UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number   811-22003                         

Nuveen Core Equity Alpha Fund

(Exact name of registrant as specified in charter)

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

Kevin J. McCarthy—Vice President and Secretary
     333 West Wacker Drive, Chicago, Illinois 60606     
(Name and address of agent for service)

Registrant’s telephone number, including area code:      312-917-7700     

Date of fiscal year end:             12/31      

Date of reporting period:    9/30/2009   

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

 

 

Item 1. Schedule of Investments

Nuveen Core Equity Alpha Fund (JCE)
September 30, 2009

Shares				Description (1)								Value
				Common Stocks – 97.5%
				Aerospace & Defense – 1.5%
	1,500			Boeing Company								$	81,225
	700			General Dynamics Corporation									45,220
	17,900			Goodrich Corporation									972,686
	5,500			Honeywell International Inc.									204,325
	1,000			ITT Industries, Inc.									52,150
	10,200			Lockheed Martin Corporation									796,416
	800			Precision Castparts Corporation									81,496
	800			Raytheon Company									38,376
	10,400			Rockwell Collins, Inc.									528,320
	4,400			United Technologies Corporation									268,092
				Total Aerospace & Defense									3,068,306
				Air Freight & Logistics – 0.4%
	5,500			C.H. Robinson Worldwide, Inc.									317,625
	7,800			Expeditors International of Washington, Inc.									274,170
	3,100			United Parcel Service, Inc., Class B									175,057
				Total Air Freight & Logistics									766,852
				Auto Components – 0.3%
	36,100			Goodyear Tire & Rubber Company, (2)									614,783
				Automobiles – 0.3%
	78,100			Ford Motor Company, (2)									563,101
	2,400			Harley-Davidson, Inc.									55,200
				Total Automobiles									618,301
				Beverages – 2.4%
	900			Brown-Forman Corporation									43,398
	33,700			Coca-Cola Company									1,809,690
	41,500			Coca-Cola Enterprises Inc.									888,515
	1,600			Constellation Brands, Inc., Class A, (2)									24,240
	2,600			Dr. Pepper Snapple Group, (2)									74,750
	13,600			Pepsi Bottling Group, Inc.									495,584
	26,100			PepsiCo, Inc.									1,531,026
				Total Beverages									4,867,203
				Biotechnology – 1.0%
	21,400			Amgen Inc., (2)									1,288,922
	5,100			Biogen Idec Inc., (2)									257,652
	2,400			Celgene Corporation, (2)									134,160
	3,200			Cephalon, Inc., (2)									186,368
	1,700			Genzyme Corporation, (2)									96,441
	2,900			Gilead Sciences, Inc., (2)									135,082
				Total Biotechnology									2,098,625
				Building Products – 0.0%
	2,600			Masco Corporation									33,592
				Capital Markets – 2.9%
	13,300			Ameriprise Financial, Inc.									483,189
	23,900			Bank of New York Company, Inc.									692,861
	19,700			Charles Schwab Corporation									377,255
	17,300			Federated Investors Inc.									456,201
	1,800			Franklin Resources, Inc.									181,080
	5,100			Goldman Sachs Group, Inc.									940,185
	16,400			Invesco LTD									373,264
	6,700			Legg Mason, Inc.									207,901
	20,200			Morgan Stanley									623,776
	6,500			Northern Trust Corporation									378,040
	18,800			State Street Corporation									988,880
	2,700			T. Rowe Price Group Inc.									123,390
				Total Capital Markets									5,826,022
				Chemicals – 0.7%
	2,100			Air Products & Chemicals Inc.									162,918
	1,400			Airgas, Inc.									67,718
	600			CF Industries Holdings, Inc.									51,738
	900			E.I. Du Pont de Nemours and Company									28,926
	7,800			Ecolab Inc.									360,594
	1,600			FMC Corporation									90,000
	3,800			International Flavors & Fragrances Inc.									144,134
	2,000			Monsanto Company									154,800
	2,700			PPG Industries, Inc.									157,167
	3,000			Praxair, Inc.									245,070
	800			Sigma-Aldrich Corporation									43,184
				Total Chemicals									1,506,249
				Commercial Banks – 2.5%
	20,000			BB&T Corporation									544,800
	8,700			Comerica Incorporated									258,129
	30,800			Fifth Third Bancorp.									312,004
	24,681			First Horizon National Corporation, (2)									326,534
	51,300			Huntington BancShares Inc.									241,623
	32,300			KeyCorp.									209,950
	2,100			M&T Bank Corporation									130,872
	34,900			Marshall and Ilsley Corporation									281,643
	16,900			PNC Financial Services Group, Inc.									821,171
	10,500			Regions Financial Corporation									65,205
	13,400			U.S. Bancorp									292,924
	51,350			Wells Fargo & Company									1,447,043
	10,400			Zions Bancorporation									186,888
				Total Commercial Banks									5,118,786
				Commercial Services & Supplies – 1.3%
	14,900			Cintas Corporation									451,619
	26,900			Iron Mountain Inc., (2)									717,154
	4,500			Pitney Bowes Inc.									111,825
	335			Republic Services, Inc.									8,901
	1,200			Stericycle Inc., (2)									58,140
	41,100			Waste Management, Inc.									1,225,602
				Total Commercial Services & Supplies									2,573,241
				Communications Equipment – 2.3%
	13,500			Ciena Corporation, (2)									219,780
	98,100			Cisco Systems, Inc., (2)									2,309,274
	33,200			JDS Uniphase Corporation, (2)									236,052
	6,100			Juniper Networks Inc., (2)									164,822
	39,100			Motorola, Inc.									335,869
	24,800			QUALCOMM, Inc.									1,115,504
	33,900			Tellabs Inc., (2)									234,588
				Total Communications Equipment									4,615,889
				Computers & Peripherals – 4.2%
	8,700			Apple, Inc., (2)									1,612,719
	24,000			EMC Corporation, (2)									408,960
	47,400			Hewlett-Packard Company									2,237,754
	24,500			International Business Machines Corporation (IBM)									2,930,445
	7,700			Network Appliance Inc., (2)									205,436
	14,100			SanDisk Corporation, (2)									305,970
	41,200			Sun Microsystems Inc., (2)									374,508
	4,000			Teradata Corporation, (2)									110,080
	12,700			Western Digital Corporation, (2)									463,931
				Total Computers & Peripherals									8,649,803
				Construction & Engineering – 0.4%
	10,300			Fluor Corporation									523,755
	6,300			Jacobs Engineering Group, Inc., (2)									289,485
	500			Quanta Services Incorporated, (2)									11,065
				Total Construction & Engineering									824,305
				Construction Materials – 0.0%
	1,800			Vulcan Materials Company									97,326
				Consumer Finance – 0.7%
	12,400			American Express Company									420,360
	12,300			Capital One Financial Corporation									439,479
	21,500			Discover Financial Services									348,945
	24,800			SLM Corporation, (2)									216,256
				Total Consumer Finance									1,425,040
				Containers & Packaging – 0.7%
	14,100			Ball Corporation									693,720
	10,200			Bemis Company, Inc.									264,282
	6,900			Owens-Illinois, Inc., (2)									254,610
	3,200			Pactiv Corporation, (2)									83,360
	6,600			Sealed Air Corporation									129,558
				Total Containers & Packaging									1,425,530
				Distributors – 0.2%
	12,700			Genuine Parts Company									483,362
				Diversified Consumer Services – 0.1%
	10,100			H & R Block Inc.									185,638
				Diversified Financial Services – 2.6%
	50,600			Bank of America Corporation									856,152
	33,600			Citigroup Inc.									162,624
	2,200			CME Group, Inc.									678,018
	4,600			Intercontinental Exchange, Inc., (2)									447,074
	36,005			JPMorgan Chase & Co.									1,577,739
	25,400			Moody’s Corporation									519,684
	15,400			Nasdaq Stock Market, Inc., (2)									324,170
	22,900			New York Stock Exchange Euronext									661,581
				Total Diversified Financial Services									5,227,042
				Diversified Telecommunication Services – 5.0%
	241,900			AT&T Inc.									6,533,719
	19,128			CenturyTel, Inc.									642,701
	142,600			Qwest Communications International Inc.									543,306
	76,900			Verizon Communications Inc.									2,327,763
	4,900			Windstream Corporation									49,637
				Total Diversified Telecommunication Services									10,097,126
				Electric Utilities – 2.6%
	6,400			American Electric Power Company, Inc.									198,336
	16,900			Duke Energy Corporation									266,006
	1,200			Entergy Corporation									95,832
	25,800			FPL Group, Inc.									1,424,934
	32,900			Northeast Utilities									781,046
	20,100			Pinnacle West Capital Corporation									659,682
	7,400			PPL Corporation									224,516
	24,400			Progress Energy, Inc.									953,064
	21,000			Southern Company									665,070
				Total Electric Utilities									5,268,486
				Electrical Equipment – 0.3%
	2,700			Emerson Electric Company									108,216
	9,600			Rockwell Automation, Inc.									408,960
				Total Electrical Equipment									517,176
				Electronic Equipment & Instruments – 0.3%
	39,500			Corning Incorporated									604,745
	1,300			Molex Inc.									27,144
				Total Electronic Equipment & Instruments									631,889
				Energy Equipment & Services – 0.7%
	3,100			BJ Services Company									60,233
	1,100			Cooper Cameron Corporation, (2)									41,602
	200			Diamond Offshore Drilling, Inc.									19,104
	2,400			FMC Technologies Inc., (2)									125,376
	10,300			National-Oilwell Varco Inc., (2)									444,239
	10,300			Schlumberger Limited									613,880
	900			Smith International, Inc.									25,830
				Total Energy Equipment & Services									1,330,264
				Food & Staples Retailing – 2.4%
	6,400			CVS Caremark Corporation									228,736
	51,400			Kroger Co.									1,060,896
	2,000			Safeway Inc.									39,440
	3,600			SUPERVALU INC.									54,216
	16,300			Sysco Corporation									405,055
	6,000			Walgreen Co.									224,820
	51,900			Wal-Mart Stores, Inc.									2,547,771
	13,400			Whole Foods Market, Inc., (2)									408,566
				Total Food & Staples Retailing									4,969,500
				Food Products – 3.1%
	9,300			Archer-Daniels-Midland Company									271,746
	2,900			Campbell Soup Company									94,598
	1,800			ConAgra Foods, Inc.									39,024
	3,600			Dean Foods Company, (2)									64,044
	16,600			General Mills, Inc.									1,068,708
	14,100			H.J. Heinz Company									560,475
	24,200			Hershey Foods Corporation									940,412
	10,800			Hormel Foods Corporation									383,616
	8,100			JM Smucker Company									429,381
	15,000			Kellogg Company									738,450
	60,100			Kraft Foods Inc.									1,578,827
	1,800			Sara Lee Corporation									20,052
	14,100			Tyson Foods, Inc., Class A									178,083
				Total Food Products									6,367,416
				Gas Utilities – 0.4%
	16,200			EQT Corporation									690,120
	4,100			Questar Corporation									153,996
				Total Gas Utilities									844,116
				Health Care Equipment & Supplies – 0.5%
	13,300			Baxter International, Inc.									758,233
	600			Becton, Dickinson and Company									41,850
	5,000			Boston Scientific Corporation, (2)									52,950
	600			C. R. Bard, Inc.									47,166
	300			DENTSPLY International Inc.									10,362
	1,800			Stryker Corporation									81,774
	900			Varian Medical Systems, Inc., (2)									37,917
				Total Health Care Equipment & Supplies									1,030,252
				Health Care Providers & Services – 2.3%
	1,500			Aetna Inc.									41,745
	12,400			AmerisourceBergen Corporation									277,512
	7,300			CIGNA Corporation									205,057
	4,100			Coventry Health Care, Inc., (2)									81,836
	5,200			Davita Inc., (2)									294,528
	1,300			Express Scripts, Inc., (2)									100,854
	9,000			Humana Inc., (2)									335,700
	11,600			Medco Health Solutions, Inc., (2)									641,596
	17,700			Quest Diagnostics Incorporated									923,763
	31,800			UnitedHealth Group Incorporated									796,272
	19,100			Wellpoint Inc., (2)									904,576
				Total Health Care Providers & Services									4,603,439
				Health Care Technology – 0.0%
	2,100			IMS Health Incorporated									32,235
				Hotels, Restaurants & Leisure – 3.1%
	4,900			Carnival Corporation									163,072
	21,200			Darden Restaurants, Inc.									723,556
	40,200			International Game Technology									863,496
	16,032			Marriott International, Inc., Class A									442,317
	39,100			McDonald’s Corporation									2,231,437
	35,100			Starbucks Corporation, (2)									724,815
	3,200			Starwood Hotels & Resorts Worldwide, Inc.									105,696
	10,300			Wyndham Worldwide Corporation									168,096
	3,800			Wynn Resorts Ltd, (2)									269,382
	17,000			YUM! Brands, Inc.									573,920
				Total Hotels, Restaurants & Leisure									6,265,787
				Household Durables – 0.5%
	19,600			D.R. Horton, Inc.									223,636
	1,100			Harman International Industries Inc.									37,268
	11,700			KB Home									194,337
	2,600			Leggett and Platt Inc.									50,440
	18,800			Lennar Corporation, Class A									267,900
	19,192			Pulte Corporation, (2)									210,920
				Total Household Durables									984,501
				Household Products – 3.5%
	14,600			Clorox Company									858,772
	11,300			Colgate-Palmolive Company									861,964
	10,600			Kimberly-Clark Corporation									625,188
	81,300			Procter & Gamble Company									4,708,896
				Total Household Products									7,054,820
				Independent Power Producers & Energy Traders – 0.2%
	9,700			AES Corporation, (2)									143,754
	6,000			Constellation Energy Group									194,220
				Total Independent Power Producers & Energy Traders									337,974
				Industrial Conglomerates – 1.7%
	7,300			3M Co.									538,740
	173,700			General Electric Company									2,852,154
				Total Industrial Conglomerates									3,390,894
				Insurance – 3.3%
	3,600			AFLAC Incorporated									153,864
	3,000			American International Group, (2)									132,330
	9,400			Chubb Corporation									473,854
	29,900			Cincinnati Financial Corporation									777,101
	10,500			Genworth Financial Inc., Class A									125,475
	13,900			Hartford Financial Services Group, Inc.									368,350
	16,700			Lincoln National Corporation									432,697
	20,600			Loews Corporation									705,550
	1,700			Marsh & McLennan Companies, Inc.									42,041
	6,500			MBIA Inc., (2)									50,440
	18,200			MetLife, Inc.									692,874
	7,300			Principal Financial Group, Inc.									199,947
	26,100			Progressive Corporation, (2)									432,738
	15,200			Prudential Financial, Inc.									758,632
	2,000			Torchmark Corporation									86,860
	15,800			Travelers Companies, Inc.									777,834
	6,500			Unum Group									139,360
	20,200			XL Capital Ltd, Class A									352,692
				Total Insurance									6,702,639
				Internet & Catalog Retail – 0.6%
	7,200			Amazon.com, Inc., (2)									672,192
	21,700			Expedia, Inc., (2)									519,715
				Total Internet & Catalog Retail									1,191,907
				Internet Software & Services – 1.0%
	24,500			Akamai Technologies, Inc., (2)									482,160
	6,700			eBay Inc., (2)									158,187
	2,000			Google Inc., Class A, (2)									991,700
	2,700			VeriSign, Inc., (2)									63,963
	21,300			Yahoo! Inc., (2)									379,353
				Total Internet Software & Services									2,075,363
				IT Services – 2.3%
	6,600			Affiliated Computer Services, Inc., (2)									357,522
	42,700			Automatic Data Processing, Inc.									1,678,110
	11,600			Cognizant Technology Solutions Corporation, Class A, (2)									448,456
	10,600			Computer Sciences Corporation, (2)									558,726
	9,400			Convergys Corporation, (2)									93,436
	6,900			Fidelity National Information Services									176,019
	6,800			Fiserv, Inc., (2)									327,760
	1,600			MasterCard, Inc.									323,440
	14,000			Paychex, Inc.									406,700
	20,900			Total System Services Inc.									336,699
	2,800			Western Union Company									52,976
				Total IT Services									4,759,844
				Leisure Equipment & Products – 0.0%
	3,100			Mattel, Inc.									57,226
				Life Sciences Tools & Services – 0.0%
	900			Life Technologies Corporation, (2)									41,895
				Machinery – 0.7%
	900			Caterpillar Inc.									46,197
	700			Cummins Inc.									31,367
	12,300			Deere & Company									527,916
	2,000			Dover Corporation									77,520
	300			Flowserve Corporation									29,562
	7,000			Illinois Tool Works, Inc.									298,970
	2,800			PACCAR Inc.									105,588
	1,400			Parker Hannifin Corporation									72,576
	4,100			Stanley Works									175,029
				Total Machinery									1,364,725
				Media – 2.6%
	1,200			CBS Corporation, Class B									14,460
	122,300			Comcast Corporation, Class A									2,065,647
	31,200			DIRECTV Group, Inc., (2)									860,496
	14,600			McGraw-Hill Companies, Inc.									367,044
	6,900			Meredith Corporation									206,586
	21,800			News Corporation, Class A									261,382
	1,200			Omnicom Group, Inc.									44,328
	1,200			Time Warner Cable, Class A									51,708
	6,066			Time Warner Inc.									174,579
	26,500			Viacom Inc., Class B, (2)									743,060
	22,500			Walt Disney Company									617,850
				Total Media									5,407,140
				Metals & Mining – 1.0%
	1,900			AK Steel Holding Corporation									37,487
	14,500			Allegheny Technologies, Inc.									507,355
	7,100			Freeport-McMoRan Copper & Gold, Inc.									487,131
	6,700			Newmont Mining Corporation									294,934
	14,400			Nucor Corporation									676,944
				Total Metals & Mining									2,003,851
				Multiline Retail – 0.8%
	4,300			Family Dollar Stores, Inc.									113,520
	5,300			Federated Department Stores, Inc.									96,937
	4,200			J.C. Penney Company, Inc.									141,750
	17,200			Kohl’s Corporation, (2)									981,260
	7,500			Nordstrom, Inc.									229,050
	2,700			Target Corporation									126,036
				Total Multiline Retail									1,688,553
				Multi-Utilities – 3.9%
	9,400			Ameren Corporation									237,632
	37,800			CMS Energy Corporation									506,520
	48,400			Consolidated Edison, Inc.									1,981,496
	12,700			DTE Energy Company									446,278
	300			Integrys Energy Group, Inc.									10,767
	29,300			PG&E Corporation									1,186,357
	6,500			Public Service Enterprise Group Incorporated									204,360
	19,400			Scana Corporation									677,060
	14,600			Sempra Energy									727,226
	1,200			TECO Energy, Inc.									16,896
	16,000			Wisconsin Energy Corporation									722,720
	66,100			Xcel Energy, Inc.									1,271,764
				Total Multi-Utilities									7,989,076
				Oil, Gas & Consumable Fuels – 10.1%
	6,100			Anadarko Petroleum Corporation									382,653
	600			Apache Corporation									55,098
	13,100			Cabot Oil & Gas Corporation									468,325
	7,200			Chesapeake Energy Corporation									204,480
	51,600			Chevron Corporation									3,634,188
	13,300			ConocoPhillips									600,628
	6,300			CONSOL Energy Inc.									284,193
	27,700			Denbury Resources Inc., (2)									419,101
	400			Devon Energy Corporation									26,932
	2,500			El Paso Corporation									25,800
	2,500			EOG Resources, Inc.									208,775
	153,700			Exxon Mobil Corporation									10,545,357
	900			Hess Corporation									48,114
	7,600			Marathon Oil Corporation									242,440
	4,700			Massey Energy Company									131,083
	1,700			Murphy Oil Corporation									97,869
	12,200			Occidental Petroleum Corporation									956,480
	9,900			Peabody Energy Corporation									368,478
	700			Pioneer Natural Resources Company									25,403
	8,200			Range Resources Corporation									404,752
	10,900			Southwestern Energy Company, (2)									465,212
	5,700			Sunoco, Inc.									162,165
	18,600			Tesoro Corporation									278,628
	8,100			Valero Energy Corporation									157,059
	2,100			Williams Companies, Inc.									37,527
	8,500			XTO Energy, Inc.									351,220
				Total Oil, Gas & Consumable Fuels									20,581,960
				Pharmaceuticals – 8.2%
	33,700			Abbott Laboratories									1,667,139
	8,100			Allergan, Inc.									459,756
	104,200			Bristol-Myers Squibb Company									2,346,584
	2,200			Eli Lilly and Company									72,666
	9,200			Forest Laboratories, Inc., (2)									270,848
	72,600			Johnson & Johnson									4,420,614
	4,500			King Pharmaceuticals Inc., (2)									48,465
	54,300			Merck & Co. Inc.									1,717,509
	39,800			Mylan Laboratories Inc., (2)									637,198
	115,400			Pfizer Inc.									1,909,870
	56,900			Schering-Plough Corporation									1,607,425
	7,000			Watson Pharmaceuticals Inc., (2)									256,480
	27,300			Wyeth									1,326,234
				Total Pharmaceuticals									16,740,788
				Professional Services – 0.2%
	2,200			Dun and Bradstreet Inc.									165,704
	8,300			Monster Worldwide Inc., (2)									145,084
	4,000			Robert Half International Inc.									100,080
				Total Professional Services									410,868
				Real Estate – 0.6%
	422			AvalonBay Communities, Inc.									30,692
	1,200			Equity Residential									36,840
	12,600			Health Care Property Investors Inc.									362,124
	16,600			Host Hotels & Resorts Inc.									195,382
	1,200			Plum Creek Timber Company									36,768
	6,500			Public Storage, Inc.									489,060
	319			Simon Property Group, Inc.									22,148
	2,500			Ventas Inc.									96,250
	180			Vornado Realty Trust									11,594
				Total Real Estate									1,280,858
				Real Estate Management & Development – 0.2%
	26,900			CB Richard Ellis Group, Inc., Class A, (2)									315,806
				Road & Rail – 0.4%
	5,300			Burlington Northern Santa Fe Corporation									423,099
	5,300			Norfolk Southern Corporation									228,483
	3,600			Union Pacific Corporation									210,060
				Total Road & Rail									861,642
				Semiconductors & Equipment – 2.3%
	53,900			Advanced Micro Devices, Inc., (2)									305,074
	8,100			Altera Corporation									166,131
	2,000			Analog Devices, Inc.									55,160
	24,100			Broadcom Corporation, Class A, (2)									739,629
	43,600			Intel Corporation									853,252
	5,200			KLA-Tencor Corporation									186,472
	6,200			Linear Technology Corporation									171,306
	14,000			MEMC Electronic Materials, (2)									232,820
	49,200			Micron Technology, Inc., (2)									403,440
	15,800			Novellus Systems, Inc., (2)									331,484
	45,000			NVIDIA Corporation, (2)									676,350
	16,500			Teradyne Inc., (2)									152,625
	2,400			Texas Instruments Incorporated									56,856
	15,600			Xilinx, Inc.									365,352
				Total Semiconductors & Equipment									4,695,951
				Software – 3.2%
	1,200			Adobe Systems Incorporated, (2)									39,648
	26,200			BMC Software, Inc., (2)									983,286
	6,800			CA Inc.									149,532
	7,000			Citrix Systems, (2)									274,610
	26,600			Intuit, Inc., (2)									758,100
	8,200			McAfee Inc., (2)									359,078
	43,400			Microsoft Corporation									1,123,626
	99,100			Oracle Corporation									2,065,244
	7,500			Red Hat, Inc., (2)									207,300
	2,300			Salesforce.com, Inc., (2)									130,939
	25,000			Symantec Corporation, (2)									411,750
				Total Software									6,503,113
				Specialty Retail – 3.2%
	2,900			Abercrombie & Fitch Co., Class A									95,352
	13,500			AutoNation Inc., (2)									244,080
	5,900			AutoZone, Inc., (2)									862,698
	10,800			Bed Bath and Beyond Inc., (2)									405,432
	14,800			Best Buy Co., Inc.									555,296
	11,200			Gap, Inc.									239,680
	43,900			Home Depot, Inc.									1,169,496
	22,100			Lowe’s Companies, Inc.									462,774
	48,300			Office Depot, Inc., (2)									319,746
	29,800			O’Reilly Automotive Inc., (2)									1,076,972
	5,900			RadioShack Corporation									97,763
	9,400			Sherwin-Williams Company									565,504
	9,500			Staples, Inc.									220,590
	2,900			TJX Companies, Inc.									107,735
				Total Specialty Retail									6,423,118
				Textiles, Apparel & Luxury Goods – 0.3%
	5,700			Coach, Inc.									187,644
	3,800			Nike, Inc., Class B									245,860
	2,200			VF Corporation									159,346
				Total Textiles, Apparel & Luxury Goods									592,850
				Thrifts & Mortgage Finance – 0.4%
	22,400			Hudson City Bancorp, Inc.									294,560
	38,500			People’s United Financial, Inc.									599,060
				Total Thrifts & Mortgage Finance									893,620
				Tobacco – 0.8%
	23,800			Altria Group, Inc.									423,878
	3,600			Lorillard Inc.									267,480
	16,100			Philip Morris International									784,714
	1,500			Reynolds American Inc.									66,780
				Total Tobacco									1,542,852
				Trading Companies & Distributors – 0.3%
	2,100			Fastenal Company									81,270
	6,900			W.W. Grainger, Inc.									616,584
				Total Trading Companies & Distributors									697,854
				Wireless Telecommunication Services – 0.0%
	1,600			Metropcs Communications Inc., (2)									14,976
	17,400			Sprint Nextel Corporation, (2)									68,730
				Total Wireless Telecommunication Services									83,706
				Total Common Stocks (cost $179,263,665)									198,658,975
Principal
Amount (000)				Description (1)		Coupon		Maturity		Ratings (3)		Value
				Short-Term Investments – 4.6%
				U.S. Government and Agency Obligations – 3.0%
$	6,000			U.S. Treasury Bills (4)		0.000%		10/15/09		AAA		$	5,999,958
				Repurchase Agreements – 1.6%
	3,351			Repurchase Agreement with State Street Bank, dated 09/30/09, repurchase price $3,351,298, collateralized by $3,425,000 U.S. Treasury Bills, 0.000%, due 3/11/10, value $3,422,603		0.010%		10/01/09		N/A			3,351,297
$	9,351			Total Short-Term Investments (cost $9,350,935)									9,351,255
				Total Investments (cost $188,614,600) – 102.1%									208,010,230
Number of						Notional		Expiration		Strike
Contracts				Type		Amount (5)		Date		Price		Value
				Call Options Written – (0.3)%
	(455,953	)		Custom Basket 1 NASDAQ		$  (45,595,273)		10/22/09		$105.0		$	(331,341	)
	(441,137	)		Custom Basket 2 NASDAQ		(44,113,745)		10/29/09		105.0			(350,748	)
	(897,090	)		Total Call Options Written (premiums received $592,672)		(89,709,018)							(682,089	)
				Other Assets Less Liabilities – (1.8)%									(3,588,694	)
				Net Assets – 100%								$	203,739,447