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:         08/31/06         

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

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

Item 1. Schedule of Investments

                           Portfolio of Investments (Unaudited)             
                           Nuveen Massachusetts Dividend Advantage Municipal Fund (NMB)             
                           August 31, 2006             
Principal        Optional Call         
Amount (000)    Description (1)    Provisions (2)    Ratings (3)    Value 
    Consumer Discretionary – 1.7% (1.2% of Total Investments)             
$             495    Boston Industrial Development Financing Authority, Massachusetts, Senior Revenue Bonds,    9/12 at 102.00    Ba3   $   511,053 
     Crosstown Center Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum Tax)             
    Education and Civic Organizations – 26.6% (17.8% of Total Investments)             
450    Massachusetts Development Finance Agency, Revenue Bonds, Western New England College, Series    9/15 at 100.00    AAA    470,056 
     2005A, 5.000%, 9/01/33 – AGC Insured             
495    Massachusetts Development Finance Authority, Revenue Bonds, Massachusetts College of Pharmacy    7/15 at 100.00    AAA    515,597 
     and Allied Health Sciences, Series 2005D, 5.000%, 7/01/27 – AGC Insured             
500    Massachusetts Development Finance Authority, Revenue Bonds, Milton Academy, Series 2003A,    9/13 at 100.00    AA–    533,030 
     5.000%, 9/01/19             
1,000    Massachusetts Development Finance Authority, Revenue Refunding Bonds, Boston University,    5/29 at 105.00    A3    1,184,460 
     Series 1999P, 6.000%, 5/15/59             
1,085    Massachusetts Educational Finance Authority, Educational Loan Revenue Bonds, Series 2001E,    7/10 at 100.00    AAA    1,096,523 
     5.300%, 1/01/16 – AMBAC Insured (Alternative Minimum Tax)             
1,000    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Boston College,    6/13 at 100.00    AA–    1,080,920 
     Series 2003N, 5.250%, 6/01/18             
500    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Massachusetts    No Opt. Call    AAA    556,125 
     Institute of Technology, Series 2004M, 5.250%, 7/01/15             
2,000    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Tufts University,    2/11 at 100.00    AA–    2,126,320 
     Series 2001I, 5.500%, 2/15/36             
250    University of Massachusetts Building Authority, Senior Lien Project Revenue Bonds, Series    No Opt. Call    AAA    271,868 
     2005-1, 5.000%, 5/01/15 – AMBAC Insured             
7,280    Total Education and Civic Organizations            7,834,899 
    Health Care – 19.9% (13.3% of Total Investments)             
500    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Berkshire Health    10/11 at 101.00    BBB+    535,915 
     System, Series 2001E, 6.250%, 10/01/31             
250    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Caritas Christi    1/09 at 101.00    BBB    259,048 
     Obligated Group, Series 1999A, 5.625%, 7/01/20             
375    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Covenant Health    1/12 at 101.00    A    405,360 
     Systems Obligated Group, Series 2002, 6.000%, 7/01/31             
315    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Emerson Hospital,    8/15 at 100.00    AA    323,341 
     Series 2005E, 5.000%, 8/15/35 – RAAI Insured             
600    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Lahey Clinic Medical    8/15 at 100.00    AAA    637,578 
     Center, Series 2005C, 5.000%, 8/15/21 – FGIC Insured             
500    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milton Hospital    7/15 at 100.00    BBB–    513,835 
     Project, Series 2005D, 5.250%, 7/01/30             
500    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Northern Berkshire    7/14 at 100.00    BB–    528,045 
     Community Services Inc., Series 2004B, 6.375%, 7/01/34             
1,000    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Partners HealthCare    7/09 at 101.00    AA    1,034,650 
     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    1,083,730 
     System Inc., Series 2001C, 5.750%, 7/01/32             
500    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, UMass Memorial    7/11 at 100.00    BBB    546,790 
     Health Care, Series 2001C, 6.625%, 7/01/32             
5,540    Total Health Care            5,868,292 
    Housing/Multifamily – 10.1% (6.7% of Total Investments)             
135    Massachusetts Housing Finance Agency, Housing Bonds, Series 2006A, 5.100%, 12/01/37    6/15 at 100.00    AA–    138,001 
     (Alternative Minimum Tax)             
500    Massachusetts Housing Finance Agency, Housing Revenue Bonds, Series 2003S, 5.050%, 12/01/23    6/13 at 100.00    AA–    506,665 
     (Alternative Minimum Tax)             
1,215    Massachusetts Housing Finance Agency, Rental Housing Mortgage Revenue Bonds, Series 2001A,    1/11 at 100.00    AAA    1,259,335 
     5.850%, 7/01/35 – AMBAC Insured (Alternative Minimum Tax)             
1,000    Somerville Housing Authority, Massachusetts, GNMA Collateralized Mortgage Revenue Bonds,    5/12 at 103.00    AAA    1,057,570 
     Clarendon Hill Towers, Series 2002, 5.200%, 11/20/22             
2,850    Total Housing/Multifamily            2,961,571 
    Housing/Single Family – 4.3% (2.9% of Total Investments)             
840    Massachusetts Housing Finance Agency, Single Family Housing Revenue Bonds, Series 82, 5.375%,    6/10 at 100.00    AAA    860,966 
     12/01/20 – FSA Insured (Alternative Minimum Tax)             
400    Massachusetts Housing Finance Authority, Single Family Housing Revenue Bonds, Series 2006-122,    6/15 at 100.00    AA    400,676 
     4.875%, 12/01/37 (Alternative Minimum Tax)             
1,240    Total Housing/Single Family            1,261,642 
    Industrials – 1.4% (0.9% of Total Investments)             
195    Massachusetts Development Finance Agency, Pioneer Valley Resource Recovery Revenue Bonds,    No Opt. Call    N/R    196,833 
     Eco/Springfield LLC, Series 2006, 5.875%, 7/01/14 (Alternative Minimum Tax)             
200    Massachusetts Development Finance Agency, Solid Waste Disposal Revenue Bonds, Waste Management    No Opt. Call    BBB    212,744 
     Inc., Series 2003, 5.450%, 6/01/14             
395    Total Industrials            409,577 
    Long-Term Care – 6.2% (4.1% of Total Investments)             
655    Massachusetts Development Finance Authority, First Mortgage Revenue Bonds, Berkshire    7/11 at 102.00    BBB–    709,673 
     Retirement Community – Edgecombe Project, Series 2001A, 6.750%, 7/01/21             
1,000    Massachusetts Development Finance Authority, GNMA Collateralized Assisted Living Facility    3/12 at 105.00    AAA    1,103,800 
     Revenue Bonds, Arbors at Chicopee, Series 2001A, 6.250%, 9/20/42 (Alternative Minimum Tax)             
1,655    Total Long-Term Care            1,813,473 
    Tax Obligation/General – 29.7% (19.9% of Total Investments)             
310    Ashland, Massachusetts, General Obligation Bonds, Series 2004, 5.250%, 5/15/23 – AMBAC Insured    5/15 at 100.00    Aaa    339,066 
1,000    Boston, Massachusetts, General Obligation Bonds, Series 2001A, 5.000%, 2/01/20    2/11 at 100.00    Aa1    1,047,630 
2,000    Brookline, Massachusetts, General Obligation Bonds, Series 2000, 5.375%, 4/01/17    4/10 at 101.00    Aaa    2,128,937 
500    East Longmeadow, Massachusetts, General Obligation Bonds, Series 2001, 5.000%, 8/01/14 – AMBAC    8/11 at 101.00    Aaa    533,555 
     Insured             
440    Fall River, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 2/01/21 – FSA Insured    2/13 at 101.00    AAA    468,710 
1,675    Lawrence, Massachusetts, General Obligation Bonds, Series 2001, 5.000%, 2/01/21 – AMBAC Insured    2/11 at 100.00    Aaa    1,748,348 
750    Massachusetts, General Obligation Bonds, Consolidated Loan, Series 2002D, 5.500%, 8/01/19    No Opt. Call    AA    856,485 
500    Norwell, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 11/15/20 – FGIC Insured    No Opt. Call    AAA    554,040 
    Springfield, Massachusetts, General Obligation Bonds, Series 2003:             
500     5.250%, 1/15/15 – MBIA Insured    1/13 at 100.00    AAA    542,700 
500     5.250%, 1/15/23 – MBIA Insured    1/13 at 100.00    AAA    538,030 
8,175    Total Tax Obligation/General            8,757,501 
    Tax Obligation/Limited – 16.1% (10.8% of Total Investments)             
395    Martha’s Vineyard Land Bank, Massachusetts, Revenue Bonds, Series 2004, 5.000%, 5/01/26 –    5/14 at 100.00    AAA    417,231 
     AMBAC Insured             
210    Massachusetts Bay Transportation Authority, Assessment Bonds, Series 2000A, 5.250%, 7/01/30    7/10 at 100.00    AAA    219,763 
450    Massachusetts Bay Transportation Authority, Assessment Bonds, Series 2005A, 5.000%, 7/01/18    7/15 at 100.00    AAA    484,574 
385    Massachusetts Bay Transportation Authority, Senior Lien Sales Tax Revenue Refunding Bonds,    No Opt. Call    AAA    435,427 
     Series 2004C, 5.250%, 7/01/21             
230    Massachusetts College Building Authority, Project Revenue Bonds, Series 2004A, 5.000%,    5/14 at 100.00    AAA    244,764 
     5/01/19 – MBIA Insured             
250    Massachusetts College Building Authority, Project Revenue Bonds, Series 2006A, 5.000%,    5/16 at 100.00    AAA    263,405 
     5/01/31 – AMBAC Insured             
500    Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2005A,    8/15 at 100.00    AAA    535,180 
     5.000%, 8/15/20 – FSA Insured             
230    Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, Series 2005, 5.000%, 1/01/20 –    No Opt. Call    AAA    253,451 
     FGIC Insured             
1,250    Massachusetts, Special Obligation Refunding Notes, Federal Highway Grant Anticipation Note    No Opt. Call    Aaa    1,345,225 
     Program, Series 2003A, 5.000%, 12/15/13 – FSA Insured             
500    Virgin Islands Public Finance Authority, Gross Receipts Taxes Loan Note, Series 1999A, 6.375%,    10/10 at 101.00    BBB    548,760 
     10/01/19             
4,400    Total Tax Obligation/Limited            4,747,780 
    Transportation – 6.4% (4.3% of Total Investments)             
800    Massachusetts Port Authority, Revenue Bonds, Series 2005A, 5.000%, 7/01/23 – AMBAC Insured    7/15 at 100.00    AAA    849,512 
1,000    Massachusetts Port Authority, Special Facilities Revenue Bonds, BOSFUEL Corporation, Series    7/07 at 102.00    AAA    1,032,260 
     1997, 5.500%, 7/01/18 – MBIA Insured (Alternative Minimum Tax)             
1,800    Total Transportation            1,881,772 
    U.S. Guaranteed – 7.8% (5.2% of Total Investments) (4)             
500    Massachusetts, General Obligation Bonds, Consolidated Loan, Series 2004B, 5.000%, 8/01/24    8/14 at 100.00    AA (4)    539,325 
     (Pre-refunded 8/01/14)             
750    Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, Series 2004, 5.250%, 1/01/25    1/14 at 100.00    AAA    819,750 
     (Pre-refunded 1/01/14) – FGIC Insured             
600    University of Massachusetts Building Authority, Senior Lien Project Revenue Bonds, Series    11/13 at 100.00    AAA    657,336 
     2003-1, 5.250%, 11/01/18 (Pre-refunded 11/01/13) – AMBAC Insured             
250    University of Massachusetts Building Authority, Senior Lien Project Revenue Bonds, Series    11/14 at 100.00    AAA    275,750 
     2004-1, 5.250%, 11/01/24 (Pre-refunded 11/01/14) – AMBAC Insured             
2,100    Total U.S. Guaranteed            2,292,161 
    Utilities – 5.7% (3.8% of Total Investments)             
1,070    Massachusetts Development Finance Agency, Resource Recovery Revenue Bonds, SEMass System,    1/12 at 101.00    AAA    1,168,911 
     Series 2001A, 5.625%, 1/01/14 – MBIA Insured             
500    Massachusetts Industrial Finance Agency, Resource Recovery Revenue Refunding Bonds, Ogden    12/08 at 102.00    BBB    516,085 
     Haverhill Project, Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax)             
1,570    Total Utilities            1,684,996 
    Water and Sewer – 12.6% (8.4% of Total Investments)             
530    Boston Water and Sewerage Commission, Massachusetts, General Revenue Bonds, Senior Series    11/14 at 100.00    AA    560,719 
     2004A, 5.000%, 11/01/25             
125    Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2005,    7/15 at 100.00    Ba2    134,244 
     6.000%, 7/01/25             
500    Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 11, 4.500%,    8/15 at 100.00    AAA    503,820 
     8/01/29             
500    Massachusetts Water Pollution Abatement Trust, Revenue Bonds, MWRA Loan Program, Series 2002A,    8/12 at 100.00    AAA    537,390 
     5.250%, 8/01/20             
1,405    Massachusetts Water Pollution Abatement Trust, Revenue Bonds, MWRA Loan Program, Subordinate    8/09 at 101.00    AAA    1,494,105 
     Series 1999A, 5.750%, 8/01/29             
250    Massachusetts Water Resources Authority, General Revenue Bonds, Series 2005A, 5.000%,    8/17 at 100.00    AAA    266,120 
     8/01/28 – MBIA Insured             
250    Massachusetts Water Resources Authority, General Revenue Bonds, Series 2006A, 4.000%, 8/01/46    8/16 at 100.00    AA    220,788 
3,560    Total Water and Sewer            3,717,186 
$        41,060    Total Long-Term Investments (cost $42,031,223) – 148.5%            43,741,903 
    Short-Term Investments – 1.0% (0.7% of Total Investments)             
300    Puerto Rico Government Development Bank, Adjustable Refunding Bonds, Variable Rate Demand        A-1+    300,000 
     Obligations, Series 1985, 3.290%, 12/01/15 – MBIA Insured (5)             
$             300    Total Short-Term Investments (cost $300,000)            300,000 
    Total Investments (cost $42,331,223) – 149.5%            44,041,903 
    Other Assets Less Liabilities – 1.4%            411,825 
    Preferred Shares, at Liquidation Value – (50.9)%            (15,000,000) 
    Net Assets Applicable to Common Shares – 100%           $  29,453,728 



(1)    All percentages shown in the Portfolio of Investments are based on net assets applicable to Common 
    shares unless otherwise noted. 
(2)    Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. 
    There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities 
    may be subject to periodic principal paydowns. 
(3)    Ratings: Using the higher of Standard & Poor's or Moody's rating. Ratings below BBB by Standard & Poor's 
    Group or Baa by Moody's Investor Service, Inc. are considered to be below investment grade. 
(4)    Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities 
    which ensure the timely payment of principal and interest. Such investments are normally considered to 
    be equivalent to AAA rated securities. 
(5)    Investment has a maturity of more than one year, but has variable rate and demand features which qualify 
    it as a short-term investment. The rate disclosed is that in effect at the end of the reporting period. This 
    rate changes periodically based on market conditions or a specified market index. 
N/R    Not rated. 

Income Tax Information

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

At August 31, 2006, the cost of investments was $42,315,540.

Gross unrealized appreciation and gross unrealized depreciation of investments at August 31, 2006, were as follows:

Gross unrealized:     
  Appreciation    $1,761,440 
  Depreciation    (35,077) 
Net unrealized appreciation (depreciation) of investments    $1,726,363 

Item 2. Controls and Procedures.

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

Item 3. Exhibits.

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


SIGNATURES

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

(Registrant)         Nuveen Massachusetts Dividend Advantage Municipal Fund        

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

Date         October 27, 2006        

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

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

Date         October 27, 2006        

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

Date        October 27, 2006        

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