Form N-Q

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549

FORM N-Q


QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number         811-09451         

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


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


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

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

Date of fiscal year end:            05/31          

Date of reporting period:          08/31/05         

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

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

Item 1. Schedule of Investments

  Portfolio of Investments (Unaudited)
Nuveen Massachusetts Dividend Advantage Municipal Fund (NMB)
August 31, 2005

    Principal               
    Amount (000)    Description(1)    Optional Call  Provisions*    Ratings**      Market Value 
        Consumer Discretionary - 1.7% (1.1% of Total Investments)              
$    500    Boston Industrial Development Financing Authority, Massachusetts, Senior Revenue Bonds, Crosstown   9/12 at 102.00    Ba3    $   505,835 
        Center Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum Tax)              
        Education and Civic Organizations - 25.5% (17.3% of Total Investments)              
    1,085    Massachusetts Educational Finance Authority, Educational Loan Revenue Bonds, Series 2001E, 5.300%,   7/10 at 100.00    AAA      1,120,924 
        1/01/16 (Alternative Minimum Tax)- AMBAC Insured              
    495    Massachusetts Development Finance Authority, Revenue Bonds, Massachusetts College of Pharmacy and   7/15 at 100.00    AAA      521,502 
        Allied Health Sciences, Series 2005D, 5.000%, 7/01/27 - AGC Insured              
    1,000    Massachusetts Development Finance Authority, Revenue Refunding Bonds, Boston University, Series   5/29 at 105.00    A3      1,235,440 
        1999P, 6.000%, 5/15/59              
    500    Massachusetts Development Finance Authority, Revenue Bonds, Milton Academy, Series 2003A, 5.000%,   9/13 at 100.00    AA-      545,125 
        9/01/19              
    1,000    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Boston College, Series   6/13 at 100.00    AA-      1,094,030 
        2003N, 5.250%, 6/01/18              
    2,000    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Tufts University, Series   2/11 at 100.00    AA-      2,186,660 
        2001I, 5.500%, 2/15/36              
    500    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Massachusetts Institute   No Opt. Call    AAA      571,125 
        of Technology, Series 2004M, 5.250%, 7/01/15              
    250    University of Massachusetts Building Authority, Senior Lien Project Revenue Bonds, Series 2005-1,   No Opt. Call    AAA      277,745 
        5.000%, 5/01/15 - AMBAC Insured              
    250    University of Massachusetts Building Authority, Senior Lien Project Revenue Bonds, Series 2004-1,   11/14 at 100.00    AAA      276,093 
        5.250%, 11/01/24 - AMBAC Insured              
        Healthcare - 16.8% (11.4% of Total Investments)              
    1,000    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Partners HealthCare   7/09 at 101.00    AA-      1,049,610 
        System Inc., Series 1999B, 5.125%, 7/01/19              
    1,000    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Partners HealthCare   7/11 at 101.00    AA-      1,109,970 
        System Inc., Series 2001C, 5.750%, 7/01/32              
    500    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, UMass Memorial Health   7/11 at 100.00    BBB      550,040 
        Care, Series 2001C, 6.625%, 7/01/32              
    375    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Covenant Health Systems   1/12 at 101.00    A      405,593 
        Obligated Group, Series 2002, 6.000%, 7/01/31              
    500    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Berkshire Health System,   10/11 at 101.00    BBB+      536,520 
        Series 2001E, 6.250%, 10/01/31              
    500    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Northern Berkshire   7/14 at 100.00    BB-      531,500 
        Community Services Inc., Series 2004B, 6.375%, 7/01/34              
    600    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Lahey Clinic Medical   8/15 at 100.00    AAA      647,838 
        Center, Series 2005C, 5.000%, 8/15/21 - FGIC Insured              
    315    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Emerson Hospital, Series   8/15 at 100.00    AA      327,008 
        2005E, 5.000%, 8/15/35 - RAAI Insured              

    Housing/Multifamily - 13.1% (8.9% of Total Investments)               
1,000    Massachusetts Development Finance Authority, GNMA Collateralized Assisted Living Facility Revenue    3/12 at 105.00    AAA        1,120,530 
    Bonds, Arbors at Chicopee, Series 2001A, 6.250%, 9/20/42 (Alternative Minimum Tax)               
1,250    Massachusetts Housing Finance Agency, Rental Housing Mortgage Revenue Bonds, Series 2001A, 5.850%,    1/11 at 100.00    AAA      1,315,638 
    7/01/35 (Alternative Minimum Tax) - AMBAC Insured               
500    Massachusetts Housing Finance Agency, Housing Revenue Bonds, Series 2003S, 5.050%, 12/01/23    6/13 at 100.00    AA-      512,625 
    (Alternative Minimum Tax)               
1,000    Somerville Housing Authority, Massachusetts, GNMA Collateralized Mortgage Revenue Bonds, Clarendon    5/12 at 103.00    AAA      1,069,830 
    Hill Towers, Series 2002, 5.200%, 11/20/22               
    Housing/Single Family - 2.8% (1.9% of Total Investments)               
840    Massachusetts Housing Finance Agency, Single Family Housing Revenue Bonds, Series 82, 5.375%,    6/10 at 100.00    AAA      871,424 
    12/01/20 (Alternative Minimum Tax) - FSA Insured               
    Industrials - 0.7% (0.5% of Total Investments)               
200    Massachusetts Development Finance Agency, Solid Waste Disposal Revenue Bonds, Waste Management    No Opt. Call    BBB      216,642 
    Inc., Series 2003, 5.450%, 6/01/14               
    Long-Term Care - 2.3% (1.6% of Total Investments)               
655    Massachusetts Development Finance Authority, First Mortgage Revenue Bonds, Berkshire Retirement    7/11 at 102.00    BBB-      703,680 
    Community - Edgecombe Project, Series 2001A, 6.750%, 7/01/21               
    Tax Obligation/General - 33.3% (22.5% of Total Investments)               
310    Ashland, Massachusetts, General Obligation Bonds, Series 2004, 5.250%, 5/15/23 - AMBAC Insured    5/15 at 100.00    Aaa      344,453 
1,000    Boston, Massachusetts, General Obligation Bonds, Series 2001A, 5.000%, 2/01/20    2/11 at 100.00    Aa1      1,068,310 
2,000    Brookline, Massachusetts, General Obligation Bonds, Series 2000, 5.375%, 4/01/17    4/10 at 101.00    Aaa      2,190,100 
500    East Longmeadow, Massachusetts, General Obligation Bonds, Series 2001, 5.000%, 8/01/14 - AMBAC    8/11 at 101.00    Aaa      548,040 
    Insured               
440    Fall River, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 2/01/21 - FSA Insured    2/13 at 101.00    AAA      478,205 
1,675    Lawrence, Massachusetts, General Obligation Bonds, Series 2001, 5.000%, 2/01/21 - AMBAC Insured    2/11 at 100.00    Aaa      1,797,091 
1,095    Lynn, Massachusetts, General Obligation Bonds, Series 2001, 5.375%, 8/15/12 - FGIC Insured    8/11 at 101.00    Aaa      1,224,298 
750    Massachusetts, General Obligation Bonds, Consolidated Loan, Series 2002D, 5.500%, 8/01/19    No Opt. Call    AA      880,125 
500    Norwell, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 11/15/20 - FGIC Insured    No Opt. Call    AAA      566,615 
    Springfield, Massachusetts, General Obligation Bonds, Series 2003:               
500    5.250%, 1/15/15 - MBIA Insured    1/13 at 100.00    AAA      557,780 
500    5.250%, 1/15/23 - MBIA Insured    1/13 at 100.00    AAA      555,030 
    Tax Obligation/Limited - 18.6% (12.6% of Total Investments)               
395    Martha's Vineyard Land Bank, Massachusetts, Revenue Bonds, Series 2004, 5.000%, 5/01/26 - AMBAC    5/14 at 100.00    AAA      424,416 
    Insured               
210    Massachusetts Bay Transportation Authority, Assessment Bonds, Series 2000A, 5.250%, 7/01/30    7/10 at 100.00    AAA      225,429 
450    Massachusetts Bay Transportation Authority, Assessment Bonds, Series 2005A, 5.000%, 7/01/18 (WI,    7/15 at 100.00    AAA      494,136 
    settling 9/08/05)               
385    Massachusetts Bay Transportation Authority, Senior Lien Sales Tax Revenue Bonds, Series 2004C,    No Opt. Call    AAA      447,189 
    5.250%, 7/01/21               
230    Massachusetts College Building Authority, Project Revenue Bonds, Series 2004A, 5.000%, 5/01/19 -    5/14 at 100.00    AAA      249,764 
    MBIA Insured               
500    Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2005A, 5.000%,    8/15 at 100.00    AAA      546,955 

      8/15/20 - FSA Insured             
  230    Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, Series 2005, 5.000%, 1/01/20 - FGIC    No Opt. Call    AAA        258,782
      Insured             
  1,250    Massachusetts, Special Obligation Refunding Notes, Federal Highway Grant Anticipation Note Program,    No Opt. Call    Aaa      1,373,263
      Series 2003A, 5.000%, 12/15/13 - FSA Insured             
  1,000    Puerto Rico Municipal Finance Agency, Series 1999A, 6.000%, 8/01/16 - FSA Insured    8/09 at 101.00    AAA      1,119,540
  500    Virgin Islands Public Finance Authority, Gross Receipts Taxes Loan Note, Series 1999A, 6.375%,    10/10 at 101.00    BBB      568,955
      10/01/19             
      Transportation - 6.3% (4.2% of Total Investments)             
  800    Massachusetts Port Authority, Revenue Bonds, Series 2005A, 5.000%, 7/01/23 - AMBAC Insured    7/15 at 100.00    AAA      865,488
  1,000    Massachusetts Port Authority, Special Facilities Revenue Bonds, BOSFUEL Corporation, Series 1997,    7/07 at 102.00    AAA      1,053,200
      5.500%, 7/01/18 (Alternative Minimum Tax) - MBIA Insured             
      U.S. Guaranteed *** - 12.3% (8.3% of Total Investments)             
  500    Massachusetts, General Obligation Bonds, Consolidated Loan, Series 2004B, 5.000%, 8/01/24    8/14 at 100.00    AA***      550,765
      (Pre-refunded to 8/01/14)             
  750    Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, Series 2004, 5.250%, 1/01/25    1/14 at 100.00    AAA      838,658
      (Pre-refunded to 1/01/14) - FGIC Insured             
  300    Massachusetts Water Resources Authority, General Revenue Bonds, Series 2000A, 5.750%, 8/01/30    8/10 at 101.00    AAA      336,552
      (Pre-refunded to 8/01/10) - FGIC Insured             
  1,250    University of Massachusetts Building Authority, Senior Lien Project Revenue Bonds, Series 2000-2,    11/10 at 100.00    AAA      1,374,713
      5.250%, 11/01/20 (Pre-refunded to 11/01/10) - AMBAC Insured             
  600    University of Massachusetts Building Authority, Senior Lien Project Revenue Bonds, Series 2003-1,    11/13 at 100.00    AAA      675,720
      5.250%, 11/01/18 (Pre-refunded to 11/01/13) - AMBAC Insured             
      Utilities - 5.6% (3.8% of Total Investments)             
  1,070    Massachusetts Development Finance Agency, Resource Recovery Revenue Bonds, SEMass System, Series    1/12 at 101.00    AAA      1,191,531
      2001A, 5.625%, 1/01/14 - MBIA Insured             
  500    Massachusetts Industrial Finance Agency, Resource Recovery Revenue Refunding Bonds, Ogden Haverhill    12/08 at 102.00    BBB      514,915
      Project, Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax)             
      Water and Sewer - 8.7% (5.9% of Total Investments)             
  530    Boston Water and Sewerage Commission, Massachusetts, General Revenue Bonds, Senior Series 2004A,    11/14 at 100.00    AA      571,785
      5.000%, 11/01/25             
  1,405    Massachusetts Water Pollution Abatement Trust, Revenue Bonds, MWRA Loan Program, Subordinate Series    8/09 at 101.00    AAA      1,537,927
      1999A, 5.750%, 8/01/29             
  500    Massachusetts Water Pollution Abatement Trust, Revenue Bonds, MWRA Loan Program, Series 2002A,    8/12 at 100.00    AAA      547,217
      5.250%, 8/01/20             
$   41,440    Total Long-Term Investments (cost $42,688,254) - 147.7%              45,279,874
      Other Assets Less Liabilities - 1.2%              372,586
      Preferred Shares, at Liquidation Value - (48.9)%              (15,000,000)
      Net Assets Applicable to Common Shares - 100%            $   30,652,460

(1)      All percentages shown in the Portfolio of Investments are based on net assets
applicable to Common shares unless otherwise noted.
* Optional Call Provisions: Dates (month and year) and prices of the earliest
optional call or redemption. There may be other call provisions at varying
prices at later dates.
**  Ratings: Using the higher of Standard & Poor's or Moody's rating.
 
*** 
 
  		Securities are backed by an escrow or trust containing sufficient U.S.
Government or U.S. Government agency  securities which ensures the
timely payment of principal and interest. Such securities are normally
considered to be equivalent to AAA rated securities. 
(WI)  Security purchased on a when-issued basis. 

Income Tax Information

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

At August 31, 2005, the cost of investments was $42,671,084.

Gross unrealized appreciation and gross unrealized depreciation of investments
at August 31, 2005, were as follows:

Gross unrealized:       
   Appreciation    $   2,613,476  
   Depreciation      (4,686 ) 
 
Net unrealized appreciation of investments    $   2,608,790  

Item 2. Controls and Procedures.

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

Item 3. Exhibits.

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


SIGNATURES

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

(Registrant)         Nuveen Massachusetts Dividend Advantage Municipal Fund        

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

Date         10/28/05        

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

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

Date         10/28/05        

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

Date         10/28/05        

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