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:    9/30/2008   

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)
September 30, 2008

Shares				Description (1)								Value
				Common Stocks – 95.9%
				Aerospace & Defense – 4.5%
	12,700			Boeing Company								$	728,345
	12,500			General Dynamics Corporation									920,250
	23,200			Goodrich Corporation									965,120
	43,800			Honeywell International Inc.									1,819,890
	4,900			L-3 Communications Holdings, Inc.									481,768
	27,200			Lockheed Martin Corporation									2,983,024
	3,900			Northrop Grumman Corporation									236,106
	15,000			Precision Castparts Corporation									1,181,700
	11,900			Raytheon Company									636,769
	15,200			United Technologies Corporation									912,912
				Total Aerospace & Defense									10,865,884
				Air Freight & Logistics – 0.4%
	8,800			C.H. Robinson Worldwide, Inc.									448,448
	8,700			Expeditors International of Washington Inc.									303,108
	3,600			United Parcel Service, Inc., Class B									226,404
				Total Air Freight & Logistics									977,960
				Airlines – 0.0%
	1,300			Southwest Airlines Co.									18,863
				Auto Components – 0.8%
	26,000			Goodyear Tire & Rubber Company, (2)									398,060
	47,500			Johnson Controls, Inc.									1,440,675
				Total Auto Components									1,838,735
				Automobiles – 0.2%
	41,900			General Motors Corporation, (2)									395,955
	300			Harley-Davidson, Inc.									11,190
				Total Automobiles									407,145
				Beverages – 4.0%
	10,200			Brown-Forman Corporation									732,462
	84,700			Coca-Cola Company									4,478,936
	31,600			Coca-Cola Enterprises Inc.									529,932
	5,000			Constellation Brands, Inc., Class A, (2)									107,300
	8,400			Molson Coors Brewing Company, Class B									392,700
	9,200			Pepsi Bottling Group, Inc.									268,364
	44,700			PepsiCo, Inc.									3,185,769
				Total Beverages									9,695,463
				Biotechnology – 1.0%
	3,500			Amgen Inc., (2)									207,445
	5,000			Biogen Idec Inc., (2)									251,450
	8,200			Celgene Corporation, (2)									518,896
	9,100			Genzyme Corporation, (2)									736,099
	13,400			Gilead Sciences, Inc., (2)									610,772
				Total Biotechnology									2,324,662
				Building Products – 0.1%
	2,700			Fastenal Company									133,353
				Capital Markets – 1.9%
	5,000			American Capital Limited									127,550
	7,600			Bank of New York Company, Inc.									247,608
	19,100			Charles Schwab Corporation									496,600
	19,000			Federated Investors Inc.									548,150
	4,600			Goldman Sachs Group, Inc.									588,800
	9,000			Invesco LTD									188,820
	22,705			JPMorgan Chase & Co.									1,060,324
	3,800			Morgan Stanley									87,400
	10,300			State Street Corporation									585,864
	13,300			T. Rowe Price Group Inc.									714,343
				Total Capital Markets									4,645,459
				Chemicals – 1.6%
	10,300			Air Products & Chemicals Inc.									705,447
	2,000			CF Industries Holdings, Inc.									182,920
	1,700			Dow Chemical Company									54,026
	7,200			E.I. Du Pont de Nemours and Company									290,160
	1,300			Eastman Chemical Company									71,578
	12,200			Ecolab Inc.									591,944
	2,500			PPG Industries, Inc.									145,800
	10,600			Praxair, Inc.									760,444
	600			Rohm and Haas Company									42,000
	19,000			Sigma-Aldrich Corporation									995,980
				Total Chemicals									3,840,299
				Commercial Banks – 3.6%
	97,900			Bank of America Corporation									3,426,500
	23,000			BB&T Corporation									869,400
	5,200			M&T Bank Corporation									464,100
	3,500			Marshall and Ilsley Corporation									70,525
	16,100			Northern Trust Corporation									1,162,420
	5,000			PNC Financial Services Group, Inc.									373,500
	10,900			Regions Financial Corporation									104,640
	30,300			U.S. Bancorp									1,091,406
	5,200			Wachovia Corporation									18,200
	34,200			Wells Fargo & Company									1,283,526
				Total Commercial Banks									8,864,217
				Commercial Services & Supplies – 0.1%
	5,100			Allied Waste Industries, Inc., (2)									56,661
	4,300			Equifax Inc.									148,135
	2,800			Robert Half International Inc.									69,300
				Total Commercial Services & Supplies									274,096
				Communications Equipment – 1.9%
	7,600			Ciena Corporation, (2)									76,608
	121,900			Cisco Systems, Inc., (2)									2,750,064
	45,500			Corning Incorporated									711,620
	2,500			Harris Corporation									115,500
	20,500			Juniper Networks Inc., (2)									431,935
	1,000			Motorola, Inc.									7,140
	13,200			QUALCOMM Inc.									567,204
				Total Communications Equipment									4,660,071
				Computers & Peripherals – 3.8%
	16,700			Apple, Inc., (2)									1,898,122
	2,000			Dell Inc., (2)									32,960
	47,600			EMC Corporation, (2)									569,296
	83,500			Hewlett-Packard Company									3,861,040
	23,200			International Business Machines Corporation (IBM)									2,713,472
	3,100			Lexmark International, Inc., Class A, (2)									100,967
	10,300			Network Appliance Inc., (2)									187,769
				Total Computers & Peripherals									9,363,626
				Construction & Engineering – 0.8%
	17,400			Fluor Corporation									969,180
	20,100			Jacobs Engineering Group Inc., (2)									1,091,631
				Total Construction & Engineering									2,060,811
				Construction Materials – 0.0%
	800			Vulcan Materials Company									59,600
				Consumer Finance – 0.5%
	1,400			Capital One Financial Corporation									71,400
	4,500			MasterCard, Inc.									797,985
	16,200			Western Union Company									399,654
				Total Consumer Finance									1,269,039
				Containers & Packaging – 0.3%
	1,200			Ball Corporation									47,388
	1,800			Bemis Company, Inc.									47,178
	2,300			Pactiv Corporation, (2)									57,109
	22,700			Sealed Air Corporation									499,173
				Total Containers & Packaging									650,848
				Diversified Consumer Services – 0.5%
	10,600			Apollo Group, Inc., (2)									628,580
	23,700			H & R Block Inc.									539,175
				Total Diversified Consumer Services									1,167,755
				Diversified Financial Services – 1.1%
	5,800			CIT Group Inc.									40,368
	3,200			Citigroup Inc.									65,632
	800			CME Group, Inc.									297,208
	1,000			Intercontinental Exchange Inc., (2)									80,680
	39,900			Leucadia National Corporation									1,813,056
	7,700			Moody’s Corporation									261,800
	4,800			New York Stock Exchange Euronext									188,064
				Total Diversified Financial Services									2,746,808
				Diversified Telecommunication Services – 3.7%
	275,200			AT&T Inc.									7,683,584
	42,500			Verizon Communications Inc.									1,363,825
				Total Diversified Telecommunication Services									9,047,409
				Electric Utilities – 3.9%
	2,200			Allegheny Energy, Inc.									80,894
	9,900			Ameren Corporation									386,397
	16,600			American Electric Power Company, Inc.									614,698
	2,300			Edison International									91,770
	20,900			Entergy Corporation									1,860,309
	1,400			Exelon Corporation									87,668
	17,500			FirstEnergy Corp.									1,172,325
	47,600			FPL Group, Inc.									2,394,280
	1,000			PG&E Corporation									37,450
	5,300			Pinnacle West Capital Corporation									182,373
	53,700			PPL Corporation									1,987,974
	13,600			Southern Company									512,584
	7,600			TECO Energy, Inc.									119,548
				Total Electric Utilities									9,528,270
				Electrical Equipment – 0.1%
	8,200			Emerson Electric Co.									334,478
	400			Rockwell Automation, Inc.									14,936
				Total Electrical Equipment									349,414
				Electronic Equipment & Instruments – 1.0%
	16,300			MEMC Electronic Materials, (2)									460,638
	3,300			Molex Inc.									74,085
	26,300			Thermo Fisher Scientific, Inc., (2)									1,446,500
	10,800			Tyco Electronics, Limited									298,728
	700			Waters Corporation, (2)									40,726
				Total Electronic Equipment & Instruments									2,320,677
				Energy Equipment & Services – 2.5%
	17,500			Anadarko Petroleum Corporation									848,925
	400			Baker Hughes Incorporated									24,216
	4,700			BJ Services Company									89,911
	15,700			Cabot Oil & Gas Corporation									567,398
	1,000			Cooper Cameron Corporation, (2)									38,540
	900			ENSCO International Incorporated									51,867
	1,200			Halliburton Company									38,868
	7,900			Nabors Industries Limited, (2)									196,868
	19,000			National-Oilwell Varco Inc., (2)									954,370
	1,200			Noble Corporation									52,680
	18,700			Schlumberger Limited									1,460,283
	10,000			Smith International, Inc.									586,400
	5,946			Transocean Inc., (2)									653,109
	21,400			Weatherford International Ltd, (2)									537,996
				Total Energy Equipment & Services									6,101,431
				Food & Staples Retailing – 2.4%
	6,100			Costco Wholesale Corporation									396,073
	38,200			CVS Caremark Corporation									1,285,812
	59,100			Kroger Co.									1,624,068
	20,000			Safeway Inc.									474,400
	1,200			SUPERVALU INC.									26,040
	2,600			Sysco Corporation									80,158
	23,900			Wal-Mart Stores, Inc.									1,431,371
	28,600			Whole Foods Market, Inc., (2)									572,858
				Total Food & Staples Retailing									5,890,780
				Food Products – 1.7%
	17,600			Archer-Daniels-Midland Company									385,616
	2,200			General Mills, Inc.									151,184
	10,500			H.J. Heinz Company									524,685
	10,400			Kellogg Company									583,440
	9,000			Kraft Foods Inc.									294,750
	14,000			Monsanto Company									1,385,720
	6,000			Tyson Foods, Inc., Class A									71,640
	9,300			Wm. Wrigley Jr. Company									738,420
				Total Food Products									4,135,455
				Gas Utilities – 0.1%
	7,300			Questar Corporation									298,716
				Health Care Equipment & Supplies – 3.1%
	19,600			Applera Corporation-Applied Biosystems									671,300
	30,800			Baxter International Inc.									2,021,404
	6,000			Becton, Dickinson and Company									481,560
	28,100			Boston Scientific Corporation, (2)									344,787
	4,000			C. R. Bard, Inc.									379,480
	6,100			Covidien Limited									327,936
	4,100			Hospira Inc., (2)									156,620
	1,200			Intuitive Surgical, Inc., (2)									289,176
	6,100			Patterson Companies Inc., (2)									185,501
	1,200			Saint Jude Medical Inc., (2)									52,188
	26,900			Stryker Corporation									1,675,870
	13,000			Varian Medical Systems, Inc., (2)									742,690
	3,300			Zimmer Holdings, Inc., (2)									213,048
				Total Health Care Equipment & Supplies									7,541,560
				Health Care Providers & Services – 2.2%
	4,500			Aetna Inc.									162,495
	33,000			CIGNA Corporation									1,121,340
	500			Coventry Health Care, Inc., (2)									16,275
	1,200			Davita Inc., (2)									68,412
	11,700			Express Scripts, Inc., (2)									863,694
	1,100			Humana Inc., (2)									45,320
	49,900			Medco Health Solutions, Inc., (2)									2,245,500
	7,700			Quest Diagnostics Incorporated									397,859
	73,600			Tenet Healthcare Corporation, (2)									408,480
				Total Health Care Providers & Services									5,329,375
				Hotels, Restaurants & Leisure – 1.8%
	7,800			Carnival Corporation									275,730
	19,400			International Game Technology									333,292
	2,100			Marriott International, Inc., Class A									54,789
	46,100			McDonald’s Corporation									2,844,370
	7,700			Starwood Hotels & Resorts Worldwide, Inc.									216,678
	16,200			YUM! Brands, Inc.									528,282
				Total Hotels, Restaurants & Leisure									4,253,141
				Household Durables – 1.1%
	24,600			Centex Corporation									398,520
	52,800			D.R. Horton, Inc.									687,456
	16,600			KB Home									326,688
	4,400			Leggett and Platt Inc.									95,876
	15,700			Lennar Corporation, Class A									238,483
	36,700			Pulte Corporation									512,699
	6,300			Snap-on Incorporated									331,758
	200			Whirlpool Corporation									15,858
				Total Household Durables									2,607,338
				Household Products – 3.2%
	33,600			Colgate-Palmolive Company									2,531,760
	75,600			Procter & Gamble Company									5,268,564
				Total Household Products									7,800,324
				Independent Power Producers & Energy Traders – 0.2%
	20,000			Constellation Energy Group									486,000
				Industrial Conglomerates – 3.5%
	9,600			3M Co.									655,776
	278,800			General Electric Company									7,109,400
	18,400			Textron Inc.									538,752
	7,000			Tyco International Ltd.									245,140
				Total Industrial Conglomerates									8,549,068
				Insurance – 3.3%
	24,000			AFLAC Incorporated									1,410,000
	4,100			Allstate Corporation									189,092
	30,800			American International Group, Inc., (2)									102,564
	2,800			Aon Corporation									125,888
	14,000			Assurant Inc.									770,000
	2,400			Chubb Corporation									131,760
	4,700			Cincinnati Financial Corporation									133,668
	68,300			Loews Corporation									2,697,167
	10,400			Marsh & McLennan Companies, Inc.									330,304
	3,100			MetLife, Inc.									173,600
	11,500			Principal Financial Group, Inc.									500,135
	17,100			Progressive Corporation									297,540
	3,700			Prudential Financial, Inc.									266,400
	1,700			Torchmark Corporation									101,660
	3,500			Travelers Companies, Inc.									158,200
	23,900			Unum Group									599,890
				Total Insurance									7,987,868
				Internet & Catalog Retail – 0.7%
	22,900			Amazon.com, Inc., (2)									1,666,204
	9,600			Expedia, Inc., (2)									145,056
				Total Internet & Catalog Retail									1,811,260
				Internet Software & Services – 0.5%
	2,800			Google Inc., Class A, (2)									1,121,456
	11,700			Yahoo! Inc., (2)									202,410
				Total Internet Software & Services									1,323,866
				IT Services – 0.3%
	9,700			Affiliated Computer Services Inc., (2)									491,111
	7,600			Convergys Corporation, (2)									112,328
	3,600			Fiserv, Inc., (2)									170,352
				Total IT Services									773,791
				Leisure Equipment & Products – 0.3%
	16,100			Hasbro, Inc.									558,992
	6,000			Mattel, Inc.									108,240
				Total Leisure Equipment & Products									667,232
				Life Sciences Tools & Services – 0.0%
	1,400			Perkinelmer Inc.									34,958
				Machinery – 1.6%
	16,100			Caterpillar Inc.									959,560
	15,300			Cummins Inc.									668,916
	3,300			Danaher Corporation									229,020
	17,900			Deere & Company									886,050
	2,700			Illinois Tool Works Inc.									120,015
	14,461			Ingersoll Rand Company Limited, Class A									450,749
	3,800			Manitowoc Company Inc.									59,090
	11,100			PACCAR Inc.									423,909
	2,300			Parker Hannifin Corporation									121,900
	2,400			Terex Corporation, (2)									73,248
				Total Machinery									3,992,457
				Media – 1.5%
	31,600			Comcast Corporation, Class A									620,308
	44,800			DIRECTV Group, Inc., (2)									1,172,416
	19,300			Interpublic Group Companies, Inc., (2)									149,575
	3,800			McGraw-Hill Companies, Inc.									120,118
	4,100			New York Times, Class A									58,589
	46,100			News Corporation, Class A									552,739
	15,100			Scripps Networks Interactive, Class A Shares									548,281
	8,200			Viacom Inc., Class B, (2)									203,688
	5,100			Walt Disney Company									156,519
	100			Washington Post Company									55,676
				Total Media									3,637,909
				Metals & Mining – 1.1%
	11,400			AK Steel Holding Corporation									295,488
	1,200			Alcoa Inc.									27,096
	19,200			CONSOL Energy Inc.									881,088
	5,200			Freeport-McMoRan Copper & Gold, Inc.									295,620
	6,000			Newmont Mining Corporation									232,560
	10,200			Nucor Corporation									402,900
	6,400			United States Steel Corporation									496,704
				Total Metals & Mining									2,631,456
				Multiline Retail – 0.1%
	3,700			Big Lots, Inc., (2)									102,971
	1,300			Kohl’s Corporation, (2)									59,904
	3,100			Target Corporation									152,055
				Total Multiline Retail									314,930
				Multi-Utilities – 0.6%
	300			Dominion Resources, Inc.									12,834
	4,000			NiSource Inc.									59,040
	33,900			Public Service Enterprise Group Incorporated									1,111,581
	1,000			Sempra Energy									50,470
	12,600			Xcel Energy, Inc.									251,874
				Total Multi-Utilities									1,485,799
				Oil, Gas & Consumable Fuels – 11.0%
	6,700			Apache Corporation									698,676
	8,600			Chesapeake Energy Corporation									308,396
	48,200			Chevron Corporation									3,975,536
	28,300			ConocoPhillips									2,072,975
	5,700			Devon Energy Corporation									519,840
	8,800			EOG Resources, Inc.									787,248
	152,100			Exxon Mobil Corporation									11,812,086
	9,100			Hess Corporation									746,928
	21,600			Marathon Oil Corporation									861,192
	13,400			Massey Energy Company									477,978
	14,800			Murphy Oil Corporation									949,272
	16,800			Occidental Petroleum Corporation									1,183,560
	5,900			Peabody Energy Corporation									265,500
	2,500			Pioneer Natural Resources Company									130,700
	18,300			Range Resources Corporation									784,521
	20,500			Southwestern Energy Company, (2)									626,070
	4,600			Valero Energy Corporation									139,380
	3,400			Williams Companies, Inc.									80,410
	8,450			XTO Energy, Inc.									393,094
				Total Oil, Gas & Consumable Fuels									26,813,362
				Paper & Forest Products – 0.1%
	3,700			Weyerhaeuser Company									224,146
				Personal Products – 0.1%
	5,400			Avon Products, Inc.									224,478
	1,200			Estee Lauder Companies Inc., Class A									59,892
				Total Personal Products									284,370
				Pharmaceuticals – 4.4%
	31,600			Abbott Laboratories									1,819,528
	4,900			Allergan, Inc.									252,350
	1,500			Barr Laboratories Inc., (2)									97,950
	16,000			Bristol-Myers Squibb Company									333,600
	6,600			Eli Lilly and Company									290,598
	7,800			Forest Laboratories, Inc., (2)									220,584
	35,700			Johnson & Johnson									2,473,296
	14,300			King Pharmaceuticals Inc., (2)									136,994
	131,100			Merck & Co. Inc.									4,137,516
	7,300			Mylan Laboratories Inc., (2)									83,366
	40,200			Pfizer Inc.									741,288
	4,300			Schering-Plough Corporation									79,421
	2,500			Watson Pharmaceuticals Inc., (2)									71,250
	1,300			Wyeth									48,022
				Total Pharmaceuticals									10,785,763
				Real Estate – 2.5%
	15,573			Apartment Investment & Management Company, Class A									545,366
	700			AvalonBay Communities, Inc.									68,894
	5,000			Boston Properties, Inc.									468,300
	2,000			Developers Diversified Realty Corporation									63,380
	16,500			Equity Residential									732,765
	31,500			Health Care Property Investors Inc.									1,264,095
	7,700			Kimco Realty Corporation									284,438
	7,900			Plum Creek Timber Company									393,894
	7,900			ProLogis									326,033
	12,400			Public Storage, Inc.									1,227,724
	6,200			Simon Property Group, Inc.									601,400
				Total Real Estate									5,976,289
				Real Estate Management & Development – 0.1%
	9,300			CB Richard Ellis Group, Inc., Class A, (2)									124,341
				Road & Rail – 1.5%
	9,200			Burlington Northern Santa Fe Corporation									850,356
	17,000			CSX Corporation									927,690
	9,200			Norfolk Southern Corporation									609,132
	9,400			Ryder System, Inc.									582,800
	10,400			Union Pacific Corporation									740,064
				Total Road & Rail									3,710,042
				Semiconductors & Equipment – 1.2%
	9,300			Advanced Micro Devices, Inc., (2)									48,825
	2,300			Analog Devices, Inc.									60,605
	6,700			Applied Materials, Inc.									101,371
	68,000			Intel Corporation									1,273,640
	100			KLA-Tencor Corporation									3,165
	1,000			Linear Technology Corporation									30,660
	46,200			LSI Logic Corporation, (2)									247,632
	4,600			Microchip Technology Incorporated									135,378
	15,500			Micron Technology, Inc., (2)									62,775
	24,300			QLogic Corporation, (2)									373,248
	19,500			Teradyne Inc., (2)									152,295
	11,700			Texas Instruments Incorporated									251,550
	6,700			Xilinx, Inc.									157,115
				Total Semiconductors & Equipment									2,898,259
				Software – 2.8%
	1,300			Adobe Systems Incorporated, (2)									51,311
	11,200			Akamai Technologies, Inc., (2)									195,328
	14,600			BMC Software, Inc., (2)									417,998
	2,500			CA Inc.									49,900
	5,100			Compuware Corporation, (2)									49,419
	2,900			Electronic Arts Inc. (EA), (2)									107,271
	12,000			Intuit Inc., (2)									379,320
	99,700			Microsoft Corporation									2,660,993
	75,300			Oracle Corporation, (2)									1,529,343
	3,600			Salesforce.com, Inc., (2)									174,240
	40,400			Symantec Corporation, (2)									791,032
	18,800			VeriSign, Inc., (2)									490,304
				Total Software									6,896,459
				Specialty Retail – 2.0%
	8,700			Abercrombie & Fitch Co., Class A									343,215
	9,800			AutoNation Inc., (2)									110,152
	2,400			AutoZone, Inc., (2)									296,016
	7,400			Bed Bath and Beyond Inc., (2)									232,434
	11,500			Best Buy Co., Inc.									431,250
	22,400			GameStop Corporation, (2)									766,304
	32,800			Gap, Inc.									583,184
	7,800			Home Depot, Inc.									201,942
	7,600			Lowe’s Companies, Inc.									180,044
	9,000			Office Depot, Inc., (2)									52,380
	25,400			Staples, Inc.									571,500
	8,000			Tiffany & Co.									284,160
	26,800			TJX Companies, Inc.									817,936
				Total Specialty Retail									4,870,517
				Textiles, Apparel & Luxury Goods – 1.1%
	11,800			Coach, Inc., (2)									295,472
	6,400			Jones Apparel Group, Inc.									118,464
	24,300			Nike, Inc., Class B									1,625,670
	900			Polo Ralph Lauren Corporation									59,976
	7,400			VF Corporation									572,094
				Total Textiles, Apparel & Luxury Goods									2,671,676
				Thrifts & Mortgage Finance – 0.8%
	99,800			Hudson City Bancorp, Inc.									1,841,310
	18,500			Washington Mutual, Inc., (2)									1,517
				Total Thrifts & Mortgage Finance									1,842,827
				Tobacco – 0.7%
	33,700			Altria Group, Inc.									668,608
	800			Lorillard Inc.									56,920
	17,900			Philip Morris International									860,990
	1,000			UST Inc.									66,540
				Total Tobacco									1,653,058
				Trading Companies & Distributors – 0.0%
	500			W.W. Grainger, Inc.									43,485
				Wireless Telecommunication Services – 0.0%
	2,000			American Tower Corporation, (2)									71,940
				Total Common Stocks (cost $258,164,478)									233,631,712
Principal
Amount (000)				Description (1)		Coupon		Maturity		Rating (3)		Value
				Short-Term Investments – 6.6%
				U.S. Government and Agency Obligations – 2.5%
$	6,000			U.S. Treasury Bills (4)		0.000%		10/16/08		Aaa		$	5,996,535
				Repurchase Agreements – 4.1%
	10,014			Repurchase Agreement with State Street Bank, dated 9/30/08, repurchase price $1,013,690, collateralized by $10,220,000 U.S. Treasury Bills, 0.000%, due 12/18/08, value $10,214,890		0.100%		10/01/08		N/A			10,013,662
$	16,014			Total Short-Term Investments (cost $16,010,197)									16,010,197
				Total Investments (cost $274,174,675) – 102.5%									249,641,909
Number of						Notional		Expiration		Strike
Contracts				Type		Amount (5)		Date		Price		Value
				Call Options Written – (0.8)%
	(694,335	)		Custom Basket 9 NASDAQ		$  (69,433,527)		10/18/08		$100.0		$	(334,323	)
	(658,646	)		Custom Basket 4 NASDAQ		(65,864,621)		10/18/08		100.0			(1,734,281	)
	(1,352,981	)		Total Call Options Written (premiums received $3,904,763)		(135,298,148)							(2,068,604	)
				Other Assets Less Liabilities – (1.7)%									(4,080,307	)
				Net Assets – 100%								$	243,492,998