UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number      811-22003     

Nuveen Core Equity Alpha Fund

(Exact name of registrant as specified in charter)

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

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

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

Date of fiscal year end:         12/31        

Date of reporting period:    3/31/2010   

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

Nuveen Core Equity Alpha Fund (JCE)
March 31, 2010

Shares				Description (1)														Value
				Common Stocks – 98.5%
				Aerospace & Defense – 2.1%
	2,500			Boeing Company														$	181,525
	3,900			General Dynamics Corporation															301,080
	19,400			Goodrich Corporation															1,368,088
	16,800			Honeywell International Inc.															760,536
	200			ITT Industries, Inc.															10,722
	400			Lockheed Martin Corporation															33,288
	1,200			Northrop Grumman Corporation															78,684
	5,400			Precision Castparts Corporation															684,234
	11,000			Rockwell Collins, Inc.															688,490
	5,800			United Technologies Corporation															426,938
				Total Aerospace & Defense															4,533,585
				Air Freight & Logistics – 0.2%
	3,900			FedEx Corporation															364,260
				Airlines – 0.2%
	36,600			Southwest Airlines Co.															483,852
				Auto Components – 0.3%
	20,600			Johnson Controls, Inc.															679,594
				Automobiles – 0.3%
	56,000			Ford Motor Company, (2)															703,920
	1,600			Harley-Davidson, Inc.															44,912
				Total Automobiles															748,832
				Beverages – 3.1%
	39,700			Coca-Cola Company															2,183,500
	51,800			Coca-Cola Enterprises Inc.															1,432,788
	11,300			Constellation Brands, Inc., Class A, (2)															185,772
	29,700			Dr. Pepper Snapple Group, (2)															1,044,549
	9,700			Molson Coors Brewing Company, Class B															407,982
	23,874			PepsiCo, Inc.															1,579,504
				Total Beverages															6,834,095
				Biotechnology – 0.4%
	7,600			Amgen Inc., (2)															454,176
	6,100			Celgene Corporation, (2)															377,956
				Total Biotechnology															832,132
				Capital Markets – 2.4%
	7,000			Ameriprise Financial, Inc.															317,520
	10,200			Bank of New York Company, Inc.															314,976
	3,600			Federated Investors Inc.															94,968
	13,100			Franklin Resources, Inc.															1,452,790
	12,900			Goldman Sachs Group, Inc.															2,201,127
	5,300			Invesco LTD															116,123
	1,300			Legg Mason, Inc.															37,271
	5,400			Morgan Stanley															158,166
	3,700			State Street Corporation															167,018
	4,900			T. Rowe Price Group Inc.															269,157
				Total Capital Markets															5,129,116
				Chemicals – 2.0%
	18,800			Air Products & Chemicals Inc.															1,390,260
	3,300			CF Industries Holdings, Inc.															300,894
	6,500			Dow Chemical Company															192,205
	26,300			E.I. Du Pont de Nemours and Company															979,412
	7,200			Eastman Chemical Company															458,496
	900			International Flavors & Fragrances Inc.															42,903
	12,700			PPG Industries, Inc.															830,580
	1,100			Praxair, Inc.															91,300
	900			Sigma-Aldrich Corporation															48,294
				Total Chemicals															4,334,344
				Commercial Banks – 2.3%
	3,300			BB&T Corporation															106,887
	3,800			Comerica Incorporated															144,552
	86,500			Fifth Third Bancorp.															1,175,535
	14			First Horizon National Corporation, (2)															200
	118,800			Huntington BancShares Inc.															637,956
	1,900			M&T Bank Corporation															150,822
	1,900			Marshall and Ilsley Corporation															15,295
	8,700			PNC Financial Services Group, Inc.															519,390
	15,900			Regions Financial Corporation															124,815
	9,400			SunTrust Banks, Inc.															251,826
	5,700			U.S. Bancorp															147,516
	51,150			Wells Fargo & Company															1,591,788
	1,500			Zions Bancorporation															32,730
				Total Commercial Banks															4,899,312
				Commercial Services & Supplies – 0.4%
	10,600			Avery Dennison Corporation															385,946
	200			Iron Mountain Inc., (2)															5,480
	20,100			R.R. Donnelley & Sons Company															429,135
	2,000			Republic Services, Inc.															58,040
	1,600			Waste Management, Inc.															55,088
				Total Commercial Services & Supplies															933,689
				Communications Equipment – 3.2%
	112,400			Cisco Systems, Inc., (2)															2,925,772
	8,500			Harris Corporation															403,665
	8,400			Juniper Networks Inc., (2)															257,712
	207,600			Motorola, Inc.															1,457,352
	35,700			QUALCOMM, Inc.															1,499,043
	44,500			Tellabs Inc., (2)															336,865
				Total Communications Equipment															6,880,409
				Computers & Peripherals – 8.4%
	18,900			Apple, Inc., (2)															4,440,177
	78,700			Dell Inc., (2)															1,181,287
	32,700			EMC Corporation, (2)															589,908
	56,900			Hewlett-Packard Company															3,024,235
	36,600			International Business Machines Corporation (IBM)															4,693,950
	8,500			Lexmark International, Inc., Class A, (2)															306,680
	49,900			Network Appliance Inc., (2)															1,624,744
	11,700			QLogic Corporation, (2)															237,510
	1,300			SanDisk Corporation, (2)															45,019
	37,800			Teradata Corporation, (2)															1,092,042
	25,200			Western Digital Corporation, (2)															982,548
				Total Computers & Peripherals															18,218,100
				Construction & Engineering – 0.0%
	1,600			Fluor Corporation															74,416
				Consumer Finance – 1.1%
	25,300			American Express Company															1,043,878
	9,200			Capital One Financial Corporation															380,972
	35,500			Discover Financial Services															528,950
	36,200			SLM Corporation, (2)															453,224
				Total Consumer Finance															2,407,024
				Containers & Packaging – 0.5%
	7,500			Ball Corporation															400,350
	5,100			Owens-Illinois, Inc., (2)															181,254
	23,000			Sealed Air Corporation															484,840
				Total Containers & Packaging															1,066,444
				Diversified Consumer Services – 0.2%
	6,300			Devry, Inc.															410,760
	7,400			H & R Block Inc.															131,720
				Total Diversified Consumer Services															542,480
				Diversified Financial Services – 2.3%
	71,500			Bank of America Corporation															1,276,275
	41,300			Citigroup Inc.															167,265
	2,600			CME Group, Inc.															821,886
	1,000			Intercontinental Exchange, Inc., (2)															112,180
	53,905			JPMorgan Chase & Co.															2,412,249
	400			Moody’s Corporation															11,900
	4,400			New York Stock Exchange Euronext															130,284
				Total Diversified Financial Services															4,932,039
				Diversified Telecommunication Services – 3.4%
	241,500			AT&T Inc.															6,240,360
	21,728			CenturyTel, Inc.															770,475
	11,200			Verizon Communications Inc.															347,424
	5,700			Windstream Corporation															62,073
				Total Diversified Telecommunication Services															7,420,332
				Electric Utilities – 0.5%
	2,200			American Electric Power Company, Inc.															75,196
	17,800			FPL Group, Inc.															860,274
	9,000			Pepco Holdings, Inc.															154,350
				Total Electric Utilities															1,089,820
				Electrical Equipment – 0.5%
	18,100			Rockwell Automation, Inc.															1,020,116
				Electronic Equipment & Instruments – 1.0%
	45,400			Agilent Technologies, Inc., (2)															1,561,306
	6,700			Amphenol Corporation, Class A															282,673
	8,300			Corning Incorporated															167,743
	4,300			FLIR Systems Inc., (2)															121,260
	3,500			Molex Inc.															73,010
				Total Electronic Equipment & Instruments															2,205,992
				Energy Equipment & Services – 2.1%
	2,800			Baker Hughes Incorporated															131,152
	31,600			BJ Services Company															676,240
	10,600			Cooper Cameron Corporation, (2)															454,316
	2,700			Diamond Offshore Drilling, Inc.															239,787
	6,600			FMC Technologies Inc., (2)															426,558
	28,200			Halliburton Company															849,666
	2,000			Helmerich & Payne Inc.															76,160
	1,800			Nabors Industries Inc., (2)															35,334
	3,300			National-Oilwell Varco Inc., (2)															133,914
	1,900			Rowan Companies Inc.															55,309
	22,300			Schlumberger Limited															1,415,158
				Total Energy Equipment & Services															4,493,594
				Food & Staples Retailing – 1.7%
	4,000			Costco Wholesale Corporation															238,840
	19,100			CVS Caremark Corporation															698,296
	26,900			Walgreen Co.															997,721
	22,300			Wal-Mart Stores, Inc.															1,239,880
	13,100			Whole Foods Market, Inc., (2)															473,565
				Total Food & Staples Retailing															3,648,302
				Food Products – 2.2%
	8,800			Archer-Daniels-Midland Company															254,320
	5,800			Campbell Soup Company															205,030
	9,300			ConAgra Foods, Inc.															233,151
	10,400			General Mills, Inc.															736,216
	2,400			H.J. Heinz Company															109,464
	1,500			Hormel Foods Corporation															63,015
	10,000			JM Smucker Company															602,600
	9,800			Kellogg Company															523,614
	10,600			Kraft Foods Inc.															320,544
	16,300			Mead Johnson Nutrition Company, Class A Shares															848,089
	25,400			Sara Lee Corporation															353,822
	27,200			Tyson Foods, Inc., Class A															520,880
				Total Food Products															4,770,745
				Gas Utilities – 0.3%
	10,500			EQT Corporation															430,500
	1,300			Nicor Inc.															54,496
	3,700			ONEOK, Inc.															168,905
	1,200			Questar Corporation															51,840
				Total Gas Utilities															705,741
				Health Care Equipment & Supplies – 2.1%
	1,200			Baxter International, Inc.															69,840
	37,900			Boston Scientific Corporation, (2)															273,638
	7,600			CareFusion Corporation, (2)															200,868
	1,400			DENTSPLY International Inc.															48,790
	22,000			Hospira Inc., (2)															1,246,300
	3,400			Intuitive Surgical, Inc., (2)															1,183,642
	10,100			Medtronic, Inc.															454,803
	4,200			Saint Jude Medical Inc., (2)															172,410
	2,200			Stryker Corporation															125,884
	2,100			Varian Medical Systems, Inc.															116,193
	13,200			Zimmer Holdings, Inc., (2)															781,440
				Total Health Care Equipment & Supplies															4,673,808
				Health Care Providers & Services – 3.6%
	1,800			Aetna Inc.															63,198
	15,200			AmerisourceBergen Corporation															439,584
	4,200			Cardinal Health, Inc.															151,326
	32,100			CIGNA Corporation															1,174,218
	26,300			Coventry Health Care, Inc., (2)															650,136
	3,100			Davita Inc., (2)															196,540
	6,200			Express Scripts, Inc., (2)															630,912
	6,000			Humana Inc., (2)															280,620
	19,600			McKesson HBOC Inc.															1,288,112
	11,300			Medco Health Solutions, Inc., (2)															729,528
	17,700			Patterson Companies, Inc., (2)															549,585
	90,400			Tenet Healthcare Corporation, (2)															517,088
	7,500			UnitedHealth Group Incorporated															245,025
	14,500			Wellpoint Inc., (2)															933,510
				Total Health Care Providers & Services															7,849,382
				Hotels, Restaurants & Leisure – 1.4%
	1,700			Carnival Corporation															66,096
	4,500			Darden Restaurants, Inc.															200,430
	6,500			International Game Technology															119,925
	10,618			Marriott International, Inc., Class A															334,679
	4,400			McDonald’s Corporation															293,568
	70,100			Starbucks Corporation, (2)															1,701,327
	1,900			Starwood Hotels & Resorts Worldwide, Inc.															88,616
	6,900			Wyndham Worldwide Corporation															177,537
				Total Hotels, Restaurants & Leisure															2,982,178
				Household Durables – 0.7%
	9,100			Harman International Industries Inc., (2)															425,698
	8,000			Leggett and Platt Inc.															173,120
	1,300			Lennar Corporation, Class A															22,373
	26,000			Newell Rubbermaid Inc.															395,200
	4,187			Black & Decker Inc.															240,376
	2,500			Whirlpool Corporation															218,125
				Total Household Durables															1,474,892
				Household Products – 1.2%
	5,900			Colgate-Palmolive Company															503,034
	1,300			Kimberly-Clark Corporation															81,744
	32,200			Procter & Gamble Company															2,037,294
				Total Household Products															2,622,072
				Independent Power Producers & Energy Traders – 1.1%
	127,400			AES Corporation, (2)															1,401,400
	17,300			Constellation Energy Group															607,403
	14,600			NRG Energy Inc., (2)															305,140
				Total Independent Power Producers & Energy Traders															2,313,943
				Industrial Conglomerates – 2.0%
	11,600			3M Co.															969,412
	177,500			General Electric Company															3,230,500
	4,500			Textron Inc.															95,535
				Total Industrial Conglomerates															4,295,447
				Insurance – 2.1%
	6,700			AFLAC Incorporated															363,743
	4,900			Allstate Corporation															158,319
	9,900			American International Group, (2)															337,986
	1,500			Assurant Inc.															51,570
	1			Berkshire Hathaway Inc., Class B, (2)															121,800
	331			Berkshire Hathaway Inc., Class B, (2)															26,900
	52,400			Genworth Financial Inc., Class A															961,016
	1,500			Lincoln National Corporation															46,050
	21,200			Loews Corporation															790,336
	7,600			Marsh & McLennan Companies, Inc.															185,592
	4,500			Principal Financial Group, Inc.															131,445
	6,900			Progressive Corporation, (2)															131,721
	2,000			Prudential Financial, Inc.															121,000
	3,700			Travelers Companies, Inc.															199,578
	48,600			XL Capital Ltd, Class A															918,540
				Total Insurance															4,545,596
				Internet & Catalog Retail – 1.5%
	9,000			Amazon.com, Inc., (2)															1,221,570
	29,000			Expedia, Inc., (2)															723,840
	5,200			Priceline.com Incorporated, (2)															1,326,000
				Total Internet & Catalog Retail															3,271,410
				Internet Software & Services – 2.3%
	64,900			eBay Inc., (2)															1,749,055
	4,900			Google Inc., Class A, (2)															2,778,349
	26,500			Yahoo! Inc., (2)															438,045
				Total Internet Software & Services															4,965,449
				IT Services – 3.2%
	100			Automatic Data Processing, Inc.															4,447
	37,000			Cognizant Technology Solutions Corporation, Class A, (2)															1,886,260
	16,500			Computer Sciences Corporation, (2)															899,085
	35,200			Fidelity National Information Services															825,088
	11,600			Fiserv, Inc., (2)															588,816
	3,400			MasterCard, Inc.															863,600
	31,400			Total System Services Inc.															491,724
	12,000			Visa Inc.															1,092,360
	15,000			Western Union Company															254,400
				Total IT Services															6,905,780
				Leisure Equipment & Products – 0.1%
	5,300			Mattel, Inc.															120,522
				Life Sciences Tools & Services – 1.4%
	26,000			Life Technologies Corporation, (2)															1,359,020
	2,300			Millipore Corporation, (2)															242,880
	19,400			Perkinelmer Inc.															463,660
	7,700			Thermo Fisher Scientific, Inc., (2)															396,088
	9,500			Waters Corporation, (2)															641,630
				Total Life Sciences Tools & Services															3,103,278
				Machinery – 1.1%
	16,900			Caterpillar Inc.															1,062,165
	900			Deere & Company															53,514
	800			Dover Corporation															37,400
	4,800			Eaton Corporation															363,696
	2,300			Flowserve Corporation															253,621
	8,500			Illinois Tool Works, Inc.															402,560
	1,300			Pall Corporation															52,637
	1,800			Parker Hannifin Corporation															116,532
				Total Machinery															2,342,125
				Media – 4.4%
	35,400			Comcast Corporation, Class A															666,228
	3,700			DIRECTV Group, Inc., (2)															125,097
	5,800			Discovery Communications Inc., Class A Shares, (2)															195,982
	13,400			Gannett Company Inc.															221,368
	19,600			Interpublic Group Companies, Inc., (2)															163,072
	21,500			McGraw-Hill Companies, Inc.															766,475
	2,900			Meredith Corporation															99,789
	3,900			New York Times, Class A															43,407
	60,700			News Corporation, Class A															874,687
	17,700			Omnicom Group, Inc.															686,937
	17,900			Scripps Networks Interactive, Class A Shares															793,865
	25,100			Time Warner Cable, Class A, (2)															1,338,081
	28,966			Time Warner Inc.															905,767
	52,100			Viacom Inc., Class B, (2)															1,791,198
	25,200			Walt Disney Company															879,732
				Total Media															9,551,685
				Metals & Mining – 0.2%
	3,500			Freeport-McMoRan Copper & Gold, Inc.															292,390
	1,300			Newmont Mining Corporation															66,209
	1,500			Nucor Corporation															68,070
				Total Metals & Mining															426,669
				Multiline Retail – 1.1%
	3,000			Big Lots, Inc., (2)															109,260
	800			Family Dollar Stores, Inc.															29,288
	12,500			J.C. Penney Company, Inc.															402,125
	21,000			Kohl’s Corporation, (2)															1,150,380
	5,200			Macy’s, Inc.															113,204
	5,000			Nordstrom, Inc.															204,250
	1,700			Sears Holding Corporation, (2)															184,331
	5,600			Target Corporation															294,560
				Total Multiline Retail															2,487,398
				Multi-Utilities – 0.5%
	6,000			CenterPoint Energy, Inc.															86,160
	600			CMS Energy Corporation															9,276
	1,900			DTE Energy Company															84,740
	3,400			Integrys Energy Group, Inc.															161,092
	14,500			NiSource Inc.															229,100
	1,000			PG&E Corporation															42,420
	3,900			Public Service Enterprise Group Incorporated															115,128
	4,600			Sempra Energy															229,540
	6,600			TECO Energy, Inc.															104,874
				Total Multi-Utilities															1,062,330
				Office Electronics – 0.0%
	7,896			Xerox Corporation															76,986
				Oil, Gas & Consumable Fuels – 7.5%
	8,800			Anadarko Petroleum Corporation															640,904
	1,400			Chesapeake Energy Corporation															33,096
	38,100			Chevron Corporation															2,889,123
	12,700			ConocoPhillips															649,859
	154,400			Exxon Mobil Corporation															10,341,711
	1,400			Murphy Oil Corporation															78,666
	500			Noble Energy, Inc.															36,500
	12,200			Occidental Petroleum Corporation															1,031,388
	2,400			Pioneer Natural Resources Company															135,168
	1,700			Range Resources Corporation															79,679
	2,000			Southwestern Energy Company, (2)															81,440
	11,700			Spectra Energy Corporation															263,601
	2,100			Williams Companies, Inc.															48,510
	1,600			XTO Energy, Inc.															75,488
				Total Oil, Gas & Consumable Fuels															16,385,133
				Paper & Forest Products – 0.4%
	7,200			International Paper Company															177,192
	30,300			MeadWestvaco Corporation															774,165
				Total Paper & Forest Products															951,357
				Personal Products – 0.7%
	31,500			Avon Products, Inc.															1,066,905
	6,200			Estee Lauder Companies Inc., Class A															402,194
				Total Personal Products															1,469,099
				Pharmaceuticals – 4.8%
	4,200			Abbott Laboratories															221,256
	4,900			Allergan, Inc.															320,068
	15,300			Bristol-Myers Squibb Company															408,510
	10,600			Forest Laboratories, Inc., (2)															332,416
	50,200			Johnson & Johnson															3,273,040
	22,400			King Pharmaceuticals Inc., (2)															263,424
	69,532			Merck & Company Inc.															2,597,020
	31,200			Mylan Laboratories Inc., (2)															708,552
	112,590			Pfizer Inc.															1,930,919
	10,500			Watson Pharmaceuticals Inc., (2)															438,585
				Total Pharmaceuticals															10,493,790
				Professional Services – 0.1%
	400			Equifax Inc.															14,320
	9,700			Monster Worldwide Inc., (2)															161,117
				Total Professional Services															175,437
				Real Estate – 0.3%
	2,800			Apartment Investment & Management Company, Class A															51,548
	1,100			AvalonBay Communities, Inc.															94,985
	900			Health Care REIT, Inc.															40,707
	950			Host Hotels & Resorts Inc.															13,918
	2,520			Simon Property Group, Inc.															211,428
	4,500			Ventas Inc.															213,660
				Total Real Estate															626,246
				Real Estate Management & Development – 0.1%
	12,000			CB Richard Ellis Group, Inc., Class A, (2)															190,200
				Road & Rail – 0.6%
	16,400			CSX Corporation															834,760
	5,300			Norfolk Southern Corporation															296,217
	2,400			Ryder System, Inc.															93,024
	1,800			Union Pacific Corporation															131,940
				Total Road & Rail															1,355,941
				Semiconductors & Equipment – 3.7%
	32,300			Advanced Micro Devices, Inc., (2)															299,421
	400			Altera Corporation															9,724
	32,600			Analog Devices, Inc.															939,532
	3,400			Applied Materials, Inc.															45,832
	21,000			Broadcom Corporation, Class A, (2)															696,780
	75,700			Intel Corporation															1,685,082
	31,300			KLA-Tencor Corporation															967,796
	1,000			Linear Technology Corporation															28,280
	25,600			LSI Logic Corporation, (2)															156,672
	22,500			Microchip Technology Incorporated															633,600
	8,900			Micron Technology, Inc., (2)															92,471
	19,000			National Semiconductor Corporation															274,550
	8,100			Novellus Systems, Inc., (2)															202,500
	1,400			NVIDIA Corporation, (2)															24,332
	70,900			Texas Instruments Incorporated															1,734,923
	8,900			Xilinx, Inc.															226,950
				Total Semiconductors & Equipment															8,018,445
				Software – 4.4%
	26,100			Adobe Systems Incorporated, (2)															923,157
	3,700			Autodesk, Inc.															108,854
	10,100			BMC Software, Inc., (2)															383,800
	13,000			Citrix Systems, (2)															617,110
	1,200			Intuit, Inc., (2)															41,208
	4,900			McAfee Inc., (2)															196,637
	126,000			Microsoft Corporation															3,688,020
	81,400			Oracle Corporation															2,091,166
	26,800			Red Hat, Inc., (2)															784,436
	8,500			Salesforce.com, Inc., (2)															632,825
	1,100			Symantec Corporation, (2)															18,612
				Total Software															9,485,825
				Specialty Retail – 2.9%
	4,300			Abercrombie & Fitch Co., Class A															196,252
	3,800			AutoNation Inc., (2)															68,704
	400			AutoZone, Inc., (2)															69,236
	9,800			Bed Bath and Beyond Inc., (2)															428,848
	4,600			Best Buy Co., Inc.															195,684
	13,500			Gap, Inc.															311,985
	16,000			Home Depot, Inc.															517,600
	33,200			Limited Brands, Inc.															817,384
	4,100			Office Depot, Inc., (2)															32,718
	9,000			O’Reilly Automotive Inc., (2)															375,390
	4,300			RadioShack Corporation															97,309
	7,100			Ross Stores, Inc.															379,637
	9,700			Staples, Inc.															226,883
	15,300			Tiffany & Co.															726,597
	33,800			TJX Companies, Inc.															1,437,176
	11,900			Urban Outfitters, Inc., (2)															452,557
				Total Specialty Retail															6,333,960
				Textiles, Apparel & Luxury Goods – 0.9%
	24,900			Coach, Inc.															984,048
	1,200			Nike, Inc., Class B															88,200
	9,700			Polo Ralph Lauren Corporation															824,888
	200			VF Corporation															16,030
				Total Textiles, Apparel & Luxury Goods															1,913,166
				Tobacco – 0.9%
	3,900			Altria Group, Inc.															80,028
	6,200			Lorillard Inc.															466,488
	23,800			Philip Morris International															1,241,408
	4,700			Reynolds American Inc.															253,706
				Total Tobacco															2,041,630
				Trading Companies & Distributors – 0.1%
	1,800			W.W. Grainger, Inc.															194,616
				Wireless Telecommunication Services – 0.0%
	15,300			Sprint Nextel Corporation, (2)															58,140
				Total Common Stocks (cost $186,639,920)															214,012,300
Principal
Amount (000)				Description (1)		Coupon				Maturity				Rating (3)				Value
				Short-Term Investments - 3.8%
				U.S. Government and Agency Obligations - 1.8%
$	2,000			U.S. Treasury Bills, (4)			0.000	%			7/29/10			AAA				$	1,999,042
	2,000			U.S. Treasury Bills, (4)			0.000	%			9/09/10			AAA					1,998,166
	4,000			Total U.S. Government and Agency Obligations															3,997,208
				Repurchase Agreements - 2.0%
	4,285			Repurchase Agreement with State Street Bank, dated 3/31/10, repurchase price $4,284,988, collateralized by $4,375,000 U.S. Treasury Bills, 0.000%, due 9/02/10, value $4,371,063			0.000	%			4/01/10				N/A				4,284,988
$	8,285			Total Short-Term Investments (cost $8,282,157)															8,282,196
				Total Investments (cost $194,922,077) — 102.3%															222,294,496
				Other Assets Less Liabilities — (2.3)%															(5,085,277	)
				Net Assets — 100%														$	217,209,219