N-CSR 1 d200824dncsr.htm NUVEEN CORE EQUITY ALPHA FUND Nuveen Core Equity Alpha Fund

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number  

  

811-22003

Nuveen Core Equity Alpha Fund

 

(Exact name of registrant as specified in charter)

Nuveen Investments

333 West Wacker Drive

Chicago, IL 60606

 

(Address of principal executive offices) (Zip code)

Mark L. Winget

Nuveen Investments

333 West Wacker Drive

Chicago, IL 60606

 

(Name and address of agent for service)

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

Date of fiscal year end:    December 31                                

Date of reporting period:    December 31, 2021                   

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR 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 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. ss. 3507.


ITEM 1. REPORTS TO STOCKHOLDERS.


LOGO

 

Closed-End Funds

 

31 December

2021

 

Nuveen

Closed-End Funds

 

BXMX    Nuveen S&P 500 Buy-Write Income Fund
DIAX    Nuveen Dow 30SM Dynamic Overwrite Fund
SPXX    Nuveen S&P 500 Dynamic Overwrite Fund
QQQX    Nuveen Nasdaq 100 Dynamic Overwrite Fund
JCE    Nuveen Core Equity Alpha Fund

 

As permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will not be sent to you by mail unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ website (www.nuveen.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive shareholder reports and other communications from the Funds electronically at any time by contacting the financial intermediary (such as a broker-dealer or bank) through which you hold your Fund shares or, if you are a direct investor, by enrolling at www.nuveen.com/e-reports.

You may elect to receive all future shareholder reports in paper free of charge at any time by contacting your financial intermediary or, if you are a direct investor, by calling 800-257-8787 and selecting option #2 or (ii) by logging into your Investor Center account at www.computershare.com/investor and clicking on “Communication Preferences”. Your election to receive reports in paper will apply to all funds held in your account with your financial intermediary or, if you are a direct investor, to all your directly held Nuveen Funds and any other directly held funds within the same group of related investment companies.

 

Annual Report

 


 

IMPORTANT DISTRIBUTION NOTICE

for Shareholders of the Nuveen S&P 500 Buy-Write Income Fund (BXMX) Nuveen Dow 30SM Dynamic Overwrite Fund (DIAX)

Nuveen S&P 500 Dynamic Overwrite Fund (SPXX)

Nuveen Nasdaq 100 Dynamic Overwrite Fund (QQQX)

Nuveen Core Equity Alpha Fund (JCE)

Annual Shareholder Report for the period ending December 31, 2021

The Nuveen S&P 500 Buy-Write Income Fund (BXMX), Nuveen Dow 30SM Dynamic Overwrite Fund (DIAX), Nuveen S&P 500 Dynamic Overwrite Fund (SPXX), Nuveen Nasdaq 100 Dynamic Overwrite Fund (QQQX) and Nuveen Core Equity Alpha Fund (JCE) seek to offer attractive cash flow to their shareholders, by converting the expected long-term total return potential of the Funds’ portfolio of investments into regular quarterly distributions. Following is a discussion of the Managed Distribution Policy the Funds use to achieve this.

Each Fund pays quarterly common share distributions that seek to convert the Fund’s expected long-term total return potential into regular cash flow. As a result, the Funds’ regular common share distributions (presently $0.2150, $0.2730, $0.2450, $0.4485 and $0.3040 per share, respectively) may be derived from a variety of sources, including:

 

   

net investment income consisting of regular interest and dividends,

 

   

realized capital gains or,

 

   

possibly, returns of capital representing in certain cases unrealized capital appreciation.

Such distributions are sometimes referred to as “managed distributions.” Each Fund seeks to establish a distribution rate that roughly corresponds to the Adviser’s projections of the total return that could reasonably be expected to be generated by each Fund over an extended period of time. The Adviser may consider many factors when making such projections, including, but not limited to, long-term historical returns for the asset classes in which each Fund invests. As portfolio and market conditions change, the distribution amount and distribution rate on the Common Shares under the Funds’ Managed Distribution Policy could change.

When it pays a distribution, each Fund provides holders of its Common Shares a notice of the estimated sources of the Fund’s distributions (i.e., what percentage of the distributions is estimated to constitute ordinary income, short-term capital gains, long-term capital gains, and/or a non-taxable return of capital) on a year-to-date basis. It does this by posting the notice on its website (www.nuveen.com/cef), and by sending it in written form.

You should not draw any conclusions about the Funds’ investment performance from the amount of this distribution or from the terms of the Funds’ Managed Distribution Policy. The Funds’ actual financial performance will likely vary from month-to-month and from year-to-year, and there may be extended periods when the distribution rate will exceed the Funds’ actual total returns. The Managed Distribution Policy provides that the Board may amend or terminate the Policy at any time without prior notice to Fund shareholders. There are presently no reasonably foreseeable circumstances that might cause each Fund to terminate its Managed Distribution Policy.

 

LOGO


Table of Contents

 

Chair’s Letter to Shareholders

     4  

Portfolio Managers’ Comments

     5  

Common Share Information

     11  

Performance Overview and Holding Summaries

     15  

Report of Independent Registered Pubic Accounting Firm

     25  

Portfolios of Investments

     26  

Statement of Assets and Liabilities

     61  

Statement of Operations

     62  

Statement of Changes in Net Assets

     63  

Financial Highlights

     66  

Notes to Financial Statements

     70  

Shareholder Update

     81  

Additional Fund Information

     109  

Glossary of Terms Used in this Report

     110  

Board Members & Officers

     112  

 

3


Chair’s Letter to Shareholders

 

LOGO

Dear Shareholders,

We have seen a nearly full recovery in the economy and began to approach more normalcy in our daily lives, enabled by unprecedented help from governments and central banks and the development of effective COVID-19 vaccines and therapies.

As crisis-related monetary and fiscal supports are phasing out, global economic growth is expected to moderate from post-pandemic peak growth toward a more sustainable pace of expansion. In the U.S., the rapid rebound in the economy has pushed consumer prices higher, and ongoing supply chain disruptions have kept the inflation rate elevated for longer than expected. With the economy and employment on strong footing, the Federal Reserve is ending its pandemic bond buying program and will begin raising short-term interest rates in 2022 to help keep inflation in check. The Fed now faces the challenge of counteracting inflation pressures without stifling economic growth, which the markets will be watching closely. On the fiscal side, government spending will be lower from here, but the U.S. will begin funding projects with the $1.2 trillion Infrastructure Investment and Jobs Act enacted on November 15, 2021, and Europe, Japan and China are also expected to roll out fiscal support in 2022.

Inflation levels, the timing of monetary policy normalization and the global economy’s response to tighter financial conditions will be a key focus in the markets. We anticipate periodic volatility as markets digest incoming data on these impacts, as well as COVID-19 headlines, as there is still uncertainty about the course of the pandemic. Short-term market fluctuations can provide your Fund opportunities to invest in new ideas as well as upgrade existing positioning while providing long-term value for shareholders. For more than 120 years, the careful consideration of risk and reward has guided Nuveen’s focus on delivering long-term results to our shareholders.

To learn more about how your portfolio can take advantage of new opportunities arising from the normalizing global economy, we encourage you to review your time horizon, risk tolerance and investment goals with your financial professional.

On behalf of the other members of the Nuveen Fund Board, I look forward to continuing to earn your trust in the months and years ahead.

Sincerely,

 

LOGO

Terence J. Toth

Chair of the Board

February 22, 2022

 

 

4


Portfolio Managers’ Comments

 

Nuveen S&P 500 Buy-Write Income Fund (BXMX)

Nuveen Dow 30SM Dynamic Overwrite Fund (DIAX)

Nuveen S&P 500 Dynamic Overwrite Fund (SPXX)

Nuveen Nasdaq 100 Dynamic Overwrite Fund (QQQX)

Nuveen Core Equity Alpha Fund (JCE)

The Nuveen S&P 500 Buy-Write Income Fund (BXMX) features portfolio management by Gateway Investment Advisers, LLC (Gateway). The Fund’s portfolio managers are Kenneth H. Toft, Michael T. Buckius and Daniel M. Ashcraft. Nuveen Dow 30SM Dynamic Overwrite Fund (DIAX), Nuveen S&P 500 Dynamic Overwrite Fund (SPXX) and Nuveen Nasdaq 100 Dynamic Overwrite Fund (QQQX) feature portfolio management by Nuveen Asset Management, LLC (NAM), an affiliate of Nuveen Fund Advisors, LLC, the Funds’ investment adviser. The Funds’ portfolio managers are David A. Friar, James Campagna, CFA, Lei Liao, CFA and Darren Tran, CFA. The Nuveen Core Equity Alpha Fund (JCE) features portfolio management by Nuveen Asset Management, LLC (NAM), an affiliate of Nuveen Fund Advisors, LLC, the Fund’s investment adviser. The Fund’s portfolio managers are David A. Friar, Max A. Kozlov, CFA, and Pei Chen.

Here the Funds’ portfolio management teams review U.S. economic and financial market conditions, key investment strategies and the performance of the Funds for the twelve-month reporting period ended December 31, 2021. For more information on the Funds’ investment objectives and policies, please refer to the Shareholder Update section at the end of the report.

What factors affected the U.S. economy and financial markets during the twelve-month reporting period ended December 31, 2021?

The U.S. economic recovery remained on course over the twelve-month reporting period, despite setbacks from the COVID-19 virus and higher-than-expected inflation readings. Since the pandemic reached the U.S. in early 2020, the federal government has enacted $5.3 trillion in crisis-related aid and the U.S. Federal Reserve (Fed) has kept borrowing rates low for businesses and individuals and kept the credit system stable. These measures, along with increasing vaccinations and improved treatments, helped the economy to reopen and activity to rebound during 2021, despite additional COVID-19 surges caused by new, more contagious variants. U.S. gross domestic product (GDP) rose at an annualized 6.9% in the fourth quarter of 2021, accelerating from 2.3% in the third quarter when the delta variant

 

 

 

This material is not intended to be a recommendation or investment advice, does not constitute a solicitation to buy, sell or hold a security or an investment strategy and is not provided in a fiduciary capacity. The information provided does not take into account the specific objectives or circumstances of any particular investor, or suggest any specific course of action. Investment decisions should be made based on an investor’s objectives and circumstances and in consultation with his or her advisors.

Certain statements in this report are forward-looking statements. Discussions of specific investments are for illustration only and are not intended as recommendations of individual investments. The forward-looking statements and other views expressed herein are those of the portfolio managers as of the date of this report. Actual future results or occurrences may differ significantly from those anticipated in any forward-looking statements and the views expressed herein are subject to change at any time, due to numerous market and other factors. The Fund disclaims any obligation to update publicly or revise any forward-looking statements or views expressed herein.

For financial reporting purposes, the ratings disclosed are the highest rating given by one of the following national rating agencies: Standard & Poor’s (S&P), Moody’s Investors Service, Inc. (Moody’s) or Fitch, Inc. (Fitch). This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below investment grade ratings. Holdings designated N/R are not rated by these national rating agencies. Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this section.

Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this section.

 

5


Portfolio Managers’ Comments (continued)

 

weighed on economic activity, according to the Bureau of Economic Analysis “advance” estimate. Also according to the “advance” estimate, in 2021 overall, GDP grew 5.7%, rebounding from the contraction of -3.4% in 2020.

The return of consumer demand to the economy put upward pressure on inflation in 2021. However, as supply chains remained under stress and labor shortages continued, in part because of resurgences of the virus around the world, inflation appeared to be more durable than initially expected. The Fed responded by reducing its pandemic-era support programs and signaled that rate increases were likely in 2022. Financial markets grew more concerned about the timing and size of these monetary policy shifts and their implications for the broader economic outlook, which led to short-term volatility in interest rates and stock prices. However, strong corporate earnings and a lessening economic impact from each subsequent wave of the virus supported a more optimistic view that ultimately drove stock prices and interest rates higher over 2021.

The reporting period marked the third consecutive year of double-digit returns for the S&P 500® Index. Additionally, returns were positive in each quarter of 2021, though the September 2021 equity market pullback brought that streak to the brink. The equity market’s fourth quarter of 2021 was the strongest of all, but not the smoothest as inflation and monetary policy concerns drove a short, but intense bout of volatility mid-quarter. The downtrend in implied volatility that began after the Chicago Board Options Exchange (Cboe) Volatility Index (the VIX®) peaked at record levels in March 2020, continued over the first half of the reporting period. The VIX® spent most of the reporting period ranging from the mid-teens to the low 20s while posting 21 days of closing values above 25, including six days when it closed above 30. The result was an average closing value of 19.7 for 2021, slightly above its long-term average of 19.5.

Nuveen S&P 500 Buy-Write Income Fund (BXMX)

What key strategies were used to manage the Fund during the twelve-month reporting period ended December 31, 2021?

BXMX (or the Fund) seeks attractive total return with less volatility than the S&P 500® Index by investing in an equity portfolio that seeks to substantially replicate the price movements of the S&P 500® Index and by selling index call options covering approximately 100% of the Fund’s equity portfolio value with a goal of enhancing the portfolio’s risk-adjusted returns.

The writing of index call options on a broad equity index, while investing in a portfolio of equities, has the potential to enhance BXMX’s risk-adjusted returns while exposing the Fund to less risk than unhedged equity investments. Hedging the equity portfolio with index call options may limit the Fund’s participation in market advances in exchange for the cash premium received for the written index call options. In addition, market declines are typically buffered by the amount of the cash premium received by the Fund. In flat or declining markets, BXMX’s call option premium can potentially enhance total return relative to the S&P 500® Index. In rising markets, the call options may reduce the Fund’s total return relative to the S&P 500® Index.

During the reporting period, the portfolio management team focused on the higher volatility priced into longer-dated call option contracts and persistently above-average spreads between the implied volatility priced into index options and actual, realized equity market volatility.

How did the Fund perform during the twelve-month reporting period ended December 31, 2021?

For the twelve-month reporting period ended December 31, 2021, BXMX underperformed the Chicago Board Options Exchange (Cboe) S&P 500® BuyWrite Index (BXMSM). For purposes of this Performance Commentary, references to relative performance are in comparison to the Chicago Board Options Exchange (Cboe) S&P 500® BuyWrite Index (BXMSM).

The main factor that contributed to the Fund’s underperformance was the equity portfolio’s return. Most of the equity portfolio’s underperformance occurred in the second half of the reporting period and was primarily driven by security selection in the information technology and real estate sectors. In particular, not owning Accenture PLC and real estate

 

6


 

investment trust Prologis, Inc. detracted from relative performance. Additional detractors in the equity portfolio during the reporting period included an underweight to Wells Fargo & Company and not owning Bank of America Corp in the financials sector. As part of the model-driven security selection process, which is designed to optimize the portfolio rather than hold all of the constituents of the S&P 500® Index, the investment team seeks to minimize tracking error while adhering to tax and concentration rules.

The Fund’s underperformance was partially offset by the Fund’s diversified and active index call option writing approach which generated risk mitigating cash flow throughout the reporting period, while delivering equity market participation during periods in which the equity market advanced as well as providing risk mitigation during market declines.

Nuveen Dow 30SM Dynamic Overwrite Fund (DIAX)

What key strategies were used to manage the Fund during the twelve-month reporting period ended December 31, 2021?

DIAX (or the Fund) seeks attractive total return with less volatility than the Dow Jones Industrial Average Index (DJIA) by investing in an equity portfolio that seeks to substantially replicate the price movements of the DJIA, as well as selling call options on 35% to 75% of the notional value of the Fund’s equity portfolio, with a long-term target of 55% overwrite in an effort to enhance the Fund’s risk-adjusted returns. The investment team uses its proprietary view of the market’s return and volatility profile to dynamically adjust the option overwrite percentage and other factors.

Generally, if the investment team expects the equity market to appreciate, the option overwrite percentage will be reduced to offer more potential upside capture. Likewise, if the investment team expects equity markets to be flat or to decline, the option overwrite percentage may be increased, thus managing the Fund to potentially receive additional cash flow from higher sales of call options. This dynamic option overwrite approach offers the potential for greater equity market upside capture than the full option overwrite approach, while still offering a measure of downside risk management. The Fund currently expects to carry out its principal investment strategy by emphasizing options on broad-based indexes, individual stocks in the DJIA, and options on custom baskets of stocks, in addition to exchange-traded funds (ETFs). The Fund also has the opportunity to utilize call spread strategies and sell put options on a portion of the underlying equity portfolio.

During the reporting period, the investment team varied the core option overwrite level between 35% and 75%. The average option overwrite level during the reporting period, which consisted primarily of calls written on the S&P 500® Index, was slightly below its long-term target. The investment team also sold puts on the S&P 500® Index, bought puts on the Chicago Board Options Exchange (Cboe) Volatility Index (the VIX®), wrote call options on the Russell 2000® Index and purchased single name stock options.

How did the Fund perform during the twelve-month reporting period ended December 31, 2021?

For the twelve-month reporting period ended December 31, 2021, the Fund underperformed the DIAX Blended Benchmark, which is a blended return consisting of 1) 55% Chicago Board Options Exchange (Cboe) DJIA BuyWrite Index (BXDSM) and 2) 45% Dow Jones Industrial Average Index (DJIA). For purposes of this Performance Commentary, references to relative performance are in comparison to the respective allocations in the DIAX Blended Benchmark.

The main factor that contributed to the Fund’s underperformance was the selling of call options on the S&P 500® Index. The BXDSM, which is a component of the DIAX Blended Benchmark, sells index call options on the Dow Jones Industrial Average Index (DJIA). Because of its investment policies, the Fund is precluded from selling index call options on the DJIA and instead, primarily sold call options on the S&P 500® Index. This combination detracted from the Fund’s relative performance because the S&P 500® Index significantly outperformed the DJIA for the reporting period.

The Fund’s underperformance was partially offset by the Fund’s option overwrite level which was less than that of the DIAX Blended Benchmark during the reporting period. The lower average option overwrite percentage contributed to

 

7


Portfolio Managers’ Comments (continued)

 

benchmark-relative performance as equity markets advanced during the reporting period. Although index call options were primarily written on the S&P 500® Index, the investment team also wrote call options on the Russell 2000® Index, which contributed to relative performance as the Index underperformed other general equity market indexes during the reporting period. In addition, the investment team sold puts on the S&P 500® Index and bought puts on the Chicago Board Options Exchange (Cboe) Volatility Index (the VIX®), which were additive to relative performance. Lastly, single name stock options added to performance, including JPMorgan Chase & Co. and salesforce.com, Inc.

Nuveen S&P 500 Dynamic Overwrite Fund (SPXX)

What key strategies were used to manage the Fund during the twelve-month reporting period ended December 31, 2021?

SPXX (or the Fund) seeks attractive total return with less volatility than the S&P 500® Index by investing in an equity portfolio that seeks to substantially replicate the price movements of the S&P 500® Index, as well as selling call options on 35% to 75% of the notional value of the Fund’s equity portfolio, with a long-run target of 55% overwrite in an effort to enhance the Fund’s risk-adjusted returns. The investment team uses its proprietary view of the market’s return and volatility profile to dynamically adjust the option overwrite percentage and other factors. The strategy will consider the Fund’s tax position and employ techniques to improve after-tax shareholder outcomes.

Generally, if the investment team expects the equity market to appreciate, the option overwrite percentage will be reduced to offer more potential upside capture. Likewise, if the investment team expects equity markets to be flat or to decline, the option overwrite percentage may be increased, thus managing the Fund to potentially receive additional cash flow from higher sales of call options. This dynamic option overwrite approach offers the potential for greater equity market upside capture than the full option overwrite approach, while still offering a measure of downside risk management. The Fund currently expects to emphasize index call options on the S&P 500® Index and can also employ an expanded range of options including index options on other broad-based indexes and options on custom baskets of stocks, in addition to single name options. The Fund also has the opportunity to utilize call spread strategies and sell put options on a portion of the underlying equity portfolio.

During the reporting period, the investment team varied the core option overwrite level between 35% and 75%. The average option overwrite level during the reporting period, which consisted primarily of calls written on the S&P 500® Index, was slightly below its long-term target. The investment team also sold puts on the S&P 500® Index, bought puts on the Chicago Board Options Exchange (Cboe) Volatility Index (the VIX®), wrote call options on the Russell 2000® Index and purchased single name stock options.

How did the Fund perform during the twelve-month reporting period ended December 31, 2021?

For the twelve-month reporting period ended December 31, 2021, the Fund underperformed the SPXX Blended Benchmark, which is a blended return consisting of 1) 55% Chicago Board Options Exchange (Cboe) S&P 500® BuyWrite Index (BXMSM) and 2) 45% S&P 500® Index. For the purposes of this Performance Commentary, references to relative performance are in comparison to the respective allocations in the SPXX Blended Benchmark.

The main factor that contributed to the Fund’s underperformance was the equity portfolio’s return. The underperformance of the equity portfolio was primarily driven by security selection in the information technology sector. In particular, not owning Applied Materials, Broadcom Inc. and Intuit Inc., along with offsetting overweights to other information technology stocks, detracted from relative performance. As part of the model-driven security selection process, which is designed to optimize the portfolio rather than hold all of the constituents of the S&P 500® Index, the investment team seeks to minimize tracking error while adhering to tax and concentration rules.

The equity portfolio’s underperformance was partially offset by positive relative performance from the Fund’s option overwrite level, which averaged less than that of the SPXX Blended Benchmark during the reporting period. The lower

 

8


 

average option overwrite percentage contributed to benchmark-relative performance as equity markets advanced during the reporting period. Although index call options were primarily written on the S&P 500® Index, the investment team also wrote call options on the Russell 2000® Index, which contributed to relative performance, as the Index underperformed other general equity market indexes during the reporting period. In addition, the investment team sold puts on the S&P 500® Index and bought puts on the Chicago Board Options Exchange (Cboe) Volatility Index (the VIX®), which were additive to relative performance. Lastly, single name stock options added to performance, including JPMorgan Chase & Co. and salesforce.com, Inc.

Nuveen Nasdaq 100 Dynamic Overwrite Fund (QQQX)

What key strategies were used to manage the Fund during the twelve-month reporting period ended December 31, 2021?

QQQX (or the Fund) seeks attractive total return with less volatility than the Nasdaq 100® Index by investing in an equity portfolio that seeks to substantially replicate the price movements of the Nasdaq 100® Index, as well as selling call options on 35% to 75% of the notional value of the Fund’s equity portfolio, with a long-run target of 55% in an effort to enhance the Fund’s risk-adjusted returns. The investment team uses its proprietary view of the market’s return and volatility profile to dynamically adjust the option overwrite percentage and other factors. The strategy will consider the Fund’s tax position and employ techniques to improve after-tax shareholder outcomes.

Generally, if the investment team expects the equity market to appreciate, the overwrite percentage will be reduced to offer more potential upside capture. Likewise, if the investment team expects equity markets to be flat or to decline, the overwrite percentage may be increased, thus managing the Fund to potentially receive additional cash flow from higher sales of call options. This dynamic option overwrite approach offers potential for greater equity market upside capture than the full overwrite approach, while still offering a measure of downside risk management. The Fund, in carrying out its principal options strategy, expects to primarily write index call options on the Nasdaq 100® Index and other broad-based indexes and can also write call options on a variety of other equity market indexes and options on custom baskets of stocks, in addition to single name options. The Fund also has the opportunity to utilize call spread strategies and sell put options on a portion of the underlying equity portfolio.

During the reporting period, the investment team varied the core option overwrite level between 35% and 75%. The average option overwrite during the reporting period, which consisted primarily of calls written on the Nasdaq 100® Index, was slightly below its long-term target. The investment team also sold puts on the S&P 500® Index and bought puts on the Chicago Board Options Exchange (Cboe) Volatility Index (the VIX®), wrote call options on the Russell 2000® Index and purchased single name stock options.

How did the Fund perform during the twelve-month reporting period ended December 31, 2021?

For the twelve-month reporting period ended December 31, 2021, the Fund outperformed the QQQX Blended Benchmark, which is a blended return consisting of 1) 55% Chicago Board Options Exchange (Cboe) Nasdaq 100 BuyWrite Index (BXNSM) and 2) 45% Nasdaq 100® Index. For the purposes of this Performance Commentary, references to relative performance are in comparison to the respective allocations in the QQQX Blended Benchmark.

One of the main factors that contributed to the Fund’s relative performance was the equity portfolio’s return which outperformed the Nasdaq 100® Index during the reporting period. The outperformance of the equity portfolio was primarily driven by security selection in the communication services sector. In particular, not owning T-Mobile US, Inc., Netflix, Inc. and Activision Blizzard, Inc., along with several offsetting overweights to other communication services stocks, contributed to relative performance. As part of the model-driven security selection process, which is designed to optimize the portfolio rather than hold all of the constituents of the Nasdaq 100® Index, the investment team seeks to minimize tracking error while adhering to tax and concentration rules.

 

9


Portfolio Managers’ Comments (continued)

 

The Fund’s lower average option overwrite percentage relative to the QQQX Blended Benchmark also contributed to benchmark-relative performance as equity markets advanced during the reporting period. Although index call options were primarily written on the Nasdaq 100® Index, the investment team also wrote call options on the Russell 2000® Index, which contributed to relative performance as the Index underperformed other general equity market indexes during the reporting period. In addition, the investment team sold puts on the S&P 500® Index and bought puts on the Chicago Board Options Exchange (Cboe) Volatility Index (the VIX®), which were additive to relative performance. Lastly, single name stock options added to performance, including Oracle Corporation and Dollar General Corporation.

Nuveen Core Equity Alpha Fund (JCE)

What key strategies were used to manage the Fund during the twelve-month reporting period ended December 31, 2021?

JCE (or the Fund) seeks to provide an attractive level of total return, primarily through long-term capital appreciation and secondarily through income and gains. The Fund invests in large capitalization common stocks, using a proprietary quantitative process designed to provide the potential for long-term outperformance. The Fund also sells call options with a notional value of up to 50% of the Fund’s equity portfolio in seeking to enhance risk-adjusted performance relative to an all equity portfolio. The investment team uses its proprietary view of the market’s return and volatility profile to dynamically adjust the option overwrite percentage and other factors.

How did the Fund perform during the twelve-month reporting period ended December 31, 2021?

For the twelve-month reporting period ended December 31, 2021, the Fund outperformed the JCE Blended Benchmark, which is a blend of returns consisting of 1) 50% S&P 500® Index and 2) 50% Chicago Board Options Exchange (Cboe) S&P 500® BuyWrite Index (BXMSM). For purposes of this Performance Commentary, references to relative performance are in comparison to the respective allocations in the JCE Blended Benchmark.

One of the main factors that contributed to the Fund’s relative performance was the equity portfolio’s return which outperformed the S&P 500® Index for the reporting period. Individual holdings that were held in the equity portfolio but not in the S&P 500® Index that contributed to relative performance included information technology holding Pure Storage Company and financials sector holding, Rocket Companies, Inc. In addition, an underweight to information technology holding, Pay Pal Holdings, Inc. contributed to performance. As part of the model-driven security selection process, which is designed to select constituents from the S&P 500® Index and the Russell 1000® Index, the investment team seeks to minimize tracking error while adhering to tax and concentration rules.

The Fund’s option overwrite strategy also contributed to relative performance. The option overwrite level varied during the reporting period and averaged less than that of the JCE Blended Benchmark. The lower average option overwrite percentage contributed to benchmark-relative performance as equity markets advanced during the reporting period. Although index call options were primarily written on the S&P 500® Index, the investment team also wrote call options on the Russell 2000® Index, which contributed to relative performance as the Index underperformed other general equity market indexes during the reporting period.

 

10


Common Share Information

 

DISTRIBUTION INFORMATION

The following 19(a) Notice presents the Funds’ most current distribution information as of November 30, 2021 as required by certain exempted regulatory relief the Funds have received.

Because the ultimate tax character of your distributions depends on the Funds’ performance for its entire fiscal year (which is the calendar year for the Funds) as well as certain fiscal year-end (FYE) tax adjustments, estimated distribution source information you receive with each distribution may differ from the tax information reported to you on your Funds’ IRS Form 1099 statement.

DISTRIBUTION INFORMATION – AS OF NOVEMBER 30, 2021

This notice provides shareholders with information regarding fund distributions, as required by current securities laws. You should not draw any conclusions about the Funds’ investment performance from the amount of this distribution or from the terms of the Funds’ Managed Distribution Policy.

Each Fund may in certain periods distribute more than its income and net realized capital gains, and BXMX, DIAX, SPXX and QQQX currently estimate that they have done so for the fiscal year-to-date period. In such instances, a portion of the distribution may be a return of capital. A return of capital may occur, for example, when some or all of the money that you invested in the Fund is paid back to you. A return of capital distribution does not necessarily reflect a Fund’s investment performance and should not be confused with “yield” or “income.”

The amounts and sources of distributions set forth below are only estimates and are not being provided for tax reporting purposes. The actual amounts and sources of the amounts for tax reporting purposes will depend upon the Funds’ investment experience during the remainder of its fiscal year and may be subject to changes based on tax regulations. Each Fund will send you a Form 1099-DIV for the calendar year that will tell you how to report these distributions for federal income tax purposes. More details about the Funds’ distributions and the basis for these estimates are available on www.nuveen.com/cef.

The following table provides estimates of the Funds’ distribution sources, reflecting year-to-date cumulative experience through the latest month-end. Each Fund attributes these estimates equally to each regular distribution throughout the year. Consequently, the estimated information shown below is for the current distribution, and also represents an updated estimate for all prior months in the year.

 

11


Common Share Information (continued)

 

Data as of November 30, 2021

 

              Estimated Per Share Sources of Distribution1     Estimated Percentage of the Distribution1  
Fund   Inception
Date
  Per Share
Distribution
    Net
Investment
Income
    Long-Term
Gains
    Short-Term
Gains
    Return of
Capital
    Net
Investment
Income
    Long-Term
Gains
    Short-Term
Gains
    Return of
Capital
 

BXMX (FYE 12/31)

  Oct-2004                  

Current Quarter

    $ 0.2150     $ 0.0110     $ 0.1284     $ 0.0000     $ 0.0756       5.10     59.70     0.00     35.20

Fiscal YTD

      $ 0.8600     $ 0.0441     $ 0.5134     $ 0.0000     $ 0.3025       5.10     59.70     0.00     35.20

DIAX (FYE 12/31)

  Apr-2005                  

Current Quarter

    $ 0.2730     $ 0.0431     $ 0.0301     $ 0.0000     $ 0.1997       15.80     11.00     0.00     73.20

Fiscal YTD

      $ 1.0920     $ 0.1725     $ 0.1205     $ 0.0000     $ 0.7990       15.80     11.00     0.00     73.20

SPXX (FYE 12/31)

  Nov-2005                  

Current Quarter

    $ 0.2450     $ 0.0263     $ 0.0000     $ 0.0000     $ 0.2187       10.80     0.00     0.00     89.20

Fiscal YTD

      $ 0.9800     $ 0.1054     $ 0.0000     $ 0.0000     $ 0.8746       10.80     0.00     0.00     89.20

QQQX (FYE 12/31)

  Jan-2007                  

Current Quarter

    $ 0.4485     $ 0.0000     $ 0.0586     $ 0.0000     $ 0.3899       0.00     13.10     0.00     86.90

Fiscal YTD

      $ 1.7940     $ 0.0000     $ 0.2344     $ 0.0000     $ 1.5596       0.00     13.10     0.00     86.90

JCE (FYE 12/31)

  Mar-2007                  

Current Quarter

    $ 0.3040     $ 0.0000     $ 0.3040     $ 0.0000     $ 0.0000       0.00     100.00     0.00     0.00

Fiscal YTD

      $ 1.2160     $ 0.0000     $ 1.2160     $ 0.0000     $ 0.0000       0.00     100.00     0.00     0.00

 

1 

Net investment income (NII) is a projection through the end of the current calendar quarter using actual data through the stated month-end date above. Capital gain amounts are as of the stated date above. The estimated per share sources above include an allocation of the NII based on prior year attributions which can be expected to differ from the actual final attributions for the current year.

The following table provides information regarding the Funds’ distributions and total return performance over various time periods. This information is intended to help you better understand whether returns for the specified time periods were sufficient to meet distributions.

Data as of November 30, 2021

 

                          Annualized      Cumulative  
Fund   Inception
Date
  Quarterly
Distribution
    Fiscal YTD
Distribution
    Net Asset
Value (NAV)
    5-Year
Return on NAV
    Fiscal YTD
Dist Rate on NAV1
     Fiscal YTD
Return on NAV
    Fiscal YTD
Dist Rate on NAV1
 

BXMX

  Oct-2004   $ 0.2150     $ 0.8600     $ 15.07       9.19     5.71%        14.50     5.71%  

DIAX

  Apr-2005   $ 0.2730     $ 1.0920     $ 17.47       8.11     6.25%        9.83     6.25%  

SPXX

  Nov-2005   $ 0.2450     $ 0.9800     $ 18.21       10.85     5.38%        17.41     5.38%  

QQQX

  Jan-2007   $ 0.4485     $ 1.7940     $ 29.52       15.90     6.08%        17.63     6.08%  

JCE

  Mar-2007   $ 0.3040     $ 1.2160     $ 16.86       13.67     7.21%        21.34     7.21%  

 

1 

As a percentage of 11/30/21 NAV.

 

12


DISTRIBUTION INFORMATION – AS OF DECEMBER 31, 2021

The following tables provide information regarding the Funds’ common share distributions and total return performance for the fiscal year ended December 31, 2021. This information is intended to help you better understand whether the Funds’ returns for the specified time period were sufficient to meet its distributions.

Data as of December 31, 2021

 

    Per Share Sources of Distribution     Percentage of the Distribution  
Fund   Per Share
Distribution
    Net
Investment
Income
     Long-Term
Gains
    Short-Term
Gains
    Return of
Capital1
    Net
Investment
Income
    Long-Term
Gains
    Short-Term
Gains
    Return of
Capital1
 

BXMX

                  

Fiscal YTD

    $0.8600       $0.0763        $0.4070       $0.0000       $0.3767       8.87%       47.33%       0.00%       43.80%  

DIAX

                  

Fiscal YTD

    $1.0920       $0.1703        $0.1649       $0.0000       $0.7568       15.60%       15.10%       0.00%       69.30%  

SPXX

                  

Fiscal YTD

    $0.9800       $0.1056        $0.6005       $0.0000       $0.2739       10.78%       61.27%       0.00%       27.95%  

QQQX

                  

Fiscal YTD

    $1.7940       $0.0000        $0.7809       $0.0000       $1.0131       0.00%       43.53%       0.00%       56.47%  

JCE

                  

Fiscal YTD

    $1.8376       $0.0675        $1.5329       $0.2372       $0.0000       3.67%       83.42%       12.91%       0.00%  

Data as of December 31, 2021

 

                Annualized  
Fund   Inception
Date
   Net Asset
Value (NAV)
     1-Year
Return on NAV
     5-Year
Return on NAV
     Fiscal YTD
Dist Rate on NAV
 

BXMX

  Oct-2004    $ 15.29        17.80      9.56      5.62

DIAX

  Apr-2005    $ 18.09        15.45      8.68      6.04

SPXX

  Nov-2005    $ 18.70        22.15      11.53      5.24

QQQX

  Jan-2007    $ 29.63        19.85      16.22      6.05

JCE

  Mar-2007    $ 17.33        26.91      14.57      10.60

 

1

Return of Capital may represent unrealized gains, return of shareholder’s principal, or both. In certain circumstances, all or a portion of the return of capital may be characterized as ordinary income under federal tax law. The actual tax characterization will be provided to shareholders on Form 1099-DIV shortly after calendar year-end.

NUVEEN CLOSED-END FUND DISTRIBUTION AMOUNTS

The Nuveen Closed-End Funds’ monthly and quarterly periodic distributions to shareholders are posted on www.nuveen.com and can be found on Nuveen’s enhanced closed-end fund resource page, which is at https://www.nuveen.com/resource-center-closed-end-funds, along with other Nuveen closed-end fund product updates. To ensure timely access to the latest information, shareholders may use a subscribe function, which can be activated at this web page (https://www.nuveen.com/subscriptions).

COMMON SHARE EQUITY SHELF PROGRAMS

During the current reporting period, SPXX and QQQX were authorized by the Securities and Exchange Commission to issue additional common shares through an equity shelf program (Shelf Offering). Under these programs, the Funds, subject to market conditions, may raise additional capital from time to time in varying amounts and offering methods at

 

13


Common Share Information (continued)

 

a net price at or above each Fund’s NAV per common share. The maximum aggregate offering under these Shelf Offerings are as shown in the accompanying table.

 

        SPXX        QQQX  

Maximum aggregate offering

       4,993,317        Unlimited ** 

 

*

Represents maximum aggregate offering for the period July 28, 2021 through December 31, 2021.

**

Represents maximum aggregate offering for the period April 30, 2021 through December 31, 2021. Prior to April 30, 2021, the additional authorized common shares was 11,355,021.

During the current reporting period, SPXX and QQQX sold common shares through their Shelf Offerings at a weighted average premium to their NAV per common share as shown in the accompanying table.

 

     SPXX        QQQX  

Common shares sold through shelf offering

    100,336          3,478,731  

Weighted average premium to NAV per common share sold

    1.23        1.90

Refer to Notes to Financial Statements, Note 5 – Fund Shares for further details of Shelf Offerings and each Fund’s respective transactions.

COMMON SHARE REPURCHASES

During August 2021, the Funds’ Board of Trustees reauthorized an open-market share repurchase program, allowing each Fund to repurchase an aggregate of up to approximately 10% of its outstanding common shares.

As of December 31, 2021, and since the inception of the Funds’ repurchase programs, the Funds have cumulatively repurchased and retired their outstanding common shares as shown in the accompanying table.

 

     BXMX        DIAX        SPXX        QQQX        JCE  

Common shares cumulatively repurchased and retired

    460,238          0          383,763          0          449,800  

Common shares authorized for repurchase

    10,405,000          3,635,000          1,720,000          4,355,000          1,600,000  

During the current reporting period, the Funds did not repurchase any of their outstanding common shares.

OTHER COMMON SHARE INFORMATION

As of December 31, 2021 the Funds’ common share prices were trading at a premium/(discount) to their common share NAVs and trading at an average premium/(discount) to NAV during the current reporting period, as follows:

 

     BXMX        DIAX        SPXX        QQQX        JCE  

Common share NAV

  $ 15.29        $ 18.09        $ 18.70        $ 29.63        $ 17.33  

Common share price

  $ 14.65        $ 17.77        $ 18.60        $ 30.65        $ 18.58  

Premium/(Discount) to NAV

    (4.19 )%         (1.77 )%         (0.53 )%         3.44        7.21

Average premium/(discount) to NAV

    (4.23 )%         (5.86 )%         (2.03 )%         0.60        (3.00 )% 

 

14


BXMX     

Nuveen S&P 500 Buy-Write Income Fund

Performance Overview and Holding Summaries as of December 31, 2021

 

Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this section.

Average Annual Total Returns as of December 31, 2021

 

    Average Annual  
     1-Year        5-Year        10-Year  
BXMX at Common Share NAV     17.80%          9.56%          9.19%  
BXMX at Common Share Price     20.75%          10.23%          10.69%  
Cboe S&P 500® BuyWrite Index (BXMSM)1     20.47%          7.84%          7.54%  

Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. Returns at NAV are net of Fund expenses, and assume reinvestment of distributions. Comparative index return information is provided for the Fund’s shares at NAV only. Indexes are not available for direct investment.

Daily Common Share NAV and Share Price

 

LOGO

Growth of an Assumed $10,000 Investment as of December 31, 2021 — Common Share Price

LOGO

 

 

1

For purposes of Fund performance, relative results are measured against this benchmark/index.

 

15


 

This data relates to the securities held in the Fund’s portfolio of investments as of the end of the reporting period. It should not be construed as a measure of performance for the Fund itself. Holdings are subject to change.

 

Fund Allocation

(% of net assets)

 

Common Stocks     99.6%  
Investments Purchased with Collateral from Securities Lending     0.1%  
Repurchase Agreements     2.8%  
Other Assets Less Liabilities     (2.5)%  

Net Assets

    100%  

Top Five Issuers

(% of total long-term investments)

 

Apple Inc     7.0%  
Microsoft Corp     6.6%  
Amazon.com Inc     3.7%  
Alphabet Inc, Class A     2.6%  
Tesla Inc     2.2%  

 

Portfolio Composition

(% of total investments)

 

Software     9.5%  
Technology Hardware, Storage & Peripherals     7.0%  
Interactive Media & Services     6.5%  
Semiconductors & Semiconductor Equipment     6.4%  
Banks     4.0%  
IT Services     3.9%  
Pharmaceuticals     3.7%  
Internet & Direct Marketing Retail     3.7%  
Health Care Providers & Services     2.9%  
Equity Real Estate Investment Trust     2.7%  
Capital Markets     2.6%  
Health Care Equipment & Supplies     2.6%  
Automobiles     2.5%  
Oil, Gas & Consumable Fuels     2.4%  
Specialty Retail     2.3%  
Hotels, Restaurants & Leisure     2.0%  
Insurance     1.9%  
Biotechnology     1.9%  
Life Sciences Tools & Services     1.8%  
Chemicals     1.7%  
Food & Staples Retailing     1.7%  
Diversified Financial Services     1.6%  
Entertainment     1.6%  
Aerospace & Defense     1.5%  
Other1     18.8%  
Investments Purchased with Collateral from Securities Lending     0.1%  
Repurchase Agreements     2.7%  

Total

    100%  
 

 

 

1

See the Portfolio of Investments for the remaining industries comprising “Other” and not listed in the Portfolio Composition above.

 

16


DIAX     

Nuveen Dow 30SM Dynamic Overwrite Fund

Performance Overview and Holding Summaries as of December 31, 2021

 

Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this section.

Average Annual Total Returns as of December 31, 2021

 

    Average Annual  
     1-Year        5-Year        10-Year  
DIAX at Common Share NAV     15.45%          8.68%          9.43%  
DIAX at Common Share Price     24.60%          10.79%          10.56%  
Dow Jones Industrial Average Index (DJIA)     20.95%          15.51%          14.21%  
DIAX Blended Benchmark1,2     20.02%          11.52%          10.04%  

Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. Returns at NAV are net of Fund expenses, and assume reinvestment of distributions. Comparative index return information is provided for the Fund’s shares at NAV only. Indexes are not available for direct investment.

Daily Common Share NAV and Share Price

 

LOGO

Growth of an Assumed $10,000 Investment as of December 31, 2021 — Common Share Price

LOGO

 

1

For purposes of Fund performance, relative results are measured against this benchmark/index.

2

DIAX Blended Benchmark consists of: 1) 55% Chicago Board Options Exchange (Cboe) DJIA BuyWrite Index (BXDSM) and 2) 45% Dow Jones Industrial Average Index (DJIA).

 

17


 

This data relates to the securities held in the Fund’s portfolio of investments as of the end of the reporting period. It should not be construed as a measure of performance for the Fund itself. Holdings are subject to change.

 

Fund Allocation

(% of net assets)

 

Common Stocks     100.8%  
Exchange-Traded Funds     0.8%  
Investments Purchased with Collateral from Securities Lending     0.7%  
Repurchase Agreements     0.2%  
Other Assets Less Liabilities     (2.5)%  

Net Assets

    100%  

Top Five Issuers

(% of total long-term investments)

 

UnitedHealth Group Inc     9.0%  
Home Depot Inc     7.5%  
Goldman Sachs Group Inc     6.9%  
Microsoft Corp     6.1%  
McDonald’s Corp     4.8%  

 

Portfolio Composition

(% of total investments)

 

Software     10.5%  
Health Care Providers & Services     9.0%  
Specialty Retail     7.4%  
Industrial Conglomerates     6.9%  
Capital Markets     6.8%  
IT Services     6.3%  
Hotels, Restaurants & Leisure     4.8%  
Pharmaceuticals     4.4%  
Biotechnology     4.0%  
Machinery     3.7%  
Aerospace & Defense     3.6%  
Food & Staples Retailing     3.5%  
Technology Hardware, Storage & Peripherals     3.2%  
Textiles, Apparel & Luxury Goods     3.0%  
Consumer Finance     2.9%  
Household Products     2.9%  
Other1     15.5%  
Exchange-Traded Funds     0.7%  
Investments Purchased with Collateral from Securities Lending     0.7%  
Repurchase Agreements     0.2%  

Total

    100%  
 

 

1

See the Portfolio of Investments for the remaining industries comprising “Other” and not listed in the Portfolio Composition above.

 

18


SPXX     

Nuveen S&P 500 Dynamic Overwrite Fund

Performance Overview and Holding Summaries as of December 31, 2021

 

Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this section.

Average Annual Total Returns as of December 31, 2021

 

       Average Annual  
        1-Year        5-Year        10-Year  
SPXX at Common Share NAV        22.15%          11.53%          10.16%  
SPXX at Common Share Price        29.03%          12.47%          12.17%  
S&P 500® Index        28.71%          18.47%          16.55%  
SPXX Blended Benchmark1,2        24.17%          12.60%          11.58%  

Performance prior to December 22, 2014, reflects the Fund’s performance under the management of a sub-adviser using an investment strategy that differed from those currently in place.

Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. Returns at NAV are net of Fund expenses, and assume reinvestment of distributions. Comparative index return information is provided for the Fund’s shares at NAV only. Indexes are not available for direct investment.

Daily Common Share NAV and Share Price

 

LOGO

Growth of an Assumed $10,000 Investment as of December 31, 2021 — Common Share Price

LOGO

 

1

For purposes of Fund performance, relative results are measured against this benchmark/index.

2

SPXX Blended Benchmark consists of: 1) 55% Chicago Board Options Exchange (Cboe) S&P 500® BuyWrite Index (BXMSM) and 2) 45% S&P 500® Index.

 

19


 

This data relates to the securities held in the Fund’s portfolio of investments as of the end of the reporting period. It should not be construed as a measure of performance for the Fund itself. Holdings are subject to change.

 

Fund Allocation

(% of net assets)

 

Common Stocks     100.5%  
Exchange-Traded Funds     0.8%  
Investments Purchased with Collateral from Securities Lending     0.3%  
Repurchase Agreements     0.3%  
Other Assets Less Liabilities     (1.9)%  

Net Asset

    100%  

Top Five Issuers

(% of total long-term investments)

 

Apple Inc     7.3%  
Microsoft Corp     6.8%  
Amazon.com Inc     3.9%  
Alphabet Inc, Class C     2.3%  
Alphabet Inc, Class A     2.3%  

 

Portfolio Composition

(% of total investments)

 

Software     9.0%  
Technology Hardware, Storage & Peripherals     7.3%  
Interactive Media & Services     6.7%  
Semiconductors & Semiconductor Equipment     5.4%  
Banks     5.0%  
IT Services     4.3%  
Internet & Direct Marketing Retail     4.1%  
Pharmaceuticals     3.7%  
Health Care Providers & Services     3.3%  
Equity Real Estate Investment Trust     3.0%  
Specialty Retail     2.8%  
Capital Markets     2.5%  
Automobiles     2.5%  
Health Care Equipment & Supplies     2.4%  
Machinery     2.3%  
Hotels, Restaurants & Leisure     2.0%  
Beverages     2.0%  
Household Products     2.0%  
Chemicals     1.9%  
Entertainment     1.8%  
Biotechnology     1.7%  
Diversified Financial Services     1.7%  
Insurance     1.6%  
Oil, Gas & Consumable Fuels     1.6%  
Other1     18.0%  
Exchange-Traded Funds     0.8%  
Investments Purchased with Collateral from Securities Lending     0.3%  
Repurchase Agreements     0.3%  

Total

    100%  
 

 

1

See the Portfolio of Investments for the remaining industries comprising “Other” and not listed in the Portfolio Composition above.

 

20


QQQX     

Nuveen Nasdaq 100 Dynamic Overwrite Fund

Performance Overview and Holding Summaries as of December 31, 2021

 

Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this section.

Average Annual Total Returns as of December 31, 2021

 

       Average Annual  
        1-Year        5-Year        10-Year  
QQQX at Common Share NAV        19.85%          16.22%          15.48%  
QQQX at Common Share Price        25.39%          18.27%          16.93%  
Nasdaq 100® Index        27.51%          28.63%          23.15%  
QQQX Blended Benchmark1,2        17.98%          18.47%          15.18%  

Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. Returns at NAV are net of Fund expenses, and assume reinvestment of distributions. Comparative index return information is provided for the Fund’s shares at NAV only. Indexes are not available for direct investment.

Daily Common Share NAV and Share Price

 

LOGO

Growth of an Assumed $10,000 Investment as of December 31, 2021 — Common Share Price

LOGO

 

1

For purposes of Fund performance, relative results are measured against this benchmark/index.

2

QQQX Blended Benchmark consists of: 1) 55% Chicago Board Options Exchange (Cboe) Nasdaq 100 BuyWrite Index (BXNSM) and 2) 45% Nasdaq 100® Index.

 

21


 

This data relates to the securities held in the Fund’s portfolio of investments as of the end of the reporting period. It should not be construed as a measure of performance for the Fund itself. Holdings are subject to change.

 

Fund Allocation

(% of net assets)

 

Common Stocks     100.8%  
Exchange-Traded Funds     0.9%  
Investments Purchased with Collateral from Securities Lending     0.1%  
Repurchase Agreements     0.1%  
Other Assets Less Liabilities     (1.9)%  

Net Assets

    100%  

Top Five Issuers

(% of total long-term investments)

 

Microsoft Corp     13.0%  
Apple Inc     12.7%  
Amazon.com Inc     7.9%  
Alphabet Inc, Class A     5.5%  
Alphabet Inc, Class C     3.6%  

 

Portfolio Composition

(% of total investments)

 

Software     17.1%  
Semiconductors & Semiconductor Equipment     14.8%  
Interactive Media & Services     14.7%  
Technology Hardware, Storage & Peripherals     12.7%  
Internet & Direct Marketing Retail     8.9%  
Automobiles     5.1%  
Biotechnology     4.1%  
Media     3.2%  
Communications Equipment     2.9%  
IT Services     2.9%  
Hotels, Restaurants & Leisure     1.5%  
Health Care Equipment & Supplies     1.3%  
Beverages     1.1%  
Food & Staples Retailing     1.1%  
Other1     7.5%  
Exchange-Traded Funds     0.9%  
Investments Purchased with Collateral from Securities Lending     0.1%  
Repurchase Agreements     0.1%  

Total

    100%  
 

 

 

1

See the Portfolio of Investments for the remaining industries comprising “Other” and not listed in the Portfolio Composition above.

 

22


JCE     

Nuveen Core Equity Alpha Fund

Performance Overview and Holding Summaries as of December 31, 2021

 

Refer to Glossary of Terms Used in this Report for further definition of the terms used within this section.

Average Annual Total Returns as of December 31, 2021

 

       Average Annual  
        1-Year        5-Year        10-Year  
JCE at Common Share NAV        26.91        14.57        13.35
JCE at Common Share Price        47.15        18.49        15.86
S&P 500® Index        28.71        18.47        16.55
JCE Blended Benchmark1,2        24.58        13.13        12.03

Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. Returns at NAV are net of Fund expenses, and assume reinvestment of distributions. Comparative index return information is provided for the Fund’s shares at NAV only. Indexes are not available for direct investment.

Daily Common Share NAV and Share Price

 

LOGO

Growth of an Assumed $10,000 Investment as of December 31, 2021 — Common Share Price

LOGO

 

1

For purposes of Fund performance, relative results are measured against this benchmark/index.

2

JCE Blended Benchmark consists of: 1) 50% S&P 500® Index and 2) 50% Chicago Board Options Exchange (Cboe) S&P 500® BuyWrite Index (BXMSM).

 

23


 

This data relates to the securities held in the Fund’s portfolio of investments as of the end of the reporting period. It should not be construed as a measure of performance for the Fund itself. Holdings are subject to change.

 

Fund Allocation

(% of net assets)

 

Common Stocks     99.5%  
Exchange-Traded Funds     0.4%  
Investments Purchased with Collateral from Securities Lending     0.0%  
Repurchase Agreements     0.3%  
Other Assets Less Liabilities     (0.2)%  

Net Asset

    100%  

Top Five Issuers

(% of total long-term investments)

 

Microsoft Corp     6.8%  
Apple Inc     6.6%  
Amazon.com Inc     4.2%  
Meta Platforms     2.5%  
Alphabet Inc, Class C     2.3%  

Portfolio Composition

(% of total investments)

 

Software     10.2%  
Technology Hardware, Storage & Peripherals     7.1%  
Interactive Media & Services     6.9%  
Semiconductors & Semiconductor Equipment     5.6%  
IT Services     5.2%  
Pharmaceuticals     4.8%  
Internet & Direct Marketing Retail     4.1%  
Life Sciences Tools & Services     3.0%  
Oil, Gas & Consumable Fuels     2.8%  
Banks     2.8%  
Capital Markets     2.7%  
Health Care Providers & Services     2.5%  
Specialty Retail     2.4%  
Machinery     2.4%  
Health Care Equipment & Supplies     2.4%  
Household Products     2.0%  
Food Products     1.8%  
Road & Rail     1.7%  
Air Freight & Logistics     1.6%  
Automobiles     1.6%  
Equity Real Estate Investment Trust     1.6%  
Electrical Equipment     1.5%  
Hotels, Restaurants & Leisure     1.5%  
Media     1.4%  
Biotechnology     1.4%  
Other1     18.3%  
Exchange-Traded Funds     0.4%  
Investments Purchased with Collateral from Securities Lending     0.0%  
Repurchase Agreements     0.3%  

Total

    100%  
 

 

1

See the Portfolio of Investments for the remaining industries comprising “Other” and not listed in the Portfolio Composition above.

 

24


Report of Independent Registered Public Accounting Firm

 

To the Board of Trustees and Shareholders of Nuveen S&P 500 Buy-Write Income Fund, Nuveen Dow 30SM Dynamic Overwrite Fund, Nuveen S&P 500 Dynamic Overwrite Fund, Nuveen Nasdaq 100 Dynamic Overwrite Fund and Nuveen Core Equity Alpha Fund

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Nuveen S&P 500 Buy-Write Income Fund, Nuveen Dow 30SM Dynamic Overwrite Fund, Nuveen S&P 500 Dynamic Overwrite Fund, Nuveen Nasdaq 100 Dynamic Overwrite Fund and Nuveen Core Equity Alpha Fund (hereafter collectively referred to as the “Funds”) as of December 31, 2021, the related statements of operations for the year ended December 31, 2021, the statements of changes in net assets for each of the two years in the period ended December 31, 2021, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2021 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2021, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2021 and each of the financial highlights for each of the five years in the period ended December 31, 2021 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinions

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2021 by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinions.

/s/ PricewaterhouseCoopers LLP

Chicago, Illinois

February 28, 2022

We have served as the auditor of one or more investment companies in Nuveen Funds since 2002.

 

25


BXMX   

Nuveen S&P 500 Buy-Write
Income Fund

 

Portfolio of Investments    December 31, 2021

 

Shares     Description (1)                   Value  
 

LONG-TERM INVESTMENTS – 99.6%

       
 

COMMON STOCKS – 99.6% (2)

       
      Aerospace & Defense – 1.6%                    
  28,960    

Boeing Co, (3)

        $ 5,830,227  
  9,566    

HEICO Corp

          1,379,609  
  62,456    

Howmet Aerospace Inc

          1,987,974  
  10,296    

Huntington Ingalls Industries Inc

          1,922,675  
  13,748    

Northrop Grumman Corp

          5,321,438  
  99,428    

Raytheon Technologies Corp

                      8,556,774  
 

Total Aerospace & Defense

                      24,998,697  
      Air Freight & Logistics – 0.6%                    
  40,842    

United Parcel Service Inc, Class B

                      8,754,074  
      Auto Components – 0.1%                    
  50,606    

Gentex Corp

          1,763,619  
  9,851    

Goodyear Tire & Rubber Co, (3)

                      210,023  
 

Total Auto Components

                      1,973,642  
      Automobiles – 2.5%                    
  252,900    

Ford Motor Co

          5,252,733  
  16,446    

Harley-Davidson Inc

          619,850  
  32,602    

Tesla Inc, (3)

                      34,453,141  
 

Total Automobiles

                      40,325,724  
      Banks – 4.1%                    
  81,113    

Citigroup Inc

          4,898,414  
  26,341    

Comerica Inc

          2,291,667  
  180,724    

Fifth Third Bancorp

          7,870,530  
  108,513    

First Horizon Corp

          1,772,017  
  137,798    

JPMorgan Chase & Co

          21,820,313  
  165,652    

KeyCorp

          3,831,531  
  119,082    

People’s United Financial Inc

          2,122,041  
  41,891    

PNC Financial Services Group Inc

          8,399,984  
  195,504    

Wells Fargo & Co

          9,380,282  
  56,591    

Zions Bancorp

                      3,574,288  
 

Total Banks

                      65,961,067  
      Beverages – 1.4%                    
  247,954    

Coca-Cola Co

          14,681,356  
  60,163    

Keurig Dr Pepper Inc

          2,217,608  
  56,712    

Monster Beverage Corp, (3)

                      5,446,621  
 

Total Beverages

                      22,345,585  
      Biotechnology – 1.9%                    
  80,284    

AbbVie Inc

          10,870,454  
  3,766    

Alnylam Pharmaceuticals Inc, (3)

          638,638  
  28,089    

Amgen Inc

          6,319,182  
  9,647    

Biogen Inc, (3)

          2,314,508  
  9,243    

BioMarin Pharmaceutical Inc, (3)

          816,619  
  2,000    

Exact Sciences Corp, (3)

          155,660  
  67,257    

Gilead Sciences Inc

          4,883,531  
  15,603    

Moderna Inc, (3)

          3,962,850  
  1,956    

Seagen Inc, (3)

                      302,398  
 

Total Biotechnology

                      30,263,840  
      Building Products – 0.3%                    
  15,381    

Allegion plc

          2,037,059  

 

26


  
  

 

Shares     Description (1)                   Value  
      Building Products (continued)                    
  43,726    

Masco Corp

                    $ 3,070,440  
 

Total Building Products

                      5,107,499  
      Capital Markets – 2.7%                    
  93,546    

Charles Schwab Corp

          7,867,219  
  21,911    

CME Group Inc

          5,005,787  
  44,488    

Intercontinental Exchange Inc

          6,084,624  
  53,398    

Jefferies Financial Group Inc

          2,071,842  
  86,746    

Morgan Stanley

          8,514,987  
  8,344    

MSCI Inc

          5,112,285  
  17,437    

S&P Global Inc

                      8,229,044  
 

Total Capital Markets

                      42,885,788  
      Chemicals – 1.8%                    
  16,669    

Chemours Co

          559,412  
  52,881    

Corteva Inc

          2,500,214  
  53,214    

Dow Inc

          3,018,298  
  42,507    

DuPont de Nemours Inc

          3,433,715  
  34,775    

Eastman Chemical Co

          4,204,645  
  33,382    

Linde PLC

          11,564,526  
  20,651    

Olin Corp

          1,187,846  
  14,399    

RPM International Inc

                      1,454,299  
 

Total Chemicals

                      27,922,955  
      Commercial Services & Supplies – 0.6%                    
  13,228    

Waste Connections Inc

          1,802,580  
  47,435    

Waste Management Inc

                      7,916,901  
 

Total Commercial Services & Supplies

                      9,719,481  
      Communications Equipment – 1.1%                    
  13,699    

Ciena Corp, (3)

          1,054,412  
  220,344    

Cisco Systems Inc

          13,963,199  
  5,140    

Lumentum Holdings Inc, (3)

          543,658  
  74,070    

Viavi Solutions Inc, (3)

                      1,305,113  
 

Total Communications Equipment

                      16,866,382  
      Consumer Finance – 0.4%                    
  42,085    

Discover Financial Services

          4,863,343  
  89,957    

SLM Corp

                      1,769,454  
 

Total Consumer Finance

                      6,632,797  
      Containers & Packaging – 0.5%                    
  13,574    

Avery Dennison Corp

          2,939,721  
  20,677    

Crown Holdings Inc

          2,287,290  
  15,364    

Packaging Corp of America

          2,091,809  
  18,945    

Sonoco Products Co

                      1,096,726  
 

Total Containers & Packaging

                      8,415,546  
      Diversified Financial Services – 1.6%                    
  86,707    

Berkshire Hathaway Inc, Class B, (3)

                      25,925,393  
      Diversified Telecommunication Services – 1.1%                    
  265,470    

AT&T Inc

          6,530,562  
  205,832    

Verizon Communications Inc

                      10,695,031  
 

Total Diversified Telecommunication Services

                      17,225,593  
      Electric Utilities – 0.5%                    
  58,152    

Evergy Inc

          3,989,809  
  52,512    

OGE Energy Corp

          2,015,410  
  29,198    

Pinnacle West Capital Corp

                      2,061,087  
 

Total Electric Utilities

                      8,066,306  

 

27


BXMX    Nuveen S&P 500 Buy-Write Income Fund (continued)
   Portfolio of Investments    December 31, 2021

 

Shares     Description (1)                   Value  
      Electrical Equipment – 0.7%                    
  54,146    

Emerson Electric Co

        $ 5,033,954  
  8,860    

Hubbell Inc

          1,845,272  
  13,511    

Rockwell Automation Inc

                      4,713,312  
 

Total Electrical Equipment

                      11,592,538  
      Electronic Equipment, Instruments & Components – 0.5%                    
  20,728    

CDW Corp

          4,244,680  
  86,143    

Corning Inc

                      3,207,104  
 

Total Electronic Equipment, Instruments & Components

                      7,451,784  
      Energy Equipment & Services – 0.3%                    
  72,910    

Halliburton Co

          1,667,452  
  77,600    

Schlumberger Ltd.

                      2,324,120  
 

Total Energy Equipment & Services

                      3,991,572  
      Entertainment – 1.6%                    
  20,435    

Netflix Inc, (3)

          12,310,861  
  1,091    

Roku Inc, (3)

          248,966  
  83,187    

Walt Disney Co, (3)

                      12,884,835  
 

Total Entertainment

                      25,444,662  
      Equity Real Estate Investment Trust – 2.8%                    
  97,035    

American Homes 4 Rent, Class A

          4,231,696  
  33,023    

American Tower Corp

          9,659,228  
  14,342    

Apartment Income REIT Corp

          784,077  
  73,114    

Apartment Investment and Management Co, Class A, (3)

          564,440  
  123,846    

Brandywine Realty Trust

          1,662,013  
  75,722    

CubeSmart

          4,309,339  
  51,595    

Equity Commonwealth, (3)

          1,336,311  
  84,268    

Healthcare Realty Trust Inc

          2,666,240  
  159,619    

Invitation Homes Inc

          7,237,125  
  19,823    

LXP Industrial Trust

          309,635  
  51,162    

Sabra Health Care REIT Inc

          692,734  
  15,931    

Sun Communities Inc

          3,345,032  
  42,955    

Welltower Inc

          3,684,250  
  94,015    

Weyerhaeuser Co

                      3,871,538  
 

Total Equity Real Estate Investment Trust

                      44,353,658  
      Food & Staples Retailing – 1.7%                    
  3,640    

Casey’s General Stores Inc

          718,354  
  24,647    

Costco Wholesale Corp

          13,992,102  
  55,722    

Kroger Co

          2,521,978  
  15,913    

US Foods Holding Corp, (3)

          554,250  
  63,367    

Walmart Inc

                      9,168,571  
 

Total Food & Staples Retailing

                      26,955,255  
      Food Products – 0.6%                    
  132,012    

Mondelez International Inc, Class A

          8,753,716  
  12,100    

Post Holdings Inc, (3)

                      1,364,033  
 

Total Food Products

                      10,117,749  
      Gas Utilities – 0.1%                    
  12,656    

Atmos Energy Corp

          1,325,969  
  2,933    

National Fuel Gas Co

                      187,536  
 

Total Gas Utilities

                      1,513,505  
      Health Care Equipment & Supplies – 2.7%                    
  98,976    

Abbott Laboratories

          13,929,882  
  19,198    

Alcon Inc., (4)

          1,672,530  
  7,646    

Avanos Medical Inc, (3)

          265,087  
  49,755    

Baxter International Inc

          4,270,969  
  130,178    

Boston Scientific Corp, (3)

          5,529,962  

 

28


  
  

 

Shares     Description (1)                   Value  
      Health Care Equipment & Supplies (continued)                    
  28,620    

Hologic Inc, (3)

        $ 2,191,147  
  8,009    

IDEXX Laboratories Inc, (3)

          5,273,606  
  89,338    

Medtronic PLC

                      9,242,016  
 

Total Health Care Equipment & Supplies

                      42,375,199  
      Health Care Providers & Services – 3.0%                    
  15,832    

Anthem Inc

          7,338,765  
  20,430    

Cigna Corp

          4,691,341  
  8,265    

Covetrus Inc, (3)

          165,052  
  69,178    

CVS Health Corp

          7,136,403  
  20,595    

HCA Healthcare

          5,291,267  
  45,020    

UnitedHealth Group Inc

                      22,606,343  
 

Total Health Care Providers & Services

                      47,229,171  
      Health Care Technology – 0.1%                    
  5,329    

Veeva Systems Inc, Class A, (3)

                      1,361,453  
      Hotels, Restaurants & Leisure – 2.1%                    
  2,484    

Booking Holdings Inc, (3)

          5,959,687  
  31,485    

Marriott International Inc, Class A, (3)

          5,202,582  
  41,884    

McDonald’s Corp

          11,227,844  
  16,077    

Restaurant Brands International Inc

          975,552  
  74,292    

Starbucks Corp

          8,689,935  
  15,026    

Wynn Resorts Ltd, (3)

                      1,277,811  
 

Total Hotels, Restaurants & Leisure

                      33,333,411  
      Household Durables – 0.4%                    
  16,552    

Garmin Ltd

          2,253,886  
  32,919    

KB Home

          1,472,467  
  6,575    

TopBuild Corp, (3)

                      1,814,108  
 

Total Household Durables

                      5,540,461  
      Household Products – 1.6%                    
  144,112    

Procter & Gamble Co

          23,573,841  
  13,445    

Spectrum Brands Holdings Inc

                      1,367,625  
 

Total Household Products

                      24,941,466  
      Industrial Conglomerates – 1.3%                    
  38,682    

3M Co

          6,871,084  
  50,397    

General Electric Co

          4,761,005  
  40,807    

Honeywell International Inc

                      8,508,667  
 

Total Industrial Conglomerates

                      20,140,756  
      Insurance – 1.9%                    
  2,535    

Alleghany Corp, (3)

          1,692,341  
  28,004    

Allstate Corp

          3,294,671  
  47,396    

Arthur J Gallagher & Co

          8,041,679  
  37,130    

CNO Financial Group Inc

          885,179  
  23,577    

Fidelity National Financial Inc

          1,230,248  
  16,078    

Genworth Financial Inc, Class A, (3)

          65,116  
  38,545    

Hartford Financial Services Group Inc

          2,661,147  
  4,703    

Kemper Corp

          276,489  
  33,540    

Lincoln National Corp

          2,289,440  
  7,573    

RenaissanceRe Holdings Ltd

          1,282,336  
  32,951    

Travelers Cos Inc

          5,154,525  
  47,777    

W R Berkley Corp

                      3,936,347  
 

Total Insurance

                      30,809,518  
      Interactive Media & Services – 6.6%                    
  14,278    

Alphabet Inc, Class A, (3)

          41,363,937  
  9,974    

Alphabet Inc, Class C, (3)

          28,860,667  
  99,036    

Meta Platforms Inc, Class A, (3)

          33,310,759  
  42,710    

Twitter Inc, (3)

                      1,845,926  
 

Total Interactive Media & Services

                      105,381,289  

 

29


BXMX    Nuveen S&P 500 Buy-Write Income Fund (continued)
   Portfolio of Investments    December 31, 2021

 

Shares     Description (1)                   Value  
      Internet & Direct Marketing Retail – 3.7%                    
  17,762    

Amazon.com Inc, (3)

        $ 59,224,547  
  5,685    

JD.com Inc, ADR, (3)

                      398,348  
 

Total Internet & Direct Marketing Retail

                      59,622,895  
      IT Services – 4.0%                    
  20,604    

Akamai Technologies Inc, (3)

          2,411,492  
  34,973    

Automatic Data Processing Inc

          8,623,642  
  39,198    

Fidelity National Information Services Inc

          4,278,462  
  42,887    

Mastercard Inc, Class A

          15,410,157  
  55,336    

PayPal Holdings Inc, (3)

          10,435,263  
  1,825    

Twilio Inc, Class A, (3)

          480,595  
  17,828    

VeriSign Inc, (3)

          4,525,103  
  81,846    

Visa Inc, Class A

                      17,736,847  
 

Total IT Services

                      63,901,561  
      Leisure Products – 0.1%                    
  25,861    

Mattel Inc, (3)

          557,563  
  6,048    

Polaris Inc

                      664,736  
 

Total Leisure Products

                      1,222,299  
      Life Sciences Tools & Services – 1.8%                    
  35,671    

Danaher Corp

          11,736,116  
  9,014    

Illumina Inc, (3)

          3,429,286  
  21,185    

Thermo Fisher Scientific Inc

                      14,135,479  
 

Total Life Sciences Tools & Services

                      29,300,881  
      Machinery – 1.5%                    
  38,322    

Caterpillar Inc

          7,922,690  
  31,851    

Graco Inc

          2,567,828  
  39,784    

Otis Worldwide Corp

          3,463,993  
  15,767    

Parker-Hannifin Corp

          5,015,798  
  16,044    

Stanley Black & Decker Inc

          3,026,219  
  10,383    

Timken Co

          719,438  
  4,597    

Woodward Inc

                      503,188  
 

Total Machinery

                      23,219,154  
      Media – 0.9%                    
  216,324    

Comcast Corp, Class A

          10,887,587  
  14,734    

Discovery Inc, Series A, (3)

          346,838  
  24,300    

Discovery Inc, Series C, (3)

          556,470  
  17,899    

New York Times Co, Class A

          864,522  
  78,489    

News Corp, Class A

                      1,751,090  
 

Total Media

                      14,406,507  
      Metals & Mining – 0.4%                    
  15,262    

Arconic Corp, (3)

          503,798  
  40,850    

Newmont Corp

          2,533,517  
  29,091    

Nucor Corp

                      3,320,738  
 

Total Metals & Mining

                      6,358,053  
      Mortgage Real Estate Investment Trust – 0.0%                    
  26,802    

Annaly Capital Management Inc

                      209,592  
      Multiline Retail – 0.5%                    
  25,320    

Macy’s Inc

          662,878  
  16,563    

Nordstrom Inc, (3)

          374,655  
  31,203    

Target Corp

                      7,221,622  
 

Total Multiline Retail

                      8,259,155  
      Multi-Utilities – 1.3%                    
  59,539    

Ameren Corp

          5,299,566  
  17,519    

NorthWestern Corp

          1,001,386  

 

30


  
  

 

Shares     Description (1)                   Value  
      Multi-Utilities (continued)                    
  105,501    

Public Service Enterprise Group Inc

        $ 7,040,082  
  75,663    

WEC Energy Group Inc

                      7,344,607  
 

Total Multi-Utilities

                      20,685,641  
      Oil, Gas & Consumable Fuels – 2.4%                    
  34,337    

Cenovus Energy Inc

          421,658  
  12,521    

Cheniere Energy Inc

          1,269,880  
  77,267    

Chevron Corp

          9,067,283  
  9,675    

CNX Resources Corp, (3)

          133,031  
  81,811    

ConocoPhillips

          5,905,118  
  15,719    

Continental Resources Inc

          703,582  
  183,113    

Exxon Mobil Corp

          11,204,685  
  29,828    

Hess Corp

          2,208,167  
  42,055    

Marathon Petroleum Corp

          2,691,099  
  17,934    

Ovintiv Inc

          604,376  
  26,554    

Phillips 66

          1,924,103  
  26,407    

Suncor Energy Inc

          660,967  
  25,961    

Valero Energy Corp

                      1,949,931  
 

Total Oil, Gas & Consumable Fuels

                      38,743,880  
      Pharmaceuticals – 3.8%                    
  123,308    

Bristol-Myers Squibb Co

          7,688,254  
  36,480    

Eli Lilly & Co

          10,076,506  
  115,829    

Johnson & Johnson

          19,814,867  
  112,570    

Merck & Co Inc

          8,627,365  
  241,787    

Pfizer Inc

                      14,277,522  
 

Total Pharmaceuticals

                      60,484,514  
      Professional Services – 0.3%                    
  21,760    

CoStar Group Inc, (3)

          1,719,693  
  9,803    

ManpowerGroup Inc

          954,126  
  23,554    

TransUnion

                      2,793,033  
 

Total Professional Services

                      5,466,852  
      Road & Rail – 1.1%                    
  32,442    

Canadian Pacific Railway Ltd

          2,333,878  
  4,425    

Lyft Inc, Class A, (3)

          189,080  
  24,761    

Norfolk Southern Corp

          7,371,597  
  17,586    

Old Dominion Freight Line Inc

          6,302,471  
  14,397    

Uber Technologies Inc, (3)

                      603,666  
 

Total Road & Rail

                      16,800,692  
      Semiconductors & Semiconductor Equipment – 6.6%                    
  57,354    

Advanced Micro Devices Inc, (3)

          8,253,241  
  55,271    

Applied Materials Inc

          8,697,444  
  21,360    

Broadcom Inc

          14,213,158  
  8,507    

Enphase Energy Inc, (3)

          1,556,271  
  179,454    

Intel Corp

          9,241,881  
  10,135    

Lam Research Corp

          7,288,585  
  29,779    

Marvell Technology Inc

          2,605,365  
  58,435    

Micron Technology Inc

          5,443,220  
  104,969    

NVIDIA Corp

          30,872,433  
  19,103    

NXP Semiconductors NV

          4,351,281  
  32,756    

ON Semiconductor Corp, (3)

          2,224,787  
  51,967    

QUALCOMM Inc

                      9,503,205  
 

Total Semiconductors & Semiconductor Equipment

                      104,250,871  
      Software – 9.8%                    
  26,284    

Adobe Inc, (3)

          14,904,605  
  17,788    

Autodesk Inc, (3)

          5,001,808  
  16,990    

Black Knight Inc, (3)

          1,408,301  
  552    

CDK Global Inc

          23,040  
  10,744    

Check Point Software Technologies Ltd, (3)

          1,252,321  
  308,740    

Microsoft Corp

          103,835,437  

 

31


BXMX    Nuveen S&P 500 Buy-Write Income Fund (continued)
   Portfolio of Investments    December 31, 2021

 

Shares     Description (1)                  Value  
      Software (continued)                   
  81,715    

Oracle Corp

       $ 7,126,365  
  3,531    

Palo Alto Networks Inc, (3)

         1,965,919  
  46,556    

salesforce.com Inc, (3)

         11,831,276  
  12,353    

ServiceNow Inc, (3)

         8,018,456  
  3,018    

VMware Inc, Class A

                     349,726  
 

Total Software

                     155,717,254  
      Specialty Retail – 2.3%                   
  8,358    

American Eagle Outfitters Inc

         211,625  
  24,636    

Best Buy Co Inc

         2,503,018  
  4,047    

Burlington Stores Inc, (3)

         1,179,741  
  14,810    

CarMax Inc, (3)

         1,928,706  
  3,114    

Five Below Inc, (3)

         644,255  
  50,051    

Home Depot Inc

         20,771,665  
  38,481    

Lowe’s Cos Inc

                     9,946,569  
 

Total Specialty Retail

                     37,185,579  
      Technology Hardware, Storage & Peripherals – 7.1%                   
  625,130    

Apple Inc

         111,004,334  
  48,016    

Dell Technologies Inc, Class C, (3)

                     2,697,059  
 

Total Technology Hardware, Storage & Peripherals

                     113,701,393  
      Textiles, Apparel & Luxury Goods – 0.7%                   
  6,689    

Kontoor Brands Inc

         342,811  
  2,201    

Lululemon Athletica Inc, (3)

         861,581  
  63,640    

NIKE Inc, Class B

                     10,606,879  
 

Total Textiles, Apparel & Luxury Goods

                     11,811,271  
      Thrifts & Mortgage Finance – 0.0%                   
  48,313    

MGIC Investment Corp

                     696,673  
      Tobacco – 0.5%                   
  153,069    

Altria Group Inc

                     7,253,940  
 

Total Long-Term Investments (cost $519,220,664)

                     1,585,222,473  
Shares     Description (1)   Coupon             Value  
 

INVESTMENTS PURCHASED WITH COLLATERAL FROM SECURITIES LENDING – 0.1%

      
      MONEY MARKET FUNDS – 0.1%                   
  1,710,570    

State Street Navigator Securities Lending Government Money Market Portfolio, (5)

    0.030%  (6)             $ 1,710,570  
 

Total Investments Purchased with Collateral from Securities Lending (cost $1,710,570)

                     1,710,570  
Principal
Amount (000)
    Description (1)   Coupon     Maturity      Value  
 

SHORT-TERM INVESTMENTS – 2.8%

      
      REPURCHASE AGREEMENTS – 2.8%                   
$ 44,224    

Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/21, repurchase price $44,223,733, collateralized by $45,411,600, U.S. Treasury Bonds, 1.875%, due 2/15/41, value $45,108,262

    0.000%       1/03/22      $ 44,223,733  
 

Total Short-Term Investments (cost $44,223,733)

                     44,223,733  
 

Total Investments (cost $565,154,967) – 102.5%

                     1,631,156,776  
 

Other Assets Less Liabilities – (2.5)% (7)

                     (40,012,410
 

Net Assets – 100%

                   $ 1,591,144,366  

 

32


  
  

 

Investments in Derivatives

Options Written

 

Description (8)      Type        Number of
Contracts
       Notional
Amount (9)
       Exercise
Price
       Expiration
Date
       Value  

S&P 500® Index

       Call          (366      $ (172,020,000      $ 4,700          1/21/22        $ (3,839,340

S&P 500® Index

       Call          (366        (174,765,000        4,775          1/21/22          (1,873,920

S&P 500® Index

       Call          (366        (168,360,000        4,600          2/18/22          (8,112,390

S&P 500® Index

       Call          (366        (175,680,000        4,800          2/18/22          (2,790,750

S&P 500® Index

       Call          (366        (170,190,000        4,650          2/18/22          (6,631,920

S&P 500® Index

       Call          (366        (172,020,000        4,700          2/18/22          (5,228,310

S&P 500® Index

       Call          (366        (179,340,000        4,900          3/18/22          (2,142,930

S&P 500® Index

       Call          (366        (175,680,000        4,800          3/18/22          (4,000,380

S&P 500® Index

       Call          (366        (177,510,000        4,850          3/18/22          (2,982,900

Total Options Written (premiums received $35,656,611)

 

       (3,294      $ (1,565,565,000                            $ (37,602,840

 

For Fund portfolio compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications into sectors for reporting ease.

 

(1)

All percentages shown in the Portfolio of Investments are based on net assets applicable to common shares unless otherwise noted.

 

(2)

The Fund may designate up to 100% of its common stock investments to cover outstanding options written.

 

(3)

Non-income producing; issuer has not declared an ex-dividend date within the past twelve months.

 

(4)

Investment, or a portion of investment, is out on loan for securities lending. The total value of the securities out on loan as of the end of the reporting period was $1,655,803.

 

(5)

The Fund may loan securities representing up to one third of the market value of its total assets (which includes collateral for securities on loan) to broker dealers, banks, and other institutions. The collateral maintained by the Fund shall have a market value, at the inception of each loan, equal to not less than 100% of the market value of the loaned securities. The cash collateral received by the Fund is invested in this money market fund.

 

(6)

The rate shown is the one-day yield as of the end of the reporting period.

 

(7)

Other assets less liabilities includes the unrealized appreciation (depreciation) of certain over-the-counter (“OTC”) derivatives as presented on the Statement of Assets and Liabilities, when applicable. The unrealized appreciation (depreciation) of OTC cleared and exchange-traded derivatives is recognized as part of the cash collateral at brokers and/or the receivable or payable for variation margin as presented on the Statement of Assets and Liabilities, when applicable. Other assets less liabilities also includes the value of options as presented on the Statement of Assets and Liabilities.

 

(8)

Exchange-traded, unless otherwise noted.

 

(9)

For disclosure purposes, Notional Amount is calculated by multiplying the Number of Contracts by the Exercise Price by 100.

 

ADR

American Depositary Receipt

 

REIT

Real Estate Investment Trust

 

S&P

Standard & Poor’s

 

See accompanying notes to financial statements.

 

33


DIAX   

Nuveen Dow 30SM Dynamic
Overwrite Fund

 

Portfolio of Investments    December 31, 2021

 

Shares     Description (1)                   Value  
 

LONG-TERM INVESTMENTS – 101.6%

       
 

COMMON STOCKS – 100.8%

       
      Aerospace & Defense – 3.7%                    
  120,281    

Boeing Co, (2)

                    $ 24,214,971  
      Banks – 2.9%                    
  120,281    

JPMorgan Chase & Co

                      19,046,496  
      Beverages – 1.1%                    
  120,281    

Coca-Cola Co, (3)

                      7,121,838  
      Biotechnology – 4.1%                    
  120,281    

Amgen Inc, (3)

                      27,059,617  
      Capital Markets – 7.0%                    
  120,281    

Goldman Sachs Group Inc

                      46,013,497  
      Chemicals – 1.0%                    
  120,281    

Dow Inc, (3)

                      6,822,338  
      Communications Equipment – 1.2%                    
  120,281    

Cisco Systems Inc

                      7,622,207  
      Consumer Finance – 3.0%                    
  120,281    

American Express Co, (3)

                      19,677,972  
      Diversified Telecommunication Services – 1.0%                    
  120,281    

Verizon Communications Inc

                      6,249,801  
      Entertainment – 2.8%                    
  120,281    

Walt Disney Co, (2), (3)

                      18,630,324  
      Food & Staples Retailing – 3.6%                    
  120,281    

Walgreens Boots Alliance Inc

          6,273,857  
  120,281    

Walmart Inc

                      17,403,458  
 

Total Food & Staples Retailing

                      23,677,315  
      Health Care Providers & Services – 9.2%                    
  120,281    

UnitedHealth Group Inc

                      60,397,901  
      Hotels, Restaurants & Leisure – 4.9%                    
  120,281    

McDonald’s Corp

                      32,243,728  
      Household Products – 3.0%                    
  120,281    

Procter & Gamble Co

                      19,675,566  
      Industrial Conglomerates – 7.1%                    
  120,281    

3M Co

          21,365,514  
  120,281    

Honeywell International Inc

                      25,079,791  
 

Total Industrial Conglomerates

                      46,445,305  
      Insurance – 2.9%                    
  120,281    

Travelers Cos Inc

                      18,815,557  
      IT Services – 6.4%                    
  120,281    

International Business Machines Corp

          16,076,758  

 

34


  
  

 

Shares     Description (1)                  Value  
      IT Services (continued)                   
  120,281    

Visa Inc, Class A

                   $ 26,066,096  
 

Total IT Services

                     42,142,854  
      Machinery – 3.8%                   
  120,281    

Caterpillar Inc

                     24,866,894  
      Oil, Gas & Consumable Fuels – 2.1%                   
  120,281    

Chevron Corp

                     14,114,975  
      Pharmaceuticals – 4.5%                   
  120,281    

Johnson & Johnson

         20,576,471  
  120,281    

Merck & Co Inc

                     9,218,336  
 

Total Pharmaceuticals

                     29,794,807  
      Semiconductors & Semiconductor Equipment – 0.9%                   
  120,281    

Intel Corp

                     6,194,471  
      Software – 10.8%                   
  120,281    

Microsoft Corp, (3)

         40,452,906  
  120,281    

salesforce.com Inc, (2)

                     30,567,010  
 

Total Software

                     71,019,916  
      Specialty Retail – 7.6%                   
  120,281    

Home Depot Inc

                     49,917,818  
      Technology Hardware, Storage & Peripherals – 3.2%                   
  120,281    

Apple Inc, (3)

                     21,358,297  
      Textiles, Apparel & Luxury Goods – 3.0%                   
  120,281    

NIKE Inc, Class B

                     20,047,234  
 

Total Common Stocks (cost $252,154,750)

                     663,171,699  
Shares     Description (1)                  Value  
      EXCHANGE-TRADED FUNDS – 0.8%                   
  20,000    

Vanguard Total Stock Market ETF, (4)

                   $ 4,828,800  
 

Total Exchange-Traded Funds (cost $4,563,901)

                     4,828,800  
 

Total Long-Term Investments (cost $256,718,651)

                     668,000,499  
Shares     Description (1)   Coupon             Value  
 

INVESTMENTS PURCHASED WITH COLLATERAL FROM SECURITIES LENDING – 0.7%

      
      MONEY MARKET FUNDS – 0.7%                   
  4,895,552    

State Street Navigator Securities Lending Government Money Market Portfolio, (5)

    0.030%  (6)             $ 4,895,552  
 

Total Investments Purchased with Collateral from Securities Lending (cost $4,895,552)

                     4,895,552  
Principal
Amount (000)
    Description (1)   Coupon     Maturity      Value  
 

SHORT-TERM INVESTMENTS – 0.2%

      
      REPURCHASE AGREEMENTS – 0.2%                   
$ 1,319    

Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/21, repurchase price $1,319,458, collateralized by $1,354,900, U.S. Treasury Bonds, 1.875%, due 2/15/41, value $1,345,850

    0.000%       1/03/22      $ 1,319,458  
 

Total Short-Term Investments (cost $1,319,458)

                     1,319,458  
 

Total Investments (cost $262,933,661) – 102.5%

                     674,215,509  
 

Other Assets Less Liabilities – (2.5)% (7)

                     (16,497,293
 

Net Assets – 100%

                   $ 657,718,216  

 

35


DIAX    Nuveen 30SM Dynamic Overwrite Fund (continued)
   Portfolio of Investments    December 31, 2021

 

Investments in Derivatives

Options Written

 

Description (8)      Type        Number of
Contracts
       Notional
Amount (9)
       Exercise
Price
       Expiration
Date
       Value  

S&P 500® Index (premiums received $6,905,813)

       Call          (780      $ (363,090,000      $ 4,655          1/21/22        $ (11,076,000

For Fund portfolio compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications into sectors for reporting ease.

 

(1)

All percentages shown in the Portfolio of Investments are based on net assets applicable to common shares unless otherwise noted.

 

(2)

Non-income producing; issuer has not declared an ex-dividend date within the past twelve months.

 

(3)

Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in derivatives.

 

(4)

Investment, or a portion of investment, is out on loan for securities lending. The total value of the securities out on loan as of the end of the reporting period was $4,780,512.

 

(5)

The Fund may loan securities representing up to one third of the market value of its total assets (which includes collateral for securities on loan) to broker dealers, banks, and other institutions. The collateral maintained by the Fund shall have a market value, at the inception of each loan, equal to not less than 100% of the market value of the loaned securities. The cash collateral received by the Fund is invested in this money market fund.

 

(6)

The rate shown is the one-day yield as of the end of the reporting period.

 

(7)

Other assets less liabilities includes the unrealized appreciation (depreciation) of certain over-the-counter (“OTC”) derivatives as presented on the Statement of Assets and Liabilities, when applicable. The unrealized appreciation (depreciation) of OTC cleared and exchange-traded derivatives is recognized as part of the cash collateral at brokers and/or the receivable or payable for variation margin as presented on the Statement of Assets and Liabilities, when applicable. Other assets less liabilities also includes the value of options as presented on the Statement of Assets and Liabilities.

 

(8)

Exchange-traded, unless otherwise noted.

 

(9)

For disclosure purposes, Notional Amount is calculated by multiplying the Number of Contracts by the Exercise Price by 100.

 

ETF

Exchange-Traded Fund

 

S&P

Standard & Poor’s

 

See accompanying notes to financial statements.

 

36


SPXX   

Nuveen S&P 500 Dynamic
Overwrite Fund

 

Portfolio of Investments    December 31, 2021

 

Shares     Description (1)                   Value  
 

LONG-TERM INVESTMENTS – 101.3%

       
 

COMMON STOCKS – 100.5% (98.6% of Total Investments)

       
      Aerospace & Defense – 1.4%                    
  5,621    

Boeing Co, (2)

        $ 1,131,620  
  1,033    

BWX Technologies Inc

          49,460  
  716    

Curtiss-Wright Corp

          99,288  
  793    

HEICO Corp

          114,366  
  3,921    

Lockheed Martin Corp

          1,393,562  
  20,963    

Raytheon Technologies Corp

                      1,804,076  
 

Total Aerospace & Defense

                      4,592,372  
      Air Freight & Logistics – 0.6%                    
  8,775    

United Parcel Service Inc, Class B

                      1,880,833  
      Airlines – 0.0%                    
  513    

American Airlines Group Inc, (2)

          9,213  
  5,123    

JetBlue Airways Corp, (2)

          72,952  
  2,159    

Spirit Airlines Inc, (2)

                      47,174  
 

Total Airlines

                      129,339  
      Auto Components – 0.1%                    
  3,036    

Gentex Corp

          105,805  
  6,359    

Goodyear Tire & Rubber Co, (2)

          135,574  
  519    

Lear Corp

                      94,951  
 

Total Auto Components

                      336,330  
      Automobiles – 2.5%                    
  37,389    

Ford Motor Co

          776,569  
  1,133    

Rivian Automotive Inc, (2)

          117,481  
  6,938    

Tesla Inc, (2)

                      7,331,940  
 

Total Automobiles

                      8,225,990  
      Banks – 5.1%                    
  13,874    

Associated Banc-Corp

          313,414  
  69,901    

Bank of America Corp

          3,109,896  
  906    

Bank of Hawaii Corp

          75,887  
  1,569    

Bank OZK

          73,006  
  1,508    

BankUnited Inc

          63,803  
  1,063    

BOK Financial Corp

          112,136  
  2,722    

Cadence Bank

          81,088  
  2,384    

Cathay General Bancorp

          102,488  
  24,364    

Citigroup Inc

          1,471,342  
  5,340    

Comerica Inc

          464,580  
  1,830    

Commerce Bancshares Inc

          125,794  
  1,323    

Community Bank System Inc

          98,537  
  872    

Cullen/Frost Bankers Inc

          109,933  
  2,667    

CVB Financial Corp

          57,100  
  1,261    

East West Bancorp Inc

          99,215  
  1,257    

Enterprise Financial Services Corp

          59,192  
  74    

First Citizens BancShares Inc, Class A

          61,408  
  2,715    

First Financial Bancorp

          66,192  
  7,166    

First Hawaiian Inc

          195,847  
  9,948    

First Horizon Corp

          162,451  
  15,312    

First Midwest Bancorp Inc

          313,590  
  21,881    

FNB Corp/PA

          265,417  
  3,550    

Fulton Financial Corp

          60,350  
  1,542    

Glacier Bancorp Inc

          87,431  
  9,405    

Hope Bancorp Inc

          138,348  

 

37


SPXX    Nuveen S&P 500 Dynamic Overwrite Fund (continued)
   Portfolio of Investments    December 31, 2021

 

Shares     Description (1)                   Value  
      Banks (continued)                    
  730    

Independent Bank Corp

        $ 59,517  
  4,753    

Investors Bancorp Inc

          72,008  
  32,606    

JPMorgan Chase & Co

          5,163,160  
  2,579    

PacWest Bancorp

          116,493  
  1,012    

Pinnacle Financial Partners Inc

          96,646  
  2,043    

Popular Inc

          167,608  
  1,205    

Renasant Corp

          45,730  
  658    

SouthState Corp

          52,712  
  2,872    

Sterling Bancorp/DE

          74,069  
  650    

Texas Capital Bancshares Inc, (2)

          39,163  
  2,690    

Towne Bank/Portsmouth VA

          84,977  
  2,094    

United Community Banks Inc/GA

          75,258  
  10,088    

Valley National Bancorp

          138,710  
  36,733    

Wells Fargo & Co

          1,762,449  
  660    

Western Alliance Bancorp

          71,049  
  8,676    

Zions Bancorp NA

                      547,976  
 

Total Banks

                      16,335,970  
      Beverages – 2.0%                    
  51,740    

Coca-Cola Co, (3)

          3,063,526  
  19,878    

PepsiCo Inc

                      3,453,007  
 

Total Beverages

                      6,516,533  
      Biotechnology – 1.8%                    
  16,944    

AbbVie Inc

          2,294,218  
  7,117    

Amgen Inc

          1,601,112  
  1,457    

Biogen Inc, (2)

          349,563  
  661    

BioMarin Pharmaceutical Inc, (2)

          58,399  
  551    

Horizon Therapeutics Plc, (2)

          59,376  
  3,054    

Moderna Inc, (2)

          775,655  
  2,650    

Vertex Pharmaceuticals Inc, (2)

                      581,940  
 

Total Biotechnology

                      5,720,263  
      Building Products – 0.2%                    
  563    

Carlisle Cos Inc

          139,692  
  424    

Lennox International Inc

          137,529  
  1,102    

Owens Corning

          99,731  
  548    

Simpson Manufacturing Co Inc

          76,210  
  397    

Trex Co Inc, (2)

          53,607  
  855    

UFP Industries Inc

                      78,668  
 

Total Building Products

                      585,437  
      Capital Markets – 2.6%                    
  814    

Apollo Global Management Inc

          58,958  
  771    

Ares Management Corp

          62,659  
  975    

Blackstone Inc

          126,155  
  1,778    

Carlyle Group Inc

          97,612  
  16,181    

Charles Schwab Corp

          1,360,822  
  4,910    

CME Group Inc

          1,121,739  
  307    

Federated Hermes Inc

          11,537  
  4,325    

Goldman Sachs Group Inc

          1,654,529  
  492    

Hamilton Lane Inc, Class A

          50,981  
  496    

Houlihan Lokey Inc

          51,346  
  9,328    

Intercontinental Exchange Inc

          1,275,791  
  1,228    

Janus Henderson Group PLC

          51,502  
  1,763    

Jefferies Financial Group Inc

          68,404  
  1,435    

KKR & Co Inc

          106,908  
  1,234    

Lazard Ltd, Class A

          53,839  
  546    

LPL Financial Holdings Inc

          87,409  
  17,299    

Morgan Stanley

          1,698,070  
  2,060    

SEI Investments Co

          125,536  
  1,398    

Stifel Financial Corp

          98,447  
  954    

Tradeweb Markets Inc, Class A

                      95,534  
 

Total Capital Markets

                      8,257,778  

 

38


  
  

 

Shares     Description (1)                   Value  
      Chemicals – 2.0%                    
  722    

Ashland Global Holdings Inc

        $ 77,731  
  1,074    

Avient Corp

          60,090  
  2,854    

Axalta Coating Systems Ltd, (2)

          94,525  
  337    

Balchem Corp

          56,818  
  1,117    

Cabot Corp

          62,775  
  10,837    

Dow Inc

          614,675  
  5,047    

Eastman Chemical Co

          610,233  
  3,516    

Ecolab Inc

          824,818  
  2,357    

Element Solutions Inc

          57,228  
  976    

HB Fuller Co

          79,056  
  5,409    

Linde PLC

          1,873,840  
  152    

NewMarket Corp

          52,093  
  1,562    

Olin Corp

          89,846  
  1,353    

RPM International Inc

          136,653  
  662    

Sensient Technologies Corp

          66,240  
  4,312    

Sherwin-Williams Co

          1,518,514  
  1,434    

Valvoline Inc

                      53,474  
 

Total Chemicals

                      6,328,609  
      Commercial Services & Supplies – 0.1%                    
  903    

Casella Waste Systems Inc, (2)

          77,134  
  638    

Clean Harbors Inc, (2)

          63,653  
  8,663    

CoreCivic Inc, (2)

          86,370  
  409    

MSA Safety Inc

          61,743  
  1,037    

Stericycle Inc, (2)

          61,847  
  383    

Tetra Tech Inc

          65,034  
  258    

UniFirst Corp/MA

                      54,283  
 

Total Commercial Services & Supplies

                      470,064  
      Communications Equipment – 1.3%                    
  1,059    

Ciena Corp, (2)

          81,511  
  51,860    

Cisco Systems Inc

          3,286,368  
  2,967    

Motorola Solutions Inc

          806,134  
  4,298    

Viavi Solutions Inc, (2)

                      75,731  
 

Total Communications Equipment

                      4,249,744  
      Construction & Engineering – 0.1%                    
  740    

EMCOR Group Inc

          94,269  
  1,196    

KBR Inc

          56,953  
  595    

MasTec Inc, (2)

          54,907  
  275    

Valmont Industries Inc

                      68,887  
 

Total Construction & Engineering