Form N-Q

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549

FORM N-Q


QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number         811-09451         

        Nuveen Massachusetts Dividend Advantage Municipal Fund         
(Exact name of registrant as specified in charter)


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


Jessica R. Droeger—Vice President and Secretary
        333 West Wacker Drive, Chicago, Illinois 60606         
(Name and address of agent for service)

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

Date of fiscal year end:            5/31          

Date of reporting period:          2/28/06         

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

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

Item 1. Schedule of Investments

  Portfolio of Investments (Unaudited)

Nuveen Massachusetts Dividend Advantage Municipal Fund (NMB)
February 28, 2006

        Optional         
Principal        Call         
Amount (000)    Description (1)    Provisions (2)    Ratings (3)    Value 
    Consumer Discretionary – 1.7% (1.1% of Total Investments)             
$             500    Boston Industrial Development Financing Authority, Massachusetts, Senior Revenue Bonds,    9/12 at 102.00    Ba3    $   514,490 
     Crosstown Center Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum Tax)             
    Education and Civic Organizations – 27.4% (18.3% of Total Investments)             
450    Massachusetts Development Finance Agency, Revenue Bonds, Western New England College, Series    9/15 at 100.00    AAA    471,330 
     2005A, 5.000%, 9/01/33 – AGC Insured             
495    Massachusetts Development Finance Authority, Revenue Bonds, Massachusetts College of Pharmacy    7/15 at 100.00    AAA    514,825 
     and Allied Health Sciences, Series 2005D, 5.000%, 7/01/27 – AGC Insured             
500    Massachusetts Development Finance Authority, Revenue Bonds, Milton Academy, Series 2003A,    9/13 at 100.00    AA–    536,005 
     5.000%, 9/01/19             
1,000    Massachusetts Development Finance Authority, Revenue Refunding Bonds, Boston University,    5/29 at 105.00    A3    1,176,610 
     Series 1999P, 6.000%, 5/15/59             
1,085    Massachusetts Educational Finance Authority, Educational Loan Revenue Bonds, Series 2001E,    7/10 at 100.00    AAA    1,106,255 
     5.300%, 1/01/16 – AMBAC Insured (Alternative Minimum Tax)             
1,000    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Boston College,    6/13 at 100.00    AA–    1,078,340 
     Series 2003N, 5.250%, 6/01/18             
500    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Massachusetts    No Opt. Call    AAA    558,830 
     Institute of Technology, Series 2004M, 5.250%, 7/01/15             
2,000    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Tufts University,    2/11 at 100.00    AA–    2,146,659 
     Series 2001I, 5.500%, 2/15/36             
250    University of Massachusetts Building Authority, Senior Lien Project Revenue Bonds, Series    11/14 at 100.00    AAA    274,180 
     2004-1, 5.250%, 11/01/24 – AMBAC Insured             
250    University of Massachusetts Building Authority, Senior Lien Project Revenue Bonds, Series    No Opt. Call    AAA    272,880 
     2005-1, 5.000%, 5/01/15 – AMBAC Insured             
7,530    Total Education and Civic Organizations            8,135,914 
    Health Care – 19.8% (13.2% of Total Investments)             
500    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Berkshire Health    10/11 at 101.00    BBB+    531,540 
     System, Series 2001E, 6.250%, 10/01/31             
250    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Caritas Christi    1/09 at 101.00    BBB    257,418 
     Obligated Group, Series 1999A, 5.625%, 7/01/20             
375    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Covenant Health    1/12 at 101.00    A    401,790 
     Systems Obligated Group, Series 2002, 6.000%, 7/01/31             
315    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Emerson Hospital,    8/15 at 100.00    AA    322,390 
     Series 2005E, 5.000%, 8/15/35 – RAAI Insured             
600    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Lahey Clinic Medical    8/15 at 100.00    AAA    640,056 
     Center, Series 2005C, 5.000%, 8/15/21 – FGIC Insured             
500    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milton Hospital    7/15 at 100.00    BBB-    507,710 
     Project, Series 2005D, 5.250%, 7/01/30             
500    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Northern Berkshire    7/14 at 100.00    BB-    528,055 
     Community Services Inc., Series 2004B, 6.375%, 7/01/34             
1,000    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Partners HealthCare    7/09 at 101.00    AA–    1,038,790 
     System Inc., Series 1999B, 5.125%, 7/01/19             
1,000    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Partners HealthCare    7/11 at 101.00    AA–    1,089,690 
     System Inc., Series 2001C, 5.750%, 7/01/32             
500    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, UMass Memorial    7/11 at 100.00    BBB    544,470 
     Health Care, Series 2001C, 6.625%, 7/01/32             
5,540    Total Health Care            5,861,909 
    Housing/Multifamily – 13.3% (8.9% of Total Investments)             
1,000    Massachusetts Development Finance Authority, GNMA Collateralized Assisted Living Facility    3/12 at 105.00    AAA    1,108,600 
     Revenue Bonds, Arbors at Chicopee, Series 2001A, 6.250%, 9/20/42 (Alternative Minimum Tax)             
500    Massachusetts Housing Finance Agency, Housing Revenue Bonds, Series 2003S, 5.050%, 12/01/23    6/13 at 100.00    AA–    510,405 
     (Alternative Minimum Tax)             
1,215    Massachusetts Housing Finance Agency, Rental Housing Mortgage Revenue Bonds, Series 2001A,    1/11 at 100.00    AAA    1,265,556 
     5.850%, 7/01/35 – AMBAC Insured (Alternative Minimum Tax)             
1,000    Somerville Housing Authority, Massachusetts, GNMA Collateralized Mortgage Revenue Bonds,    5/12 at 103.00    AAA    1,061,470 
     Clarendon Hill Towers, Series 2002, 5.200%, 11/20/22             
3,715    Total Housing/Multifamily            3,946,031 
    Housing/Single Family – 2.9% (2.0% of Total Investments)             
840    Massachusetts Housing Finance Agency, Single Family Housing Revenue Bonds, Series 82, 5.375%,    6/10 at 100.00    AAA    865,511 
     12/01/20 – FSA Insured (Alternative Minimum Tax)             
    Industrials – 0.8% (0.4% of Total Investments)             
200    Massachusetts Development Finance Agency, Solid Waste Disposal Revenue Bonds, Waste Management    No Opt. Call    BBB    213,610 
     Inc., Series 2003, 5.450%, 6/01/14             
    Long-Term Care – 2.4% (1.6% of Total Investments)             
655    Massachusetts Development Finance Authority, First Mortgage Revenue Bonds, Berkshire    7/11 at 102.00    BBB–    700,778 
     Retirement Community – Edgecombe Project, Series 2001A, 6.750%, 7/01/21             
    Tax Obligation/General – 33.8% (22.6% of Total Investments)             
310    Ashland, Massachusetts, General Obligation Bonds, Series 2004, 5.250%, 5/15/23 – AMBAC Insured    5/15 at 100.00    Aaa    339,726 
1,000    Boston, Massachusetts, General Obligation Bonds, Series 2001A, 5.000%, 2/01/20    2/11 at 100.00    Aa1    1,056,400 
2,000    Brookline, Massachusetts, General Obligation Bonds, Series 2000, 5.375%, 4/01/17    4/10 at 101.00    Aaa    2,146,419 
500    East Longmeadow, Massachusetts, General Obligation Bonds, Series 2001, 5.000%, 8/01/14 – AMBAC    8/11 at 101.00    Aaa    537,965 
     Insured             
440    Fall River, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 2/01/21 – FSA Insured    2/13 at 101.00    AAA    472,063 
1,675    Lawrence, Massachusetts, General Obligation Bonds, Series 2001, 5.000%, 2/01/21 – AMBAC Insured    2/11 at 100.00    Aaa    1,771,161 
1,095    Lynn, Massachusetts, General Obligation Bonds, Series 2001, 5.375%, 8/15/12 – FGIC Insured    8/11 at 101.00    Aaa    1,198,248 
750    Massachusetts, General Obligation Bonds, Consolidated Loan, Series 2002D, 5.500%, 8/01/19    No Opt. Call    AA    864,690 
500    Norwell, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 11/15/20 – FGIC Insured    No Opt. Call    AAA    557,240 
    Springfield, Massachusetts, General Obligation Bonds, Series 2003:             
500     5.250%, 1/15/15 – MBIA Insured    1/13 at 100.00    AAA    545,820 
500     5.250%, 1/15/23 – MBIA Insured    1/13 at 100.00    AAA    541,560 
9,270    Total Tax Obligation/General            10,031,292 
    Tax Obligation/Limited – 16.1% (10.8% of Total Investments)             
395    Martha’s Vineyard Land Bank, Massachusetts, Revenue Bonds, Series 2004, 5.000%, 5/01/26 -    5/14 at 100.00    AAA    419,320 
     AMBAC Insured             
210    Massachusetts Bay Transportation Authority, Assessment Bonds, Series 2000A, 5.250%, 7/01/30    7/10 at 100.00    AAA    222,115 
450    Massachusetts Bay Transportation Authority, Assessment Bonds, Series 2005A, 5.000%, 7/01/18    7/15 at 100.00    AAA    487,139 
385    Massachusetts Bay Transportation Authority, Senior Lien Sales Tax Revenue Bonds, Series 2004C,    No Opt. Call    AAA    437,626 
     5.250%, 7/01/21             
230    Massachusetts College Building Authority, Project Revenue Bonds, Series 2004A, 5.000%, 5/01/19    5/14 at 100.00    AAA    246,305 
     – MBIA Insured             
250    Massachusetts College Building Authority, Project Revenue Bonds, Series 2006A, 5.000%, 5/01/31    5/16 at 100.00    AAA    265,875 
     (WI/DD, Settling 3/08/06) – AMBAC Insured             
500    Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2005A,    8/15 at 100.00    AAA    538,860 
     5.000%, 8/15/20 – FSA Insured             
230    Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, Series 2005, 5.000%, 1/01/20 –    No Opt. Call    AAA    254,642 
     FGIC Insured             
1,250    Massachusetts, Special Obligation Refunding Notes, Federal Highway Grant Anticipation Note    No Opt. Call    Aaa    1,347,537 
     Program, Series 2003A, 5.000%, 12/15/13 – FSA Insured             
500    Virgin Islands Public Finance Authority, Gross Receipts Taxes Loan Note, Series 1999A, 6.375%,    10/10 at 101.00    BBB    555,730 
     10/01/19             
4,400    Total Tax Obligation/Limited            4,775,149 
    Transportation – 6.4% (4.3% of Total Investments)             
800    Massachusetts Port Authority, Revenue Bonds, Series 2005A, 5.000%, 7/01/23 – AMBAC Insured    7/15 at 100.00    AAA    852,488 
1,000    Massachusetts Port Authority, Special Facilities Revenue Bonds, BOSFUEL Corporation, Series    7/07 at 102.00    AAA    1,040,190 
     1997, 5.500%, 7/01/18 – MBIA Insured (Alternative Minimum Tax)             
1,800    Total Transportation            1,892,678 
    U.S. Guaranteed – 6.8% (4.6% of Total Investments) (4)             
500    Massachusetts, General Obligation Bonds, Consolidated Loan, Series 2004B, 5.000%, 8/01/24    8/14 at 100.00    AA (4)    539,715 
     (Pre-refunded 8/01/14)             
750    Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, Series 2004, 5.250%, 1/01/25    1/14 at 100.00    AAA    821,783 
     (Pre-refunded 1/01/14) – FGIC Insured             
600    University of Massachusetts Building Authority, Senior Lien Project Revenue Bonds, Series    11/13 at 100.00    AAA    661,278 
     2003-1, 5.250%, 11/01/18 (Pre-refunded 11/01/13) – AMBAC Insured             
1,850    Total U.S. Guaranteed            2,022,776 
    Utilities – 6.4% (4.3% of Total Investments)             
1,070    Massachusetts Development Finance Agency, Resource Recovery Revenue Bonds, SEMass System,    1/12 at 101.00    AAA    1,177,310 
     Series 2001A, 5.625%, 1/01/14 – MBIA Insured             
205    Massachusetts Development Finance Agency, Solid Waste Disposal Revenue Bonds, Dominion Energy    8/16 at 100.00    Baa1    207,653 
     Brayton Point Project, Series 2006, 5.000%, 2/01/36 (Alternative Minimum Tax)             
500    Massachusetts Industrial Finance Agency, Resource Recovery Revenue Refunding Bonds, Ogden    12/08 at 102.00    BBB    511,650 
     Haverhill Project, Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax)             
1,775    Total Utilities            1,896,613 
    Water and Sewer – 11.9% (7.9% of Total Investments)             
530    Boston Water and Sewerage Commission, Massachusetts, General Revenue Bonds, Senior Series    11/14 at 100.00    AA    563,501 
     2004A, 5.000%, 11/01/25             
125    Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2005,    7/15 at 100.00    Ba2    135,053 
     6.000%, 7/01/25             
500    Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 11, 4.500%,    8/15 at 100.00    AAA    504,540 
     8/01/29             
500    Massachusetts Water Pollution Abatement Trust, Revenue Bonds, MWRA Loan Program, Series 2002A,    8/12 at 100.00    AAA    540,235 
     5.250%, 8/01/20             
1,405    Massachusetts Water Pollution Abatement Trust, Revenue Bonds, MWRA Loan Program, Subordinate    8/09 at 101.00    AAA    1,511,091 
     Series 1999A, 5.750%, 8/01/29             
250    Massachusetts Water Resources Authority, General Revenue Bonds, Series 2005A, 5.000%, 8/01/28    8/17 at 100.00    AAA    267,878 
     – MBIA Insured             
3,310    Total Water and Sewer            3,522,298 
$        41,385    Total Investments (cost $42,538,978) – 149.7%            44,379,049 
    Other Assets Less Liabilities – 0.9%            261,510 
    Preferred Shares, at Liquidation Value – (50.6)%            (15,000,000) 
    Net Assets Applicable to Common Shares – 100%            $  29,640,559 

(1)    All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares 
    unless otherwise noted. 
(2)    Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There 
    may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject 
    to periodic principal paydowns. 
(3)    Ratings: Using the higher of Standard & Poor’s or Moody’s rating. Ratings below BBB by Standard & Poor’s 
    Group or Baa by Moody’s Investor Service, Inc. are considered to be below investment grade. 
(4)    Investment is backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency 
    securities which ensure the timely payment of principal and interest. Such investments are normally considered 
    to be equivalent to AAA rated securities. 
WI/DD    Investment purchased on a when-issued or delayed delivery basis. 

Income Tax Information

The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to the treatment of paydown gains and losses, timing differences in recognizing taxable market discount and timing differences in recognizing certain gains and losses on investment transactions.

At February 28, 2006, the cost of investments was $42,519,611.

Gross unrealized appreciation and gross unrealized depreciation of investments at February 28, 2006, were as follows:

Gross unrealized:     
  Appreciation    $1,884,973 
  Depreciation    (25,535) 
Net unrealized appreciation (depreciation) of investments    $1,859,438 

Item 2. Controls and Procedures.

  1. The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)).
  2. There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting.

Item 3. Exhibits.

File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)), exactly as set forth below: EX-99 CERT Attached hereto.


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant)         Nuveen Massachusetts Dividend Advantage Municipal Fund        

By (Signature and Title)*          /s/ Jessica R. Droeger                     
                                                    Jessica R. Droeger
                                                    Vice President and Secretary

Date         April 28, 2006        

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title)*         /s/ Gifford R. Zimmerman                    
                                                   Gifford R. Zimmerman
                                                   Chief Administrative Officer (principal executive officer) 

Date         April 28, 2006        

By (Signature and Title)*         /s/ Stephen D. Foy                              
                                                   Stephen D. Foy
                                                   Vice President and Controller (principal financial officer) 

Date        April 28, 2006        

* Print the name and title of each signing officer under his or her signature.