Closed-End Funds

Nuveen Investments

Closed-End Funds

Mathematically-driven investment strategy that seeks to
generate excess risk-adjusted returns

Annual Report

December 31, 2011

Nuveen Core Equity
Alpha Fund

JCE

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Table of Contents

Chairman's Letter to Shareholders					4
Portfolio Managers' Comments					5
Share Distribution and Price Information					9
Performance Overview					11
Report of Registered Independent Public Accounting Firm					12
Portfolio of Investments					13
Statement of Assets & Liabilities					23
Statement of Operations					24
Statement of Changes in Net Assets					25
Financial Highlights					26
Notes to Financial Statements					28
Board Members & Officers					38
Reinvest Automatically Easily and Conveniently					43
Glossary of Terms Used in this Report					45
Additional Fund Information					47

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Chairman's
Letter to Shareholders

Dear Shareholders,

These are perplexing times for investors. The global economy continues to struggle. The solutions being implemented in the eurozone to deal with the debt crises of many of its member countries are not yet seen as sufficient by the financial markets. The political paralysis in the U.S. has prevented the compromises necessary to deal with the fiscal imbalance and government spending priorities. The efforts by individual consumers, governments and financial institutions to reduce their debts are increasing savings but reducing demand for the goods and services that drive employment. These developments are undermining the rebuilding of confidence by consumers, corporations and investors that is so essential to a resumption of economic growth.

Although it is painfully slow, progress is being made. In Europe, the turnover of a number of national governments reflects the realization by politicians and voters alike that leaders who practiced business as usual had to be replaced by leaders willing to face problems and accept the hard choices needed to resolve them. The recent coordinated efforts by central banks in the U.S. and Europe to provide liquidity to the largest European banks indicates that these monetary authorities are committed to facilitating a recovery in the European banking sector.

In the U.S., the failure of the congressionally appointed Debt Reduction Committee was a blow to those who hoped for a bipartisan effort to finally begin addressing the looming fiscal crisis. Nevertheless, Congress and the administration cannot ignore the issue for long. The Bush era tax cuts are scheduled to expire on December 31, 2012, and six months later the $1.2 trillion of mandatory across-the-board spending cuts under the Budget Control Act of 2011 begin to go into effect. Any legislative modification would require bipartisan support and the prospects for a bipartisan solution are unclear. The impact of these two developments would be a mixed blessing: a meaningful reduction in the annual budget deficit at the cost of slowing the economic recovery.

It is in these particularly volatile markets that professional investment management is most important. Skillful investment teams who have experienced challenging markets and remain committed to their investment disciplines are critical to the success of an investor's long-term objectives. In fact, many long-term investment track records are built during challenging markets when managers are able to protect investors against these economic crosscurrents. Experienced investment teams know that volatile markets put a premium on companies and investment ideas that will weather the short-term volatility and that compelling values and opportunities are opened up when markets overreact to negative developments. By maintaining appropriate time horizons, diversification and relying on practiced investment teams, we believe that investors can achieve their long-term investment objectives.

As always, I encourage you to contact your financial consultant if you have any questions about your investment in a Nuveen Fund. On behalf of the other members of your Fund Board, we look forward to continuing to earn your trust in the months and years ahead.

Sincerely,

Robert P. Bremner
Chairman of the Board
February 22, 2012

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Portfolio Managers' Comments

Certain statements in this report are forward-looking statements. Discussions of specific investments are for illustration only and are not intended as recommendations of individual investments. The forward-looking statements and other views expressed herein are those of the portfolio managers as of the date of this report. Actual future results or occurrences may differ significantly from those anticipated in any forward-looking statements and the views expressed herein are subject to change at any time, due to numerous market and other factors. The Fund disclaims any obligation to update publicly or revise any forward-looking statements or views expressed herein.

Nuveen Core Equity Alpha Fund (JCE)

The equity portion of the Nuveen Core Equity Alpha Fund (JCE) is managed by INTECH Investment Management LLC (INTECH), an independently managed subsidiary of Janus Capital Group Inc. INTECH's Co-Chief Investment Officer Dr. E. Robert Fernholz, PhD, leads the portfolio management team that also includes Dr. Adrian Banner and Joseph Runnels, CFA.

The Fund also employs a call option strategy managed by Nuveen Asset Management, LLC, an affiliate of Nuveen Investments. Keith Hembre, CFA, David Friar and James Colon, CFA, oversee this program.

Here Dr. Fernholz and the other INTECH team members, along with the Nuveen Asset Management, LLC team, talk about their management strategies and the performance of the Fund for the twelve-month period ended December 31, 2011.

What were the general market conditions for the reporting period?

During this period, the U.S. economy continued to recover from the recent recession, but progress remained slow. The country's gross domestic product (GDP) grew in 2011, but at a slower rate than 2010 (1.7% vs. 3.0%), respectively. The unemployment picture showed some improvement, with the national unemployment rate standing at 8.5% as of December 2011, compared with 9.4% one year earlier. However, the housing market continued to be a weak spot. For the twelve months ended November 2011 (the most recent data available at the time this report was prepared), the average home price in the Standard & Poor's (S&P)/Case-Shiller Index lost 1.3%, with 18 of the 20 major metropolitan areas reporting lower values. In addition, the U.S. economic picture continued to be clouded by concerns about the European debt crisis and efforts to reduce the federal deficit.

In an attempt to improve the overall economic environment, the Federal Reserve (Fed) continued to hold the benchmark fed funds rate at the record low level of zero to 0.25% that it had established in December 2008. In January 2012 (following the close of this reporting period), the central bank stated that economic conditions would likely warrant maintaining this low rate through 2014. The Fed also implemented a program to extend the average maturity of its U.S. Treasury holdings by purchasing $400 billion of these securities with maturities of six to thirty years and selling an equal amount of U.S. Treasury securities with maturities of three years or less. The goals of this program, which the Fed expects to complete by the end of June 2012, are to lower longer-term interest rates, support a stronger economic recovery and help ensure that inflation remains at levels consistent with the Fed's mandates of maximum employment and price stability.

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The U.S. equity markets experienced periods of extreme volatility over the twelve-month reporting period, and posted mixed results for the full year. The Dow Jones Industrial Average gained 8.38% in 2011, and the broader S&P 500 Index ended the year up 2.11%. The NASDAQ Composite Index finished in the red, slipping 0.83% during 2011.

What key strategies were used to manage the Fund during this reporting period?

The investment objective of the Fund is to provide an attractive level of total return, primarily through long-term capital appreciation and secondarily through income and gains. The Fund invests in a portfolio of common stocks selected from among the stocks comprising the S&P 500 Index, using a proprietary mathematical process designed by INTECH, and also employs risk reduction techniques. Typically, the Fund's equity portfolio will hold 150 – 450 stocks included in the S&P 500 Index.

The Fund also employs an option strategy that seeks to enhance the Fund's risk-adjusted performance over time through a meaningful reduction in the volatility of the Fund's returns relative to the returns of the S&P 500 Index. The Fund expects to write call options on a custom basket of equities with a notional value of up to 50% of the value of the equity portfolio. During the period, the Fund's writing of call options on a basket of stocks, while investing in a portfolio of equities enhanced returns while foregoing some upside potential.

The goal of the Fund's equity portfolio is to produce long-term returns in excess of the S&P 500 Index with an equal or lesser amount of risk. The continued market uncertainty during this period reconfirmed the importance of disciplined risk management, which is at the heart of INTECH's investment process. The firm's core risk controls are focused on minimizing the volatility of excess returns relative to the S&P 500 Index, so that any excess return is as consistent as possible and any relative underperformance is limited in magnitude and duration. We believe this helps minimize tracking error vis a vis the S&P 500 Index during periods of short-term market instability.

INTECH seeks to generate excess returns by harnessing the natural volatility of stock prices to build a potentially more efficient portfolio than the S&P 500 Index. INTECH's investment process focuses solely on relative volatility and correlation. Specifically, the process searches for stocks with high relative volatility and low correlation, attempting to combine stocks in a manner that outperforms the benchmark. The actual positioning of the portfolio—from a sector and stock specific standpoint—is a residual of the process, and the rationale for over and underweighted positions is a function of stocks' relative volatility and correlation characteristics in aggregate.

Because INTECH's process does not forecast the direction of stock prices, equity holdings that are overweighted or underweighted relative to the index are expected to beat the benchmark in approximately equal proportions over time.

While INTECH does not employ fundamental analysis in the management of the equity portfolio, fundamentals can have a significant impact on the general direction of the market. As stock prices moved naturally throughout the period, we continued to imple- ment our mathematical process in a disciplined and precise manner in an effort to

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Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares.

For additional information, see the Performance Overview page in this report.

*  Since inception returns are from 3/27/07.

**  Refer to Glossary of Terms Used in this Report for definitions.

maintain a more efficient portfolio than the S&P 500 Index, without increasing relative risk. While other factors may influence performance over the short term, we believe that the consistent application of our process will help long-term performance.

The Fund also entered into futures contracts, buying equity index futures to gain equity market exposure where the portfolio holds cash.

How did the Fund perform over this twelve-month period?

The performance of the Fund, as well as for comparative indexes, is presented in the accompanying table.

Average Annual Total Returns on Net Asset Value

For periods ended 12/31/11

Fund				1-Year				Since Inception*
JCE					6.70	%			2.09	%
S&P 500 Index**					2.11	%			-0.50	%
Comparative Benchmark**					3.95	%			0.47	%

 

For the twelve-month period ended December 31, 2011, the Fund outperformed both the S&P 500 Stock Index and its comparative benchmark.

INTECH's investment process focuses solely on relative volatility and correlation and seeks to minimize tracking error for a target level of excess return. In general, the process searches for stocks with high relative volatility and low correlation attempting to combine stocks in a manner in which the opportunity to outperform the benchmark index exists. Within specific risk and turnover controls, INTECH continues to structure the portfolio to attempt to overweight stocks with high relative volatility and underweight stocks with low relative volatility, while keeping tracking error low.

Over the course of 2011, global stock markets were volatile and unpredictable. INTECH's disciplined investment process is engineered to work in varying market environments, and adapts to changes over the long term. INTECH's relative performance is typically impacted by the market's relative volatility structure and size (market diversity).

Relative volatility, or how stocks move relative to each other or a benchmark, exhibited greater stability in 2011, which tends to be conducive to INTECH's process. Relative volatility increased in the third quarter, but remained well below the high levels observed during the Global Financial Crisis. The fourth quarter saw relative volatility levels similar to the third quarter, but higher than the first half of the year.

Market diversity, or how capital is distributed among stocks throughout a market or index, decreased overall in 2011. Typically, this can be a headwind for INTECH's relative performance. In particular, a steady diversity environment in the first half was followed by a sharp decline in the third quarter. However, there was a modest increase in market diversity in the fourth quarter relative to the third quarter. Therefore, despite the decline in diversity over the year, there was sufficient market diversity over the course of the period for the portfolio to capture enough relative volatility to outperform the benchmark.

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Relative volatility is stable over time, and INTECH's investment process is engineered to gradually adapt to changes in the relative volatility structure through time. Changes in diversity can act as a short-term headwind or tailwind, but typically have a neutral impact on relative performance over the long term. We are confident in our ability to continue to exploit volatility as an alpha source and believe conditions remain conducive to INTECH's investment process in the longer term.

RISK CONSIDERATIONS

Fund shares are not guaranteed or endorsed by any bank or other insured depository institution, and are not federally insured by the Federal Deposit Insurance Corporation. Past performance is no guarantee of future results. Fund common shares are subject to a variety of risks, including:

Investment Risk. The possible loss of the entire principal amount that you invest.

Price Risk. Shares of closed-end investment companies like the Fund frequently trade at a discount to their net asset value (NAV). Your common shares at any point in time may be worth less than your original investment, even after taking into account the reinvestment of Fund dividends and distributions.

Tax Risk. The tax treatment of Fund distributions may be affected by new IRS interpretations of the Internal Revenue Code and future changes in tax laws and regulations. This is particularly true for funds employing a managed distribution program.

Common Stock Risk. Common stock returns often have experienced significant volatility.

Call Option Risks. The value of call options sold (written) by the Fund will fluctuate. The Fund may not participate in any appreciation of its equity portfolio as fully as it would if the Fund did not sell call options. In addition, the Fund will continue to bear the risk of declines in the value of the equity portfolio.

Derivatives Strategy Risk. Derivative securities, such as calls, puts, warrants, swaps and forwards, carry risks different from, and possibly greater than, the risks associated with the underlying investments.

Investment Process Risk. INTECH uses a proprietary mathematical process that strives to identify common stocks with high volatility relative to the index and low correlation to one another. The use of this process may not produce the expected results.

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Share Distribution and
Price Information

Distribution Information

The following information regarding the Fund's distributions is current as of December 31, 2011, and likely will vary over time based on the Fund's investment activities and portfolio investment value changes.

During the twelve-month reporting period, the Fund did not make any changes to its quarterly distribution to shareholders. Some of the factors affecting the amount and composition of these distributions are summarized below.

The Fund has a managed distribution program. The goal of this program is to provide shareholders with relatively consistent and predictable cash flow by systematically converting the Fund's expected long-term return potential into regular distributions. As a result, regular distributions throughout the year are likely to include a portion of expected long-term gains (both realized and unrealized), along with net investment income.

Important points to understand about a managed distribution program are:

•  The Fund seeks to establish a relatively stable distribution rate that roughly corresponds to the projected total return from its investment strategy over an extended period of time. However, you should not draw any conclusions about the Fund's past or future investment performance from its current distribution rate.

•  Actual returns will differ from projected long-term returns (and therefore the Fund's distribution rate), at least over shorter time periods. Over a specific timeframe, the difference between actual returns and total distributions will be reflected in an increasing (returns exceed distributions) or a decreasing (distributions exceed returns) Fund net asset value.

•  Each distribution is expected to be paid from some or all of the following sources:

•  net investment income (regular interest and dividends),

•  realized capital gains, and

•  unrealized gains, or, in certain cases, a return of principal (non-taxable distributions).

•  A non-taxable distribution is a payment of a portion of the Fund's capital. When the Fund's returns exceed distributions, it may represent portfolio gains generated, but not realized as a taxable capital gain. In periods when the Fund's returns fall short of distributions, the shortfall will represent a portion of your original principal, unless the shortfall is offset during other time periods over the life of your investment (previous or subsequent) when the Fund's total return exceeds distributions.

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•  Because distribution source estimates are updated during the year based on the Fund's performance and forecast for its current fiscal year (which is the calendar year for the Fund), estimates on the nature of your distributions provided at the time the distributions are paid may differ from both the tax information reported to you in your Fund's IRS Form 1099 statement provided at year end, as well as the ultimate economic sources of distributions over the life of your investment.

The following table provides estimated information regarding the Fund's distributions and total return performance for the fiscal year ended December 31, 2011. This information is intended to help you better understand whether the Fund's returns for the specified time period were sufficient to meet the Fund's distributions.

As of 12/31/11				JCE
Inception date				3/27/07
Fiscal year (calendar year) ended December 31, 2011:
Per share distribution:
From net investment income				$	1.08
From long-term capital gains					0.00
From short-term capital gains					0.00
Return of capital					0.00
Total per share distribution				$	1.08
Distribution rate on NAV					7.78	%
Average annual total returns:
1-Year on NAV					6.70	%
Since inception on NAV					2.09	%

 

Share Repurchases and Price Information

As of December 31, 2011, and since the inception of the Fund's repurchase program, the Fund has cumulatively repurchased and retired its outstanding shares as shown in the accompanying table.

Shares Repurchased and Retired				% of Outstanding Shares
	449,800				2.8	%

 

During the twelve-month reporting period, the Fund repurchased and retired its shares at a weighted average price and a weighted average discount per share as shown in the accompanying table.

Shares Repurchased and Retired				Weighted Average Price Per Share Repurchased and Retired				Weighted Average Discount Per Share Repurchased and Retired
	5,000			$	11.29				15.92	%

 

As of December 31, 2011, the Fund was trading at a -10.16% discount to its common share NAV, compared with an average discount of -6.46% for the entire twelve-month period.

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JCE

Performance

OVERVIEW

(Unaudited)

Nuveen Core Equity Alpha Fund

  December 31, 2011

Portfolio Allocation (as a % of total investments)^{2, 3}

2010-2011 Distributions Per Share

Share Price Performance — Weekly Closing Price

Refer to Glossary of Terms used in this Report for further definition of the terms used within this Fund's Performance Overview page.

1  Current Distribution Rate is based on the Fund's current annualized quarterly distribution divided by the Fund's current market price. The Fund's quarterly distributions to its shareholders may be comprised of ordinary income, net realized capital gains and, if at the end of the calendar year the Fund's cumulative net ordinary income and net realized gains are less than the amount of the Fund's distributions, a return of capital for tax purposes.

2  Excluding investments in derivatives.

3  Holdings are subject to change.

4  Rounds to less than 0.1%.

Fund Snapshot

Share Price				$	12.47
Net Asset Value (NAV)				$	13.88
Premium/(Discount) to NAV					-10.16	%
Current Distribution Rate1					8.66	%
Net Assets ($000)				$	222,461

 

Average Annual Total Returns

(Inception 3/27/07)

				On Share Price				On NAV
1-Year					3.11	%			6.70	%
Since Inception					-0.22	%			2.09	%

 

Portfolio Composition

(as a % of total investments)^{2, 3}

Oil, Gas, & Consumable Fuels					7.6	%
Food Products					6.4	%
Health Care Providers & Services					5.3	%
Media					4.6	%
Multi-Utilities					4.4	%
Computers & Peripherals					4.2	%
Specialty Retail					4.0	%
Hotels, Restaurants & Leisure					3.8	%
Machinery					3.5	%
Real Estate Investment Trust					3.3	%
IT Services					3.3	%
Tobacco					3.3	%
Electric Utilities					2.9	%
Internet Software & Services					2.8	%
Pharmaceuticals					2.6	%
Energy Equipment & Services					2.3	%
Insurance					2.1	%
Health Care Equipment & Supplies					1.8	%
Personal Products					1.7	%
Diversified Financial Services					1.6	%
Gas Utilities					1.6	%
Chemicals					1.5	%
Beverages					1.5	%
Aerospace & Defense					1.4	%
Air Freight & Logistics					1.3	%
Short-Term Investments					2.4	%
Other					18.8	%

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Report of INDEPENDENT REGISTERED

PUBLIC ACCOUNTING FIRM

To the Board of Trustees and Shareholders of
Nuveen Core Equity Alpha Fund:

In our opinion, the accompanying statement of assets and liabilities, including the portfolio of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Nuveen Core Equity Alpha Fund (hereinafter referred to as the "Fund") at December 31, 2011, the results of its operations for the year ended, the changes in its net assets for each of two years in the period then ended, and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2011 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Chicago, IL
February 28, 2012

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JCE

Nuveen Core Equity Alpha Fund

Portfolio of INVESTMENTS

  December 31, 2011

Shares				Description (1)				Value
				Common Stocks – 98.7%
				Aerospace & Defense – 1.4%
	1,500			Boeing Company				$	110,025
	800			General Dynamics Corporation					53,128
	1,400			Goodrich Corporation					173,180
	3,000			Honeywell International Inc.					163,050
	2,200			L-3 Communications Holdings, Inc.					146,696
	5,400			Lockheed Martin Corporation					436,860
	9,900			Northrop Grumman Corporation					578,952
	3,800			Precision Castparts Corporation					626,202
	5,100			Raytheon Company					246,738
	6,900			Rockwell Collins, Inc.					382,053
	2,600			United Technologies Corporation					190,034
				Total Aerospace & Defense					3,106,918
				Air Freight & Logistics – 1.3%
	21,700			C.H. Robinson Worldwide, Inc.					1,514,226
	3,900			Expeditors International of Washington, Inc.					159,744
	15,300			FedEx Corporation					1,277,703
				Total Air Freight & Logistics					2,951,673
				Auto Components – 0.1%
	1,700			BorgWarner Inc., (2)					108,358
	7,300			Goodyear Tire & Rubber Company, (2)					103,441
				Total Auto Components					211,799
				Automobiles – 0.0%
	1,500			Harley-Davidson, Inc.					58,305
				Beverages – 1.5%
	23,700			Beam Inc.					1,214,151
	4,700			Brown-Forman Corporation					378,397
	21,300			Coca Cola Enterprises Inc.					549,114
	12,700			Coca-Cola Company					888,619
	7,800			Dr. Pepper Snapple Group					307,944
	400			PepsiCo, Inc.					26,540
				Total Beverages					3,364,765
				Biotechnology – 0.8%
	14,700			Biogen Idec Inc., (2)					1,617,735
	1,300			Celgene Corporation, (2)					87,880
	2,400			Gilead Sciences, Inc., (2)					98,232
				Total Biotechnology					1,803,847
				Capital Markets – 0.8%
	10,100			Ameriprise Financial, Inc.					501,364
	5,100			E*Trade Group Inc., (2)					40,596
	9,400			Franklin Resources, Inc.					902,964
	13,700			Morgan Stanley					207,281

 

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JCE

Nuveen Core Equity Alpha Fund (continued)

Portfolio of INVESTMENTS December 31, 2011

Shares				Description (1)				Value
				Capital Markets (continued)
	800			T. Rowe Price Group Inc.				$	45,560
				Total Capital Markets					1,697,765
				Chemicals – 1.6%
	37,700			E.I. Du Pont de Nemours and Company					1,725,906
	31,600			Eastman Chemical Company					1,234,296
	600			Mosaic Company					30,258
	5,200			Sherwin-Williams Company					464,204
				Total Chemicals					3,454,664
				Commercial Banks – 0.9%
	15,000			BB&T Corporation					377,550
	26,100			Fifth Third Bancorp.					331,992
	8,100			First Horizon National Corporation					64,800
	24,800			Huntington BancShares Inc.					136,152
	15,000			KeyCorp.					115,350
	3,600			M&T Bank Corporation					274,824
	23,000			Regions Financial Corporation					98,900
	11,500			U.S. Bancorp					311,075
	3,550			Wells Fargo & Company					97,838
	16,300			Zions Bancorporation					265,364
				Total Commercial Banks					2,073,845
				Commercial Services & Supplies – 0.9%
	3,000			Cintas Corporation					104,430
	44,800			Iron Mountain Inc.					1,379,840
	3,400			R.R. Donnelley & Sons Company					49,062
	3,900			Stericycle Inc., (2)					303,888
	8,000			Waste Management, Inc.					261,680
				Total Commercial Services & Supplies					2,098,900
				Communications Equipment – 0.5%
	600			F5 Networks, Inc., (2)					63,672
	1,625			Motorola Mobility Holdings Inc., (2)					63,050
	13,928			Motorola Solutions Inc.					644,727
	6,800			QUALCOMM, Inc.					371,960
				Total Communications Equipment					1,143,409
				Computers & Peripherals – 4.2%
	22,300			Apple, Inc., (2)					9,031,499
	6,700			Dell Inc., (2)					98,021
	10,000			EMC Corporation, (2)					215,400
	1,700			Lexmark International, Inc., Class A					56,219
				Total Computers & Peripherals					9,401,139
				Construction & Engineering – 0.0%
	1,000			Fluor Corporation					50,250
				Construction Materials – 0.0%
	1,700			Vulcan Materials Company					66,895
				Consumer Finance – 0.6%
	7,500			American Express Company					353,775
	7,900			Capital One Financial Corporation					334,091
	25,600			Discover Financial Services					614,400
	7,100			SLM Corporation					95,140
				Total Consumer Finance					1,397,406

 

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Shares				Description (1)				Value
				Containers & Packaging – 0.1%
	4,600			Ball Corporation				$	164,266
				Distributors – 0.1%
	4,200			Genuine Parts Company					257,040
				Diversified Consumer Services – 0.6%
	5,700			Apollo Group, Inc., (2)					307,059
	13,600			Devry, Inc.					523,056
	25,900			H & R Block Inc.					422,947
				Total Diversified Consumer Services					1,253,062
				Diversified Financial Services – 1.6%
	25,200			Bank of America Corporation					140,112
	3,500			Citigroup Inc.					92,085
	10,205			JP Morgan Chase & Co.					339,316
	57,200			Leucadia National Corporation					1,300,728
	24,700			Moody's Corporation					831,896
	14,700			NASDAQ Stock Market, Inc., (2)					360,297
	20,900			New York Stock Exchange Euronext					545,490
				Total Diversified Financial Services					3,609,924
				Diversified Telecommunication Services – 1.3%
	8,500			AT&T Inc.					257,040
	63,570			CenturyLink Inc.					2,364,804
	20,500			Windstream Corporation					240,670
				Total Diversified Telecommunication Services					2,862,514
				Electric Utilities – 2.9%
	12,700			American Electric Power Company, Inc.					524,637
	39,200			Duke Energy Corporation					862,400
	4,200			Exelon Corporation					182,154
	27,200			FirstEnergy Corp.					1,204,960
	1,500			NextEra Energy Inc.					91,320
	17,200			Northeast Utilities					620,404
	10,700			Pepco Holdings, Inc.					217,210
	12,700			Pinnacle West Capital Corporation					611,886
	12,900			PPL Corporation					379,518
	20,300			Progress Energy, Inc.					1,137,206
	14,300			Southern Company					661,947
				Total Electric Utilities					6,493,642
				Electrical Equipment – 1.2%
	1,900			Cooper Industries Inc.					102,885
	34,500			Rockwell Automation, Inc.					2,531,265
				Total Electrical Equipment					2,634,150
				Electronic Equipment & Instruments – 0.2%
	4,000			Jabil Circuit Inc.					78,640
	8,300			TE Connectivity Limited					255,723
				Total Electronic Equipment & Instruments					334,363
				Energy Equipment & Services – 2.3%
	9,800			Baker Hughes Incorporated					476,672
	6,400			Halliburton Company					220,864
	2,400			Helmerich & Payne Inc.					140,064
	3,000			Nabors Industries Inc., (2)					52,020
	38,500			National-Oilwell Varco Inc.					2,617,615
	4,800			Noble Corporation					145,056

 

Nuveen Investments
15

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JCE

Nuveen Core Equity Alpha Fund (continued)

Portfolio of INVESTMENTS December 31, 2011

Shares				Description (1)				Value
				Energy Equipment & Services (continued)
	22,642			Schlumberger Limited				$	1,546,675
				Total Energy Equipment & Services					5,198,966
				Food & Staples Retailing – 1.1%
	4,200			Costco Wholesale Corporation					349,944
	8,900			CVS Caremark Corporation					362,942
	2,500			Kroger Co.					60,550
	16,900			SUPERVALU INC.					137,228
	6,100			Sysco Corporation					178,913
	35,900			Walgreen Co.					1,186,854
	1,500			Whole Foods Market, Inc.					104,370
				Total Food & Staples Retailing					2,380,801
				Food Products – 6.5%
	2,800			Archer-Daniels-Midland Company					80,080
	15,400			ConAgra Foods, Inc.					406,560
	53,400			Dean Foods Company, (2)					598,080
	60,300			General Mills, Inc.					2,436,723
	17,000			H.J. Heinz Company					918,680
	14,200			Hershey Foods Corporation					877,276
	20,000			Hormel Foods Corporation					585,800
	31,200			JM Smucker Company					2,438,904
	13,100			Kellogg Company					662,467
	20,400			Kraft Foods Inc.					762,144
	7,300			McCormick & Company, Incorporated					368,066
	16,900			Mead Johnson Nutrition Company, Class A Shares					1,161,537
	168,900			Sara Lee Corporation					3,195,588
	700			Tyson Foods, Inc., Class A					14,448
				Total Food Products					14,506,353
				Gas Utilities – 1.6%
	2,849			AGL Resources Inc.					120,399
	39,600			ONEOK, Inc.					3,432,924
				Total Gas Utilities					3,553,323
				Health Care Equipment & Supplies – 1.9%
	9,400			Baxter International, Inc.					465,112
	48,500			Boston Scientific Corporation, (2)					258,990
	2,000			C. R. Bard, Inc.					171,000
	1,300			CareFusion Corporation, (2)					33,033
	13,400			Covidien PLC					603,134
	1,500			DENTSPLY International Inc.					52,485
	2,400			Edwards Lifesciences Corporation, (2)					169,680
	1,300			Intuitive Surgical, Inc., (2)					601,913
	22,900			Saint Jude Medical Inc.					785,470
	10,100			Stryker Corporation					502,071
	600			Varian Medical Systems, Inc., (2)					40,278
	8,600			Zimmer Holdings, Inc.					459,412
				Total Health Care Equipment & Supplies					4,142,578
				Health Care Providers & Services – 5.3%
	17,500			Aetna Inc.					738,325
	59,100			AmerisourceBergen Corporation					2,197,929
	78,500			Cardinal Health, Inc.					3,187,885
	13,200			CIGNA Corporation					554,400
	43,800			Coventry Health Care, Inc., (2)					1,330,206
	10,300			Humana Inc.					902,383
	21,000			McKesson HBOC Inc.					1,636,110

 

Nuveen Investments
16

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Shares				Description (1)				Value
				Health Care Providers & Services (continued)
	16,400			Tenet Healthcare Corporation, (2)				$	84,132
	16,900			UnitedHealth Group Incorporated					856,492
	5,200			Wellpoint Inc.					344,500
				Total Health Care Providers & Services					11,832,362
				Health Care Technology – 0.5%
	16,500			Cerner Corporation, (2)					1,010,625
				Hotels, Restaurants & Leisure – 3.8%
	200			Chipotle Mexican Grill, (2)					67,548
	800			Darden Restaurants, Inc.					36,464
	18,400			McDonald's Corporation					1,846,072
	88,200			Starbucks Corporation					4,058,082
	400			Wynn Resorts Ltd					44,196
	40,900			YUM! Brands, Inc.					2,413,509
				Total Hotels, Restaurants & Leisure					8,465,871
				Household Durables – 0.0%
	11,600			Pulte Corporation, (2)					73,196
				Household Products – 0.5%
	6,700			Colgate-Palmolive Company					619,013
	7,100			Kimberly-Clark Corporation					522,276
				Total Household Products					1,141,289
				Independent Power Producers & Energy Traders – 0.7%
	33,200			Constellation Energy Group					1,317,044
	16,600			NRG Energy Inc., (2)					300,792
				Total Independent Power Producers & Energy Traders					1,617,836
				Industrial Conglomerates – 0.4%
	3,900			Danaher Corporation					183,456
	27,500			General Electric Company					492,525
	1,900			Tyco International Ltd.					88,749
				Total Industrial Conglomerates					764,730
				Insurance – 2.2%
	3,700			Ace Limited					259,444
	900			AFLAC Incorporated					38,934
	34,900			Aon Corporation					1,633,320
	1,000			Assurant Inc.					41,060
	4,100			Chubb Corporation					283,802
	33,400			Genworth Financial Inc., Class A, (2)					218,770
	5,000			Hartford Financial Services Group, Inc.					81,250
	8,900			Marsh & McLennan Companies, Inc.					281,418
	35,800			Progressive Corporation					698,458
	1,900			Prudential Financial, Inc.					95,228
	1,950			Torchmark Corporation					84,611
	15,000			Travelers Companies, Inc.					887,550
	6,200			Unum Group					130,634
	4,400			XL Capital Ltd, Class A					86,988
				Total Insurance					4,821,467
				Internet & Catalog Retail – 1.2%
	4,100			Amazon.com, Inc., (2)					709,710
	2,150			Expedia, Inc.					62,393
	3,800			Priceline.com Incorporated, (2)					1,777,298

 

Nuveen Investments
17

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JCE

Nuveen Core Equity Alpha Fund (continued)

Portfolio of INVESTMENTS December 31, 2011

Shares				Description (1)				Value
				Internet & Catalog Retail (continued)
	2,150			TripAdvisor Inc., (2)				$	54,202
				Total Internet & Catalog Retail					2,603,603
				Internet Software & Services – 2.8%
	20,300			eBay Inc., (2)					615,699
	8,800			Google Inc., Class A, (2)					5,683,920
				Total Internet Software & Services					6,299,619
				IT Services – 3.4%
	10,500			Accenture Limited					558,915
	10,000			Automatic Data Processing, Inc.					540,100
	30,900			Cognizant Technology Solutions Corporation, Class A, (2)					1,987,179
	5,400			Fidelity National Information Services					143,586
	12,100			International Business Machines Corporation (IBM)					2,224,948
	2,200			MasterCard, Inc.					820,204
	14,400			Paychex, Inc.					433,584
	5,100			Teradata Corporation, (2)					247,401
	4,700			Total System Services Inc.					91,932
	4,200			Visa Inc.					426,426
				Total IT Services					7,474,275
				Leisure Equipment & Products – 0.1%
	10,100			Mattel, Inc.					280,376
				Life Sciences Tools & Services – 0.9%
	41,400			Agilent Technologies, Inc., (2)					1,446,102
	2,300			Thermo Fisher Scientific, Inc., (2)					103,431
	6,700			Waters Corporation, (2)					496,135
				Total Life Sciences Tools & Services					2,045,668
				Machinery – 3.6%
	27,300			Caterpillar Inc.					2,473,380
	500			Cummins Inc.					44,010
	1,300			Deere & Company					100,555
	800			Dover Corporation					46,440
	54,800			Eaton Corporation					2,385,444
	1,300			Joy Global Inc.					97,461
	11,100			Pall Corporation					634,365
	5,600			Parker Hannifin Corporation					427,000
	24,287			Stanley Black & Decker Inc.					1,641,801
	1,300			Xylem Inc.					33,397
				Total Machinery					7,883,853
				Media – 4.6%
	43,300			Cablevision Systems Corporation					615,726
	57,700			CBS Corporation, Class B					1,565,978
	22,100			Comcast Corporation, Class A					523,991
	120,900			DIRECTV Group, Inc., (2)					5,169,684
	6,900			Gannett Company Inc.					92,253
	11,400			McGraw-Hill Companies, Inc.					512,658
	1,200			Omnicom Group, Inc.					53,496
	4,900			Time Warner Cable, Class A					311,493
	7,200			Time Warner Inc.					260,208
	14,900			Viacom Inc., Class B					676,609
	1,300			Washington Post Company					489,853
				Total Media					10,271,949

 

Nuveen Investments
18

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Shares				Description (1)				Value
				Metals & Mining – 0.1%
	1,300			Cliffs Natural Resources Inc.				$	81,055
	2,900			Freeport-McMoRan Copper & Gold, Inc.					106,691
	1,100			Newmont Mining Corporation					66,011
				Total Metals & Mining					253,757
				Multiline Retail – 1.0%
	10,400			Big Lots, Inc., (2)					392,704
	2,000			Dollar Tree Stores Inc., (2)					166,220
	10,400			Family Dollar Stores, Inc.					599,664
	6,200			J.C. Penney Company, Inc.					217,930
	15,700			Macy's, Inc.					505,226
	1,900			Nordstrom, Inc.					94,449
	7,000			Sears Holding Corporation, (2)					222,460
	1,200			Target Corporation					61,464
				Total Multiline Retail					2,260,117
				Multi-Utilities – 4.4%
	13,200			Ameren Corporation					437,316
	94,000			CenterPoint Energy, Inc.					1,888,460
	38,900			CMS Energy Corporation					858,912
	22,100			Consolidated Edison, Inc.					1,370,863
	34,300			Dominion Resources, Inc.					1,820,644
	9,600			DTE Energy Company					522,720
	71,200			NiSource Inc.					1,695,272
	5,100			Public Service Enterprise Group Incorporated					168,351
	2,900			Scana Corporation					130,674
	22,800			Wisconsin Energy Corporation					797,088
	5,800			Xcel Energy, Inc.					160,312
				Total Multi-Utilities					9,850,612
				Oil, Gas, & Consumable Fuels – 7.7%
	5,400			Alpha Natural Resources Inc., (2)					110,322
	12,600			Cabot Oil & Gas Corporation					956,340
	64,300			Chesapeake Energy Corporation					1,433,247
	18,200			Chevron Corporation					1,936,480
	10,100			ConocoPhillips					735,987
	1,600			CONSOL Energy Inc.					58,720
	5,100			Devon Energy Corporation					316,200
	49,900			El Paso Corporation					1,325,843
	12,100			EQT Corporation					662,959
	33,500			Exxon Mobil Corporation					2,839,460
	9,100			Hess Corporation					516,880
	52,800			Marathon Oil Corporation					1,545,456
	29,450			Marathon Petroleum Corporation					980,391
	12,000			Pioneer Natural Resources Company					1,073,760
	1,100			Southwestern Energy Company, (2)					35,134
	11,900			Tesoro Corporation, (2)					277,984
	2,000			Valero Energy Corporation					42,100
	71,300			Williams Companies, Inc.					2,354,326
				Total Oil, Gas, & Consumable Fuels					17,201,589
				Paper & Forest Products – 0.3%
	20,200			MeadWestvaco Corporation					604,990
				Personal Products – 1.7%
	34,100			Estee Lauder Companies Inc., Class A					3,830,112

 

Nuveen Investments
19

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JCE

Nuveen Core Equity Alpha Fund (continued)

Portfolio of INVESTMENTS December 31, 2011

Shares				Description (1)				Value
				Pharmaceuticals – 2.6%
	7,400			Abbott Laboratories				$	416,102
	7,300			Allergan, Inc.					640,502
	31,500			Bristol-Myers Squibb Company					1,110,060
	17,400			Eli Lilly and Company					723,144
	17,200			Forest Laboratories, Inc., (2)					520,472
	10,600			Johnson & Johnson					695,148
	18,032			Merck & Company Inc.					679,806
	1,500			Perrigo Company					145,950
	14,500			Watson Pharmaceuticals Inc., (2)					874,930
				Total Pharmaceuticals					5,806,114
				Professional Services – 0.1%
	5,000			Robert Half International Inc.					142,300
				Real Estate Investment Trust – 3.4%
	30,400			American Tower Corporation, (2)					1,824,304
	11,400			AvalonBay Communities, Inc.					1,488,840
	8,400			Boston Properties, Inc.					836,640
	13,300			Equity Residential					758,499
	1,700			Health Care REIT, Inc.					92,701
	6,800			Public Storage, Inc.					914,328
	6,900			Simon Property Group, Inc.					889,686
	36,000			Weyerhaeuser Company					672,120
				Total Real Estate Investment Trust					7,477,118
				Real Estate Management & Development – 0.1%
	6,700			CBRE Group Inc., (2)					101,974
				Road & Rail – 0.5%
	31,600			CSX Corporation					665,496
	4,300			Norfolk Southern Corporation					313,298
	1,400			Ryder System, Inc.					74,396
				Total Road & Rail					1,053,190
				Semiconductors & Equipment – 1.0%
	1,800			First Solar Inc., (2)					60,768
	4,100			Intel Corporation					99,425
	4,600			Teradyne Inc., (2)					62,698
	69,800			Texas Instruments Incorporated					2,031,878
				Total Semiconductors & Equipment					2,254,769
				Software – 1.2%
	22,600			Electronic Arts Inc. (EA), (2)					465,560
	27,400			Intuit, Inc.					1,440,966
	26,900			Microsoft Corporation					698,324
	2,900			Oracle Corporation					74,385
	400			Salesforce.com, Inc., (2)					40,584
				Total Software					2,719,819
				Specialty Retail – 4.1%
	3,400			Abercrombie & Fitch Co., Class A					166,056
	8,100			AutoNation Inc., (2)					298,647
	5,100			AutoZone, Inc., (2)					1,657,347
	9,100			Bed Bath and Beyond Inc., (2)					527,527
	6,000			CarMax, Inc., (2)					182,880
	11,700			GameStop Corporation, (2)					282,321
	1,900			Home Depot, Inc.					79,876
	23,000			Limited Brands, Inc.					928,050

 

Nuveen Investments
20

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Shares				Description (1)				Value
				Specialty Retail (continued)
	316			Orchard Supply Hardware Stores Corporation, (2), (4)				$	765
	1,900			O'Reilly Automotive Inc., (2)					151,905
	20,400			Ross Stores, Inc.					969,612
	5,200			Tiffany & Co.					344,552
	53,900			TJX Companies, Inc.					3,479,245
				Total Specialty Retail					9,068,783
				Textiles, Apparel & Luxury Goods – 0.7%
	6,100			Coach, Inc.					372,344
	1,700			Nike, Inc., Class B					163,829
	200			Ralph Lauren Corporation					27,616
	7,500			VF Corporation					952,425
				Total Textiles, Apparel & Luxury Goods					1,516,214
				Thrifts & Mortgage Finance – 0.0%
	3,700			People's United Financial, Inc.					47,545
				Tobacco – 3.3%
	50,600			Altria Group, Inc.					1,500,290
	7,200			Lorillard Inc.					820,800
	26,600			Philip Morris International					2,087,568
	72,000			Reynolds American Inc.					2,982,240
				Total Tobacco					7,390,898
				Trading Companies & Distributors – 0.5%
	8,900			Fastenal Company					388,129
	3,900			W.W. Grainger, Inc.					730,041
				Total Trading Companies & Distributors					1,118,170
				Wireless Telecommunication Services – 0.0%
	20,400			Sprint Nextel Corporation, (2)					47,736
				Total Common Stocks (cost $187,432,321)					219,605,088

 

Shares				Description (1)				Coupon												Value
				Preferred Stocks – 0.0%
				Building Products – 0.0%
	316			Orchard Supply Hardware Stores Corporation, (2), (4)					0.000	%										$	765
				Total Preferred Stocks (cost $1,671)																	765
Principal Amount (000)				Description (1)				Coupon				Maturity				Ratings (3)				Value
				Short-Term Investments – 2.4%
				U.S. Government and Agency Obligations – 0.9%
$	2,000			U.S. Treasury Bills, (5)					0.000	%		3/01/12				AAA				$	1,999,933
				Repurchase Agreements – 1.5%
	3,332			Repurchase Agreement with State Street Bank, dated12/30/11, repurchase price $3,331,943, collateralized by $3,360,000 U.S. Treasury Notes, 1.000%, 8/31/16 value $3,402,000					0.010	%		1/03/12				N/A					3,331,939
	5,332			Total Short-Term Investments (cost $5,331,872)																	5,331,872
				Total Investments – (cost $192,765,864) 101.1%																	224,937,725
				Other Assets Less Liabilities (1.1)% (6)																	(2,476,676	)
				Net Assets – 100%																$	222,461,049

 

Nuveen Investments
21

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JCE

Nuveen Core Equity Alpha Fund (continued)

Portfolio of INVESTMENTS December 31, 2011

Investments in Derivatives at December 31, 2011

Call Options Written outstanding:

Number of Contracts				Type				Notional Amount (7)				Expiration Date				Strike Price				Value (6)
				Call Options – (0.3)%
	(404,680	)		Custom Basket 2 NASDAQ				$	(40,467,958	)		1/02/12				$	104.0			$	(98,216	)
	(390,655	)		Custom Basket 4 NASDAQ					(39,065,516	)		1/25/12					104.0				(755,527	)
	(795,335	)		Total Call Options Written (premiums received $965,140)				$	(79,533,474	)										$	(853,743	)

 

Futures Contracts outstanding:

Type

Contract Position

Number of Contracts

Contract Expiration

Value

Unrealized Appreciation (Depreciation) (6)

S&P 500 Index

Long

125

3/12

$

7,828,750

$

146,188

    For Fund portfolio compliance purposes, the Fund's industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications into sectors for reporting ease.

  (1)  All percentages shown in the Portfolio of Investments are based on net assets.

  (2)  Non-income producing; issuer has not declared a dividend within the past twelve months.

  (3)  Ratings (not covered by the report of independent registered public accounting firm): Using the highest of Standard & Poor's Group ("Standard & Poor's"), Moody's Investors Service, Inc. ("Moody's") or Fitch, Inc. ("Fitch") rating. Ratings below BBB by Standard & Poor's, Baa by Moody's or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.

  (4)  Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board of Trustees. For fair value measurement disclosure purposes, investment categorized as Level 3. See Notes to Financial Statements, Footnote 1—General Information and Significant Accounting Policies, Investment Valuation for more information.

  (5)  Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in derivatives.

  (6)  Other Assets Less Liabilities includes Value and the Unrealized Appreciation (Depreciation) of derivative instruments as noted within Investments in Derivatives at December 31, 2011.

  (7)  For disclosure purposes, Notional Amount is calculated by multiplying the Number of Contracts by $100.

  N/A  Not applicable.

See accompanying notes to financial statements.

Nuveen Investments
22

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Statement of

ASSETS & LIABILITIES

December 31, 2011

Assets
Investments, at value (cost $192,765,864)				$	224,937,725
Receivable for dividends					314,187
Other assets					11,318
Total assets					225,263,230
Liabilites
Call options written, at value (premium received $965,140)					853,743
Cash overdraft					1,647,934
Variation margin on futures contracts					30,000
Accrued expenses:
Management fees					174,432
Other					96,072
Total liabilities					2,802,181
Net assets				$	222,461,049
Shares outstanding					16,021,686
Net asset value per share outstanding				$	13.88
Net assets consist of:
Shares, $.01 par value per share				$	160,217
Paid-in surplus					221,156,908
Undistributed (Over-distribution of) net investment income					(10,666	)
Accumulated net realized gain (loss)					(31,274,856	)
Net unrealized appreciation (depreciation)					32,429,446
Net assets				$	222,461,049
Authorized shares					Unlimited

 

See accompanying notes to financial statements.

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23

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Statement of

OPERATIONS

Year Ended December 31, 2011

Investment Income
Dividends				$	3,962,784
Interest					3,178
Total investment income					3,965,962
Expenses
Management fees					2,111,344
Shareholders' servicing agent fees and expenses					277
Custodian's fees and expenses					91,302
Trustees' fees and expenses					6,614
Professional fees					29,547
Shareholders' reports — printing and mailing expenses					59,888
Stock exchange listing fees					8,918
Investor relations expense					45,696
Other expenses					43,898
Total expenses before custodian fee credit					2,397,484
Custodian fee credit					(14	)
Net expenses					2,397,470
Net investment income (loss)					1,568,492
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investment and foreign currency					16,514,619
Call options written					3,471,517
Futures contracts					97,313
Change in net unrealized appreciation (depreciation) of:
Investment and foreign currency					(7,358,615	)
Call options written					303,752
Futures contracts					40,000
Net realized and unrealized gain (loss)					13,068,586
Net increase (decrease) in net assets from operations				$	14,637,078

 

See accompanying notes to financial statements.

Nuveen Investments
24

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Statement of

CHANGES IN NET ASSETS

				Year Ended 12/31/11				Year Ended 12/31/10
Operations
Net investment income (loss)				$	1,568,492			$	1,545,228
Net realized gain (loss) from:
Investment and foreign currency					16,514,619				13,727,824
Call options written					3,471,517				(455,413	)
Futures contracts					97,313				1,056,375
Change in net unrealized appreciation (depreciation) of:
Investment and foreign currency					(7,358,615	)			16,130,477
Call options written					303,752				(427,493	)
Futures contracts					40,000				(52,187	)
Net increase (decrease) in net assets from operations					14,637,078				31,524,811
Distributions to Shareholders
From net investment income					(17,306,121	)			(14,715,856	)
Return of capital					—				(2,915,487	)
Decrease in net assets from distributions to shareholders					(17,306,121	)			(17,631,343	)
Capital Share Transactions
Cost of shares repurchased and retired					(56,559	)			(73,692	)
Net increase (decrease) in net assets from capital share transactions					(56,559	)			(73,692	)
Net increase (decrease) in net assets					(2,725,602	)			13,819,776
Net assets at the beginning of period					225,186,651				211,366,875
Net assets at the end of period				$	222,461,049			$	225,186,651
Undistributed (Over-distribution of) net investment income at the end of period				$	(10,666	)		$	(10,659	)

 

See accompanying notes to financial statements.

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Financial

HIGHLIGHTS

Selected data for a share outstanding throughout each period:

				Investment Operations																Less Distributions																Discount
				Beginning Net Asset Value				Net Investment Income (Loss)(a)				Net Realized/ Unrealized Gain (Loss)				Total				Net Investment Income				Capital Gains				Return of Capital				Total				from Shares Repurchased and Retired
Year Ended 12/31:
	2011			$	14.05			$	.10			$	.81				0.91			$	(1.08	)		$	—			$	—			$	(1.08	)		$	—	*
	2010				13.18				.10				1.87				1.97				(.92	)			—				(.18)				(1.10	)			—	*
	2009				11.74				.14				2.38				2.52				(.15	)			—				(.95	)			(1.10	)			.02
	2008				18.72				.16				(5.65	)			(5.49	)			(.16	)			—				(1.34	)			(1.50	)			.01
	2007	(d)			19.10				.15				.81				0.96				(.14	)			—				(1.16	)			(1.30	)			—	*

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																								Ratios/Supplemental Data
																Total Returns												Ratios to Average Net Assets(c)
				Offering Costs				Ending Net Asset Value				Ending Market Value				Based on Market Value(b)				Based on Net Asset Value(b)				Ending Net Assets (000)				Expenses				Net Investment Income (Loss)				Portfolio Turnover Rate
Year Ended 12/31:
	2011			$	—			$	13.88			$	12.47				3.11	%			6.70	%		$	222,461				1.05	%			.69	%			67	%
	2010				—				14.05				13.12				17.25				15.82				225,187				1.11				.73				131
	2009				—	*			13.18				12.21				41.27				23.16				211,367				1.15				1.20				112
	2008				—	*			11.74				9.61				(34.06	)			(30.84	)			191,180				1.11				1.04				51
	2007	(d)			(0.04	)			18.72				16.35				(12.08	)			4.84				307,877				1.07	**			1.03	**			73

 

(a)  Per share Net Investment Income (Loss) is calculated using the average daily shares method.

(b)  Total Return Based on Market Value is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. The last dividend 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. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not annualized.

  Total Return Based on Net Asset Value is the combination of changes in net asset value, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, if any. The last dividend 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 net asset value. The actual reinvest price for the last dividend declared in the period may often be based on the Fund's market price (and not its net asset value), and therefore may be different from the price used in the calculation. Total returns are not annualized.

(c)  Ratios do not reflect the effect of custodian fee credits earned on the Fund's net cash on deposit with the custodian bank, where applicable.

(d)  For the period March 27, 2007 (commencement of operations) through December 31, 2007.

*  Rounds to less than $.01 per share.

**  Annualized.

 

See accompanying notes to financial statements.

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27

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Notes to

FINANCIAL STATEMENTS

1. General Information and Significant Accounting Policies

General Information

Nuveen Core Equity Alpha Fund (the "Fund") is a closed-end registered investment company registered under the Investment Company Act of 1940, as amended. The Fund's shares are listed on the New York Stock Exchange ("NYSE") and trade under the ticker symbol "JCE." The Fund was organized as a Massachusetts business trust on January 9, 2007.

Effective January 1, 2011, the Fund's adviser, Nuveen Asset Management, a wholly-owned subsidiary of Nuveen Investments, Inc. ("Nuveen"), changed its name to Nuveen Fund Advisors, Inc. (the "Adviser"). Concurrently, the Adviser formed a wholly-owned subsidiary, Nuveen Asset Management, LLC, to house its portfolio management capabilities and to serve as one of the Fund's two sub-advisers.

The Fund's investment objective is to provide an attractive level of total return, primarily through long-term capital appreciation and secondarily through income and gains. The Fund will invest in a portfolio of common stocks selected from among the 500 stocks comprising the S&P 500 Index, using a proprietary mathematical process designed by the Fund's other sub-adviser INTECH Investment Management LLC ("INTECH") to select large cap, core equity securities and will also employ innovative risk reduction techniques. Typically, the Fund's equity portfolio will hold 150-450 stocks included in the S&P 500 Index. The Fund will also employ an option strategy that seeks to enhance the Fund's risk-adjusted performance over time through a meaningful reduction in the volatility of the Fund's returns relative to the returns of the S&P 500 Index. The Fund expects to write (sell) custom basket call options with a notional value of up to 50% of the value of the equity portfolio. Nuveen Asset Management, LLC is responsible for the Fund's call option strategy and overseeing the Fund's investments in futures contracts.

Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements in accordance with U.S. generally accepted accounting principles ("U.S. GAAP").

Investment Valuation

Common stocks and other equity-type securities are valued at the last sales price on the securities exchange on which such securities are primarily traded and are generally classified as Level 1 for fair value measurement purposes. Securities primarily traded on the NASDAQ National Market ("NASDAQ") are valued, except as indicated below, at the NASDAQ Official Closing Price and are generally classified as Level 1. However, securities traded on a securities exchange or NASDAQ for which there were no transactions on a given day or securities not listed on a securities exchange or NASDAQ are valued at the quoted bid price and generally classified as Level 2.

Prices of fixed-income securities are provided by a pricing service approved by the Fund's Board of Trustees. These securities are generally classified as Level 2. When price quotes are not readily available, 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, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligor's credit characteristics considered relevant. In pricing certain securities, particularly less liquid and lower quality securities, the pricing service may consider information about a security, its issuer, or market activity provided by the Adviser. These securities are generally classified as Level 2 or Level 3 depending on the priority of the significant inputs.

The value of exchange-traded options are based on the mean of the closing bid and ask prices. Futures contracts are valued using the closing settlement price or, in the absence of such a price, the last traded price. Exchange-traded options and futures contracts are generally classified as Level 1. Options traded in the over-the-counter market are valued using an evaluated mean price and are generally classified as Level 2.

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

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Certain securities may not be able to be priced by the pre-established pricing methods as described above. Such securities may be valued by the Fund's Board of Trustees or its designee at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a pricing service is unable to provide a market price; securities whose trading has been formally suspended; debt securities that have gone into default and for which there is no current market quotation; a security whose market price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of the Fund's net asset value (as may be the case in non-U.S. markets on which the security is primarily traded) or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, is not deemed to reflect the security's fair value. As a general principle, the fair value of a security would appear to be the amount that the owner might reasonably expect to receive for it in a current sale. A variety of factors may be considered in determining the fair value of such securities, which 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, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligor's credit characteristics considered relevant. These securities are generally classified as Level 2 or Level 3 depending on the priority of the significant inputs. Regardless of the method employed to value a particular security, all valuations are subject to review by the Fund's Board of Trustees or its designee.

Refer to Footnote 2—Fair Value Measurements for further details on the leveling of securities held by the Fund as of the end of the reporting period.

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 basis used for federal income tax purposes.

Investment Income

Dividend income is recorded on the ex-dividend date or, for foreign securities, when information is available. Interest income is recorded on an accrual basis.

Income Taxes

The Fund intends to distribute substantially all of its investment company taxable income to shareholders and to otherwise comply with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies ("RICs"). In any year when the Fund realizes net capital gains, the Fund may choose to distribute all or a portion of its net capital gains to shareholders, or alternatively, to retain all or a portion of its net capital gains and pay federal corporate income taxes on such retained gains.

For all open tax years and all major taxing jurisdictions, management 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, management 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.

Dividends and Distributions to Shareholders

Distributions to shareholders are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP.

The Fund makes quarterly cash distributions to shareholders of a stated dollar amount per share. Subject to approval and oversight by the Fund's Board of Trustees, the Fund seeks to maintain a stable distribution level designed to deliver the long-term return potential of the Fund's investment strategy through regular quarterly distributions (a "Managed Distribution Program"). Total distributions during a calendar year generally will be made from the Fund's net investment income, net realized capital gains and net unrealized capital gains in the Fund's portfolio, if any. The portion of distributions paid attributed to net unrealized gains, if any, is distributed from the Fund's assets and is treated by shareholders as a non-taxable distribution ("Return of Capital") for tax purposes. In the event that total distributions during a calendar year exceed the Fund's total return on net asset value, the difference will reduce net asset value per share. If the Fund's total return on net asset value exceeds total distributions during a calendar year, the excess will be reflected as an increase in net asset value per share. The final determination of the source and character of all distributions for the fiscal year are made after the end of the fiscal year and are reflected in the financial statements contained in the annual report as of December 31 each year.

The actual character of distributions made by the Fund during the fiscal years ended December 31, 2011 and December 31, 2010, are reflected in the accompanying financial statements.

Foreign Currency Transactions

The Fund is authorized to engage in foreign currency exchange transactions, including foreign currency forward, futures, options and swap contracts. To the extent that the Fund invests in securities and/or contracts that are denominated in a currency other than U.S.

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Notes to

FINANCIAL STATEMENTS (continued)

dollars, the Fund will be subject to currency risk, which is the risk that an increase in the U.S. dollar relative to the foreign currency will reduce returns or portfolio value. Generally, when the U.S. dollar rises in value against a foreign currency, the Fund's investments denominated in that currency will lose value because its currency is worth fewer U.S. dollars; the opposite effect occurs if the U.S. dollar falls in relative value. Investments and other assets and liabilities denominated in foreign currencies are converted into U.S. dollars on a spot (i.e. cash) basis at the spot rate prevailing in the foreign currency exchange market at the time of valuation. Purchases and sales of investments and income denominated in foreign currencies are translated into U.S. dollars on the respective dates of such transactions.

The books and records of the Fund are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars at 4:00 p.m. Eastern time. Investments, income and expenses are translated on the respective dates of such transactions. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date of the transactions, foreign currency transactions, and the difference between the amounts of interest and dividends recorded on the books of the Fund and the amounts actually received.

The realized gains and losses resulting from changes in foreign currency exchange rates and changes in foreign exchange rates associated with other assets and liabilities on investments are recognized as a component of "Net realized gain (loss) from investments and foreign currency" on the Statement of Operations, when applicable.

The unrealized gains and losses resulting from changes in foreign currency exchange rates and changes in foreign exchange rates associated with other assets and liabilities on investments are recognized as a component of "Change in net unrealized appreciation (depreciation) of investments and foreign currency" on the Statement of Operations, when applicable.

Futures Contracts

The Fund is subject to equity price risk in the normal course of pursuing its investment objectives and is authorized to invest in futures contracts in an attempt to manage such risk. Upon entering into a futures contract, the Fund is required to deposit with the broker an amount of cash or liquid securities equal to a specified percentage of the contract amount. This is known as the "initial margin." Cash held by the broker to cover initial margin requirements on open futures contracts, if any, is recognized as "Deposits with brokers for open futures contracts" on the Statement of Assets and Liabilities. Subsequent payments ("variation margin") are made or received by the Fund each day, depending on the daily fluctuation of the value of the contract. Variation margin is recognized as a receivable or payable for "Variation margin on futures contracts" on the Statement of Assets and Liabilities, when applicable.

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 and is recognized as a component of "Change in net unrealized appreciation (depreciation) of futures contracts" on the Statement of Operations. When the contract is closed or expired, the Fund records a realized gain or loss equal to the difference between the value of the contract on the closing date and value of the contract when originally entered into, and is recognized as a component of "Net realized gain (loss) from futures contracts" on the Statement of Operations.

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

During the fiscal year ended December 31, 2011, the Fund entered into equity index futures to gain equity market exposure where the portfolio holds cash.

The average number of futures contracts outstanding during the fiscal year ended December 31, 2011, was 125. The average number of outstanding contracts is calculated based on the outstanding contracts at the beginning of the fiscal year and at the end of each fiscal quarter within the current fiscal year. Refer to Footnote 3—Derivative Instruments and Hedging Activities for further details on futures contract activity.

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Options Transactions

The Fund is subject to equity price risk in the normal course of pursuing its investment objectives and is authorized to write (sell) call options, primarily on custom baskets of securities, in an attempt to manage such risk. When the Fund writes a call option, an amount equal to the net premium received (the premium less commission) is recognized as a component of "Call options written, at value" on the Statement of Asset and Liabilities 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 during the reporting period are recognized as a component of "Change in net unrealized appreciation (depreciation) of call options written" on the Statement of Operations. When a call option expires or the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid at expiration or upon executing a closing purchase transaction, including commission, is recognized as a component of "Net realized gain (loss) from call options written" on the Statements of Operations. The Fund, as writer of a call 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 or index 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 fiscal year ended December 31, 2011, the Fund wrote call options on a basket of stocks, while investing in a portfolio of equities, to enhance returns while foregoing some upside potential of its equity portfolio.

The average notional amount of call options written during the fiscal year ended December 31, 2011, was $83,361,674. The average notional amount is calculated based on the outstanding notional at the beginning of the fiscal year and at the end of each fiscal quarter within the current fiscal year. Refer to Footnote 3—Derivative Instruments and Hedging Activities and Footnote 5—Investment Transactions for further details on call options written.

Market and Counterparty Credit Risk

In the normal course of business the Fund may invest in financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the other party to the transaction to perform (counterparty credit risk). The potential loss could exceed the value of the financial assets recorded on the financial statements. Financial assets, which potentially expose the Fund to counterparty credit risk, consist principally of cash due from counterparties on forward, option and swap transactions, when applicable. The extent of the Fund's exposure to counterparty credit risk in respect to these financial assets approximates their carrying value as recorded on the Statement of Assets and Liabilities. Futures contracts, when applicable, expose the Fund to minimal counterparty credit risk as they are exchange traded and the exchange's clearinghouse, which is counterparty to all exchange traded futures, guarantees the futures contracts against default.

The Fund helps manage counterparty credit risk by entering into agreements only with counterparties the Adviser believes have the financial resources to honor their obligations and by having the Adviser monitor the financial stability of the counterparties. Additionally, counterparties may be required to pledge collateral daily (based on the daily valuation of the financial asset) on behalf of the Fund with a value approximately equal to the amount of any unrealized gain above a pre-determined threshold. Reciprocally, when the Fund has an unrealized loss, the Fund has instructed the custodian to pledge assets of the Fund as collateral with a value approximately equal to the amount of the unrealized loss above a pre-determined threshold. Collateral pledges are monitored and subsequently adjusted if and when the valuations fluctuate, either up or down, by at least the predetermined threshold amount.

Repurchase Agreements

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

Zero Coupon Securities

The Fund is authorized to invest in zero coupon securities. A zero coupon security does not pay a regular interest coupon to its holders during the life of the security. Tax-exempt income to the holder of the security comes from accretion of the difference between the original purchase price of the security at issuance and the par value of the security at maturity and is effectively paid at maturity. The market prices of zero coupon securities generally are more volatile than the market prices of securities that pay interest periodically.

Custodian Fee Credit

The Fund has an arrangement with the custodian bank whereby certain custodian fees and expenses are reduced by net credits earned on the Fund's cash on deposit with the bank. Such deposit arrangements are an alternative to overnight investments. Credits for cash balances may be offset by charges for any days on which the Fund overdraws its account at the custodian bank.

Indemnifications

Under the Fund's organizational documents, its officers and trustees 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

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Notes to

FINANCIAL STATEMENTS (continued)

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 expects the risk of loss to be remote.

Use of Estimates

The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of 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 may differ from those estimates.

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 three-tier hierarchy of inputs is summarized in the three broad levels listed below:

Level 1 —  Quoted prices in active markets for identical securities.

Level 2 —  Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3 —  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 risk associated with investing in those securities. The following is a summary of the Fund's fair value measurements as of December 31, 2011:

				Level 1				Level 2				Level 3				Total
Investments:
Common Stocks				$	219,604,323			$	—			$	765			$	219,605,088
Preferred Stocks					—				—				765				765
Short-Term Investments					—				5,331,872				—				5,331,872
Derivatives:
Call Options Written					—				(853,743	)			—				(853,743	)
Futures Contracts*					146,188				—				—				146,188
Total				$	219,750,511			$	4,478,129			$	1,530			$	224,230,170

 

*  Represents net unrealized appreciation (depreciation) as reported in the Fund's Portfolio of Investments.

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32

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The following is a reconciliation of the Fund's Level 3 investments held at the beginning and end of the measurement period:

				Level 3 Common Stocks				Level 3 Preferred Stocks				Level 3 Total
Balance at the beginning of year				$	—			$	—			$	—
Gains (losses):
Net realized gains (losses)					—				—				—
Net change in unrealized appreciation (depreciation)					(906	)			(906	)			(1,812	)
Purchases at cost					1,671				1,671				3,342
Sales at proceeds					—				—				—
Net discounts (premiums)					—				—				—
Transfers in to					—				—				—
Transfers out of					—				—				—
Balance at the end of year				$	765			$	765			$	1,530
Change in net unrealized appreciation (depreciation) during the year of Level 3 securities held as of December 31, 2011				$	(906	)		$	(906	)		$	(1,812	)

 

During the fiscal year ended December 31, 2011, the Fund recognized no significant transfers to or from Level 1 or Level 2. Transfers in and/or out of Level 3 are shown using end of period values.

3. Derivative Instruments and Hedging Activities

The Fund records derivative instruments at fair value, with changes in fair value recognized on the Statement of Operations, when applicable. Even though the Fund's investments in derivatives may represent economic hedges, they are not considered to be hedge transactions for financial reporting purposes. For additional information on the derivative instruments in which the Fund was invested during and at the end of the reporting period, refer to the Portfolio of Investments, Financial Statements and Footnote 1—General Information and Significant Accounting Policies.

The following table presents the fair value of all derivative instruments held by the Fund as of December 31, 2011, the location of these instruments on the Statement of Assets and Liabilities, and the primary underlying risk exposure.

								Location on the Statement of Assets and Liabilities
Underlying				Derivative				Asset Derivatives								Liability Derivatives
Risk Exposure				Instrument				Location				Value				Location				Value
Equity Price				Futures contracts				Variation margin on futures contracts*				$	146,188				—			$	—
Equity Price				Options					—				—			Call options written, at value					853,743
Total												$	146,188							$	853,743

 

*  Value represents cumulative gross unrealized appreciation (depreciation) of futures contracts as reported in the Portfolio of Investments and not the deposits with brokers, if any, or the receivable or payable for variation margin presented on the Statement of Assets and Liabilities.

The following tables present the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized for the fiscal year ended December 31, 2011, on derivative instruments, as well as the primary risk exposure associated with each.

Net Realized Gain (Loss) from Call Options Written
Risk Exposure
Equity Price				$	3,471,517
Net Realized Gain (Loss) from Futures Contracts
Risk Exposure
Equity Price				$	97,313
Change in Net Unrealized Appreciation (Depreciation) of Call Options Written
Risk Exposure
Equity Price				$	303,752
Change in Net Unrealized Appreciation (Depreciation) of Futures Contracts
Risk Exposure
Equity Price				$	40,000

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Notes to

FINANCIAL STATEMENTS (continued)

4. Fund Shares

Transactions in shares were as follows:

				Year Ended 12/31/11				Year Ended 12/31/10
Shares repurchased and retired					(5,000	)			(7,100	)
Weighted average:
Price per share repurchased and retired				$	11.29			$	10.36
Discount per share repurchased and retired					15.92	%			23.38	%

 

5. Investment Transactions

Purchases and sales (excluding short-term investments and derivative transactions) during the fiscal year ended December 31, 2011, aggregated $153,386,417 and $162,502,887, respectively.

Transactions in call options written during the fiscal year ended December 31, 2011, were as follows:

				Number of Contracts				Premiums Received
Outstanding, beginning of year					1,004,739			$	788,274
Call options written					6,987,883				5,391,580
Call options terminated in closing purchase transactions					(2,023,113	)			(1,570,631	)
Call options expired					(5,174,174	)			(3,644,083	)
Outstanding, end of year					795,335			$	965,140

 

6. Income Tax Information

The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to timing differences in recognizing certain gains and losses on investment transactions and the recognition of unrealized gain or loss for tax (mark-to-market) on futures contracts. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts as detailed below. Temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset value of the Fund.

At December 31, 2011, the cost and unrealized appreciation (depreciation) of investments (excluding investments in derivatives), as determined on a federal income tax basis, were as follows:

Cost of investments				$	192,960,439
Gross unrealized:
Appreciation				$	38,897,531
Depreciation					(6,920,245	)
Net unrealized appreciation (depreciation) of investments				$	31,977,286

 

Permanent differences, primarily due to Real Estate Investment Trust (REIT) adjustments and tax basis earnings and profit adjustments, resulted in reclassifications among the Fund's components of net assets at December 31, 2011, the Fund's tax year-end, as follows:

Paid-in surplus				$	(15,793,406	)
Undistributed (Over-distribution) of net investment income					15,737,622
Accumulated net realized gain (loss)					55,784

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The tax components of undistributed net ordinary income and net long-term capital gains at December 31, 2011, the Fund's tax year end, were as follows:

Undistributed net ordinary income				$	—
Undistributed net long-term capital gains					—

 

The tax character of distributions paid during the Fund's tax years ended December 31, 2011 and December 2010, was designated for purposes of the dividends paid deduction as follows:

2011
Distributions from net ordinary income *				$	17,306,121
Distributions from net long-term capital gains					—
Return of capital					—
2010
Distributions from net ordinary income *				$	14,715,856
Distributions from net long-term capital gains					—
Return of capital					2,915,487

 

*  Net ordinary income consists of net taxable income derived from dividends and interest, and current year earnings and profits attributable to realized gains.

At December 31, 2011, the Fund's tax year end, the Fund had an unused capital loss carryforward available for federal income tax purposes to be applied against future capital gains, if any. If not applied, the carryforwards will expire as follows:

Expiration:
December 31, 2017				$	30,094,692

 

During the tax year ended December 31, 2011, the Fund utilized $20,757,172 of its capital loss carryforwards.

On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the "Act") was enacted, which changed various technical rules governing the tax treatment of RICs. The changes are generally effective for taxable years beginning after the date of enactment. One of the more prominent changes addresses capital loss carryforwards. Under the Act, the Fund will be permitted to carry forward capital losses incurred in taxable years beginning after the date of enactment for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years, which carry an expiration date. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital loss carryforwards will retain their character as either short-term or long-term capital losses rather than being considered all short-term as permitted under previous regulation.

The Act also contains several provisions aimed at preserving the character of distributions made by fiscal year RICs during the portion of its taxable year ending after October 31 or December 31, reducing the circumstances under which RICs might be required to file amended Forms 1099 to restate previously reported distributions.

During the Fund's tax year ended December 31, 2011, there were no post-enactment capital losses generated.

The Fund has elected to defer losses incurred from November 1, 2011 through December 31, 2011, the Fund's tax year end, in accordance with federal income tax rules. These losses are treated as having arisen on the first day of the following fiscal year. The Fund has elected to defer losses as follows:

Post-October capital losses				$	836,982
Late-year ordinary losses					—

 

7. Management Fees and Other Transactions with Affiliates

The Fund's management fee consists of two components—a fund-level fee, based only on the amount of assets within the Fund, and a complex-level fee, based on the aggregate amount of all eligible fund assets managed by the Adviser. This pricing structure enables Fund shareholders to benefit from growth in the assets within the Fund as well as from growth in the amount of complex-wide assets managed by the Adviser.

The annual fund-level fee, payable monthly, is calculated according to the following schedule:

Average Daily Managed Assets*				Fund-Level Fee Rate
For the first $500 million					.7500	%
For the next $500 million					.7250
For the next $500 million					.7000
For the next $500 million					.6750
For managed assets over $2 billion					.6500

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Notes to

FINANCIAL STATEMENTS (continued)

The annual complex-level fee, payable monthly, is calculated according to the following schedule:

Complex-Level Managed Asset Breakpoint Level*				Effective Rate at Breakpoint Level
$55 billion					.2000	%
$56 billion					.1996
$57 billion					.1989
$60 billion					.1961
$63 billion					.1931
$66 billion					.1900
$71 billion					.1851
$76 billion					.1806
$80 billion					.1773
$91 billion					.1691
$125 billion					.1599
$200 billion					.1505
$250 billion					.1469
$300 billion					.1445

 

*  For the fund-level and complex-level fees, managed assets include closed-end fund assets managed by the Adviser that are attributable to financial leverage. For these purposes, financial leverage includes the funds' use of preferred stock and borrowings and certain investments in the residual interest certificates (also called inverse floating rate securities) in tender option bond (TOB) trusts, including the portion of assets held by a TOB trust that has been effectively financed by the trust's issuance of floating rate securities, subject to an agreement by the Adviser as to certain funds to limit the amount of such assets for determining managed assets in certain circumstances. The complex-level fee is calculated based upon the aggregate daily managed assets of all Nuveen Funds that constitute "eligible assets." Eligible assets do not include assets attributable to investments in other Nuveen Funds and assets in excess of $2 billion added to the Nuveen Fund complex in connection with the Adviser's assumption of the management of the former First American Funds effective January 1, 2011. As of December 31, 2011, the complex-level fee rate for the Fund was .1767%.

The management fee compensates the Adviser for overall investment advisory and administrative services and general office facilities. The Adviser is responsible for the Fund's overall strategy and asset allocation decisions. The Adviser has entered into sub-advisory agreements with INTECH and Nuveen Asset Management, LLC. INTECH and Nuveen Asset Management, LLC are compensated for their services to the Fund from the management fees paid to the Adviser.

The Fund pays no compensation directly to those of its trustees who are affiliated with the Adviser or to its officers, all of whom receive remuneration for their services to the Fund from the Adviser or its affiliates. The Board of Trustees has adopted a deferred compensation plan for independent trustees that enables trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from certain Nuveen advised funds. Under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of select Nuveen advised funds.

8. New Accounting Pronouncements

Financial Accounting Standards Board ("FASB") Transfers and Servicing (Topic 860): Reconsideration of Effective Control for Repurchase Agreements

On April 15, 2011, the FASB issued Accounting Standards Update ("ASU") No. 2011-03 ("ASU No. 2011-03"). The guidance in ASU No. 2011-03 is intended to improve the accounting for repurchase agreements and other similar agreements. Specifically, ASU No. 2011-03 modifies the criteria for determining when these transactions would be accounted for as financings transactions (secured borrowings/lending agreements) as opposed to sales (purchases) transactions with commitments to repurchase (resell). The effective date of ASU No. 2011-03 is for interim and annual periods beginning on or after December 15, 2011. At this time, management is evaluating the implications of this guidance and the impact it will have to the financial statement amounts and footnote disclosures, if any.

Fair Value Measurements and Disclosures

On May 12, 2011, the FASB issued ASU No. 2011-04 modifying Topic 820, Fair Value Measurements and Disclosures. At the same time, the International Accounting Standards Board ("IASB") issued International Financial Reporting Standard ("IFRS") 13, Fair Value Measurement. The objective of the FASB and IASB is convergence of their guidance on fair value measurements and disclosures.

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36

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Specifically, ASU No. 2011-04 requires reporting entities to disclose i) the amounts of any transfers between Level 1 and Level 2 and the reasons for the transfers and ii) for Level 3 fair value measurements, a) quantitative information about significant unobservable inputs used, b) a description of the valuation processes used by the reporting entity and c) a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs if a change in those inputs might result in a significantly higher or lower fair value measurement. The effective date of ASU No. 2011-04 is for interim and annual periods beginning after December 15, 2011. At this time, management is evaluating the implications of this guidance and the impact it will have to the financial statement amounts and footnote disclosures, if any.

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Board Members & Officers (Unaudited)

The management of the Funds, including general supervision of the duties performed for the Funds by the Adviser, is the responsibility of the Board Members of the Funds. The number of board members of the Fund is currently set at ten. None of the board members who are not "interested" persons of the Funds (referred to herein as "independent board members") has ever been a director or employee of, or consultant to, Nuveen or its affiliates. The names and business addresses of the board members and officers of the Funds, their principal occupations and other affiliations during the past five years, the number of portfolios each oversees and other directorships they hold are set forth below.

Name, Birthdate and Address

Position(s) Held with the Funds

Year First Elected or Appointed and Term(1)

Principal Occupation(s) Including other Directorships During Past 5 Years

Number of Portfolios in Fund Complex Overseen by Board Member

Independent Board Members:

g ROBERT P. BREMNER(2)

8/22/40 333 W. Wacker Drive Chicago, IL 60606

Chairman of the Board and Board Member

1996 Class III

Private Investor and Management Consultant; Treasurer and Director, Humanities Council of Washington, D.C.; Board Member, Independent Directors Council (affiliated with the Investment Company Institute.)

238

g JACK B. EVANS

10/22/48 333 W. Wacker Drive Chicago, IL 60606

Board Member

1999 Class III

President, The Hall-Perrine Foundation, a private philanthropic corporation (since 1996); Director and Chairman, United Fire Group, a publicly held company; member of the Board of Regents for the State of Iowa University System; Director, Source Media Group; Life Trustee of Coe College and the Iowa College Foundation; formerly, Director, Alliant Energy; formerly, Director, Federal Reserve Bank of Chicago; formerly, President and Chief Operating Officer, SCI Financial Group, Inc., a regional financial services firm.

238

g WILLIAM C. HUNTER

3/6/48 333 W. Wacker Drive Chicago, IL 60606

Board Member

2004 Class I

Dean, Tippie College of Business, University of Iowa (since 2006); Director (since 2004) of Xerox Corporation; Director (since 2005), Beta Gamma Sigma International Honor Society; Director of Wellmark, Inc. (since 2009); formerly, Dean and Distinguished Professor of Finance, School of Business at the University of Connecticut (2003-2006); previously, Senior Vice President and Director of Research at the Federal Reserve Bank of Chicago (1995-2003); formerly, Director (1997-2007), Credit Research Center at Georgetown University.

238

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Name, Birthdate and Address

Position(s) Held with the Funds

Year First Elected or Appointed and Term(1)

Principal Occupation(s) Including other Directorships During Past 5 Years

Number of Portfolios in Fund Complex Overseen by Board Member

Independent Board Members (continued):

g DAVID J. KUNDERT(2)

10/28/42 333 W. Wacker Drive Chicago, IL 60606

Board Member

2005 Class II

Director, Northwestern Mutual Wealth Management Company; retired (since 2004) as Chairman, JPMorgan Fleming Asset Management, President and CEO, Banc One Investment Advisors Corporation, and President, One Group Mutual Funds; prior thereto, Executive Vice President, Banc One Corporation and Chairman and CEO, Banc One Investment Management Group; Member, Board of Regents, Luther College; member of the Wisconsin Bar Association; member of Board of Directors, Friends of Boerner Botanical Gardens; member of Board of Directors and Chair of Investment Committee, Greater Milwaukee Foundation.

238

g WILLIAM J. SCHNEIDER(2)

9/24/44 333 W. Wacker Drive Chicago, IL 60606

Board Member

1997 Class III

Chairman of Miller-Valentine Partners Ltd., a real estate investment company; formerly, Senior Partner and Chief Operating Officer (retired 2004) of Miller- Valentine Group; member, University of Dayton Business School Advisory Council; member, Mid-America Health System Board; formerly, member and chair, Dayton Philharmonic Orchestra Association; formerly, member, Business Advisory Council, Cleveland Federal Reserve Bank.

238

g JUDITH M. STOCKDALE

12/29/47 333 W. Wacker Drive Chicago, IL 60606

Board Member

1997 Class I

Executive Director, Gaylord and Dorothy Donnelley Foundation (since 1994); prior thereto, Executive Director, Great Lakes Protection Fund (1990-1994).

238

g CAROLE E. STONE(2)

6/28/47 333 W. Wacker Drive Chicago, IL 60606

Board Member

2007 Class I

Director, Chicago Board Options Exchange (since 2006); Director, C2 Options Exchange, Incorporated (since 2009); formerly, Commissioner, New York State Commission on Public Authority Reform (2005-2010); formerly, Chair, New York Racing Association Oversight Board (2005-2007).

238

g VIRGINIA L. STRINGER

8/16/44 333 W. Wacker Drive Chicago, IL 60606

Board Member

2011

Board Member, Mutual Fund Directors Forum; Member, Governing Board, Investment Company Institute's Independent Directors Council; governance consultant and non-profit board member; former Owner and President, Strategic Management Resources, Inc. a management consulting firm; previously, held several executive positions in general management, marketing and human resources at IBM and The Pillsbury Company; Independent Director, First American Fund Complex (1987-2010) and Chair (1997-2010).

238

 

Nuveen Investments
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Board Members & Officers (Unaudited) (continued)

Name, Birthdate and Address

Position(s) Held with the Funds

Year First Elected or Appointed and Term(1)

Principal Occupation(s) Including other Directorships During Past 5 Years

Number of Portfolios in Fund Complex Overseen by Board Member

Independent Board Members (continued):

g TERENCE J. TOTH(2)

9/29/59 333 W. Wacker Drive Chicago, IL 60606

Board Member

2008 Class II

Director, Legal & General Investment Management America, Inc. (since 2008); Managing Partner, Promus Capital (since 2008); formerly, CEO and President, Northern Trust Global Investments (2004-2007); Executive Vice President, Quantitative Management & Securities Lending (2000-2004); prior thereto, various positions with Northern Trust Company (since 1994); member: Goodman Theatre Board (since 2004), Chicago Fellowship Board (since 2005) and Catalyst Schools of Chicago Board (since 2008); formerly, member: Northern Trust Mutual Funds Board (2005-2007), Northern Trust Global Investments Board (2004-2007), Northern Trust Japan Board (2004-2007), Northern Trust Securities Inc. Board (2003-2007) and Northern Trust Hong Kong Board (1997-2004).

238

Interested Board Member:

g JOHN P. AMBOIAN(3)

6/14/61 333 W. Wacker Drive Chicago, IL 60606

Board Member

2008 Class II

Chief Executive Officer and Chairman (since 2007) and Director (since 1999) of Nuveen Investments, Inc., formerly, President (1999-2007); Chief Executive Officer (since 2007) of Nuveen Investments Advisers, Inc.; Director (since 1998) formerly, Chief Executive Officer (2007-2010) of Nuveen Fund Advisors, Inc.

238

Name, Birthdate and Address

Position(s) Held with the Funds

Year First Elected or Appointed(4)

Principal Occupation(s) During Past 5 Years

Number of Portfolios in Fund Complex Overseen by Officer

Officers of the Funds:

g GIFFORD R. ZIMMERMAN

9/9/56 333 W. Wacker Drive Chicago, IL 60606

Chief Administrative Officer

1988

Managing Director (since 2002), Assistant Secretary and Associate General Counsel of Nuveen Securities, LLC; Managing Director (since 2004) and Assistant Secretary (since 1994) of Nuveen Investments, Inc.; Managing Director (since 2002), Assistant Secretary (since 1997) and Co-General Counsel (since 2011) of Nuveen Fund Advisors, Inc.; Managing Director, Assistant Secretary and Associate General Counsel of Nuveen Asset Management, LLC (since 2011); Managing Director, Associate General Counsel and Assistant Secretary, of Symphony Asset Management LLC (since 2003); Vice President and Assistant Secretary of NWQ Investment Management Company, LLC (since 2002), Nuveen Investments Advisers Inc. (since 2002), Tradewinds Global Investors LLC, and Santa Barbara Asset Management, LLC (since 2006), Nuveen HydePark Group LLC and Nuveen Investment Solutions, Inc. (since 2007) and of Winslow Capital Management Inc. (since 2010); Chief Administrative Officer and Chief Compliance Officer (since 2006) of Nuveen Commodities Asset Management, LLC; Chartered Financial Analyst.

238

 

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Name, Birthdate and Address

Position(s) Held with the Funds

Year First Elected or Appointed(4)

Principal Occupation(s) During Past 5 Years

Number of Portfolios in Fund Complex Overseen by Officer

Officers of the Funds (continued):

g WILLIAM ADAMS IV

6/9/55 333 W. Wacker Drive Chicago, IL 60606

Vice President

2007

Senior Executive Vice President, Global Structured Products (since 2010), formerly, Executive Vice President (1999-2010) of Nuveen Securities, LLC; Co-President of Nuveen Fund Advisors, Inc. (since 2011); President (since August 2011), formerly, Managing Director (2010-2011) of Nuveen Commodities Asset Management, LLC.

133

g CEDRIC H. ANTOSIEWICZ

1/11/62 333 W. Wacker Drive Chicago, IL 60606

Vice President

2007

Managing Director of Nuveen Securities, LLC.

133

g MARGO L. COOK

4/11/64 333 W. Wacker Drive Chicago, IL 60606

Vice President

2009

Executive Vice President (since 2008) of Nuveen Investments, Inc. and of Nuveen Fund Advisors, Inc. (since 2011); Managing Director-Investment Services of Nuveen Commodities Asset Management, LLC (since August 2011), previously, Head of Institutional Asset Management (2007-2008) of Bear Stearns Asset Management; Head of Institutional Asset Management (1986-2007) of Bank of NY Mellon; Chartered Financial Analyst.

238

g LORNA C. FERGUSON

10/24/45 333 W. Wacker Drive Chicago, IL 60606

Vice President

1998

Managing Director (since 2005) of Nuveen Fund Advisors, Inc. and Nuveen Securities, LLC (since 2004).

238

g STEPHEN D. FOY

5/31/54 333 W. Wacker Drive Chicago, IL 60606

Vice President and Controller

1998

Senior Vice President (since 2010), formerly, Vice President (2005-2010) and Funds Controller of Nuveen Securities, LLC; Vice President of Nuveen Fund Advisors, Inc.; Chief Financial Officer of Nuveen Commodities Asset Management, LLC; (since 2010) Certified Public Accountant.

238

g SCOTT S. GRACE

8/20/70 333 W. Wacker Drive Chicago, IL 60606

Vice President and Treasurer

2009

Managing Director, Corporate Finance & Development, Treasurer (since 2009) of Nuveen Securities, LLC; Managing Director and Treasurer (since 2009) of Nuveen Fund Advisors, Inc., Nuveen Investment Solutions, Inc., Nuveen Investments Advisers, Inc., Nuveen Investments Holdings Inc. and (since 2011) Nuveen Asset Management, LLC; Vice President and Treasurer of NWQ Investment Management Company, LLC, Tradewinds Global Investors, LLC, Symphony Asset Management LLC and Winslow Capital Management, Inc.; Vice President of Santa Barbara Asset Management, LLC; formerly, Treasurer (2006-2009), Senior Vice President (2008-2009), previously, Vice President (2006-2008) of Janus Capital Group, Inc.; formerly, Senior Associate in Morgan Stanley's Global Financial Services Group (2000-2003); Chartered Accountant Designation.

238

 

Nuveen Investments
41

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Board Members & Officers (Unaudited) (continued)

Name, Birthdate and Address

Position(s) Held with the Funds

Year First Elected or Appointed(4)

Principal Occupation(s) During Past 5 Years

Number of Portfolios in Fund Complex Overseen by Officer

Officers of the Funds (continued):

g WALTER M. KELLY

2/24/70 333 W. Wacker Drive Chicago, IL 60606

Chief Compliance Officer and Vice President

2003

Senior Vice President (since 2008) and Assistant Secretary (since 2003) of Nuveen Fund Advisors, Inc.

238

g TINA M. LAZAR

8/27/61 333 W. Wacker Drive Chicago, IL 60606

Vice President

2002

Senior Vice President (since 2010), formerly, Vice President (2005-2010) of Nuveen Fund Advisors, Inc.

238

g KEVIN J. MCCARTHY

3/26/66 333 W. Wacker Drive Chicago, IL 60606

Vice President and Secretary

2007

Managing Director (since 2008), formerly, Vice President (2007-2008), Nuveen Securities, LLC; Managing Director (since 2008), Assistant Secretary (since 2007) and Co-General Counsel (since 2011) of Nuveen Fund Advisors, Inc.; Managing Director, Assistant Secretary and Associate General Counsel (since 2011) of Nuveen Asset Management, LLC; Managing Director (since 2008), and Assistant Secretary, Nuveen Investment Holdings, Inc.; Vice President (since 2007) and Assistant Secretary of Nuveen Investments Advisers Inc., NWQ Investment Management Company, LLC, Tradewinds Global Investors LLC, NWQ Holdings, LLC, Symphony Asset Management LLC, Santa Barbara Asset Management, LLC, Nuveen HydePark Group, LLC, Nuveen Investment Solutions, Inc. (since 2007) and of Winslow Capital Management, Inc. (since 2010); Vice President and Secretary (since 2010) of Nuveen Commodities Asset Management, LLC; prior thereto, Partner, Bell, Boyd & Lloyd LLP (1997-2007).

238

g KATHLEEN L. PRUDHOMME

3/30/53 901 Marquette Avenue Minneapolis, MN 55402

Vice President and Assistant Secretary

2011

Managing Director, Assistant Secretary and Co-General Counsel (since 2011) of Nuveen Fund Advisors, Inc.; Managing Director, Assistant Secretary and Associate General Counsel (since 2011) of Nuveen Asset Management, LLC; Managing Director and Assistant Secretary (since 2011) of Nuveen Securities, LLC; formerly, Deputy General Counsel, FAF Advisors, Inc. (2004-2010).

238

 

(1)  The Board Members serve three year terms. The Board of Trustees is divided into three classes. Class I, Class II, and Class III, with each being elected to serve until the third succeeding annual shareholders' meeting subsequent to its election or thereafter in each case when its respective successors are duly elected or appointed. The first year elected or appointed represents the year in which the board member was first elected or appointed to any fund in the Nuveen Complex.

(2)  Also serves as a trustee of the Nuveen Diversified Commodity Fund, an exchange-traded commodity pool managed by Nuveen Commodities Asset Management, LLC, an affiliate of the Adviser.

(3)  Mr. Amboian is an interested Trustee because of his position with Nuveen Investments, Inc. and certain of its subsidiaries, which are affiliates of the Nuveen Funds.

(4)  Officers serve one year terms through August of each year. The year first elected or appointed represents the year in which the Officer was first elected or appointed to any fund in the Nuveen Complex.

 

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42

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Reinvest Automatically
Easily and Conveniently

Nuveen makes reinvesting easy. A phone call is all it takes to set up your reinvestment account.

Nuveen Closed-End Funds Automatic Reinvestment Plan

Your Nuveen Closed-End Fund allows you to conveniently reinvest distributions in additional Fund shares.

By choosing to reinvest, you'll be able to invest money regularly and automatically, and watch your investment grow through the power of compounding. Just like distributions in cash, there may be times when income or capital gains taxes may be payable on distributions that are reinvested.

It is important to note that an automatic reinvestment plan does not ensure a profit, nor does it protect you against loss in a declining market.

Easy and convenient

To make recordkeeping easy and convenient, each quarter you'll receive a statement showing your total distributions, the date of investment, the shares acquired and the price per share, and the total number of shares you own.

How shares are purchased

The shares you acquire by reinvesting will either be purchased on the open market or newly issued by the Fund. If the shares are trading at or above net asset value at the time of valuation, the Fund will issue new shares at the greater of the net asset value or 95% of the then-current market price. If the shares are trading at less than net asset value, shares for your account will be purchased on the open market. If the Plan Agent begins purchasing Fund shares on the open market while shares are trading below net asset value, but the Fund's shares subsequently trade at or above their net asset value before the Plan Agent is able to complete its purchases, the Plan Agent may cease open-market purchases and may invest the uninvested portion of the distribution in newly-issued Fund shares at a price equal to the greater of the shares' net asset value or 95% of the shares' market value on the last business day immediately prior to the purchase date. Distributions received to purchase shares in the open market will normally be invested shortly after the distribution payment date. No interest will be paid on distributions awaiting reinvestment. Because the market price of the shares may increase before purchases are completed, the average purchase price per share may exceed the market price at the time of valuation, resulting in the acquisition of fewer shares than if the distribution had been paid in shares issued by the Fund. A pro rata portion of any applicable brokerage commissions on open market purchases will be paid

Nuveen Investments
43

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Reinvest Automatically
Easily and Conveniently (continued)

by Plan participants. These commissions usually will be lower than those charged on individual transactions.

Flexible

You may change your distribution option or withdraw from the Plan at any time, should your needs or situation change.

You can reinvest whether your shares are registered in your name, or in the name of a brokerage firm, bank, or other nominee. Ask your financial advisor if his or her firm will participate on your behalf. Participants whose shares are registered in the name of one firm may not be able to transfer the shares to another firm and continue to participate in the Plan.

The Fund reserves the right to amend or terminate the Plan at any time. Although the Fund reserves the right to amend the Plan to include a service charge payable by the participants, there is no direct service charge to participants in the Plan at this time.

Call today to start reinvesting distributions

For more information on the Nuveen Automatic Reinvestment Plan or to enroll in or withdraw from the Plan, speak with your financial advisor or call us at (800) 257-8787.

Nuveen Investments
44

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Glossary of Terms
Used in this Report

•  Average Annual Total Return: This is a commonly used method to express an investment's performance over a particular, usually multi-year time period. It expresses the return that would have been necessary each year to equal the investment's actual cumulative performance (including change in NAV or market price and reinvested dividends and capital gains distributions, if any) over the time period being considered.

•  Comparative Benchmark: A blend of returns consisting of 1) 50% of the S&P 500 Index and 2) 50% of the CBOE S&P 500 Buy/Write Index (BXM), which is a passive total return index based on selling the near-term, at-the-money S&P 500 Index (SPX) call option against the S&P 500 Index portfolio each month, on the day the current contract expires. Index returns assume reinvestment of distributions, but do not include the effects of any applicable sales charges or management fees. It is not possible to invest directly in an index.

•  Current Distribution Rate: Market yield is based on the Fund's current annualized quarterly distribution divided by the Fund's current market price. The Fund's quarterly distributions to its shareholders may be comprised of ordinary income, net realized capital gains and, if at the end of the calendar year the Fund's cumulative net ordinary income and net realized gains are less than the amount of the Fund's distributions, a tax return of capital.

•  Inverse Floating Rate Securities: Inverse floating rate securities, also known as inverse floaters or tender option bonds (TOBs), are created by depositing a municipal bond, typically with a fixed interest rate, into a special purpose trust created by a broker-dealer. This trust, in turn, (a) issues floating rate certificates typically paying short-term tax-exempt interest rates to third parties in amounts equal to some fraction of the deposited bond's par amount or market value, and (b) issues an inverse floating rate certificate (sometimes referred to as an "inverse floater") to an investor (such as a Fund) interested in gaining investment exposure to a long-term municipal bond. The income received by the holder of the inverse floater varies inversely with the short-term rate paid to the floating rate certificates' holders, and in most circumstances the holder of the inverse floater bears substantially all of the underlying bond's downside investment risk. The holder of the inverse floater typically also benefits disproportionately from any potential appreciation of the underlying bond's value. Hence, an inverse floater essentially represents an investment in the underlying bond on a leveraged basis.

•  Net Asset Value (NAV): The net market value of all securities held in a portfolio.

•  Net Asset Value (NAV) Per Share: The market value of one share of a mutual fund or closed-end fund. For a Fund, the NAV is calculated daily by taking the Fund's total

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45

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Glossary of Terms
Used in this Report (continued)

assets (securities, cash, and accrued earnings), subtracting the Fund's liabilities, and dividing by the number of shares outstanding.

•  S&P 500 Index: An unmanaged index generally considered representative of the U.S. stock market. Index returns assume reinvestment of distributions, but do not include the effects of any applicable sales charges or management fees. It is not possible to invest directly in an index.

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Additional Fund Information

Board of Trustees

John P. Amboian
Robert P. Bremner
Jack B. Evans
William C. Hunter
David J. Kundert
William J. Schneider
Judith M. Stockdale
Carole E. Stone
Virginia L. Stringer
Terence J. Toth

Fund Manager

Nuveen Fund Advisors, Inc.
333 West Wacker Drive
Chicago, IL 60606

Custodian

State Street Bank & Trust Company
Boston, MA

Transfer Agent and
Shareholder Services

State Street Bank & Trust Company
Nuveen Funds
P.O. Box 43071
Providence, RI 02940-3071
(800) 257-8787

Legal Counsel

Chapman and Cutler LLP
Chicago, IL

Independent Registered
Public Accounting Firm

PricewaterhouseCoopers LLP
Chicago, IL

Quarterly Portfolio of Investments and Proxy Voting Information

You may obtain (i) the Fund's quarterly portfolio of investments, (ii) information regarding how the Fund voted proxies relating to portfolio securities held during the most recent twelve-month period ended June 30, and (iii) a description of the policies and procedures that the Fund used to determine how to vote proxies relating to portfolio securities without charge, upon request, by calling Nuveen Investments toll-free at (800) 257-8787 or on Nuveen's website at www.nuveen.com.

You may also obtain this and other Fund information directly from the Securities and Exchange Commission (SEC). The SEC may charge a copying fee for this information. Visit the SEC on-line at http://www.sec.gov or in person at the SEC's Public Reference Room in Washington, D.C. Call the SEC at (202) 942-8090 for room hours and operation. You may also request Fund information by sending an e-mail request to publicinfo@sec.gov or by writing to the SEC's Public Reference Section at 100 F Street NE, Washington, D.C. 20549.

CEO Certification Disclosure

The Fund's Chief Executive Officer has submitted to the New York Stock Exchange (NYSE) the annual CEO certification as required by Section 303A.12(a) of the NYSE Listed Company Manual.

The Fund has filed with the SEC the certification of its Chief Executive Officer and Chief Financial Officer required by Section 302 of the Sarbanes-Oxley Act.

Distribution Information

The Fund hereby designates its percentages of dividends paid from net ordinary income as dividends qualifying for the 70% dividends received deduction (DRD) for corporations and their percentages as qualified dividend income (QDI) for individuals under Section 1(h)(11) of the Internal Revenue Code as shown in the accompanying table. The actual qualified dividend income distributions will be reported to shareholders on Form 1099-DIV which will be sent to shareholders shortly after calendar year end.

				% of DRD				% of QDI
JCE					21.89	%			22.04	%

 

Share Information

The Fund intends to repurchase shares of its own common stock in the future at such times and in such amounts as is deemed advisable. During the period covered by this report, the Fund repurchased shares of its common stock as shown in the accompanying table.

				Common Shares Repurchased
JCE					5,000

 

Any future repurchases will be reported to shareholders in the next annual or semi-annual report.

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Nuveen Investments:
Serving Investors for Generations

Since 1898, financial advisors and their clients have relied on Nuveen Investments to provide dependable investment solutions through continued adherence to proven, long-term investing principles. Today, we offer a range of high quality equity and fixed-income solutions designed to be integral components of a well-diversified core portfolio.

Focused on meeting investor needs.

Nuveen Investments provides high-quality investment services designed to help secure the long-term goals of institutional and individual investors as well as the consultants and financial advisors who serve them. Nuveen Investments markets a wide range of specialized investment solutions which provide investors access to capabilities of its high-quality boutique investment affiliates—Nuveen Asset Management, Symphony Asset Management, NWQ Investment Management Company, Santa Barbara Asset Management, Tradewinds Global Investors, Winslow Capital Management and Gresham Investment Management. In total, Nuveen Investments managed $220 billion as of December 31, 2011.

Find out how we can help you.

To learn more about how the products and services of Nuveen Investments may be able to help you meet your financial goals, talk to your financial advisor, or call us at (800) 257-8787. Please read the information provided carefully before you invest. Investors should consider the investment objective and policies, risk considerations, charges and expenses of any investment carefully. Where applicable, be sure to obtain a prospectus, which contains this and other relevant information. To obtain a prospectus, please contact your securities representative or Nuveen Investments, 333 W. Wacker Dr., Chicago, IL 60606. Please read the prospectus carefully before you invest or send money.

Learn more about Nuveen Funds at: www.nuveen.com/cef

Distributed by
Nuveen Securities, LLC
333 West Wacker Drive
Chicago, IL 60606
www.nuveen.com/cef

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