UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-22003

Nuveen Core Equity Alpha Fund

(Exact name of registrant as specified in charter)

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

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

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

Date of fiscal year end:        12/31      

Date of reporting period:    3/31/2011   

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

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

 

 

Item 1. Schedule of Investments

Portfolio of Investments (Unaudited)

Nuveen Core Equity Alpha Fund (JCE)
March 31, 2011

Shares				Description (1)														Value
				Common Stocks – 96.9%
				Aerospace & Defense – 2.5%
	11,500			Boeing Company														$	850,195
	1,900			Honeywell International Inc.															113,449
	4,516			Huntington Ingalls Industries Inc.															187,414
	27,100			Northrop Grumman Corporation															1,699,441
	12,900			Precision Castparts Corporation															1,898,622
	6,900			Rockwell Collins, Inc.															447,327
	8,200			United Technologies Corporation															694,130
				Total Aerospace & Defense															5,890,578
				Air Freight & Logistics – 1.9%
	21,700			C.H. Robinson Worldwide, Inc.															1,608,621
	28,300			Expeditors International of Washington, Inc.															1,418,962
	15,300			FedEx Corporation															1,431,315
				Total Air Freight & Logistics															4,458,898
				Airlines – 0.8%
	147,900			Southwest Airlines Co.															1,867,977
				Auto Components – 0.1%
	8,600			Johnson Controls, Inc.															357,502
				Automobiles – 0.5%
	70,400			Ford Motor Company, (2)															1,049,664
	1,100			Harley-Davidson, Inc.															46,739
				Total Automobiles															1,096,403
				Beverages – 0.9%
	4,700			Brown-Forman Corporation															321,010
	21,300			Coca Cola Enterprises Inc.															581,490
	4,400			Coca-Cola Company															291,940
	8,700			Constellation Brands, Inc., Class A, (2)															176,436
	18,200			Dr. Pepper Snapple Group															676,312
	1,300			Molson Coors Brewing Company, Class B															60,957
				Total Beverages															2,108,145
				Biotechnology – 0.6%
	500			Amgen Inc., (2)															26,725
	1,400			Biogen Idec Inc., (2)															102,746
	17,100			Genzyme Corporation, (2)															1,302,165
				Total Biotechnology															1,431,636
				Building Products – 0.0%
	4,100			Masco Corporation															57,072
				Capital Markets – 2.0%
	14,100			Ameriprise Financial, Inc.															861,228
	21,700			Franklin Resources, Inc.															2,714,236
	1,100			Goldman Sachs Group, Inc.															174,317
	700			Invesco LTD															17,892
	1,500			Legg Mason, Inc.															54,135
	7,600			Morgan Stanley															207,632
	1,500			State Street Corporation															67,410
	10,200			T. Rowe Price Group Inc.															677,484
				Total Capital Markets															4,774,334
				Chemicals – 3.1%
	6,300			Air Products & Chemicals Inc.															568,134
	2,300			Airgas, Inc.															152,766
	1,900			CF Industries Holdings, Inc.															259,901
	37,700			E.I. Du Pont de Nemours and Company															2,072,369
	15,800			Eastman Chemical Company															1,569,256
	4,300			Ecolab Inc.															219,386
	4,300			FMC Corporation															365,199
	2,000			International Flavors & Fragrances Inc.															124,600
	1,400			Monsanto Company															101,164
	4,900			PPG Industries, Inc.															466,529
	3,400			Praxair, Inc.															345,440
	10,700			Sherwin-Williams Company															898,693
	3,900			Sigma-Aldrich Corporation															248,196
				Total Chemicals															7,391,633
				Commercial Banks – 1.4%
	9,200			Comerica Incorporated															337,824
	26,100			Fifth Third Bancorp.															362,268
	37,400			Huntington BancShares Inc.															248,336
	16,600			KeyCorp.															147,408
	3,600			M&T Bank Corporation															318,492
	14,600			Marshall and Ilsley Corporation															116,654
	61,100			Regions Financial Corporation															443,586
	7,300			SunTrust Banks, Inc.															210,532
	11,500			U.S. Bancorp															303,945
	8,950			Wells Fargo & Company															283,715
	28,700			Zions Bancorporation															661,822
				Total Commercial Banks															3,434,582
				Commercial Services & Supplies – 0.4%
	9,500			Stericycle Inc., (2)															842,365
	3,200			Waste Management, Inc.															119,488
				Total Commercial Services & Supplies															961,853
				Communications Equipment – 1.2%
	800			F5 Networks, Inc., (2)															82,056
	15,500			Harris Corporation															768,800
	3,900			Juniper Networks Inc., (2)															164,112
	15,425			Motorola Mobility Holdings Inc.															376,370
	17,628			Motorola Solutions Inc.															787,795
	12,100			QUALCOMM, Inc.															663,443
				Total Communications Equipment															2,842,576
				Computers & Peripherals – 6.2%
	34,200			Apple, Inc., (2)															11,916,990
	59,400			Network Appliance Inc., (2)															2,861,892
				Total Computers & Peripherals															14,778,882
				Construction & Engineering – 0.1%
	5,400			Fluor Corporation															397,764
				Consumer Finance – 0.2%
	2,500			Capital One Financial Corporation															129,900
	11,300			Discover Financial Services															272,556
				Total Consumer Finance															402,456
				Containers & Packaging – 0.2%
	12,800			Ball Corporation															458,880
				Diversified Consumer Services – 0.0%
	2,100			Devry, Inc.															115,647
				Diversified Financial Services – 0.9%
	64,400			Citigroup Inc., (2)															284,648
	10,205			JP Morgan Chase & Co.															470,451
	25,500			Leucadia National Corporation, (2)															957,270
	9,300			Moody’s Corporation															315,363
				Total Diversified Financial Services															2,027,732
				Diversified Telecommunication Services – 1.7%
	8,500			AT&T Inc.															260,100
	24,200			CenturyLink Inc.															1,005,510
	20,500			Frontier Communications Corporation															168,510
	236,600			Qwest Communications International Inc.															1,615,978
	4,100			Verizon Communications Inc.															158,014
	71,400			Windstream Corporation															918,918
				Total Diversified Telecommunication Services															4,127,030
				Electric Utilities – 1.8%
	5,400			American Electric Power Company, Inc.															189,756
	14,800			Duke Energy Corporation															268,620
	1,500			Edison International															54,885
	2,000			FirstEnergy Corp.															74,180
	4,000			NextEra Energy Inc.															220,480
	17,200			Northeast Utilities															595,120
	41,600			Pepco Holdings, Inc.															775,840
	12,700			Pinnacle West Capital Corporation															543,433
	20,300			Progress Energy, Inc.															936,642
	18,100			Southern Company															689,791
				Total Electric Utilities															4,348,747
				Electrical Equipment – 1.8%
	12,200			Emerson Electric Company															712,846
	34,500			Rockwell Automation, Inc.															3,265,425
	3,800			Roper Industries Inc.															328,548
				Total Electrical Equipment															4,306,819
				Electronic Equipment & Instruments – 0.1%
	1,200			Amphenol Corporation, Class A															65,268
	4,400			Corning Incorporated															90,772
	1,900			Jabil Circuit Inc.															38,817
				Total Electronic Equipment & Instruments															194,857
				Energy Equipment & Services – 2.3%
	1,400			Baker Hughes Incorporated															102,802
	1,100			FMC Technologies Inc., (2)															103,928
	7,800			Halliburton Company															388,752
	2,700			Helmerich & Payne Inc.															185,463
	27,700			National-Oilwell Varco Inc.															2,195,779
	4,800			Noble Corporation															218,976
	1,800			Rowan Companies Inc., (2)															79,524
	22,642			Schlumberger Limited															2,111,593
				Total Energy Equipment & Services															5,386,817
				Food & Staples Retailing – 0.4%
	16,200			Walgreen Co.															650,268
	3,200			Wal-Mart Stores, Inc.															166,560
	1,500			Whole Foods Market, Inc., (2)															98,850
				Total Food & Staples Retailing															915,678
				Food Products – 4.6%
	5,100			Archer-Daniels-Midland Company															183,651
	95,800			General Mills, Inc.															3,501,490
	3,500			H.J. Heinz Company															170,870
	19,100			Hershey Foods Corporation															1,038,085
	3,400			Hormel Foods Corporation															94,656
	31,200			JM Smucker Company															2,227,368
	1,400			Kellogg Company															75,572
	10,300			Mead Johnson Nutrition Company, Class A Shares															596,679
	168,900			Sara Lee Corporation															2,984,463
	900			Tyson Foods, Inc., Class A															17,271
				Total Food Products															10,890,105
				Gas Utilities – 0.5%
	1,200			Nicor Inc.															64,440
	17,800			ONEOK, Inc.															1,190,464
				Total Gas Utilities															1,254,904
				Health Care Equipment & Supplies – 2.4%
	17,200			CareFusion Corporation, (2)															485,040
	5,600			Covidien PLC															290,864
	5,200			Intuitive Surgical, Inc., (2)															1,733,992
	25,400			Stryker Corporation															1,544,320
	21,900			Varian Medical Systems, Inc., (2)															1,481,316
	3,700			Zimmer Holdings, Inc., (2)															223,961
				Total Health Care Equipment & Supplies															5,759,493
				Health Care Providers & Services – 4.9%
	116,900			AmerisourceBergen Corporation															4,624,564
	78,500			Cardinal Health, Inc.															3,228,705
	15,600			Coventry Health Care, Inc., (2)															497,484
	18,900			Humana Inc., (2)															1,321,866
	800			Laboratory Corporation of America Holdings, (2)															73,704
	21,000			McKesson HBOC Inc.															1,660,050
	35,800			Tenet Healthcare Corporation, (2)															266,710
				Total Health Care Providers & Services															11,673,083
				Hotels, Restaurants & Leisure – 3.0%
	1,500			Carnival Corporation, ADR															57,540
	13,900			Darden Restaurants, Inc.															682,907
	9,300			Marriott International, Inc., Class A															330,894
	5,600			McDonald’s Corporation															426,104
	88,200			Starbucks Corporation															3,258,990
	4,700			Starwood Hotels & Resorts Worldwide, Inc.															273,164
	900			Wynn Resorts Ltd															114,525
	40,900			YUM! Brands, Inc.															2,101,442
				Total Hotels, Restaurants & Leisure															7,245,566
				Household Durables – 2.4%
	23,700			Fortune Brands Inc.															1,466,793
	5,600			Lennar Corporation, Class A															101,472
	53,987			Stanley Black & Decker Inc.															4,135,404
				Total Household Durables															5,703,669
				Household Products – 0.1%
	1,700			Kimberly-Clark Corporation															110,959
	2,600			Procter & Gamble Company															160,160
				Total Household Products															271,119
				Industrial Conglomerates – 0.3%
	22,400			General Electric Company															449,120
	4,100			Tyco International Ltd.															183,557
				Total Industrial Conglomerates															632,677
				Insurance – 1.6%
	3,700			Ace Limited															239,390
	2,600			AFLAC Incorporated															137,228
	11,200			American International Group, (2)															393,568
	16,600			Assurant Inc.															639,266
	631			Berkshire Hathaway Inc., Class B, (2)															52,771
	4,100			Chubb Corporation															251,371
	1,900			Hartford Financial Services Group, Inc.															51,167
	2,200			Lincoln National Corporation															66,088
	3,600			MetLife, Inc.															161,028
	4,100			Principal Financial Group, Inc.															131,651
	35,800			Progressive Corporation															756,454
	1,300			Torchmark Corporation															86,424
	15,000			Travelers Companies, Inc.															892,200
	1,600			XL Capital Ltd, Class A															39,360
				Total Insurance															3,897,966
				Internet & Catalog Retail – 3.3%
	23,100			Amazon.com, Inc., (2)															4,161,003
	7,400			Priceline.com Incorporated, (2)															3,747,656
				Total Internet & Catalog Retail															7,908,659
				Internet Software & Services – 3.1%
	2,800			Akamai Technologies, Inc., (2)															106,400
	56,000			eBay Inc., (2)															1,738,240
	9,100			Google Inc., Class A, (2)															5,334,511
	3,300			Monster Worldwide Inc., (2)															52,470
	5,700			VeriSign, Inc., (2)															206,397
				Total Internet Software & Services															7,438,018
				IT Services – 4.0%
	84,700			Cognizant Technology Solutions Corporation, Class A, (2)															6,894,580
	9,600			Fidelity National Information Services															313,824
	12,100			International Business Machines Corporation (IBM)															1,973,147
	5,100			Teradata Corporation, (2)															258,570
				Total IT Services															9,440,121
				Leisure Equipment & Products – 1.0%
	50,300			Hasbro, Inc.															2,356,052
				Life Sciences Tools & Services – 0.8%
	41,400			Agilent Technologies, Inc., (2)															1,853,892
				Machinery – 4.8%
	24,800			Caterpillar Inc.															2,761,480
	5,700			Cummins Inc.															624,834
	17,700			Deere & Company															1,714,953
	54,800			Eaton Corporation, DD															3,038,112
	4,600			Ingersoll Rand Company Limited, Class A															222,226
	1,900			Joy Global Inc.															187,739
	8,200			PACCAR Inc.															429,270
	5,300			Pall Corporation															305,333
	15,600			Parker Hannifin Corporation															1,477,008
	10,800			Snap-on Incorporated															648,648
				Total Machinery															11,409,603
				Media – 3.3%
	15,100			Cablevision Systems Corporation															522,611
	2,400			CBS Corporation, Class B															60,096
	120,900			DIRECTV Group, Inc., (2)															5,658,120
	1,200			Discovery Communications inc., Class A Shares, (2)															47,880
	21,100			Interpublic Group Companies, Inc., (2)															265,227
	4,400			McGraw-Hill Companies, Inc.															173,360
	4,000			News Corporation, Class A															70,240
	2,700			Omnicom Group, Inc.															132,462
	1,000			Scripps Networks Interactive, Class A Shares															50,090
	4,900			Time Warner Cable, Class A															349,566
	1,700			Viacom Inc., Class B															79,084
	6,800			Walt Disney Company															293,012
	600			Washington Post Company															262,536
				Total Media															7,964,284
				Metals & Mining – 0.4%
	17,600			Alcoa Inc.															310,640
	11,400			Freeport-McMoRan Copper & Gold, Inc.															633,270
				Total Metals & Mining															943,910
				Multiline Retail – 0.4%
	19,400			Family Dollar Stores, Inc.															995,608
				Multi-Utilities – 3.5%
	23,500			Ameren Corporation															659,645
	41,600			CenterPoint Energy, Inc.															730,496
	38,900			CMS Energy Corporation															763,996
	8,300			Consolidated Edison, Inc.															420,976
	12,200			Dominion Resources, Inc.															545,340
	21,300			DTE Energy Company															1,042,848
	28,800			Integrys Energy Group, Inc.															1,454,688
	33,500			NiSource Inc.															642,530
	5,100			PG&E Corporation															225,318
	10,000			Scana Corporation															393,700
	900			Sempra Energy															48,150
	18,700			TECO Energy, Inc.															350,812
	22,800			Wisconsin Energy Corporation															695,400
	10,200			Xcel Energy, Inc.															243,678
				Total Multi-Utilities															8,217,577
				Oil, Gas, & Consumable Fuels – 3.6%
	1,400			Anadarko Petroleum Corporation															114,688
	1,000			Apache Corporation															130,920
	600			Chevron Corporation															64,458
	1,000			ConocoPhillips															79,860
	2,300			CONSOL Energy Inc.															123,349
	12,100			Denbury Resources Inc., (2)															295,240
	3,700			Devon Energy Corporation															339,549
	5,500			EQT Corporation															274,450
	2,800			Exxon Mobil Corporation															235,564
	17,900			Hess Corporation															1,525,259
	1,900			Marathon Oil Corporation															101,289
	2,900			Massey Energy Company															198,244
	10,000			Murphy Oil Corporation															734,200
	2,200			Newfield Exploration Company, (2)															167,222
	1,200			Noble Energy, Inc.															115,980
	1,700			Peabody Energy Corporation															122,332
	28,700			Pioneer Natural Resources Company															2,925,104
	2,800			Southwestern Energy Company, (2)															120,316
	4,900			Sunoco, Inc.															223,391
	3,100			Tesoro Corporation															83,173
	16,700			Williams Companies, Inc.															520,706
				Total Oil, Gas, & Consumable Fuels															8,495,294
				Personal Products – 1.3%
	6,300			Avon Products, Inc.															170,352
	29,900			Estee Lauder Companies Inc., Class A															2,881,164
				Total Personal Products															3,051,516
				Pharmaceuticals – 2.0%
	11,600			Abbott Laboratories															568,980
	1,200			Allergan, Inc.															85,224
	4,700			Bristol-Myers Squibb Company															124,221
	2,400			Eli Lilly and Company															84,408
	14,100			Hospira Inc., (2)															778,320
	94,232			Merck & Company Inc.															3,110,598
	4,300			Mylan Laboratories Inc., (2)															97,481
				Total Pharmaceuticals															4,849,232
				Professional Services – 0.1%
	4,000			Equifax Inc.															155,400
				Real Estate Investment Trust – 1.1%
	6,600			Apartment Investment & Management Company, Class A															168,102
	4,400			AvalonBay Communities, Inc.															528,352
	13,300			Equity Residential															750,253
	1,900			Health Care REIT, Inc.															99,636
	6,800			Public Storage, Inc.															754,188
	800			Simon Property Group, Inc.															85,728
	3,400			Ventas Inc.															184,620
	4,800			Weyerhaeuser Company															118,080
				Total Real Estate Investment Trust															2,688,959
				Real Estate Management & Development – 0.1%
	6,300			CB Richard Ellis Group, Inc., Class A, (2)															168,210
				Road & Rail – 0.1%
	3,200			Union Pacific Corporation															314,656
				Semiconductors & Equipment – 1.4%
	8,800			Altera Corporation															387,376
	2,000			Analog Devices, Inc.															78,760
	2,600			Broadcom Corporation, Class A															102,388
	1,400			KLA-Tencor Corporation															66,318
	9,900			NVIDIA Corporation, (2)															182,754
	69,800			Texas Instruments Incorporated															2,412,288
				Total Semiconductors & Equipment															3,229,884
				Software – 3.0%
	1,400			Autodesk, Inc., (2)															61,754
	5,100			BMC Software, Inc., (2)															253,674
	38,000			Compuware Corporation, (2)															438,900
	2,500			Electronic Arts Inc. (EA), (2)															48,825
	27,400			Intuit, Inc., (2)															1,454,940
	60,200			Microsoft Corporation															1,526,672
	9,300			Novell Inc., (2)															55,149
	22,700			Oracle Corporation															757,499
	12,800			Red Hat, Inc., (2)															580,992
	14,300			Salesforce.com, Inc., (2)															1,910,194
				Total Software															7,088,599
				Specialty Retail – 4.0%
	2,500			Abercrombie & Fitch Co., Class A															146,750
	8,100			AutoNation Inc., (2)															286,497
	5,100			AutoZone, Inc., (2)															1,395,156
	17,300			CarMax, Inc., (2)															555,330
	2,400			GameStop Corporation, (2)															54,048
	8,000			Home Depot, Inc.															296,480
	38,500			Limited Brands, Inc.															1,265,880
	9,200			O’Reilly Automotive Inc.															528,632
	10,100			Tiffany & Co.															620,544
	87,900			TJX Companies, Inc.															4,371,267
				Total Specialty Retail															9,520,584
				Textiles, Apparel & Luxury Goods – 0.5%
	18,100			Coach, Inc.															941,924
	1,400			Polo Ralph Lauren Corporation															173,110
				Total Textiles, Apparel & Luxury Goods															1,115,034
				Tobacco – 2.0%
	50,600			Altria Group, Inc.															1,317,118
	14,400			Philip Morris International															945,072
	72,000			Reynolds American Inc.															2,558,160
				Total Tobacco															4,820,350
				Trading Companies & Distributors – 0.6%
	18,100			Fastenal Company															1,173,423
	1,100			W.W. Grainger, Inc.															151,448
				Total Trading Companies & Distributors															1,324,871
				Wireless Telecommunication Services – 1.6%
	74,300			American Tower Corporation, (2)															3,850,226
				Total Common Stocks (cost $180,564,949)															230,663,619
Principal
Amount (000)				Description (1)		Coupon				Maturity				Ratings (3)				Value
				Short-Term Investments – 4.8%
				U.S. Government and Agency Obligations – 0.9%
$	2,000			U.S. Treasury Bills (4)			0.000	%			4/14/11			AAA				$	1,999,972
				Repurchase Agreements – 3.9%
	9,345			Repurchase Agreement with State Street Bank, dated 3/31/11, repurchase price $9,345,349, collateralized by $9,385,000 U.S. Treasury Notes, 1.375%, due 5/15/13, value $9,536,129			0.010	%			4/01/11				N/A				9,345,346
$	11,345			Total Short-Term Investments (cost $11,345,246)															11,345,318
				Total Investments (cost $191,910,195) — 101.7%															242,008,937
				Other Assets Less Liabilities — (1.7)% (5)															(4,147,626	)
				Net Assets — 100%														$	237,861,311