773
Other		8691,~~907~~769			84,301
Total liabilities		134,~~553~~248,~~323~~515			3,269,520
SHAREHOLDERS’ CAPITAL
Paid-in capital, unlimited number of shares authorized, 9,047,040 shares issued and outstanding at June 30, 2016 and December 31, 2015		217,646,428			217,646,428
Paid-in capital, unlimited number of shares authorized, 9,047,040 shares issued and outstanding at September 30, 2016 and December 31, 2015		217,646,428			217,646,428
Accumulated undistributed earnings (deficit)		(~~126~~130,~~300~~833,~~747~~479	)		(132,014,887	)
Total shareholders’ capital (Net assets)		9186,~~345~~812,~~681~~949			85,631,541
Total liabilities and shareholders’ capital	$	~~104~~91,~~899~~061,~~004~~464		$	88,901,061
Net assets	$	9186,~~345~~812,~~681~~949		$	85,631,541
Shares outstanding		9,047,040			9,047,040
Net asset value per share outstanding(net assets divided by shares outstanding)	$	109.1060		$	9.47
Market value per share outstanding	$	9.8207		$	9.02

See accompanying notes to financial statements.

NUVEEN DIVERSIFIED COMMODITY FUND

STATEMENTS OF OPERATIONS (Unaudited)

For the Three Months Ended ~~June~~ September 30, 2016 and ~~June~~ September 30, 2015

and the ~~Six~~Nine Months Ended ~~June~~ September 30, 2016 and ~~June~~ September 30, 2015

Three Months Ended June 30,

Six Months Ended June 30,

Three Months EndedSeptember 30,

Nine Months EndedSeptember 30,

2016

2015

2016

2015

Investment Income:

Interest

8285,~~539~~483

3547,~~852~~524

~~140~~225,~~289~~772

61109,~~811~~335

Total Investment Income

8285,~~539~~483

3547,~~852~~524

~~140~~225,~~289~~772

61109,~~811~~335

Expenses:

Management fees

~~275~~274,~~079~~206

~~365~~325,~~425~~901

~~531~~805,~~057~~263

~~729~~1,~~225~~055,126

Brokerage commissions

2923,~~137~~347

3431,~~409~~564

5680,~~998~~345

6799,~~977~~541

Conversion expenses

—

98221,~~779~~651

—

98320,~~779~~430

Custodian fees and expenses

2521,~~308~~859

3024,~~105~~021

4466,~~979~~838

5680,~~745~~766

Independent Committee fees and expenses

1012,~~619~~640

1113,~~846~~098

1932,~~737~~377

2336,~~301~~399

Professional fees

~~101~~107,~~134~~431

~~106~~129,~~720~~815

~~213~~320,~~103~~534

~~229~~359,~~737~~552

Shareholder reporting expenses

2231,~~879~~922

2534,~~451~~241

5183,~~778~~700

6094,~~002~~243

Other expenses

(12,~~590~~536

)

87,~~514~~041

57,~~393~~929

1421,~~592~~633

Total expenses

~~462~~473,~~566~~941

~~681~~787,~~249~~332

~~923~~1,~~045~~396,986

12,~~280~~067,~~358~~690

Net investment income (loss)

(~~380~~388,~~027~~458

)

(~~645~~739,~~397~~808

)

(~~782~~1,~~756~~171,214

)

(1,~~218~~958,~~547~~355

)

Net realized gain (loss) from:

Short-term investments

—2,569

—15

~~101~~2,670

1,~~145~~160

Futures contracts

7(2,~~504~~070,~~806~~837

)

2(16,~~136~~351,~~804~~021

)

42,~~883~~812,~~354~~517

(1329,~~428~~779,~~936~~957

)

Options written

1977,~~248,511~~350

1,~~577~~345,~~009~~893

23,~~446~~424,~~654~~004

34,~~411~~757,~~922~~815

Change in net unrealized appreciation (depreciation) of:

Short-term investments

37(24,~~334~~070

)

1938,~~877~~500

8056,~~364~~294

2462,~~432~~932

Futures contracts

~~704~~(1,~~385~~562,227

)

2(690,~~092,904~~315

)

21,~~577~~014,~~097~~870

109,~~269~~579,~~374~~059

Options written

~~(339~~107,~~293~~113

)

~~(763~~414,~~399~~767

)

(~~342~~235,~~330~~217

)

(~~941~~526,~~687~~920

)

Net realized gain (loss) and change in net unrealized appreciation (depreciation)

9(2,~~155~~570,~~743~~102

)

5(15,~~063~~242,~~195~~161

)

97,~~645~~075,~~240~~138

(~~663~~15,~~750~~905,911

)

Net income (loss)

8(2,~~775~~958,~~716~~560

)

4(15,~~417~~981,~~798~~969

)

85,~~862~~903,~~484~~924

(117,~~882~~864,~~297~~266

)

Net income (loss) per weighted-average share

(0.9733

)

0(1.4977

)

0.9865

(01.2197

)

Weighted-average shares outstanding

9,047,040

See accompanying notes to financial statements.

NUVEEN DIVERSIFIED COMMODITY FUND

STATEMENTS OF CHANGES IN SHAREHOLDERS’ CAPITAL

For the ~~Six~~Nine Months Ended ~~June~~ September 30, 2016 (Unaudited) and the Year Ended December 31, 2015

	Six Months EndedJune 30, 2016			Year Ended December 31, 2015
	Nine Months EndedSeptember 30, 2016			Year Ended December 31, 2015
Shareholders’ capital—beginning of period	$	85,631,541		$	123,198,004
Repurchase of shares		—			—
Net increase (decrease) in shareholders’ capital resulting from operations:
Net investment income (loss)		(~~782~~1,~~756~~171,214	)		(2,382,074	)
Net realized gain (loss) from:
Short-term investments		~~101~~2,670			79
Futures contracts		42,~~883~~812,~~354~~517			(40,931,647	)
Call options written		23,~~446~~424,~~654~~004			5,739,221
Change in net unrealized appreciation (depreciation) of:
Short-term investments		8056,~~364~~294			(30,540	)
Futures contracts		21,~~577~~014,~~097~~870			10,208,143
Call options written		(~~342~~235,~~330~~217	)		(462,171	)
Net income (loss)		85,~~862~~903,~~484~~924			(27,858,989	)
Distributions to shareholders		(34,~~148~~722,~~344~~516	)		(9,707,474	)
Shareholders’ capital—end of period	$	9186,~~345~~812,~~681~~949		$	85,631,541
Shares—beginning of period		9,047,040			9,047,040
Repurchase of shares		—			—
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 ~~Six~~Nine Months Ended ~~June~~ September 30, 2016 and ~~June~~ September 30, 2015

	Six Months Ended June 30,
	Nine Months Ended September 30,
	2016			2015
Cash flows from operating activities:
Net income (loss)	$	85,~~862~~903,~~484~~924		$	(117,~~882~~864,~~297~~266	)
Adjustments to reconcile net income (loss) to net cash provided by(used in) operating activities:
Purchases of U.S. government and agency obligations		(73110,~~080~~058,~~491~~095	)		(5575,~~991~~929,~~676~~831	)
Proceeds from sales and maturities of U.S. government and agency obligations		58108,~~118~~798,~~823~~303			77103,199,~~877~~872
Proceeds from (Purchases of) repurchase agreements, net		(5204,~~247,508~~206	)		(698,~~340,623~~157	)
Premiums received for options written		23,~~812~~943,~~600~~367			35,~~450~~280,~~692~~496
Cash paid for options written		(~~319~~451,~~014~~554	)		(~~255~~889,~~864~~382	)
Amortization (Accretion) of short-term investments		(~~126~~204,~~447~~731	)		(61109,~~811~~227	)
(Increase) Decrease in:
Deposits with brokers		5764,~~946,728~~172			17,~~704~~444,~~064~~612
Other assets		—			(73,~~561~~780	)
Increase (Decrease) in:
Payable for investments purchased		10,494,723			—
Accrued conversion fees		(22,959	)		129,167
Accrued conversion fees		5,176			—
Accrued management fees		(3,492	)		(36,585	)
Accrued management fees		1,684			(19,772	)
Accrued professional fees		(11,989	)		—
Accrued professional fees		(85,101	)		—
Accrued Independent Committee fees		205			(931	)
Accrued Independent Committee fees		(757	)		(1,395	)
Other accrued expenses		7,468			(73,637	)
Accrued other expenses		2,606			(124,953	)
Net realized (gain) loss from:
Short-term investments		(~~101~~2,670	)		(1,~~145~~160	)
Options written		(23,~~446~~424,~~654~~004	)		(34,~~411~~757,~~922~~815	)
Change in net unrealized (appreciation) depreciation of:
Short-term investments		(8056,~~364~~294	)		(2462,~~432~~932	)
Futures contracts		(21,~~577~~014,~~097~~870	)		(109,~~269~~579,~~374~~059	)
Options written		~~342~~235,~~330~~217			~~941~~526,~~687~~920
Net cash provided by (used in) operating activities		24,~~623~~197,~~620~~792			47,~~903~~174,~~495~~305
Cash flows from financing activities:
Cash distributions paid to shareholders		(24,~~623~~197,~~620~~792	)		(47,~~903~~174,~~495~~305	)
Net cash provided by (used in) financing activities		(24,~~623~~197,~~620~~792	)		(47,~~903~~174,~~495~~305	)
Net increase (decrease) in cash		—			—
Cash—beginning of period		—			—
Cash—end of period	$	—		$	—

See accompanying notes to financial statements.

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Unaudited)

~~June~~September 30, 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”), 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 ETF. On June 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 Conversion requires regulatory clearance, including SEC approval of a new exchange rule pursuant to which the Fund’s shares will trade following the Conversion. On June 8, 2016, the Fund announced that the SEC had issued notice of the proposed new exchange rule, which was subsequently published in the Federal Register on June 13, 2016, and subject to a 45-day SEC review period. On July 28, 2016, the Fund announced that the SEC had extended the review period for the proposed rule through September 9, 2016. On September 9, 2016, the SEC further extended the review period for up to an additional 90 days. The SEC may take action on the proposed rule at any time during this review period, and may further extend the review period for up to an additional 60 days. If the SEC approves the proposed rule at the conclusion of ~~this~~the review period, the Fund intends to complete the Conversion as soon as practicable thereafter. There can be no assurance that SEC approval will be obtained, or if obtained, that the Conversion will be completed in the anticipated time frame. In the event that the proposed rule is not approved, the Manager will consider all available options, including liquidation of the Fund. As of ~~June~~ September 30, 2016, the Conversion remains subject to the receipt of regulatory approvals.

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.

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

~~June~~September 30, 2016

1. Organization (Continued)

The Manager, the Commodity Sub-adviser and the Collateral Sub-adviser are subsidiaries of Nuveen Investments, Inc. (“Nuveen Investments”). Nuveen Investments is a subsidiary of TIAA Global Asset Management.

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, 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.

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

~~June~~September 30, 2016

2. Summary of Significant Accounting Policies (Continued)

assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Futures Contracts

The Fund invests in commodity futures contracts. Upon execution of a futures contract, the Fund is obligated to deposit cash or eligible securities, also known as “initial margin,” into an account at its clearing broker. Generally investments in futures contracts also obligate the investor and the clearing broker to settle monies on a daily basis representing changes in the prior day’s “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 ~~six~~nine months ended ~~June~~September 30, 2016 and the year ended December 31, 2015 was as follows:

	Six Months EndedJune 30, 2016			Year EndedDecember 31, 2015
	Nine Months EndedSeptember 30, 2016		Year EndedDecember 31, 2015
Average number of futures contracts outstanding*	2,113	~~2,150~~	2,432		~~2,432~~

*	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 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

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

~~June~~September 30, 2016

2. Summary of Significant Accounting Policies (Continued)

~~recognized~~Options asContracts a component of “Call options written, at value” on the Statements of Financial Condition and is subsequently adjusted to reflect the current value of the written option until the option expires or the Fund enters into a closing purchase transaction. The changes in value of the options written during the reporting period are recognized as a component of “Change in net unrealized appreciation (depreciation) of call options written” on the Statements of Operations. When an option is exercised or expires, or the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid at expiration or on executing a closing purchase transaction is recognized as a component of “Net realized gain (loss) from call options written” on the Statements of Operations. The Fund, as writer of an option, has no control over whether the underlying instrument may be sold (called) and as a result bears the risk of an unfavorable change in the market value of the instrument underlying the written option. There is also the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. During the six months ended June 30, 2016 and the year ended December 31, 2015, the Fund wrote call options on futures contracts.

The Fund ~~did~~may ~~not~~write (sell) and purchase options on commodity futures orand forward contracts ~~during~~to enhance the ~~six~~Fund’s ~~months~~risk-adjusted ~~ended~~total return. ~~June~~When 30the Fund writes an option, ~~2016~~an ~~and~~amount equal to the ~~year~~premium ~~ended~~received ~~December 31,~~is ~~2015.~~recognized ~~The~~as ~~purchase~~a component of “Call options ~~involves~~written, at value” on the ~~risk~~Statements of ~~loss~~Financial ~~of all~~Condition orand ~~part~~is subsequently adjusted to reflect the current value of the ~~cash~~written ~~paid~~option ~~for~~until the ~~options~~option (expires or the ~~premium)~~Fund enters into a closing purchase transaction. The ~~market~~changes ~~risk~~in ~~associated~~value ~~with~~of ~~purchasing~~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 ~~limited~~exercised toor expires, or the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid. ~~The~~at ~~counterparty~~expiration ~~credit~~or ~~risk~~on executing a closing purchase transaction is recognized as a component of ~~purchasing~~“Net realized gain (loss) from call options written” on the Statements of Operations. The Fund, ~~however~~as writer of an option, ~~needs~~has tono ~~take~~control ~~into~~over whether ~~account~~the underlying instrument may be sold (called) and as a result bears the ~~current~~risk of an unfavorable change in the market value of the instrument underlying the written option. There is also the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. During the nine months ended September 30, as2016 ~~performance~~and isthe ~~expected~~year ~~from~~ended December 31, 2015, the ~~counterparty~~Fund wrote call options on futures contracts.

~~Transactions~~The inFund ~~call~~did not purchase options ~~written~~on futures or forward contracts during the ~~six~~nine months ended ~~June~~ September 30, 2016 and the year ended December 31, 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, ~~were~~however, needs to take into account the current value of the option, as ~~follows:~~performance is expected from the counterparty.

	Six Months EndedJune 30, 2016						Year EndedDecember 31, 2015
	Number ofContracts			PremiumsReceived			Number ofContracts			PremiumsReceived
Outstanding, beginning of period		1,098		$	633,387			1,257		$	952,693
Options written		4,525			2,812,600			11,246			6,566,423
Options terminated in closing purchase transactions		(2,334	)		(1,325,587	)		(6,402	)		(3,978,394	)
Options expired		(1,214	)		(742,939	)		(4,217	)		(2,400,362	)
Options exercised		(1,081	)		(697,142	)		(786	)		(506,973	)
Outstanding, end of the period		994		$	680,319			1,098		$	633,387

Transactions in call options written during the nine months ended September 30, 2016 and the year ended December 31, 2015, were as follows:

The average number of call options written outstanding during the six months ended June 30, 2016 and the year ended December 31, 2015 was as follows:


	Nine Months Ended September 30, 2016						Year Ended December 31, 2015
	Number of Contracts			Premiums Received			Number of Contracts			Premiums Received
Outstanding, beginning of period		1,098		$	633,387			1,257		$	952,693
Options written		6,285			3,943,367			11,246			6,566,423
Options terminated in closing purchase transactions		(3,605	)		(2,158,341	)		(6,402	)		(3,978,394	)
Options expired		(1,591	)		(948,171	)		(4,217	)		(2,400,362	)
Options exercised		(1,211	)		(769,046	)		(786	)		(506,973	)

Outstanding, end of the period		976		$	701,196			1,098		$	633,387

		Six Months EndedJune 30, 2016				Year EndedDecember 31, 2015
Average number of call options written outstanding*			1,047				1,183

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


	Nine Months Ended September 30, 2016	Year Ended December 31, 2015
Average number of call options written outstanding*	1,030	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 respective period.

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

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

~~June~~September 30, 2016

2. Summary of Significant Accounting Policies (Continued)

Forward Contracts

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 ~~June~~September 30, 2016 and December 31, 2015, the Fund was not invested in any portfolio securities or derivatives, other than the repurchase agreements further described below, that are subject to 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

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

~~June~~September 30, 2016

2. Summary of Significant Accounting Policies (Continued)

repurchase transaction, including accrued interest, at all times. If the counterparty defaults, and the fair value of the collateral declines, realization of the collateral may be delayed or limited.

The following tables present the repurchase agreements for the Fund, presented on the Statements of Financial Condition as of ~~June~~September 30, 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.

June 30, 2016

September 30, 2016

Counterparty

Short-TermInvestments,at Value

Collateral Pledged(From)Counterparty*

NetExposure

Repurchase Agreements

State Street Bank

61,~~335~~292,~~757~~455

(61,~~335~~292,~~757~~455

)

—


	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 ~~June~~September 30, 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 ~~June~~September 30, 2016 and December 31, 2015 was $61,~~467~~320,~~249~~848 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 observability of the significant inputs.

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

~~June~~September 30, 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~~observability 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 ~~June~~ September 30, 2016 and December 31, 2015:

June 30, 2016

September 30, 2016

Level 1

Level 2

Level 3

Total

Short-Term Investments:

U.S. Government and Agency Obligations

—

8571,~~168~~523,~~877~~784

—

8571,~~168~~523,~~877~~784

Repurchase Agreements

—

61,~~335~~292,~~757~~455

—

61,~~335~~292,~~757~~455

Investments in Derivatives:

Futures Contracts*

1385,~~947,607~~380

—

1385,~~947,607~~380

Call Options Written**

(~~625~~666,~~578~~621

)

(~~203~~76,~~456~~177

)

—

(~~829~~742,~~034~~798

)

Total

1(281,~~322,029~~241

)

9172,~~301~~740,~~178~~062

—

9272,~~623~~458,~~207~~821

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

~~June~~September 30, 2016

2. Summary of Significant Accounting Policies (Continued)



	December 31, 2015
	Level 1			Level 2			Level 3		Total
Short-Term Investments:
U.S. Government and Agency Obligations	$	—		$	70,000,297		$	—	$	70,000,297
Repurchase Agreements		—			1,088,249			—		1,088,249
Investments in Derivatives:
Futures Contracts*		(629,490	)		—			—		(629,490	)
Call Options Written		(350,916	)		(88,856	)		—		(439,772	)

Total	$	(980,406	)	$	70,999,690		$	—	$	70,019,284

*	Represents the net unrealized appreciation (depreciation) on 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)

~~June~~September 30, 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 costs and expenses of its operations, 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. Occasionally, the Fund may receive a refund or reduction for certain expenses previously incurred. When such events occur, the Fund may suspend or reverse an expense accrual, which in turn may result in a credit balance to that expense account recognized on the Statements of Operations.

In connection with the Conversion described previously, the Fund has incurred certain costs and expenses. Such amounts are recognized as a component of “Accrued 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.

Commitments and Contingencies

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

~~June~~September 30, 2016

2. Summary of Significant Accounting Policies (Continued)

~~the~~Commitments 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~~Contingencies ~~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 ~~June~~September 30, 2016 and December 31, 2015, the financial instruments held by the Fund were traded on an exchange and are standardized contracts.

Market risk is the potential for changes in the value of the financial instruments traded by the Fund due to market changes, including fluctuations in commodity prices. Investing in commodity futures and forward contracts involves the Fund entering into contractual commitments to purchase or sell a particular commodity at a specified date and price. The market risk associated with the Fund’s commitments to purchase commodities will be limited to the gross or face amount of the contracts held. The Fund’s exposure to market risk may be influenced by a number of factors, including changes in international balances of payments and trade, currency devaluations and revaluations, changes in interest and foreign currency exchange rates, price volatility of commodity futures and forwards contracts and market liquidity, weather, geopolitical events and other factors. These factors also affect the Fund’s investments in options on commodity futures and forward contracts. The inherent uncertainty of the Fund’s investments as well as the development of drastic market occurrences could ultimately lead to a loss of all, or substantially all, of investors’ capital.

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

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

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

~~June~~September 30, 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 ~~June~~September 30, 2016 and December 31, 2015, the location of these instruments on the Statements of Financial Condition and the primary underlying risk exposure.

June 30, 2016 Location on the Statements of Financial Condition

September 30, 2016 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

32,~~158~~826,~~258~~557

Unrealized depreciation on futures contracts

12,~~210~~441,~~651~~177

Commodity

Options

—

Call options written, at value

~~829~~742,~~034~~798

Total

32,~~158~~826,~~258~~557

23,~~039~~183,~~685~~975

December 31, 2015

Location on the Statements of Financial Condition

Underlying
Risk Exposure

Derivative
Instrument

Asset Derivatives

Liability Derivatives

Location

Value

Location

Value

Commodity

Futures Contracts

Unrealized appreciation on futures contracts

1,629,675

Unrealized depreciation on futures contracts

2,259,165

Commodity

Options

—

Call options written, at value

439,772

Total

1,629,675

2,698,937

The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized on derivative instruments during the ~~six~~nine months ended ~~June~~ September 30, 2016 and ~~June~~September 30, 2015, the location of these instruments on the Statements of Operations and the primary underlying risk exposure.

Commodity Risk Exposure	~~Six~~Nine Months Ended ~~June~~September 30, 2016			~~Six~~Nine Months Ended ~~June~~September 30, 2015
Net realized gain (loss) from:
Futures contracts	$	42,~~883~~812,~~354~~517		$	(1329,~~428~~779,~~936~~957	)
Call options written		23,~~446~~424,~~654~~004			34,~~411~~757,~~922~~815
Change in net unrealized appreciation (depreciation) of:
Futures contracts	$	21,~~577~~014,~~097~~870		$	109,~~269~~579,~~374~~059
Call options written		(~~342~~235,~~330~~217	)		(~~941~~526,~~687~~920	)

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)

~~June~~September 30, 2016

4. Related Parties (continued)

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.

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.

The Fund did not have any transactions in share repurchases during the ~~six~~nine months ended ~~June~~September 30, 2016 and the year ended December 31, 2015.

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

~~June~~September 30, 2016

6. Financial Highlights

The following financial highlights relate to investment performance and operations for a Fund share outstanding during the three and ~~six~~nine months ended ~~June~~September 30, 2016 and the three and ~~six~~nine months ended ~~June~~September 30, 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 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 MonthsEnded June 30,						Six MonthsEnded June 30,
	Three Months EndedSeptember 30,						Nine Months EndedSeptember 30,
	2016			2015			2016			2015
Net Asset Value:
Net asset value per share—beginning of period	$	910.3010		$	12.5976		$	9.47		$	13.62
Net investment income (loss)		(0.04	)		(0.0708	)		(0.0913	)		(0.1322	)
Net realized and unrealized gain (loss)		1(0.0129	)		0(1.5568	)		10.0778			(01.0875	)
Distributions		(0.17	)		(0.3122	)		(0.3552	)		(0.6587	)
Net asset value per share—end of period	$	109.1060		$	1210.7678		$	109.1060		$	1210.7678
Market Value:
Market value per share—beginning of period	$	89.9182		$	11.9091		$	9.02		$	12.83
Market value per share—end of period	$	9.8207		$	1110.9131		$	9.8207		$	1110.9131
Ratios to Average Net Assets:(a)
Net investment income (loss)		(1.7377	)%		(2.2184	)%		(1.8482	)%		(2.0932	)%
Expenses		2.1016	%		23.3302	%		2.17	%		2.1945	%
Total Returns:(b)
Based on Net Asset Value		10(3.5119	)%		3(13.7980	)%		107.6209	%		(115.5413	)%
Based on Market Value		12(5.2486	)%		2(11.6660	)%		136.1249	%		(213.1249	)%

(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 ETF. On June 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 Conversion requires regulatory clearance, including SEC approval of a new exchange rule pursuant to which the Fund’s shares will trade following the Conversion. On June 8, 2016, the Fund announced that the SEC had issued notice of the proposed new exchange rule, which was subsequently published in the Federal Register on June 13, 2016, and subject to a 45-day SEC review period. On July 28, 2016, the Fund announced that the SEC had extended the review period for the proposed rule through September 9, 2016. On September 9, 2016, the SEC further extended the review period for up to an additional 90 days. The SEC may take action on the proposed rule at any time during this review period, and may further extend the review period for up to an additional 60 days. If the SEC approves the proposed rule at the conclusion of the ~~this~~ review period, the Fund intends to complete the Conversion as soon as practicable thereafter. There can be no assurance that SEC approval will be obtained, or if obtained, that the Conversion will be completed in the anticipated time frame. AsIn the ofevent ~~June~~that ~~30,~~the ~~2016,~~proposed ~~the Conversion~~rule ~~remains~~is ~~subject~~not toapproved, the ~~receipt~~Manager ofwill ~~regulatory~~consider ~~approvals.~~all available options, including

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, and changes to the Fund’s investment strategy, name and

~~distribution~~liquidation ~~policy. None~~ of ~~these~~the ~~expected~~Fund. ~~changes~~As ~~have~~of ~~been finalized~~September 30, ~~and they remain subject to further revision by the Manager. In addition~~2016, ~~following~~ the Conversion, ~~the~~remains ~~Manager~~subject ~~will continue~~ to ~~have~~ the ~~ability,~~receipt ~~without shareholder approval, to make subsequent changes to the operation~~ of ~~the~~regulatory ~~Fund~~approvals.

~~The~~In ~~Fund~~connection iswith ~~not currently~~the Conversion, ~~and~~the ~~after~~Manager intends to implement a number of additional changes to the ~~Conversion~~Fund that the Manager believes will ~~not~~better ~~be,~~align a ~~mutual~~number ~~fund~~of orthe ~~any~~Fund’s ~~other~~features ~~type~~with its newly-adopted ETF structure, including a reduction of ~~investment~~the ~~company~~management ~~within~~fee, and changes to the ~~meaning~~Fund’s investment strategy, name and distribution policy. None of ~~the~~these ~~1940~~expected ~~Act~~changes have been finalized, and they remain subject to further revision by the Manager. ~~Until~~In addition, following the Conversion ~~occurs~~, the ~~Fund~~Manager will continue to ~~operate~~have asthe ~~currently~~ability, ~~structured~~without shareholder approval, to make subsequent changes to the operation of the Fund.

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 Investment Company Act of 1940, as amended. Until the Conversion occurs, the Fund will continue to operate as currently structured.

Results of Operations

The Quarter Ended ~~June~~ September 30, 2016 – Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $9.8207 on the close of business on ~~June~~September 30, 2016. This represents ana ~~increase~~decrease of 107.2164% in share price (not including an assumed reinvestment of distributions) from the $89.9182 price at which the shares of the Fund traded on the close of business on ~~March~~June 3130, 2016. The high and low intra-day share prices for the quarter were $9.9397 (~~June 10~~July 12, 2016) and $8.5274 (~~April 5~~September 28, 2016), respectively. During the quarter, the Fund declared distributions totaling $0.174 per share to shareholders, of which $0.058 was paid on ~~July~~October 13, 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 12-5.2486%. At ~~June~~September 30, 2016, shares of the Fund traded at a 25.7752% discount to the Fund’s net asset value of $109.1060 per share.

The Quarter Ended ~~June~~ September 30, 2015 – Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $1110.9131 on the close of business on ~~June~~ September 30, 2015~~. This represents an~~, ~~increase~~a decrease of 013.0843% in share price (not including an assumed reinvestment of distributions) from the $11.9091 price at which the shares of the Fund traded on the close of business on ~~March 31~~June 30, 2015. The high and low intra-day share prices for the quarter were $12.7930 (~~May 14,~~July ~~18 and 20~~2, 2015) and $119.6423 (~~June~~August 2924, 2015), respectively. During the quarter, the Fund declared distributions totaling $0.~~309~~222 per share to shareholders, of which $0.~~103~~074 was paid on ~~July~~ October 1, 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 2-11.6660%. At ~~June~~ September 30, 2015, shares of the Fund traded at a 64.6636% discount to the Fund’s net asset value of $1210.7678 per share.

The Quarter Ended ~~June~~ September 30, 2016 – Net Assets of the Fund

The Fund’s net assets ~~increased~~decreased from $8491.1 3 million at ~~March~~June 3130, 2016, to $9186.3 8 million at ~~June~~September 30, 2016, ana decrease ~~increase~~ of $74.25 million. The ~~increase~~decrease in the Fund’s net assets was due to ~~net~~approximately ~~income of~~ $~~8.8 million offset by $~~1.65 million of distributions to shareholders and a net loss of $3.0 million.

The Fund generated a net ~~income~~loss of $83.8 0 million for the quarter ended ~~June~~September 30, 2016, resulting from ~~interest~~expenses ~~income~~ of $0.1 5 million, net realized ~~gains~~losses of $81.8 1 million and ~~change~~an inincrease in net unrealized ~~appreciation~~ depreciation of $01.45 million, offset by ~~expenses~~interest income of $0.5 1 million. During the quarter ended September 30, 2016, the Fund’s collateral investments generated interest income of $85,483, which represents 0.10% of average net assets for the quarter ended September 30, 2016.

During the quarter ended June 30, 2016, the Fund’s collateral investments generated interest income of $82,539, which represents 0.09% of average net assets for the quarter ended June 30, 2016.

The net asset value per share on June 30, 2016, was $10.10. This represents an increase of 8.60% in net asset value (not including an assumed reinvestment of distributions) from the $9.30 net asset value as of March 31, 2016. During the quarter, the Fund declared distributions totaling $0.174 per share to shareholders, of which $0.058 was paid on July 1, 2016. When an assumed reinvestment of these distributions is taken into account, the cumulative total return for the Fund on net asset value was 10.51% for the quarter ended June 30, 2016.

The ~~Quarter~~net ~~Ended~~asset value per share on September 30, 2016, was $9.60. This represents a decrease of 4.95% in net asset value (not including an assumed reinvestment of distributions) from the $10.10 net asset value as of June 30, ~~2015~~2016. –During ~~Net~~the ~~Assets~~quarter, the Fund declared distributions totaling $0.174 per share to shareholders, of which $0.058 was paid on October 3, 2016. When an assumed reinvestment of these distributions is taken into account, the cumulative total return for the Fund on net asset value was -3.19% for the quarter ended September 30, 2016.

The ~~Fund’s~~Quarter ~~net~~Ended ~~assets~~September ~~increased from $113.9 million at March 31, 2015, to $115.5 million at June~~ 30, 2015, an– ~~increase~~Net Assets of ~~$1.6 million. The increase in~~ the Fund’s ~~net assets was due to net income of $4.4 million, in addition to $2.8 million of distributions to shareholders.~~

The Fund’s ~~generated~~ net ~~income~~assets ofdecreased from $4115.45 million ~~for~~at ~~the quarter ended~~ June 30, 2015, ~~resulting~~to ~~from~~approximately ~~net~~$97.5 ~~realized~~million ~~gains~~at September 30, 2015, a decrease of $318.70 million. ~~and~~The ~~change~~decrease in the Fund’s net ~~unrealized~~assets ~~appreciation~~was due ofto ~~approximately~~a net loss of $116.40 million, ~~offset~~in byaddition ~~total~~to ~~expenses of~~ $02.70 million of distributions to shareholders.

~~During~~The Fund generated a net loss of $16.0 million for the quarter ended ~~June~~ September 30, 2015, ~~the~~resulting ~~Fund’s~~from ~~collateral~~net ~~investments~~realized ~~generated~~losses ~~interest income~~ of $3515.0 million,~~852,~~ ~~which~~change ~~represents~~in ~~0.03%~~net ofunrealized ~~average~~depreciation ~~net~~of ~~assets~~$0.2 ~~for~~million ~~the~~and ~~quarter~~total ~~ended~~expenses ~~June 30,~~of ~~2015~~$0.8 million.

~~The~~During ~~net~~the ~~asset~~quarter ~~value~~ended ~~per~~September ~~share on June~~ 30, 2015, ~~was~~the ~~$12.76.~~Fund’s ~~This~~collateral ~~represents~~investments angenerated ~~increase~~interest ofincome ~~1.35% in net asset value (not including an assumed reinvestment~~ of ~~distributions) from the~~ $~~12.59 net asset value as of March 31~~47, ~~2015. During the quarter~~524, ~~the~~which ~~Fund~~represents ~~declared distributions totaling $~~0.~~309~~05% ~~per share to shareholders,~~ of ~~which $0.103 was paid on July 1, 2015. When an assumed reinvestment of these distributions is taken into account, the~~ ~~cumulative~~average ~~total return for the Fund on~~ net ~~asset~~assets ~~value was 3.79%~~ for the quarter ended ~~June~~ September 30, 2015.

The ~~Quarter~~net ~~Ended~~asset ~~June~~value per share on September 30, 2015, was $10.78, a decrease of ~~2016~~15.52% –in ~~Overall~~net ~~Commodity~~asset ~~Market~~value ~~Commentary~~(not including an assumed reinvestment of distributions) from the $12.76 net asset value as of June 30, 2015. During the quarter, the Fund declared distributions totaling $0.222 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 -13.80% for the quarter ended September 30, 2015.

The ~~broad~~Quarter ~~commodity~~Ended ~~market~~September 30, ~~performed strongly in the second quarter of~~ 2016, as– ~~measured by~~Overall ~~the Bloomberg~~ Commodity ~~Index~~Market ~~(BCOM),~~Commentary supported by a favorable macro backdrop, improving fundamentals and bullish weather events. Currency fluctuations were a distinct theme in the second quarter. For most of the quarter, the U.S. Federal Reserve (the “Fed”) was expected to raise its target interest rate in June, providing support to the U.S. dollar. However, a disappointing jobs report in May and unease about the British vote to leave the European Union (commonly referred to as Brexit) took the potential June increase off the table, and the dollar retreated. All of the commodities traded in the Fund and BCOM are denominated in U.S. dollars, but the dollar weakening helped precious metals commodities to rally. The most dramatic currency swing was the British pound, which fell to a 31-year low versus the U.S. dollar after the British public voted on June 23 to leave the European Union. The yen, euro, Chinese yuan and other emerging market currencies were also volatile over the quarter.

~~The~~After ~~Fed~~a ~~left~~strong ~~its~~second ~~benchmark interest rate unchanged at its June meeting. Although the June jobs report (released after the close of the~~ quarter~~) significantly exceeded expectations and alleviated concerns that May was the start of a deceleration trend~~, the ~~Brexit~~broad ~~vote~~commodity ~~introduced~~market areversed ~~host~~course ofin ~~economic and political uncertainties. Central bank assurances helped soothe global markets, with many assets recovering most, if not all, of their post-Brexit trading losses by~~ the ~~end~~third ~~of the~~ quarter~~. Looking at longer-term rates~~, ~~Treasury~~falling ~~yields~~3.9% ~~fell~~as tomeasured ~~new~~by ~~lows in~~ the ~~Brexit~~Bloomberg ~~aftershock,~~Commodity asIndex ~~risk aversion sent investors rushing into safe-haven assets such as government bonds and precious metals~~(BCOM). Furthermore, with Japan adopting negative interest rates in early 2016 and low to negative rates across Europe, commodities and other non-yielding assets have benefited from investors seeking preservation of value.

~~Although~~Weather ~~the~~drove Ellosses ~~Niño weather pattern officially ended~~ in ~~May,~~grain ~~several~~commodities ~~grain~~ and boosted soft commodities. ~~saw~~Corn ~~price~~and ~~increases~~wheat ~~during~~prices ~~the~~sank ~~quarter~~as ~~driven~~ideal bygrain ~~expectations~~growing ~~for~~conditions ~~smaller~~in ~~harvests~~the ~~due~~U.S. toboosted crop ~~lower~~yield ~~rainfalls~~estimates. inConversely, ~~Southeast~~unfavorable ~~Asia~~weather ~~and~~in India, ~~dry~~and ~~weather~~Brazil inhurt ~~Brazil~~sugar and ~~flooding~~coffee inproduction ~~Argentina~~expectations, respectively, driving prices higher. ~~Commodity~~Also ~~producers~~during ~~and~~the ~~investors~~quarter, ~~also continued~~the toU.S. ~~monitor~~National ~~conditions~~Oceanic ~~for~~and aAtmospheric ~~potential~~Administration (NOAA) removed its La Niña ~~phenomenon,~~watch ~~which~~for ~~could~~winter ~~begin~~2017, inthereby ~~the~~removing ~~coming~~some ~~months~~uncertainty and ~~potentially~~possibly ~~disrupt~~applying ~~growing~~downward ~~seasons~~pressure ~~and~~on ~~transport~~prices for grain commodities.

~~The~~Excess ~~energy~~inventory ~~and~~also ~~industrial~~continued ~~metals~~to ~~complexes~~weigh ~~also~~on ~~saw~~the ~~tightening~~energy ~~supply~~and ~~conditions~~livestock markets. ~~Evidence~~The ~~that~~ongoing ~~production~~supply ~~cuts~~glut ~~have~~in ~~started~~crude tooil ~~balance~~dampened ~~some~~prices ofearly in the ~~more-oversupplied~~quarter. ~~markets~~But, ~~triggered~~later ~~rallies~~in ~~across~~the ~~crude oil~~quarter, ~~natural~~the ~~gas~~Organization ~~and~~of ~~zinc.~~the Petroleum ~~The~~Exporting ~~energy~~Countries ~~sector~~(OPEC) ~~was~~began ~~further~~hinting ~~boosted~~at, bythen agreed to, a ~~number~~production ofcut, ~~supply~~which ~~disruptions~~helped ~~around~~petroleum ~~the~~markets ~~world,~~to ~~including~~partially ~~forest~~recover ~~fires~~earlier inlosses. ~~Canada~~Livestock, ~~pipeline attacks in Nigeria~~however, ~~and~~suffered ~~worker~~a ~~strikes~~double-digit indecline ~~France~~for ~~and~~the ~~Kuwait. However~~quarter, ~~the~~with robust supply of ~~tightening~~both ~~trend~~cattle ~~could~~and ~~slow~~lean ifhogs ~~the~~driving ~~recent~~their ~~price~~futures ~~rally~~prices ~~encourages producers to reintroduce capacity~~lower.

Currency fluctuations also contributed to commodity price volatility during the quarter. Speculation on the timing of the U.S. Federal Reserve’s (the “Fed”) next interest rate increase drove volatility in the U.S. dollar (in which all of the Fund’s commodities are priced), as did the release of key economic data reports such as payroll, employment and consumer confidence. Shifting sentiment about the U.K.’s vote to leave the European Union, known as Brexit, caused U.K. sterling to drop to a 31 year low in early July, then rally when the Bank of England (BOE) took no action, then fall again when the BOE announced a large stimulus program. Adding to currency volatility during the quarter were concerns about a banking crisis in Italy and the European Central Bank’s decision not to extend its bond buying program.

~~Led~~Within ~~by double digit appreciation in~~ the ~~energy~~BCOM, the foods and fibers ~~(as~~and ~~grouped~~the byindustrial ~~Gresham), precious~~ metals ~~and~~ ~~agriculture~~ groups, ~~the~~led ~~BCOM~~performance ~~rose~~for ~~12.8% in~~ the ~~second~~ quarter. ~~Industrial~~The livestock ~~metals~~and ~~was~~agriculture ~~also~~groups awere ~~contributor to~~ the ~~BCOM’s~~weakest ~~returns~~performers, with energy posting ~~single~~a ~~digit~~modest ~~gains~~loss. ~~Livestock~~The ~~was~~precious ~~the~~metals ~~weakest performing~~ group inwas ~~the~~flat ~~BCOM~~for ~~and~~ the ~~only sector with a negative return~~quarter. While lean hogs prices increased on the prospect of increased Chinese demand, the gains were offset by falling live cattle prices, which suffered due to forecasts for robust production and diminishing demand.

The Quarter Ended ~~June~~ September 30, 2015 – Overall Commodity Market Commentary

~~After~~Declines ~~three~~were ~~consecutive~~widespread ~~quarterly~~in ~~losses,~~ the broad commodity market ~~swung~~during ~~to a gain in~~ the ~~second~~third quarter of 2015, aswith ~~measured~~all bysix ~~the~~commodity ~~BCOM.~~groups ~~Double-digit increases~~ in the BCOM’s finishing ~~largest~~the ~~sectors (energy~~quarter ~~and~~lower. ~~agriculture)~~Of ~~were~~all of the ~~main~~commodities ~~contributors~~represented toin the ~~index~~BCOM, only five didn’st ~~positive~~post ~~performance,~~a ~~while~~loss ~~the~~in ~~industrial~~excess ~~metals~~of 10%, and ~~precious~~of ~~metals~~those ~~groups~~five ~~were~~only ~~the~~lean ~~main~~hogs ~~detractors~~had a positive return.

The largest group by weight, energy commodities represented 3532.76% of the BCOM at the end of the period. ~~All~~The energy ~~commodities~~group ~~had~~led ~~positive~~the ~~returns~~BCOM’s decline, down 22.4% for the quarter,. ~~contributing~~An toongoing ~~the~~supply ~~group’s 10.9%~~glut, ~~advance.~~particularly ~~Unleaded~~for ~~gas~~crude ~~was~~oil, ~~the~~and ~~strongest~~global ~~performer~~macroeconomic inworries, ~~the~~especially ~~group~~in China, ~~rallying~~weighed heavily on ~~refinery~~energy ~~outages,~~prices. ~~seasonal~~The ~~demand~~finalization ~~for~~of ~~driving~~Iran’s ~~and~~nuclear ~~news~~deal, ~~that~~which ~~the~~lifts ~~Environmental~~sanctions ~~Protection~~on ~~Agency~~oil ~~was~~exports, ~~proposing~~also todisrupted ~~ease~~oil ~~ethanol~~markets—even ~~blend~~though Iranian ~~regulations.~~exports ~~Crude~~aren’t ~~oil~~expected ~~was~~to ~~another~~impact ~~top performer,~~the asglobal ~~both~~oil ~~Brent~~supply ~~and~~until 2016. West Texas Intermediate (WTI) ~~prices~~and ~~rallied~~Brent ~~off~~crude ~~their~~were ~~March~~the ~~lows~~worst-performing onindividual ~~declining~~commodities ~~U.S.~~in ~~rig~~the ~~counts~~BCOM, ~~and~~falling ~~lower U~~27.S.4% ~~production~~and ~~estimates~~26.3%, ~~from the Energy Information Administration~~respectively.

Agricultural commodities, as grouped by Gresham, made up 2223.91% of the BCOM at the end of the period. The agriculture group ~~was~~sustained ~~up 10.4% for the quarter, with~~double-digit ~~positive~~declines ~~performance~~across ~~from~~ all ~~agriculture~~of its commodities., ~~Heavy~~which ~~rainfall~~resulted ~~across~~in ~~key~~a ~~growing~~14.1% ~~regions~~loss infor the Ugroup overall.S. ~~propelled~~Abundant ~~grain~~crop ~~prices,~~yields ~~causing~~in ~~floods~~South ~~and~~America, ~~potentially~~favorable ~~reduced~~growing ~~plantings.~~conditions ~~Additionally,~~in athe ~~June 30th~~ U.S. ~~Department~~Midwest, ~~of Agriculture (USDA) crop report revealed potentially tighter-than-expected supplies of corn~~ and ~~soybeans.~~weak ~~Dry~~currencies ~~conditions~~in ~~across~~Brazil ~~a number of wheat-exporting countries, including Canada, Russia, Ukraine, France~~ and ~~Australia,~~Argentina ~~further~~continued ~~supported~~to ~~price appreciation for~~put ~~wheat,~~downward aspressure ~~did~~on ~~Russia’s~~grain ~~implementation of an export tax to stem high bread~~ prices ~~and inflation~~.

The precious metals group, which is made up of gold and silver commodities, represented 1516.16% of the BCOM at the end of the period. Precious metals prices were ~~among~~choppy over the ~~weaker-performing~~quarter, ~~sectors~~driven inby ~~the~~global ~~BCOM~~macroeconomic ~~for~~concerns, ~~the~~fluctuating ~~quarter,~~currencies ~~down~~and ~~2.6%.~~the ~~U.S.~~Fed’s ~~dollar~~decision ~~movements,~~to ~~reduced~~leave ~~demand,~~interest ~~and~~rates ~~anticipation~~unchanged ~~of rising~~at Uits September meeting.S. ~~interest~~The ~~rates~~group ~~weighed~~fell 5.6% onfor the ~~sector~~quarter. Platinum and palladium, which are held byin the Fund’s portfolio but not in the BCOM, also ~~posted~~had ~~losses~~negative ~~for~~performance over the quarter. Platinum prices were further roiled by the Volkswagen emissions scandal in September. The metal is widely used in diesel engines, and the auto industry consumes roughly 30% of global supply. Investors feared shrinking platinum demand if consumers switched to gasoline or electric vehicles.

The commodities in the industrial metals group comprised 15.05% of the BCOM at the end of the period. ~~All~~Industrial ofmetals ~~the~~continued ~~industrial~~their ~~metals~~decline ~~commodities~~due ~~(aluminum,~~to concerns ~~copper,~~about ~~nickel,~~China’s ~~and~~economy. ~~zinc)~~Investors ~~finished~~reacted negatively to the ~~quarter lower,~~country’s asunexpected ~~worries~~currency ~~about~~devaluation ~~China~~and other policy measures taken to try to counteract its slackening growth. Adding to the sector’s ~~slowing~~bearish ~~economy~~tone ~~continued~~were torumors of ~~dampen~~inventory ~~prices~~reductions and/or liquidations following the collapse of Swiss mining giant Glencore PLC’s stock price. The ~~group~~industrial asmetals agroup ~~whole~~sank ~~fell 5~~11.31% for the quarter.

Foods and fibers commodities, as grouped by Gresham, made up a combined 67.64% of the BCOM at the end of the period. ~~The~~For ~~sector~~most ~~rose~~of ~~1.6% for~~ the quarter, assugar ~~gains~~prices indeclined ~~cotton~~due ~~and~~to ~~sugar~~favorable ~~offset~~weather ~~a decline~~ in ~~Arabica~~Brazil, ~~coffee.~~one ~~The~~of the ~~three~~main ~~contracts~~sugar ~~included~~producers, inboosting ~~the~~supply ~~Fund but~~expectations ~~not~~and in the ~~BCOM,~~weak ~~white~~Brazilian ~~sugar,~~real. ~~Robusta~~Coffee ~~coffee~~prices ~~and cocoa,~~ were also uphurt ~~for~~by the ~~quarter.~~real’s ~~Cocoa~~weakness ~~delivered~~and a ~~double-digit gain, buoyed by a number of~~ supply~~-related~~ ~~concerns,~~increase ~~including~~due ~~concerns that Ghana may not have enough crops~~ to ~~fulfill~~timely ~~its 2014-2015~~rainfall ~~contracts and the potential for an El Niño weather pattern to disrupt cocoa crops~~ in ~~Ecuador, Indonesia and West Africa~~Brazil. Cotton ~~prices~~futures ~~rallied~~also ~~late~~declined inover the quarter, contributing asto ~~heavy~~a ~~rains delayed plantings in several U~~7.S.6% ~~states,~~drop ~~including Texas,~~for athe ~~top~~foods ~~producer~~and offibers ~~high-quality~~group ~~fiber~~overall.

The livestock group, at 4.78% of the BCOM at the end of the period, is the smallest group. ~~Both live~~Lean ~~cattle and lean~~ hogs ~~contracts~~prices ~~declined~~rallied ~~slightly~~13.4% ~~over~~and were the ~~quarter,~~only ~~resulting~~commodity in athe ~~1.5%~~BCOM ~~drop~~to ~~for~~post ~~the~~a ~~livestock~~gain ~~group~~ in ~~aggregate~~the third quarter. ~~Additionally,~~Hot ~~the~~summer ~~Fund~~weather ~~also~~stifled ~~invests~~weight gain in ~~feeder~~pigs, ~~cattle~~and ~~contracts,~~U.S. ~~which~~retail ~~also~~demand ~~posted~~was astrong ~~small~~as ~~loss.~~pork ~~Cattle~~continued ~~prices~~to ~~were choppy~~be ~~during~~cheaper ~~the~~than ~~quarter~~beef. However, ~~amid~~live cattle ~~herd~~prices ~~rebuilding~~fell ~~after last year~~14.6%, ~~and~~as ~~rain~~beef’s ~~and~~supply-demand ~~flooding~~imbalance ~~across~~persisted ~~the~~amid ~~U.S.~~reports ~~Midwest~~of ~~creating~~higher ~~logistical~~carcass ~~problems~~weights, ~~for~~price ~~cattle~~competition ~~producers.~~from ~~Higher~~pork, ~~supply levels~~ and a ~~slowdown~~strong indollar, ~~export~~which ~~demand~~slowed ~~kept~~exports ~~lean~~and ~~hogs~~encouraged ~~prices~~imports. The overall livestock ~~relatively~~group ~~flat~~was down 5.4% for the quarter. ~~Concerns about the avian flu epidemic pressured~~

~~cattle~~The ~~and~~Quarter ~~lean~~Ended ~~hogs prices during the quarter. U.S. poultry export restrictions enacted because of the avian flu led to an increase in domestic chicken and turkey supplies~~September 30, ~~creating~~2016 ~~price competition~~– ~~for~~Fund ~~beef~~Commodity ~~and~~Portfolio ~~pork~~Commentary ~~heading into the summer months, when demand is usually higher.~~

The ~~Quarter~~Fund’s ~~Ended~~commodity ~~June~~portfolio 30declined 2.8% for the quarter, ~~2016~~before –considering the expenses of the Fund or the performance of its collateral ~~Commodity~~portfolio. ~~Portfolio~~The ~~Commentary~~overall commodities market, as measured by the BCOM, fell 3.9%. 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 -3.19%.

The Fund’s commodity portfolio was up 10.8% for the three-month period, before considering the expenses of the Fund or the performance of its collateral portfolio. The overall commodities market, as measured by the BCOM, was up 12.8%. 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 10.51%.

The Fund writes – that is, sells – covered call options on its portfolio’s commodity futures, seeking to limit return volatility, and to provide cash flow to support the Fund’s distributions. Gresham sells exchange-traded commodity call options on up to 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 Fund wrote call options for soybeans, soybean meal, WTI crude, Brent crude, natural gas, silver and sugar that went in the money and were exercised during the quarter.

During the quarter the Fund sold options on approximately 50% of the value of each commodity position. The Fund’s option-writing activity detracted from the performance for the period, but 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, agriculture was the only commodity group in which the Fund outperformed the BCOM. The Fund’s foods and fibers group, as grouped by Gresham, lagged the BCOM’s position due to the Fund’s smaller gains in sugar and cotton, and an overall underweight allocation to the group. In precious metals, the Fund’s return fell short of the BCOM’s return due to underweight position in silver and gold. Natural gas was a large detractor from the Fund’s relative performance in the energy group, as the Fund held a smaller exposure during a period of strongly rising prices. The Fund’s WTI crude oil and heating oil exposures also modestly underperformed the BCOM’s positions. In the industrial metals group, the Fund’s gain lagged that of the BCOM. The Fund’s livestock position underperformed the BCOM’s exposure due to an overweight position in live cattle and exposure to feeder cattle, a commodity not represented in the BCOM.

The Quarter Ended June 30, 2015 – Fund Commodity Portfolio Commentary

The Fund’s commodity portfolio rose 4.5% for the quarter, before considering the expenses of the Fund or the performance of the collateral portfolio. The overall commodities market, as measured by the BCOM, was up 4.7%. 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 3.79%.

During the quarter, the Fund sold options on approximately 50% of the value of each commodity position. ~~Overall,~~The ~~the~~ Fund’s option-writing activity ~~detracted~~added ~~from~~to performance for the period, ~~but~~and premiums collected on call options helped reduce the Fund’s volatility versus the BCOM, as measured by the standard deviation of return. ~~Call options written on the Fund’s agriculture and precious metals positions expired out of the money, enabling the Fund to retain all of those premiums.~~

At the commodity group level, the Fund’s absolute return surpassed that of the BCOM in livestock, energy and precious metals, slightly trailed the BCOM in foods and fibers and industrial metals, and performed in line with the BCOM in the agriculture group.

In the livestock group, the Fund performed better than the BCOM on its live cattle position and to a lesser extent in its lean hogs position in absolute terms. On a relative basis, however, livestock was a detractor since the Fund’s overweight position hurt the portfolio as prices declined in the period. Though the Fund’s absolute returns in agriculture were in line with the BCOM, agriculture was one of the top contributors on a relative basis; the Fund benefitted from underweight positions in the group as prices declined. Within the energy complex, which was the top contributor to Fund performance on a relative basis, the Fund’s largest relative gain was in natural gas, with a small relative outperformance in crude oil. The Fund’s positions in platinum and palladium generated positive performance relative to the BCOM within the precious metals group (the BCOM does not hold platinum and palladium).

The Fund’s foods and fibers position, as grouped by Gresham, underperformed the BCOM’s position, with a loss in cocoa (which is not included in the BCOM) overwhelming positive relative performance from cotton and coffee. Underweight sugar hurt on relative basis as prices rose during the period. The Fund’s industrial metals group slightly outperformed the BCOM’s group on a relative basis. Relative weakness in nickel and zinc was offset by gains in lead (which is not represented in the BCOM), copper, and aluminum. In addition, zinc, nickel and lead call options written by the Fund went in-the-money during the quarter and were exercised, reducing the amount of premiums collected by the Fund.

The Quarter Ended September 30, 2015 – Fund Commodity Portfolio Commentary

The Fund’s commodity portfolio was down 13.3% for the quarter, before considering the expenses of the Fund. The overall commodities market, as measured by the BCOM, declined 14.5%. 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 -13.80%.

During the quarter, the Fund sold options on approximately 50% of the value of each commodity position. Overall, the Fund’s option-writing activity contributed positively to performance for the period and helped reduce the Fund’s volatility versus the BCOM, as measured by the standard deviation of return. Call options

At written ~~the~~on ~~commodity~~all ~~group~~of ~~level,~~ the ~~energy,~~Fund’s ~~precious~~commodity ~~metals, and foods and fibers~~ positions ~~contributed positively~~expired toout ~~relative~~of ~~performance,~~the ~~while agriculture~~money, ~~industrial~~enabling ~~metals~~the ~~and~~Fund ~~livestock~~to ~~detracted,~~retain asall ~~highlighted~~of ~~below~~those premiums.

~~The~~At ~~Fund’s energy position gained 12.7% and outperformed~~ the ~~BCOM’s~~commodity ~~10.9% return in the~~ group. ~~The~~level, ~~outperformance was primarily due to~~ the Fund’s ~~higher~~positions ~~weighting~~ in ~~crude~~agriculture, ~~oil.~~industrial ~~Additionally~~metals, ~~the Fund collected higher premiums from writing~~ energy ~~call options~~and inlivestock acontributed ~~higher~~to ~~volatility~~relative ~~environment~~performance, ~~which~~foods ~~helped~~and ~~offset~~fibers ~~options~~had ona ~~crude~~neutral ~~oil~~impact, ~~unleaded gas~~ and ~~heating~~precious metals ~~oil~~detracted ~~that~~from ~~were~~returns ~~exercised~~relative ~~against~~to the ~~Fund~~BCOM, ~~during~~as ~~the~~highlighted ~~quarter~~below.

InThe ~~the~~agriculture ~~precious~~group ~~metals~~added ~~group,~~the most to the Fund’s ~~positions~~relative returns ~~fell~~during 2the quarter.~~4%,~~ ~~which~~The ~~was~~Fund’s ~~slightly~~underweight ~~better~~to ~~than~~agricultural ~~the~~commodities ~~2.6%~~as ~~decline~~well as outperformance in ~~the~~its ~~BCOM~~soybean, wheat and soybean oil positions were beneficial. ~~The~~Relative ~~positive~~gains ~~relative~~in ~~performance~~the ~~was~~industrial ~~driven~~metals ~~both~~group bycame from the Fund’s ~~underweight~~larger toand ~~the~~more ~~group~~diversified position. The Fund includes London Metal Exchange (LME) copper and lead, which ~~limited~~are ~~its~~not ~~exposure~~represented toin the ~~sector’s~~BCOM. ~~losses~~Although ~~during~~both of these contracts had negative performance for the quarter, ~~and~~they were among the better-performing ~~options~~commodities ~~strategy~~on ~~which~~a ~~contributed~~relative basis to the ~~Fund~~BCOM as their losses were smaller than the BCOM’s ~~performance~~overall decline. ~~All~~In ofthe energy group, the Fund’s ~~precious~~relative ~~metals~~results were boosted by its underweight in natural gas and by its options strategy. ~~expired~~When ~~out~~volatility ofspiked in September, the ~~money~~Fund collected higher premiums on the crude oil options it wrote, ~~enabling~~ which was advantageous to performance. Driving relative outperformance in the livestock group was the Fund’s overweight to ~~keep~~lean hogs, the ~~full~~top-performing ~~premiums~~commodity in both the Fund and the BCOM for the quarter.

~~The~~Performance ~~Fund’s~~in the foods and fibers ~~position~~group ~~gained~~was 4mixed.4% ~~and outpaced~~ While the ~~BCOM~~Fund’s ~~1.6%~~exposure ~~return. Relative~~to ~~outperformance~~sugar in(New York-traded) was detrimental to relative performance, the ~~foods~~loss ~~and~~was ~~fibers~~offset ~~group~~by ~~came~~small ~~from~~relative gains across the Fund’s ~~exposure to cocoa~~cotton, ~~which~~coffee ~~rallied~~and ~~during~~cocoa ~~the quarter~~ (cocoa is not ~~included~~represented in the BCOM) positions. The precious metals group, ashowever, ~~well~~was asa meaningful detractor over the quarter. The Fund’s ~~lower~~underweight ~~weighting~~allocations into ~~Arabica~~gold ~~coffee,~~and ~~which~~silver ~~posted~~were ~~a loss~~unfavorable ~~for~~to ~~the~~relative ~~quarter~~returns. ~~Detracting~~Although ~~slightly~~both ~~from~~gold ~~performance were cocoa~~ and ~~cotton~~silver ~~options~~saw ~~written~~falling byprices over the ~~Fund~~period, ~~which~~their ~~were~~single-digit losses ~~exercised~~placed ~~against~~them ~~the~~among ~~Fund during~~ the ~~quarter~~better-performing commodities.

~~Although the Fund’s agriculture position rose 7.8%, it lagged the BCOM’s 10.4% return.~~ The ~~agriculture~~Nine ~~group~~Months ~~was~~Ended ~~the~~September ~~largest detractor from relative performance for the quarter~~30, ~~mainly~~2016 ~~because the~~– Fund ~~was~~Share underweight in the group during a period of rising prices. However, the Fund benefited from collecting the full premiums on all of its agriculture options, which expired out of the money as options were written further out of the moneyPrice ~~throughout the quarter.~~

InThe ~~the~~Fund’s ~~industrial~~shares ~~metals~~traded ~~group,~~on the ~~Fund~~NYSE ~~declined~~MKT 6at a price of $9.3%07 ~~versus~~on the ~~BCOM’s~~close 5of business on September 30, 2016, an increase of 0.355% ~~drop~~in share price (not including an assumed reinvestment of distributions) from the $9.02 ~~The~~price at which the shares of the Fund’s ~~overweight drove~~traded ~~relative~~on ~~underperformance~~the close of business on December 31, as2015. ~~did~~The ~~its~~high ~~exposure~~and tolow intra-day ~~the~~share ~~negative~~prices ~~performance~~for ofthe ~~London~~nine ~~Metal~~month ~~Exchange~~period were $9.97 (~~LME~~July 12, 2016) ~~copper~~and $7.88 (January 20, ~~which~~2016), isrespectively. ~~not~~During ~~included~~the innine month period, the ~~BCOM~~Fund declared distributions totaling $0.522 per ~~Furthermore~~share to shareholders, ~~performance~~of which $0.058 was ~~hurt~~paid byon ~~LME~~October 3, ~~copper~~2016. The remainder was paid during the period. The Fund’s cumulative total return on market value for the nine month period, ~~aluminum~~which assumes reinvestment of such distributions, ~~zinc~~was 6.49%. At September 30, ~~lead~~2016, ~~and~~shares ~~nickel~~of ~~options~~the ~~that were~~Fund ~~exercised~~traded ~~against~~at a 5.52% discount to the Fund’s innet ~~May~~asset value of $9.60 per share.

~~Although~~The ~~the~~Nine ~~Fund’s~~Months ~~0.9%~~Ended ~~decline~~September ~~in the livestock group was better than the BCOM’s 1.5% loss~~30, ~~the~~2015 ~~livestock~~– ~~group detracted modestly from relative performance. An overweight in the sector, and particularly in live cattle, hampered performance. The~~ Fund’s ~~exposure~~Share toPrice ~~losses in feeder cattle, which are not in the BCOM, was unfavorable as well.~~

The ~~Six~~Fund’s ~~Months~~shares traded ~~Ended~~on ~~June~~ the NYSE MKT at a price of $10.31 on the close of business on September 30, ~~2016~~2015, –a decrease of 19.64% in share price (not including an assumed reinvestment of distributions) from the $12.83 price at which the shares of the Fund ~~Share~~traded ~~Price~~on the close of business on December 31, 2014. The high and low intra-day share prices for the nine month period were $13.00 (January 15, 2015) and $9.23 (August 24, 2015), respectively. 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. 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%. At September 30, 2015, shares of the Fund traded at a 4.36% discount to the Fund’s net asset value of $10.78.

The ~~Fund’s~~Nine ~~shares~~Months ~~traded~~Ended onSeptember ~~the NYSE MKT at a price of $9.82 on the close of business on June~~ 30, 2016, an– ~~increase~~Net ofAssets ~~8.87% in share price (not including an assumed reinvestment~~ of ~~distributions) from~~ the ~~$9.02 price at which the shares of the~~ Fund traded on the close of business on December 31, 2015. The high and low intra-day share prices for the six month period were $9.93 (June 10, 2016) and $7.88 (January 20, 2016), respectively. During the six month period, the Fund declared distributions totaling $0.348 per share to shareholders, of which $0.058 was paid on July 1, 2016. The remainder was paid during the period. The Fund’s cumulative total return on market value for the six month period, which assumes reinvestment of such distributions, was 13.12%. At June 30, 2016, shares of the Fund traded at a 2.77% discount to the Fund’s net asset value of $10.10 per share.

The ~~Six~~Fund’s ~~Months~~net ~~Ended~~assets ~~June~~increased from $85.6 30million at December 31, 2015, –to $86.8 million at September 30, 2016, an increase of $1.2 million. The increase in the Fund’s net ~~Share~~assets ~~Price~~was due to net income of $5.9 million offset by $4.7 million of distributions to shareholders.

The Fund’s shares traded on the NYSE MKT at a price of $11.91 on the close of business on June 30, 2015. This represents a decrease of 7.17% in share price (not including an assumed reinvestment of distributions) from the $12.83 price at which the shares of the Fund traded on the close of business on December 31, 2014. The high and low intra-day share prices for the six month period were $13.00 (January 15, 2015) and $11.52 (March 18, 2015), respectively. During the six month period, the Fund declared distributions totaling $0.645 per share to shareholders,

ofThe ~~which~~Fund generated net income of $05.~~103~~9 million ~~was~~for ~~paid~~the onnine ~~July~~month period ended September 130, ~~2015.~~2016, resulting ~~The~~from ~~remainder~~interest ~~was~~income ~~paid~~of ~~during~~$0.2 million, ~~the~~net ~~period.~~realized ~~The~~gains ~~Fund’s~~of ~~cumulative~~approximately ~~total~~$6.3 million ~~return~~and onan ~~market~~increase ~~value~~in ~~for~~net ~~the~~unrealized ~~six~~appreciation ~~month~~of ~~period~~$0.8 million, ~~which~~offset ~~assumes reinvestment~~by expenses of ~~such~~$1.4 million. ~~distributions,~~During ~~was~~the ~~-2.12%.~~nine Atmonth ~~June~~period ended September 30, ~~2015~~2016, ~~shares of~~ the Fund’s ~~traded~~collateral atinvestments agenerated 6interest income of $225,772, which represents 0.6626% ~~discount~~of toaverage net assets for the ~~Fund’s~~nine ~~net~~month ~~asset~~period ~~value~~ended ofSeptember 30, ~~$12~~2016.~~76.~~

The ~~Six~~net ~~Months~~asset ~~Ended~~value ~~June~~per share on September 30, 2016, –was ~~Net~~$9.60. ~~Assets~~This represents an increase of 1.37% in net asset value (not including an assumed reinvestment of distributions) from the $9.47 net asset value as of December 31, 2015. During the nine month period, the Fund declared distributions totaling $0.522 per share to shareholders, of which $0.058 was paid on October 3, 2016. When an assumed reinvestment of these distributions is taken into account, the cumulative total return for the Fund on net asset value was 7.09% for the nine month period ended September 30, 2016.

The ~~Fund’s~~Nine ~~net assets~~Months ~~increased~~Ended ~~from~~September ~~$85.6 million at December 31~~30, 2015, to– ~~$91.3~~Net ~~million~~Assets ~~at June 30, 2016, an increase~~ of ~~$5.7 million. The increase in~~ the Fund’s ~~net assets was due to net income of $8.9 million offset by approximately $3.2 million of distributions to shareholders.~~

The Fund’s ~~generated~~ net ~~income~~assets ofdecreased from $8123.92 million ~~for~~at ~~the~~December ~~six~~31, ~~month~~2014, ~~period~~to ~~ended June~~ $97.5 million at September 30, ~~2016~~2015, ~~resulting~~a ~~from~~decrease ~~interest income~~ of $025.17 million,. ~~net~~The ~~realized~~decrease ~~gains~~in ofthe ~~approximately~~Fund’s ~~$7.4~~net ~~million~~assets ~~and~~was ~~change~~due into a net ~~unrealized~~loss ~~appreciation~~ of $217.3 9 million, ~~offset~~in byaddition ~~expenses~~to of $07.98 million of distributions to shareholders.

~~During~~The Fund generated a net loss of $17.9 million for the ~~six~~nine month period ended ~~June~~ September 30, ~~2016~~2015, ~~the~~resulting ~~Fund’s~~from ~~collateral investments generated~~ interest income of $~~140,289, which represents~~ 0.~~16%~~1 ofmillion ~~average~~and change in net ~~assets~~unrealized ~~for~~appreciation ~~the~~of ~~six~~$9.1 ~~month~~million, ~~period~~offset ~~ended~~by ~~June 30,~~expenses ~~2016~~of $2.1 million and net realized losses of $25.0 million.

~~The~~During ~~net~~the ~~asset~~nine ~~value~~month ~~per~~period ~~share~~ended onSeptember ~~June~~ 30, ~~2016~~2015, ~~was $10.10.~~the ~~This~~Fund’s ~~represents~~collateral aninvestments ~~increase~~generated ofinterest ~~6.65%~~income ~~in net asset value (not including an assumed reinvestment~~ of ~~distributions) from the~~ $~~9.47 net asset value as of December 31~~109, ~~2015. During the six month period~~335, ~~the~~which ~~Fund declared distributions~~represents ~~totaling $~~0.~~348~~10% ~~per share to shareholders,~~ of ~~which~~average ~~$0.058 was paid on July 1, 2016. When an assumed reinvestment of these distributions is taken into account, the cumulative total return for the Fund on~~ net ~~asset~~assets ~~value was 10.62%~~ for the ~~six~~ nine month period ended ~~June~~September 30, ~~2016~~2015.

The ~~Six~~net ~~Months~~asset ~~Ended~~value ~~June~~ per share on September 30, 2015, –was $10.78, ~~Net~~a ~~Assets~~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 ~~Fund’s~~Nine ~~net~~Months ~~assets~~Ended ~~decreased from $123.2 million at December~~September ~~31, 2014, to $115.5 million at June~~ 30, ~~2015,~~2016 a– ~~decrease~~Overall ofCommodity ~~$7.7~~Market ~~million. The~~Commentary ~~decrease in the Fund’s net assets was due to a net loss of $1.9 million, in addition to $5.8 million of distributions to shareholders.~~

~~The~~Commodities ~~Fund~~broadly ~~generated~~delivered apositive ~~net~~performance ~~loss~~in ofthe $1nine-month period, up 8.9% ~~million~~as ~~for~~measured by the ~~six~~BCOM. ~~month~~Early ~~period~~in ~~ended~~2016, ~~June 30~~the broad commodity market suffered declines amid fears about China’s economic deceleration and the ongoing supply glut in oil. In the following months, ~~2015~~these concerns lessened, ~~resulting~~adverse ~~from~~weather conditions provided upside to grain and soft commodity prices, and low global interest ~~income~~rates ofand $0Brexit-related worries spurred renewed demand for gold.1 ~~million~~The ~~and~~turnaround ~~change~~in sentiment led to a strong rally in ~~net~~nearly ~~unrealized~~every ~~appreciation~~commodity ofsector ~~approximately $9~~during the second quarter.3 ~~million~~However, ~~offset~~the byBCOM ~~expenses~~swung ofto ~~$1.3 million~~a modest loss in the third quarter on bearish news for grain supplies due to a boost in crop yield estimates and ~~net~~waning ~~realized~~optimism ~~losses~~about the pace of ~~$10.0~~the ~~million~~oil market’s rebalancing.

~~During~~Commodity ~~the~~group ~~six~~returns diverged widely over the nine-month period. ~~ended June 30~~Within the BCOM, ~~2015~~the precious metals and foods and fibers groups posted the largest gains, followed by the ~~Fund’s~~industrial ~~collateral~~metals ~~investments~~group. ~~generated~~The ~~interest~~energy ~~income~~group ofappreciated ~~$61~~moderately,~~811,~~ ~~which~~while ~~represents~~agriculture 0ended the period lower.~~05%~~ ofRobust ~~average~~supply ~~net~~and ~~assets~~weakened ~~for~~demand expectations pushed the ~~six~~livestock ~~month~~group ~~period~~considerably ~~ended~~lower ~~June 30~~over the nine-month period, ~~2015~~making it the BCOM’s weakest performer for the period.

The net asset value per share on June 30, 2015, was $12.76. This represents a decrease of 6.31% 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 six month period, the Fund declared distributions totaling $0.645 per share to shareholders, of which $0.103 was paid on July 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 -1.54% for the six month period ended June 30, 2015.

The Six Months Ended June 30, 2016 – Overall Commodity Market Commentary

In the six-month period, the broad commodity market rallied, advancing 13.3% as measured by the BCOM. Nearly all of the gains for this period occurred in the second quarter of 2016, as the BCOM’s first-quarter performance was hampered by a weak global growth outlook and persistent oversupply situations for energy and industrial metals in particular. However, in the second quarter, sentiment improved. Oil and natural gas inventory gluts eased, inclement weather moderated harvest expectations for a number of grains and soft commodities, and precious metals continued to reassert their appeal as a risk hedge and store of value against a backdrop of Brexit-related uncertainties and low interest rates in the U.S. and around the world.

The ~~precious~~Nine ~~metals~~Months ~~group was the top-performing group in the BCOM for the six-month period. The foods and~~Ended ~~fibers~~September ~~group (as grouped by Gresham) was another strong performer in the six-month period~~30, ~~led~~2015 by– ~~appreciation~~Overall inCommodity ~~sugar~~Market ~~contracts.~~Commentary Sugar prices were buoyed by forecasts for a global production deficit caused by El Niño induced weather, a stronger Brazilian real and weaker U.S. dollar, Brazil’s increased sugarcane ethanol biofuel production and India’s announcement of a new duty on sugar exports. Strong performance in the agriculture group was driven by massive rallies in soybean and soybean meal prices. Harvests in South America were hampered by poor weather, while demand from China was projected to increase, sending prices higher. Prices in the energy and industrial metals groups also rose over the six-month period due to evidence that production cuts were beginning to restore balance to some of these commodities. However, the livestock group declined over the period and was the only negative performing group in the BCOM. Although lean hogs prices rallied, live cattle prices continued to fall amid rising supply levels and slackening beef demand.

The ~~Six~~broad ~~Months~~commodity ~~Ended~~market ~~June 30~~continued to face significant headwinds, ~~2015~~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 ~~Overall~~sectors ~~Commodity~~declining ~~Market~~by ~~Commentary~~double digits.

~~The~~In ~~broad~~the ~~commodity~~energy ~~market~~group, ~~fell~~oversupply ~~1.6%~~conditions ~~for~~persisted, ~~the~~while ~~six-month~~global ~~period~~macroeconomic uncertainties, asled ~~measured~~ by worries ~~the~~about ~~BCOM~~China’s economy, ascontinued ~~gains~~to ~~in the~~undermine ~~second~~demand ~~half~~expectations. ofDespite ~~the~~a ~~period~~10.9% ~~partially~~rally ~~offset losses earlier~~ in the ~~year.~~second ~~Foods~~quarter ~~and~~of ~~fibers~~2015, ~~livestock~~the ~~and~~energy ~~industrial~~group ~~metals~~suffered ~~declined~~considerable byvolatility ~~double-digits~~early ~~over~~in ~~the~~2015 ~~period.~~and ~~Agriculture~~again ~~was~~in the ~~best-performing~~third ~~group~~quarter into finish the nine-month ~~BCOM,~~period ~~with~~down ~~a modest return of 2~~20.19%,. ~~followed~~Crude byoil ~~energy,~~and upnatural ~~1.8%.~~gas ~~Precious~~were ~~metals~~the ~~were~~worst performers, down 126.37% ~~for~~and 23.0% over the period, respectively.

~~The~~Agriculture ~~energy~~commodities, ~~group’s~~as ~~second~~grouped ~~quarter~~by ~~rally~~Gresham, ~~offset~~followed ~~losses in~~a ~~the~~similar ~~first~~trajectory ~~three months of the year, which led~~ to aenergy 1commodities.8% ~~gain~~A ~~for~~turbulent ~~the~~first ~~six-month~~quarter ~~period overall. Unleaded gas~~ was ~~the~~followed ~~top-performing~~by ~~commodity~~a 10.4% rebound in the ~~BCOM~~second ~~for the period~~quarter, ~~appreciating~~but ~~19.2%~~expectations onfor aabundant ~~combination~~crops ~~of production issues~~ and ~~rising~~the ~~seasonal demand.~~weakness Ain ~~second-quarter~~Brazil’s ~~rally~~currency indrove ~~crude~~grain ~~oil~~ prices ~~helped~~lower ~~WTI~~during ~~and~~the ~~Brent~~third ~~recover~~quarter. ~~their~~The ~~first~~agriculture ~~quarter~~group ~~losses,~~posted toa ~~finish~~12.3% ~~the~~loss ~~period~~for ~~with~~the ~~flat~~nine-month ~~returns overall~~period.

~~Agriculture~~The ~~commodities,~~precious asmetals ~~grouped by Gresham~~group, ~~delivered~~down ~~positive results, up 2~~6.18% ~~in aggregate~~ for the nine-month period., ~~After~~was ~~struggling in~~ the ~~first~~best-performing ~~quarter~~sector ~~of 2015, grain prices rebounded~~ in the ~~second quarter~~BCOM. ~~Soybean~~Gold ~~meal, soybean oil~~ and ~~soybeans~~silver ~~were~~prices ~~the~~remained ~~best-performing~~choppy throughout ~~contracts in~~ the ~~sector~~period, ~~with~~amid ~~transportation~~waning ~~issues~~demand, ~~across~~anticipation ~~South~~of ~~America~~rising ~~and~~interest arates ~~USDA~~in ~~crop~~the ~~report~~U.S. ~~showing~~and ~~lower-than-expected~~the ~~soybean~~strength ~~stocks~~of ~~bolstering~~the ~~prices~~U.S. dollar.

~~The precious~~ Industrial metals ~~group~~prices ~~declined~~were ~~1.3%~~hit ~~for~~hard ~~the~~by ~~period.~~China’s ~~Gold~~economic woes and ~~silver~~fears ~~prices~~of ~~were~~rising ~~choppy~~inventories. ~~during~~Declines ~~the~~were ~~second~~compounded ~~quarter.~~by ~~Waning~~periods ~~demand,~~of ~~expectations~~aggressive ~~for rising~~selling ~~interest~~of ~~rates~~long positions in the Umarketplace.~~S.,~~ ~~and~~The agroup ~~rally~~plunged in20.3% for the ~~U.S.~~nine-month ~~dollar~~period, ~~contributed~~with tonickel leading ~~fluctuating~~the ~~prices~~decline inwith losses exceeding 30% for the ~~sector~~nine-month period.

~~All~~Coffee ~~four~~was ~~industrial metals commodities in~~ the ~~BCOM~~other ~~(aluminum,~~commodity ~~COMEX~~down ~~copper,~~more ~~nickel~~than ~~and~~30% ~~zinc) posted negative performance~~ in the ~~six~~nine-month period, ~~with~~leading the foods and fibers group, inas ~~aggregate~~grouped ~~down~~by 10Gresham, to an 18.49% loss overall. ~~LME~~Sugar ~~copper~~also ~~and~~declined ~~lead,~~sharply ~~which~~over the period. Both coffee and sugar are ~~included~~predominantly produced in ~~the~~Brazil, ~~Fund~~where ~~but~~favorable ~~not~~weather ~~the~~bolstered ~~BCOM~~expectations for crop yields, ~~also~~which ~~lost~~would ~~value during~~in ~~the~~turn ~~period.~~contribute ~~Prices~~to ~~declined~~a ~~across~~growing ~~the~~global ~~sector~~supply onglut. ~~concerns~~In ~~about~~addition, ~~China’s~~the weakening ~~economy~~Brazilian ~~and~~real ~~evidence~~made ofexporting ~~rising~~these ~~stockpiles~~two ~~for~~commodities ~~some~~more ofattractive. ~~the~~In ~~metals~~contrast, cotton, down 1.5%, ~~Widespread~~was ~~liquidations~~the oftop-performing ~~long~~individual ~~positions~~commodity for ~~also~~all ~~contributed~~of tothe ~~price~~BCOM ~~weakness~~over ~~in industrial~~the ~~metals~~nine-month period.

~~The~~In ~~foods~~the ~~and~~livestock ~~fibers~~ group, asboth ~~grouped~~lean byhogs ~~Gresham,~~and ~~was~~live ~~the~~cattle ~~weakest~~prices ~~performer~~fell inby ~~the~~double ~~BCOM~~digits ~~over~~for the period. ~~six-month~~Lean ~~period,~~hogs ~~led lower~~futures bysustained amost ~~24.6%~~of ~~decline~~their losses early in ~~Arabica~~the ~~coffee~~year, ~~and~~as asupply ~~15.8%~~outpaced ~~loss~~demand, but prices reversed course, rallying strongly in ~~sugar.~~the ~~Both~~third ofquarter, ~~these~~as ~~commodities~~pork ~~are~~demand ~~predominantly~~accelerated ~~produced~~and inweight ~~Brazil,~~gain ~~where~~in ~~improving~~hogs ~~growing~~was ~~conditions~~less ~~were~~than expected during tothe ~~result~~summer inmonths. ~~higher~~Live ~~crop~~cattle ~~yields~~prices were choppy, ~~adding~~impacted toby ~~already~~herd ~~high inventories.~~rebuilding Incontinued ~~addition,~~from ~~weakness~~last inyear, ~~the~~cold ~~Brazilian~~and ~~real~~rainy ~~was~~weather ~~expected~~in tothe ~~encourage~~U.S. ~~exports,~~which ~~adding~~hampered toweight ~~global~~gain ~~supply~~and ~~gluts~~transport, ~~which~~lower ~~put~~beef ~~further~~demand ~~downward~~due ~~pressure~~to onprice ~~prices.~~competition ~~The~~with ~~foods~~pork and poultry, ~~fibers~~and ~~group~~a ~~overall~~slowdown ~~was~~in ~~down~~exports 12while imports increased.3% ~~for~~Overall, the ~~period.~~livestock

~~The livestock~~ group ~~fell~~dropped 1116.20% for the period. Lean hogs prices dropped 24.5%, hampered by supply increases. Pork production increased as farms recovered from a fatal virus outbreak and falling grain prices decreased the cost of feed, while U.S. exports slowed, contributing to ample supplies. Furthermore, with export bans increasing U.S. poultry supplies following an avian flu outbreak, fears about price competition dampened lean hogs prices initially, but the pressure abated as the impact was less than expected.

The Nine Months Ended September 30, 2016 – Fund Commodity Portfolio Commentary

The Fund’s commodity portfolio rose 8.4% for the nine months ended September 30, 2016, before considering the expenses of the Fund. The overall commodities market, as measured by the BCOM, advanced 8.9%. 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 7.09%.

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 the period, the Fund sold options on approximately 50% of the value of each commodity position. The Fund’s ~~Six~~option-writing ~~Months~~activity ~~Ended~~had ~~June~~a 30positive impact on performance for the period, ~~2016~~and –premiums collected on call options helped reduce the Fund’s ~~Commodity~~volatility ~~Portfolio~~versus ~~Commentary~~the BCOM, as measured by the standard deviation of return.

~~The~~At the commodity group level, the Fund’s commodity portfolio ~~gained~~underperformed ~~11.5% for~~ the ~~six~~BCOM ~~months~~in ~~ended~~foods ~~June~~and 30fibers, ~~2016,~~precious ~~before~~metals ~~considering~~and ~~the~~industrial ~~expenses~~metals, ofon an ~~the~~absolute ~~Fund~~return basis. ~~The~~Within ~~overall commodities~~these ~~market~~groups, ~~as measured by~~ the ~~BCOM, was up 13.3%. The~~ Fund’s ~~total~~position ~~return~~in oncocoa ~~net~~fell ~~asset~~by ~~value~~double-digits ~~for~~(and ~~the~~is ~~same~~not ~~period,~~represented ~~which~~in ~~includes~~ the ~~effect~~BCOM) ~~of the Fund’s expenses~~ and ~~the~~holdings ~~performance~~in ofgold, ~~the~~nickel ~~collateral~~and ~~portfolio~~zinc ~~and~~lagged ~~assumes reinvestment~~those of the ~~Fund’s distributions, was 10~~BCOM.~~62%.~~

The Fund outperformed the BCOM in the energy, livestock and agriculture groups, on an absolute return basis. Within the energy group, the Fund’s performance was led by favorable positioning in crude oil and heating oil. In crude oil, the Fund’s allocation to Brent crude was especially advantageous as Brent prices performed strongly during the period. In heating oil, the Fund benefited from holding two contracts (No. 2 heating oil and gas oil) that both rallied over the period, while the BCOM only holds No. 2 heating oil. Although all livestock commodities and most agriculture commodities posted losses over the nine-month period, the Fund’s positions in live cattle, lean hogs, corn and wheat declined less than the BCOM’s positions on an absolute basis. On a relative basis though, livestock detracted from the Fund’s performance due to significant overweight in the group relative to BCOM, which hurt performance due to the group’s significant decline during the period.

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%.

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 the period, the Fund sold options on approximately 50% of the value of each commodity position. The Fund’s option-writing activity ~~had~~added ~~a neutral impact on~~ to performance for the period, ~~but~~ 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 ~~underperformed~~outperformed relative to the BCOM inon its energy, foods and fibers, ~~precious~~industrial metals and ~~livestock, on an absolute return basis. The Fund’s energy and~~ agriculture positions, ~~outpaced~~livestock ~~that~~had ofa ~~the~~nearly neutral ~~BCOM’s positions~~impact, and ~~the~~precious ~~portfolio~~metals ~~performed~~detracted infrom ~~line~~relative ~~with the BCOM in industrial metals~~performance.

Relative tooutperformance ~~the~~in ~~BCOM,~~ the ~~Fund’s~~energy ~~underperformance~~group was ~~generally~~led ~~driven~~ by ~~exposure to some weaker-performing commodities that aren’t included in~~ the ~~BCOM and by holding smaller weightings in~~ ~~some~~Fund’s ofnatural ~~the better-performing commodities during the period. Cocoa~~gas, ~~which~~WTI iscrude ~~not~~and ~~represented~~heating inoil ~~the BCOM, performed poorly in the first quarter amid aggressive selling by investors holding long~~ positions, ~~concerns~~although ~~about~~its ~~waning~~Brent ~~global~~crude ~~demand~~position ~~for chocolate,~~slightly ~~and~~diminished ~~was~~relative ~~beset by considerable price volatility in the second quarter~~gains. In the ~~livestock~~foods and fibers group, ~~although~~ the Fund’s ~~live~~relative ~~cattle~~performance ~~and~~benefited ~~lean~~from ~~hogs~~its ~~positions~~Arabica ~~outperformed~~coffee ~~the~~and ~~BCOM’s~~cocoa exposures. ~~positions,~~The ~~exposure~~largest tocontributors ~~the double-digit decline~~ in ~~feeder~~ ~~cattle prices hurt performance over~~ the ~~six-month~~industrial ~~period.~~metals ~~Additionally,~~group ~~relative results~~ were ~~dampened~~its bycopper ~~the~~(which ~~Fund’s~~includes ~~relative~~both ~~underweight~~LME ~~allocations~~and toCOMEX ~~soybean~~contracts) ~~meal,~~and ~~sugar,~~nickel ~~and~~position. ~~gold,~~The ~~which~~agriculture ~~were~~group ~~among~~added ~~the~~to ~~largest~~relative ~~gaining~~performance ~~commodities~~primarily ~~in the~~due ~~BCOM~~to ~~during~~its ~~the~~soybean ~~period~~position.

InWithin ~~contrast~~the livestock group, the ~~Fund’s~~added ~~energy~~value ~~position~~from ~~outperformed~~ the ~~BCOM~~Fund’s lean hogs position. ~~The~~was ~~Fund~~offset ~~held~~by arelative ~~higher weighting~~losses in the ~~sector,~~live ~~which~~cattle ~~was~~and feeder ~~generally~~cattle ~~beneficial~~exposures, ~~when~~resulting ~~prices~~in ~~rebounded~~a innearly ~~the~~neutral ~~second~~impact ~~quarter,~~on asrelative ~~well~~returns. asThe ~~achieved~~precious ~~better~~metals group hurt relative ~~returns~~performance, indriven ~~crude~~mainly ~~oil~~by ~~and~~the ~~heating~~Fund’s ~~oil~~underweight in gold.

The Six Months Ended June 30, 2015 – Fund Commodity Portfolio Commentary

The Fund’s commodity portfolio was down 0.5% for the six months ended June 30, 2015, before considering the expenses of the Fund or the performance of the collateral portfolio. The overall commodities market, as measured by the BCOM, lost 1.6%. 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 -1.54%.

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 the period, the Fund sold options on approximately 50% of the value of each commodity position. The Fund’s option-writing activity benefitted the 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 benefited relative to the BCOM from its energy and foods and fibers positions, while its agriculture, livestock, industrial metals and precious metals positions diminished relative performance.

Weighting differences helped account for the Fund’s performance advantage over the BCOM in the energy and foods and fibers groups. The Fund held an overweight in energy (37.5% to the BCOM’s 35.7%) and outperformed in the group, which boosted relative results. The Fund’s foods and fibers position, as grouped by Gresham, declined 7.9% versus the BCOM’s 12.3% drop in the group which, along with the Fund’s underweight, buffered the Fund’s exposure to the group’s losses during the period. Also, the Fund benefited from its smaller weights than the BCOM in natural gas, Arabica coffee and sugar, as these three commodities experienced falling prices during the period.

The agriculture group was the largest sector-level detractor, with underweight positions in corn, wheat and soybean oil dampening relative performance.

The Fund’s livestock group position declined 8.3% versus the BCOM’s 11.2% loss. However, on a weighted basis, the Fund underperformed in the livestock group given its larger weighting in lean hog contracts, one of the weakest performing individual commodities for the six-month period, as well as the Fund’s overweight to the livestock group overall.

The Fund’s overweight in the industrial metals group was disadvantageous in a period of falling prices. Furthermore, the Fund’s larger and more diversified copper position, comprised of both LME and COMEX contracts (the BCOM includes only COMEX copper), was unfavorable as both contracts declined during the period.

The Fund’s precious metal position was down 1.6% versus the BCOM’s 1.3% loss. The Fund’s holdings in platinum and palladium (which are not represented in the BCOM) were detrimental to relative performance, as these two commodities traded lower over the period.

Fund Total Returns

The following table presents selected total returns for the Fund and BCOM as of ~~June~~ September 30, 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 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 June 30, 2016
	Total Returns as of September 30, 2016
	Cumulative						Average Annual
	3 Months			Year to Date			1 Year			5 Year			Since Inception
Market Value		12-5.2486	%		136.1249	%		-104.6383	%		-107.1004	%		-7.2791	%
Net Asset Value		10-3.5119	%		107.6209	%		-143.4997	%		-108.0269	%		-6.6387	%
BCOM		12-3.7886	%		138.2587	%		-132.3258	%		-109.8237	%		-7.5080	%

“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.

3635

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 ~~June~~September 30, 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 ~~June~~September 30, 2016.

		Composition
Commodity Group	Commodity	TAP PLUSSM			BCOM
Energy	Crude Oil		20.0779	%		17.3179	%
	Heating Oil		67.2150	%		4.2949	%
	Natural Gas		6.0813	%		8.7897	%
	Unleaded Gas		32.1831	%		3.8685	%
			35.54	%		34.24	%
			36.73	%		35.10	%
Industrial Metals	Copper		98.0787	%		6.5576	%
	Aluminum		5.0141	%		4.2035	%
	Zinc		12.7919	%		23.8125	%
	Nickel		1.6796	%		2.1142	%
	Lead		0.9397	%		0.00	%
			18.47	%		15.67	%
			19.40	%		16.78	%
Agriculturals	Soybean		5.7521	%		65.2126	%
	Corn		3.2818	%		65.2187	%
	Wheat		2.9068	%		3.4729	%
	Soybean Meal		2.1152	%		32.4665	%
	Soybean Oil		1.8609	%		2.4966	%
			15.90	%		21.84	%
			14.68	%		19.73	%
Precious Metals	Gold		98.1265	%		11.2248	%
	Silver		2.8654	%		4.5884	%
	Platinum		0.6765	%		0.00	%
	Palladium		0.4658	%		0.00	%
			13.11	%		15.80	%
			12.42	%		16.32	%
Livestock	Live Cattle		5.7940	%		2.4519	%
	Lean Hogs		21.2262	%		21.3025	%
	Feeder Cattle		1.5851	%		0.00	%
			9.59	%		4.75	%
			8.53	%		3.44	%
Foods and Fibers	Sugar		23.8634	%		4.1784	%
	Coffee		2.2236	%		2.2742	%
	Cotton		1.3453	%		1.2637	%
	Cocoa		01.9701	%		0.00	%
			7.39	%		7.70	%
			8.24	%		8.63	%
Total			100.00	%		100.00	%

3736

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 ~~six~~nine months ended ~~June~~ September 30, 2016.

The Fund is unaware of any other trends, demands, conditions or events, other than the proposed Conversion, 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.

38The 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

~~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:

•

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 ~~June~~September 30, 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.

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.

4039

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 ~~June~~ September 30, 2016. The Fund expects to invest only in long futures contracts. Some short futures positions arise in ~~futures~~ futures contracts traded on the London Metal Exchange (“LME”) solely as the result of closing existing long LME futures positions. For every short LME futures contract held by the Fund, the Fund had previously entered into a long futures contract. As of ~~June~~September 30, 2016, the Fund has not invested in forward contracts.

Futures Contracts

CommodityGroup

Contract

ContractPosition

ContractExpiration

NumberofContracts

ValuationPrice

ContractMultiplier

NotionalAmount atValue

Commodity Group

Contract

ContractPosition

ContractExpiration

NumberofContracts

ValuationPrice

ContractMultiplier

NotionalAmountat Value

Energy

Crude Oil

ICE Brent Crude Oil Futures Contract

Long

~~September~~December 2016

~~197~~97

4950.~~7100~~1900

1,000

94,~~792~~868,~~870~~430

NYMEX Crude Oil Futures Contract

Long

August 2016

48.3300

1,000

4,204,710

ICE Brent Crude Oil Futures Contract

Long

January 2017

50.7500

1,000

4,872,000

NYMEX Crude Oil Futures Contract

Long

~~September~~November 2016

88114

4948.~~0100~~2400

1,000

45,~~312~~499,~~880~~360

NYMEX Crude Oil Futures Contract

Long

January 2017

49.4000

1,000

2,815,800

Heating Oil

ICE Low Sulphur Gasoil Futures Contract

Long

~~August~~November 2016

6439

~~446~~447.~~2500~~7500

100

21,~~856~~746,~~000~~225

NYMEX NY Harbor ULSD Futures Contract

Long

August 2016

1.4887

42,000

2,813,643

ICE Low Sulphur Gasoil Futures Contract

Long

December 2016

448.2500

100

1,344,750

NYMEX NY Harbor ULSD Futures Contract

Long

November 2016

1.5383

42,000

3,424,256

Natural Gas

NYMEX Natural Gas Futures Contract

Long

~~August~~November 2016

95144

2.~~9240~~9060

10,000

24,~~777~~184,~~800~~640

NYMEX Natural Gas Futures Contract

Long

~~September~~January ~~2016~~2017

9535

23.~~9180~~2680

10,000

21,~~772~~143,~~100~~800

Unleaded Gas

NYMEX Gasoline RBOB Futures Contract

Long

~~August~~November 2016

2720

1.~~5013~~4631

42,000

1,~~702~~229,~~474~~004

NYMEX Gasoline RBOB Futures Contract

Long

~~September~~January ~~2016~~2017

1913

1.~~5074~~4309

42,000

1781,~~202,905~~271

Industrial Metals

Copper

COMEX Copper Futures Contract

Long

~~September~~December 2016

2523

2.~~1955~~2105

25,000

1,~~372~~271,~~187~~037

LME Copper Futures Contract

Long

~~July~~October 2016

1653

4,~~841~~853.~~7500~~0000

16,~~936~~430,~~700~~225

LME Copper Futures Contract

Long

August 2016

4,847.0000

5,210,525

LME Copper Futures Contract

Long

September 2016

4,848.0000

1,696,800

LME Copper Futures Contract

Short

July 2016

4,841.7500

(1,936,700

)

Aluminum

LME Primary Aluminum Futures Contract

Long

~~August~~October 2016

~~114~~115

1,~~648~~664.~~0000~~7500

4,~~696~~786,~~800~~156

LME Primary Aluminum Futures Contract

Short

~~August~~October 2016

1,~~648~~664.~~0000~~7500

(~~123~~83,~~600~~237

)

Zinc

LME Zinc Futures Contract

Long

~~August~~October 2016

3116

2,~~104~~371.~~5000~~0000

1948,~~630,988~~400

LME Zinc Futures Contract

Long

December 2016

2,379.2500

951,700

Nickel

LME Nickel Futures Contract

Long

~~August~~October 2016

910,~~426~~536.0000

1,~~527~~706,~~012~~832

Lead

LME Lead Futures Contract

Long

~~August~~October 2016

2016

12,~~787~~116.7500

~~893~~846,~~875~~700

LME Lead Futures Contract

Short

August 2016

1,787.7500

(44,694

)

Futures Contracts (Continued)

CommodityGroup

Contract

ContractPosition

ContractExpiration

NumberofContracts

ValuationPrice

ContractMultiplier

NotionalAmountat Value

Commodity Group

Contract

ContractPosition

ContractExpiration

NumberofContracts

ValuationPrice

ContractMultiplier

NotionalAmountat Value

Agriculturals

Soybean

CBOT Soybean Futures Contract

Long

November 2016

9195

119.~~5325~~5400

5,000

54,~~247~~531,~~288~~500

Corn

CBOT Corn Futures Contract

Long

~~September~~December 2016

164

3.~~6550~~3675

5,000

2,~~997~~761,~~100~~350

Wheat

CBOT Wheat Futures Contract

Long

~~September~~December 2016

4458

4.~~4550~~0200

5,000

~~980~~1,~~100~~165,800

KCBT Wheat Futures Contract

Long

~~September~~December 2016

7956

4.~~2250~~1550

5,000

1,~~668~~163,~~875~~400

Soybean Meal

CBOT Soybean Meal Futures Contract

Long

December 2016

4863

~~401~~299.~~0000~~6000

100

1,~~924~~887,~~800~~480

CBOT Soybean Meal Futures Contract

Long

January 2017

300.2000

100

300,200

Soybean Oil

CBOT Soybean Oil Futures Contract

Long

December 2016

8847

0.~~3207~~3344

60,000

1943,~~693,296~~008

Precious Metals

Gold

CEC Gold Futures Contract

Long

~~August~~December 2016

6357

1,~~320~~317.~~6000~~1000

100

87,~~319~~507,~~780~~470

Silver

CEC Silver Futures Contract

Long

~~September~~December 2016

2823

1819.~~6230~~2140

5,000

2,~~607~~209,~~220~~610

Platinum

NYMEX Platinum Futures Contract

Long

~~October~~January ~~2016~~2017

1211

1,~~024~~034.~~3000~~5000

~~614~~568,~~580~~975

Palladium

NYMEX Palladium Futures Contract

Long

~~September~~December 2016

~~597~~721.~~3500~~5000

100

~~418~~505,~~145~~050

Livestock

Live Cattle

CME Live Cattle Futures Contract

Long

~~August~~December 2016

~~115~~117

1.~~1483~~0013

40,000

54,~~281~~685,~~950~~850

Lean Hogs

CME Lean Hogs Futures Contract

Long

~~August~~December 2016

4780

0.~~8328~~4398

40,000

1,~~565~~407,~~570~~200

CME Lean Hogs Futures Contract

Long

October 2016

0.7170

40,000

458,880

Feeder Cattle

CME Feeder Cattle Futures Contract

Long

~~August~~November 2016

2022

1.~~4430~~1965

50,000

1,~~443~~316,~~000~~150

Foods and Fibers

Sugar

ICE Sugar Futures Contract

Long

~~October~~March ~~2016~~2017

~~105~~80

0.~~2033~~2300

112,000

2,~~390~~060,~~808~~800

ICE White Sugar Futures Contract

Long

August 2016

552.5000

221,000

ICE Sugar Futures Contract

Long

May 2017

0.2216

112,000

595,661

ICE White Sugar Futures Contract

Long

December 2016

597.2000

238,880

Coffee

ICE Coffee C Futures Contract

Long

~~September~~December 2016

3226

1.~~4565~~5155

37,500

1,~~747~~477,~~800~~613

LIFFE Coffee Robusta Futures Contract

Long

September 2016

1,717.0000

274,720

ICE Coffee C Futures Contract

Long

March 2017

1.5490

37,500

290,437

LIFFE Coffee Robusta Futures Contract

Long

November 2016

2,004.0000

280,560

Cotton

ICE Cotton Futures Contract

Long

December 2016

3831

0.~~6417~~6808

50,000

1,~~219~~055,~~230~~240

ICE Cotton Futures Contract

Long

March 2017

0.6854

50,000

274,160

Cocoa

ICE Cocoa Futures Contract

Long

~~September~~December 2016

3025

2,~~963~~761.0000

~~888~~690,~~900~~250

ICE Cocoa Futures Contract

Long

March 2017

2,734.0000

191,380

Commodity Call Options Written

CommodityGroup	Contract	ContractExpiration		NumberofContracts			StrikePrice		Value
Energy	Crude Oil
	ICE Brent Crude Oil Futures Options		~~September~~December 2016		(9897	)	$	51.5000	$	(~~105~~144,~~840~~530	)
	NYMEX Crude Oil Futures Options		~~July~~October 2016		(8786	)		5247.50		(18160,~~270~~820	)
	Heating Oil
	NYMEX NY Harbor ULSD Futures Options		~~July~~October 2016		(4551	)		~~168~~158.00		(876,~~127~~041	)
	Natural Gas
	NYMEX Natural Gas Futures Options		~~July~~October 2016		(9590	)		23.9520		(~~102~~28,~~600~~800	)
	Unleaded Gas
	NYMEX Gasoline RBOB Futures Options		~~July~~October 2016		(2316	)		~~176~~148.00		(234,~~705~~541	)
Industrial Metals	Copper
	LME Copper Futures Options		~~August~~October 2016		(3532	)		4,~~950~~850.00		(6528,~~118~~224	)
	Aluminum
	LME Primary Aluminum Futures Options		~~August~~October 2016		(5657	)		1,650.00		(4730,~~404~~395	)
	Zinc
	LME Zinc Futures Options		~~August~~October 2016		(16	)		2,~~000~~450.00		(541,~~144~~336	)
	Nickel
	LME Nickel Futures Options		~~August~~October 2016		(14	)		911,~~500~~000.00		(262,~~069~~248	)
	Lead
	LME Lead Futures Options		~~August~~October 2016		(98	)		12,~~800~~050.00		(1013,~~721~~974	)
Agriculturals	Soybean
	CBOT Soybean Futures Options		October 2016		(4547	)		1,220.00		(~~99,844~~294	)
	Corn
	CBOT Corn Futures Options		~~August~~November 2016		(82	)		~~440~~370.00		(128,~~300~~200	)
	Wheat
	CBOT Wheat Futures Options		~~August~~November 2016		(2229	)		~~520~~500.00		(31,~~712~~088	)
	CBOT Wheat Futures Options		~~August~~November 2016		(3928	)		~~500~~490.00		(51,~~119~~750	)
	Soybean Meal
	CBOT Soybean Meal Futures Options		November 2016		(2436	)		430.00		(~~47,280~~900	)
	Soybean Oil
	CBOT Soybean Oil Futures Options		November 2016		(4423	)		36.00		(134,~~464~~968	)
Precious Metals	Gold
	COMEX Gold Futures Options		~~July~~November 2016		(3228	)		1,~~325~~450.00		(656,~~600~~160	)
	Silver
	CEC Silver Futures Options		~~August~~November 2016		(1411	)		1922.2500		(355,~~980~~225	)
Livestock	Live Cattle
	CME Live Cattle Futures Options		~~August~~December 2016		(7376	)		~~125~~114.00		(1022,~~950~~040	)
	Lean Hogs
	CME Lean Hogs Futures Options		~~August~~December 2016		(3140	)		9254.00		(17,~~550~~600	)
Foods and Fibers	Sugar
	ICE Sugar Futures Options		~~September~~February ~~2016~~2017		(5756	)		2122.50		(59131,~~371~~712	)
	Coffee
	ICE Coffee C Futures Options		~~August~~November 2016		(1918	)		~~160~~162.0050		(2221,~~586~~127	)
	Cotton
	ICE Cotton Futures Options		November 2016		(19	)		71.00		(810,~~930~~165	)
	Cocoa
	ICE Cocoa Futures Options		~~August~~November 2016		(1514	)		3,250.00		(~~1,350~~420	)
	ICE Cocoa Futures Options		November 2016		(2	)		3,050.00		(240	)

CBOT ~~Chicago~~Chicagao 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 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 ~~June~~September 30, 2016, the Fund held U.S. Treasury bills worth $8571,~~168~~523,~~877~~784 with a total par value of $8571,~~300~~600,000 and a repurchase agreement worth $61,~~335~~292,~~757~~455.

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

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.

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, 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 ~~six~~nine month period ended on ~~June~~ September 30, 2016.

c) On December 21, 2011, the Fund adopted an open-market share repurchase program pursuant to which it was authorized to repurchase an 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~~ may repurchase an aggregate of up to 10% of its outstanding common shares as of the reauthorization date (approximately 920,000 shares). During the ~~six~~nine month period ended ~~June~~September 30, 2016, the Fund did not repurchase any shares. A cumulative total 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.

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.

Item 6. Exhibits



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.

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

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

SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized, in the City of Chicago, State of Illinois, on ~~August~~November 48, 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) ~~August~~November 48, 2016 /s/ Stephen D. Foy Chief Financial Officer (Principal Financial and Accounting Officer) ~~August~~November 48, 2016

Table of Contents

Table of Contents

Filing Compare · Nuveen Diversified Commodity Fund