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)

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


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

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

Date of fiscal year end:            5/31          

Date of reporting period:         2/28/09         

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)             
    February 28, 2009             
Principal        Optional Call         
Amount (000)    Description (1)    Provisions (2)    Ratings (3)    Value 
    Consumer Discretionary – 1.3% (0.8% of Total Investments)             
$             485    Boston Industrial Development Financing Authority, Massachusetts, Senior Revenue Bonds,    9/12 at 102.00    B3   $   317,588 
     Crosstown Center Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum Tax)             
    Education and Civic Organizations – 39.5% (24.9% of Total Investments)             
450    Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute,    9/17 at 100.00    AA–    427,091 
     Series 2007, 5.000%, 9/01/37 – MBIA Insured             
495    Massachusetts Development Finance Authority, Revenue Bonds, Massachusetts College of Pharmacy    7/15 at 100.00    AAA    498,178 
     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–    529,395 
     5.000%, 9/01/19             
2,100    Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation,    1/18 at 100.00    AAA    2,021,334 
     Series 2008A, 5.000%, 1/01/42 – AGC Insured (UB)             
1,000    Massachusetts Development Finance Authority, Revenue Refunding Bonds, Boston University,    5/29 at 105.00    A2    1,074,810 
     Series 1999P, 6.000%, 5/15/59             
990    Massachusetts Educational Finance Authority, Educational Loan Revenue Bonds, Series 2001E,    7/10 at 100.00    AA    991,960 
     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–    1,084,320 
     Series 2003N, 5.250%, 6/01/18             
1,000    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Hebrew College,    3/09 at 100.00    BBB+    679,853 
     Series 1999A, 1.200%, 7/01/31 – RAAI Insured (4)             
2,000    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Tufts University,    2/11 at 100.00    Aa2    2,016,599 
     Series 2001I, 5.500%, 2/15/36             
590    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Williams College,    7/16 at 100.00    AAA    599,021 
     Series 2007L, 5.000%, 7/01/31             
10,125    Total Education and Civic Organizations            9,922,561 
    Health Care – 25.6% (16.2% of Total Investments)             
500    Massachusetts Health and Educational Facilities Authority Revenue Bonds, Quincy Medical Center    1/18 at 100.00    N/R    329,290 
     Issue, Series A (2008), 6.500%, 1/15/38             
500    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Berkshire Health    10/11 at 101.00    BBB+    412,530 
     System, Series 2001E, 6.250%, 10/01/31             
775    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Capital Asset    8/18 at 100.00    A3    659,719 
     Program, Series 1998B-1, 5.375%, 2/01/26 – MBIA Insured             
500    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Capital Asset    8/18 at 100.00    A3    419,280 
     Program, Series 1998B-2, 5.375%, 2/01/27 – MBIA Insured             
250    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Caritas Christi    1/11 at 100.00    BBB    211,108 
     Obligated Group, Series 1999A, 5.625%, 7/01/20             
295    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Covenant Health    1/12 at 101.00    A    280,206 
     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    BBB+    208,804 
     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    AA–    536,322 
     Center, Series 2005C, 5.000%, 8/15/21 – FGIC Insured             
1,000    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Lahey Medical    8/17 at 100.00    A    897,070 
     Center, Series 2007D, 5.250%, 8/15/28             
290    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milford Regional    7/17 at 100.00    BBB–    172,904 
     Medical Center, Series 2007E, 5.000%, 7/15/32             
500    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milton Hospital    7/15 at 100.00    BB–    323,595 
     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    336,430 
     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    1,012,590 
     System Inc., Series 1999B, 5.125%, 7/01/19             
35    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Partners HealthCare    7/11 at 101.00    AA    35,076 
     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    412,155 
     Health Care, Series 2001C, 6.625%, 7/01/32             
285    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, UMass Memorial    7/15 at 100.00    BBB    195,638 
     Health Care, Series 2005D, 5.000%, 7/01/33             
7,845    Total Health Care            6,442,717 
    Housing/Multifamily – 12.7% (8.0% of Total Investments)             
570    Massachusetts Development Finance Authority, Multifamily Housing Revenue Bonds, Emerson Manor    7/17 at 100.00    AAA    476,925 
     Project, Series 2007, 4.800%, 7/20/48             
135    Massachusetts Housing Finance Agency, Housing Bonds, Series 2006A, 5.100%, 12/01/37    6/15 at 100.00    AA–    118,603 
     (Alternative Minimum Tax)             
500    Massachusetts Housing Finance Agency, Housing Revenue Bonds, Series 2003S, 5.050%, 12/01/23    6/13 at 100.00    AA–    466,865 
     (Alternative Minimum Tax)             
1,215    Massachusetts Housing Finance Agency, Rental Housing Mortgage Revenue Bonds, Series 2001A,    1/11 at 100.00    A    1,103,170 
     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    1,015,110 
     Clarendon Hill Towers, Series 2002, 5.200%, 11/20/22             
3,420    Total Housing/Multifamily            3,180,673 
    Housing/Single Family – 3.8% (2.4% of Total Investments)             
650    Massachusetts Housing Finance Agency, Single Family Housing Revenue Bonds, Series 2006-126,    6/16 at 100.00    AA    535,113 
     4.625%, 6/01/32 (Alternative Minimum Tax)             
480    Massachusetts Housing Finance Agency, Single Family Housing Revenue Bonds, Series 2008, Trust    6/18 at 100.00    AA    411,677 
     3145, 14.608%, 12/01/33 (IF)             
1,130    Total Housing/Single Family            946,790 
    Industrials – 1.3% (0.8% of Total Investments)             
160    Massachusetts Development Finance Agency, Pioneer Valley Resource Recovery Revenue Bonds,    No Opt. Call    N/R    136,562 
     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    188,134 
     Inc., Series 2003, 5.450%, 6/01/14             
360    Total Industrials            324,696 
    Long-Term Care – 7.8% (4.9% of Total Investments)             
725    Massachusetts Development Finance Agency, Revenue Bonds, Orchard Cove, Series 2007,    10/12 at 102.00    BB–    448,079 
     5.250%, 10/01/26             
655    Massachusetts Development Finance Authority, First Mortgage Revenue Bonds, Berkshire    7/11 at 102.00    BBB–    591,662 
     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    931,350 
     Revenue Bonds, Arbors at Chicopee, Series 2001A, 6.250%, 9/20/42 (Alternative Minimum Tax)             
2,380    Total Long-Term Care            1,971,091 
    Tax Obligation/General – 15.4% (9.7% of Total Investments)             
310    Ashland, Massachusetts, General Obligation Bonds, Series 2004, 5.250%, 5/15/23 – AMBAC Insured    5/15 at 100.00    A1    324,003 
2,000    Brookline, Massachusetts, General Obligation Bonds, Series 2000, 5.375%, 4/01/17    4/10 at 101.00    Aaa    2,099,438 
440    Fall River, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 2/01/21 – FSA Insured    2/13 at 101.00    AAA    437,448 
500    Norwell, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 11/15/20 – FGIC Insured    No Opt. Call    AA+    571,090 
500    Puerto Rico, General Obligation and Public Improvement Bonds, Series 2001A, 5.500%, 7/01/29 –    No Opt. Call    Baa3    440,890 
     FGIC Insured             
3,750    Total Tax Obligation/General            3,872,869 
    Tax Obligation/Limited – 12.9% (8.1% of Total Investments)             
395    Martha’s Vineyard Land Bank, Massachusetts, Revenue Bonds, Series 2004, 5.000%, 5/01/26 –    5/14 at 100.00    A    398,863 
     AMBAC Insured             
85    Massachusetts Bay Transportation Authority, Assessment Bonds, Series 2000A, 5.250%, 7/01/30    7/10 at 100.00    AAA    85,333 
385    Massachusetts Bay Transportation Authority, Senior Lien Sales Tax Revenue Refunding Bonds,    No Opt. Call    AAA    439,786 
     Series 2004C, 5.250%, 7/01/21             
230    Massachusetts College Building Authority, Project Revenue Bonds, Series 2004A, 5.000%,    5/14 at 100.00    AA–    246,818 
     5/01/19 – MBIA Insured             
250    Massachusetts College Building Authority, Project Revenue Bonds, Series 2006A, 5.000%,    5/16 at 100.00    A1    239,638 
     5/01/31 – AMBAC Insured             
550    Massachusetts College Building Authority, Project Revenue Bonds, Series 2008A, 5.000%,    5/18 at 100.00    AAA    548,433 
     5/01/33 – AGC Insured             
500    Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2005A,    8/15 at 100.00    AAA    539,580 
     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    AA–    244,646 
     FGIC Insured             
500    Virgin Islands Public Finance Authority, Gross Receipts Taxes Loan Note, Series 1999A,    10/10 at 101.00    BBB+    501,580 
     6.375%, 10/01/19             
3,125    Total Tax Obligation/Limited            3,244,677 
    Transportation – 1.3% (0.8% of Total Investments)             
400    Massachusetts Port Authority, Special Facilities Revenue Bonds, BOSFUEL Corporation, Series    7/17 at 100.00    AA–    321,064 
     2007, 5.000%, 7/01/32 – FGIC Insured (Alternative Minimum Tax)             
    U.S. Guaranteed – 16.6% (10.5% of Total Investments) (5)             
1,000    Boston, Massachusetts, General Obligation Bonds, Series 2001A, 5.000%, 2/01/20    2/11 at 100.00    AA+ (5)    1,071,560 
     (Pre-refunded 2/01/11)             
1,675    Lawrence, Massachusetts, General Obligation Bonds, Series 2001, 5.000%, 2/01/21 (Pre-refunded    2/11 at 100.00    Aa3 (5)    1,794,862 
     2/01/11) – AMBAC Insured             
125    Massachusetts Bay Transportation Authority, Assessment Bonds, Series 2000A, 5.250%, 7/01/30    7/10 at 100.00    Aa1 (5)    132,258 
     (Pre-refunded 7/01/10)             
80    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Covenant Health    1/12 at 101.00    A (5)    90,190 
     Systems Obligated Group, Series 2002, 6.000%, 7/01/31 (Pre-refunded 1/01/12)             
215    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Partners HealthCare    7/11 at 101.00    AAA    238,018 
     System Inc., Series 2001C, 5.750%, 7/01/32 (Pre-refunded 7/01/11)             
750    Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, Series 2004, 5.250%, 1/01/25    1/14 at 100.00    A (5)    840,075 
     (Pre-refunded 1/01/14) – FGIC Insured             
3,845    Total U.S. Guaranteed            4,166,963 
    Utilities – 5.8% (3.7% of Total Investments)             
1,070    Massachusetts Development Finance Agency, Resource Recovery Revenue Bonds, SEMass System,    1/12 at 101.00    AA–    1,064,318 
     Series 2001A, 5.625%, 1/01/14 – MBIA Insured             
500    Massachusetts Industrial Finance Agency, Resource Recovery Revenue Refunding Bonds, Ogden    6/09 at 102.00    BBB    395,540 
     Haverhill Project, Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax)             
1,570    Total Utilities            1,459,858 
    Water and Sewer – 14.6% (9.2% of Total Investments)             
530    Boston Water and Sewerage Commission, Massachusetts, General Revenue Bonds, Senior Series    11/14 at 100.00    AA+    549,345 
     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    102,356 
     6.000%, 7/01/25             
500    Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2005-11,    8/15 at 100.00    AAA    482,485 
     4.500%, 8/01/29             
400    Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2006-12,    8/16 at 100.00    AAA    363,892 
     4.375%, 8/01/31             
500    Massachusetts Water Pollution Abatement Trust, Revenue Bonds, MWRA Loan Program, Series 2002A,    8/12 at 100.00    AAA    539,255 
     5.250%, 8/01/20             
1,405    Massachusetts Water Pollution Abatement Trust, Revenue Bonds, MWRA Loan Program, Subordinate    8/09 at 101.00    AAA    1,429,474 
     Series 1999A, 5.750%, 8/01/29             
250    Massachusetts Water Resources Authority, General Revenue Bonds, Series 2006A, 4.000%, 8/01/46    8/16 at 100.00    AA+    197,058 
3,710    Total Water and Sewer            3,663,865 
$       42,145    Total Investments (cost $42,621,108) – 158.6%            39,835,412 
    Floating Rate Obligations – (4.2)%            (1,050,000)
    Other Assets Less Liabilities – 2.3%            576,606 
    Preferred Shares, at Liquidation Value – (56.7)% (6)            (14,250,000)
    Net Assets Applicable to Common Shares – 100%          $  25,112,018 

Fair Value Measurements

During the current fiscal period, the Fund adopted the provisions of Statement of Financial Accounting Standards No. 157 (SFAS No.157) “Fair Value Measurements.” SFAS No. 157 defines fair value, establishes a framework for measuring fair value in generally accepted accounting principles, and expands disclosure about fair value measurements. In determining the value of the Fund’s investments various inputs are used. These inputs are summarized in the three broad levels listed below:

Level 1 – Quoted prices in active markets for identical securities. 
Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, 
              prepayment speeds, credit risk, etc.). 
Level 3 – Significant unobservable inputs (including management’s assumptions in determining the fair 
              value of investments). 

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

The following is a summary of the Fund’s fair value measurements as of February 28, 2009:

    Level 1    Level 2    Level 3    Total 
Investments    $ —    $39,155,559    $679,853    $39,835,412 

The following is a reconciliation of the Fund’s Level 3 investments held at the beginning and end of the measurement period:

    Level 3 
    Investments 
Balance at beginning of period    $778,768 
 Gains (losses):     
     Net realized gains (losses)    — 
     Net change in unrealized appreciation (depreciation)    (98,915) 
 Net purchases at cost (sales at proceeds)    — 
 Net discounts (premiums)    — 
 Net transfers in to (out of) at end of period fair value    — 
Balance at end of period    $679,853 

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 taxable market discount, timing differences in recognizing certain gains and losses on investment transactions and the treatment of investments in inverse floating rate transactions subject to Statement of Financial Accounting Standards No. 140 (SFAS. 140), if any. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts on the Statement of Assets and Liabilities presented in the annual report, based on their federal tax basis treatment; temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset value of the Fund.

At February 28, 2009, the cost of investments was $41,535,908.

Gross unrealized appreciation and gross unrealized depreciation of investments at February 28, 2009, were as follows:

Gross unrealized:     
  Appreciation    $   709,705 
  Depreciation    (3,460,211)
Net unrealized appreciation (depreciation) of investments    $(2,750,506)

(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 Group (“Standard & Poor’s”) or Moody’s Investor Service, 
    Inc. (“Moody’s”) rating. Ratings below BBB by Standard & Poor’s or Baa by Moody’s are considered to 
    be below investment grade. 
    The Portfolio of Investments may reflect the ratings on certain bonds insured by ACA, AGC, AMBAC, CIFG, 
    FGIC, FSA, MBIA, RAAI and SYNCORA as of February 28, 2009. Subsequent to February 28, 2009, and 
    during the period this Portfolio of Investments was prepared, there may have been reductions to the 
    ratings of certain bonds resulting from changes to the ratings of the underlying insurers both during the 
    period and after period end. Such reductions would likely reduce the effective rating of many of the bonds 
    insured by that insurer or insurers presented at period end. 
(4)    Investment valued at fair value using methods determined in good faith by, or at the discretion of, the 
    Board of Trustees. 
(5)    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. 
(6)    Preferred Shares, at Liquidation Value as a percentage of Total Investments is 35.8%. 
N/R    Not rated. 
(IF)    Inverse floating rate investment. 
(UB)    Underlying bond of an inverse floating rate trust reflected as a financing transaction pursuant to the 
    provisions of SFAS No. 140. 

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: See 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/ Kevin J. McCarthy                    
                                                  Kevin J. McCarthy
                                                  Vice President and Secretary

Date         April 29, 2009        

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         April 29, 2009        

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

Date        April 29, 2009