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:    3/31/2009   

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

Portfolio of Investments (Unaudited)

Nuveen Core Equity Alpha Fund (JCE)
March 31, 2009

Shares				Description (1)								Value
				Common Stocks – 98.9%
				Aerospace & Defense – 1.2%
	2,800			Boeing Company								$	99,624
	1,100			FLIR Systems Inc., (2)									22,528
	5,000			General Dynamics Corporation									207,950
	2,700			Honeywell International Inc.									75,222
	20,100			Lockheed Martin Corporation									1,387,503
	700			Precision Castparts Corporation									41,930
	3,600			United Technologies Corporation									154,728
				Total Aerospace & Defense									1,989,485
				Air Freight & Logistics – 0.4%
	10,200			C.H. Robinson Worldwide, Inc.									465,222
	2,800			FedEx Corporation									124,572
				Total Air Freight & Logistics									589,794
				Airlines – 0.5%
	134,800			Southwest Airlines Co.									853,284
				Auto Components – 0.1%
	16,900			Johnson Controls, Inc.									202,800
				Automobiles – 0.1%
	7,300			Harley-Davidson, Inc.									97,747
				Beverages – 2.6%
	19,200			Brown-Forman Corporation									745,536
	33,700			Coca-Cola Company									1,481,115
	22,200			Constellation Brands, Inc., Class A, (2)									264,180
	5,800			Dr. Pepper Snapple Group, (2)									98,078
	1,600			Molson Coors Brewing Company, Class B									54,848
	2,000			Pepsi Bottling Group, Inc.									44,280
	32,000			PepsiCo, Inc.									1,647,360
				Total Beverages									4,335,397
				Biotechnology – 1.6%
	19,900			Amgen Inc., (2)									985,448
	13,700			Celgene Corporation, (2)									608,280
	6,200			Cephalon, Inc., (2)									422,220
	1,000			Genzyme Corporation, (2)									59,390
	11,900			Gilead Sciences, Inc., (2)									551,208
				Total Biotechnology									2,626,546
				Building Products – 0.5%
	23,600			Fastenal Company									758,858
				Capital Markets – 0.4%
	10,200			Charles Schwab Corporation									158,100
	1,700			Franklin Resources, Inc.									91,579
	5,100			State Street Corporation									156,978
	7,100			T. Rowe Price Group Inc.									204,906
				Total Capital Markets									611,563
				Chemicals – 1.1%
	21,100			E.I. Du Pont de Nemours and Company									471,163
	2,400			Ecolab Inc.									83,352
	26,400			PPG Industries, Inc.									974,160
	1,500			Praxair, Inc.									100,935
	1,800			Rohm and Haas Company									141,912
	2,800			Sigma-Aldrich Corporation									105,812
				Total Chemicals									1,877,334
				Commercial Banks – 3.9%
	131,100			Bank of America Corporation									894,102
	34,800			BB&T Corporation									588,816
	700			Comerica Incorporated									12,817
	8,008			First Horizon National Corporation									86,006
	1,500			Goldman Sachs Group, Inc.									159,030
	51,505			JPMorgan Chase & Co.									1,369,003
	1,000			KeyCorp.									7,870
	4,100			M&T Bank Corporation									185,484
	19,700			Morgan Stanley									448,569
	3,800			Northern Trust Corporation									227,316
	12,600			PNC Financial Services Group, Inc.									369,054
	24,800			U.S. Bancorp									362,328
	118,850			Wells Fargo & Company									1,692,424
	4,700			Zions Bancorporation									46,201
				Total Commercial Banks									6,449,020
				Commercial Services & Supplies – 1.7%
	3,100			Cintas Corporation									76,632
	6,700			Dun and Bradstreet Inc.									515,900
	8,600			Pitney Bowes Inc.									200,810
	17,035			Republic Services, Inc.									292,150
	6,200			Robert Half International Inc.									110,546
	2,100			Stericycle Inc., (2)									100,233
	62,600			Waste Management, Inc.									1,602,560
				Total Commercial Services & Supplies									2,898,831
				Communications Equipment – 2.1%
	108,900			Cisco Systems, Inc., (2)									1,826,253
	11,000			Motorola, Inc.									46,530
	40,000			QUALCOMM, Inc.									1,556,400
				Total Communications Equipment									3,429,183
				Computers & Peripherals – 4.5%
	13,600			Apple, Inc., (2)									1,429,632
	32,800			Dell Inc., (2)									310,944
	2,000			EMC Corporation, (2)									22,800
	69,000			Hewlett-Packard Company									2,212,140
	31,700			International Business Machines Corporation (IBM)									3,071,413
	3,700			Lexmark International, Inc., Class A, (2)									62,419
	500			McAfee Inc., (2)									16,750
	3,500			Network Appliance Inc., (2)									51,940
	16,400			SanDisk Corporation, (2)									207,460
				Total Computers & Peripherals									7,385,498
				Construction & Engineering – 0.3%
	13,400			Fluor Corporation									462,970
				Construction Materials – 0.3%
	11,200			Vulcan Materials Company									496,048
				Consumer Finance – 0.7%
	21,800			Capital One Financial Corporation									266,832
	51,700			Discover Financial Services									326,227
	53,800			SLM Corporation, (2)									266,310
	18,000			Western Union Company									226,260
				Total Consumer Finance									1,085,629
				Containers & Packaging – 0.5%
	7,900			Ball Corporation									342,860
	17,600			Bemis Company, Inc.									369,072
	1,200			Owens-Illinois, Inc., (2)									17,328
	3,200			Pactiv Corporation, (2)									46,688
	1,200			Sealed Air Corporation									16,560
				Total Containers & Packaging									792,508
				Diversified Consumer Services – 0.8%
	900			Apollo Group, Inc., (2)									70,497
	64,600			H & R Block Inc.									1,175,074
				Total Diversified Consumer Services									1,245,571
				Diversified Financial Services – 0.6%
	21,500			Citigroup Inc.									54,395
	100			CME Group, Inc.									24,639
	23,200			Leucadia National Corporation, (2)									345,448
	22,800			Moody’s Corporation									522,576
				Total Diversified Financial Services									947,058
				Diversified Telecommunication Services – 4.9%
	226,600			AT&T Inc.									5,710,320
	15,800			CenturyTel, Inc.									444,296
	15,100			Embarq Corporation									571,535
	62,600			Frontier Communications Corporation									449,468
	30,500			Verizon Communications Inc.									921,100
	10,000			Windstream Corporation									80,600
				Total Diversified Telecommunication Services									8,177,319
				Electric Utilities – 2.3%
	4,800			Ameren Corporation									111,312
	19,500			Consolidated Edison, Inc.									772,395
	3,700			DTE Energy Company									102,490
	8,900			Entergy Corporation									606,001
	8,200			FirstEnergy Corp.									316,520
	7,000			FPL Group, Inc.									355,110
	4,300			Northeast Utilities									92,837
	11,700			PG&E Corporation									447,174
	5,000			Pinnacle West Capital Corporation									132,800
	15,100			PPL Corporation									433,521
	5,400			Progress Energy, Inc.									195,804
	3,200			Southern Company									97,984
	18,800			TECO Energy, Inc.									209,620
				Total Electric Utilities									3,873,568
				Electrical Equipment – 0.1%
	8,800			Cooper Industries, Ltd., Class A									227,568
				Electronic Equipment & Instruments – 0.7%
	2,500			Agilent Technologies, Inc., (2)									38,425
	1,800			Amphenol Corporation, Class A									51,282
	31,400			Jabil Circuit Inc.									174,584
	21,500			Molex Inc.									295,410
	13,200			Thermo Fisher Scientific, Inc., (2)									470,844
	5,000			Tyco Electronics, Limited									55,200
				Total Electronic Equipment & Instruments									1,085,745
				Energy Equipment & Services – 2.5%
	1,700			Anadarko Petroleum Corporation									66,113
	13,700			Baker Hughes Incorporated									391,135
	21,200			BJ Services Company									210,940
	2,300			Cabot Oil & Gas Corporation									54,211
	1,700			Cooper Cameron Corporation, (2)									37,281
	1,600			Diamond Offshore Drilling, Inc.									100,576
	9,500			ENSCO International Incorporated									250,800
	19,800			Halliburton Company									306,306
	37,900			Nabors Industries Inc., (2)									378,621
	17,000			National-Oilwell Varco Inc., (2)									488,070
	1,200			Noble Corporation									28,908
	34,600			Schlumberger Limited									1,405,452
	16,400			Smith International, Inc.									352,272
				Total Energy Equipment & Services									4,070,685
				Food & Staples Retailing – 3.7%
	600			Costco Wholesale Corporation									27,792
	16,000			CVS Caremark Corporation									439,840
	75,600			Kroger Co.									1,604,232
	22,000			Sysco Corporation									501,600
	9,300			Walgreen Co.									241,428
	63,900			Wal-Mart Stores, Inc.									3,329,190
				Total Food & Staples Retailing									6,144,082
				Food Products – 5.3%
	29,400			Campbell Soup Company									804,384
	3,500			Dean Foods Company, (2)									63,280
	35,000			General Mills, Inc.									1,745,800
	44,100			H.J. Heinz Company									1,457,946
	26,500			Hershey Foods Corporation									920,875
	1,500			Hormel Foods Corporation									47,565
	18,500			JM Smucker Company									689,495
	32,800			Kellogg Company									1,201,464
	24,900			Kraft Foods Inc.									555,021
	6,000			McCormick & Company, Incorporated									177,420
	6,900			Monsanto Company									573,390
	29,500			Sara Lee Corporation									238,360
	32,800			Tyson Foods, Inc., Class A									307,992
				Total Food Products									8,782,992
				Gas Utilities – 0.4%
	7,700			Nicor Inc.									255,871
	29,600			Spectra Energy Corporation									418,544
				Total Gas Utilities									674,415
				Health Care Equipment & Supplies – 2.3%
	30,500			Baxter International, Inc.									1,562,210
	22,200			Boston Scientific Corporation, (2)									176,490
	7,000			Cardinal Health, Inc.									220,360
	25,700			Covidien Limited									854,268
	6,100			DENTSPLY International Inc.									163,785
	7,400			Medtronic, Inc.									218,078
	700			Saint Jude Medical Inc., (2)									25,431
	8,500			Stryker Corporation									289,340
	7,200			Varian Medical Systems, Inc., (2)									219,168
				Total Health Care Equipment & Supplies									3,729,130
				Health Care Providers & Services – 2.0%
	3,000			CIGNA Corporation									52,770
	13,200			Davita Inc., (2)									580,140
	5,400			Express Scripts, Inc., (2)									249,318
	1,400			Humana Inc., (2)									36,512
	28,200			Medco Health Solutions, Inc., (2)									1,165,788
	22,100			Quest Diagnostics Incorporated									1,049,308
	4,100			Wellpoint Inc., (2)									155,677
				Total Health Care Providers & Services									3,289,513
				Health Care Technology – 0.2%
	28,400			IMS Health Incorporated									354,148
				Hotels, Restaurants & Leisure – 1.4%
	10,500			Darden Restaurants, Inc.									359,730
	32,300			McDonald’s Corporation									1,762,611
	8,500			Starbucks Corporation, (2)									94,435
	6,000			Wyndham Worldwide Corporation									25,200
				Total Hotels, Restaurants & Leisure									2,241,976
				Household Durables – 0.6%
	4,500			Black & Decker Corporation									142,020
	1,200			Centex Corporation									9,000
	2,900			Harman International Industries Inc.									39,237
	30,800			Leggett and Platt Inc.									400,092
	10,300			Lennar Corporation, Class A									77,353
	12,400			Pulte Corporation									135,532
	8,100			Snap-on Incorporated									203,310
	2,000			Stanley Works									58,240
	200			Whirlpool Corporation									5,918
				Total Household Durables									1,070,702
				Household Products – 2.8%
	4,500			Clorox Company									231,660
	12,900			Colgate-Palmolive Company									760,842
	4,700			Kimberly-Clark Corporation									216,717
	73,700			Procter & Gamble Company									3,470,533
				Total Household Products									4,679,752
				Industrial Conglomerates – 3.4%
	9,400			3M Co.									467,368
	481,200			General Electric Company									4,864,932
	7,700			Genuine Parts Company									229,922
				Total Industrial Conglomerates									5,562,222
				Insurance – 2.4%
	4,800			AFLAC Incorporated									92,928
	1,000			Allstate Corporation									19,150
	3,000			Assurant Inc.									65,340
	2,700			Chubb Corporation									114,264
	42,600			Hartford Financial Services Group, Inc.									334,410
	34,500			Lincoln National Corporation									230,805
	60,500			Loews Corporation									1,337,050
	41,700			Marsh & McLennan Companies, Inc.									844,425
	2,000			MBIA Inc., (2)									9,160
	6,900			MetLife, Inc.									157,113
	3,700			Principal Financial Group, Inc.									30,266
	29,900			Progressive Corporation, (2)									401,856
	12,900			Prudential Financial, Inc.									245,358
	1,700			Torchmark Corporation									44,591
	9,800			Unum Group									122,500
				Total Insurance									4,049,216
				Internet & Catalog Retail – 0.3%
	7,100			Amazon.com, Inc., (2)									521,424
				Internet Software & Services – 0.1%
	500			Google Inc., Class A, (2)									174,030
				IT Services – 1.6%
	11,900			Affiliated Computer Services, Inc., (2)									569,891
	31,000			Automatic Data Processing, Inc.									1,089,960
	17,100			Computer Sciences Corporation, (2)									629,964
	4,800			Convergys Corporation, (2)									38,784
	2,400			Iron Mountain Inc., (2)									53,208
	10,500			Paychex, Inc.									269,535
				Total IT Services									2,651,342
				Leisure Equipment & Products – 0.4%
	23,300			Hasbro, Inc.									584,131
	2,800			Mattel, Inc.									32,284
				Total Leisure Equipment & Products									616,415
				Life Sciences Tools & Services – 0.1%
	11,500			Perkinelmer Inc.									146,855
				Machinery – 2.2%
	38,000			Caterpillar Inc.									1,062,480
	23,300			Cummins Inc.									592,985
	36,700			Dover Corporation									968,146
	1,600			Flowserve Corporation									89,792
	13,000			Illinois Tool Works, Inc.									401,050
	7,361			Ingersoll Rand Company Limited, Class A									101,582
	11,000			ITT Industries, Inc.									423,170
	200			PACCAR Inc.									5,152
	1,600			Pall Corporation									32,688
				Total Machinery									3,677,045
				Media – 2.4%
	167,600			Comcast Corporation, Class A									2,286,064
	16,400			DIRECTV Group, Inc., (2)									373,756
	14,800			McGraw-Hill Companies, Inc.									338,476
	1,100			Scripps Networks Interactive, Class A Shares									24,761
	292			Time Warner Cable, Class A									7,242
	1,166			Time Warner Inc.									22,504
	47,700			Walt Disney Company									866,232
				Total Media									3,919,035
				Metals & Mining – 0.2%
	13,600			AK Steel Holding Corporation									96,832
	500			Alcoa Inc.									3,670
	2,800			CONSOL Energy Inc.									70,672
	900			Freeport-McMoRan Copper & Gold, Inc.									34,299
	7,400			United States Steel Corporation									156,362
				Total Metals & Mining									361,835
				Multiline Retail – 1.2%
	5,700			Big Lots, Inc., (2)									118,446
	21,000			Family Dollar Stores, Inc.									700,770
	5,800			J.C. Penney Company, Inc.									116,406
	21,600			Kohl’s Corporation, (2)									914,112
	2,500			Sears Holding Corporation, (2)									114,275
	700			Target Corporation									24,073
				Total Multiline Retail									1,988,082
				Multi-Utilities – 0.2%
	5,900			Integrys Energy Group, Inc.									153,636
	2,300			Public Service Enterprise Group Incorporated									67,781
	2,700			Scana Corporation									83,403
				Total Multi-Utilities									304,820
				Oil, Gas & Consumable Fuels – 10.2%
	4,000			Apache Corporation									256,360
	18,600			Chesapeake Energy Corporation									317,316
	51,600			Chevron Corporation									3,469,584
	39,000			ConocoPhillips									1,527,240
	3,000			Devon Energy Corporation									134,070
	6,700			El Paso Corporation									41,875
	1,400			EOG Resources, Inc.									76,664
	128,500			Exxon Mobil Corporation									8,750,850
	6,300			Hess Corporation									341,460
	6,800			Marathon Oil Corporation									178,772
	20,200			Massey Energy Company									204,424
	100			Murphy Oil Corporation									4,477
	14,100			Occidental Petroleum Corporation									784,665
	9,800			Peabody Energy Corporation									245,392
	20,500			Pioneer Natural Resources Company									337,635
	8,200			Southwestern Energy Company, (2)									243,458
	2,400			Tesoro Corporation									32,328
	350			XTO Energy, Inc.									10,717
				Total Oil, Gas & Consumable Fuels									16,957,287
				Personal Products – 0.2%
	2,700			Avon Products, Inc.									51,921
	13,100			Estee Lauder Companies Inc., Class A									322,915
				Total Personal Products									374,836
				Pharmaceuticals – 6.4%
	40,100			Abbott Laboratories									1,912,770
	59,200			Bristol-Myers Squibb Company									1,297,664
	2,200			Eli Lilly and Company									73,502
	70,400			Johnson & Johnson									3,703,040
	58,200			King Pharmaceuticals Inc., (2)									411,474
	41,900			Merck & Co. Inc.									1,120,825
	6,200			Mylan Laboratories Inc., (2)									83,142
	56,300			Pfizer Inc.									766,806
	28,300			Schering-Plough Corporation									666,465
	14,100			Wyeth									606,864
				Total Pharmaceuticals									10,642,552
				Real Estate – 1.2%
	7,299			Apartment Investment & Management Company, Class A									39,999
	2,022			AvalonBay Communities, Inc.									95,155
	4,700			Boston Properties, Inc.									164,641
	16,900			Equity Residential									310,115
	13,300			Health Care Property Investors Inc.									237,405
	2,100			Health Care REIT, Inc.									64,239
	2,200			Kimco Realty Corporation									16,764
	2,700			Plum Creek Timber Company									78,489
	43,900			ProLogis									285,350
	8,300			Public Storage, Inc.									458,575
	2,504			Simon Property Group, Inc.									86,739
	2,700			Ventas Inc.									61,047
	3,631			Vornado Realty Trust									120,694
				Total Real Estate									2,019,212
				Road & Rail – 4.0%
	26,200			Burlington Northern Santa Fe Corporation									1,575,930
	59,200			CSX Corporation									1,530,320
	53,300			Norfolk Southern Corporation									1,798,875
	12,500			Ryder System, Inc.									353,875
	34,700			Union Pacific Corporation									1,426,517
				Total Road & Rail									6,685,517
				Semiconductors & Equipment – 2.8%
	45,300			Altera Corporation									795,015
	20,200			Analog Devices, Inc.									389,254
	24,300			Broadcom Corporation, Class A, (2)									485,514
	37,700			Intel Corporation									567,385
	36,700			Linear Technology Corporation									843,366
	16,800			Microchip Technology Incorporated									355,992
	31,500			National Semiconductor Corporation									323,505
	9,100			NVIDIA Corporation, (2)									89,726
	10,200			QLogic Corporation, (2)									113,424
	34,600			Xilinx, Inc.									662,936
				Total Semiconductors & Equipment									4,626,117
				Software – 2.7%
	9,400			Adobe Systems Incorporated, (2)									201,066
	1,700			Cognizant Technology Solutions Corporation, Class A, (2)									35,343
	41,700			Compuware Corporation, (2)									274,803
	4,000			Intuit, Inc., (2)									108,000
	81,600			Microsoft Corporation									1,498,992
	98,100			Oracle Corporation									1,772,667
	42,900			Symantec Corporation, (2)									640,926
				Total Software									4,531,797
				Specialty Retail – 1.7%
	800			AutoZone, Inc., (2)									130,096
	3,700			Bed Bath and Beyond Inc., (2)									91,575
	24,900			Home Depot, Inc.									586,644
	44,500			Limited Brands, Inc.									387,150
	20,900			Lowe’s Companies, Inc.									381,425
	27,900			RadioShack Corporation									239,103
	6,600			Sherwin-Williams Company									343,002
	19,300			Staples, Inc.									349,523
	2,900			Tiffany & Co.									62,524
	7,100			TJX Companies, Inc.									182,044
				Total Specialty Retail									2,753,086
				Textiles, Apparel & Luxury Goods – 0.9%
	5,400			Coach, Inc., (2)									90,180
	8,000			Nike, Inc., Class B									375,120
	9,100			Polo Ralph Lauren Corporation									384,475
	10,000			VF Corporation									571,100
				Total Textiles, Apparel & Luxury Goods									1,420,875
				Thrifts & Mortgage Finance – 0.4%
	55,700			Hudson City Bancorp, Inc.									651,133
	2,800			People’s United Financial, Inc.									50,316
				Total Thrifts & Mortgage Finance									701,449
				Tobacco – 0.4%
	17,900			Philip Morris International									636,882
				Trading Companies & Distributors – 0.4%
	10,600			W.W. Grainger, Inc.									743,908
				Total Common Stocks (cost $200,637,533)									163,602,558
Principal
Amount (000)				Description (1)		Coupon		Maturity		Rating (3)		Value
				U.S. Government and Agency Obligations – 3.6%
$	6,000			U.S. Treasury Bills (4)		0.000%		8/27/09		Aaa		$	5,992,968
				Total U.S. Government and Agency Obligations (cost $5,990,627)									5,992,968
Principal
Amount (000)				Description (1)		Coupon		Maturity				Value
				Short-Term Investments – 3.0%
$	4,993			Repurchase Agreement with State Street Bank, dated 3/31/09, repurchase price $4,992,958, collateralized by $5,100,000 U.S. Treasury Bills, 0.000%, due 8/27/09, value $5,093,880		0.100%		4/01/09				$	4,992,944
				Total Short-Term Investments (cost $4,992,944)									4,992,944
				Total Investments (cost $211,621,104) - 105.5%									174,588,470
Number of						Notional		Expiration		Strike
Contracts				Type		Amount (5)		Date		Price		Value
				Call Options Written – (3.6)%
	(369,189	)		Custom Basket 1 NASDAQ		$  (36,918,862)		4/09/09		$105.0		$	(4,713,764	)
	(381,060	)		Custom Basket 3 NASDAQ		(38,106,001)		4/23/09		105.0			(1,297,890	)
	(750,249	)		Total Call Options Written (premium received $1,702,364)		(750,024,864)							(6,011,654	)
				Other Assets Less Liabilities – (1.9)%									(3,165,731	)
				Net Assets – 100%								$	165,411,085