Nuveen Diversified Commodity Fund - FORM 10-K

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EX-31.2 - EX-31.2 - Nuveen Diversified Commodity Fund	d115495dex312.htm
EX-31.1 - EX-31.1 - Nuveen Diversified Commodity Fund	d115495dex311.htm
EX-32.1 - EX-32.1 - Nuveen Diversified Commodity Fund	d115495dex321.htm
EX-32.2 - EX-32.2 - Nuveen Diversified Commodity Fund	d115495dex322.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form 10-K

(Mark One)

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

For the fiscal year ended December 31, 2015

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

For the transition period from to

Commission File Number 001-34879

Nuveen Diversified Commodity Fund

(Exact name of registrant as specified in its charter)


Delaware		27-2048014
(State or other jurisdiction of incorporation or organization)		(I.R.S. Employer Identification No.)

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

(877) 827-5920

(Registrant’s telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:


Title of Each Class		Name of Each Exchange on Which Registered
Common Units of Beneficial Interest		NYSE MKT

Securities registered pursuant to Section 12(g) of the Act: None

Indicate by check mark if the Registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act. Yes ¨ No x

Indicate by check mark if the Registrant is not required to file reports pursuant to Section 13 or Section 15(d) of the Act. Yes ¨ No x

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes x No ¨

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Website, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§229.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes x No ¨

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated file, or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):


Large accelerated filer	¨		Accelerated filer	x

Non-accelerated filer	¨	(Do not check if smaller reporting company)	Smaller reporting company	¨

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ¨ No x

As of March 10, 2016, the registrant had 9,047,040 shares outstanding.

As of June 30, 2015, the aggregate market value of the shares held by non-affiliates was approximately $107,740,242.

NUVEEN DIVERSIFIED COMMODITY FUND

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-K

TABLE OF CONTENTS


		Page No.

	Part I
Item 1.	Business		2
Item 1A.	Risk Factors		9
Item 1B.	Unresolved Staff Comments		22
Item 2.	Properties		22
Item 3.	Legal Proceedings		22
Item 4.	Mine Safety Disclosures		22

	Part II
Item 5.	Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities		23
Item 6.	Selected Financial Data		26
Item 7.	Management’s Discussion and Analysis of Financial Condition and Results of Operations		28
Item 7A.	Quantitative and Qualitative Disclosures About Market Risk		41
Item 8.	Financial Statements and Supplementary Data		45
Item 9.	Changes in and Disagreements with Accountants on Accounting and Financial Disclosure		70
Item 9A.	Controls and Procedures		70
Item 9B.	Other Information		71

	Part III
Item 10.	Directors, Executive Officers and Corporate Governance		72
Item 11.	Executive Compensation		76
Item 12.	Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters		76
Item 13.	Certain Relationships and Related Transactions, and Director Independence		76
Item 14.	Principal Accounting Fees and Services		77

	Part IV
Item 15.	Exhibits and Financial Statement Schedules		78
Affirmation of the Commodity Pool Operator			79
Signatures			80

CAUTIONARY STATEMENT CONCERNING FORWARD-LOOKING INFORMATION

This annual report on Form 10-K (the “Annual Report”) includes forward-looking statements within the meaning of Section 27A of the Securities Act of 1933, as amended, and Section 21E of the Securities Exchange Act of 1934, as amended (the “Exchange Act”), that involve substantial risks and uncertainties. In some cases, you can identify forward-looking statements by terminology such as “may,” “will,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential” or the negative of these terms or other comparable terminology. These forward-looking statements are based on current expectations, estimates and projections and are subject to a number of risks, uncertainties and other factors, both known (such as those described in “Risk Factors” and elsewhere in this Annual Report) and unknown, that could cause the actual results, performance, prospects or opportunities of the registrant to differ materially from those expressed in, or implied by, these forward-looking statements.

You should not place undue reliance on any forward-looking statements. Except as expressly required by the federal securities laws or otherwise, the registrant undertakes no obligation to publicly update or revise any forward-looking statements or the risks, uncertainties or other factors described in this Annual Report, as a result of new information, future events or changed circumstances or for any other reason after the date of this Annual Report.

PART I

Item 1. Business

Organization

The Nuveen Diversified Commodity Fund (the “Fund”) was organized as a Delaware statutory trust on December 7, 2005, to operate as a commodity pool. Nuveen Commodities Asset Management, LLC, the Fund’s manager (“NCAM” or the “Manager”), is a Delaware limited liability company registered as a commodity pool operator (“CPO”) with the Commodity Futures Trading Commission (the “CFTC”) and is a member of the National Futures Association (the “NFA”). The Fund commenced operations on September 27, 2010, with its initial public offering. The Fund operates pursuant to a Second Amended and Restated Trust Agreement dated as of March 30, 2012 (the “Trust Agreement”). The Fund’s shares represent units of fractional undivided beneficial interest in, and ownership of, the Fund. The Fund’s shares trade on the NYSE MKT under the ticker symbol “CFD.” The Fund is not a mutual fund, a closed-end fund, or any other type of “investment company” within the meaning of the Investment Company Act of 1940, as amended (the “1940 Act”), and is not subject to regulation thereunder.

The Manager has selected its affiliate, Gresham Investment Management LLC (“Gresham LLC”), acting through its Near Term Active division (“Gresham NTA”), as the Fund’s commodity sub-adviser, which is referred to in this Annual Report in that capacity as “Gresham” or the “Commodity Sub-adviser.” Gresham LLC is a Delaware limited liability company, the successor to Gresham Investment Management, Inc., formed in July 1992. Gresham LLC is registered with the CFTC as a commodity trading adviser and a CPO, is a member of the NFA and is registered with the Securities and Exchange Commission (the “SEC”) as an investment adviser.

The Manager has selected its affiliate, Nuveen Asset Management, LLC (“Nuveen Asset Management” or the “Collateral Sub-adviser”), to manage the Fund’s collateral invested in cash equivalents, U.S. government securities and other short-term, high grade debt securities. Nuveen Asset Management is a Delaware limited liability company and is registered with the SEC as an investment adviser.

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

Proposed Conversion to Exchange-Traded Fund (“ETF”) Structure

On December 19, 2014, the Fund issued a press release announcing that the Manager had approved a plan to convert the Fund (the “Conversion”) into an open-ended ETF. On June 30, 2015, shareholders of the Fund approved amendments to the Fund’s Declaration of Trust that are necessary to complete the Conversion. To facilitate the Conversion, on July 9, 2015, the Fund filed a registration statement with the Securities and Exchange Commission (the “SEC”) to register common shares that may be issued from time to time after the Conversion. As of December 31, 2015 the Conversion remains subject to the receipt of certain regulatory approvals.

In connection with the Conversion, the Manager intends to implement a number of additional changes to the Fund that the Manager believes will better align a number of the Fund’s features with its newly-adopted ETF structure, including a reduction of the management fee, and changes to the Fund’s investment strategy, name and distribution policy. None of these expected changes have been finalized, and they remain subject to further revision by the Manager. In addition, following the Conversion, the Manager will continue to have the ability, without shareholder approval, to make subsequent changes to the operation of the Fund.

a new exchange rule pursuant to which the Fund’s shares will trade following the Conversion. The Fund has been working with the NYSE MKT, which has initiated the rule making process for the new rule, which will ultimately require approval by the SEC. There can be no assurance that such clearance will be obtained, or if obtained, that the Conversion will be completed in the anticipated time frame.

The Fund is not currently, and after the Conversion will not be, a mutual fund or any other type of investment company within the meaning of 1940 Act. Until the Conversion occurs, the Fund will continue to operate as currently structured.

Investment Objective and Investment Strategy

The Fund’s investment objective is to generate higher risk-adjusted total return than leading commodity market benchmarks. Risk-adjusted total return refers to the income and capital appreciation generated by a portfolio (the combination of which equals its total return) per unit of risk taken, with such risk measured by the volatility of the portfolio’s total returns over a specific period of time. In pursuing its investment objective, the Fund invests directly in a diversified portfolio of commodity futures, forward and options contracts to obtain broad exposure to all principal groups in the global commodity markets. The Fund’s investment strategy has three principal elements:

•

An actively managed portfolio of commodity futures and forward contracts utilizing Gresham’s proprietary Tangible Asset Program^®, or TAP^®, a long-only rules-based commodity investment strategy designed to maintain consistent, fully collateralized exposure to commodities as an asset class;

•

An integrated program of writing commodity call options designed to enhance the risk-adjusted total return of the Fund’s commodity investments (TAP^® and this options strategy are collectively referred to as TAP PLUS^SM); and

•

A collateral portfolio of cash equivalents, U.S. government securities and other short-term, high grade debt securities.

During temporary defensive periods or during adverse market circumstances, the Fund may deviate from its investment policies and objective.

Commodity Investments. The Fund invests substantially all of its assets in a diversified portfolio of commodity futures and forward contracts pursuant to TAP^®, an actively managed, fully collateralized, long-only, rules-based commodity investment strategy. TAP^® is designed to maintain consistent, fully collateralized exposure to commodities as an asset class. “Fully collateralized” means that the Fund maintains as collateral cash equivalents, U.S. government securities and other short-term, high grade debt securities in an aggregate amount corresponding to the full notional value of its commodity investments. “Long-only” means that all of the Fund’s commodity futures and forward contracts will be on a long basis, seeking to profit from potential increases in commodity prices, and the Fund will not short any commodity futures and forward contracts, seeking to profit from declines in commodity prices. “Rules-based” means that the Fund will manage its commodity investments consistent with TAP^® program rules which specify minimum liquidity requirements for commodity contract trading and other parameters such as eligible commodity contracts, contract term, commodity weightings and annual and interim rebalancing of individual commodities and the TAP portfolio.

The Fund makes commodity investments in the six principal commodity groups in the global commodities markets:

•

energy;

•

industrial metals;

•

agriculturals;

•

precious metals;

•

foods and fibers; and

•

livestock.

Except for certain limitations described herein, there are no restrictions or limitations on the specific commodity contracts in which the Fund may invest. The specific commodities in which the Fund invests, and the relative target weighting of those commodities, are determined annually by the Commodity Sub-adviser. The target weights are expected to remain unchanged until the next annual determination. The Fund’s portfolio concentration in any single commodity or commodity group will be limited in an attempt to moderate volatility. The Fund currently intends to limit the target weightings of each commodity group such that no group’s target weighting may constitute more than 35% of TAP^®, no group can be less than 7% of TAP^®, no two groups’ combined target weightings may constitute more than 60% of TAP^®, no single commodity’s target weighting may constitute more than 70% of its group and no commodity complex may constitute more than 80% of the commodity group’s weight (e.g., within the energy group, petroleum is considered to be the commodity complex for crude oil, heating oil and gasoline; therefore, the combination of those three individual commodities cannot comprise greater than 80% of the portfolio’s energy weight). Under normal market circumstances, the Commodity Sub-adviser avoids exercising discretion with respect to portfolio weights between annual determinations. However, the actual portfolio weights may vary during the year and may in certain circumstances be rebalanced subject to TAP^®’s rule-based procedures. The Commodity Sub-adviser may change the TAP^® rules at year end and as a result may change the commodities it invests in. For weightings as of December 31, 2015, see Item 7 of this Annual Report.

Gresham believes that the relative performance of strategies that invest in exchange-traded commodity futures and forward contracts may be enhanced through active implementation. Generally, the Fund expects to invest in short-term commodity futures and forward contracts with terms of one to three months, but may invest in commodity contracts with terms of up to six months. Gresham regularly purchases and subsequently sells, i.e. “rolls,” individual commodity futures and forward contracts throughout the year so as to maintain a fully invested position. As the commodity contracts near their expiration dates, Gresham rolls them over into new contracts. Gresham seeks to add value compared with leading commodity market benchmarks by actively managing the implementation of the rolls of the commodity contracts. As a result, the roll dates, terms and contract prices selected by Gresham may vary based upon Gresham’s judgment of the relative value of different contract terms. Gresham’s active management approach is market driven and opportunistic and is intended to minimize market impact and avoid market congestion during certain days of the trading month.

Because the nature of the Fund’s investments in commodity futures and forward contracts does not require significant outlays of principal, currently approximately 10 - 25% of the Fund’s net assets are committed to establishing those positions. In addition, the Fund expects that, if put options are purchased in the future, no more than 5% of the Fund’s net assets would be used to purchase commodity put options at any one time and that option premiums generated by the sale of call options on commodity futures and forward contracts would be sufficient to cover the premiums paid for those put options.

Most of the commodity futures and options contracts acquired to facilitate implementing the investment strategy are exchange listed and generally qualify as “Section 1256 Contracts” for tax purposes. Section 1256 Contracts held by the Fund at the end of a taxable year of the Fund will be treated for U.S. federal income tax purposes as if they were sold by the Fund at their fair market value on the last business day of the taxable year. The net gain or loss, if any, resulting from these deemed sales (known as “marking to market”), together with any gain or loss resulting from any actual sales of Section 1256 Contracts (or other termination of the Fund’s obligations under such contracts), must be taken into account by the Fund in computing its taxable income for the year. Capital gains and losses from Section 1256 Contracts generally are characterized as long-term capital gains or losses to the extent of 60% of the gains or losses and as short-term capital gains or losses to the extent of 40% of the gains or losses. Gains and losses from certain non-U.S. currency transactions, however, will be treated as ordinary income and losses unless certain conditions are met. Shareholders of the Fund will generally take into account their pro rata share of the long-term capital gains and losses and short-term capital gains and losses from Section 1256 Contracts held by the Fund.

Options Strategy. Pursuant to the options strategy, the Fund writes “out-of-the-money” call options on individual futures and forward contracts held by it, and may write “out-of-the-money” call options on baskets of commodities

or on broad-based commodity indices, such as the Bloomberg Commodity Index (“BCOM”, formerly the Dow Jones-UBS Commodity Index), whose prices are expected to closely correspond to at least a substantial portion of the commodity futures and forward contracts held by the Fund. A call option gives its owner (buyer) the right but not the obligation to buy the underlying futures contract at a particular price, known as the strike price, at any time between the purchase date and the expiration date of the option. The person who writes (sells) the option to the buyer is thus required to fulfill the contractual obligation (by selling the underlying futures contract to the buyer at the strike price) should the option be exercised. If the option is covered, the writer (seller) has an offsetting futures position. The Fund writes commodity call options that are U.S. exchange-traded and that are typically “American-style” (exercisable at any time prior to expiration). The Fund also writes commodity call options that are non-U.S. exchange traded and that are typically “European-style” (exercisable only at the time of expiration). The Fund may write commodity call options on a continual basis on up to approximately 50% of the notional value of each of its commodity futures and forward contract positions that, in Gresham’s determination, have sufficient option trading volume and liquidity. The Fund may write commodity call options with terms up to one year and with strike prices that may be up to 20% “out-of-the-money.” Generally, the Fund expects to write commodity call options with terms of one to three months. Subject to the foregoing limitations, the implementation of the options strategy is within Gresham’s discretion. Over extended periods of time, the term and “out of-the-moneyness” of the commodity options may vary significantly. While generating option premiums for the Fund, the call options will cause the Fund to forgo the right to any appreciation above the exercise price of the call options on the percentage of the notional value of the Fund’s long commodity positions covered by the call options. The Fund’s risk-adjusted return over any particular period may be positive or negative.

Collateral Investments. The Fund’s investments in commodity futures and forward contracts and options on commodity futures and forward contracts generally do not require significant outlays of principal. Currently, in the normal course of business, approximately 10 - 25% of the Fund’s net assets are committed as “initial” and “variation” margin to secure the Fund’s futures and forward contract positions. These assets are placed in one or more commodity futures accounts maintained by the Fund at the Fund’s clearing broker, and are invested in high-quality instruments permitted under CFTC regulations. The remaining collateral (approximately 75 - 90% of the Fund’s net assets) is held in a separate collateral investment account managed by the Collateral Sub-adviser.

The Fund’s assets held in this separate collateral account are invested in cash equivalents, U.S. government securities and other short-term, high grade debt securities with final terms not exceeding one year at the time of investment. These collateral investments (other than U.S. government securities) shall be rated at all times at the applicable highest short-term or long-term debt or deposit rating or money market fund rating as determined by at least one nationally recognized statistical rating organization (“NRSRO”) or, if unrated, judged by the Collateral Sub-adviser to be of comparable quality. These collateral investments consist primarily of direct and guaranteed obligations of the U.S. government and senior obligations of U.S. government agencies and may also include, among others, money market funds and bank money market accounts invested in U.S. government securities as well as repurchase agreements collateralized with U.S. government securities.

While the principal investment objective for the separate collateral account is the preservation of capital, the assets in the collateral account also provide the potential for returns that may supplement the returns from the Fund’s commodity investments. The assets in the separate collateral account may only be used for the purposes of making distributions to shareholders, payment of operating expenses, and to replenish the Fund’s margin account, if necessary (and if there are excess funds in the margin account, those will be transferred to the separate collateral account). No parties other than the Fund have any access to, rights to, or ability to control the assets in the collateral account, and those assets will not be pledged. The Fund may not pledge any of its assets, except to collateralize its investments in accordance with its investment objectives (i.e., for margin purposes), and only the assets maintained by the Fund with its clearing broker will be used for this purpose. Any declines in the value of the assets held in the Fund’s collateral account would negatively affect the net asset value of the Fund’s shares.

Management of the Fund

Trustee

Wilmington Trust Company (the “Delaware Trustee”), a Delaware trust company, is the resident Delaware trustee of the Fund. The Delaware Trustee is unaffiliated with the Manager. The Delaware Trustee’s duties with respect to the Fund’s management are limited to its express obligations under the Trust Agreement. In particular, the Delaware Trustee will accept service of legal process on the Fund in the State of Delaware and will make certain filings as required under the Delaware Statutory Trust Act, as amended (the “Delaware Statutory Trust Act”). The rights and duties of the Delaware Trustee, the Independent Committee (as defined below), the Manager and the shareholders are governed by the provisions of the Delaware Statutory Trust Act and by the Trust Agreement. Except for the limited duties described herein and in the Trust Agreement that are exercised by the Delaware Trustee and the Independent Committee, all duties and responsibilities to manage the business and affairs of the Fund are vested in the Manager, pursuant to the Trust Agreement and Delaware Statutory Trust Act.

Independent Committee

The Manager has established the independent committee, comprised of four members who are unaffiliated with the Manager (the “Independent Committee”), which fulfills the audit committee and nominating committee functions for the Fund, as well as any other functions required under the NYSE MKT listing standards or as set forth in the Trust Agreement. Each member of the Independent Committee receives an annual fee of $30,000, and each member of the Independent Committee also receives (a) a fee of $1,250 per meeting per fund for attendance in person or by telephone at a regularly scheduled quarterly meeting of the Independent Committee; and (b) a fee of $1,500 per meeting for attendance in person or by telephone at any special, non-regularly scheduled meeting of the Independent Committee. In addition to the payments described above, the Independent Committee chair receives an additional annual fee of $6,000. The Independent Committee members will also be compensated for out-of-pocket costs in connection with attending Independent Committee meetings. The fees of the Independent Committee members are paid by NCAM, which will be reimbursed for such fees on a pro rata basis by each fund managed by NCAM. NCAM currently manages two funds, the Fund and the Nuveen Long/Short Commodity Total Return Fund (“CTF”).

The Independent Committee does not have any duties (including fiduciary duties) or responsibilities to manage the Fund, all of which the Trust Agreement vests in the Manager, except those functions required under the listing standards of the NYSE MKT. Consequently, the Independent Committee does not have the wide-ranging duties and

powers similar to a board of directors of an investment company. The Trust Agreement provides that the members of the Independent Committee will be indemnified by the Fund against liabilities arising out of the performance of their duties pursuant to the Trust Agreement, except to the extent that any such liabilities result from actual fraud or willful misconduct by such member of the Independent Committee. The Fund also provides Directors’ and Officers’ Insurance coverage to the members of the Independent Committee. The Independent Committee has the authority to remove any member of the Independent Committee who either ceases to be an “independent director” pursuant to the NYSE MKT listing standards or is subject to statutory disqualification under Sections 8a(2) or 8a(3) of the Commodities Exchange Act (“CEA”). The Independent Committee may appoint new members of the Independent Committee in the event of any vacancy caused by death, resignation or removal.

Manager

NCAM is the manager of the Fund, and is responsible for determining the Fund’s overall investment strategy and overseeing its implementation, managing the Fund’s business affairs and providing certain legal, accounting and other administrative support.

The Manager is registered with the CFTC as a CPO (effective date of registration January 4, 2006) and is a member of the NFA. The Manager was previously registered as a CTA, but withdrew its CTA registration effective as of March 5, 2013. Except to the extent carried out by the Independent Committee, the Manager has

complete responsibility to ensure that the Fund complies with all obligations under the CEA. The Manager, Commodity Sub-adviser and Collateral Sub-adviser act in a similar capacity for CTF, a commodity pool traded on the NYSE MKT. Neither the Fund nor the Manager has established formal procedures to resolve potential conflicts of interest related to managing the investments and operations of the Fund.

The Manager may change, or temporarily deviate from, the Fund’s investment strategy and the manner in which the strategy is implemented if the Manager determines that it is in the best interests of Fund shareholders to do so based on existing market conditions or otherwise. For instance, the Manager could change or deviate from the Fund’s investment strategy or the manner in which it is implemented if, among other things, the commodity option markets experienced a lack of volatility or liquidity so that it was no longer in the best interest of the Fund and its shareholders for the Fund to employ the options strategy, or if other unforeseen circumstances arose that necessitated a change in the Fund’s strategy or its implementation. In addition, the Manager has the rights and obligations with respect to the Fund as described under the Trust Agreement. As permitted under Delaware law, the Trust Agreement provides that the Manager does not owe any duties (including fiduciary duties) to the Fund, other than the implied contractual covenant of good faith and fair dealing.

The Manager is a wholly-owned subsidiary of Nuveen Investments, a Delaware corporation. Founded in 1898, Nuveen Investments and its affiliates had approximately $225.7 billion of assets under management as of December 31, 2015. Nuveen Investments is a listed principal of the Manager.

Commodity Sub-adviser

The Manager has selected its affiliate, Gresham LLC, acting through its Gresham NTA division, to manage the Fund’s assets pursuant to TAP PLUS^SM. Gresham LLC is a Delaware limited liability company, the successor to Gresham Investment Management, Inc., formed in July 1992. Gresham LLC is registered with the CFTC as a CTA (effective date of registration August 17, 1994) and as a CPO (effective date of registration August 17, 1994) and is a member of the NFA. Gresham LLC also is registered with the SEC as an investment adviser since April 2005. As of December 31, 2015, Gresham LLC had approximately $7.9 billion of client assets under management. Gresham LLC’s senior management team has extensive experience in overall supervision of commodities portfolio management and trading operations. Gresham LLC’s sole business activity is to render commodity investment advisory services and manage assets on behalf of its clients and in doing so it administers several commodity investment programs.

Gresham LLC offers investment management services through two independent divisions, Gresham NTA and the Term Structure Monetization division (“Gresham TSM”). Gresham NTA and Gresham TSM operate independently of each other under the independent account controller exemption under CFTC Regulation 150.3(a). Each division implements independent trading decisions and positions and is restricted from having access to, or knowledge of, the other division’s trading decisions and positions, and is physically and technologically separated from the other division. See “Item 1A. Risk Factors—Commodity Investment Strategy Risks” for further discussion.

Collateral Sub-adviser

The Manager has selected its affiliate, Nuveen Asset Management, to invest the Fund’s collateral (excluding the initial and variation margin maintained at the Fund’s clearing broker). Nuveen Asset Management is a Delaware limited liability company and is registered with the SEC as an investment adviser. As of December 31, 2015, Nuveen Asset Management had approximately $142.2 billion of assets under management. The Fund’s collateral is invested in cash equivalents, U.S. government securities and other short-term, high grade debt securities, including corporate obligations. Such securities are common investments for Nuveen Asset Management in several of its investment strategies.

Management Fees

For the services and facilities provided by the Manager, the Fund pays the Manager an annual fee based on the Fund’s average daily net assets, payable on a monthly basis, according to the following schedule:


Average Daily Net Assets	Management Fee
For the first $500 million		1.250	%
For the next $500 million		1.225
For the next $500 million		1.200
For the next $500 million		1.175
For net assets over $2 billion		1.150

Pursuant to an agreement among the Manager, the Fund and the Commodity Sub-adviser, the Commodity Sub-adviser receives from the Manager an annual fee of .35% of the Fund’s average daily net assets, payable on a monthly basis.

Pursuant to an agreement among the Manager, the Fund and the Collateral Sub-adviser, the Collateral Sub-adviser receives from the Manager an annual fee based on the Fund’s average daily net assets, payable on a monthly basis, according to the following schedule:


Average Daily Net Assets	Management Fee
For the first $500 million		.3000	%
For the next $500 million		.2875
For the next $500 million		.2750
For the next $500 million		.2625
For net assets over $2 billion		.2500

“Average daily net assets” means the total assets of the Fund, minus the sum of its total liabilities.

The fees of the Commodity Sub-adviser and Collateral Sub-adviser (collectively, the “Sub-advisers”) are paid by the Manager out of the fees the Manager receives from the Fund, and the Fund does not reimburse the Manager for those fees.

In addition to the fee of the Manager, the Fund pays all other costs and expenses of its operations, including, but not limited to, custody fees, transfer agent expenses, legal fees, expenses of independent auditors, expenses of preparing, printing and distributing shareholder reports, notices, proxy statements and reports to governmental agencies, and taxes, if any.

The agreements with each of the Sub-advisers may be terminated at any time, without penalty, by either the Manager or a Sub-adviser upon 120 days written notice. Also, the agreement with the Commodity Sub-adviser can be terminated by the Commodity Sub-adviser in certain circumstances on 90 days notice. Each of the agreements provides that each of the Sub-advisers will not be liable to the Fund in connection with the performance of its duties, and the Fund will indemnify the Sub-adviser for losses and costs arising out of its status as a Sub-adviser to the Fund if the Sub-adviser acted in good faith and in a manner it reasonably believed to be in, or not opposed to, the best interests of the Fund, except, in each case, for a loss resulting from the Sub-adviser’s willful misfeasance, bad faith or gross negligence or reckless disregard of its duties and obligations under the agreement. The Sub-advisers will indemnify the Fund and the Manager for losses and costs attributable to such willful misfeasance, bad faith, gross negligence or reckless disregard.

None of the foregoing agreements, or any extensions or replacements of such agreements, are subject to the approval of the Independent Committee or the Fund’s shareholders. As a result, the Manager may amend, extend or replace any such agreement in its sole discretion, and therefore may increase the fees of the Manager and any Sub-Adviser without any approval by the Independent Committee or the Fund’s shareholders.

Employees

The Fund has no employees.

Available Information

The Fund files with or submits to the SEC annual and quarterly reports and other information meeting the information requirements pursuant to Section 13(a) and 15(d) of the Securities Exchange Act of 1934 (the “Exchange Act”). These reports are available on the Fund’s website at http://www.nuveen.com/CommodityInvestments. Investors may also inspect and copy any materials the Fund files with the SEC at the SEC’s Public Reference Room at 100 F Street, NE, Washington, D.C. 20549. Investors may obtain information on the operation of the Public Reference Room by calling the SEC at 1-800-SEC-0330. In addition, the SEC maintains a website (http://www.sec.gov) which contains reports, proxy statements and other information filed electronically with the SEC. The Fund also posts on its website an information statement and certain daily and monthly reports required by CFTC regulations, all of which may contain information, including performance information of the Fund and the Commodity Sub-adviser, that is disclosed only through such website posting.

Item 1A. Risk Factors

An investment in the Fund involves a high degree of risk. Investors should be aware of the various risks, including those described below. Investors should consider carefully the risks described below before making an investment decision. Investors should also refer to the other information included in this Annual Report, including the Fund’s financial statements and the related notes and the Fund’s other filings with the SEC. Additional risks and uncertainties not presently known by the Fund or not presently deemed material by the Fund may also impair the Fund’s operations and performance. If any of the following events occur, the Fund’s performance could be materially and adversely affected. In such case, the Fund’s net asset value and the trading price of the Fund’s shares may decline and you may lose all or part of your investment.

An investment in the Fund involves a high degree of risk. You should not invest in shares unless you can afford to lose all of your investment.

Commodity Investment Strategy Risks

You may lose all of your investment. An investment in the Fund’s shares is subject to investment risk, including the possible loss of the entire amount that you invest. An investment in the Fund’s shares represents an indirect investment in the commodity futures and forward contracts owned by the Fund, the prices of which can be volatile, particularly over short-term periods. Investments in individual commodity futures and forward contracts and options on futures contracts and forward contracts historically have had a high degree of price variability and may be subject to rapid and substantial price changes. These price changes may be magnified by computer-driven algorithmic trading, which is becoming more prevalent in the commodities markets. The Fund could incur significant losses on its investments in those commodity futures and forward contracts. If the Fund experiences greater losses than gains during the period you hold shares, you will experience a loss for the period even if the Fund’s historical performance is positive. The Fund’s returns over any particular period may be positive or negative.

Commodities have high levels of volatility and unpredictability. Movements in commodity prices are outside of the Fund’s control, are extremely difficult to predict and may not be anticipated by the Commodity Sub-adviser. Price movements may be influenced by, among other things:

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governmental, agricultural, trade, fiscal, monetary and exchange control programs and policies;

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weather and climate conditions;

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changing supply and demand relationships;

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changes in international balances of payments and trade;

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U.S. and international rates of inflation and economic growth;

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currency fluctuations;

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geopolitical events;

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changes in interest and foreign currency/exchange rates;

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market liquidity; and

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changes in philosophies and emotions of market participants.

The commodity markets have experienced periods of extreme volatility. General market uncertainty and consequent repricing risk have led to market imbalances of sellers and buyers, which in turn have resulted in significant reductions in values of a variety of commodities. Similar future market conditions may result in rapid and substantial swings in the valuation of the Fund’s holdings.

The changing interests of investors, hedgers and speculators in the commodity markets may influence whether futures prices are above or below the expected future spot price. In order to induce investors or speculators to take the corresponding long side of a futures contract, commodity producers must be willing to sell futures contracts at prices that are below the present value of expected future spot prices. Conversely, if the predominant participants in the futures market are the ultimate purchasers of the underlying commodity futures contracts in order to hedge against a rise in prices, then speculators would normally take the short side of the futures contract if the futures price is greater than the present value of the expected future spot price of the commodity. This can have significant implications for the Fund when it is time to reinvest the proceeds from a maturing futures contract into a new futures contract. If the interests of investors, hedgers and speculators in futures markets have shifted such that commodity purchasers are the predominant participants in the market, the Fund will be constrained to reinvest at higher futures prices which could have a negative effect on the Fund’s returns. Conversely, if commodity sellers are the predominant participants in the market, the Fund will be constrained to reinvest at lower prices which could have a negative effect on the Fund’s returns and may cause it to suffer losses on its long positions.

Investing in commodity futures contracts in the energy sector may present more risks than if the Fund had no exposure to such contracts. A downturn in the energy sector could have a larger impact on the Fund than on a fund that does not invest in the energy sector. At times, the performance of commodity contracts in the energy sector may lag the performance of other sectors or the broader market as a whole. In addition, there are several specific risks associated with investments in the energy sector, including commodity price risk, depletion risk (i.e., the depletion of reserves), supply and demand risk, regulatory risk, acquisition risk, weather risk and catastrophic event risk.

During a period when commodity prices are fairly stable, the absence of “backwardation” in the prices of commodity futures contracts held by the Fund may cause the price of your shares to decrease. As the futures contracts held by the Fund near expiration, they are replaced by contracts that have a later expiration. For example, a contract purchased and held in March 2016 may have an expiration date in June 2016. As this contract nears expiration, a long position in the contract may be replaced by selling the June 2016 contract and purchasing a contract expiring in September 2016. This process is known as “rolling.” Historically, the prices of some futures contracts (generally those relating to commodities such as crude oil, heating oil and sugar, that are typically consumed immediately rather than stored) have often been higher for contracts with near-term expirations than for contracts with longer-term expirations. This circumstance is referred to as “backwardation.” Absent other factors, in these circumstances, the sale of a long position in the June 2016 contract would be made at a higher price than the purchase of the September 2016 contract, thereby allowing the Fund to purchase a greater quantity of the September 2016 contract. Because the Fund’s strategy is based in part on taking advantage

of such “backwardation” situations, the absence of “backwardation” in certain commodities in which the Fund is long could adversely affect the value of the Fund’s portfolio and consequently decrease the value of your shares. Generally, in “backwardation”, market roll yields are positive.

Investments in futures contracts will expose the Fund to the risk of temporary aberrations or distortions in the commodity markets. The Fund is subject to the risk that temporary aberrations or distortions in the markets caused by certain events such as war, strikes, geopolitical events and natural disasters will occur that impact commodity prices and negatively impact the value of the Fund’s positions, thereby adversely affecting the value of your shares.

Because futures contracts have no intrinsic value, the positive performance of your investment is wholly dependent upon an equal and offsetting loss. Futures trading is a risk transfer economic activity. For every gain there is an equal and offsetting loss rather than an opportunity to participate over time in general economic growth. An investment in shares of the Fund does not involve acquiring any asset with intrinsic value. Overall stock and bond prices could rise significantly and the economy as a whole may prosper while shares of the Fund trade unprofitably.

Regulatory developments could significantly and adversely affect the Fund. Commodity markets are subject to comprehensive statutes and regulations promulgated not only by the CFTC but also by self-regulatory organizations such as the NFA. Among other things, the CFTC and the exchanges on which futures contracts are traded are authorized to take extraordinary actions in the event of a market emergency, including, for example, the retroactive implementation of speculative position limits or higher margin requirements, the establishment of daily limits and the suspension of trading. Any of these actions, if taken, could adversely affect the returns of the Fund by limiting or precluding investment decisions the Fund might otherwise make. The regulation of commodity transactions in the U.S. is a rapidly changing area of law and is subject to ongoing modification by government, self-regulatory and judicial action. In addition, various national governments have expressed concern regarding the disruptive effects of speculative trading in the currency markets and the need to regulate the derivatives markets in general. The effect of any future regulatory change on the Fund is impossible to predict, but could be substantial and adverse to the Fund.

Daily trading limits imposed by the exchanges and position limits established by the CFTC may adversely affect the Fund. The CFTC and U.S. commodities exchanges limit the amount of fluctuation permitted in futures contract prices during a single trading day by regulations referred to as “daily price fluctuation limits” or “daily trading limits.” Once the daily trading limit has been reached in a particular futures contract, no trades may be made that day at a price beyond that limit or trading may be suspended for specified periods during the trading day. Futures contract prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially disguising substantial losses the Fund may ultimately incur.

Separately, the CFTC and the U.S. commodities exchanges and certain non-U.S. exchanges have established limits referred to as “speculative position limits” or “accountability levels” on the maximum net long or short futures positions that any person, including the Fund, may hold or control in contracts traded on such exchanges. In October 2011, the CFTC adopted final regulations pursuant to the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 (the “Dodd-Frank Act”) that would have imposed new position limits on 28 individual agricultural, metal and energy commodity futures and options contracts and on swaps that are economically equivalent to such contracts in order to prevent excessive speculation and manipulation in the commodity markets. On September 28, 2012, the U.S. District Court for the District of Columbia vacated the new position limit regulations and remanded the matter to the CFTC for further consideration consistent with the court’s opinion. The CFTC originally appealed the court’s decision, but in November 2013, the CFTC withdrew its appeal and re-proposed position limit regulations substantially as outlined above, with a few modifications. In addition, the CFTC proposed regulations that would expand certain exemptions from aggregation of accounts of related parties for these purposes. The initial public comment period for these proposed regulations closed on

February 10, 2014. However, since that date, the CFTC has reopened the public comment period several times and has held public meetings to discuss certain position limit and aggregation issues. It remains to be seen whether the CFTC will modify the proposed regulations in response to public comments.

The CFTC’s existing position limit regulations require that a trader aggregate all positions in accounts over which the trader controls trading. However, a trader is not required to aggregate positions in multiple accounts or commodity pools if such trader (or its applicable divisions/subsidiaries) qualifies as an “independent account controller” under applicable CFTC regulations and avails itself of the independent account controller exemption under such regulations. In February 2013, Gresham NTA began operating under the independent account controller exemption such that Gresham NTA is not required to aggregate its positions with Gresham’s other division. The re-proposed regulations would maintain the independent account controller exemption. However, if the CFTC does not adopt or renew the independent account controller exemption, or if the exemption were modified or otherwise unavailable, Gresham NTA would be required to aggregate its positions with Gresham LLC’s other division for purposes of the CFTC’s position limits regulations. In that case, it is possible that investment decisions of the Commodity Sub-adviser would be modified and that positions held by the Fund would have to be liquidated to avoid exceeding such position limits, potentially resulting in substantial losses to the Fund and the value of your investment. In addition, failure to comply with the requirements of the independent account controller exemption could lead to an enforcement proceeding against Gresham LLC and could adversely affect the Fund.

Generally, current speculative position limits in the physical delivery markets are set at a stricter level during the spot month (that is, the month when the futures contract matures and becomes deliverable) versus the limits set for all other months. If the Manager determines that the Fund’s trading may be approaching any of these speculative position limits, the Fund may reduce its trading in that commodity or trade in other commodities.

The re-proposed regulations are extremely complex and, if ultimately implemented, whether in their current proposed form or an alternative form, may require further guidance and interpretation by the CFTC to determine in all respects how they apply to the Fund. Current or potential future position limits regulations could negatively impact the full implementation of the Fund’s investment strategy, including the Fund’s ability to reinvest in additional futures contracts and options on futures contracts and forward contracts.

Any deflation or unanticipated changes in inflation may negatively affect the expected future spot price of underlying commodities. Deflation or unanticipated changes in the rate of inflation may result in changes in the future spot price of the underlying commodities to which the Fund’s investments in futures contracts relate, which could negatively affect the Fund’s profitability and result in potential losses. In addition, reduced economic growth may lead to reduced demand for the underlying commodities and put downward pressure on future spot prices, adversely affecting the Fund’s operations and profitability.

Options Strategy Risks

There can be no assurance that the Fund’s options strategy will be successful. The Fund uses options on commodity futures and forward contracts to seek to enhance the Fund’s risk-adjusted total returns. The Fund’s use of options, however, may not provide any, or only partial, protection from adverse commodity price changes. In the event the Conversion occurs, the Fund will no longer employ an option writing strategy.

Specific price movements of the commodities or futures contracts underlying an option cannot be accurately predicted. There may be imperfect correlation between the changes in the market value of the futures contracts and the corresponding options contracts held by the Fund. Accordingly, the return performance of the Fund’s commodity futures and forward contracts may not parallel the performance of the commodities or indices that serve as the basis for the options bought or sold by the Fund; this basis risk may reduce the Fund’s overall returns. Investing in options is volatile and requires an accurate assessment of the market and the underlying instrument. Factors such as increased or reduced volatility, limited dollar value traded and timing of placing and

executing orders may preclude the Fund from achieving the desired results of the options strategy and could affect the Fund’s ability to generate income and gains and limit losses. Because of the volatile nature of the commodities markets, writing (selling) commodity options involves a high degree of risk.

The Fund may forego gains (i.e., capital appreciation) above the option exercise price on up to approximately 50% of its commodity futures and forward contracts as a result of selling “out-of-the-money” commodity call options. The Fund writes commodity call options with terms up to one year that may be up to 20% “out-of-the-money” on a continual basis on up to approximately 50% of the notional value of each of its commodity futures and forward contract positions that, in Gresham’s determination, have sufficient option trading volume and liquidity. As the writer of a call option, the Fund sells, in exchange for receipt of a premium, the right to any appreciation in the value of the futures or forward contract over a fixed price on or before a certain date in the future. Accordingly, the Fund is effectively limiting its potential for appreciation to the amount the option is “out-of-the-money” during the option term on up to approximately 50% of the notional value of its portfolio invested in commodity futures and forward contract positions. As commodity prices change, an option that was out-of-the-money when written may subsequently become “in-the-money,” limiting the Fund’s participation in gains related to the underlying futures contract.

The Fund may incur put premium costs without benefiting from its investment in commodity put options. The Fund does not currently intend to purchase put options and therefore will not incur put premium costs. In the future, however, the Fund may purchase commodity put options on all or substantially all of the notional value of its commodity futures and forward contract positions. As a holder of a put option, the Fund, in exchange for payment of a premium, has the right to receive from the seller of the commodity put option, if the current price is lower than the exercise price, the difference between the put exercise price and the current price of the underlying commodity futures or forward contract on or before a specified date (in the case of “American-style” options, on or before the expiration date or, in the case of “European-style” options, at the expiration date). If the price of the commodity futures or forward contract is greater than the exercise price of the put option upon expiration, then the Fund will have incurred the cost of the option but not have received any benefit from its purchase. In addition, because the Fund generally will purchase commodity put options that are substantially out-of-the-money, the Fund will not be protected against, and will bear the loss associated with, a market decline down to the exercise price of the option.

Risks Related to an Exchange Listing

NYSE MKT may halt trading in the shares which would adversely impact your ability to sell shares. The Fund’s shares are currently listed for trading on the NYSE MKT under the ticker symbol “CFD.” Trading in shares may be halted due to market conditions or, in light of the NYSE MKT rules and procedures, for reasons that, in the view of the NYSE MKT, make trading in shares inadvisable. In addition, trading is subject to trading halts caused by extraordinary market volatility pursuant to “circuit breaker” rules that require trading to be halted for a specified period based on a specified market decline. There can be no assurance that the requirements necessary to maintain the listing of the shares will continue to be met or will remain unchanged. If you buy or sell shares in the secondary market, you will incur customary brokerage commissions and charges and may pay some or all of the spread between the bid and the offered price in the secondary market on each leg of a roundtrip (purchase and sale) transaction. In times of severe market disruption or low trading volume in the Fund’s shares, this spread can increase significantly.

The lack of an active trading market for shares may result in losses on your investment at the time of disposition of your shares. There can be no guarantee that an active trading market for the shares will be maintained. If you need to sell your shares at a time when no active market for them exists, the price you receive for your shares, assuming that you are able to sell them, likely will be lower than that you would receive if an active market did exist.

Commodity Sub-adviser Risks

Past performance is no assurance of future results. The Fund’s performance to date is due in part to the proprietary commodity investment methodology employed by Gresham. Gresham bases its investment decisions on three inputs: (i) systematic calculations of the values of global commodity production; (ii) total U.S. dollar trading volume on commodity futures and forwards exchanges; and (iii) global import/export trade values. Although the Manager does not anticipate a change in the Commodity Sub-adviser, any subsequent commodity sub-advisor to the Fund may employ a different commodity investment methodology than Gresham. Gresham’s proprietary methodology does not take into account unanticipated world events that may cause losses to the Fund. In any event, past performance does not assure future results.

Descriptions of the Commodity Sub-adviser’s strategies may not be applicable in the future. The Commodity Sub-adviser may make material changes to the investment strategy it uses in investing the Fund’s assets with the consent of the Manager, who has the sole authority to authorize any material changes. If this happens, the descriptions in this document would no longer be accurate or useful. You will be informed of any changes to the Commodity Sub-adviser’s strategy that the Manager deems to be material; however, you may not be notified until after a change occurs. Non-material changes may be made by the Commodity Sub-adviser without the Manager’s consent. Such potential changes may nevertheless affect the Fund’s performance. The Manager currently intends to make certain changes in strategy if the proposed Conversion of the Fund is approved and implemented. See “Regulatory and Operating Risks —The Conversion of the Fund may not occur.”

Speculative position limits and daily trading limits may reduce profitability and result in substantial losses. All accounts owned or managed by a commodity trading advisor, such as the Commodity Sub-adviser, its principals and its affiliates are typically combined for speculative position limit purposes unless an exemption from aggregation is available.

It is possible that the Commodity Sub-adviser will approach or reach position limits for accounts managed within the Gresham NTA division, irrespective of the independent account controller exemption. If so, the Commodity Sub-adviser may have a conflict of interest with respect to allocating limited positions among various accounts it manages. Further, the investment decisions of the Commodity Sub-adviser may be modified to avoid exceeding regulatory “position limits,” potentially subjecting the Fund to substantial losses and forcing the Fund to forego certain opportunities. The Commodity Sub-adviser may have to reduce the size of positions that would otherwise be taken for the Fund, liquidate commodity futures contracts at disadvantageous times or prices, or not trade in certain markets on behalf of the Fund in order to avoid exceeding such limits.

Modification of trades that would otherwise be made by the Fund, if required, could adversely affect the Fund’s operations as well as profitability. In addition, a violation of speculative position limits by the Commodity Sub-adviser could lead to regulatory or self-regulatory action resulting in mandatory liquidation of certain positions held by the Commodity Sub-adviser on behalf of its accounts. There can be no assurance that the Commodity Sub-adviser will liquidate positions held on behalf of all the Commodity Sub-adviser’s accounts, including the Commodity Sub-adviser’s own accounts, in a proportionate manner. In the event the Commodity Sub-adviser chooses to liquidate a disproportionate number of positions held on behalf of the Fund at unfavorable prices, the Fund may incur substantial losses.

Risk that the Fund’s Shares May Trade at a Discount to Net Asset Value

There is a risk that the Fund’s shares may trade at prices other than the Fund’s net asset value per share. It is anticipated that the shares will trade in the secondary market at prices that may differ to varying degrees from the net asset value of the shares. The net asset value of each share will change as fluctuations occur in the market value of the Fund’s portfolio. Investors should be aware that the public trading price of a share may be different from the net asset value of a share and that shares may trade at a discount from their net asset value (which could be significant). The price difference may be due to the fact that supply and demand forces at work in the secondary trading market for shares are not necessarily the same as the forces influencing the prices of the commodity futures contracts and other instruments held by the Fund at any point in time.

Other Risks of the Fund’s Investment Strategy

The Fund may engage in frequent trading of its portfolio investments, or “Portfolio Turnover”. A portfolio turnover rate of 200%, for example, is equivalent to the Fund buying and selling all of its component instruments two times during the course of a year. A high portfolio turnover rate could result in high brokerage costs for the Fund. The Fund’s investment strategy of frequently rolling futures contracts will cause it to have a much higher portfolio turnover rate.

An investment in the Fund may not necessarily diversify an investor’s overall portfolio and may exacerbate losses. The investment performance of commodities has shown little long-term historical correlation to the performance of other asset classes such as U.S. equities and U.S. bonds. Little correlation means that there is a low statistical relationship between the performance of commodity investments, on the one hand, and U.S. equities and U.S. bonds, on the other hand. Because there is little long-term historical correlation, the Fund cannot be expected to be automatically profitable during unfavorable periods in the stock or bond markets, or vice versa. If, during a particular period of time, the Fund’s performance moves in the same general direction as the other financial markets or the Fund does not perform successfully relative to overall commodity markets, you may obtain little or no diversification benefits during that period from an investment in the Fund’s shares. In such a case, the Fund may have no gains to offset your losses from such other investments, your losses therefore may be exacerbated as you may suffer losses on your investment in the Fund at the same time as losses on your other investments increase.

There may be a loss on investments in short-term debt securities. When the Fund purchases a futures contract, the Fund is required to deposit with its futures commission merchant only a portion of the value of the contract. This deposit is known as “initial margin.” If and when the market moves against the position, the Fund is required to make additional deposits known as “variation margin.” The Fund invests its assets, other than the amount of margin required to be maintained by the Fund, in cash equivalents, U.S. government securities and other short-term, high grade debt securities. The value of debt securities generally moves inversely with movements in interest rates (declining as interest rates rise). The value of debt securities might also decline if the credit quality of the issuer deteriorates, or if the issuer defaults on its obligations. If the Fund is required to sell short-term debt securities before they mature when the value of the securities has declined, the Fund will realize a loss. This loss may adversely impact the price of the Fund’s shares.

Daily disclosure of portfolio holdings could allow replication of the Fund’s portfolio and could have a negative effect on the Fund’s holdings. Because the Fund’s total portfolio holdings are disclosed on a daily basis, other investors may attempt to replicate the Fund’s portfolio or otherwise use the information in a manner that could have a negative effect on the Fund’s individual portfolio holdings and the Fund’s portfolio as a whole.

Continuing effects of financial crisis. The financial crisis in the U.S. and global economies (including the European sovereign debt crisis) has resulted, and may continue to result, in an unusually high degree of volatility in the financial markets, both domestic and foreign. Liquidity in some markets has decreased and credit has become scarcer worldwide. Regulatory changes, including the Dodd-Frank Act and the introduction of new international capital and liquidity requirements under Basel III, may cause lending activity within the financial services sector to be constrained for several years as Basel III rules phase in and rules and regulations are promulgated and interpreted under the Dodd-Frank Act. In response to the crisis, the U.S. and other governments and the Federal Reserve and certain foreign central banks have taken steps to support financial markets. Withdrawal of this support (even when anticipated and done gradually), failure of efforts in response to the crisis, or investor perception that such efforts are not succeeding, could adversely impact the value and liquidity of certain securities and futures contracts.

In addition, since 2010, the risks of investing in certain foreign government debt have increased dramatically as a result of the European debt crisis, which began in Greece and spread to various other European countries. These debt crises and the ongoing efforts of governments around the world to address these debt crises have also

resulted in increased volatility and uncertainty in the global financial markets. It is impossible to predict the effects of these or similar events in the future on the Fund, though it is possible that these or similar events could have a significant adverse impact on the value and risk of securities and commodities held by the Fund.

In addition, global economies and financial markets are becoming increasingly interconnected, which increases the possibilities that conditions in one country or region might adversely impact securities and commodities in a different country or region.

Risk of Investing in Non-U.S. Markets

Investing in non-U.S. markets will expose the Fund to additional credit and regulatory risk. The Fund may invest in commodity futures and forward contracts and options on commodity futures and forward contracts in non-U.S. markets. Some non-U.S. markets present risks because they are not subject to the same degree of regulation as their U.S. counterparts. None of the SEC, CFTC, NFA or any domestic exchange regulate activities of any foreign boards of trade or exchanges, including the execution, delivery and clearing of transactions, nor do they have the power to compel enforcement of the rules of a foreign board of trade or exchange or of any applicable non-U.S. laws or regulations. Similarly, the rights of market participants, such as the Fund, in the event of the insolvency or bankruptcy of a non-U.S. exchange or broker are also likely to be more limited than in the case of U.S. exchanges or brokers. As a result, in these markets, the Fund would have less legal and regulatory protection than it does when it invests domestically. Investing through non-U.S. exchanges is subject to the risks presented by exchange controls, expropriation, increased tax burdens and exposure to local economic declines and political instability. An adverse development with respect to any of these variables could reduce the profit or increase the loss on investments of the Fund in the affected international markets.

Regulatory and Operating Risks

The shares are not federally insured. The shares do not represent a deposit or obligation of, and are not guaranteed or endorsed by, any bank or other insured depository institution, and are not federally insured by the Federal Deposit Insurance Corporation, the Federal Reserve Board or any other governmental agency.

The Conversion of the Fund may not occur. On December 19, 2014, the Fund issued a press release announcing that the Manager had approved a plan to convert the Fund into an open-end ETF. The purpose of the Conversion is to seek a closer alignment between the Fund’s share price and net asset value. On June 30, 2015, at the 2015 annual meeting of shareholders of the Fund, shareholders approved a proposal for the approval and adoption of a third amendment and restatement of the current Second Amended and Restated Trust Agreement of the Fund, which will allow the Fund to effect the Conversion. The Conversion will only become effective upon receiving necessary regulatory clearance, including the adoption of a new exchange rule pursuant to which the Fund’s shares will trade following the Conversion. There can be no assurance as to when, or if, the Conversion actually will occur, and if it does occur, that it will achieve its stated purpose. In the event the Conversion does not occur, the Fund’s market price may fall, irrespective of the Fund’s performance.

The Fund is not a regulated investment company. Unlike certain other Nuveen Investments-sponsored funds, the Fund is not, and after the planned Conversion will not be, a mutual fund, a closed-end fund, or any other type of investment company within the meaning of the 1940 Act. Accordingly, you do not have the protections afforded by that statute which, among other things, regulates the relationship between the investment company and its investment adviser and mandates certain authority to be held by the board of directors of an investment company.

The value of the Fund’s shares could decrease if the Fund’s trading methodologies fail to produce the desired results or unanticipated operational or trading problems occur. There may be unanticipated problems or issues with respect to the trading and operational procedures of the Fund that could have a material adverse effect on an investment in the shares. In addition, there can be no assurance that the trading methodologies employed by the Fund will deliver the desired results.

Conflicts of interest could adversely affect the Fund. There are conflicts of interest in the structure and operation of the Fund. The Manager has sole authority to manage the Fund, and its interests may conflict with those of Fund shareholders. For example, the Manager’s fees are based on the Fund’s net assets, which could provide an incentive for the Manager to reduce or suspend distributions (if any) by the Fund. In addition, the Collateral Sub-adviser and Commodity Sub-adviser are affiliates of the Manager. Each Sub-adviser may encounter conflicts between the interests of the Fund and its other clients. Further, a conflict of interest may also arise when the Commodity Sub-adviser approaches or reaches position limits with respect to futures positions established for the benefit of the Fund and fails to allocate limited contracts available among other accounts it manages or, alternatively, liquidates positions held by other accounts in a disproportionate manner. Although the Fund, the Manager and the Sub-advisers have not established formal procedures to resolve potential conflicts of interest related to managing the investments and operations of the Fund, the Manager and the Sub-advisers have adopted codes of ethics in recognition of their fiduciary obligations to clients, including the Fund, and in accordance with applicable securities and commodities laws and regulations. Each of the Manager and the Sub-advisers resolve conflicts of interest as they arise based on its judgment and analysis of the particular conflict. The Manager and the Sub-advisers seek to resolve all potential conflicts in a manner that is fair and equitable to the Fund and its shareholders over time. However, it is possible that the Manager and/or the Sub-advisers could resolve a potential conflict in a manner that is not in the best interest of the Fund or its shareholders.

Departure of key personnel could adversely affect the Fund. In managing and directing the Fund’s activities and affairs, the Manager relies heavily on Gresham LLC, which has a relatively small number of personnel. If any of Jonathan S. Spencer, President and Chief Investment Officer of Gresham LLC, or Susan Wager and Randy Migdal, the Fund’s portfolio managers, were to leave Gresham LLC or be unable to carry out their present responsibilities, it could have an adverse effect on the Fund’s management. In addition, should market conditions deteriorate or for other reasons, Nuveen Investments, the Manager, the Collateral Sub-adviser and the Commodity Sub-adviser may need to implement cost reductions in the future which could make the retention of qualified and experienced personnel more difficult and could lead to personnel turnover.

Shareholders have limited voting rights, and the Independent Committee has certain limited duties and powers, and neither will be able to affect management of the Fund regardless of performance. Unlike the holder of capital stock in an investment company, Fund shareholders have limited voting rights or other means to control or affect the Fund’s business. The Fund also does not have a board with the ability to control the management and operation of the Fund that would be typical of a board of directors of a corporation. In addition, the powers and duties of the Independent Committee are very limited with respect to the Fund. The Independent Committee’s sole powers are (i) to terminate for cause the Manager of the Fund (which, under the Trust Agreement, will automatically cause the Fund to terminate and be liquidated if at the time there is not a remaining Manager and shareholders have not voted to elect a replacement Manager), and (ii) to serve the audit committee and nominating committee functions of the Fund. The Independent Committee, unlike the board of directors of an investment company, does not have the power to cause the Fund to change its investment objective or policies, effect changes to operations, approve the advisory fees of the Manager or replace the Manager or Sub-advisers. Rather, the power to determine the Fund’s policies and direct its operations is conferred on the Manager. Thus, Fund shareholders do not benefit from the protection of their interests afforded to registered investment companies under the 1940 Act through the existence of an independent board of directors with extensive powers to control the operations of the company. Therefore, shareholders to a large extent are dependent on the abilities, judgment and good faith of the Manager in exercising its wide-ranging powers over the Fund, limited solely by the implied covenant of good faith and fair dealing applicable to the Manager in its relations with the Fund and its shareholders.

If the Manager voluntarily withdraws or is removed by a vote of shareholders and shareholders have not voted to elect a replacement Manager, the Fund will terminate and will liquidate its assets pursuant to the Trust Agreement. The Manager may not be removed by Fund shareholders except upon approval by the affirmative vote of the holders of over 50% of the outstanding shares (excluding shares owned by the Manager and its affiliates), subject to the satisfaction of certain conditions. Any removal of the Manager by Fund shareholders or

by the Independent Committee (upon 60 days written notice and under certain limited circumstances) will result in the liquidation of the Fund if at the time there is not a remaining manager unless a successor manager is appointed as provided in the Trust Agreement. Thus, it is extremely unlikely that Fund shareholders will be able to make any changes in the management of the Fund, even if performance is poor.

Fees and expenses are charged regardless of Fund performance and may result in depletion of assets. Regardless of its investment performance, the Fund pays brokerage commissions, over-the-counter dealer spreads, management fees and operating and extraordinary expenses. A management fee will be paid by the Fund even if the Fund experiences a net loss for the year. Consequently, the expenses of the Fund could, over time, result in significant losses to your investment therein, including the loss of all of your investment. You may not achieve profits, significant or otherwise.

The value of the shares may be adversely affected if the Fund is required to indemnify the members of the Independent Committee or the Manager. Under the Trust Agreement, each of the members of the Independent Committee and the Manager has the right to be indemnified for any liability or expense it incurs absent actual fraud or willful misconduct. That means that the Manager may require the assets of the Fund to be sold in order to cover losses or liability suffered by it or by the members of the Independent Committee. Any sale of that kind would reduce the net asset value of the Fund and the value of the shares.

The failure of a clearing broker to comply with financial responsibility and customer segregation rules and/or the bankruptcy of one of the Fund’s clearing brokers could result in a total loss of Fund assets. Under current CFTC regulations, a clearing broker maintains customers’ assets in a bulk segregated account. There is a risk that assets deposited by the Fund with the clearing broker as margin for futures contracts may, in certain circumstances, be used to satisfy losses of other clients of the Fund’s clearing broker or the clearing broker’s own payment obligations. In addition, the assets of the Fund may not be fully protected in the event of that clearing broker’s bankruptcy, as the clearing broker’s customers, such as the Fund, are entitled to recover, even in respect of property specifically traceable to them, only a pro rata share of all property, if any, available for distribution to all of that clearing broker’s customers. The Fund also may be subject to the risk of the failure of, or delay in performance by, any exchanges and their clearing organizations, if any, on which commodity interest contracts are traded.

Similarly, the CEA requires a clearing organization approved by the CFTC as a derivatives clearing organization to segregate all funds and other property received from a clearing member’s clients in connection with domestic futures and options contracts from any funds held at the clearing organization to support the clearing member’s proprietary trading. Nevertheless, all customer funds held at a clearing organization in connection with any futures or options contracts are held in a commingled omnibus account and are not identified to the name of the clearing member’s individual customers. With respect to futures and options contracts, a clearing organization may use assets of a non-defaulting customer held in an omnibus account at the clearing organization to satisfy payment obligations of a defaulting customer of the clearing member to the clearing organization. As a result, in the event of a default of the clearing broker’s other clients or the clearing broker’s failure to extend its own funds in connection with any such default, the Fund would not be able to recover the full amount of assets deposited by the clearing broker on behalf of the Fund with the clearing organization.

The clearing brokers may be subject to legal or regulatory proceedings in the ordinary course of their business. A clearing broker’s involvement in costly or time-consuming legal proceedings may divert financial resources or personnel away from the clearing broker’s trading operations, which could impair the clearing broker’s ability to successfully execute and clear the Fund’s trades.

An investment in the shares may be adversely affected by competition from other methods of investing in commodities. The Fund competes with other financial vehicles, including other commodity pools, investment companies, hedge funds, traditional debt and equity securities issued by companies in the commodities industry, other securities backed by or linked to such commodities, and direct investments in the underlying commodities

or commodity futures contracts. Market and financial conditions, and other conditions beyond the Manager’s or Commodity Sub-adviser’s control, may make it more attractive to invest in other financial vehicles or to invest in such commodities directly, which could limit the market for the shares.

The Fund has not been subject to independent review or review on your behalf. Shareholders do not have legal counsel representing them in connection with the Fund. Accordingly, a shareholder should consult its legal, tax and financial advisers regarding the desirability of investing in the Fund. As previously noted, you cannot predict the expected results of this Fund from the performance history of the Fund or of other accounts managed by the Commodity Sub-adviser.

Deregistration of the Manager or Sub-advisers could disrupt operations. The Manager and the Commodity Sub-adviser are registered commodity pool operators, the Commodity Sub-adviser is a registered commodity trading advisor and the Collateral Sub-adviser is a registered investment adviser. If the CFTC were to terminate, suspend, revoke or not renew the Manager’s commodity pool operator registration, the Manager would be compelled to withdraw as the Fund’s Manager, and shareholders would then determine whether to select a replacement manager or to dissolve the Fund. If the CFTC and/or the SEC, as applicable, were to terminate, suspend, revoke or not renew either of the Sub-advisers’ registrations, the Manager would terminate the management agreement with that Sub-adviser, in which case the Manager could choose to appoint a new sub-advisor or terminate the Fund. No regulatory action is currently pending or threatened against the Manager, the Commodity Sub-adviser or the Collateral Sub-adviser.

The Fund’s distribution policy may change at any time. Distributions paid by the Fund to its shareholders are derived from the current income and gains from the Fund’s portfolio investments and the options strategy, but to the extent such current income and gains are not sufficient to pay distributions, the Fund’s distributions may represent a return of capital. The total return generated by the Fund’s investments can vary widely over the short term and long term, and the Fund may liquidate investments in order to make distributions. The timing and terms of any such liquidation could be disadvantageous to the Fund and its shareholders. The Manager reserves the right to change the Fund’s distribution policy and the basis for establishing the rate of its monthly distributions, or may suspend or reduce distributions without a change in policy, at any time and may do so without prior notice to shareholders. Any suspension or reduction of distributions will increase the Fund’s assets under management upon which the Manager earns management fees and may negatively affect the market price of the Fund’s shares. In the event the Conversion occurs, the Fund will discontinue its distribution policy.

Tax Risk

As a partnership, the Fund may generate a tax liability regardless of whether you receive cash distributions. You will be taxed on your share of the Fund’s taxable income and gain each year, regardless of whether you receive any cash distributions from the Fund. The Fund is a partnership and not a regulated investment company; therefore, it is not required to make annual distributions. Your share of such income or gain, as well as the tax liability generated by such income or gain, may exceed the distributions, if any, that you receive from the Fund for the year.

Certain provisions of the Internal Revenue Code may cause investors who purchased Fund shares at a discount to net asset value to recognize gain in the first year of purchase without having sold their shares. The Fund is taxed as a partnership, and as a result, you are treated as owning your proportionate share of Fund assets. Section 743(b) of the Internal Revenue Code of 1986, as amended (the “Code”), generally requires the Fund to adjust your proportionate share of the basis in the Fund’s assets (your share of the “inside basis” in the Fund) to reflect your initial “outside basis” in your shares (i.e., the initial purchase price of your shares). In addition, Section 1256 of the Code requires the Fund to treat a large majority of its futures contracts as having been sold for tax purposes at the end of each year at their then-current market value.

The combined effect of Sections 743(b) and 1256 is that if you purchase Fund shares at a discount to net asset value during the year and hold those shares through year end, you would be deemed to have realized a capital

gain substantially equal to the amount of that discount. Any such deemed gain would be reflected on your Schedule K-1 for that year (in addition to all other items of gain and loss for the year), and your “outside basis” in the Fund’s shares would be stepped up by the amount of that gain. This basis step-up would have the effect of reducing your capital gain (or increasing your capital loss) upon any subsequent sale of your shares. This would accelerate your realization of capital gain, but would not increase the amount of gain realized over the full period of the investment. This acceleration effect would be particularly acute for investors who purchase shares at substantial discounts to net asset value. This deemed capital gain would be avoided if the Fund’s net asset value per share were to fall below your purchase price per share by year end; conversely, if the Fund’s net asset value were to increase by year end, your deemed capital gain would be higher than the amount of the discount.

The calculations under Section 743(b) of the Code are complex, and there is little legal authority concerning the mechanics of the calculations, particularly in the context of publicly traded partnerships. It is possible that the Internal Revenue Service (“IRS”) will successfully assert that some or all of the conventions utilized by the Fund to determine and allocate the Section 743(b) basis adjustments do not satisfy the technical requirements of the Code or the regulations and, thus, will require different basis adjustments to be made.

You could owe tax on your share of the Fund’s ordinary income despite overall losses. Gain or loss on futures and forward contracts and options on futures and forward contracts will generally be taxed as capital gains or losses for U.S. Federal income tax purposes. Interest income is ordinary income. In the case of an individual, capital losses can only be used to offset capital gains plus $3,000 ($1,500 in the case of a married taxpayer filing a separate return) of ordinary income each year. Therefore, you may be required to pay U.S. Federal income tax on your allocable share of the Fund’s ordinary income, even though the Fund incurs overall losses.

Certain Fund expenses may be treated as miscellaneous itemized deductions rather than as deductible ordinary and necessary business expenses. Certain expenses incurred by the Fund may be treated as miscellaneous itemized deductions for U.S. Federal income tax purposes, rather than as deductible ordinary and necessary business expenses, with the result that shareholders who are individuals, trusts, or estates may be subject to limitations on the deductibility of their allocable share of such expenses.

Tax-exempt investors may recognize unrelated business taxable income with respect to their investment in the Fund. Persons that are otherwise exempt from U.S. Federal income tax may be allocated unrelated business taxable income as a result of their investment in the Fund. In particular, for charitable remainder trusts, an investment in the Fund may not be appropriate.

Non-U.S. investors may face U.S. tax consequences. Non-U.S. investors should consult their own tax advisors concerning the applicable foreign as well as the U.S. Federal income tax implications of an investment in the Fund. Non-U.S. investors may also be subject to special withholding tax provisions if they fail to furnish the Fund (or another appropriate person) with a timely and properly completed Form W-8BEN or other applicable form.

Changes in the Fund’s tax treatment could adversely affect distributions to shareholders. The Fund believes that under current law and regulations it will be taxed as a partnership that is not subject to corporate income tax for U.S. Federal income tax purposes. However, the Fund has not requested, nor will it request, any ruling from the IRS as to this status. If the IRS were to challenge the U.S. Federal income tax status of the Fund, such a challenge could result in (i) an audit of each shareholder’s entire tax return and (ii) adjustments to items on that return that are unrelated to the ownership of shares. In addition, each shareholder would bear the cost of any expenses incurred in connection with an examination of its personal tax return.

The Fund generally could be impacted adversely by proposed changes and future changes in U.S. Federal income tax laws or tax administration, including changes that might treat publicly traded partnerships like the Fund as taxable corporations. If for any reason the Fund were taxable as a corporation for U.S. Federal income tax purposes in any taxable year, its income, gains, losses and deductions would be reflected on its own tax return

rather than being passed through (proportionately) to shareholders. Its net income would be subject to taxation, reducing cash available for distributions, if any, and resulting in distributions, if any, being treated as dividends to the extent of current or accumulated earnings and profits. Such a tax reclassification could materially reduce the overall performance and after-tax returns of the Fund, possibly causing a decline in the price of the Fund shares.

Items of income, gain, deduction, loss and credit with respect to Fund shares could be reallocated if the IRS does not accept the conventions used by the Fund in allocating Fund tax items. U.S. Federal income tax rules applicable to partnerships are complex and often difficult to apply to widely held partnerships. The Fund will apply certain conventions in an attempt to comply with applicable rules and to report income, gain, deduction, loss and credit to Fund shareholders in a manner that reflects shareholders’ share of Fund items, but these conventions may not be in full technical compliance with applicable tax requirements. It is possible that the IRS will successfully assert that the conventions used by the Fund to allocate income to the shareholders do not satisfy the technical requirements of the U.S. Federal income tax law and could require that items of income, gain, deduction, loss or credit be reallocated in a manner that adversely affects you.

Tax rates and other features under current U.S. Federal income tax law may be adversely affected in the future. Long-term capital gains and ordinary income are now taxed to non-corporate investors at the applicable U.S. Federal income tax rates. There continue to be proposals for further changes to U.S. Federal income tax law, some of which could adversely affect the Fund or its shareholders.

Increased oversight of foreign financial assets. Under the Foreign Account Tax Compliance provisions of the Hiring Incentives to Restore Employment Act (commonly known as “FATCA”) enacted in 2010, foreign financial institutions and non-financial foreign entities and certain U.S. taxpayers holding foreign financial assets are subject to an enhanced reporting, disclosure, certification, withholding, and enforcement regime. Among other things, certain “withholdable payments” made to a foreign financial institution or non-financial foreign entity are generally subject to withholding tax unless the foreign financial institution enters into a disclosure compliance agreement with the U.S. Treasury or the non-financial foreign entity certifies as to its ownership. A foreign financial institution formed or doing business in a jurisdiction that has entered into an intergovernmental agreement to implement FATCA may need to comply with rules enacted by that jurisdiction, rather than entering into an agreement with U.S. Treasury. Such potentially “withholdable payments” under FATCA include certain interest, dividends, rents, and other gains or income from U.S. sources, but exclude income derived from the active conduct of a business. Investors should consult their tax advisors concerning the potential impact of FATCA on them.

You will receive a Schedule K-1 and as a result may incur additional costs. Investors in the Fund will receive a Schedule K-1 (not a Form 1099) reporting their allocable portion of the tax items of the Fund. This form is expected to be available by the end of the first week of March following the taxable year to which it relates. If there were a delay in making Schedule K-1 available, it could be more difficult for investors to complete their tax return in a timely fashion. In the event the Fund has income and/or gains, investors may be required to pay taxes on their portion of such income and/or gains and the amount of those taxes may exceed their distributions from the Fund or the amount they receive when they sell their shares. Schedule K-1 is complex and shareholders who seek advice from tax advisors with respect to their Schedule K-1 may incur additional costs in the form of fees.

Possible constructive termination. Under U.S. Federal income tax law applicable to publicly traded partnerships like the Fund, if a partnership experiences sales or exchanges of 50% or more of its shares during a twelve month period, the partnership is “constructively terminated,” requiring it to close its tax year (and file its tax returns for that period or request an extension by the 15th day of the fourth month after the month in which the termination occurs, or the 15th day of the third month for tax years beginning after December 31, 2015) and restart a new tax year. It is difficult for publicly traded partnerships to ascertain on a real-time basis when constructive terminations occur given that shares are typically held in street name. Publicly traded partnerships typically identify actual beneficial owners only during the course of preparing year-end tax information for shareholders.

Therefore, a publicly traded partnership may not be aware that a constructive termination occurred until well after the fact, which potentially subjects the partnership to substantial penalties for failing to file the tax return for the period preceding the termination in a timely manner. Based on information received by the Manager to date, the Manager does not believe the Fund experienced a constructive termination during the tax year ended December 31, 2015.

If you loan your shares to a “short seller” to cover a short sale of shares, you may be considered as having disposed of those shares. Because you may be considered to have sold shares that you loan to a “short seller” to cover a short sale of shares, you may no longer be treated for tax purposes as a partner with respect to those shares during the period of the loan to the short seller and you may recognize gain or loss from such disposition. Moreover, during the period of the loan to the short seller, any of our income, gain, loss or deduction with respect to those shares may not be reportable by you and any cash distributions you receive as to those shares could be fully taxable as ordinary income. Shareholders desiring to assure their status as partners and avoid the risk of gain recognition from a loan to a short seller are urged to modify any applicable brokerage account agreements to prohibit their brokers from borrowing their shares.

Shareholders are strongly urged to consult their own tax advisors and counsel with respect to the possible tax consequences to them of an investment in any shares. The tax consequences may differ in respect of different shareholders.

Item 1B. Unresolved Staff Comments

None.

Item 2. Properties

Not applicable.

Item 3. Legal Proceedings

None.

Item 4. Mine Safety Disclosures

Not applicable.

PART II

Item 5. Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities

a) The shares of the Fund trade on the NYSE MKT under the ticker symbol “CFD.”

The following table sets forth, for the calendar quarters indicated, the high and low intra-day market prices per share.


	Share Price
Quarter Ended	High		Low
December 2015	$	10.85	$	8.44
September 2015	$	12.30	$	9.23
June 2015	$	12.79	$	11.64
March 2015	$	13.00	$	11.52
December 2014	$	13.83	$	11.46
September 2014	$	16.30	$	13.46
June 2014	$	16.51	$	15.83
March 2014	$	16.46	$	14.93

The Fund’s shares will likely trade at a market price that is different from the daily computed net asset value of a share of the Fund. This may be due, in large part, to supply and demand forces at work in the secondary trading market for shares of the Fund, which may be related to, but not identical to, the forces influencing the prices of the commodity futures, options on commodity futures, and other instruments held by the Fund that affect the net asset value of the Fund’s shares. When the Fund’s shares are trading on the NYSE MKT at a price above the net asset value, the shares are referred to as trading at a “premium,” and conversely when the Fund’s shares are trading on the exchange at a price below the net asset value, the shares are referred to as trading at a “discount.” The following table sets forth, for the calendar quarters indicated, the high and low end of day premium and/or (discount), as applicable.


Quarter Ended	High	Low
December 2015	(2.00)%		(8.41)%
September 2015	(2.32)%		(5.34)%
June 2015	(3.74)%		(7.44)%
March 2015	(3.83)%		(8.41)%
December 2014	(5.81)%		(18.99)%
September 2014	(8.03)%		(16.23)%
June 2014	(11.30)%		(15.16)%
March 2014	(12.90)%		(16.19)%

Refer to the Fund Total Returns section of “Part II—Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations” for a discussion of the proposed Conversion’s impact on the Fund’s shares discount.

As of December 31, 2015, the Fund had approximately 9,472 shareholders.

The following graph presents the relationship between the Fund’s net asset value per share and its market price per share during the 2014 and 2015 calendar years.

LOGO

During the years ended December 31, 2015 and December 31, 2014, the Fund declared distributions per share as set forth in the following table:


Ex Date	Record Date	Payable Date	Amount
December 28, 2015	December 30, 2015	December 31, 2015	$	0.058
November 25, 2015	November 30, 2015	December 1, 2015	$	0.074
October 28, 2015	October 30, 2015	November 2, 2015	$	0.074
September 28, 2015	September 30, 2015	October 1, 2015	$	0.074
August 27, 2015	August 31, 2015	September 1, 2015	$	0.074
July 29, 2015	July 31, 2015	August 3, 2015	$	0.074
June 26, 2015	June 30, 2015	July 1, 2015	$	0.103
May 27, 2015	May 29, 2015	June 1, 2015	$	0.103
April 28, 2015	April 30, 2015	May 1, 2015	$	0.103
March 27, 2015	March 31, 2015	April 1, 2015	$	0.103
February 25, 2015	February 27, 2015	March 2, 2015	$	0.103
January 28, 2015	January 30, 2015	February 2, 2015	$	0.130
December 26, 2014	December 30, 2014	December 31, 2014	$	0.130
November 25, 2014	November 28, 2014	December 1, 2014	$	0.130
October 29, 2014	October 31, 2014	November 3, 2014	$	0.130
September 26, 2014	September 30, 2014	October 1, 2014	$	0.130
August 27, 2014	August 29, 2014	September 2, 2014	$	0.130
July 29, 2014	July 31, 2014	August 1, 2014	$	0.130
June 26, 2014	June 30, 2014	July 1, 2014	$	0.130
May 28, 2014	May 30, 2014	June 2, 2014	$	0.130
April 28, 2014	April 30, 2014	May 1, 2014	$	0.130
March 27, 2014	March 31, 2014	April 1, 2014	$	0.130
February 26, 2014	February 28, 2014	March 3, 2014	$	0.130
January 29, 2014	January 31, 2014	February 3, 2014	$	0.130

The Fund makes regular monthly distributions to its shareholders stated in terms of a fixed cent per share distribution rate. The Manager seeks to establish a distribution rate that, among other factors, roughly

corresponds to its projections of the total return that could reasonably be expected to be generated by the Fund over an extended period of time. The Fund’s projected or actual distribution rate is not a prediction of what the Fund’s actual total returns will be over any specific future period.

The Fund’s ability to make distributions will depend on a number of factors, including, most importantly, the long-term total returns generated by the Fund’s commodity investments and the gains generated through the Fund’s options strategy. The Fund’s actual financial performance will likely vary significantly from month-to-month and from year-to-year, and there may be periods, perhaps of extended durations of up to several years, when the distribution rate exceeds the Fund’s actual total returns. In the event that the amount of income earned or capital gains realized by the Fund is not sufficient to cover the Fund’s distributions, the Fund may be required to liquidate investments to fund distributions at times or on terms that could be disadvantageous to the Fund and its shareholders.

Because the Fund’s investment performance since its inception has not been sufficient to cover the distributions made, the Fund has effectively been drawing upon its assets to meet payments prescribed by its distribution policy. The Fund also has paid fees and expenses that have also been drawn from the Fund’s assets.

As market conditions and portfolio performance may change, the rate of distributions on the shares and the Fund’s distribution policy could change. The Manager reserves the right to change the Fund’s distribution policy and the basis for establishing the rate of its monthly distributions, or may temporarily suspend or reduce distributions without a change in policy, at any time and may do so without prior notice to shareholders. The reduction or elimination of the Fund’s distributions could have the effect of increasing the Manager’s management fees.

b) Since the Fund’s initial public offering, no new share offerings have taken place. Proceeds from the Fund’s initial public offering (including the shares sold upon exercise of the over-allotment option) were invested in short-term, high-grade debt securities which serve as collateral for the Fund’s investments in commodity futures and options on commodity futures, in accordance with the Fund’s investment objectives.

c) On December 21, 2011, the Fund adopted an open-market share repurchase program pursuant to which it was authorized to repurchase an aggregate of up to 10% of its outstanding common shares (approximately 920,000 shares) in open-market transactions at the Manager’s discretion. On March 6, 2014, the Fund announced the reauthorization of its open-market share repurchase program, pursuant to which it may repurchase an aggregate of up to 10 percent of its outstanding common shares as of the reauthorization date (approximately 920,000 shares). During the year ended December 31, 2015, the Fund did not repurchase any shares. No shares have been repurchased outside of the program described.

Item 6. Selected Financial Data

The following table sets forth selected financial data for the Fund. The selected financial data as of and for the years ended December 31, 2015, 2014, 2013, 2012 and 2011 has been derived from the audited financial statements. The table also presents selected financial data for the quarters within the last two years. The quarterly financial data presented has been derived from unaudited financial data which, in the opinion of management, presents fairly, in all material respects, the financial positions and results of operations of the Fund. The selected financial data presented herein should be read in conjunction with the Fund’s financial statements, including the notes thereto, which are included in this Annual Report.


	Year Ended December 31,
	2015			2014			2013			2012			2011
Total assets	$	88,901,061		$	135,567,711		$	170,897,991		$	204,648,073		$	220,582,524
Total liabilities	$	3,269,520		$	12,369,707		$	3,751,307		$	7,506,165		$	6,402,395
Net assets	$	85,631,541		$	123,198,004		$	167,146,684		$	197,141,908		$	214,180,129
Net increase (decrease) in cash	$	-		$	-		$	-		$	-		$	(16	)
Shares outstanding		9,047,040			9,047,040			9,206,940			9,219,240			9,229,040
Net asset value per share outstanding	$	9.47		$	13.62		$	18.15		$	21.38		$	23.21
Total distributions per share	$	1.0730		$	1.5600		$	1.6500		$	1.7400		$	1.7400

Total investment income	$	160,723		$	139,301		$	199,940		$	248,744		$	309,181
Net investment income (loss)	$	(2,382,074	)	$	(2,746,661	)	$	(3,055,568	)	$	(3,626,137	)	$	(3,612,955	)
Net realized gain (loss) and change in net unrealized appreciation (depreciation)	$	(25,476,915	)	$	(24,874,870	)	$	(11,541,550	)	$	2,833,162		$	(13,093,466	)
Net income (loss)	$	(27,858,989	)	$	(27,621,531	)	$	(14,597,118	)	$	(792,975	)	$	(16,706,421	)
Net income (loss) per weighted-average share	$	(3.08	)	$	(3.01	)	$	(1.58	)	$	(0.09	)	$	(1.80	)

Selected Quarterly Financial Data (Unaudited)


	For the Three Months Ended 2015
	December 31			September 30			June 30			March 31
Total investment income	$	51,388		$	47,524		$	35,852		$	25,959
Net investment income (loss)	$	(423,719	)	$	(739,808	)	$	(645,397	)	$	(573,150	)
Net realized gain (loss) and change in net unrealized appreciation (depreciation)	$	(9,571,004	)	$	(15,242,161	)	$	5,063,195		$	(5,726,945	)
Net income (loss)	$	(9,994,723	)	$	(15,981,969	)	$	4,417,798		$	(6,300,095	)
Increase (decrease) in net assets	$	(11,858,411	)	$	(17,990,415	)	$	1,622,263		$	(9,339,900	)
Net income (loss) per weighted-average share	$	(1.10	)	$	(1.77	)	$	0.49		$	(0.70	)

	For the Three Months Ended 2014
	December 31			September 30			June 30			March 31
Total investment income	$	30,617		$	33,081		$	38,311		$	37,292
Net investment income (loss)	$	(603,136	)	$	(681,941	)	$	(747,737	)	$	(713,847	)
Net realized gain (loss) and change in net unrealized appreciation (depreciation)	$	(18,531,301	)	$	(17,224,220	)	$	2,887,863		$	7,992,788
Net income (loss)	$	(19,134,437	)	$	(17,906,161	)	$	2,140,126		$	7,278,941
Increase (decrease) in net assets	$	(24,689,468	)	$	(21,496,867	)	$	(1,450,580	)	$	3,688,235
Net income (loss) per weighted-average share	$	(2.10	)	$	(1.94	)	$	0.23		$	0.79

Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations

This information should be read in conjunction with the financial statements and notes to financial statements included in this Annual Report. The discussion and analysis includes forward-looking statements that generally relate to future events or future performance. In some cases, you can identify forward-looking statements by terminology such as “may,” “will,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential” or the negative of these terms or other comparable terminology. These forward-looking statements are based on information currently available to the Manager, the Commodity Sub-adviser and the Collateral Sub-adviser, and are subject to a number of risks, uncertainties and other factors, both known (such as those described in “Item 1A. Risk Factors” and elsewhere in this Annual Report) and unknown, that could cause the actual results, performance, prospects or opportunities of the Fund to differ materially from those expressed in, or implied by, these forward-looking statements.

You should not place undue reliance on any forward-looking statements. Except as expressly required by the federal securities laws or otherwise, the Fund and the Manager undertake no obligation to publicly update or revise any forward-looking statements or the risks, uncertainties or other factors described in this Annual Report, as a result of new information, future events or changed circumstances or for any other reason after the date of this Annual Report.

Introduction

The Fund is a commodity pool which was organized as a Delaware statutory trust on December 7, 2005 and commenced operations on September 27, 2010, with its public offering. The Fund’s shares trade on the NYSE MKT under the ticker symbol “CFD”. The Fund’s investment objective is to generate higher risk-adjusted total return than leading commodity market benchmarks. In pursuing its investment objective, the Fund invests directly in a diversified portfolio of commodity futures and forward contracts to obtain broad exposure to all principal groups in the global commodity markets. The Fund is unleveraged, and the Fund’s commodity contract positions are fully collateralized with cash equivalents, U.S. government securities and other short-term, high-grade debt securities. The Fund writes commodity call options seeking to enhance the Fund’s risk-adjusted total return. The Manager focuses on the Bloomberg Commodity Index (“BCOM”) when evaluating the performance of the commodity futures, forwards, and options positions (the “commodity portfolio”) in the Fund’s portfolio.

Results of Operations

The Year Ended December 31, 2015 – Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $9.02 on the close of business on December 31, 2015. This represents a decrease of 29.70% in share price (not including an assumed reinvestment of distributions) from the $12.83 price at which the shares of the Fund traded on the close of business on December 31, 2014. The high and low intra-day share prices for the year were $13.00 (January 15, 2015) and $8.44 (December 21, 2015), respectively. During the year, the Fund paid distributions totaling $1.073 per share to shareholders. The Fund’s total return on market value for the year, which assumes reinvestment of such distributions, was -22.69%. At December 31, 2015, shares of the Fund traded at a 4.75% discount to the Fund’s net asset value of $9.47 per share.

The Year Ended December 31, 2014 – Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $12.83 on the close of business on December 31, 2014. This represents a decrease of 15.43% in share price (not including an assumed reinvestment of distributions) from the $15.17 price at which the shares of the Fund traded on the close of business on December 31, 2013. The high and low intra-day share prices for the year were $16.51 (May 23, 2014) and $11.46 (December 17, 2014),

respectively. During the year, the Fund paid distributions totaling $1.560 per share to shareholders. The Fund’s total return on market value for the year, which assumes reinvestment of such distributions, was -6.07%. At December 31, 2014, shares of the Fund traded at a 5.80% discount to the Fund’s net asset value of $13.62. During the year the Fund repurchased 159,900 shares.

The Year Ended December 31, 2013 – Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $15.17 on the close of business on December 31, 2013. This represents a decrease of 24.04% in share price (not including an assumed reinvestment of distributions) from the $19.97 price at which the shares of the Fund traded on the close of business on December 31, 2012. The high and low intra-day share prices for the year were $22.09 (January 23, 2013) and $14.75 (December 17, 2013), respectively. During the year, the Fund paid distributions totaling $1.6500 per share to shareholders. The Fund’s total return on market value for the year, which assumes reinvestment of such distributions, was -16.64%. At December 31, 2013, the shares of the Fund traded at a 16.42% discount to the Fund’s net asset value of $18.15. During the year the Fund repurchased 12,300 shares.

The Year Ended December 31, 2015 – Net Assets of the Fund

The Fund’s net assets decreased from $123.2 million at December 31, 2014, to $85.6 million at December 31, 2015, a decrease of $37.6 million. The decrease in the Fund’s net assets was due to a net loss of $27.9 million, in addition to $9.7 million of distributions to shareholders.

The Fund generated a net loss of $27.9 million for the year ended December 31, 2015, resulting from interest income of $0.2 million and change in net unrealized appreciation of $9.7 million, offset by expenses of $2.5 million and net realized losses of approximately $35.3 million.

During the year ended December 31, 2015, the Fund’s collateral investments generated interest income of $160,723, which represents 0.15% of average net assets for the year ended December 31, 2015.

The net asset value per share on December 31, 2015, was $9.47. This represents a decrease of 30.47% in net asset value (not including an assumed reinvestment of distributions) from the $13.62 net asset value as of December 31, 2014. During the year, the Fund paid distributions totaling $1.073 per share to shareholders. When an assumed reinvestment of these distributions is taken into account, the total return for the Fund on net asset value was -23.89% for the year ended December 31, 2015.

The Year Ended December 31, 2014 – Net Assets of the Fund

The Fund’s net assets decreased from $167.1 million at December 31, 2013, to $123.2 million at December 31, 2014, a decrease of $43.9 million. The decrease in the Fund’s net assets was due to a net loss of $27.6 million, $14.3 million of distributions to shareholders and $2.0 million of share repurchases.

The Fund generated a net loss of $27.6 million for the year ended December 31, 2014, resulting from interest income of $0.1 million, offset by expenses of $2.9 million, realized losses of $13.0 million and net unrealized depreciation of $11.8 million.

During the year ended December 31, 2014, the Fund’s collateral investments generated interest income of $139,301, which represents 0.09% of average net assets for the year ended December 31, 2014.

The net asset value per share on December 31, 2014, was $13.62. This represents a decrease of 24.96% in net asset value (not including an assumed reinvestment of distributions) from the $18.15 net asset value as of December 31, 2013. The Fund declared distributions totaling $1.560 per share during the year. When an assumed reinvestment of these distributions is taken into account, the total return for the Fund on net asset value was -17.75% for the year ended December 31, 2014.

The Year Ended December 31, 2013 – Net Assets of the Fund

The Fund’s net assets decreased from $197.1 million at December 31, 2012, to $167.1 million at December 31, 2013, a decrease of $30.0 million. The decrease in the Fund’s net assets was due to $16.5 million in net realized losses and $5.0 million in net unrealized appreciation on the Fund’s portfolio during the year, a net investment loss of $3.1 million, $15.2 million of distributions to shareholders, and $0.2 million of share repurchases.

During the year ended December 31, 2013, the Fund’s collateral investments generated interest income of $199,940, which represents 0.11% of average net assets for the year ended December 31, 2013.

The net asset value per share on December 31, 2013, was $18.15. This represents a decrease of 15.11% in net asset value (not including an assumed reinvestment of distributions) from the $21.38 net asset value per share as of December 31, 2012. The Fund declared distributions totaling $1.6500 per share to shareholders during the year. When an assumed reinvestment of these distributions is taken into account, the total return for the Fund on net asset value was -7.57% for the year ended December 31, 2013.

The Fund generated a net loss of $14.6 million for the year ended December 31, 2013, resulting from interest income of $0.2 million, net expenses of $3.3 million, net realized losses of $16.5 million, and net unrealized appreciation of $5.0 million.

The Year Ended December 31, 2015 – Overall Commodity Market Commentary

The environment for commodities continued to be challenging during the year ended December 31, 2015. Macroeconomic headwinds and unfavorable supply-demand dynamics contributed to falling prices and bearish sentiment for all commodities. The broad commodity market, as measured by the BCOM, fell 24.7% for the year, with declines in every commodity group.

The energy sector led the BCOM’s decline, with a loss of 38.9% for the year. The combination of falling global demand and rising inventories, along with a stronger U.S. dollar, weighed heavily on energy commodities. Sluggish economic growth globally and the deceleration in China’s economy continued to diminish expectations for crude oil demand. Despite falling prices, the Organization for the Petroleum Exporting Countries (OPEC) maintained its high output levels to try to keep its market share intact, while North American production demonstrated better-than-expected resilience. Additionally, the lifting of Western sanctions on Iranian oil exports was expected to further contribute to the global supply glut in 2016. Natural gas prices were also hurt by milder summer weather and a warmer start to winter, while storage was ample and production continued at near-record levels. Crude oil ended the year down 44.9%, heating oil lost 42.9% and natural gas fell 40.0%. Unleaded gasoline (RBOB) posted the smallest decline in the energy group, down 12.7% for the year, as refinery outages hurt production and lower prices helped spur consumer demand.

The agriculture sector, as grouped by Gresham, ended the year down 17.9%, with negative performance across all of the group’s commodities. Grain prices fell as generally favorable weather and increased plantings stoked fears of oversupply. Currency movements also pressured grain futures lower, particularly as U.S. dollar appreciation made foreign wheat crops look cheaper and weakening currencies in Brazil and Argentina were expected to boost their grain exports. Soybean oil experienced the smallest decline of the group, as a fourth-quarter rally driven by expectations for improving demand helped reverse some of its earlier losses.

The precious metals group finished the year down 11.5%. The anticipation of the U.S. Federal Reserve’s (the “Fed”) rate hike kept gold and silver prices choppy all year. The Fed’s announcement to raise its main policy rate by 0.25% in December and waning demand for physical gold pushed gold prices near a six-year low.

Like the energy group, industrial metals continued to slide due to the overall lackluster global macroeconomic picture, and particularly China’s waning demand for metals. U.S. dollar strength, reports of rising inventories, and periods of aggressive selling and long liquidations, also weighed on industrial metals’ prices. The industrial metals group declined 26.9% for the year.

The foods and fibers group, as grouped by Gresham, was the best-performing commodity group in the BCOM, losing 9.9% for the year. In Brazil, the world’s top producer of Arabica coffee and sugar, favorable growing conditions and a weak local currency were expected to contribute to robust supply and increased exports, which pressured prices for these commodities. While Arabica coffee prices slid 31.6% for the year, a fourth-quarter rebound in sugar prices, propelled by tighter supply expectations, helped trim its loss to 4.8% for the year. Cotton had a small gain of 2.9% for the year and was the only commodity in the BCOM with a positive return for the year. Cotton prices rallied in both the spring and early winter when key cotton-growing regions of the U.S. suffered heavy rains and flooding, raising concerns about diminished fiber quality.

The livestock group lost 18.9% for the year. Both macroeconomic and idiosyncratic factors weighed on lean hogs and live cattle prices throughout the year. The stronger U.S. dollar reduced beef and pork export demand, as well as encouraged beef imports from Mexico, Canada, and New Zealand, causing higher supply levels of both beef and pork. The avian flu outbreak during the spring created price competition with chicken, which hurt demand. In addition, pork supply was further bolstered by a sooner-than-expected dissipation of a fatal pig virus that had devastated herds over the past two years and by increasing hog weights, as lower grain prices encouraged farmers to bulk up their livestock. Lean hogs prices were further pressured by the World Health Organization’s decision to classify processed meats as carcinogenic to humans, which was announced in October.

The Year Ended December 31, 2014 – Overall Commodity Market Commentary

The broad commodity market rallied early in the year, gaining 7.0% in the first quarter as measured by the BCOM, but retreated over the remainder of the year. Plentiful supply of energy and agriculture commodities, which in aggregate comprise roughly half of the BCOM, led to steep price declines across these commodities. As a result, the BCOM fell 17.0% for the year overall, with all groups except livestock finishing lower.

Energy was the weakest performer in the BCOM, plummeting 39.4% for the year. Within the group, crude oil declined the most, down 44.2%. Crude prices peaked for the year in June, then began to fall as global demand slowed amid booming supply. In November, two events roiled the oil futures market; a price cut by Saudi Arabia and an unexpected decision by the OPEC to leave production levels unchanged, which hastened the decline in crude prices. Another weak performer within the energy group was natural gas, which lost 30.7% over the year. Although demand and prices were strong early in the year due to harsh winter weather, prices were volatile over the remainder of the year. Inventory rebuilding turned to oversupply, as demand was relatively restrained during milder-than-expected weather in the summer, fall and winter.

Agriculture commodities, as grouped by Gresham, fell 8.5% for the year. The group performed well early in the year, but slumped in the second and third quarters. Ideal growing conditions in the U.S. fueled expectations for record or near-record harvests of corn, wheat and soy, which weighed on prices. However, grain prices rallied at the end of the year on a combination of transportation delays in the U.S., unfavorable weather and export restrictions in Russia, and adverse weather in South America.

Industrial metals were down 6.9% for the year, led by weakness in copper prices. Fears about slackening global demand, especially from China, continued to put downward pressure on copper prices. Nickel and zinc, however, posted gains for the year. Uncertainties about nickel supply from the world’s two largest miners, Indonesia and Russia, helped prices rise.

Precious metals slid 6.7% for the year. Gold and silver prices fell in the second half of the year, as the U.S. dollar strengthened, which reduced demand for precious metals as a hedge against dollar weakness.

The foods and fibers group, as grouped by Gresham, was down 10.1% for the year. Sugar and cotton were the main detractors, declining on concerns about high inventories. In contrast, Arabica coffee was the best-performing individual commodity in the BCOM, up 37.7% for the year. Coffee prices rallied throughout the year as drought and heat in Brazil, the world’s largest Arabica coffee producer, diminished 2014 harvests and were expected to hurt 2015 crop yields as well.

Livestock, the only group in the BCOM with a positive return, was up 11.5% for the year. Live cattle prices gained strongly on concerns throughout the year of weaker supply, while lean hogs prices were modestly lower. A fatal virus outbreak contributed to supply shortage worries, helping lean hogs futures to rally early in the year, but prices retreated later in the year as cheaper feed costs encouraged farmers to bulk up their hogs to compensate for earlier losses.

The Year Ended December 31, 2013 – Overall Commodity Market Commentary

The broad commodity market suffered its third consecutive year of negative performance in 2013. Losses in the first, second, and fourth quarters exceeded a modest gain in the third quarter, as measured by the BCOM. Only one commodity group in the BCOM, energy, had a positive return for the year.

Energy commodities, at 38.9% of the BCOM at the end of the period, were its most significant commodity group by weight. The group rose 5.2% for the year, supported by gains in all of the BCOM’s energy positions — West Texas Intermediate (WTI) crude oil, Brent crude oil, heating oil, natural gas, and unleaded gas (RBOB). Political turmoil throughout the Middle East and Africa led to declining production in some key areas and heightened concerns about supply going forward, buoying crude oil prices. Natural gas benefited from a strong rally in the fourth quarter as extreme cold weather in the U.S. elevated demand above its previously expected seasonal increase.

Agricultural commodities, as grouped by Gresham, represented 20.1% of the BCOM at the end of the period. Weakness in corn, wheat, and soybean oil brought the overall group down 13.4% for the year. Prices for these commodities were hampered by robust supply amid favorable growing conditions, with corn in particular seeing record harvests during 2013. Soybean oil also suffered from tepid demand given the availability of cheaper substitutes such as palm oil.

Industrial metals comprised 16.7% of the BCOM at the end of the period. The group fell 13.6%, with prices for all four metals — aluminum, copper, nickel, and zinc — down for the year. Slowing economic growth in China dampened the outlook for the demand of these metals, weighing on prices especially in the first half of the year. Industrial metals’ performance turned marginally positive in the second half of the year, driven by rallies in copper during the third quarter and zinc in the fourth quarter, but these gains did not fully offset earlier losses.

Precious metals represents 11.3% of the BCOM, at the end of the period and was the BCOM’s worst performing group with a -30.8% return. Investors rotated away from gold and silver as the probability of the Fed’s exit from quantitative easing became more likely as 2013 progressed. With economic data improving across the developed world, the demand for assets perceived as “safe havens” declined. Furthermore, speculation that the Fed would taper its asset buying helped ease inflation expectations, tempering the demand for gold as an inflation hedge.

Foods and fibers, as grouped by Gresham, represented 7.7% of the BCOM at the end of the period. The group fell 16.9% in the BCOM, as losses in sugar and coffee offset positive performance in cotton. Forecasts for abundant supply from good growing weather for both sugar and coffee weighed on prices. Additionally, sugar prices were highly volatile in the fourth quarter. In October, a sugar stockpile was destroyed in a Brazilian warehouse fire, propelling prices toward a one-year high. However, as the inventory was expected to be replaced by reserves in India and China, prices sank to even lower levels than before the fire.

Livestock was the smallest group in the BCOM, with a 5.7% weight at the end of the period. Early in the year, high grain costs in the wake of a 2012 drought prompted ranchers to bring livestock to market early, bolstering supply and driving lean hogs and live cattle prices lower. Weak performance in the first quarter was followed by meager gains in the second and third quarters, then a small decline in the fourth quarter, resulting in a 3.5% loss for the livestock group for the year.

The Year Ended December 31, 2015 – Fund Commodity Portfolio Commentary

The Fund’s commodity portfolio lost 22.2% for the 12-month period, (before considering the expenses of the Fund or the performance of the collateral portfolio). The overall commodities market, as measured by the BCOM, declined 24.7%. The Fund’s total return on net asset value for the year, which includes the effect of the Fund’s expenses and the performance of the collateral portfolio, and assumes reinvestment of the Fund’s distributions, was a loss of 23.89%.

The Fund writes – that is, sells – covered call options on its portfolio’s commodity futures, seeking to limit return volatility, and to provide cash flow to support the Fund’s distributions. Gresham sells exchange-traded commodity call options on up to 50% of the value of each of the Fund’s commodity futures contracts, when those options are deemed to have sufficient trading volume and liquidity. The Fund receives cash premiums in return.

During the year the Fund sold options on approximately 50% of the value of each commodity position. The Fund’s option-writing activity added to performance for the period, and premiums collected on call options helped reduce the Fund’s volatility versus the BCOM, as measured by the standard deviation of return.

At the commodity group level, all groups contributed positively to the Fund’s outperformance relative to the BCOM except precious metals, which detracted from relative performance. The Fund’s energy and industrial metals added the most value on a relative basis. Within the energy group, relative gains were driven by the Fund’s underweight position in natural gas and its tactical tilt strategy in crude oil. The Fund used tactical tilts in its WTI and Brent crude exposures to opportunistically take advantage of pricing inefficiencies between the two contracts. Over the year, the Fund’s crude oil tilt was advantageous to performance. In the industrial metals group, the Fund’s more diversified copper position aided relative performance. The Fund owns both London Metal Exchange (LME) and COMEX copper contracts, which outperformed the BCOM’s copper position, which only has COMEX exposure. In the livestock group, the Fund benefited relative to the BCOM primarily from an overweight live cattle position. The Fund’s wheat and soybean positions contributed the most to excess return in the agriculture group, despite the slightly negative impact of the tactical tilt strategy in Kansas City and Chicago wheat. In the foods and fibers group, the Fund’s sugar position detracted from relative results, but losses were more than offset by relative gains from the Fund’s cocoa position, which delivered positive performance over the period and is not represented in the BCOM, and its underweight position in Arabica coffee. In contrast to the other sectors, the precious metals group hurt relative performance, driven mainly by the Fund’s underweight in gold.

The Year Ended December 31, 2014 – Fund Commodity Portfolio Commentary

The Fund’s commodity portfolio lost 16.6% for the 12-month period, (before considering the expenses of the Fund or the performance of the collateral portfolio). The overall commodities market, as measured by the BCOM, declined 17.0%. The Fund’s total return on net asset value for the same period, which includes the effect of the Fund’s expenses and the performance of the collateral portfolio and assumes reinvestment of the Fund’s distributions, was a loss of 17.75%. At the commodity group level, the Fund’s commodity portfolio outperformed the BCOM on an absolute basis in all commodity groups except foods and fibers.

The Fund’s option-writing activity slightly detracted from Fund performance for the year. However, premiums collected on other call options helped reduce the Fund’s volatility versus the BCOM, as measured by the standard deviation of return.

The largest positive contributor to the Fund’s relative performance was the livestock position. The Fund benefited from its larger weight than the BCOM in live cattle, which gained during the year, as well as its allocation to feeder cattle, which also performed strongly and are not represented in the BCOM.

The Fund’s industrial metals and precious metals positions also helped relative returns. The Fund’s more diversified copper position, which included the LME contracts, outperformed the BCOM’s copper position, which does not have any LME exposure. Within precious metals, the Fund’s relative underweight in silver, which performed poorly in the year, was advantageous to relative returns. Additionally, the Fund’s exposure to gains in palladium, which is not represented in the BCOM, boosted relative results.

The main detractors from relative performance were in the energy, foods and fibers, and, to a lesser extent, agriculture positions. The Fund held an overweight allocation to the energy group, and to crude oil in particular, which was unfavorable during a period of falling prices. In foods and fibers, as grouped by Gresham, the Fund was underweight in coffee, limiting its participation in its price rally during the year. Also, the Fund’s slight underweight in agriculture, as grouped by Gresham, had a modestly negative impact on relative performance.

The Year Ended December 31, 2013 – Fund Commodity Portfolio Commentary

The Fund’s commodity portfolio fell 6.4% for the 12-month period, (before considering the expenses of the Fund or the performance of the collateral portfolio). The overall commodities market, as measured by the BCOM, was down 9.6%. The Fund’s total return on net asset value for the same period, which includes the effect of the Fund’s expenses and the performance of the collateral portfolio and assumes reinvestment of the Fund’s distributions, was -7.57%. At the commodity group level, the Fund’s commodity portfolio outperformed the BCOM on an absolute basis in all six commodity groups.

The Fund writes — that is, sells — covered call options on its portfolio’s commodity futures, seeking to limit return volatility, and to provide cash flow to support the Fund’s distributions. Gresham sells exchange-traded commodity call options on up to 50% of the value of each of the Fund’s commodity futures contracts, when those options are deemed to have sufficient trading volume and liquidity. The Fund receives cash premiums in return. The Fund’s option-writing activity benefitted Fund performance for the year as many of the contracts written went unexercised allowing the Fund to retain the premiums received for those options. This premium retention was a positive factor for the period and helped reduce the Fund’s volatility versus the BCOM, as measured by the standard deviation of return.

The Fund’s energy positions advanced 7.1% compared to 5.2% in the BCOM during the period. On a weighted basis, the Fund outperformed the BCOM in crude oil and heating oil, where it had higher relative weightings. However, options positions detracted slightly from relative performance.

The Fund’s agriculture positions, as grouped by Gresham, fell 7.7%, while the BCOM’s positions lost 13.4% for the period. Corn was the largest contributor to weighted relative performance, as the Fund’s lower weighting, favorable contract selection, and more advantageous timing in rolling some of its futures contracts were beneficial. The Fund also collected call option premiums on contracts sold that expired without being exercised.

The Fund’s industrial metals positions declined 12.4%, while the BCOM fell 13.6% for the period. The Fund held an underweight position in nickel when compared to the BCOM, during a period of negative performance, which was the main driver of relative outperformance on a weighted basis.

The Fund’s precious metals positions were down 28.1%, compared to the BCOM which was down 30.8% for the period, making this the worst performing group on an absolute basis. The Fund’s gold position outperformed that of the BCOM on a weighted basis, boosted by collecting option premiums on contracts sold that expired without being exercised.

The Fund’s foods and fibers positions, as grouped by Gresham, lost 11.3% compared to a 16.9% decline in the BCOM for the period. The Fund’s lower weights in sugar and coffee added the most value to weighted relative performance, as these contracts’ performance disappointed during the period.

In the livestock group, the Fund’s position slid 3.2% while the BCOM’s fell 3.5% for the period. The Fund slightly outperformed on an absolute basis, while relative performance was neutral on a weighted basis. Positive results from the Fund’s lean hogs positions counterbalanced the negative impact of positions in feeder cattle (in which the BCOM does not have exposure) and live cattle.

Fund Total Returns

The following table presents selected total returns for the Fund and BCOM as of December 31, 2015. Market value and net asset value total returns are based on the change in market value and net asset value, respectively, for a share during the period presented. The total returns presented assume the reinvestment of distributions at market value on the distribution payment date for returns based on market value, and at net asset value on the distribution payment date for returns based on net asset value.


	Total Returns as of December 31, 2015
	Cumulative			Average Annual
	3 Months			1 Year			5 Year			Since Inception
Market Value		-10.63	%		-22.69	%		-11.43	%		-10.06	%
Net Asset Value		-10.33	%		-23.89	%		-11.78	%		-9.00	%
BCOM		-10.52	%		-24.66	%		-13.47	%		-10.32	%

“Since inception” returns present performance for the period since the Fund’s commencement of operations on September 27, 2010.

Returns represent past performance, which is no guarantee of future performance.

The graph below presents the Fund’s cumulative total return as of each month end based on the Fund’s market value and net asset value, as well as the cumulative total return of the BCOM as of each month end, for the period January 1, 2011 through December 31, 2015. The total returns on net asset value and market value assume the reinvestment of distributions on the distribution payment date as described above.

LOGO

On December 19, 2014, the Fund issued a press release announcing that the Manager had approved a plan to convert the Fund into an open-ended ETF. The stated purpose of the proposed Conversion is to seek a closer alignment between the Fund’s market price and its net asset value. Following the announcement, the Fund’s market price increased, substantially reducing the Fund’s discount. The Manager believes that investors may have been buying shares in anticipation of the Conversion. In the event the Conversion does not occur, the Fund’s market price may fall, irrespective of the Fund’s performance.

Commodity Portfolio Composition and Weightings

The table below presents the composition of the Fund’s TAP PLUS^SM strategy (Gresham’s long-only rules-based investment strategy, which uses futures and forward contracts to gain exposure to commodities and options to enhance the Fund’s risk-adjusted total return) and the BCOM as of December 31, 2015. The table below serves as a guide to how the composition and weightings of the Fund’s TAP PLUS^SM investment strategy compared to that of the BCOM, a leading commodity market benchmark as of December 31, 2015.


		Composition
Commodity Group	Commodity	TAP PLUS^SM			BCOM
Energy	Crude Oil		15.96	%		13.71	%
	Natural Gas		5.76	%		8.77	%
	Heating Oil		4.30	%		3.14	%
	Unleaded Gas		3.97	%		4.23	%

			29.99	%		29.85	%

Industrial Metals	Copper		9.15	%		7.10	%
	Aluminum		5.11	%		4.72	%
	Nickel		2.03	%		1.46	%
	Zinc		1.78	%		2.21	%
	Lead		0.94	%		0.00	%

			19.01	%		15.49	%

Agriculturals	Soybean		6.25	%		5.65	%
	Corn		3.73	%		7.98	%
	Wheat		3.59	%		4.36	%
	Soybean Meal		3.44	%		2.50	%
	Soybean Oil		0.71	%		3.17	%

			17.72	%		23.66	%

Precious Metals	Gold		8.91	%		12.67	%
	Silver		2.42	%		4.34	%
	Platinum		0.89	%		0.00	%
	Palladium		0.52	%		0.00	%

			12.74	%		17.01	%

Livestock	Live Cattle		7.16	%		3.33	%
	Lean Hogs		3.52	%		1.78	%
	Feeder Cattle		1.82	%		0.00	%

			12.50	%		5.11	%

Foods and Fibers	Sugar		2.92	%		5.00	%
	Cotton		2.18	%		1.93	%
	Coffee		1.93	%		1.95	%
	Cocoa		1.01	%		0.00	%

			8.04	%		8.88	%

Total			100.00	%		100.00	%

Liquidity and Capital Resources

The Fund pursues its investment objective by taking long positions in commodity futures contracts and writing commodity call options as part of an integrated program designed to enhance the risk-adjusted total return of the Fund’s commodity investments. The Fund’s investment activity in futures contracts and writing commodity call

options does not require a significant outlay of capital. The Fund currently expects to post approximately 10% to 25% of its net assets in a margin account with the Fund’s clearing broker to cover its futures contracts; the remaining assets are held by the Fund in a separate collateral pool managed by the Collateral Sub-adviser. The Fund believes the higher allocation to initial margin will provide a significant buffer to accommodate variations in the required margin posting that may result from market volatility, potential gains and losses on the contracts, and changes in margin rules, and will minimize the frequency of cash transfers from the Fund’s other collateral pool to meet variation margin requirements. The Fund does not intend to utilize leverage and its commodity contract positions are fully collateralized. Ordinary expenses and distributions are met by cash on hand, although distributions may at times consist of return of capital and may require that the Fund liquidate investments. The Fund earns interest on its continuing investments in cash equivalents, U.S. government securities and other short-term, high-grade debt securities. The Fund also generates cash from the premiums it receives when writing call options on the Fund’s futures contracts.

The Fund’s investments in commodity futures contracts and options on commodity futures contracts may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, commodity exchanges limit fluctuations in certain commodity futures contract prices during a single day by regulations referred to as “daily limits.” During a single day, no trades may be executed at prices beyond the daily limit. Once the price of a futures contract for a particular commodity has increased or decreased by an amount equal to the daily limit, positions in the futures contract can neither be taken nor liquidated unless the traders are willing to effect trades at or within the limit. Commodity futures prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Such market conditions could prevent the Fund from promptly liquidating its commodity futures positions.

The Fund’s shares trade on the NYSE MKT and shares are not redeemed by the Fund in the normal course of business (although the Manager may decide to do so at its discretion), thereby alleviating the need for the Fund to have liquidity available for possible shareholder redemptions. On December 21, 2011, the Fund announced the adoption of an open-market share repurchase program, pursuant to which it is authorized to repurchase an aggregate of up to 10% of its outstanding common shares as of the authorization date in open-market transactions. On March 6, 2014, the Fund reauthorized its share repurchase program, pursuant to which it may repurchase up to 10% of its outstanding common shares as of the reauthorization date (approximately 920,000 shares) in open-market transactions, at the Manager’s discretion. The Fund did not repurchase any shares during the year ended December 31, 2015.

The Fund is unaware of any other trends, demands, conditions or events that are reasonably likely to result in material changes to the Fund’s liquidity needs.

Because the Fund invests in commodity futures contracts, its capital is at risk from changes in the value of these contracts (market risk) or the inability of clearing brokers or counterparties to perform under the terms of the contracts (credit risk).

Market Risk

Investing in commodity futures and forward contracts involves the Fund entering into contractual commitments to purchase or sell a particular commodity at a specified date and price. The market risk associated with the Fund’s commitments to purchase commodities will be limited to the gross or face amount of the contracts held.

The Fund’s exposure to market risk may be influenced by a number of factors, including changes in international balances of payments and trade, currency devaluations and revaluations, changes in interest and foreign currency exchange rates, price volatility of commodity futures and forwards contracts and market liquidity, weather, geopolitical events and other factors. These factors also affect the Fund’s investments in options on commodity futures and forward contracts. The inherent uncertainty of the Fund’s investments as well as the development of drastic market occurrences could ultimately lead to a loss of all, or substantially all, of investors’ capital.

Credit Risk

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

The Fund attempts to minimize market risks, and the Commodity Sub-adviser attempts to minimize credit risks, by abiding by various investment limitations and policies, which include limiting margin accounts, investing only

in liquid markets and permitting the use of stop-loss orders. The Commodity Sub-adviser implements procedures which include, but are not limited to:

•

Employing the options strategy to limit directional risk (although there is no guarantee that the Fund’s options strategy will be successful);

•

Executing and clearing trades only with counterparties the Commodity Sub-adviser believes are creditworthy;

•

Limiting the amount of margin or premium required for any one commodity contract or all commodity contracts combined; and

•

Generally limiting transactions to contracts which are traded in sufficient volume to permit the efficient taking and liquidating of positions.

A commodity broker, when acting as the Fund’s futures commission merchant, is required by Commodity Futures Trading Commission (“CFTC”) regulations to separately account for and segregate all assets of the Fund relating to domestic futures investments. A commodity broker is not allowed to commingle such assets with other assets of the commodity broker. In addition, CFTC regulations also require a commodity broker, when acting as the Fund’s futures commission merchant, to hold in a “secured” account the assets of the Fund related to foreign commodity futures investments and not commingle such assets with assets of the commodity broker.

If the Fund purchases over-the-counter (“OTC”) commodity put options, the Fund will be exposed to credit risk that the counterparty to the contract will not meet its obligations. In cases where the Fund purchases OTC commodity put options with a counterparty, the sole recourse of the Fund will be the financial resources of the counterparty to the transaction since there is no clearing house to assume the obligations of the counterparty.

As it relates to the Fund’s assets held as collateral for its investments in commodity futures and forwards contracts, there is credit risk present in the securities used to invest the Fund’s cash. While these consist of cash equivalents, U.S. government securities and other short-term, high-grade debt securities, like any investment, these too would be affected by any credit difficulties that might be experienced by their issuers.

Off-Balance Sheet Arrangements

As of December 31, 2015, the Fund has not utilized, nor does it expect to utilize in the future, special purpose entities to facilitate off-balance sheet financing arrangements and has no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Fund. While the Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on the Fund’s financial position.

Contractual Obligations

The Fund’s contractual obligations are with the Manager, the Collateral Sub-adviser, the Commodity Sub-adviser, the custodian, the transfer agent, the commodity broker and, to the extent that the Fund enters into OTC transactions, dealers. Management fee payments made to the Manager are calculated as a percentage of the Fund’s net assets. The custodian fee is primarily based on the Fund’s assets and trading activity. The transfer agent fee is calculated based on the Fund’s total number of registered accounts. Commission payments to the commodity broker are on a contract-by-contract or round-turn basis, and payments to forward contract dealers are usually based on a fee or percentage of the notional value of the contract. The Manager cannot anticipate the amount of payments that will be required under these arrangements for future periods, as these payments are based on figures which are not known until a future date. Additionally, these agreements may be terminated by either party for various reasons.

Critical Accounting Policies

The Fund’s critical accounting policies are as follows:

•

Preparation of the financial statements and related disclosures in conformity with accounting principles generally accepted in the United States requires the application of appropriate accounting rules and guidance, as well as the use of estimates and assumptions. The Fund’s application of these policies involves judgments and actual results may differ from the estimates used.

•

The Fund holds a significant portion of its assets in futures contracts, options contracts, and short-term, high-grade debt instruments, all of which are recorded on a trade date basis and recognized at fair value in the financial statements, with changes in fair value reported on the Statements of Operations as change in net unrealized appreciation (depreciation).

•

The use of fair value to measure financial instruments, with related unrealized appreciation (depreciation) recognized in earnings in each period, is fundamental to the Fund’s financial statements.

•

The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.

•

Generally, commodity futures and forward contracts and options on commodity futures and forward contracts traded on an exchange will be valued at the final settlement price or official closing price as determined by the principal exchange on which the instruments are traded as supplied by independent pricing services. OTC commodity futures and forward contracts and options on commodity futures and forward contracts not traded on an exchange will be valued, in order of hierarchy, by independent pricing services, price quotations obtained from counterparty broker-dealers, or through fair valuation methodologies as determined by the Manager.

•

Market quotations for exchange-traded commodity futures and forward contracts and options on commodity futures and forward contracts may not be readily available as a result of significant events, which can include, but are not limited to: trading halts or suspensions, market disruptions, or the absence of market makers willing to make a market in such instruments. In addition, events may occur after the close of the market, but prior to the determination of the Fund’s net asset value, which may affect the values of the Fund’s investments. In such circumstances, the Manager will determine a fair valuation for such investments that in its opinion is reflective of fair market value.

•

Realized gains (losses) on closed positions and changes in unrealized appreciation (depreciation) on open positions are determined on a specific identification basis and recognized in the Statements of Operations during the period in which the contract is closed or the changes occur, respectively.

•

Interest income, which reflects the amortization of premiums and includes accretion of discounts for financial reporting purposes, is recorded on an accrual basis.

Refer to note 2 of the Fund’s Notes to Financial Statements in “Item 8. Financial Statements and Supplementary Data” of this Report for the summary of significant accounting policies of the Fund.

Item 7A.

Quantitative and Qualitative Disclosures About Market Risk

Quantitative Disclosure

The Fund is exposed to commodity price risk through the futures and forward contracts and the options on futures and forward contracts that the Fund invests in as part of its investment strategy. These instruments have been entered into for trading purposes. The following table provides information about the Fund’s futures contracts and options on futures contracts, which are sensitive to changes in commodity prices, as of December 31, 2015. The Fund expects to invest only in long futures contracts. Some short futures positions arise in futures contracts traded on the London Metal Exchange (“LME”) solely as the result of closing existing long LME futures positions. For every short LME futures contract held by the Fund, the Fund had previously entered into a long futures contract. As of December 31, 2015, the Fund has not invested in forward contracts.

Futures Contracts


Commodity Group	Contract	Contract Position		Contract Expiration		Number of Contracts			Valuation Price		Contract Multiplier		Notional Amount at Value
Energy	Crude Oil
	ICE Brent Crude Oil Futures Contract		Long		February 2016		125		$	37.2800		1,000	$	4,660,000
	ICE Brent Crude Oil Futures Contract		Long		March 2016		71			37.6700		1,000		2,674,570
	NYMEX Crude Oil Futures Contract		Long		February 2016		84			37.0400		1,000		3,111,360
	NYMEX Crude Oil Futures Contract		Long		March 2016		76			38.1700		1,000		2,900,920
	NYMEX Crude Oil Futures Contract		Long		May 2016		8			39.9800		1,000		319,840
	Natural Gas
	NYMEX Natural Gas Futures Contract		Long		February 2016		116			2.3370		10,000		2,710,920
	NYMEX Natural Gas Futures Contract		Long		March 2016		94			2.3630		10,000		2,221,220
	Heating Oil
	ICE Low Sulphur Gasoil Futures Contract		Long		February 2016		55			334.2500		100		1,838,375
	NYMEX NY Harbor ULSD Futures Contract		Long		February 2016		39			1.1239		42,000		1,840,948
	Unleaded Gas
	NYMEX Gasoline RBOB Futures Contract		Long		February 2016		31			1.2710		42,000		1,654,842
	NYMEX Gasoline RBOB Futures Contract		Long		March 2016		32			1.2982		42,000		1,744,781

Industrial Metals	Copper
	COMEX Copper Futures Contract		Long		March 2016		21			2.1350		25,000		1,120,875
	LME Copper Futures Contract		Long		February 2016		35			4.7113		25,000		4,122,344
	LME Copper Futures Contract		Long		March 2016		22			4.7083		25,000		2,589,538
	Aluminum
	LME Primary Aluminum Futures Contract		Long		February 2016		128			1,508.7500		25		4,828,000
	LME Primary Aluminum Futures Contract		Short		February 2016		(12	)		1,508.7500		25		(452,625	)
	Nickel
	LME Nickel Futures Contract		Long		February 2016		33			8,801.5000		6		1,742,697
	Zinc
	LME Zinc Futures Contract		Long		February 2016		38			1,604.2505		25		1,524,038
	Lead
	LME Lead Futures Contract		Long		February 2016		19			1,797.5011		25		853,813
	LME Lead Futures Contract		Short		February 2016		(1	)		1,797.5200		25		(44,938	)

Agriculturals	Soybean
	CBOT Soybean Futures Contract		Long		March 2016		124			8.6425		5,000		5,358,350
	Corn
	CBOT Corn Futures Contract		Long		March 2016		178			3.5875		5,000		3,192,875
	Wheat
	CBOT Wheat Futures Contract		Long		March 2016		43			4.7000		5,000		1,010,500
	KCBT Wheat Futures Contract		Long		March 2016		88			4.6850		5,000		2,061,400
	Soybean Meal
	CBOT Soybean Meal Futures Contract		Long		March 2016		111			265.5000		100		2,947,050
	Soybean Oil
	CBOT Soybean Oil Futures Contract		Long		March 2016		33			0.3075		60,000		608,850

Precious Metals	Gold
	CEC Gold Futures Contract		Long		February 2016		72			1,060.2000		100		7,633,440
	Silver
	CEC Silver Futures Contract		Long		March 2016		30			13.8030		5,000		2,070,450
	Platinum
	NYMEX Platinum Futures Contract		Long		April 2016		17			893.2000		50		759,220
	Palladium
	NYMEX Palladium Futures Contract		Long		March 2016		8			562.0000		100		449,600

Futures Contracts (Continued)


Commodity Group	Contract	Contract Position		Contract Expiration		Number of Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Livestock	Live Cattle
	CME Live Cattle Futures Contract		Long		February 2016		101	$	54.7200		1,000		5,526,720
	CME Live Cattle Futures Contract		Long		April 2016		11		55.1900		1,000		607,090
	Lean Hogs
	CME Lean Hog Futures Contract		Long		February 2016		126		23.9200		1,000		3,013,920
	Feeder Cattle
	CME Feeder Cattle Futures Contract		Long		March 2016		19		81.8250		1,000		1,554,675

Foods and Fibers	Sugar
	ICE Sugar Futures Contract		Long		March 2016		128		0.1524		112,000		2,184,806
	ICE White Sugar Futures Contract		Long		March 2016		15		21.1100		1,000		316,650
	Cotton
	ICE Cotton Futures Contract		Long		March 2016		59		0.6328		50,000		1,866,760
	Coffee
	ICE Coffee C Futures Contract		Long		March 2016		29		47.5125		1,000		1,377,862
	LIFFE Coffee Robusta Futures Contract		Long		March 2016		18		15.3000		1,000		275,400
	Cocoa
	ICE Cocoa Futures Contract		Long		March 2016		27		32.1100		1,000		866,970

Commodity Call Options Written


Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Energy	Crude Oil
	ICE Brent Crude Oil Futures Options		February 2016		(98	)	$	45.00	$	(2,940	)
	NYMEX Crude Oil Futures Options		January 2016		(84	)		41.00		(15,960	)
	Natural Gas
	NYMEX Natural Gas Futures Options		January 2016		(105	)		2.70		(43,050	)
	Heating Oil
	NYMEX NY Harbor ULSD Futures Options		January 2016		(39	)		158.00		(491	)
	Unleaded Gas
	NYMEX Gasoline RBOB Futures Options		January 2016		(31	)		139.00		(20,181	)

Industrial Metals	Copper
	LME Copper Futures Options		February 2016		(34	)		5,000.00		(23,384	)
	Aluminum
	LME Primary Aluminum Futures Options		February 2016		(58	)		1,550.00		(32,567	)
	Nickel
	LME Nickel Futures Options		February 2016		(16	)		9,900.00		(6,810	)
	Zinc
	LME Zinc Futures Options		February 2016		(19	)		1,700.00		(11,452	)
	Lead
	LME Lead Futures Options		February 2016		(9	)		1,775.00		(14,643	)

Agriculturals	Soybean
	CBOT Soybean Futures Options		February 2016		(62	)		980.00		(3,875	)
	Corn
	CBOT Corn Futures Options		February 2016		(89	)		400.00		(7,232	)
	Wheat
	CBOT Wheat Futures Options		February 2016		(21	)		550.00		(2,100	)
	CBOT Wheat Futures Options		February 2016		(44	)		540.00		(4,400	)
	Soybean Meal
	CBOT Soybean Meal Futures Options		February 2016		(55	)		310.00		(3,300	)
	Soybean Oil
	CBOT Soybean Oil Futures Options		February 2016		(16	)		30.00		(13,200	)

Precious Metals	Gold
	COMEX Gold Futures Options		January 2016		(36	)		1,160.00		(1,080	)
	Silver
	CEC Silver Futures Options		February 2016		(15	)		16.00		(2,625	)

Commodity Call Options Written (Continued)


Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value

Livestock	Live Cattle
	CME Live Cattle Futures Options		February 2016		(71	)	$	144.00	$	(20,590	)
	Lean Hogs
	CME Lean Hogs Futures Options		February 2016		(63	)		64.00		(17,640	)

Foods and Fibers	Sugar
	ICE Sugar Futures Options		February 2016		(30	)		13.00		(76,608	)
	ICE Sugar Futures Options		February 2016		(43	)		13.75		(78,019	)
	Cotton
	ICE Cotton Futures Options		February 2016		(30	)		67.00		(5,850	)
	Coffee
	ICE Coffee C Futures Options		February 2016		(17	)		130.00		(30,345	)
	Cocoa
	ICE Cocoa Futures Options		February 2016		(13	)		3,500.00		(1,430	)

CBOT	Chicago Board of Trade

CEC	Commodities Exchange Center

CME	Chicago Mercantile Exchange

COMEX

Commodities Exchange, Inc.

ICE	Intercontinental Exchange

KCBT	Kansas City Board of Trade

LIFFE

London International Financial Futures Exchange

LME	London Metal Exchange

NY Harbor ULSD

New York Harbor Ultra-Low Sulfur Diesel

NYMEX

New York Mercantile Exchange

RBOB	Reformulated Gasoline Blendstock for Oxygen Blending

The Fund also invests the assets held as collateral for its investments in commodity futures and forward contracts in cash equivalents, U.S. government securities, and other short-term, high-quality debt securities, which exposes the Fund to interest rate risk. These instruments are deemed to be entered into for non-trading purposes, with an emphasis on current income, liquidity and preservation of capital. As of December 31, 2015, the Fund held U.S. Treasury bills worth $70,000,297 with a total par value of $70,120,000, and a repurchase agreement worth $1,088,249.

Qualitative Disclosure

The Fund’s primary trading risk exposure is commodity price risk, which affects the futures contracts and options on futures contracts in which the Fund invests. There are numerous uncertainties, contingencies and risks associated with these investments (as discussed in “Item 1A. Risk Factors” and elsewhere in this Annual Report) which include, but are not limited to, government interventions, defaults and expropriations, adverse weather conditions, commodity supply factors, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, and increased regulation. Investors may lose all or substantially all of their investment in the Fund.

The Fund invests in a diversified portfolio of commodity futures and forward contracts to obtain broad exposure to all principal groups in the global commodity markets, thereby limiting its exposure to the commodity price risk of any one futures contract or any specific commodity group. To further help manage commodity price risk, the Fund uses its options strategy in an attempt to enhance the Fund’s risk-adjusted total returns. In up markets, the portion of the Fund on which call options have been sold will forego potential appreciation in the value of the underlying contracts to the extent the price of those contracts exceeds the exercise price of options written plus the premium collected by writing the call options. In flat or sideways markets, the portion of the Fund on which call options have been sold will generate current gains from the premium collected by writing the call options. In down markets, the Fund will experience declines in the value of the underlying contracts to the extent that the amount of the decline in the value of the underlying contracts exceeds the option premium collected by writing the call options. There can be no assurance that the Fund’s options strategy will be successful. The Fund’s risk-adjusted returns over any particular period may be positive or negative.

The Fund’s primary non-trading risk exposures are interest rate risk and credit risk related to the collateral portfolio. Interest rate risk is mitigated by the short-term nature of the collateral portfolio’s debt securities. Credit risk is mitigated by the fact that the collateral portfolio’s debt securities (other than U.S. government securities) are rated at the highest applicable rating as determined by at least one nationally recognized statistical rating organization (“NRSRO”) or, if unrated, judged by the Collateral Sub-advisor to be of comparable quality.

Item 8.

Financial Statements and Supplementary Data

Report of Independent Registered Public Accounting Firm

To the Independent Committee and Shareholders of

Nuveen Diversified Commodity Fund:

In our opinion, the accompanying schedule of investments at December 31, 2015 and the statements of financial condition, the related statements of operations, of changes in shareholders’ capital and of cash flows present fairly, in all material respects, the financial position of Nuveen Diversified Commodity Fund (the “Company”) at December 31, 2015 and December 31, 2014, and the results of its operations and its cash flows for each of the three years in the period ended December 31, 2015, in conformity with accounting principles generally accepted in the United States of America. Also in our opinion, the Company maintained, in all material respects, effective internal control over financial reporting as of December 31, 2015, based on criteria established in Internal Control—Integrated Framework (2013) issued by the Committee of Sponsoring Organizations of the Treadway Commission (COSO). The Company’s management is responsible for these financial statements, for maintaining effective internal control over financial reporting and for its assessment of the effectiveness of internal control over financial reporting, included in Item 9A. Our responsibility is to express opinions on these financial statements, and on the Company’s internal control over financial reporting based on our integrated audits. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement and whether effective internal control over financial reporting was maintained in all material respects. Our audits of the financial statements included 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. Our audit of internal control over financial reporting included obtaining an understanding of internal control over financial reporting, assessing the risk that a material weakness exists, and testing and evaluating the design and operating effectiveness of internal control based on the assessed risk. Our audits also included performing such other procedures as we considered necessary in the circumstances. We believe that our audits provide a reasonable basis for our opinions.

A company’s internal control over financial reporting is a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles. A company’s internal control over financial reporting includes those policies and procedures that (i) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the company; (ii) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the company are being made only in accordance with authorizations of management and directors of the company; and (iii) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use, or disposition of the company’s assets that could have a material effect on the financial statements.

Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.

PricewaterhouseCoopers LLP

Chicago, IL

March 11, 2016

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS

December 31, 2015

Investments


Principal Amount (000)		Description	Coupon			Maturity		Ratings⁽¹⁾		Value
		Short-Term Investments
		U.S. Government and Agency Obligations
	$ 500	U.S. Treasury Bills		0.000	%		2/04/16		Aaa	$	499,956
	6,000	U.S. Treasury Bills		0.000	%		3/03/16		Aaa		5,998,944
	10,000	U.S. Treasury Bills		0.000	%		3/31/16		Aaa		9,995,780
	14,000	U.S. Treasury Bills		0.000	%		4/28/16		Aaa		13,988,268
	15,620	U.S. Treasury Bills		0.000	%		5/26/16		Aaa		15,595,883
	5,000	U.S. Treasury Bills		0.000	%		6/23/16		Aaa		4,988,885
	7,000	U.S. Treasury Bills		0.000	%		7/21/16		Aaa		6,980,281
	8,000	U.S. Treasury Bills		0.000	%		9/15/16		Aaa		7,970,952
	3,500	U.S. Treasury Bills		0.000	%		11/10/16		Aaa		3,484,187
	500	U.S. Treasury Bills		0.000	%		12/08/16		Aaa		497,161

	$ 70,120	Total U.S. Government and Agency Obligations (cost $70,029,645)								$	70,000,297

		Repurchase Agreements
	$ 1,088	Repurchase Agreement with State Street Bank, dated 12/31/15, repurchase price $1,088,250, collateralized by $1,030,000 U.S. Treasury Notes, 3.500%, due 5/15/20, value $1,111,113		0.010	%		1/04/16		N/A	$	1,088,249

		Total Repurchase Agreements (cost $1,088,249)								$	1,088,249

		Total Short-Term Investments (cost $71,117,894)								$	71,088,546

Investments in Derivatives

Futures Contracts outstanding:


Commodity Group	Contract	Contract Position⁽²⁾		Contract Expiration		Number of Contracts⁽³⁾		Notional Amount at Value⁽³⁾		Unrealized Appreciation (Depreciation)⁽⁴⁾
Energy	Crude Oil
	ICE Brent Crude Oil Futures Contract		Long		February 2016		125	$	4,660,000	$	(551,270	)
	ICE Brent Crude Oil Futures Contract		Long		March 2016		71		2,674,570		18,280
	NYMEX Crude Oil Futures Contract		Long		February 2016		84		3,111,360		36,120
	NYMEX Crude Oil Futures Contract		Long		March 2016		76		2,900,920		(173,560	)
	NYMEX Crude Oil Futures Contract		Long		May 2016		8		319,840		7,760

	Total Crude Oil										(662,670	)

	Natural Gas
	NYMEX Natural Gas Futures Contract		Long		February 2016		116		2,710,920		161,680
	NYMEX Natural Gas Futures Contract		Long		March 2016		94		2,221,220		136,090

	Total Natural Gas										297,770

	Heating Oil
	ICE Low Sulphur Gasoil Futures Contract		Long		February 2016		55		1,838,375		(142,000	)
	NYMEX NY Harbor ULSD Futures Contract		Long		February 2016		39		1,840,948		(500,702	)

	Total Heating Oil										(642,702	)

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2015

Investments in Derivatives (Continued)

Futures Contracts outstanding (Continued):


Commodity Group	Contract	Contract Position⁽²⁾		Contract Expiration		Number of Contracts⁽³⁾			Notional Amount at Value⁽³⁾			Unrealized Appreciation (Depreciation)⁽⁴⁾
Energy	Unleaded Gas
(continued)	NYMEX Gasoline RBOB Futures Contract		Long		February 2016		31		$	1,654,842		$	29,468
	NYMEX Gasoline RBOB Futures Contract		Long		March 2016		32			1,744,781			(11,080	)

	Total Unleaded Gas												18,388

	Total Energy												(989,214	)

Industrial Metals	Copper
	COMEX Copper Futures Contract		Long		March 2016		21			1,120,875			(20,212	)
	LME Copper Futures Contract		Long		February 2016		35			4,122,344			94,281
	LME Copper Futures Contract		Long		March 2016		22			2,589,538			(7,563	)

	Total Copper												66,506

	Aluminum
	LME Primary Aluminum Futures Contract		Long		February 2016		128			4,828,000			130,400
	LME Primary Aluminum Futures Contract		Short		February 2016		(12	)		(452,625	)		(5,775	)

	Total Aluminum												124,625

	Nickel
	LME Nickel Futures Contract		Long		February 2016		33			1,742,697			(4,566	)

	Zinc
	LME Zinc Futures Contract		Long		February 2016		38			1,524,038			47,738

	Lead
	LME Lead Futures Contract		Long		February 2016		19			853,813			71,844
	LME Lead Futures Contract		Short		February 2016		(1	)		(44,938	)		(1,900	)

	Total Lead												69,944

	Total Industrial Metals												304,247

Agriculturals	Soybean
	CBOT Soybean Futures Contract		Long		March 2016		124			5,358,350			(163,962	)

	Corn
	CBOT Corn Futures Contract		Long		March 2016		178			3,192,875			(97,512	)

	Wheat
	CBOT Wheat Futures Contract		Long		March 2016		43			1,010,500			(75,375	)
	KCBT Wheat Futures Contract		Long		March 2016		88			2,061,400			(71,462	)

	Total Wheat												(146,837	)

	Soybean Meal
	CBOT Soybean Meal Futures Contract		Long		March 2016		111			2,947,050			(160,380	)

	Soybean Oil
	CBOT Soybean Oil Futures Contract		Long		March 2016		33			608,850			47,124

	Total Agriculturals												(521,567	)

Precious Metals	Gold
	CEC Gold Futures Contract		Long		February 2016		72			7,633,440			(107,280	)

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2015

Investments in Derivatives (Continued)

Futures Contracts outstanding (Continued):


Commodity Group	Contract	Contract Position⁽²⁾		Contract Expiration		Number of Contracts⁽³⁾		Notional Amount at Value⁽³⁾		Unrealized Appreciation (Depreciation)⁽⁴⁾
Precious Metals	Silver
(continued)	CEC Silver Futures Contract		Long		March 2016		30	$	2,070,450	$	(67,875	)

	Platinum
	NYMEX Platinum Futures Contract		Long		April 2016		17		759,220		29,410

	Palladium
	NYMEX Palladium Futures Contract		Long		March 2016		8		449,600		(2,625	)

	Total Precious Metals										(148,370	)

Livestock	Live Cattle
	CME Live Cattle Futures Contract		Long		February 2016		101		5,526,720		187,760
	CME Live Cattle Futures Contract		Long		April 2016		11		607,090		3,140

	Total Live Cattle										190,900

	Lean Hogs
	CME Lean Hog Futures Contract		Long		February 2016		126		3,013,920		(80,500	)

	Feeder Cattle
	CME Feeder Cattle Futures Contract		Long		March 2016		19		1,554,675		(250	)

	Total Livestock										110,150

Foods and Fibers	Sugar
	ICE Sugar Futures Contract		Long		March 2016		128		2,184,806		511,795
	ICE White Sugar Futures Contract		Long		March 2016		15		316,650		11,655

	Total Sugar										523,450

	Cotton
	ICE Cotton Futures Contract		Long		March 2016		59		1,866,760		21,060

	Coffee
	ICE Coffee C Futures Contract		Long		March 2016		29		1,377,862		83,250
	LIFFE Coffee Robusta Futures Contract		Long		March 2016		18		275,400		820

	Total Coffee										84,070

	Cocoa
	ICE Cocoa Futures Contract		Long		March 2016		27		866,970		(13,316	)

	Total Foods and Fibers										615,264

	Total Futures Contracts outstanding						2,251	$	85,644,106	$	(629,490	)

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2015

Investments in Derivatives (Continued)

Call Options Written outstanding:


Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value

Energy	Crude Oil
	ICE Brent Crude Oil Futures Options		February 2016		(98	)	$	45.00	$	(2,940	)
	NYMEX Crude Oil Futures Options		January 2016		(84	)		41.00		(15,960	)

	Total Crude Oil									(18,900	)

	Natural Gas
	NYMEX Natural Gas Futures Options		January 2016		(105	)		2.70		(43,050	)

	Heating Oil
	NYMEX NY Harbor ULSD Futures Options		January 2016		(39	)		158.00		(491	)

	Unleaded Gas
	NYMEX Gasoline RBOB Futures Options		January 2016		(31	)		139.00		(20,181	)

	Total Energy									(82,622	)

Industrial Metals	Copper
	LME Copper Futures Options⁽⁵⁾		February 2016		(34	)		5,000.00		(23,384	)

	Aluminum
	LME Primary Aluminum Futures Options ⁽⁵⁾		February 2016		(58	)		1,550.00		(32,567	)

	Nickel
	LME Nickel Futures Options⁽⁵⁾		February 2016		(16	)		9,900.00		(6,810	)

	Zinc
	LME Zinc Futures Options ⁽⁵⁾		February 2016		(19	)		1,700.00		(11,452	)

	Lead
	LME Lead Futures Options⁽⁵⁾		February 2016		(9	)		1,775.00		(14,643	)

	Total Industrial Metals									(88,856	)

Agriculturals	Soybean
	CBOT Soybean Futures Options		February 2016		(62	)		980.00		(3,875	)

	Corn
	CBOT Corn Futures Options		February 2016		(89	)		400.00		(7,232	)

	Wheat
	CBOT Wheat Futures Options		February 2016		(21	)		550.00		(2,100	)
	CBOT Wheat Futures Options		February 2016		(44	)		540.00		(4,400	)

	Total Wheat									(6,500	)

	Soybean Meal
	CBOT Soybean Meal Futures Options		February 2016		(55	)		310.00		(3,300	)

	Soybean Oil
	CBOT Soybean Oil Futures Options		February 2016		(16	)		30.00		(13,200	)

	Total Agriculturals									(34,107	)

Precious Metals	Gold
	COMEX Gold Futures Options		January 2016		(36	)		1,160.00		(1,080	)

	Silver
	CEC Silver Futures Options		February 2016		(15	)		16.00		(2,625	)

	Total Precious Metals									(3,705	)

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2015

Investments in Derivatives (Continued)

Call Options Written outstanding (Continued):


Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value

Livestock	Live Cattle
	CME Live Cattle Futures Options		February 2016		(71	)	$	144.00	$	(20,590	)

	Lean Hogs
	CME Lean Hogs Futures Options		February 2016		(63	)		64.00		(17,640	)

	Total Livestock									(38,230	)

Foods and Fibers	Sugar
	ICE Sugar Futures Options		February 2016		(30	)		13.00		(76,608	)
	ICE Sugar Futures Options		February 2016		(43	)		13.75		(78,019	)

	Total Sugar									(154,627	)

	Cotton
	ICE Cotton Futures Options		February 2016		(30	)		67.00		(5,850	)

	Coffee
	ICE Coffee C Futures Options		February 2016		(17	)		130.00		(30,345	)

	Cocoa
	ICE Cocoa Futures Options		February 2016		(13	)		3,500.00		(1,430	)

	Total Foods and Fibers									(192,252	)

	Total Call Options Written outstanding
	(premiums received $633,387)				(1,098	)			$	(439,772	)

NUVEEN DIVERSIFIED COMMODITY FUND

SCHEDULE OF INVESTMENTS (Continued)

December 31, 2015


⁽¹⁾		Ratings (not covered by the report of independent registered public accounting firm): Using the highest of Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. rating.
⁽²⁾		The Fund expects to invest only in long futures contracts. Some short futures positions arise in futures contracts traded on the London Metal Exchange (“LME”) solely as the result of closing existing long LME futures positions. For every short LME futures contract outstanding, the Fund had previously entered into a long LME futures contract. The London Clearing House is the counterparty for both the long and short position.
⁽³⁾		Total number of contracts and notional amount at value include the net effect of LME short futures positions, when applicable.
⁽⁴⁾		The gross unrealized appreciation (depreciation) on futures contracts is $1,629,675 and $(2,259,165), respectively.
⁽⁵⁾		For fair value measurement disclosure purposes, these Call Options Written are classified as Level 2. See Notes to Financial Statements, Note 2 – Summary of Significant Accounting Policies, Investment Valuation and Fair Value Measurements for more information.
N/A		Not applicable.
CBOT		Chicago Board of Trade
CEC		Commodities Exchange Center
CME		Chicago Mercantile Exchange
COMEX		Commodities Exchange, Inc.
ICE		Intercontinental Exchange
KCBT		Kansas City Board of Trade
LIFFE		London International Financial Futures Exchange
LME		London Metal Exchange
NY Harbor ULSD		New York Harbor Ultra-Low Sulfur Diesel
NYMEX		New York Mercantile Exchange
RBOB		Reformulated Gasoline Blendstock for Oxygen Blending

See accompanying notes to financial statements.

NUVEEN DIVERSIFIED COMMODITY FUND

STATEMENTS OF FINANCIAL CONDITION

At December 31, 2015 and December 31, 2014


	December 31, 2015			December 31, 2014
ASSETS
Short-term investments, at value (cost $71,117,894 and $113,736,191, respectively)	$	71,088,546		$	113,737,383
Deposits with brokers		16,182,840			21,197,009
Unrealized appreciation on futures contracts		1,629,675			633,319

Total assets	$	88,901,061		$	135,567,711


LIABILITIES
Call options written, at value (premiums received $633,387 and $952,693, respectively)	$	439,772		$	296,907
Unrealized depreciation on futures contracts		2,259,165			11,470,952
Accrued expenses:
Conversion		74,106			—
Management fees		91,477			138,599
Independent Committee fees		10,926			13,103
Professional fees		309,773			341,917
Other		84,301			108,229

Total liabilities		3,269,520			12,369,707


SHAREHOLDERS’ CAPITAL
Paid-in capital, unlimited number of shares authorized, 9,047,040 shares issued and outstanding at December 31, 2015 and December 31, 2014		217,646,428			217,646,428
Accumulated undistributed earnings (deficit)		(132,014,887	)		(94,448,424	)

Total shareholders’ capital (Net assets)		85,631,541			123,198,004

Total liabilities and shareholders’ capital	$	88,901,061		$	135,567,711


Net assets	$	85,631,541		$	123,198,004

Shares outstanding		9,047,040			9,047,040

Net asset value per share outstanding (net assets divided by shares outstanding)	$	9.47		$	13.62

Market value per share outstanding	$	9.02		$	12.83

See accompanying notes to financial statements.

NUVEEN DIVERSIFIED COMMODITY FUND

STATEMENTS OF OPERATIONS

For the Years Ended December 31, 2015, December 31, 2014 and December 31, 2013


	Year Ended December 31,
	2015			2014			2013
Investment Income:
Interest	$	160,723		$	139,301		$	199,940

Total Investment Income		160,723			139,301			199,940

Expenses:
Management fees		1,345,754			1,996,737			2,256,873
Brokerage commissions		128,170			115,325			123,679
Conversion expenses		357,431			—			—
Custodian fees and expenses		100,277			102,590			112,260
Independent Committee fees and expenses		46,293			56,178			52,968
Professional fees		415,384			468,873			517,714
Shareholder reporting expenses		119,891			118,675			159,435
Other expenses		29,597			27,584			32,579

Total expenses		2,542,797			2,885,962			3,255,508

Net investment income (loss)		(2,382,074	)		(2,746,661	)		(3,055,568	)

Net realized gain (loss) from:
Short-term investments		79			547			3,618
Futures contracts		(40,931,647	)		(16,873,345	)		(21,217,789	)
Call options written		5,739,221			3,826,262			4,711,122
Change in net unrealized appreciation (depreciation) of:
Short-term investments		(30,540	)		(20,004	)		(9,983	)
Futures contracts		10,208,143			(12,716,647	)		5,662,047
Call options written		(462,171	)		908,317			(690,565	)

Net realized gain (loss) and change in net unrealized appreciation (depreciation)		(25,476,915	)		(24,874,870	)		(11,541,550	)

Net income (loss)	$	(27,858,989	)	$	(27,621,531	)	$	(14,597,118	)


Net income (loss) per weighted-average share	$	(3.08	)	$	(3.01	)	$	(1.58	)
Weighted-average shares outstanding		9,047,040			9,188,249			9,219,170

See accompanying notes to financial statements.

NUVEEN DIVERSIFIED COMMODITY FUND

STATEMENTS OF CHANGES IN SHAREHOLDERS’ CAPITAL

For the Years Ended December 31, 2015, December 31, 2014 and December 31, 2013


	Year Ended December 31,
	2015			2014			2013
Shareholders’ capital—beginning of period	$	123,198,004		$	167,146,684		$	197,141,908
Repurchase of shares		—			(2,001,984	)		(186,659	)

Net increase (decrease) in shareholders’ capital resulting from operations:
Net investment income (loss)		(2,382,074	)		(2,746,661	)		(3,055,568	)
Net realized gain (loss) from:
Short-term investments		79			547			3,618
Futures contracts		(40,931,647	)		(16,873,345	)		(21,217,789	)
Call options written		5,739,221			3,826,262			4,711,122
Change in net unrealized appreciation (depreciation) of:
Short-term investments		(30,540	)		(20,004	)		(9,983	)
Futures contracts		10,208,143			(12,716,647	)		5,662,047
Call options written		(462,171	)		908,317			(690,565	)

Net income (loss)		(27,858,989	)		(27,621,531	)		(14,597,118	)

Distributions to shareholders		(9,707,474	)		(14,325,165	)		(15,211,447	)

Shareholders’ capital—end of period	$	85,631,541		$	123,198,004		$	167,146,684

Shares—beginning of period		9,047,040			9,206,940			9,219,240
Repurchase of shares		—			(159,900	)		(12,300	)

Shares—end of period		9,047,040			9,047,040			9,206,940

See accompanying notes to financial statements.

NUVEEN DIVERSIFIED COMMODITY FUND

STATEMENTS OF CASH FLOWS

For the Years Ended December 31, 2015, December 31, 2014 and December 31, 2013


	Year Ended December 31,
	2015			2014			2013
Cash flows from operating activities:
Net income (loss)	$	(27,858,989	)	$	(27,621,531	)	$	(14,597,118	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of U.S. Government and agency obligations		(79,908,847	)		(136,568,938	)		(146,062,076	)
Proceeds from sales and maturities of U.S. government and agency obligations		122,690,051			163,699,924			176,495,271
Proceeds from (Purchase of) repurchase agreements, net		(2,828	)		489,859			(991,830	)
Premiums received for call options written		6,566,423			5,003,593			5,116,574
Cash paid for call options written		(1,146,508	)		(1,001,874	)		(602,263	)
Amortization (Accretion) of short-term investments		(160,000	)		(139,301	)		(199,825	)
(Increase) Decrease in deposits with brokers		5,014,169			4,556,754			5,736,696
Increase (Decrease) in:
Accrued conversion expenses		74,106			—			—
Accrued management fees		(47,122	)		(40,227	)		(32,162	)
Accrued Independent Committee fees		(2,177	)		168			(7,188	)
Accrued professional fees		(32,144	)		142,201			24,224
Accrued other expenses		(23,928	)		(43,466	)		42,504
Net realized (gain) loss from:
Short-term investments		(79	)		(547	)		(3,618	)
Call options written		(5,739,221	)		(3,826,262	)		(4,711,122	)
Change in net unrealized (appreciation) depreciation of:
Short-term investments		30,540			20,004			9,983
Futures contracts		(10,208,143	)		12,716,647			(5,662,047	)
Call options written		462,171			(908,317	)		690,565

Net cash provided by (used in) operating activities		9,707,474			16,478,687			15,246,568

Cash flows from financing activities:
Cash paid for shares repurchased		—			(2,153,522	)		(35,121	)
Cash distributions paid to shareholders		(9,707,474	)		(14,325,165	)		(15,211,447	)

Net cash provided by (used in) financing activities		(9,707,474	)		(16,478,687	)		(15,246,568	)

Net increase (decrease) in cash		—			—			—
Cash—beginning of period		—			—			—

Cash—end of period	$	—		$	—		$	—

See accompanying notes to financial statements.

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS

December 31, 2015

1. Organization

Fund Information

The Nuveen Diversified Commodity Fund (the “Fund”) was organized as a Delaware statutory trust on December 7, 2005, to operate as a commodity pool. Nuveen Commodities Asset Management, LLC, the Fund’s manager (“NCAM” or the “Manager”), is a Delaware limited liability company registered as a commodity pool operator with the Commodity Futures Trading Commission (the “CFTC”) and is a member of the National Futures Association (the “NFA”). The Fund commenced operations on September 27, 2010, with its initial public offering. The Fund operates pursuant to a Second Amended and Restated Trust Agreement dated as of March 30, 2012 (the “Trust Agreement”). The Fund’s shares represent units of fractional undivided beneficial interest in, and ownership of, the Fund. The Fund’s shares trade on the NYSE MKT under the ticker symbol “CFD.” The Fund is not a mutual fund, a closed-end fund, or any other type of “investment company” within the meaning of the Investment Company Act of 1940, as amended, and is not subject to regulation thereunder.

Proposed Conversion to Exchange-Traded Fund (“ETF”) Structure

On March 2, 2016 (subsequent to the Fund’s fiscal year end), the Fund announced an update on the expected time frame for the Conversion. Assuming receipt of certain regulatory approval, the Conversion is expected to be completed in the second quarter of 2016. The Conversion requires regulatory clearance, including the adoption of a new exchange rule pursuant to which the Fund’s shares will trade following the Conversion. The Fund has been working with the NYSE MKT, which has initiated the rule making process for the new rule, which will ultimately require approval by the SEC. There can be no assurance that such clearance will be obtained, or if obtained, that the Conversion will be completed in the anticipated time frame.

Investment Adviser

The Manager has selected its affiliate, Gresham Investment Management LLC (“Gresham LLC”), acting through its Near Term Active division (in that capacity, “Gresham” or the “Commodity Sub-adviser”), to manage the Fund’s commodity investment strategy and its options strategy. Gresham LLC is a Delaware limited liability company, the successor to Gresham Investment Management, Inc., formed in July 1992. Gresham LLC is registered with the CFTC as a commodity trading adviser and commodity pool operator, is a member of the NFA and is registered with the SEC as an investment adviser.

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

December 31, 2015

1. Organization (Continued)

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

Investment Objectives and Principal Investment Strategies

•

A collateral portfolio of cash equivalents, U.S. government securities and other short-term, high grade debt securities.

2. Summary of Significant Accounting Policies

The Fund follows accounting and reporting guidance under Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) Topic 946 “Financial Services-Investment Companies.” The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements in accordance with accounting principles generally accepted in the United States (“U.S. GAAP”).

Basis of Accounting

The accompanying financial statements have been prepared in conformity with U.S. GAAP. The preparation of financial statements in conformity with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Futures Contracts

The Fund invests in commodity futures contracts. Upon execution of a futures contract, the Fund is obligated to deposit cash or eligible securities, also known as “initial margin,” into an account at its clearing broker. Generally

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

December 31, 2015

2. Summary of Significant Accounting Policies (Continued)

investments in futures contracts also obligate the investor and the clearing broker to settle monies on a daily basis representing changes in the prior days “mark-to-market” of the open contracts. If the Fund has unrealized appreciation the clearing broker would credit the Fund’s account with an amount equal to appreciation and conversely if the Fund has unrealized depreciation the clearing broker would debit the Fund’s account with an amount equal to depreciation. These daily cash settlements are also known as “variation margin.” In lieu of posting variation margin daily, the Fund has deposited cash with the clearing broker in an amount, generally representing approximately twice the required initial margin to cover the initial margin and the daily changes in the market value of its futures investments. Cash held by the clearing broker to cover both margin requirements on open futures contracts is recognized as “Deposits with brokers” on the Statements of Financial Condition.

During the period the futures contract is open, changes in the value of the contract are recognized as an unrealized gain or loss by “marking-to-market” on a daily basis to reflect the changes in market value of the contract, which are recognized as a component of “Unrealized appreciation or depreciation on futures contracts” on the Statements of Financial Condition and “Change in net unrealized appreciation (depreciation) of futures contracts” on the Statements of Operations. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract on the closing date and the value of the contract when originally entered into, which is recognized as a component of “Net realized gain (loss) from futures contracts” on the Statements of Operations.

The Fund expects to invest only in long futures contracts. Some short futures positions may arise in futures contracts traded on the London Metal Exchange (“LME”) solely as the result of closing existing long LME futures positions. For every short LME futures contract outstanding, the Fund had previously entered into a long futures contract. The LME Clearing House is the counterparty for both the long and short positions.

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

The average number of futures contracts outstanding during the years ended December 31, 2015 and December 31, 2014 was as follows:


	Year Ended December 31, 2015		Year Ended December 31, 2014
Average number of futures contracts outstanding*		2,432		2,764

*	The average number of contracts is calculated based on the number of contracts outstanding at the beginning of the year and at the end of each quarter within the current period.

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

Options Contracts

The Fund may write (sell) and purchase options on commodity futures and forward contracts to enhance the Fund’s risk-adjusted total return. When the Fund writes an option, an amount equal to the premium received is recognized as a component of “Call options written, at value” on the Statements of Financial Condition and is subsequently adjusted to reflect the current value of the written option until the option expires or the Fund enters

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

December 31, 2015

2. Summary of Significant Accounting Policies (Continued)

into a closing purchase transaction. The changes in value of the options written during the reporting period are recognized as a component of “Change in net unrealized appreciation (depreciation) of call options written” on the Statements of Operations. When an option is exercised or expires, or the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid at expiration or on executing a closing purchase transaction is recognized as a component of “Net realized gain (loss) from call options written” on the Statements of Operations. The Fund, as writer of an option, has no control over whether the underlying instrument may be sold (called) and as a result bears the risk of an unfavorable change in the market value of the instrument underlying the written option. There is also the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. During the years ended December 31, 2015 and December 31, 2014, the Fund wrote call options on futures contracts.

The Fund did not purchase options on futures or forward contracts during the years ended December 31, 2015 and December 31, 2014. The purchase of options involves the risk of loss of all or part of the cash paid for the options (the premium). The market risk associated with purchasing options is limited to the premium paid. The counterparty credit risk of purchasing options, however, needs to take into account the current value of the option, as this is the performance expected from the counterparty.

Transactions in call options written during the years ended December 31, 2015 and December 31, 2014 were as follows:


	Year Ended December 31, 2015						Year Ended December 31, 2014
	Number of Contracts			Premiums Received			Number of Contracts			Premiums Received
Outstanding, beginning of period		1,257		$	952,693			1,377		$	777,236
Options written		11,246			6,566,423			9,114			5,003,593
Options terminated in closing purchase transactions		(6,402	)		(3,978,394	)		(4,006	)		(1,970,074	)
Options expired		(4,217	)		(2,400,362	)		(3,848	)		(2,173,528	)
Options exercised		(786	)		(506,973	)		(1,380	)		(684,534	)

Outstanding, end of the period		1,098		$	633,387			1,257		$	952,693

The average number of call options written outstanding during the years ended December 31, 2015 and December 31, 2014 was as follows:


	Year Ended December 31, 2015		Year Ended December 31, 2014
Average number of call options written outstanding*		1,183		1,338

*	The average number of contracts is calculated based on the outstanding number of contracts at the beginning of the year and at the end of each quarter within the current period.

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

Forward Contracts

The Fund may enter into forward contracts but did not make any such investments since its commencement of operations on September 27, 2010. A forward contract is an agreement between two parties to purchase or sell

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

December 31, 2015

2. Summary of Significant Accounting Policies (Continued)

a specified quantity of a commodity at or before a specified date in the future at a specified price. Forward contracts are typically traded in the over-the-counter (“OTC”) markets and all details of the contract are negotiated between the counterparties to the agreement. Accordingly, the forward contracts are valued by reference to the contracts traded in the OTC markets.

The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity, establishing an opposite position in the contract and recognizing the profit or loss on both positions simultaneously on the delivery date or, in some instances, paying a cash settlement before the designated date of delivery. The forward contracts are adjusted by the daily fluctuation of the underlying commodity or currency and any gains or losses are recognized on the Statements of Operations as unrealized appreciation or depreciation until the contract settlement date.

Forward contracts are, in general, not cleared or guaranteed by a third party. The Fund may collateralize forward commodity contracts with cash and/or certain securities as indicated on its Statements of Financial Condition or Schedule of Investments, when applicable, and such collateral is held for the benefit of the counterparty in a segregated account at the custodian to protect the counterparty against non-payment by the Fund. In the event of a default by the counterparty, the Fund will seek return of this collateral and may incur certain costs exercising its right with respect to the collateral.

The Fund remains subject to credit risk with respect to the amount it expects to receive from counterparties, as those amounts are not similarly collateralized by the counterparty. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding. The Fund may obtain only limited recovery or may obtain no recovery in such circumstances.

Participants in trading foreign exchange forward contracts often do not require margin deposits, but rely upon internal credit limitations and their judgments regarding the creditworthiness of their counterparties.

The Fund will enter into forward contracts only with large, well-capitalized and well-established financial institutions. The creditworthiness of each of the firms which is a party to a forward contract is monitored by the Manager.

Netting Agreements

In the ordinary course of business, the Fund has entered into transactions subject to enforceable master repurchase agreements or other similar arrangements (“netting agreements”). Generally, the right to offset in netting agreements allows the Fund to offset any exposure to a specific counterparty with any collateral received or delivered to that counterparty based on the terms of the agreements. The Fund manages its cash collateral and securities collateral on a counterparty basis. As of December 31, 2015 and December 31, 2014, the Fund was not invested in any portfolio securities or derivatives, other than the repurchase agreements further described below, that are subject to netting agreements.

Repurchase Agreements

In connection with transactions in repurchase agreements, it is the Fund’s policy that its custodian take possession of the underlying collateral securities, the fair value of which exceeds the principal amount of the 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.

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

December 31, 2015

2. Summary of Significant Accounting Policies (Continued)

The following tables present the repurchase agreements for the Fund, presented on the Statements of Financial Condition as of December 31, 2015 and December 31, 2014, and recognized as a component of “Short-term investments, at value,” that are subject to netting agreements as of the end of each reporting period, and the collateral delivered related to those repurchase agreements.


	December 31, 2015
	Counterparty		Short-Term Investments, at Value		Collateral Pledged (From) Counterparty*			Net Exposure
Repurchase Agreements		State Street Bank	$	1,088,249	$	(1,088,249	)	$	—


	December 31, 2014
	Counterparty		Short-Term Investments, at Value		Collateral Pledged (From) Counterparty*			Net Exposure
Repurchase Agreements		State Street Bank	$	1,085,421	$	(1,085,421	)	$	—

As of December 31, 2015 and December 31, 2014, the value of the collateral pledged from the counterparty exceeded the value of the repurchase agreements. The value of the collateral pledged from the counterparty as of December 31, 2015 and December 31, 2014 was $1,111,113 and $1,113,007, respectively.

Collateral Investments

Currently, approximately 15% of the Fund’s net assets are committed to secure the Fund’s futures contract positions. These assets are placed in a commodity futures account maintained by the Fund’s clearing broker, and are held in high-quality instruments permitted under CFTC regulations.

The Fund’s remaining assets are held in a separate collateral investment account managed by the Collateral Sub-adviser. The Fund’s assets held in the separate collateral account are invested in cash equivalents, U.S. government securities and other high-quality short-term debt securities with final terms not exceeding one year at the time of investment. The collateral portfolio’s debt securities (other than U.S. government securities) are rated at the highest applicable rating as determined by at least one nationally recognized statistical rating organization, or if unrated, judged by the Collateral Sub-adviser to be of comparable quality.

Investment Valuation

Commodity futures contracts and options on commodity futures contracts traded on an exchange are valued at the final settlement price or official closing price as determined by the principal exchange on which the instruments are traded as supplied by independent pricing services. These investments are generally classified as Level 1 for fair value measurement purposes. OTC commodity futures and forward contracts and options on commodity futures and forward contracts not traded on an exchange are valued, in order of hierarchy, by independent pricing services, price quotations obtained from counterparty broker-dealers, or through fair valuation methodologies as determined by the Manager. These investments are generally classified as Level 2. Additionally, events may occur after the close of the market, but prior to the determination of the Fund’s net asset value, that may affect the values of the Fund’s investments. In such circumstances, the Manager determines a fair valuation for such investments that in its opinion is reflective of fair market value. These investments are generally classified as Level 2 or Level 3 depending on the priority of the significant inputs.

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

December 31, 2015

2. Summary of Significant Accounting Policies (Continued)

Prices of fixed-income securities, including, but not limited to, highly-rated agency discount notes and U.S. Treasury bills, are provided by a pricing service approved by the Fund’s Manager. These securities are generally classified as Level 2. The pricing service establishes a security’s fair value using methods that may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, general market conditions and other information and analysis, including the obligor’s credit characteristics considered relevant. These securities are generally classified as Level 2 or Level 3 depending on the priority of the significant inputs.

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

Fair Value Measurements

Fair value is defined as the price that the Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The following is a summary of the three-tier hierarchy of valuation inputs.

Level 1—Inputs are unadjusted and prices are determined by quoted prices in active markets for identical securities.

Level 2—Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments).

The inputs or methodologies used for valuing securities are not an indication of the risks associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of December 31, 2015 and December 31, 2014:


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

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

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

December 31, 2015

2. Summary of Significant Accounting Policies (Continued)



	December 31, 2014
	Level 1			Level 2			Level 3		Total
Short-Term Investments:
U.S. Government and Agency Obligations	$	—		$	112,651,962		$	—	$	112,651,962
Repurchase Agreements		—			1,085,421			—		1,085,421
Investments in Derivatives:
Futures Contracts*		(10,837,633	)		—			—		(10,837,633	)
Call Options Written**		(296,775	)		(132	)		—		(296,907	)

Total	$	(11,134,408	)	$	113,737,251		$	—	$	102,602,843

*	Represents the net unrealized appreciation (depreciation) of futures contracts as reported on the Statements of Financial Condition.

**	Refer to the Schedule of Investments for a breakdown of call options written classified as Level 2, which is comprised of the Fund’s call options written on the LME.

The Manager is responsible for the Fund’s valuation process and has delegated daily oversight of the process to the Manager’s Valuation Committee. The Valuation Committee, pursuant to its valuation policies and procedures, is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Manager’s senior management. The Valuation Committee is aided in its efforts by the Manager’s Securities Valuation Team, which is responsible for administering the daily valuation process and applying fair value methodologies as approved by the Valuation Committee. When determining the reliability of independent pricing services for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of the pricing services and monitors the quality of security prices received through various testing reports conducted by the Securities Valuation Team.

For each portfolio instrument that has been fair valued pursuant to the Valuation Committee’s policies, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such testing and fair valuation occurrences are reported to the Manager’s senior management.

Investment Transactions

Investment transactions are recorded on a trade date basis. Realized gains and losses from investment transactions are determined on the specific identification method, which is the same for federal income tax purposes.

Investment Income

Interest income, which reflects the amortization of premiums and includes accretion of discounts for financial reporting purposes, is recorded on an accrual basis.

Brokerage Commissions and Fees

The Fund pays brokerage commissions, including applicable clearing costs, exchange fees, NFA fees, give-up fees, pit brokerage fees and other transaction-related fees and expenses, incurred in connection with its commodity trading activities.

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

December 31, 2015

2. Summary of Significant Accounting Policies (Continued)

Income Taxes

No provision for federal, state, and local income taxes has been made in the accompanying financial statements because the Fund has elected to be classified as a partnership for U.S. federal income tax purposes. Each owner of the Fund’s shares will be required to take into account its allocable share of the Fund’s income, gains, losses, deductions and other items for the Fund’s taxable year.

For all open tax years and all major taxing jurisdictions, the Manager of the Fund has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Open tax years are those that are open for examination by taxing authorities (i.e., generally the last four tax year ends and the interim tax period since then). Furthermore, the Manager of the Fund is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

Expense Recognition

All expenses of the Fund are recognized on an accrual basis. The Fund pays all routine and extraordinary costs and expenses of its operations, brokerage expenses, custody fees, transfer agent expenses, professional fees, expenses of preparing, printing and distributing reports, notices, information statements, proxy statements, reports to governmental agencies, and taxes, if any.

In connection with the Conversion described previously, the Fund has incurred certain costs and expenses. Such amounts are recognized as a component of “Accrued other expenses” on the Statements of Financial Condition and “Conversion expenses” on the Statements of Operations.

Calculation of Net Asset Value

The net asset value per share of the Fund on any given day is computed by dividing the value of all assets of the Fund (including any accrued interest), less all liabilities (including accrued expenses and distributions declared but unpaid), by the total number of shares outstanding.

Distributions

The Fund intends to make regular monthly distributions to its shareholders stated in terms of a fixed cents per share distribution rate. Among other factors, the Manager seeks to establish a distribution rate that roughly corresponds to its projections of the total return that could reasonably be expected to be generated by the Fund over an extended period of time. In the event that the amount of income earned or capital gains realized by the Fund is not sufficient to cover the Fund’s distributions, the Fund may be required to liquidate investments to fund distributions at times or on terms that are disadvantageous to the Fund and its shareholders. As market conditions and portfolio performance may change, the rate of distribution on the shares and the Fund’s distribution policy could change. The Manager reserves the right to change the Fund’s distribution policy and the basis for establishing the rate of the Fund’s monthly distributions, or may temporarily suspend or reduce distributions without a change in policy, at any time and may do so without prior notice to shareholders.

Distributions to shareholders are recorded on the ex-dividend date.

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

December 31, 2015

2. Summary of Significant Accounting Policies (Continued)

During the year ended December 31, 2015, the Fund’s monthly per share distribution rate decreased from $0.130 to $0.103 effective with the distribution payable March 2, 2015, from $0.103 to $0.074 effective with the distribution payable August 3, 2015 and $0.074 to $0.058 effective with the distribution payable December 31, 2015.

Commitments and Contingencies

Under the Fund’s organizational documents, the Manager, Wilmington Trust Company (the Fund’s Delaware trustee) and the Manager’s Independent Committee members are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund enters into contracts that provide general indemnifications to other parties. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, the Fund has not had prior claims or losses pursuant to these contracts and believes the risk of loss to be remote.

Financial Instrument Risk

The Fund utilizes commodity futures and options, whose values are based upon an underlying asset and generally represent future commitments that have a reasonable possibility of being settled in cash or through physical delivery. As of December 31, 2015 and December 31, 2014, the financial instruments held by the Fund were traded on an exchange and are standardized contracts.

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

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

The commodity markets have volatility risk. The commodity markets have experienced periods of extreme volatility. General market uncertainty and consequent repricing risk have led to market imbalances of sellers and buyers, which in turn have resulted in significant reductions in values of a variety of commodities. Similar future

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

December 31, 2015

2. Summary of Significant Accounting Policies (Continued)

market conditions may result in rapid and substantial valuation increases or decreases in the Fund’s holdings. In addition, volatility in the commodity and securities markets may directly and adversely affect the setting of distribution rates on the Fund’s shares.

3. Derivative Instruments and Hedging Activities

The Fund records derivative instruments at fair value, with changes in fair value recognized on the Statements of Operations.

The following tables present the fair value of all derivative instruments held by the Fund as of December 31, 2015 and December 31, 2014, the location of these instruments on the Statements of Financial Condition and the primary underlying risk exposure.

December 31, 2015

Location on the Statements of Financial Condition

Underlying
Risk Exposure

Derivative
Instrument

Asset Derivatives

Liability Derivatives

Location

Value

Location

Value

Commodity

Futures Contracts

Unrealized appreciation on futures contracts

1,629,675

Unrealized depreciation on futures contracts

2,259,165

Commodity

Options

—

Call options written, at value

439,772

Total

1,629,675

2,698,937

December 31, 2014

Location on the Statements of Financial Condition

Underlying
Risk Exposure

Derivative
Instrument

Asset Derivatives

Liability Derivatives

Location

Value

Location

Value

Commodity

Futures Contracts

Unrealized appreciation on futures contracts

633,319

Unrealized depreciation on futures contracts

11,470,952

Commodity

Options

—

Call options written, at value

296,907

Total

633,319

11,767,859

The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized on derivative instruments during the years ended December 31, 2015, December 31, 2014 and December 31, 2013, the location of these instruments on the Statements of Operations and the primary underlying risk exposure.



Commodity Risk Exposure	Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2013
Net realized gain (loss) from:
Futures contracts	$	(40,931,647	)	$	(16,873,345	)	$	(21,217,789	)
Call options written		5,739,221			3,826,262			4,711,122
Change in net unrealized appreciation (depreciation) of:
Futures contracts	$	10,208,143		$	(12,716,647	)	$	5,662,047
Call options written		(462,171	)		908,317			(690,565	)

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

December 31, 2015

4. Related Parties

The Manager, the Commodity Sub-adviser and the Collateral Sub-adviser are considered to be related parties to the Fund.

For the services and facilities provided by the Manager, the Fund pays the Manager an annual management fee, payable monthly, based on the Fund’s average daily net assets, according to the following schedule:


Average Daily Net Assets	Management Fee
For the first $500 million		1.250	%
For the next $500 million		1.225
For the next $500 million		1.200
For the next $500 million		1.175
For net assets over $2 billion		1.150

“Average daily net assets” represents the total assets of the Fund, minus the sum of its total liabilities.

The Manager and the Fund have entered into sub-advisory agreements with the Commodity Sub-adviser and the Collateral Sub-adviser. Both the Commodity Sub-adviser and the Collateral Sub-adviser are compensated for their services to the Fund from the management fees paid to the Manager, and the Fund does not reimburse the Manager for those fees.

5. Share Repurchase Program

On December 21, 2011, the Fund adopted an open-market share repurchase program, pursuant to which it was authorized to repurchase up to 10% of its outstanding common shares (approximately 920,000 shares) in open-market transactions at the Manager’s discretion.

On March 6, 2014, the Fund reauthorized its share repurchase program, pursuant to which it may repurchase up to 10% of its outstanding common shares as of the reauthorization date (approximately 920,000 shares) in open-market transactions at the Manager’s discretion.

Transactions in share repurchases during the years ended December 31, 2015, December 31, 2014 and December 31, 2013, were as follows:


	Year Ended December 31, 2015		Year Ended December 31, 2014			Year Ended December 31, 2013
Shares repurchased		—		159,900			12,300

Weighted average price per share repurchased		—	$	12.50		$	15.16

Weighted average discount per share repurchased		—		18.14	%		17.10	%

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

December 31, 2015

6. Financial Highlights

The following financial highlights relate to investment performance and operations for a Fund share outstanding during the years ended December 31, 2015, December 31, 2014 and December 31, 2013. The Net Asset Value presentation is calculated using average daily shares outstanding. The Ratios to Average Net Assets are calculated using average daily net assets. The Total Returns at Net Asset Value and Market Value are based on the change in net asset value and market value, respectively, for a share during the period. An investor’s return and ratios will vary based on the timing of purchasing and selling Fund shares.


	Year Ended December 31,
	2015			2014			2013
Net Asset Value:
Net asset value per share—beginning of period	$	13.62		$	18.15		$	21.38
Net investment income (loss)		(0.26	)		(0.30	)		(0.33	)
Net realized and unrealized gain (loss)		(2.82	)		(2.71	)		(1.25	)
Distributions		(1.07	)		(1.56	)		(1.65	)
Discount from shares repurchased		—			0.04			—	*

Net asset value per share—end of period	$	9.47		$	13.62		$	18.15

Market Value:
Market value per share—beginning of period	$	12.83		$	15.17		$	19.97

Market value per share—end of period	$	9.02		$	12.83		$	15.17

Ratios to Average Net Assets:
Net investment income (loss)		(2.21	)%		(1.72	)%		(1.69	)%

Expenses		2.36	%		1.81	%		1.80	%

Total Returns:^(a)
Based on Net Asset Value		(23.89	)%		(17.75	)%		(7.57	)%

Based on Market Value		(22.69	)%		(6.07	)%		(16.64	)%

(a)

Total Return Based on Net Asset Value is the combination of changes in net asset value per share and the assumed reinvestment of distributions, if any, at net asset value per share on the distribution payment date. The last distribution declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the net asset value per share at the end of the period. Total returns are not annualized.

Total Return Based on Market Value is the combination of changes in the market price per share and the assumed reinvestment of distributions, if any, at the ending market price per share on the distribution payment date. The last distribution declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price per share at the end of the period. Total returns are not annualized.

*	Rounds to less than $.01.

NUVEEN DIVERSIFIED COMMODITY FUND

NOTES TO FINANCIAL STATEMENTS (Continued)

December 31, 2015

7. Selected Quarterly Financial Data (Unaudited)

The following tables present unaudited quarterly results of operations for the quarters within the years ended December 31, 2015 and December 31, 2014. These quarterly results reflect all normal recurring adjustments that are, in the opinion of management, necessary for a fair statement of the results of the Fund.



	For the Three Months Ended 2015
	December 31			September 30			June 30			March 31
Total investment income	$	51,388		$	47,524		$	35,852		$	25,959
Net investment income (loss)	$	(423,719	)	$	(739,808	)	$	(645,397	)	$	(573,150	)
Net realized gain (loss) and change in net unrealized appreciation (depreciation)	$	(9,571,004	)	$	(15,242,161	)	$	5,063,195		$	(5,726,945	)
Net income (loss)	$	(9,994,723	)	$	(15,981,969	)	$	4,417,798		$	(6,300,095	)
Increase (decrease) in net assets	$	(11,858,411	)	$	(17,990,415	)	$	1,622,263		$	(9,339,900	)
Net income (loss) per weighted-average share	$	(1.10	)	$	(1.77	)	$	0.49		$	(0.70	)

	For the Three Months Ended 2014
	December 31			September 30			June 30			March 31
Total investment income	$	30,617		$	33,081		$	38,311		$	37,292
Net investment income (loss)	$	(603,136	)	$	(681,941	)	$	(747,737	)	$	(713,847	)
Net realized gain (loss) and change in net unrealized appreciation (depreciation)	$	(18,531,301	)	$	(17,224,220	)	$	2,887,863		$	7,992,788
Net income (loss)	$	(19,134,437	)	$	(17,906,161	)	$	2,140,126		$	7,278,941
Increase (decrease) in net assets	$	(24,689,468	)	$	(21,496,867	)	$	(1,450,580	)	$	3,688,235
Net income (loss) per weighted-average share	$	(2.10	)	$	(1.94	)	$	0.23		$	0.79

Item 9. Changes in and Disagreements with Accountants on Accounting and Financial Disclosure

None.

Item 9A. Controls and Procedures

Disclosure Controls and Procedures

Under the supervision and with the participation of the principal executive officer and principal financial officer of the Manager of the Fund, the Manager has evaluated the effectiveness of the Fund’s disclosure controls and procedures pursuant to Rules 13a-15(e) and 15d-15(e) under the Exchange Act. Based upon that evaluation, the principal executive officer and principal financial officer concluded that the Fund’s disclosure controls and procedures were effective as of the end of the period covered by this Annual Report to provide reasonable assurance that information required to be disclosed in the reports that the Fund files or submits to the SEC under the Exchange Act is recorded, processed, summarized and reported, within the time periods specified in the applicable rules and forms, and that it is accumulated and communicated to the management of the Manager as appropriate to allow timely decisions regarding required disclosure.

Management’s Annual Report on Internal Control Over Financial Reporting

The Manager is responsible for establishing and maintaining adequate internal control over financial reporting, as defined under Rules 13a-15(f) and 15d-15(f) of the Exchange Act, for the Fund. The Fund’s internal control over financial reporting is a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with accounting principles generally accepted in the United States of America. Internal control over financial reporting includes those policies and procedures that: (1) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the Fund’s assets; (2) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles in the United States of America, and that the Fund’s receipts and expenditures are being made only in accordance with appropriate authorizations; and (3) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use, or dispositions of the Fund’s assets that could have a material effect on the financial statements.

Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements, errors, or fraud. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become ineffective because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.

The principal executive officer and principal financial officer of the Manager assessed the effectiveness of the Fund’s internal control over financial reporting as of December 31, 2015. Their assessment included an evaluation of the design of the Fund’s internal control over financial reporting and testing of the operational effectiveness of their internal control over financial reporting. In making its assessment, the Manager has utilized the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in its report entitled Internal Control – Integrated Framework (2013). Based on their assessment and those criteria, the principal executive officer and principal financial officer of the Manager concluded that the Fund maintained effective internal control over financial reporting as of December 31, 2015.

The effectiveness of the Fund’s internal control over financial reporting as of December 31, 2015, has been audited by PricewaterhouseCoopers LLP (“PwC”), the independent registered public accounting firm that audited and reported on the financial statements included in this Annual Report, as stated in their report which is included in “Item 8. Financial Statements and Supplementary Data” of this Annual Report.

Changes in Internal Control over Financial Reporting

There were no changes in the Fund’s internal control over financial reporting (as defined in Rules 13a-15(f) and 15d-15(f) of the Exchange Act) that occurred during the Fund’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Fund’s internal control over financial reporting.

Item 9B. Other Information

None.

PART III

Item 10.

Directors, Executive Officers and Corporate Governance

The Fund has no executive officers and does not have any employees. The Fund is managed by the Manager and depends upon the Manager’s services and resources. The Delaware Trustee and the Independent Committee have limited duties and responsibilities to the Fund, as described below.

Trustee

Wilmington Trust Company, a Delaware banking corporation, is the Delaware Trustee of the Fund. The Delaware Trustee is unaffiliated with the Manager. The Delaware Trustee’s duties and responsibilities with respect to the Fund’s management are limited to its express obligations under the Trust Agreement. In particular, the Delaware Trustee will accept service of legal process on the Fund in the State of Delaware and will make certain filings as required under the Delaware Statutory Trust Act, as amended. The rights and duties of the Delaware Trustee, the Independent Committee, the Manager and the shareholders are governed by the provisions of the Delaware Statutory Trust Act and by the Trust Agreement. Except for the limited duties described herein and in the Trust Agreement that are exercised by the Delaware Trustee and the Independent Committee, all duties and responsibilities to manage the business and affairs of the Fund are vested in the Manager, pursuant to the Trust Agreement and the Delaware Statutory Trust Act.

Independent Committee

The Manager has established the Independent Committee, comprised of four members who are unaffiliated with the Manager, which fulfills the audit committee and nominating committee functions for the Fund, as well as any other functions required under the NYSE MKT listing standards or as set forth in the Trust Agreement. The Independent Committee is responsible for the appointment, compensation, retention and oversight of the work of the independent registered public accounting firm engaged by the Fund. The Independent Committee is also responsible for appointing members of the Independent Committee in the event of any vacancy caused by death, resignation or removal and determining their compensation. Other than the responsibilities mandated by the NYSE MKT, the Independent Committee will have only the limited authority and responsibilities as set forth under the Trust Agreement.

The persons listed below have been appointed by the Manager as members of the Independent Committee. The names of the members of the Independent Committee, their principal occupations and other affiliations during the past five years, and other directorships they hold are set forth below. The information listed below for each member of the Independent Committee includes the experiences, qualifications, attributes and skills that led to the conclusion that each member of the Independent Committee should serve as such.

Christopher A. Cotter. Mr. Cotter (age 56) is President and Founder of CAC Capital Advisory, LLC where he serves as a consultant to financial services firms and to boutique investment banks from 2015 to present and from 2009 to 2011. From 2011 to 2015, Mr. Cotter was a Managing Director at River Branch Capital, where he was responsible for originating and executing transactions in a financial advisory and merchant banking capacity. Prior to founding CAC Capital Advisory in 2009, Mr. Cotter was a 20-year veteran of William Blair & Company, serving as Principal in the Financial Services Group from 1994 to 2009 and Associate from 1989 to 1993. Mr. Cotter worked on a full range of capital markets transactions, including mergers and acquisitions, private equity placements and public equity offerings for financial institutions. From 1987 to 1989, Mr. Cotter worked as an investment banking associate at Goldman Sachs in New York. Prior to this, he was a Certified Public Accountant at Price Waterhouse in Dallas, Texas since 1981. He earned a Bachelor of Science in Finance from the University of Illinois and holds an MBA from Harvard Business School. Mr. Cotter holds the Series 7, 24, and 63 FINRA licenses.

Jon C. Hunt. Mr. Hunt (age 64) retired in March 2013 from Convergent Capital Management, a multi-boutique asset management company, where he served as Managing Director and Chief Operating Officer from February 1998 through June 2012. He was involved in all management and acquisition activities and primarily responsible for post-acquisition affiliate support, including strategy design and execution, marketing, financial management, operations, governance, and compliance. Mr. Hunt serves as Trustee for the Advisors Inner Circle III Funds and related funds (since February 2014) sponsored by SEI Corporation. Mr. Hunt also serves as trustee (since March 2013) for City National Rochdale Funds, a proprietary fund complex. Prior to serving as trustee for City National Rochdale Funds, he worked as business manager for those Funds, responsible for negotiating contracts, board interaction and advisor/sub-advisor oversight. Prior to joining Convergent Capital, Mr. Hunt worked for the Northern Trust Company from 1973 to 1998. His most recent role was Senior Vice President in the Corporate and Institutional Services group, responsible for product development, product management, and marketing for Northern Trust Global Investments (“NTGI”). Prior to this role, Mr. Hunt was responsible for NTGI Investment Products and Sales and served as the leader of Treasury Management Product Management, Marketing, Production and Servicing. He earned a Bachelor of Arts in Economics from Northwestern University, and an MBA from Kellogg Graduate School of Management.

L. Joe Moravy. Mr. Moravy (age 65) is an independent consultant. From March 2010 to February 2014, he was a Managing Director with Finance Scholars Group, a boutique consulting firm providing litigation support services. From 2008 to March 2010, Mr. Moravy was a Managing Director at LJM Advisory Services, providing audit and accounting related litigation support services. From June 2002 to October 2008, Mr. Moravy was a Partner at Ernst & Young LLP in the Financial Services Practice, providing Assurance and Advisory Services to public and private financial services companies. Prior to Ernst & Young, Mr. Moravy was a Partner from 1987 to 2002 and Audit Professional from 1974 to 1987 at Arthur Andersen LLP. In this role, he provided audit services to public and private financial services companies, as well as advisory services related to derivatives and treasury risk management. Since 2008, Mr. Moravy is a trustee on the board of AQR Funds, where he is the designated financial expert, as well as the Chair of the Audit Committee and member of the Nominating & Governance Committee. Mr. Moravy earned a Bachelor of Science in Business Administration (Economics concentration) from Michigan Technological University in 1972 and an MBA (Accounting concentration) from the University of Michigan in 1974. Mr. Moravy is a Certified Public Accountant in Illinois since 1975. He serves as a Life Trustee of the Michigan Tech Fund and is a member of the American Institute of Certified Public Accountants, Illinois CPA Society and the Independent Directors Council of the Investment Company Institute.

Harry W. Short. Mr. Short (age 68) retired in April 2005 from a fifteen year career (since January 1990) at

The Northern Trust Corporation and The Northern Trust Company, where he served most recently as Executive Vice President and Controller, responsible for all corporate-wide accounting and tax matters, and Sarbanes-Oxley 404 internal controls compliance. He was the Chairman of the Profit Improvement Committee, member of the Corporate Risk Compliance and Credit Policy Committees, and was primary liaison with the Audit Committee of the Board of Directors. Prior to his career at Northern Trust, Mr. Short was a Partner in the Financial Services Practice at the international accounting firm KPMG, where he served from 1969 through 1990, focusing on audit, due diligence, and relationship management for banking and financial services clients. Mr. Short was a Certified Public Accountant in Illinois, New York, and New Jersey. He earned a Bachelor of Business Administration from Siena College, and an MBA from St. John’s University. He served as President of the Board of Directors of the Chicago Children’s Advocacy Center. Mr. Short was a member of the American Institute of Certified Public Accountants, the Illinois CPA Society, the Executive Committee of the Chicago Civic Federation, the Audit Commission of the Bank Administration Institute, and DePaul University Finance Advisory Board.

The Independent Committee has determined that it has at least one “audit committee financial expert” (as defined in Item 407(d)(5) of Regulation S-K) serving on it. The registrant’s audit committee financial experts are Mr. Short and Mr. Moravy, each of whom meets the independent director requirements established by the NYSE MKT.

Manager

The persons listed below serve as executive officers of the Manager. Their names, positions and tenure with the Manager and its affiliates are included below.

William Adams IV (age 60) has served as President of NCAM since August 2011 and was Managing Director of NCAM from April 2010 until August 2011. He is the principal executive officer of NCAM and supervises its overall business activities. Since January 1, 2011, Mr. Adams has also served as Co-President of Nuveen Fund Advisers, LLC (“NFAL”), a registered commodity pool operator that manages investment companies subject to CFTC regulation. As Co-President, he is the executive responsible for all business-related decisions involving closed-end funds managed by NFAL. Mr. Adams is also Co-Chief Executive Officer and Co-President (since March 2016), formerly Senior Executive Vice President (January 2011 – March 2016), and prior thereto, Executive Vice President of Global Structured Products at Nuveen Investments. He is also a member of the Board of Directors of the Nuveen Fund Board (since September 1, 2013). Previously, Mr. Adams was Managing Director of Structured Investments, effective September 1997, where he headed Nuveen’s closed-end fund and unit investment trust business units, and Vice President and Manager of Corporate Marketing, effective August 1994, where he was responsible for the distribution of Nuveen’s investment products, including overseeing all sales and marketing activities. Mr. Adams was listed as a principal and registered as an associated person of NCAM on May 7, 2010 and July 13, 2010, respectively, and of NFAL on August 8, 2012 and January 1, 2013, respectively.

Margo Cook (age 51) has been Managing Director of NCAM since August 2011. In her role as the Head of Investment Services, Ms. Cook serves as the key liaison with sub-advisers of funds managed by NCAM and NFAL. Ms. Cook’s responsibilities include Investment Oversight, Valuation and Risk Management for all investment teams, as well as overseeing investment-related issues on behalf of NCAM and NFAL. Ms. Cook is also Senior Executive Vice President of NFAL (Executive Vice President since 2011), the chair of NCAM and NFAL’s Oversight Committees and is a member of Nuveen Investments’ Executive, Product Development, Operations and Valuation Committees. Ms. Cook is also responsible for the co-management of Nuveen Investments’ Institutional Sales effort, including the Consultant Relations, Taft Hartley and Client Service teams. Ms. Cook is also Co-Chief Executive Officer (since March 2015), formerly, Executive Vice President (July 2013 – 2015), of Nuveen Securities, LLC. She is Co-Chief Executive Officer and Co-President (since March 2016), formerly Senior Executive Vice President (July 2015 – March 2016), and prior thereto Executive Vice President (May 2009 – July 2015) of Nuveen Investments, Inc. Prior to joining Nuveen Investments in October 2008, Ms. Cook served as Global Head of Bear Stearns Asset Management’s institutional asset management business from June 2007 to October 2008, which included managing several equity and fixed income portfolio teams, and serving on the firm’s Executive and Management Committees. Prior to joining Bear Stearns in June 2007, Ms. Cook held a number of leadership roles, starting in September 1986, within The Bank of New York Mellon’s asset management business, including: CIO and Head of Institutional Asset Management (2005 to 2007), Head of Institutional Fixed Income (1996 to 2005) and Senior Fixed Income Portfolio Manager (1988 to 1996). Ms. Cook is a Chartered Financial Analyst charterholder and received an executive MBA from Columbia University in May 2002. Ms. Cook was listed as a principal of NCAM on November 23, 2011, and of NFAL on December 14, 2012.

Stephen D. Foy (age 61) has served as Chief Financial Officer and principal financial officer of NCAM since February 2010. Mr. Foy supervises the records and accounting systems of NCAM and the preparation of the Fund’s financial reports. Mr. Foy, a certified public accountant, is also a Managing Director (since 2014), formerly, Senior Vice President (2013 – 2014) and Vice President (2005 to 2013) of NFAL and Vice President and Controller of the Nuveen Funds (since 1998). In these capacities, Mr. Foy is responsible for overseeing the relationships and operations of the third party fund accountants and custodians for the Nuveen Funds; for managing the fund administration activities for the Nuveen Funds, including shareholder reporting and periodic regulatory filings, preparation of tax returns and performance of tax compliance, preparation of expense budgets and maintenance of accrued expenses; for maintaining the relationships with the independent accountants and the audit committees of the Boards of Directors/Trustees of the Nuveen Funds; and for overseeing the accounting, custody and administration services provided by third parties to certain Dublin-based UCITS funds and other investment vehicles advised by NFAL. Mr. Foy was listed as a principal of NCAM on May 19, 2010.

Carl M. Katerndahl (age 52) has been a Managing Director of NCAM since May 2010. Mr. Katerndahl has also been Senior Executive Vice President (since July 2015), formerly, Executive Vice President, Co-Head of Distribution for Nuveen Investments since December 2007, where he has been responsible for sales and client service for the entire firm, including NCAM and NFAL. In this role, he is responsible for identifying potential customers and financial intermediaries for distribution of NCAM’s and NFAL’s products and services. Previously, Mr. Katerndahl was Managing Director and Head of the Private Client Group for Nuveen Investments since July 2002. Prior thereto, Mr. Katerndahl was a Managing Director and Head of Sales for NWQ Investment Management Company, LLC, a registered investment adviser acquired by Nuveen Investments in August 2002. Mr. Katerndahl was listed as a principal and registered as an associated person of NCAM on June 18, 2010 and July 13, 2010, respectively, and of NFAL on December 7, 2012 and January 1, 2013, respectively. He withdrew his status as an associated person of NCAM and NFAL effective July 16, 2013.

Shanita Smith (age 37) has served as Chief Compliance Officer of NCAM since April 2013. She is responsible for implementing the compliance program and internal controls to ensure NCAM’s compliance with applicable regulatory requirements. Ms. Smith also oversees the compliance program of Nuveen Securities, LLC, a broker-dealer affiliate of NCAM (since May 2012). Ms. Smith assumed these positions after initially joining Nuveen Investments as a Senior Compliance Administrator in January 2011. Previously, Ms. Smith worked at Ariel Investments, an investment management firm (June 2006 to January 2011), where she held a variety of roles in compliance, transfer agent oversight and shareholder communications for the Ariel Mutual Funds. From April 2004 to June 2006, Ms. Smith worked at Vista360, a compliance consulting firm, where she managed client engagements. Prior thereto, Ms. Smith held a compliance position at U.S Bancorp Asset Management, an investment management firm (January 2001 to April 2004), focusing on fund compliance. Ms. Smith was listed as a principal of NCAM on May 6, 2013.

Code of Ethics

The Fund has no officers or employees and is managed by NCAM. NCAM has adopted as a code of ethics a Code of Conduct, which is available at http://www.nuveen.com/CommodityInvestments, on the Fund’s webpage, under the “Literature” tab.

Section 16(a) Beneficial Ownership Reporting Compliance

Section 16(a) of the Exchange Act requires certain personnel of the Manager and the Sub-advisers, members of the Independent Committee and persons who own more than 10% of the Fund’s shares to file reports with the SEC regarding their ownership of the Fund’s shares and changes in such ownership. Employees of the Manager prepare these reports for the Independent Committee members and personnel of the Manager and Sub-advisers who request it on the basis of information obtained from them. Based on the Manager’s review of copies of these reports and other information obtained by the Manager, the Manager believes that during the year ended December 31, 2015, all such necessary reports were filed in a timely manner.

Item 11.

Executive Compensation

The Fund has no officers or employees and is managed by the Manager. None of the officers of the Manager receive compensation from the Fund. The annual fee for each member of the Independent Committee is $30,000, and each member of the Independent Committee also receives (a) a fee of $1,250 per meeting per fund for attendance in person or by telephone at a regularly scheduled quarterly meeting of the Independent Committee; and (b) a fee of $1,500 per meeting for attendance in person or by telephone at any special, non-regularly scheduled meeting of the Independent Committee. In addition, the Independent Committee chair receives an additional annual fee of $6,000. The Independent Committee members are also compensated for out-of-pocket costs in connection with attending Independent Committee meetings. The fees of the Independent Committee members are paid by NCAM, which is reimbursed for such fees on a pro rata basis by each fund managed by NCAM, which are currently the Fund and CTF.

For the services and facilities provided by the Manager, the Fund has agreed to pay the Manager an annual fee of 1.25%, payable monthly, based on its average daily net assets. “Average daily net assets” means the total assets of the Fund, minus the sum of its liabilities.

The Fund incurred $1,345,754 in management fees for the year ended December 31, 2015, of which $91,477 was still payable to the Manager at the end of the year.

Item 12.

Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters

The Fund has no securities authorized for issuance under equity compensation plans.

The following table sets forth information regarding the beneficial ownership of shares of the Fund as of December 31, 2015, by the Manager and its executive officers, portfolio managers and members of the Independent Committee. The address of each beneficial owner is c/o Nuveen Investments, 333 W. Wacker Dr., Chicago, IL 60606.


Name and Address of Beneficial Owner	Amount of Beneficial Ownership		Percent of Class
Manager		840 Shares		0.01	%

Executive Officers of Manager
William Adams IV		18,500 Shares		0.20	%

Independent Committee
L. Joe Moravy		500 Shares		0.01	%
Harry W. Short		1,600 Shares		0.02	%

Other than as set forth in the previous table, no executive officer of the Manager, portfolio manager or member of the Independent Committee owned shares of the Fund as of December 31, 2015. As of that date, no person was known by the Manager to own beneficially more than 5% of the outstanding shares of the Fund.

Item 13.

Certain Relationships and Related Transactions, and Director Independence

See “Item 10. Directors, Executive Officers and Corporate Governance” and “Item 11. Executive Compensation” of this Annual Report.

Item 14.

Principal Accounting Fees and Services

The following table set forth the fees for professional services rendered by the Fund’s independent registered public accountant, PwC, for the years ended December 31, 2015 and December 31, 2014.


	2015		2014
Audit Fees	$	120,600	$	117,000
Audit-Related Fees		—		—
Tax Fees		208,661		203,601
All Other Fees		—		—

Total	$	329,261	$	320,601

Audit fees consist of fees paid to PwC for the audits of the Fund’s December 31, 2015 and December 31, 2014 annual financial statements included on Form 10-K. Audit fees also include fees paid to PwC for the review of the Fund’s Form 10-Qs and services normally provided by independent registered public accountants in connection with statutory and regulatory filings of registration statements.

Tax fees cover certain tax compliance and reporting services to the Fund, including processing beneficial ownership information as it relates to the preparation of tax reporting packages and the subsequent delivery of related information to Fund shareholders and the IRS. Services also include assistance with tax reporting and related information using a web-based tax package product developed by PwC and a toll-free package support help line.

The members of the Independent Committee serve as the audit committee of the Fund. The audit committee is responsible for the appointment, compensation, retention and oversight of the work of the independent registered public accountant, currently PwC. All of the services provided by PwC were pre-approved by the audit committee.

PART IV

Item 15.

Exhibits and Financial Statement Schedules

(a)(1) Financial Statements

See “Item 8. Financial Statements and Supplementary Data” of this Annual Report.

(a)(2) Financial Statement Schedules

No financial statement schedules are filed herewith because (i) such schedules are not required or (ii) the information required has been presented in the aforementioned financial statements.

(a)(3) Exhibits


4.1		Second Amended and Restated Trust Agreement of the Fund. (1)

10.1		Commodity Sub-Advisory Agreement. (2)

10.2		Collateral Sub-Advisory Agreement. (2)

10.3		Custodian Agreement. (2)

10.4		Shareholder Transfer Agency and Service Agreement. (2)

10.5		Subscription Agreement. (3)

10.6		Investment Management Agreement. (2)

10.7		Futures and Options Customer Account Agreement. (2)

31.1		Certification of Principal Executive Officer Pursuant to Rule 13a-14(a) or Rule 15d-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

31.2		Certification of Principal Financial Officer Pursuant to Rule 13a-14(a) or Rule 15d-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

32.1		Certification of Principal Executive Officer Pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

32.2		Certification of Principal Financial Officer Pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

101.INS		XBRL Instance Document.

101.SCH		XBRL Taxonomy Extension Schema Document.

101.CAL		XBRL Taxonomy Extension Calculation Linkbase Document.

101.LAB		XBRL Taxonomy Extension Label Linkbase Document.

101.PRE		XBRL Taxonomy Extension Presentation Linkbase Document.

101.DEF		XBRL Taxonomy Extension Definition Linkbase Document.

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

(2)	Filed on November 12, 2010 as an exhibit to Registrant’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2010 (Commission File No. 001-34789) and incorporated by reference herein.

(3)	Filed on August 31, 2010 as an exhibit to Amendment No. 7 to the Registrant’s Registration Statement on Form S-1 (File No. 333-130360) and incorporated by reference herein.

AFFIRMATION OF THE COMMODITY POOL OPERATOR

To the shareholders of Nuveen Diversified Commodity Fund:

Pursuant to Rule 4.22(h) under the Commodity Exchange Act, the undersigned represents that, to the best of his knowledge and belief, the information contained in the Annual Report on Form 10-K for the year ended December 31, 2015, for Nuveen Diversified Commodity Fund is accurate and complete.

Nuveen Commodities Asset Management, LLC

Manager of Registrant

/s/ William Adams IV

President

(Principal Executive Officer)

SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized, in the City of Chicago, State of Illinois, on March 14, 2016.


Nuveen Diversified Commodity Fund

By:		Nuveen Commodities Asset Management, LLC, its Manager

By: /s/ William Adams IV
President (Principal Executive Officer)

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

Nuveen Commodities Asset Management, LLC

Manager of Registrant


/s/ William Adams IV
President (Principal Executive Officer) March 14, 2016

/s/ Stephen D. Foy
Chief Financial Officer (Principal Financial and Accounting Officer) March 14, 2016

Nuveen Diversified Commodity Fund - FORM 10-K - March 14, 2016

Attached files

Nuveen Diversified Commodity Fund Reports