UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File Number: 811-21732

Mercer Funds

(Exact Name of Registrant as Specified in Charter)

99 High Street

Boston, MA 02110

(Address of Principal Executive Offices)(Zip Code)

Scott M. Zoltowski, Esq.

Mercer Investment Management, Inc.

99 High Street

Boston, MA 02110

(Name and Address of Agent for Service)

Registrant’s Telephone Number, including Area Code: (617) 747-9500

Date of Fiscal Year End: March 31, 2016

Date of Reporting Period: March 31, 2016

Item 1. Reports to Stockholders.

The Report to Shareholders is attached herewith.

Mercer Funds^™

Annual Report

Mercer US Large Cap Growth Equity Fund

Mercer US Large Cap Value Equity Fund

Mercer US Small/Mid Cap Growth Equity Fund

Mercer US Small/Mid Cap Value Equity Fund

Mercer Non-US Core Equity Fund

Mercer Core Fixed Income Fund

Mercer Opportunistic Fixed Income Fund

Mercer Emerging Markets Equity Fund

Mercer Global Low Volatility Equity Fund

This report has been prepared for Mercer Funds shareholders. It is not authorized for distribution to prospective investors unless accompanied or preceded by a current Mercer Funds prospectus. The prospectus contains more complete information about the Funds’ investment objectives, risks, and expenses. Investors are reminded to read the prospectus carefully before investing.

March 31, 2016

MERCER FUNDS

TABLE OF CONTENTS

	Page
Management’s Discussion of Fund Performance	1
Schedules of Investments	30
Statements of Assets and Liabilities	153
Statements of Operations	157
Statements of Changes in Net Assets	160
Financial Highlights	165
Notes to the Financial Statements	174
Report of Independent Registered Public Accounting Firm	215
Additional Information	216
Understanding Your Fund’s Expenses	235
Trustees and Officers	238

Mercer US Large Cap Growth Equity Fund

Investment Objective and Benchmark

The investment objective of the Fund is long-term total return, which includes capital appreciation and income. The benchmark for the Fund is the Russell 1000^® Growth Index.

Investment Strategy

The Fund invests principally in equity securities issued by large capitalization U.S. companies. The companies will generally have higher earnings and/or revenue growth histories or expectations relative to the Russell 1000^® Growth Index.

Performance

For the fiscal year ended March 31, 2016, the Fund’s Y-3 share class performance was -4.09% compared to its benchmark return of 2.52%. Performance for the Fund is reported net of operating expenses while the benchmark returns do not include expenses of any kind as indexes are unmanaged.

The Sub-Advisors

As of March 31, 2016, the Fund employed four sub-advisors, Sands Capital Management, LLC (Sands), HS Management Partners, LLC (HS), Columbia Management Advisers, LLC (Columbia) and Parametric Portfolio Associates LLC (Parametric).

Sands manages a concentrated portfolio using a fundamental, bottom-up approach to identify leading companies in various industries. HS, like Sands, manages a concentrated portfolio of growth companies exhibiting higher quality and reasonable valuation. Columbia also manages a concentrated portfolio of financially strong companies that are growing earnings faster than the broader equity market. Parametric utilizes exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark.

Market Commentary and Fund Performance

For the 12-month period ending March 31, 2016, the U.S. equity market, as measured by the Russell 3000 Index, declined 0.4%, a modestly negative result in spite of two severe contractions in August 2015 and January 2016. On the whole, the market could be described as a “risk off” environment, meaning a market environment with lower volatility and high dividend paying stocks outperforming the broader market. The MSCI Minimum Volatility Index posted the highest return amongst major benchmarks, advancing 9.0% compared to the slight decline of the Russell 3000. Traditionally defensive sectors (telecommunication services, utilities, and consumer staples performed well during the period while the energy sector underperformed largely due to the collapse in the price of oil. The August correction was caused by concerns over slowing Chinese growth and the choice to devalue their currency to help their economy. The market decline in January was fueled by views that the Federal Reserve was likely to raise rates again in spite of a very tenuous economic environment. Many developed and developing countries are keeping rates low to help spur growth and inflation, while the US seems to be headed toward higher rates. The dollar strengthened, further raising concerns about the profitability of U.S. companies converting revenues in foreign currencies to U.S. dollars. Other factors driving moves in the market related to the price of oil which bottomed at $29 on February 11, 2016, a decline of over 50% from June 2015. The energy sector correction, put pressure on energy companies, driving many toward bankruptcy with many reducing or canceling dividends. Interest rates were also volatile during the period, with the ten year rate rising to 2.4% in the second calendar quarter of 2016, then dropping to 2.0% in the third only to rise to 2.3% after the Federal Reserve raised rates in December 2015, and finally to 1.7% in February 2016 where it finished the fiscal year. The bond market reacted to global economic weakness and expected the Federal Reserve to slow its plans to raise rates. On February 11, 2016, Janet Yellen calmed nerves by stating that negative rates were a possibility if necessary to help the economy

Among major U.S. equity indices, larger cap, growth, and defensive indices outperformed. The best performing index for the fiscal year among 62 U.S. indices was the Russell Top Midcap Value Defensive Index up 10.8%, with the MSCI US Minimum Volatility Index up 9%. The worst were the three Russell 2000^® Dynamic™ Indexes, Value, Growth and Core, all down more than 18%. The best sectors and industries were all the more defensive, lower volatility, dividend paying sectors and industries. Outside of the internet retail industry the higher dividend paying industries were the leaders.

1

Mercer US Large Cap Growth Equity Fund

Within the Russell 1000^® Growth Index, the best performing sectors for the fiscal year were telecommunication services, consumer staples, and consumer discretionary with returns of 14%, 13%, and 8% respectively. Energy was the laggard with returns of 45%. Health care, materials, and industrials were the only other sectors with negative returns, down 9%, 5%, and 2% respectively.

The Mercer U.S. Large Cap Growth Equity Fund underperformed the Russell 1000^® Growth Index during the period. Sector allocation was generally a positive contributor to performance, but poor stock selection and high volatility of the stocks held, contributed negatively. The primary driver of the Fund’s underperformance was stock selection in the information technology, health care, and consumer staples sectors, although stock selection was negative in all sectors outside of industrials and energy.

Sands performed poorly for the period. An overweight to the health care sector, particularly the poor performing biotech and health care equipment industries, along with poor stock selection in both these industries were the main contributors to the poor performance. An underweight to the consumer staples sector combined with poor stock selection was also detrimental. HS Management was the only manager to outperform for the period. HS Management’s positive performance was driven by a zero weighting to health care and energy and a large underweight to industrials. Stock selection was poor in consumer discretionary, with holdings Williams-Sonoma, Scripps Network, and Ralph Lauren, all dragging down returns. Columbia’s poor performance came in the last quarter of the Fund’s fiscal year when a strong market reversal led to losses for highly volatile stocks that had high expected growth rates. This market environment negatively impacted Columbia’s performance for the entire period, which had been to that point.

Parametric utilized exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark. Their performance was in line with the benchmark.

Risk Considerations

The Fund invests in growth stocks which may be particularly sensitive to market conditions. Derivatives which include futures contracts may involve the use of leverage and involve special risks which may increase volatility. The Fund may experience high portfolio turnover which may result in higher costs and capital gains. The Fund’s volatility may be amplified by its ability to select sub-advisors to allocate assets.

2

Mercer Funds

March 31, 2016

Comparison of Change in Value of a $10,000 Investment in

Mercer US Large Cap Growth Equity Shares vs. the

Russell 1000^® Growth Index

As of March 31, 2016

This graph shows the performance of the Mercer US Large Cap Growth Equity Fund Class Y-3 shares versus the Russell 1000^® Growth Index from April 1, 2006 through March 31, 2016. The performance of other classes, when launched, will vary from the performance of the class shown based on the difference in fees and expenses paid by shareholders investing in different share classes. The Fund may charge a 2% redemption fee on shares owned less than 30 days.

The table and graph assume reinvestment of dividends and capital gains, but do not reflect a deduction of taxes an investor might pay on fund distributions or upon redemption of fund shares. Performance shown reflects a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns would have been lower.

The data quoted represents past performance and does not guarantee future results. Current performance of the Fund may be lower or higher than the performance quoted. Please call 1-866-658-9896 for the Fund’s most recent month-end performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than when purchased.

3

Mercer US Large Cap Value Equity Fund

Investment Objective and Benchmark

The investment objective of the Fund is to provide long-term total return, which includes capital appreciation and income. The benchmark for the Fund is the Russell 1000^® Value Index.

Investment Strategy

The Fund invests principally in equity securities issued by large capitalization U.S. companies that are considered undervalued based on the stocks’ intrinsic values relative to their current market prices.

Performance

For the fiscal year ended March 31, 2016, the Fund’s Y-3 share class performance was -7.28% compared to its benchmark return of -1.54%. Performance for the Fund is reported net of operating expenses while the benchmark returns do not include expenses of any kind as indexes are unmanaged.

The Sub-Advisors

As of March 31, 2016, the Fund employed five sub-advisors, Brandywine Global Investment Management, LLC (Brandywine), The Boston Company Asset Management, LLC (TBCAM), Boston Partners (BP), O’Shaughnessy Asset Management, LLC (O’Shaughnessy) and Parametric Portfolio Associates LLC (Parametric).

Brandywine seeks to build portfolios comprised of companies whose valuations are below the market but whose earnings growth prospects are equal or better than the market. The firm favors industry leaders with strong competitive positions and reasonable growth expectations given the team’s view of industry and overall economic conditions. TBCAM’s investment process is driven by bottom-up, fundamental security selection, combining traditional valuation measures with the identification of improving business momentum. BP’s process begins with a quantitative analysis that provides a statistical ranking of the investment universe based on valuation, momentum, and fundamental factors. The firm then applies fundamental analysis to those securities that includes validation of the quantitative analysis and fundamental research, including an in-depth review of the issuer’s financials. O’Shaughnessy uses a quantitative approach to find underpriced, high quality companies that are actively paying dividends to shareholders or are repurchasing shares, potentially giving shareholders a greater share of company earnings. Parametric utilizes exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark.

Market Commentary and Fund Performance

For the 12-month period ending March 31, 2016, the U.S. equity market, as measured by the Russell 3000 Index, declined 0.4%, a modestly negative result in spite of two severe contractions in August 2015 and January 2016. On the whole, the market could be described as a “risk off” environment, meaning a market environment with lower volatility and high dividend paying stocks outperforming the broader market. The MSCI Minimum Volatility Index posted the highest return amongst major benchmarks, advancing 9.0% compared to the slight decline of the Russell 3000. Traditionally defensive sectors (telecommunication services, utilities, and consumer staples performed well during the period while the energy sector underperformed largely due to the collapse in the price of oil. The August correction was caused by concerns over slowing Chinese growth and the choice to devalue their currency to help their economy. The market decline in January was fueled by views that the Federal Reserve was likely to raise rates again in spite of a very tenuous economic environment. Many developed and developing countries are keeping rates low to help spur growth and inflation, while the US seems to be headed toward higher rates. The dollar strengthened, further raising concerns about the profitability of U.S. companies converting revenues in foreign currencies to U.S. dollars. Other factors driving moves in the market related to the price of oil which bottomed at $29 on February 11, 2016, a decline of over 50% from June 2015. The energy sector correction, put pressure on energy companies, driving many toward bankruptcy with many reducing or canceling dividends. Interest rates were also volatile during the period, with the ten year rate rising to 2.4% in the second calendar quarter of 2016, then dropping to 2.0% in the third only to rise to 2.3% after the Federal Reserve raised rates in December 2015, and finally to 1.7% in February 2016 where it finished the fiscal year. The bond market reacted to global economic weakness and expected the Federal Reserve to slow its plans to raise rates. On February 11, 2016, Janet Yellen calmed nerves by stating that negative rates were a possibility if necessary to help the economy

4

Mercer US Large Cap Value Equity Fund

Among major U.S. equity indices, larger cap, growth, and defensive indices outperformed. The best performing index for the fiscal year among 62 U.S. indices was the Russell Top Midcap Value Defensive Index up 10.8%, with the MSCI US Minimum Volatility Index up 9%. The worst were the three Russell 2000^® Dynamic™ Indexes, Value, Growth and Core, all down more than 18%. The best sectors and industries were all the more defensive, lower volatility, dividend paying sectors and industries. Outside of the internet retail industry the higher dividend paying industries were the leaders.

Within the Russell 1000^® Value Index, the best performing sectors for the fiscal year were telecommunication services, utilities, and industrials up 20.4%, 15.4%, and 6.02%, respectively. Energy posted the worst returns at -16.4%.

The Mercer U.S. Large Cap Value Equity Fund underperformed the Russell 1000^® Value Index during the period. Most of the underperformance came from stock selection with a portion coming from underweights to utilities and REITs. The Fund employs a combination of yield-seeking, low price-to-earnings and relative value sub-advisors that all underperformed over the period. The sources of poor returns were spread across most sectors other than energy and consumer staples.

Brandywine underperformed the benchmark by 12.3%, which was the worst of the four managers. Brandywine is a deep value manager and the associated higher volatility of these securities was the main source of the underperformance. Market conditions that favored lower volatility and defensive stocks also contributed to underperformance. O’Shaughnessy uses a stock selection process based on a combination of dividends and share buybacks. While the dividend exposure would have been helpful, the combination with share buyback and their valuation requirements were not helpful. The majority of the underperformance for BP and TBCAM occurred during the last quarter of the Fund’s fiscal year. BP’s underweight to utilities, overweight to health care, and poor stock selection within health care and industrials all contributed to poor performance. TBCAM’s underweight to utilities and poor stock selection in health care and financials contributed to poor performance.

Parametric utilized exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark. Their performance was in line with the benchmark.

Risk Considerations

Value investing involves the risk that an investment made in undervalued securities may not appreciate in value as anticipated or remain undervalued for long periods of time. Derivatives which include futures contracts may involve the use of leverage and involve special risks which may increase volatility. The Fund may experience high portfolio turnover which may result in higher costs and capital gains. The Fund’s volatility may be amplified by its ability to select sub-advisors to allocate assets.

5

Mercer Funds

March 31, 2016

Comparison of Change in Value of a $10,000 Investment in

Mercer US Large Cap Value Equity Shares vs. the

Russell 1000^® Value Index

As of March 31, 2016

This graph shows the performance of the Mercer US Large Cap Value Equity Fund Class Y-3 shares versus the Russell 1000^® Value Index from April 1, 2006 through March 31, 2016. The performance of other classes, when launched, will vary from the performance of the class shown based on the difference in fees and expenses paid by shareholders investing in different share classes. The Fund may charge a 2% redemption fee on shares owned less than 30 days.

The table and graph assume reinvestment of dividends and capital gains, but do not reflect a deduction of taxes an investor might pay on fund distributions or upon redemption of fund shares. Performance shown reflects a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns would have been lower.

The data quoted represents past performance and does not guarantee future results. Current performance of the Fund may be lower or higher than the performance quoted. Please call 1-866-658-9896 for the Fund’s most recent month-end performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than when purchased.

6

Mercer US Small/Mid Cap Growth Equity Fund

Investment Objective and Benchmark

The investment objective of the Fund is to provide long-term total return, comprised primarily of capital appreciation. The benchmark for the Fund is the Russell 2500^® Growth Index.

Investment Strategy

The Fund invests principally in equity securities issued by small-to-medium capitalization U.S. companies. The companies will generally have higher earnings and/or revenue growth histories or expectations relative to the Russell 2500^® Growth Index.

Performance

For the fiscal year ended March 31, 2016, the Fund’s Y-3 share class performance was -10.78% compared to its benchmark return of -9.57%. Performance for the Fund is reported net of operating expenses while the benchmark returns do not include expenses of any kind as indexes are unmanaged.

The Sub-Advisors

As of March 31, 2016, the Fund employed four sub-advisors, Jackson Square Partners, LLC (Jackson Square) (formerly Delaware Investments Fund Advisors), Palisade Capital Management, L.L.C. (Palisade), Westfield Capital Management Company, L.P. (Westfield) and Parametric Portfolio Associates LLC (Parametric).

Jackson Square uses a bottom-up fundamental process in seeking to find companies with attractive business models that generate strong free cash flow. They also believe in a concentrated portfolio and will typically hold approximately 25 to 30 holdings. Palisade believes companies with strong or improving prospects for growth generate superior returns. Palisade believes that fundamental research is the basis for identifying superior businesses, and that long term investment success is the result of owning fundamentally strong and dynamic companies trading at a discount to their growth rates. Palisade also believes that identifying a dynamic of change before it appears in consensus estimates leads to superior returns, and that management plays a significant role in the success of a company. Westfield employs a fundamental, bottom-up approach which seeks to identify reasonably priced stocks with high earnings growth potential. Parametric utilizes exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark.

Market Commentary and Fund Performance

For the 12-month period ending March 31, 2016, the U.S. equity market, as measured by the Russell 3000 Index, declined 0.4%, a modestly negative result in spite of two severe contractions in August 2015 and January 2016. On the whole, the market could be described as a “risk off” environment, meaning a market environment with lower volatility and high dividend paying stocks outperforming the broader market. The MSCI Minimum Volatility Index posted the highest return amongst major benchmarks, advancing 9.0% compared to the slight decline of the Russell 3000. Traditionally defensive sectors (telecommunication services, utilities, and consumer staples performed well during the period while the energy sector underperformed largely due to the collapse in the price of oil. The August correction was caused by concerns over slowing Chinese growth and the choice to devalue their currency to help their economy. The market decline in January was fueled by views that the Federal Reserve was likely to raise rates again in spite of a very tenuous economic environment. Many developed and developing countries are keeping rates low to help spur growth and inflation, while the US seems to be headed toward higher rates. The dollar strengthened, further raising concerns about the profitability of U.S. companies converting revenues in foreign currencies to U.S. dollars. Other factors driving moves in the market related to the price of oil which bottomed at $29 on February 11, 2016, a decline of over 50% from June 2015. The energy sector correction, put pressure on energy companies, driving many toward bankruptcy with many reducing or canceling dividends. Interest rates were also volatile during the period, with the ten year rate rising to 2.4% in the second calendar quarter of 2016, then dropping to 2.0% in the third only to rise to 2.3% after the Federal Reserve raised rates in December 2015, and finally to 1.7% in February 2016 where it finished the fiscal year. The bond market reacted to global economic weakness and expected the Federal Reserve to slow its plans to raise rates. On February 11, 2016, Janet Yellen calmed nerves by stating that negative rates were a possibility if necessary to help the economy

7

Mercer US Small/Mid Cap Growth Equity Fund

Among major U.S. equity indices, larger cap, growth, and defensive indices outperformed. The best performing index for the fiscal year among 62 U.S. indices was the Russell Top Midcap Value Defensive Index up 10.8%, with the MSCI US Minimum Volatility Index up 9%. The worst were the three Russell 2000^® Dynamic™ Indexes, Value, Growth and Core, all down more than 18%. The best sectors and industries were all the more defensive, lower volatility, dividend paying sectors and industries. Outside of the internet retail industry the higher dividend paying industries were the leaders.

Within the Russell 2500^® Growth Index, the best performing sectors for the fiscal year were utilities and telecommunication services, the two smallest sectors, and the only ones with positive returns of 7.9% and 1.1% respectively. Lagging sectors for the fiscal year were energy and health care, posting the only double digit negative returns of -49.4% and -21.2%, respectively.

The Mercer US Small/Mid Cap Growth Equity Fund underperformed the Russell 2500^® Growth Index for the period. While stock selection was a positive overall, the primary driver of underperformance was stock selection in the materials and consumer discretionary sectors. The information technology sector was the best contributor to relative returns.

Palisade underperformed for the period. The primary driver of underperformance was stock selection, particularly in the health care and consumer discretionary sectors. In the health care sector, positions in Spectranetics and Akorn were the main detractors, while Harman International and Jack in the Box lagged in the consumer discretionary sector. The financials sector was the only positive contributor for this manager. Jackson Square outperformed the index for the period. Jackson Square manages a quality-focused, concentrated and high tracking error portfolio with a long term investment horizon, which can result in performance varying significantly from year to year. The primary areas of outperformance were in the information technology and health care sectors. Allocation and stock selection in both sectors were positive contributors to performance for the period. The financials sector was the only detractor. Westfield underperformed for the period. Sector allocation and stock selection were both negative contributors to performance with the allocation to the information technology sector the only positive contributor. The primary driver of underperformance for the period was stock selection in the consumer discretionary and health care sectors.

Parametric utilized exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark. Their performance was consistent with the benchmark.

Risk Considerations

The Fund invests in growth stocks which may be particularly sensitive to market conditions. Investments made in small and mid-capitalization companies may be more volatile and less liquid due to limited resources or product lines and more sensitive to economic factors. The Fund may invest in derivative instruments such as exchange-listed equity futures contracts which involves special risks and may increase volatility due to the use of leverage and management of these sophisticated type instruments. The Fund may experience high portfolio turnover which may result in higher costs and capital gains. The Fund’s volatility may be amplified by its ability to select sub advisors to allocate assets.

8

Mercer Funds

March 31, 2016

Comparison of Change in Value of a $10,000 Investment in

Mercer US Small/Mid Cap Growth Equity Shares vs. the

Russell 2500^® Growth Index

As of March 31, 2016

This graph shows the performance of the Mercer US Small/Mid Cap Growth Equity Fund Class Y-3 shares versus the Russell 2500^® Growth Index from April 1, 2006 through March 31, 2016. The performance of other classes, when launched, will vary from the performance of the class shown based on the difference in fees and expenses paid by shareholders investing in different share classes. The Fund may charge a 2% redemption fee on shares owned less than 30 days.

The table and graph assume reinvestment of dividends and capital gains, but do not reflect a deduction of taxes an investor might pay on fund distributions or upon redemption of fund shares. Performance shown reflects a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns would have been lower.

The data quoted represents past performance and does not guarantee future results. Current performance of the Fund may be lower or higher than the performance quoted. Please call 1-866-658-9896 for the Fund’s most recent month-end performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than when purchased.

9

Mercer US Small/Mid Cap Value Equity Fund

Investment Objective and Benchmark

The investment objective of the Fund is to provide long-term total return, comprised primarily of capital appreciation. The benchmark for the Fund is the Russell 2500^® Value Index.

Investment Strategy

The Fund invests principally in equity securities issued by small-to-medium sized capitalization U.S. companies. Generally, the Fund invests in stocks that appear to be undervalued based on the stocks’ intrinsic values relative to their current market prices.

Performance

For the fiscal year ended March 31, 2016, the Fund’s Y-3 share class performance was -4.0% compared to its benchmark return of -5.2%. Performance for the Fund is reported net of operating expenses while the benchmark returns do not include expenses of any kind as indexes are unmanaged.

The Sub-Advisors

As of March 31, 2016, the Fund employed four sub-advisors, NWQ Investment Management Company, LLC (NWQ), Systematic Financial Management, L.P. (Systematic), River Road Asset Management, LLC (River Road) and Parametric Portfolio Associates LLC (Parametric).

NWQ uses bottom-up fundamental analysis to identify undervalued companies where catalysts for improved valuation exist. The firm seeks stocks that are mispriced or neglected by Wall Street with attractive risk/reward characteristics. Systematic’s investment philosophy is predicated on its belief that stock prices are a reflection of consensus earnings estimates, and as revisions to those estimates rise or fall, stock prices will move accordingly. Systematic applies a strategic combination of qualitative and quantitative research seeking to identify high-quality, attractively valued small and medium-sized companies exhibiting a confirmed catalyst for stock price appreciation. River Road believes inefficiencies can be captured in smaller capitalization and out-of-favor companies and in those securities with little analyst coverage. Through bottom-up, fundamental research, the team seeks companies with attractive, sustainable returns that are financially strong and trade at compelling valuations. Parametric utilizes exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark.

Market Commentary and Fund Performance

For the 12-month period ending March 31, 2016, the U.S. equity market, as measured by the Russell 3000 Index, declined 0.4%, a modestly negative result in spite of two severe contractions in August 2015 and January 2016. On the whole, the market could be described as a “risk off” environment, meaning a market environment with lower volatility and high dividend paying stocks outperforming the broader market. The MSCI Minimum Volatility Index posted the highest return amongst major benchmarks, advancing 9.0% compared to the slight decline of the Russell 3000. Traditionally defensive sectors (telecommunication services, utilities, and consumer staples performed well during the period while the energy sector underperformed largely due to the collapse in the price of oil. The August correction was caused by concerns over slowing Chinese growth and the choice to devalue their currency to help their economy. The market decline in January was fueled by views that the Federal Reserve was likely to raise rates again in spite of a very tenuous economic environment. Many developed and developing countries are keeping rates low to help spur growth and inflation, while the US seems to be headed toward higher rates. The dollar strengthened, further raising concerns about the profitability of U.S. companies converting revenues in foreign currencies to U.S. dollars. Other factors driving moves in the market related to the price of oil which bottomed at $29 on February 11, 2016, a decline of over 50% from June 2015. The energy sector correction, put pressure on energy companies, driving many toward bankruptcy with many reducing or canceling dividends. Interest rates were also volatile during the period, with the ten year rate rising to 2.4% in the second calendar quarter of 2016, then dropping to 2.0% in the third only to rise to 2.3% after the Federal Reserve raised rates in December 2015, and finally to 1.7% in February 2016 where it finished the fiscal year. The bond market reacted to global economic weakness and expected the Federal Reserve to slow its plans to raise rates. On February 11, 2016, Janet Yellen calmed nerves by stating that negative rates were a possibility if necessary to help the economy

10

Mercer US Small/Mid Cap Value Equity Fund

Among major U.S. equity indices, larger cap, growth, and defensive indices outperformed. The best performing index for the fiscal year among 62 U.S. indices was the Russell Top Midcap Value Defensive Index up 10.8%, with the MSCI US Minimum Volatility Index up 9%. The worst were the three Russell 2000^® Dynamic™ Indexes, Value, Growth and Core, all down more than 18%. The best sectors and industries were all the more defensive, lower volatility, dividend paying sectors and industries. Outside of the internet retail industry the higher dividend paying industries were the leaders.

Within the Russell 2500^® Value Index, the best performing sectors for the fiscal year were utilities and consumer staples sectors, posting gains of 15.7% and 0.5%, respectively. Lagging sectors for the fiscal year were energy and materials, posting the returns of -40.9% and -11.4%, respectively.

The Mercer U.S. Small/Mid Cap Value Equity Fund outperformed the Russell 2500^® Value Index for the period. Stock selection in the energy and information technology sectors were a contributor to positive performance along with an underweight to energy and overweight to information technology. Underweight allocations to utilities and REITs were the main detractors.

River Road had the best performance of the three sub-advisors. River Road is a more defensive sub-advisor who would be expected to do well in volatile markets. Stock selection within the industrials, energy, and information technology sectors were the largest contributors to positive performance. The underweight to REITs and utilities were the only detractors. NWQ also outperformed during the period, due primarily to a zero weighting to the worst performing sector — energy. An overweight allocation to the information technology and health care sectors, along with good stock selection, were positive contributors to performance. An underweighting to REITs and utilities contributed to underperformance. Systematic was the only sub-advisor to underperform for the period, due primarily to poor stock selection.

Parametric utilized exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark. Their performance was in line with the benchmark.

Risk Considerations

Value investing involves the risk that an investment made in undervalued securities may not appreciate in value as anticipated or remain undervalued for long periods of time. Investments made in small and mid-capitalization companies may be more volatile and less liquid due to limited resources or product lines and more sensitive to economic factors. The Fund may invest in derivative instruments such as exchange-listed equity futures contracts which involves special risks and may increase volatility due to the use of leverage and management of these sophisticated type instruments. The Fund may experience high portfolio turnover which may result in higher costs and capital gains. The Fund’s volatility may be amplified by its ability to select sub advisors to allocate assets.

11

Mercer Funds

March 31, 2016

Comparison of Change in Value of a $10,000 Investment in

Mercer US Small/Mid Cap Value Equity Shares vs. the

Russell 2500^® Value Index

As of March 31, 2016

This graph shows the performance of the Mercer US Small/Mid Cap Value Equity Fund Class Y-3 shares versus the Russell 2500^® Value Index from April 1, 2006 through March 31, 2016. The performance of other classes, when launched, will vary from the performance of the class shown based on the difference in fees and expenses paid by shareholders investing in different share classes. The Fund may charge a 2% redemption fee on shares owned less than 30 days.

The table and graph assume reinvestment of dividends and capital gains, but do not reflect a deduction of taxes an investor might pay on fund distributions or upon redemption of fund shares. Performance shown reflects a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns would have been lower.

The data quoted represents past performance and does not guarantee future results. Current performance of the Fund may be lower or higher than the performance quoted. Please call 1-866-658-9896 for the Fund’s most recent month-end performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than when purchased.

12

Mercer Non-US Core Equity Fund

Investment Objective and Benchmark

The investment objective of the Fund is to provide long-term total return, which includes capital appreciation and income. The benchmark for the Fund is the MSCI EAFE Index.

Investment Strategy

The Fund invests principally in equity securities issued by non-U.S. companies of any capitalization, located in the world’s developed and emerging capital markets.

Performance

For the fiscal year ended March 31, 2016, the Fund’s Y-3 share class performance was -5.64% compared to its benchmark return of -8.27%. Performance for the Fund is reported net of operating expenses while the benchmark returns do not include expenses of any kind as indexes are unmanaged.

The Sub-Advisors

As of March 31, 2016, the Fund employed five sub-advisors, Arrowstreet Capital, Limited Partnership (Arrowstreet), American Century Investment Management, Inc. (American Century), MFS Investment Management (MFS), LSV Asset Management (LSV) and Parametric Portfolio Associates LLC (Parametric). LSV replaced Lingohr & Partner North America, Inc. (Lingohr) as one of the active managers of the Fund in July of 2015.

Arrowstreet’s strategy seeks to outperform international equity benchmarks through risk-controlled core approach. The firm combines sound investment intuition and research with rigorous quantitative tools to identify mispriced stocks around the world. Arrowstreet believes that the key to generating alpha involves evaluating the prospects of a security considering both the characteristics of the stock itself (direct effects) as well as the characteristics of other related stocks (indirect effects). American Century manages the portfolio based on an investment philosophy that companies exhibiting improving or accelerating growth outperform the market over time. The portfolio is constructed through bottom up stock selection within a risk aware framework. Our thorough research process seeks to identify companies that are exhibiting an improvement or acceleration in growth where that growth is sustainable and the street is underestimating the earnings power of the company. American Century will primarily invest in equity securities of companies located in at least three developed countries, excluding the United States. MFS manages a value portfolio, which focuses on stocks whose long-term value they believe is not adequately reflected in the stock price. MFS invests opportunistically in emerging markets. LSV utilizes a quantitative approach which seeks deep value stocks that have fallen out of favor with the market, but have recent momentum, either in terms of price or earnings. LSV believes that long-term results are achieved through systematic exploitation of judgmental biases and behavioral weaknesses that influence investor decisions. LSV aims to exploit these biases through the disciplined application of quantitative techniques to drive bottom-up security selection. Parametric utilizes exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark.

Market Commentary and Fund Performance

Global equity markets, as measured by the MSCI World Index, fell -3.45% during the 12-month period ending March 31, 2016. U.S. equities were the market leaders with the S&P 500 Index up 1.78% for the fiscal year. The MSCI EAFE Index and MSCI Emerging Markets Index returned -8.27% and -12.03%, respectively, over the same time period.

Much of the weakness in global equity markets was driven by renewed concerns of slowing growth in China and the continued decline in commodity prices which weighed heavily on equities during the period. Chinese gross domestic product (or GDP) slowed to 6.9% for calendar year 2015, its weakest calendar growth rate since 1990. Lackluster GDP growth across developed international markets also strained investor confidence.

Crude oil was down almost 34% during the period. The decline oil led to weakness in both oil related equity and fixed income markets. In addition to the drag from falling commodity prices, emerging market countries such as Brazil and South Africa were also negatively affected by political unrest.

13

Mercer Non-US Core Equity Fund

Global Central Bank activity was an important factor for investors during the fiscal year. In response to generally stronger macroeconomic data in the U.S. and after many months of warning investors, the U.S. Federal Reserve finally raised short-term interest rates by 0.25% in December. This was the first interest rate increase in almost 10 years. The U.S. Federal Reserve’s interest rate increase was in stark contrast to the monetary easing being undertaken by the Bank of Japan, the European Central Bank (ECB) and the Bank of China.

European equity markets rallied in the fall of 2015 as comments from ECB President Mario Draghi suggested that the ECB was planning to extend its quantitative easing program and rate cuts. However, the market tumbled later in the year as it appeared investors were looking for more than just six months of additional quantitative easing and further rate cuts.

The Bank of Japan (BOJ) also stepped up its efforts to stimulate the economy and get inflation moving closer to its target rate. The BOJ increased purchases of government debt along with exchange traded funds and Japanese Real Estate Trusts. The divergence in monetary policies globally led to the strengthening of the U.S. Dollar, which added to the pressures on commodity pricing.

In this environment, the Mercer Non-US Core Equity Fund outperformed the MSCI EAFE Index by 2.63% for the 12-month period ending March 31, 2016. The Fund benefitted from stocks which exhibited a bias towards lower volatility, smaller capitalization, price momentum and quality, such as conservative balance sheets and earnings growth stability. Positive outperformance was driven by strong stock selection in Western Europe and Asia Pacific, particularly strong selection in Germany, U.K. and Japan. Conversely, stock selection in Sweden and Ireland detracted from performance. An allocation to emerging markets equity detracted from performance, in particular, stock selection in China and Russia. From a sector perspective, both security selection and sector allocation had a positive impact on performance. The Fund benefitted from an overweight to consumer staples and underweight to financials along with positive security selection coming from financials and consumer discretionary.

In aggregate, performance of the Fund’s sub-advisors was mixed, with two of the four active sub-advisors outperforming. However, the strong performance of the two sub-advisors, MFS and Arrowstreet, outpaced the underperformance of American Century and LSV. MFS led all sub-advisors by outperforming the index by 11.75%, as their style of investing in long-term value securities did well over the past fiscal year. Performance was driven primarily by strong stock selection in Western Europe and Asia Pacific, particularly in Germany, U.K. and Japan. From a sector perspective, strong selection in information technology, financials and industrials drove performance. MFS’ quality and sustainable business bias led to a more defensive positioned portfolio with a persistent overweight to consumer staples and less volatile stocks which also added to the strong positive performance. Another strong contributor for the fiscal year was Arrowstreet. Arrowstreet outperformed from a sector perspective as a result of positive allocation decisions. Underweighting financials in favor of overweighting consumer staples was the primary positive contributor. In addition, stock selection was strong in healthcare and financials. From a regional perspective, the underweight to Spain and Switzerland added to the positive performance. Offsetting some of the positives for Arrowstreet was negative stock selection in Japan and underweight to telecom and utilities. While stock selection and an underweight in financials were additive to performance, the American Century portfolio underperformed the benchmark due to stock selection and an underweight in industrials as well as an underweight in utilities and telecom. LSV underperformed since its addition to the Fund in July 2015. Sector allocation was the primary driver of the underperformance with an overweight to financial and materials while underweighting consumer staples. On a regional basis, the poor selection in Western Europe, namely U.K. and France added to the negative performance. The negative performance was partly offset by the positive security selection in the industrial, energy and financials sectors.

Parametric utilized exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark. Their performance was in line with the benchmark.

LSV replaced Lingohr as one of the active managers in the Fund based on the departure of Frank Lingohr. Frank was the founder of the firm and original architect of the investment philosophy. We believe performance expectations will be diminished as a result of the change.

Risk Considerations

The Fund invests in foreign and emerging market securities which involves certain risks such as currency volatility, political and social instability and reduced market liquidity. Emerging markets may be more volatile and less liquid than more

14

Mercer Non-US Core Equity Fund

developed markets and therefore may involve greater risks. Investments made in small and mid-capitalization companies may be more volatile and less liquid due to limited resources or product lines and more sensitive to economic factors. The Fund may invest in derivative instruments such as exchange-listed equity futures contracts which involves special risks and may increase volatility due to the use of leverage and management of these sophisticated type instruments. The Fund may experience high portfolio turnover which may result in higher costs and capital gains. The Fund’s volatility may be amplified by its ability to select sub-advisors to allocate assets.

15

Mercer Funds

March 31, 2016

Comparison of Change in Value of a $10,000 Investment in

Mercer Non-US Core Equity Shares vs. the

MSCI EAFE Index

As of March 31, 2016

This graph shows the performance of the Mercer Non-US Core Equity Fund Class Y-3 shares versus the MSCI EAFE Index from August 18, 2006, which is the inception date of the Fund, through March 31, 2016. The performance of other classes, when launched, will vary from the performance of the class shown based on the difference in fees and expenses paid by shareholders investing in different share classes. The Fund may charge a 2% redemption fee on shares owned less than 30 days.

The table and graph assume reinvestment of dividends and capital gains, but do not reflect a deduction of taxes an investor might pay on fund distributions or upon redemption of fund shares. Performance shown reflects a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns would have been lower.

The data quoted represents past performance and does not guarantee future results. Current performance of the Fund may be lower or higher than the performance quoted. Please call 1-866-658-9896 for the Fund’s most recent month-end performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than when purchased.

16

Mercer Core Fixed Income Fund

Investment Objective and Benchmark

The investment objective of the Fund is to provide total return, consisting of both current income and capital appreciation. The benchmark for the Fund is the Barclays U.S. Aggregate Bond™ Index.

Investment Strategy

The Fund invests principally in investment grade fixed income securities, including government securities, corporate bonds and securitized bonds such as mortgage and asset-backed securities. The Fund may also invest in non-investment grade bonds, non-U.S. dollar denominated bonds, bonds issued by issuers located in emerging capital markets, and certain derivative instruments. The Fund may invest in derivative instruments, such as options, futures, and swap agreements. The Fund may engage in transactions in derivatives for a variety of purposes, including changing the investment characteristics of its portfolio, enhancing total returns or as a substitute for taking a position in an underlying asset.

Performance

For the fiscal year ended March 31, 2016, the Fund’s Y-3 share class performance was 1.26% compared to its benchmark return of 1.96%. Performance for the Fund is reported net of operating expenses while the benchmark returns do not include expenses of any kind as indexes are unmanaged.

The Sub-Advisors

As of March 31, 2016, the Fund employed three sub-advisors, Dodge & Cox, Income Research & Management (IR&M) and Prudential Fixed Income, a business unit of PGIM, Inc. (Prudential).

Dodge & Cox manages its allocated portion of the Fund with an extended investment horizon supported by fundamental research and a strict valuation discipline. Their process emphasizes security-level research and individual security and sector selection to build a high-average-quality portfolio that seeks incremental yield versus the broad market. IR&M manages its allocated portion based on the belief that careful security selection and higher portfolio income provide superior returns over the long term. Portfolios are constructed using a disciplined, bottom-up investment approach to select attractive securities from the U.S fixed income universe. Prudential manages its allocated portion of the Fund by seeking to maximize excess return opportunities from sustainable alpha sources such as sector allocation and bottoms up security selection. This process is coupled with a diligent daily portfolio risk evaluation and monitoring process. Research-based security selection is a major source of added value and incorporates both fundamental analysis as well as proprietary models that identify relative value and detailed technical review of issuers across both benchmark and non-benchmark sectors, with an emphasis on credit-oriented sectors.

Market Commentary and Fund Performance

For the 12 month period ending March 31, 2016, U.S. fixed income market returns as measured by the Barclay U.S. Aggregate index were positive, reflecting price increases associated with falling interest rates. Intermediate U.S. Treasury rates decreased 0.15% and longer term interest rates increased 0.06% year-over-year (with some interim volatility), while the short end of the yield curve rose slightly as the Federal Reserve raised short term interest rates in December. Interest rates experienced volatility within each quarter, but the overall results were largely unchanged year over year. This was largely driven by foreign investors buying U.S. Treasury securities as economies in Europe slowed, making U.S. Treasuries a safe haven investment for foreign buyers. U.S. market participants closely followed economic releases (egs. Non Farm Payrolls, Unemployment Rate, Federal Reserve Minutes) to gauge the pace at which the Federal Reserve would raise rates which added to short term volatility. The Federal Reserve clarified the timing and the pace of future rate increases in the first quarter of 2016 which eased market fears of imminent increases.

Returns from securities not backed by a U.S. Government Guarantee (Corporate Bonds, Asset Backed Securities, and Commercial Mortgage Backed Securities) were positive, as they benefitted from the drop in interest rates, although spreads increased and they underperformed Treasuries with similar durations. Despite solid corporate fundamentals, longer maturity corporate bonds performed poorly in terms of excess returns as the increase in spreads in the long end was more severe. Investment-grade corporate bond issuers continued issuing a large amount of new debt to take advantage of low funding rates, exceeding the record breaking issuance of the prior year.

17

Mercer Core Fixed Income Fund

With Treasury rates largely unchanged during the 12-month period, positive total return was mainly driven by yield. Spread sectors (i.e., non-Treasury securities) provided lower returns in relation to similar-duration Treasuries while registering moderate gains in absolute terms. The Fund’s return was positive in absolute terms although it underperformed in relation to the Barclays U.S. Aggregate Bond Index for the period. The Fund was hurt by its strategic overweight to spread sectors including an allocation to high yield. The Fund’s underweight to lower yielding U.S. Treasuries in the form of a shorter duration positioning or term structure bias (i.e. favoring certain maturities over others), relative to the index, also was detrimental to performance.

The respective performance results of each sub-advisor correlated with their risk posture, as more risk translated into less returns in this “risk-off” period. Dodge & Cox has the largest share of the risk allocation within the Fund. Their bias towards corporate credit and avoidance of U.S. Treasuries, as well as a relatively shorter duration position, led them to have the weakest returns over the period. Prudential had a less aggressive allocation to spread sectors but was nonetheless overweight as spreads widened, which detracted from performance. However, a more neutral-to-positive interest rate position benefited performance. IR&M’s spread positioning was biased towards higher quality corporate bonds which caused them to underperform for the 12 months as well.

Risk Considerations

The Fund is subject to the same risks as the underlying bonds in the portfolio such as credit, prepayment, call and interest rate risk. As interest rates rise, the value of bond prices will decline. The Fund may invest in more aggressive investments such as foreign securities which may expose the Fund to currency and exchange rate fluctuations, derivatives (futures, options, swaps) and high yield debt (also known as junk bonds) all of which may cause greater volatility and less liquidity. Derivatives may be more sensitive to changes in market conditions and may amplify risks. The Fund may experience high portfolio turnover which may result in higher costs and capital gains. The Fund’s volatility may be amplified by its ability to select sub-advisors to allocate assets.

18

Mercer Funds

March 31, 2016

Comparison of Change in Value of a $10,000 Investment in

Mercer Core Fixed Income Shares vs. the

Barclays U.S. Aggregate Bond^™ Index

As of March 31, 2016

This graph shows the performance of the Mercer Core Fixed Income Fund Class Y-3 shares versus the Barclays US Aggregate Bond^™ Index from April 1, 2006 through March 31, 2016. The performance of other classes, when launched, will vary from the performance of the class shown based on the difference in fees and expenses paid by shareholders investing in different share classes. The Fund may charge a 2% redemption fee on shares owned less than 30 days.

The table and graph assume reinvestment of dividends and capital gains, but do not reflect a deduction of taxes an investor might pay on fund distributions or upon redemption of fund shares. Performance shown reflects a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns would have been lower.

The data quoted represents past performance and does not guarantee future results. Current performance of the Fund may be lower or higher than the performance quoted. Please call 1-866-658-9896 for the Fund’s most recent month-end performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than when purchased.

19

Mercer Opportunistic Fixed Income Fund

Investment Objective and Benchmark

The investment objective of the Fund is to provide long-term total return, which includes capital appreciation and income. The Fund’s primary benchmark is the Bank of America Merrill Lynch Global High Yield 2% Constrained Index. The Fund’s secondary benchmark is a blended benchmark consisting of 50% JP Morgan Government Bond Index — Emerging Markets Global Diversified and 50% Bank of America Merrill Lynch Global High Yield 2% Constrained Index.

Investment Strategy

The Fund invests principally in fixed income securities of U.S. and non-U.S. issuers, including those in emerging and frontier markets. The Fund invests in various strategic and tactical global bond market opportunities without limitations in geography, issuer type, quality and currency denomination. The Fund may invest in derivatives such as futures (including among others, interest rate futures, swaps (currency, interest rate, credit default and total return), forwards, options, and credit-linked notes. The Fund may engage in transactions in derivatives for a variety of purposes, including hedging, risk management, efficient portfolio management, enhance total returns, or as a substitute for taking position in the underlying asset.

Performance

For the fiscal ended March 31, 2016, the Fund’s Y-3 share class performance was -6.25% compared to its primary benchmark return of -0.75% and secondary benchmark return of -1.14%. Performance for the Fund is reported net of operating expenses while the benchmark returns do not include expenses of any kind as indexes are unmanaged.

The Sub-Advisors

As of March 31, 2016, the Fund employed two sub-advisors, Franklin Advisers, Inc. (Franklin) and Investec Asset Management Limited (Investec).

In managing its allocated portion of the Fund’s portfolio, Franklin will typically invest in non-investment grade securities issued globally. Franklin is a research driven, fundamental investor that relies on a team of analysts to provide in-depth industry expertise, using both qualitative and quantitative analysis to evaluate issuers. Although bottom-up security selection forms the core part of Franklin’s process, it uses industry attractiveness when selecting investments. In managing its allocated portion of the Fund’s portfolio, Investec will invest in public sector, sovereign and corporate bonds issued by emerging market borrowers and those denominated in local emerging market currencies. Investec’s portfolio construction process promotes allocation to countries and currencies identified based on economic fundamentals, valuations and market price behavior.

Market Commentary and Fund Performance

For the 12 month period ending March 31, 2016, U.S. and global fixed income markets experienced a volatile period driven by a few broad underlying factors: a sharp sell-off in the physical commodities markets; economic uncertainty in China; a rally in U.S. dollar currency versus developed and emerging market currencies; and significant oil price declines creating mixed effects to energy importer and exporter economies.

The uncertainty in the global fixed income market created positive total returns for U.S. Treasury securities and negative total returns for lower quality rated and non-U.S. dollar denominated debt. U.S. Treasury securities prices moved higher, primarily from foreign buying and a slow-down in global growth due to falling oil prices. The Merrill Lynch Global High Yield Index experienced a widening in its risk premium by 1.3% (i.e. the increase in yield over U.S. Treasuries) ending the fiscal year period with a risk premium of 6.3% and an overall yield of 7.6%. Volatile oil prices and a strong U.S. dollar negatively influenced bond price but the environment for the corporate credit market remained relatively stable outside of the energy sector. Low corporate default rates, stable business fundamentals and a favorable view on the overall yield level of High Yield provided positive momentum which allowed companies to issue debt.

Local Emerging markets debt experienced a volatile environment during the twelve months ending March 31, 2016. Security valuations fluctuated as a result of the diversion of monetary policy between the U.S. and the rest of the world. U.S. interest rates moved higher at calendar year end with the Federal Reserve increasing Federal Funds interest rate, but fell sharply as

20

Mercer Opportunistic Fixed Income Fund

equity markets sold off sharply worldwide in January. Europe and emerging economies remained in an accommodative monetary policy. The sharp equity sell-off and a slowing global economy brought flows into U.S. Treasuries relative to developed markets.

In the fiscal year Franklin underperformed. This underperformance was driven primarily by its allocation to the energy sector within the High Yield Index. Both the allocation the sector generally and the specific security selection within the sector detracted from performance. Franklin built an energy sector over-weight before the economic impact of oil price weakness was fully priced into the market, which led to the underperformance. Additionally the widening of spreads from oil and dollar impact on global economics coupled with Franklin’s aggressive view on lower rated bonds in the portfolio impacted performance negatively during the year. Investec also underperformed for the period. The majority of underperformance came from foreign exchange trades and interest rate positioning. Security selection in bonds was positive factor. During the period Investec performed poorest in duration/curve positioning and currency selection.

Risk Considerations

The Fund invests in non-investment grade and emerging market fixed income securities which involves certain risks such as higher volatility, currency fluctuation, political and social instability and reduced market liquidity. The Fund is subject to the same risks as the underlying bonds in the portfolio such as credit, call and interest rate risk. The Fund may invest in more aggressive investments such as derivatives (futures, options, swaps) all of which may cause greater volatility and less liquidity. Derivatives are more sensitive to changes in market conditions and may amplify risks. The Fund may experience high portfolio turnover which may result in higher costs and capital gains. The Fund’s volatility may be amplified by its ability to select sub-advisors to allocate assets.

21

Mercer Funds

March 31, 2016

Comparison of Change in Value of a $10,000 Investment in

Mercer Opportunistic Fixed Income Shares vs. the

Bank of America ML Global High Yield 2% Constrained Index Unhedged and the Fund’s Secondary Index¹

As of March 31, 2016

This graph shows the performance of the Mercer Opportunistic Fixed Income Fund Class Y-3 shares versus the Bank of America ML Global High Yield 2% Constrained Index Unhedged and the Fund’s Secondary Index¹ from August 21, 2013, which is the inception date of the Fund, through March 31, 2016. The performance of other classes, when launched, will vary from the performance of the class shown based on the difference in fees and expenses paid by shareholders investing in different share classes. The Fund may charge a 2% redemption fee on shares owned less than 30 days.

The table and graph assume reinvestment of dividends and capital gains, but do not reflect a deduction of taxes an investor might pay on fund distributions or upon redemption of fund shares. Performance shown reflects a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns would have been lower.

¹ The Mercer Opportunistic Fixed Income Fund’s Secondary Index is a blended benchmark consisting of 50% JP Morgan Government Bond Index — Emerging Markets Global Diversified USD Unhedged and 50% Bank of America ML Global High Yield 2% Constrained Index Unhedged.

The data quoted represents past performance and does not guarantee future results. Current performance of the Fund may be lower or higher than the performance quoted. Please call 1-866-658-9896 for the Fund’s most recent month-end performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than when purchased.

22

Mercer Emerging Markets Equity Fund

Investment Objective and Benchmark

The investment objective of the Fund is to provide long-term total return, which includes capital appreciation and income. The benchmark for the Fund is the MSCI Emerging Markets Index.

Investment Strategy

The Fund invests principally in equity securities of large, medium and small capitalization companies, located in emerging markets, other investments that are tied economically to emerging markets, as well as in American, European and Global Depository receipts. Stock index futures and various types of swaps may be used to implement the country selection component of the Fund’s investment strategy. Currency forwards may be used to make stock-selection and country allocation decisions independently of the underlying currency.

Performance

For the fiscal year ended March 31, 2016, the Fund’s Y-3 share class performance was -12.06% compared to its benchmark return of -12.03%. Performance for the Fund is reported net of operating expenses while the benchmark returns do not include expenses of any kind as indexes are unmanaged.

The Sub-Advisors

As of March 31, 2016, the Fund employed four sub-advisors, AQR Capital Management, LLC (AQR), Kleinwort Benson Investors International Ltd. (KBI), Investec Asset Management US Limited (Investec) and Parametric Portfolio Associates LLC (Parametric).

AQR employs a systematic, research-driven investment approach focused on sourcing alpha (i.e., excess return relative to the benchmark) from currency, country and security selection strategies. AQR’s proprietary investment process uses fundamental factors, such as value, momentum and quality within the alpha models. AQR uses quantitative tools to construct optimized portfolios based on this diversified set of fundamental factors, along with estimates of risk and transactions costs. KBI manages a systematic process focusing on quality firms growing their dividend yield. The portfolio construction process uses sector and region constraints to minimize uncompensated risks to ensure the majority of risk is associated with the alpha model. Investec uses a 4-Factor Model comprised of Strategy, Value, Earnings and Technicals, to build its portfolio. Investec’s strategy looks for high quality, attractively valued companies which have improving operating performance and are receiving increasing investor attention. Parametric utilizes exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark.

Market Commentary and Fund Performance

Global equity markets, as measured by the MSCI World Index, fell -3.45% during the 12-month period ending March 31, 2016. U.S. equities were the market leaders with the S&P 500 Index up 1.78% for the fiscal year. The MSCI EAFE Index and MSCI Emerging Markets Index returned -8.27% and -12.03%, respectively, over the same time period.

Much of the weakness in global equity markets was driven by renewed concerns of slowing growth in China and the continued decline in commodity prices which weighed heavily on equities during the period. Chinese gross domestic product (or GDP) slowed to 6.9% for calendar year 2015, its weakest calendar growth rate since 1990. Lackluster GDP growth across developed international markets also strained investor confidence.

Crude oil was down almost 34% during the period. The decline oil led to weakness in both oil related equity and fixed income markets. In addition to the drag from falling commodity prices, emerging market countries such as Brazil and South Africa were also negatively affected by political unrest.

Global Central Bank activity was an important factor for investors during the fiscal year. In response to generally stronger macroeconomic data in the U.S. and after many months of warning investors, the U.S. Federal Reserve finally raised short-term interest rates by 0.25% in December. This was the first interest rate increase in almost 10 years. The U.S. Federal Reserve’s interest rate increase was in stark contrast to the monetary easing being undertaken by the Bank of Japan, the European Central Bank (ECB) and the Bank of China.

23

Mercer Emerging Markets Equity Fund

European equity markets rallied in the fall of 2015 as comments from ECB President Mario Draghi suggested that the ECB was planning to extend its quantitative easing program and rate cuts. However, the market tumbled later in the year as it appeared investors were looking for more than just six months of additional quantitative easing and further rate cuts.

The Bank of Japan (BOJ) also stepped up its efforts to stimulate the economy and get inflation moving closer to its target rate. The BOJ increased purchases of government debt along with exchange traded funds and Japanese Real Estate Trusts. The divergence in monetary policies globally led to the strengthening of the U.S. Dollar, which added to the pressures on commodity pricing.

In this environment, the Mercer Emerging Markets Equity Fund slightly underperformed the MSCI Emerging Markets Index by 0.03% for the 12-month period ending March 31, 2016. The Fund’s currency positioning was a positive offset to the negative effect of poor stock selection, as the Fund was overweight the U.S. Dollar. The Fund’s overweight to the Consumer Staples sector added the most value in terms of sector positioning, while stock selection in the Consumer Discretionary and Energy sectors offset some of those gains. The Fund also held some out of benchmark holdings in the United Kingdom that were positive contributors to relative performance.

At the underlying sub-advisor level, AQR’s performance lagged the benchmark for the year, while KBI’s and Investec’s performance was relatively flat versus the benchmark. AQR contributed to the Fund’s underperformance through poor stock selection during the year. AQR’s currency selection, however, including an underweight of the Mexican peso and Colombian peso, contributed positively. Investec’s performance was negatively affected by an overweight to China and underweights to South Africa and Russia, but positively affected by good stock selection, which offset some of the country-led underperformance. The largest detractor to KBI’s performance was stock selection in Taiwan.

Vontobel Asset Management, Inc. was removed as a sub-advisor to the Fund as of March 21, 2016 after announcing that the portfolio manager of the strategy was leaving the firm. Vontobel used a fundamental process to identify high quality, sustainable growth companies in businesses with high barrier to entry. Vontobel’s risk management process focused on capital preservation and manages risk in absolute terms. The Vontobel strategy outperformed the MSCI Emerging Markets Index for the fiscal year ending March 31, 2016. The strategy’s overweight to Consumer Staples, along with stock selection within the sector, accounted for the majority of outperformance.

Risk Considerations

The Fund invests in emerging market securities which involves certain risks such as currency volatility, political and social instability and reduced market liquidity. Emerging markets may be more volatile and less liquid than more developed markets and therefore may involve greater risks. Investments made in small and mid-capitalization companies may be more volatile and less liquid due to limited resources or product lines and more sensitive to economic factors. The Fund may invest in more aggressive investments such as mortgage- and asset-backed securities and derivatives (futures, forwards, options, swaps) all of which may cause greater volatility and less liquidity. Derivatives are more sensitive to changes in market conditions and may amplify risks. The Fund may experience high portfolio turnover which may result in higher costs and capital gains. The Fund’s volatility may be amplified by its ability to select sub advisors to allocate assets.

24

Mercer Funds

March 31, 2016

Comparison of Change in Value of a $10,000 Investment in

Mercer Emerging Markets Equity Shares vs. the

MSCI Emerging Markets Index

As of March 31, 2016

This graph shows the performance of the Mercer Emerging Markets Equity Fund Class Y-3 shares versus the MSCI Emerging Markets Index from May 1, 2012, which is the inception date of the Fund, through March 31, 2016. The performance of other classes, when launched, will vary from the performance of the class shown based on the difference in fees and expenses paid by shareholders investing in different share classes. The Fund may charge a 2% redemption fee on shares owned less than 30 days.

The table and graph assume reinvestment of dividends and capital gains, but do not reflect a deduction of taxes an investor might pay on fund distributions or upon redemption of fund shares. Performance shown reflects a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns would have been lower.

The data quoted represents past performance and does not guarantee future results. Current performance of the Fund may be lower or higher than the performance quoted. Please call 1-866-658-9896 for the Fund’s most recent month-end performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than when purchased.

25

Mercer Global Low Volatility Equity Fund

Investment Objective and Benchmark

The investment objective of the Fund is to provide long-term total return, which includes capital appreciation and income. The benchmark for the Fund is the MSCI World Index.

Investment Strategy

The Fund invests principally in equity securities of U.S. and foreign issuers, of large, medium and small capitalization companies. Stock index futures and various types of swaps may be used to implement the equity security selection component of the Fund’s investment strategy. Currency forwards may be used to make stock-selection and country allocation decisions independently of the underlying currency.

Performance

For the fiscal year ended March 31, 2016, the Fund’s Y-3 share class performance was 4.13% compared to its benchmark return of -3.45%. Performance for the Fund is reported net of operating expenses while the benchmark returns do not include expenses of any kind as indexes are unmanaged.

The Sub-Advisors

As of March 31, 2016, the Fund employed five sub-advisors, Acadian Asset Management LLC (Acadian), MFG Asset Management (MFG), First Eagle Investment Management, LLC (First Eagle), Martingale Asset Management, L.P. (Martingale) and Parametric Portfolio Associates LLC (Parametric).

Acadian’s process uses both risk analysis and stock forecasts to create the portfolio. The process uses a risk model to determine the systematic risk and the level of volatility of each stock in the investable universe. Once a stock’s risk is determined, Acadian uses its stock forecast model as an overlay to determine the optimal mix of securities. The security return forecasting model incorporates five categories including value, growth, risk, macroeconomic, and technical factors. MFG screens the universe of investable global stocks to identify high quality companies based on key quality criteria: the sustainability of a company’s competitive advantages; the predictability and reliability of future cash flows and earnings; the extent to which management will act in the best interest of shareholders; and re-investment potential. MFG then evaluates investment opportunities quantitatively incorporating both long-term intrinsic value and three-year forecast total shareholder returns using MFG’s proprietary forecasts. Portfolio construction is determined by each stock’s ranking based on the qualitative assessment of the key criteria, the quantitative assessment driven by valuation, and detailed macroeconomic research within a robust risk management framework. From time to time, MFG may hold up to 20% of its portion of the Fund in cash if warranted by their assessment of the macro environment. First Eagle can be broadly characterized as value in approach, looking to identify companies selling at, what First Eagle believes to be, a discount to intrinsic value with the goal being to avoid permanent impairment of capital (as opposed to temporary losses in share value relating to shifting investor sentiment or other normal share price volatility). First Eagle’s primary valuation measure is the ratio of enterprise value to normalized earnings before interest and taxes, although other metrics can be applied depending on the company or industry. If stocks are deemed too expensive, based on their bottom up valuation analysis, cash and cash equivalents or bonds will be held instead, up to 20% of its portion of the Fund. In addition, a gold exposure is maintained (both through gold-backed exchange traded funds and the equities of gold mining companies), with the view that it is a potential portfolio hedge. Martingale’s approach to low volatility investing is built around a risk-adjusted market index methodology which promotes broad and stable diversification combined with a valuation overlay which favors low risk companies with stronger fundamentals. Martingale’s systematic stock evaluation incorporates measures of relative valuation, growth and quality, along with each security’s risk properties. Parametric utilizes exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark.

Market Commentary and Fund Performance

Global equity markets, as measured by the MSCI World Index, fell -3.45% during the 12-month period ending March 31, 2016. U.S. equities were the market leaders with the S&P 500 Index up 1.78% for the fiscal year. The MSCI EAFE Index and MSCI Emerging Markets Index returned -8.27% and -12.03%, respectively, over the same time period.

26

Mercer Global Low Volatility Equity Fund

Much of the weakness in global equity markets was driven by renewed concerns of slowing growth in China and the continued decline in commodity prices which weighed heavily on equities during the period. Chinese gross domestic product (or GDP) slowed to 6.9% for calendar year 2015, its weakest calendar growth rate since 1990. Lackluster GDP growth across developed international markets also strained investor confidence.

Crude oil was down almost 34% during the period. The decline oil led to weakness in both oil related equity and fixed income markets. In addition to the drag from falling commodity prices, emerging market countries such as Brazil and South Africa were also negatively affected by political unrest.

Global Central Bank activity was an important factor for investors during the fiscal year. In response to generally stronger macroeconomic data in the U.S. and after many months of warning investors, the U.S. Federal Reserve finally raised short-term interest rates by 0.25% in December. This was the first interest rate increase in almost 10 years. The U.S. Federal Reserve’s interest rate increase was in stark contrast to the monetary easing being undertaken by the Bank of Japan, the European Central Bank (ECB) and the Bank of China.

European equity markets rallied in the fall of 2015 as comments from ECB President Mario Draghi suggested that the ECB was planning to extend its quantitative easing program and rate cuts. However, the market tumbled later in the year as it appeared investors were looking for more than just six months of additional quantitative easing and further rate cuts.

The Bank of Japan (BOJ) also stepped up its efforts to stimulate the economy and get inflation moving closer to its target rate. The BOJ increased purchases of government debt along with exchange traded funds and Japanese Real Estate Trusts. The divergence in monetary policies globally led to the strengthening of the U.S. Dollar, which added to the pressures on commodity pricing.

In this environment, the Mercer Global Low Volatility Equity Fund returned 4.13%, outperforming the MSCI World Index by 7.58% for the 12-month period ending March 31, 2016. The Fund’s defensive posture — lower risk and volatility — was a positive contributor to performance for the Fund as these factors outperformed. In addition, the Fund’s strategic allocation to gold and tactical allocation to cash contributed positively to performance. Overall, the Fund had positive stock selection at both sector as well as country levels, as well as positive attribution resulting from allocation decisions. However, currency decisions slightly detracted from positive performance.

The Fund’s defensive posture — Acadian and Martingale’s focus on low volatility stocks and First Eagle’s strategic allocation to gold and tactical decision to hold cash — was a positive contributor to performance during the period. In addition, MFG’s strong stock selection in the U.S. positively contributed to performance. The majority of relative outperformance was generated during the third quarter of 2015 and the first quarter of 2016. The common themes during the two time periods were an increase in market uncertainty and the negative performance of the cyclical sectors, such as energy and materials. The defensive sector allocations such as overweight positions in consumer staples and utilities and the tactical allocation to cash contributed positively to performance. Relative performance during the second and fourth quarters in 2015 was relatively flat to the Index. Periods of market volatility during the year were beneficial to Fund as increased market volatility and investor uncertainty favored the strategic positioning of the Fund’s overweight to defensive sectors such as consumer staples and utilities. Somewhat offsetting some of the positive relative performance for the year was the Fund’s currency exposures, in particular, an overweight to the Mexican Peso. The Peso lagged the U.S. Dollar as investors began to anticipate the potential increase in U.S. interest rates.

In aggregate, performance of the Fund’s sub-advisors was strong with all four sub-advisors, First Eagle, Magellan, Acadian, and Martingale, outperforming the benchmark. First Eagle performance was supported by the tactical allocation to cash of approximately 14% over the year. In addition, their strategic allocation to Gold contributed positively to performance with exposure to Newcrest Mining in Australia and SPDR Gold ETF adding value. Magellan’s performance was supported by its investments in U.S. technology, which benefitted from strong, stable consumer demand. Magellan held material positions in two stocks that were strong contributors to Magellan’s portfolio, Visa and Home Depot. Visa benefited from strong payments and transactions volume which reflected buoyant consumer activity and structural shift to electronic payments. Home Depot benefited from continued recovery in the U.S. housing market which has been supported by declining unemployment and energy prices. Magellan maintained a cash position of approximately 15% reinforcing the strategy’s defensive positioning given their concerns about elevated market risks and this contributed positively to performance. Acadian and Martingale outperformed their respective benchmarks, driven by a combination of stock selection and a relatively smaller exposure to the

27

Mercer Global Low Volatility Equity Fund

energy and materials sectors. The Fund’s emphasis on the telecom services and consumer staples sectors, consistent with their low volatility focus, also helped performance.

Offsetting some of the positives for First Eagle and Magellan was a negative impact from currency, as First Eagle was negatively impacted by overweighting the Mexican Peso and both sub-advisors were hurt by underweighting the Euro.

Parametric manages the liquidity sleeve of the Fund and utilizes exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark.

Risk Considerations

The Fund invests in foreign and emerging market securities which involves certain risks such as currency volatility, political and social instability and reduced market liquidity. Emerging markets may be more volatile and less liquid than more developed markets and therefore may involve greater risks. Investments made in small and mid-capitalization companies may be more volatile and less liquid due to limited resources or product lines and more sensitive to economic factors. The Fund may invest in more aggressive investments such as mortgage- and asset-backed securities and derivatives (futures, options, swaps) all of which may cause greater volatility and less liquidity. Derivatives are more sensitive to changes in market conditions and may amplify risks. The Fund may experience high portfolio turnover which may result in higher costs and capital gains. The Fund’s volatility may be amplified by its ability to select sub-advisors to allocate assets.

28

Mercer Funds

March 31, 2016

Comparison of Change in Value of a $10,000 Investment in

Mercer Global Low Volatility Equity Shares vs. the

MSCI World Index

As of March 31, 2016

This graph shows the performance of the Mercer Global Low Volatility Equity Fund Class Y-3 shares versus the MSCI World Index from November 6, 2012, which is the inception date of the Fund, through March 31, 2016. The performance of other classes, when launched, will vary from the performance of the class shown based on the difference in fees and expenses paid by shareholders investing in different share classes. The Fund may charge a 2% redemption fee on shares owned less than 30 days.

The table and graph assume reinvestment of dividends and capital gains, but do not reflect a deduction of taxes an investor might pay on fund distributions or upon redemption of fund shares. Performance shown reflects a fee waiver and/or expense reimbursement. Without this waiver/reimbursement, returns would have been lower.

The data quoted represents past performance and does not guarantee future results. Current performance of the Fund may be lower or higher than the performance quoted. Please call 1-866-658-9896 for the Fund’s most recent month-end performance. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than when purchased.

29

Mercer US Large Cap Growth Equity Fund

Schedule of Investments

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		COMMON STOCKS — 94.6%
		Apparel — 5.4%
	173,450	LVMH Moet Hennessy Louis Vuitton SE, Unsponsored ADR		5,926,786
	69,725	NIKE, Inc. Class B		4,285,996
	41,325	Ralph Lauren Corp.		3,977,945
	24,000	Under Armour, Inc. Class A* ‡		2,035,920
				16,226,647
		Auto Manufacturers — 0.8%
	10,743	Tesla Motors, Inc.* ‡		2,468,419
		Auto Parts & Equipment — 1.5%
	121,396	Mobileye NV* ‡		4,526,857
		Beverages — 3.2%
	53,280	Diageo Plc, Sponsored ADR		5,747,313
	29,070	Monster Beverage Corp.*		3,877,357
				9,624,670
		Biotechnology — 10.1%
	39,331	Alexion Pharmaceuticals, Inc.*		5,475,662
	20,261	Biogen, Inc.*		5,274,344
	28,000	BioMarin Pharmaceutical, Inc.*		2,309,440
	30,915	Celgene Corp.*		3,094,282
	34,741	Illumina, Inc.*		5,631,863
	13,309	Incyte Corp.*		964,503
	17,818	Intercept Pharmaceuticals, Inc.* ‡		2,289,078
	8,300	Regeneron Pharmaceuticals, Inc.*		2,991,652
	30,548	Vertex Pharmaceuticals, Inc.*		2,428,261
				30,459,085
		Chemicals — 1.0%
	25,000	Monsanto Co.		2,193,500
	3,300	Sherwin-Williams Co. (The)		939,411
				3,132,911
		Computers — 3.9%
	83,455	Apple, Inc.		9,095,760
	44,394	Cognizant Technology Solutions Corp. Class A*		2,783,504
				11,879,264
		Diversified Financial Services — 7.4%
	77,500	Charles Schwab Corp. (The)		2,171,550
	10,856	IntercontinentalExchange Group, Inc.		2,552,680
	132,500	LendingClub Corp.* ‡		1,099,750
	214,802	Visa, Inc. Class A		16,428,057
				22,252,037

30 See accompanying Notes to the Financial Statements.

Mercer US Large Cap Growth Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		Electrical Components & Equipment — 0.6%
	8,837	Acuity Brands, Inc.		1,927,703
		Food — 2.1%
	83,675	Nestle SA, Sponsored ADR		6,242,992
		Health Care - Products — 1.0%
	33,650	Edwards Lifesciences Corp.*		2,968,267
		Internet — 21.6%
	70,512	Alibaba Group Holding, Ltd., Sponsored ADR*		5,572,563
	2,900	Alphabet, Inc. Class A*		2,212,410
	10,765	Alphabet, Inc. Class C*		8,019,387
	14,361	Amazon.com, Inc.*		8,525,264
	7,900	Baidu, Inc., Sponsored ADR*		1,507,952
	70,681	Facebook, Inc. Class A*		8,064,702
	26,829	LinkedIn Corp. Class A*		3,067,896
	25,319	MercadoLibre, Inc.		2,983,844
	22,900	Netflix, Inc.*		2,341,067
	11,061	Priceline Group (The), Inc.*		14,257,187
	88,039	Splunk, Inc.*		4,307,748
	245,125	Twitter, Inc.*		4,056,819
				64,916,839
		Leisure Time — 1.6%
	92,800	Carnival Corp.		4,897,056
		Media — 9.2%
	94,875	AMC Networks, Inc. Class A*		6,161,183
	121,725	Comcast Corp. Class A		7,434,963
	104,850	Time Warner, Inc.		7,606,867
	66,075	Walt Disney Co. (The)		6,561,908
				27,764,921
		Oil & Gas Services — 0.6%
	25,900	Schlumberger, Ltd.		1,910,125
		Pharmaceuticals — 2.7%
	58,829	Bristol-Myers Squibb Co.		3,757,996
	21,836	DexCom, Inc.*		1,482,883
	50,909	Novo Nordisk AS, Sponsored ADR		2,758,759
				7,999,638
		Retail — 13.3%
	63,100	Cheesecake Factory (The), Inc.		3,349,979
	5,525	Chipotle Mexican Grill, Inc.*		2,602,109
	24,361	CVS Health Corp.		2,526,967
	80,620	Lululemon Athletica, Inc.*		5,458,780
	52,100	McDonald’s Corp.		6,547,928

See accompanying Notes to the Financial Statements. 31

Mercer US Large Cap Growth Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares			Description	Value ($)
			Retail — continued
	30,875		Starbucks Corp.		1,843,238
	48,900		Tiffany & Co.		3,588,282
	103,375		Wal-Mart Stores, Inc.		7,080,154
	126,775		Williams-Sonoma, Inc.		6,939,663
					39,937,100
			Software — 5.0%
	48,226		Adobe Systems, Inc.*		4,523,599
	12,500		athenahealth, Inc.* ‡		1,734,750
	32,100		Cerner Corp.*		1,700,016
	65,980		Salesforce.com, Inc.*		4,871,303
	38,858		ServiceNow, Inc.*		2,377,333
					15,207,001
			Telecommunications — 1.2%
	22,640		Palo Alto Networks, Inc.*		3,693,490
			Transportation — 2.4%
	67,350		United Parcel Service, Inc. Class B		7,103,404
			TOTAL COMMON STOCKS (COST $277,262,856)		285,138,426
			INVESTMENT COMPANY — 1.9%
	56,850		iShares Russell 1000 Growth ETF		5,672,493
			TOTAL INVESTMENT COMPANY (COST $5,048,849)		5,672,493
Par Value ($)			Description	Value ($)
			SHORT-TERM INVESTMENTS — 6.7%
			Bank Deposit — 3.2%
	9,663,712		State Street Bank & Trust Euro Time Deposit, 0.01%, due 04/01/16		9,663,712
			Securities Lending Collateral — 3.5%
	10,516,617		State Street Institutional U.S. Government Money Market Fund, Premier Class***		10,516,617
			TOTAL SHORT-TERM INVESTMENTS (COST $20,180,329)		20,180,329
			TOTAL INVESTMENTS — 103.2% (Cost $302,492,034)		310,991,248
			Other Assets and Liabilities (net) — (3.2)%		(9,731,321	)
			NET ASSETS — 100.0%	$	301,259,927
			Notes to Schedule of Investments:
			ADR — American Depository Receipt
		*	Non-income producing security
		‡	All or a portion of this security is out on loan.
		***	Represents an investment of securities lending cash collateral.

32 See accompanying Notes to the Financial Statements.

Mercer US Large Cap Growth Equity Fund

Schedule of Investments (Continued)

March 31, 2016

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Unrealized Appreciation (Depreciation)
	Buys
	30	NASDAQ 100 E-mini Index	June 2016	$	2,685,750	$	120,187
	38	S&P 500 E-mini Index	June 2016		3,897,850		137,061
	7	S&P Mid 400 E-mini Index	June 2016		1,008,840		27,378
						$	284,626

See accompanying Notes to the Financial Statements. 33

Mercer US Large Cap Growth Equity Fund

Schedule of Investments (Continued)

March 31, 2016

Asset Class Summary (Unaudited)	% of Net Assets
Common Stocks		94.6
Investment Company		1.9
Futures Contracts		0.1
Short-Term Investments		6.7
Other Assets and Liabilities (net)		(3.3	)
		100.0	%

34 See accompanying Notes to the Financial Statements.

Mercer US Large Cap Value Equity Fund

Schedule of Investments

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		COMMON STOCKS — 94.9%
		Advertising — 0.8%
	33,863	Interpublic Group of Cos. (The), Inc.		777,156
	19,464	Omnicom Group, Inc.		1,619,989
				2,397,145
		Aerospace & Defense — 4.1%
	15,600	BE Aerospace, Inc.		719,472
	1,499	Boeing Co. (The)		190,283
	10,841	General Dynamics Corp.		1,424,182
	11,926	Harris Corp.		928,558
	4,055	Lockheed Martin Corp.		898,183
	21,321	Northrop Grumman Corp.		4,219,426
	25,590	Raytheon Co.		3,138,102
	10,885	United Technologies Corp.		1,089,588
				12,607,794
		Agriculture — 0.0%
	2,402	Archer-Daniels-Midland Co.		87,217
		Airlines — 2.6%
	64,855	American Airlines Group, Inc.		2,659,704
	95,339	Delta Air Lines, Inc.		4,641,102
	14,298	United Continental Holdings, Inc.*		855,878
				8,156,684
		Apparel — 1.3%
	72,555	Michael Kors Holdings, Ltd.*		4,132,733
		Auto Manufacturers — 1.3%
	89,722	General Motors Co.		2,819,962
	12,030	Toyota Motor Corp., Sponsored ADR		1,279,030
				4,098,992
		Auto Parts & Equipment — 0.9%
	27,400	Goodyear Tire & Rubber Co. (The)		903,652
	6,202	Lear Corp.		689,476
	29,348	Magna International, Inc. Class A		1,260,790
				2,853,918
		Banks — 11.4%
	406,378	Bank of America Corp.		5,494,231
	18,665	BB&T Corp.		620,984
	52,101	Capital One Financial Corp.		3,611,120
	170,503	Citigroup, Inc.		7,118,500
	29,029	Fifth Third Bancorp		484,494
	9,208	Goldman Sachs Group, Inc. (The)		1,445,472
	154,686	JPMorgan Chase & Co.		9,160,505

See accompanying Notes to the Financial Statements. 35

Mercer US Large Cap Value Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		Banks — continued
	48,936	Morgan Stanley		1,223,889
	22,009	PNC Financial Services Group, Inc.		1,861,301
	24,700	Popular, Inc.		706,667
	26,105	US Bancorp		1,059,602
	55,113	Wells Fargo & Co.		2,665,265
				35,452,030
		Beverages — 2.2%
	86,573	AMBEV SA, ADR		448,448
	26,581	Coca-Cola Co. (The)		1,233,092
	47,320	Coca-Cola Enterprises, Inc.		2,401,017
	15,770	Molson Coors Brewing Co. Class B		1,516,759
	10,477	PepsiCo, Inc.		1,073,683
				6,672,999
		Biotechnology — 0.5%
	14,851	Gilead Sciences, Inc.		1,364,213
		Building Materials — 1.2%
	61,200	Louisiana-Pacific Corp.*		1,047,744
	31,108	Viacom, Inc. Class B		1,284,138
	14,255	Vulcan Materials Co.		1,504,901
				3,836,783
		Chemicals — 4.0%
	5,108	Ashland, Inc.		561,676
	33,107	CF Industries Holdings, Inc.		1,037,573
	50,759	Dow Chemical Co. (The)		2,581,603
	16,000	Eastman Chemical Co.		1,155,680
	28,015	Huntsman Corp.		372,600
	39,487	LyondellBasell Industries NV Class A		3,379,297
	16,908	Methanex Corp.‡		543,085
	3,310	Monsanto Co.		290,419
	61,171	Mosaic Co. (The)		1,651,617
	8,247	PPG Industries, Inc.		919,458
				12,493,008
		Commercial Services — 0.2%
	16,148	H&R Block, Inc.		426,630
	16,767	RELX NV, Sponsored ADR‡		293,926
				720,556
		Computers — 2.0%
	17,690	Apple, Inc.		1,928,033
	4,568	Brocade Communications Systems, Inc.		48,330
	19,023	Computer Sciences Corp.		654,201
	62,351	Hewlett Packard Enterprise Co.		1,105,483
	3,032	International Business Machines Corp.		459,196

36 See accompanying Notes to the Financial Statements.

Mercer US Large Cap Value Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		Computers — continued
	42,959	NetApp, Inc.		1,172,351
	23,471	Seagate Technology Plc‡		808,576
				6,176,170
		Cosmetics & Personal Care — 0.2%
	20,747	L’Oreal SA, Unsponsored ADR		740,668
		Diversified Financial Services — 3.4%
	44,700	AerCap Holdings NV*		1,732,572
	41,442	Ally Financial, Inc.*		775,794
	3,188	Ameriprise Financial, Inc.		299,704
	33,103	Charles Schwab Corp. (The)		927,546
	29,391	Discover Financial Services		1,496,590
	33,555	E*TRADE Financial Corp.*		821,762
	10,803	FNF Group		366,222
	35,362	Navient Corp.		423,283
	152,300	Nomura Holdings, Inc., Sponsored ADR‡		676,212
	9,805	Raymond James Financial, Inc.		466,816
	75,000	Santander Consumer USA Holdings, Inc.*		786,750
	64,099	Synchrony Financial*		1,837,077
				10,610,328
		Electric — 0.5%
	92,727	AES Corp.		1,094,179
	24,100	Calpine Corp.*		365,597
				1,459,776
		Electrical Components & Equipment — 0.4%
	22,360	Emerson Electric Co.		1,215,937
		Electronics — 1.6%
	71,435	Corning, Inc.		1,492,277
	88,887	Flextronics International, Ltd.*		1,071,977
	15,983	Honeywell International, Inc.		1,790,895
	7,446	TE Connectivity, Ltd.		461,057
				4,816,206
		Engineering & Construction — 0.7%
	17,800	AECOM*		548,062
	21,300	Chicago Bridge & Iron Co. NV		779,367
	17,234	Fluor Corp.		925,466
				2,252,895
		Entertainment — 0.2%
	8,845	Six Flags Entertainment Corp.		490,809
		Food — 1.8%
	25,304	ConAgra Foods, Inc.		1,129,065

See accompanying Notes to the Financial Statements. 37

Mercer US Large Cap Value Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		Food — continued
	10,640	Kellogg Co.		814,492
	97,985	Koninklijke Ahold NV, Sponsored ADR		2,198,783
	12,264	Mondelez International, Inc. Class A		492,032
	12,638	Tyson Foods, Inc. Class A		842,449
				5,476,821
		Forest Products & Paper — 0.2%
	12,797	International Paper Co.		525,189
		Health Care - Products — 0.4%
	42,582	Boston Scientific Corp.*		800,967
	4,584	Zimmer Biomet Holdings, Inc.		488,792
				1,289,759
		Health Care - Services — 1.4%
	8,706	Anthem, Inc.		1,210,047
	7,829	Cigna Corp.		1,074,452
	16,364	UnitedHealth Group, Inc.		2,109,319
				4,393,818
		Home Builders — 0.3%
	9,434	D.R. Horton, Inc.		285,190
	38,983	PulteGroup, Inc.		729,372
				1,014,562
		Housewares — 0.2%
	10,600	Tupperware Brands Corp.‡		614,588
		Insurance — 8.4%
	27,577	Allstate Corp. (The)		1,857,862
	33,650	American International Group, Inc.		1,818,783
	7,131	Aon Plc		744,833
	913	Arch Capital Group, Ltd.*		64,914
	46,384	Berkshire Hathaway, Inc. Class B*		6,580,962
	21,802	Chubb, Ltd.		2,597,708
	41,824	Hartford Financial Services Group, Inc. (The)		1,927,250
	49,772	MetLife, Inc.		2,186,982
	23,055	Prudential Financial, Inc.		1,665,032
	30,368	Travelers Cos., Inc. (The)		3,544,249
	60,170	Voya Financial, Inc.		1,791,261
	36,510	XL Group Plc		1,343,568
				26,123,404
		Internet — 0.8%
	1,787	Alphabet, Inc. Class A*		1,363,302
	39,438	eBay, Inc.*		940,991
				2,304,293

38 See accompanying Notes to the Financial Statements.

Mercer US Large Cap Value Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		Iron & Steel — 0.5%
	23,040	Reliance Steel & Aluminum Co.		1,594,138
		Leisure Time — 0.4%
	20,263	Carnival Corp.		1,069,278
		Lodging — 0.5%
	19,919	Marriott International, Inc. Class A‡		1,417,834
		Machinery - Construction & Mining — 0.6%
	13,570	Caterpillar, Inc.		1,038,648
	30,182	Terex Corp.		750,928
				1,789,576
		Media — 3.3%
	66,572	CBS Corp. Class B		3,667,452
	13,745	Comcast Corp. Class A		839,545
	26,702	Liberty Global Plc Series C*		1,002,927
	8,542	Liberty Global Plc LiLAC Class C* ‡		323,571
	9,624	Liberty Media Corp. Series C*		366,578
	331,243	Sirius XM Holdings, Inc.* ‡		1,308,410
	30,186	Time Warner, Inc.		2,189,994
	19,390	Twenty-First Century Fox, Inc. Class A		540,593
				10,239,070
		Mining — 0.4%
	48,856	Barrick Gold Corp.		663,465
	16,499	BHP Billiton Plc, ADR‡		375,022
	7,013	Newmont Mining Corp.		186,406
	2,294	Rio Tinto Plc, Sponsored ADR		64,851
				1,289,744
		Miscellaneous - Manufacturing — 2.5%
	3,248	Dover Corp.		208,944
	12,700	Eaton Corp. Plc		794,512
	28,044	Illinois Tool Works, Inc.		2,872,827
	19,448	Parker-Hannifin Corp.		2,160,284
	21,117	Pentair Plc		1,145,809
	15,629	Textron, Inc.		569,833
				7,752,209
		Oil & Gas — 10.3%
	20,840	Apache Corp.		1,017,201
	102,867	BP Plc, Sponsored ADR		3,104,526
	3,209	California Resources Corp.		3,305
	117,807	Canadian Natural Resources, Ltd.		3,180,789
	16,401	Cimarex Energy Co.		1,595,325
	69,200	Devon Energy Corp.		1,898,848
	8,268	Diamondback Energy, Inc.*		638,124

See accompanying Notes to the Financial Statements. 39

Mercer US Large Cap Value Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		Oil & Gas — continued
	10,088	Energen Corp.		369,120
	54,876	EOG Resources, Inc.		3,982,900
	2,425	EQT Corp.		163,106
	9,500	Helmerich & Payne, Inc.‡		557,840
	22,346	Hess Corp.		1,176,517
	15,815	Marathon Petroleum Corp.		588,002
	94,918	Occidental Petroleum Corp.		6,495,239
	49,712	Phillips 66		4,304,562
	6,691	Pioneer Natural Resources Co.		941,691
	30,783	QEP Resources, Inc.		434,348
	23,430	Valero Energy Corp.		1,502,800
				31,954,243
		Oil & Gas Services — 1.0%
	59,452	National Oilwell Varco, Inc.‡		1,848,957
	18,623	Schlumberger, Ltd.		1,373,446
				3,222,403
		Packaging & Containers — 0.6%
	16,523	Crown Holdings, Inc.*		819,376
	11,193	Packaging Corp. of America		676,057
	8,066	WestRock Co.		314,816
				1,810,249
		Pharmaceuticals — 5.9%
	19,800	AbbVie, Inc.		1,130,976
	8,605	Bristol-Myers Squibb Co.		549,687
	8,845	Cardinal Health, Inc.		724,848
	8,731	Eli Lilly & Co.		628,719
	8,100	Endo International Plc*		228,015
	29,851	Express Scripts Holding Co.*		2,050,465
	33,600	Horizon Pharma Plc*		556,752
	3,500	Jazz Pharmaceuticals Plc *		456,925
	31,230	Johnson & Johnson		3,379,086
	8,900	Mallinckrodt Plc*		545,392
	3,716	McKesson Corp.		584,341
	55,219	Merck & Co., Inc.		2,921,637
	15,800	Mylan NV*		732,330
	98,564	Pfizer, Inc.		2,921,437
	5,858	Teva Pharmaceutical Industries, Ltd., Sponsored ADR		313,462
	23,700	Valeant Pharmaceuticals International, Inc.* ‡		623,310
				18,347,382
		Private Equity — 1.4%
	68,520	Blackstone Group (The), LP		1,921,986
	169,930	KKR & Co., LP		2,496,272
				4,418,258

40 See accompanying Notes to the Financial Statements.

Mercer US Large Cap Value Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		REITS — 0.8%
	16,433	American Homes 4 Rent Class A REIT Class A		261,285
	32,326	Communications Sales & Leasing, Inc. REIT		719,253
	51,900	Hatteras Financial Corp. REIT		742,170
	86,030	Two Harbors Investment Corp. REIT		683,078
				2,405,786
		Retail — 3.5%
	47,734	Bed Bath & Beyond, Inc.*		2,369,516
	18,014	Best Buy Co., Inc.		584,374
	11,483	CVS Health Corp.		1,191,132
	9,200	Dillard’s, Inc. Class A‡		781,172
	31,430	Kohl’s Corp.		1,464,952
	66,968	Macy’s, Inc.		2,952,619
	37,809	Staples, Inc.		417,033
	14,368	Target Corp.		1,182,199
				10,942,997
		Semiconductors — 2.5%
	117,032	Applied Materials, Inc.		2,478,738
	10,100	Lam Research Corp.		834,260
	29,541	Microchip Technology, Inc.		1,423,876
	154,375	Micron Technology, Inc.*		1,616,306
	26,488	Texas Instruments, Inc.		1,520,941
				7,874,121
		Software — 2.2%
	13,885	Activision Blizzard, Inc.		469,868
	6,369	CA, Inc.		196,102
	7,185	Citrix Systems, Inc.*		564,597
	48,562	Microsoft Corp.		2,682,079
	68,656	Oracle Corp.		2,808,717
				6,721,363
		Telecommunications — 5.5%
	54,191	AT&T, Inc.		2,122,661
	71,804	CenturyLink, Inc.		2,294,856
	24,100	China Mobile, Ltd., Sponsored ADR		1,336,345
	194,570	Cisco Systems, Inc.		5,539,408
	37,104	Juniper Networks, Inc.		946,523
	64,450	Mobile Telesystems PJSC, Sponsored ADR		521,401
	15,037	Motorola Solutions, Inc.		1,138,301
	37,940	NTT DoCoMo, Inc., Sponsored ADR		863,894
	42,480	Verizon Communications, Inc.		2,297,318
				17,060,707
		TOTAL COMMON STOCKS (COST $295,773,121)		294,288,653

See accompanying Notes to the Financial Statements. 41

Mercer US Large Cap Value Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares			Description	Value ($)
			INVESTMENT COMPANY — 2.5%
	76,464		iShares Russell 1000 Value Index Fund‡		7,555,408
			TOTAL INVESTMENT COMPANY (COST $6,913,491)		7,555,408
Par Value ($)			Description	Value ($)
			SHORT-TERM INVESTMENTS — 5.2%
			Bank Deposit — 2.4%
	7,456,675		State Street Bank & Trust Euro Time Deposit, 0.01%, due 04/01/16		7,456,675
			Securities Lending Collateral — 2.8%
	8,737,578		State Street Institutional U.S. Government Money Market Fund, Premier Class***		8,737,578
			TOTAL SHORT-TERM INVESTMENTS (COST $16,194,253)		16,194,253
			TOTAL INVESTMENTS — 102.6% (Cost $318,880,865)		318,038,314
			Other Assets and Liabilities (net) — (2.6)%		(7,932,684	)
			NET ASSETS — 100.0%	$	310,105,630
			Notes to Schedule of Investments:
			ADR — American Depository Receipt
			REIT — Real Estate Investment Trust
		*	Non-income producing security
		‡	All or a portion of this security is out on loan.
		***	Represents an investment of securities lending cash collateral.

42 See accompanying Notes to the Financial Statements.

Mercer US Large Cap Value Equity Fund

Schedule of Investments (Continued)

March 31, 2016

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Unrealized Appreciation (Depreciation)
	Buys
	34	S&P 500 E-mini Index	June 2016	$	3,487,550	$	122,634
	9	S&P Mid 400 E-mini Index	June 2016		1,297,080		35,200
						$	157,834

See accompanying Notes to the Financial Statements. 43

Mercer US Large Cap Value Equity Fund

Schedule of Investments (Continued)

March 31, 2016

Asset Class Summary (Unaudited)	% of Net Assets
Common Stocks		94.9
Investment Company		2.5
Futures Contracts		0.1
Short-Term Investments		5.2
Other Assets and Liabilities (net)		(2.7	)
		100.0	%

44 See accompanying Notes to the Financial Statements.

Mercer US Small/Mid Cap Growth Equity Fund

Schedule of Investments

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		COMMON STOCKS — 93.2%
		Advertising — 0.5%
	91,210	Interpublic Group of Cos., Inc.		2,093,270
		Aerospace & Defense — 1.4%
	41,770	BE Aerospace, Inc.		1,926,432
	19,173	HEICO Corp.		1,152,873
	12,955	TransDigm Group, Inc.*		2,854,505
				5,933,810
		Airlines — 1.1%
	17,660	Alaska Air Group, Inc.		1,448,473
	17,149	Allegiant Travel Co.		3,053,551
				4,502,024
		Apparel — 1.4%
	15,250	Columbia Sportswear Co.		916,373
	36,970	G-III Apparel Group, Ltd.*		1,807,463
	70,468	Hanesbrands, Inc.		1,997,063
	34,080	Steven Madden, Ltd.*		1,262,323
				5,983,222
		Banks — 1.7%
	30,655	Bank of the Ozarks, Inc.		1,286,590
	37,610	BankUnited, Inc.		1,295,289
	65,020	FCB Financial Holdings, Inc. Class A*		2,162,565
	35,370	First Republic Bank		2,357,057
				7,101,501
		Biotechnology — 1.6%
	354,150	ARIAD Pharmaceuticals, Inc.* ‡		2,263,019
	53,700	Medivation, Inc.* ‡		2,469,126
	248,890	Merrimack Pharmaceuticals, Inc.* ‡		2,083,209
				6,815,354
		Building Materials — 2.0%
	52,256	Boise Cascade Co.*		1,082,744
	213,750	Builders FirstSource, Inc.* ‡		2,408,963
	48,230	Headwaters, Inc.*		956,883
	20,925	Lennox International, Inc.		2,828,851
	8,592	Martin Marietta Materials, Inc.		1,370,510
				8,647,951
		Chemicals — 2.0%
	59,520	Axalta Coating Systems, Ltd.*		1,737,984
	16,205	Eastman Chemical Co.‡		1,170,487
	104,610	PolyOne Corp.		3,164,452

See accompanying Notes to the Financial Statements. 45

Mercer US Small/Mid Cap Growth Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		Chemicals — continued
	37,210	W.R. Grace & Co.*		2,648,608
				8,721,531
		Commercial Services — 6.5%
	105,310	Aramark		3,487,867
	29,896	Booz Allen Hamilton Holding Corp.		905,251
	22,024	Bright Horizons Family Solutions, Inc.*		1,426,715
	17,110	CoStar Group, Inc.*		3,219,589
	18,546	Euronet Worldwide, Inc.*		1,374,444
	19,538	Global Payments, Inc.		1,275,831
	19,767	Heartland Payment Systems, Inc.		1,908,899
	80,670	Nord Anglia Education, Inc.* ‡		1,685,196
	56,593	On Assignment, Inc.*		2,089,414
	49,620	Robert Half International, Inc.		2,311,300
	67,610	Sabre Corp.		1,955,281
	73,947	Team Health Holdings, Inc.* ‡		3,091,724
	65,530	Total System Services, Inc.		3,117,917
				27,849,428
		Computers — 5.1%
	96,740	Fortinet, Inc.*		2,963,146
	50,430	Genpact, Ltd.*		1,371,192
	25,380	IHS, Inc. Class A*		3,151,181
	270,092	Logitech International SA		4,315,154
	354,426	VeriFone Systems, Inc.*		10,008,990
				21,809,663
		Distribution & Wholesale — 1.3%
	170,565	HD Supply Holdings, Inc.*		5,640,585
		Diversified Financial Services — 4.8%
	41,167	Affiliated Managers Group, Inc.*		6,685,521
	27,264	Ellie Mae, Inc.*		2,471,209
	31,560	Evercore Partners, Inc. Class A		1,633,230
	50,141	Lazard, Ltd. Class A		1,945,471
	248,384	LendingClub Corp.* ‡		2,061,587
	50,930	Raymond James Financial, Inc.		2,424,777
	50,002	WageWorks, Inc.*		2,530,601
	64,577	WisdomTree Investments, Inc.‡		738,115
				20,490,511
		Electrical Components & Equipment — 0.3%
	5,590	Acuity Brands, Inc.		1,219,403
		Electronics — 1.3%
	37,690	FLIR Systems, Inc.		1,241,885
	11,809	Mettler-Toledo International, Inc.*		4,071,271
				5,313,156

46 See accompanying Notes to the Financial Statements.

Mercer US Small/Mid Cap Growth Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		Engineering & Construction — 0.4%
	11,015	Dycom Industries, Inc.*		712,340
	38,340	MasTec, Inc.* ‡		776,002
				1,488,342
		Entertainment — 0.7%
	23,450	Vail Resorts, Inc.		3,135,265
		Food — 0.2%
	23,391	WhiteWave Foods Co. (The) Class A*		950,610
		Hand & Machine Tools — 1.3%
	33,875	Snap-on, Inc.		5,318,036
		Health Care - Products — 5.5%
	57,870	ABIOMED, Inc.*		5,486,655
	46,035	Align Technology, Inc.*		3,346,284
	64,806	Bio-Techne Corp.		6,125,463
	72,377	DENTSPLY SIRONA, Inc.		4,460,594
	130,171	Endologix, Inc.*		1,088,230
	37,505	Greatbatch, Inc.*		1,336,678
	109,692	Wright Medical Group, Inc.*		1,820,887
				23,664,791
		Health Care - Services — 2.6%
	44,944	Acadia Healthcare Co., Inc.*		2,476,864
	42,465	Centene Corp.*		2,614,570
	11,575	ICON Plc*		869,283
	55,650	Quest Diagnostics, Inc.		3,976,192
	11,692	WellCare Health Plans, Inc.*		1,084,433
				11,021,342
		Home Furnishings — 0.2%
	10,066	Harman International Industries, Inc.		896,277
		Household Products & Wares — 1.1%
	80,490	Jarden Corp.*		4,744,885
		Insurance — 0.8%
	46,310	Assurant, Inc.		3,572,816
		Internet — 3.5%
	135,913	NIC, Inc.		2,450,511
	323,726	Pandora Media, Inc.* ‡		2,897,347
	147,313	Quotient Technology, Inc.* ‡		1,561,518
	87,338	Shutterstock, Inc.* ‡		3,207,925
	71,400	Splunk, Inc.*		3,493,602
	68,093	Yelp, Inc.*		1,353,689
				14,964,592

See accompanying Notes to the Financial Statements. 47

Mercer US Small/Mid Cap Growth Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		Leisure Time — 0.6%
	118,807	Liberty TripAdvisor Holdings, Inc. Class A*		2,632,763
		Lodging — 0.4%
	62,927	Diamond Resorts International, Inc.*		1,529,126
		Machinery - Diversified — 4.6%
	25,250	Flowserve Corp.		1,121,353
	79,199	Graco, Inc.		6,649,548
	41,430	Middleby Corp. (The)*		4,423,481
	18,239	Wabtec Corp.		1,446,170
	89,493	Zebra Technologies Corp. Class A* ‡		6,175,017
				19,815,569
		Media — 0.8%
	55,120	Nexstar Broadcasting Group, Inc. Class A‡		2,440,163
	26,395	Tribune Media Co. Class A		1,012,248
				3,452,411
		Miscellaneous - Manufacturing — 1.2%
	32,520	AO Smith Corp.		2,481,601
	24,543	Carlisle Cos., Inc.		2,442,029
				4,923,630
		Office Furnishings — 0.6%
	123,600	Knoll, Inc.		2,675,940
		Oil & Gas — 0.9%
	45,335	Gulfport Energy Corp.*		1,284,794
	29,015	Tesoro Corp.		2,495,580
				3,780,374
		Oil & Gas Services — 1.4%
	39,029	Core Laboratories NV‡		4,387,250
	55,730	Oil States International, Inc.*		1,756,609
				6,143,859
		Packaging & Containers — 0.5%
	57,058	Berry Plastics Group, Inc.*		2,062,647
		Pharmaceuticals — 3.1%
	47,229	ACADIA Pharmaceuticals, Inc.* ‡		1,320,523
	24,740	Akorn, Inc.*		582,132
	18,082	Alkermes Plc*		618,224
	7,555	Anacor Pharmaceuticals, Inc.*		403,815
	27,260	DexCom, Inc.*		1,851,227
	32,617	Jazz Pharmaceuticals Plc*		4,258,149
	74,585	Neurocrine Biosciences, Inc.*		2,949,837
	22,775	Pacira Pharmaceuticals, Inc.*		1,206,619
				13,190,526

48 See accompanying Notes to the Financial Statements.

Mercer US Small/Mid Cap Growth Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		Real Estate — 0.4%
	15,735	Jones Lang Lasalle, Inc.		1,846,030
		REITS — 4.5%
	42,441	CyrusOne, Inc. REIT		1,937,432
	16,875	Digital Realty Trust, Inc. REIT		1,493,269
	238,542	Equity Commonwealth REIT*		6,731,655
	23,580	Extra Space Storage, Inc. REIT		2,203,787
	199,940	Outfront Media, Inc. REIT		4,218,734
	132,670	Starwood Property Trust, Inc. REIT		2,511,443
				19,096,320
		Retail — 10.1%
	25,635	Burlington Stores, Inc.*		1,441,712
	22,202	Children’s Place (The), Inc.		1,853,201
	67,507	DineEquity, Inc.		6,307,179
	119,642	Dunkin’ Brands Group, Inc.		5,643,513
	17,720	Foot Locker, Inc.		1,142,940
	54,150	Jack in the Box, Inc.		3,458,561
	42,355	Lululemon Athletica, Inc.* ‡		2,867,857
	4,220	Panera Bread Co. Class A*		864,383
	30,190	Red Robin Gourmet Burgers, Inc.*		1,946,349
	22,900	Restoration Hardware Holdings, Inc.* ‡		959,510
	256,620	Sally Beauty Holdings, Inc.*		8,309,356
	19,740	Signet Jewelers, Ltd.		2,448,352
	89,870	Sonic Corp.		3,159,829
	14,495	Ulta Salon Cosmetics & Fragrance, Inc.*		2,808,261
				43,211,003
		Semiconductors — 1.9%
	68,725	Integrated Device Technology, Inc.*		1,404,739
	26,280	M/A-COM Technology Solutions Holdings, Inc.*		1,150,801
	296,510	ON Semiconductor Corp.*		2,843,531
	32,750	Qorvo, Inc.*		1,650,928
	13,845	Synaptics, Inc.*		1,104,000
				8,153,999
		Software — 10.8%
	19,512	athenahealth, Inc.* ‡		2,707,875
	108,288	Blackbaud, Inc.		6,810,232
	37,695	Broadridge Financial Solutions, Inc.		2,235,690
	101,083	Cornerstone OnDemand, Inc.*		3,312,490
	38,115	Ebix, Inc.		1,554,711
	20,860	Guidewire Software, Inc.*		1,136,453
	49,569	Imperva, Inc.*		2,503,235
	80,629	j2 Global, Inc.		4,965,134
	95,997	MSCI, Inc. Class A		7,111,458
	32,598	Paycom Software, Inc.* ‡		1,160,489
	46,579	Proofpoint, Inc.*		2,505,019

See accompanying Notes to the Financial Statements. 49

Mercer US Small/Mid Cap Growth Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		Software — continued
	194,921	Qlik Technologies, Inc.*		5,637,115
	48,830	ServiceNow, Inc.*		2,987,419
	19,122	SS&C Technologies Holdings, Inc.		1,212,717
	8,680	Tableau Software, Inc. Class A*		398,152
				46,238,189
		Telecommunications — 2.3%
	32,828	Arista Networks, Inc.* ‡		2,071,447
	118,125	Ciena Corp.*		2,246,738
	61,580	CommScope Holding Co., Inc.*		1,719,314
	13,660	NICE-Systems, Ltd., Sponsored ADR		885,031
	17,960	Palo Alto Networks, Inc.*		2,929,994
				9,852,524
		Transportation — 1.8%
	80,738	Expeditors International of Washington, Inc.		3,940,822
	24,593	Genesee & Wyoming, Inc. Class A*		1,541,981
	32,880	Old Dominion Freight Line, Inc.*		2,289,105
				7,771,908
		TOTAL COMMON STOCKS (COST $372,876,250)		398,255,183
		INVESTMENT COMPANIES — 2.4%
	43,650	iShares Russell 2000 Growth Index Fund		5,791,482
	51,300	iShares Russell Mid-Cap Growth ETF		4,727,808
		TOTAL INVESTMENT COMPANY (COST $9,070,110)		10,519,290
		WARRANTS — 0.0%
		Oil & Gas — 0.0%
	27,862	Magnum Hunter Resources Corp., Strike Price $8.50, Expires 4/15/16* ‡ ****		—
		TOTAL WARRANTS (COST $—)		—
Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 12.9%
		Bank Deposit — 4.5%
	19,163,909	State Street Bank & Trust Euro Time Deposit, 0.01%, due 04/01/16		19,163,909
		Securities Lending Collateral — 8.4%
	35,835,272	State Street Institutional U.S. Government Money Market Fund, Premier Class***		35,835,272
		TOTAL SHORT-TERM INVESTMENTS (COST $54,999,181)		54,999,181
		TOTAL INVESTMENTS — 108.5% (Cost $436,945,541)		463,773,654
		Other Assets and Liabilities (net) — (8.5)%		(36,348,091	)
		NET ASSETS — 100.0%	$	427,425,563

50 See accompanying Notes to the Financial Statements.

Mercer US Small/Mid Cap Growth Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

	Notes to Schedule of Investments:
	ADR — American Depository Receipt
	REIT — Real Estate Investment Trust
*	Non-income producing security
‡	All or a portion of this security is out on loan.
***	Represents an investment of securities lending cash collateral.
****	Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the securities at year end is $0 which represents 0.0% of net assets. The aggregate tax cost of these securities held at March 31, 2016 was $0.

See accompanying Notes to the Financial Statements. 51

Mercer US Small/Mid Cap Growth Equity Fund

Schedule of Investments (Continued)

March 31, 2016

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Unrealized Appreciation (Depreciation)
	Buys
	56	Russell 2000 Mini Index	June 2016	$	6,213,760	$	154,637
	14	NASDAQ 100 E-mini Index	June 2016		1,253,350		56,087
	12	S&P Mid 400 E-mini Index	June 2016		1,729,440		46,933
						$	257,657

52 See accompanying Notes to the Financial Statements.

Mercer US Small/Mid Cap Growth Equity Fund

Schedule of Investments (Continued)

March 31, 2016

Asset Class Summary (Unaudited)	% of Net Assets
Common Stocks		93.2
Investment Companies		2.4
Futures Contracts		0.1
Warrants		0.0
Short-Term Investments		12.9
Other Assets and Liabilities (net)		(8.6	)
		100.0	%

See accompanying Notes to the Financial Statements. 53

Mercer US Small/Mid Cap Value Equity Fund

Schedule of Investments

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		COMMON STOCKS — 93.8%
		Aerospace & Defense — 1.6%
	60,665	Cubic Corp.		2,424,173
	89,110	KLX, Inc.*		2,863,995
	23,052	Orbital ATK, Inc.		2,004,141
				7,292,309
		Airlines — 0.4%
	24,465	Alaska Air Group, Inc.		2,006,619
		Apparel — 0.4%
	32,620	Michael Kors Holdings, Ltd.*		1,858,035
		Auto Parts & Equipment — 0.7%
	112,245	Allison Transmission Holdings, Inc.		3,028,370
		Banks — 4.4%
	65,940	Ameris Bancorp		1,950,505
	79,845	Capital Bank Financial Corp. Class A		2,463,218
	44,060	Great Western Bancorp, Inc.		1,201,516
	100,460	Heritage Financial Corp.		1,765,082
	227,350	KeyCorp		2,509,944
	53,735	PacWest Bancorp		1,996,255
	49,076	PrivateBancorp, Inc.		1,894,334
	138,850	United Community Banks, Inc.		2,564,560
	35,133	Webster Financial Corp.		1,261,275
	76,590	Western Alliance Bancorp*		2,556,574
				20,163,263
		Biotechnology — 1.7%
	34,600	Bio-Rad Laboratories, Inc. Class A*		4,730,512
	15,300	Cambrex Corp.*		673,200
	31,480	Charles River Laboratories International, Inc.*		2,390,591
				7,794,303
		Building Materials — 0.7%
	87,850	Louisiana-Pacific Corp.*		1,503,992
	36,040	Owens Corning		1,703,971
				3,207,963
		Chemicals — 1.3%
	38,180	Albemarle Corp.		2,440,847
	52,610	Celanese Corp. Series A		3,445,955
				5,886,802
		Commercial Services — 4.3%
	24,890	Euronet Worldwide, Inc.*		1,844,598
	45,200	Global Payments, Inc.		2,951,560

54 See accompanying Notes to the Financial Statements.

Mercer US Small/Mid Cap Value Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		Commercial Services — continued
	70,825	ICF International, Inc.*		2,434,255
	54,690	Insperity, Inc.		2,829,114
	64,400	Kelly Services, Inc. Class A		1,231,328
	66,815	Korn/Ferry International		1,890,196
	111,460	SP Plus Corp.*		2,681,728
	107,199	TriNet Group, Inc.*		1,538,306
	73,841	Viad Corp.		2,153,203
				19,554,288
		Computers — 0.7%
	23,417	Lumentum Holdings, Inc.*		631,556
	90,315	VeriFone Systems, Inc.*		2,550,496
				3,182,052
		Cosmetics & Personal Care — 1.0%
	267,016	Elizabeth Arden, Inc.* ‡		2,186,861
	71,170	Inter Parfums, Inc.		2,199,153
				4,386,014
		Distribution & Wholesale — 0.3%
	19,197	Tech Data Corp.*		1,473,754
		Diversified Financial Services — 5.7%
	77,775	AerCap Holdings NV*		3,014,559
	116,180	Blackhawk Network Holdings, Inc.*		3,984,974
	44,355	CoreLogic, Inc.*		1,539,119
	216,000	E*TRADE Financial Corp.*		5,289,840
	358,251	FNFV Group*		3,887,023
	121,950	Invesco, Ltd.		3,752,402
	62,645	Lazard, Ltd. Class A		2,430,626
	126,420	Leucadia National Corp.		2,044,211
				25,942,754
		Electric — 1.8%
	64,097	Ameren Corp.		3,211,260
	42,205	Black Hills Corp.		2,537,787
	28,805	DTE Energy Co.		2,611,461
				8,360,508
		Electrical Components & Equipment — 0.8%
	66,615	EnerSys		3,711,788
		Electronics — 2.1%
	77,530	Coherent, Inc.*		7,125,007
	42,619	Gentex Corp.		668,692
	69,230	Orbotech, Ltd.*		1,646,290
				9,439,989

See accompanying Notes to the Financial Statements. 55

Mercer US Small/Mid Cap Value Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		Energy - Alternate Sources — 0.4%
	26,325	First Solar, Inc.*		1,802,473
		Engineering & Construction — 0.9%
	252,430	KBR, Inc.		3,907,616
		Entertainment — 3.6%
	33,320	Carmike Cinemas, Inc.*		1,000,933
	112,150	Dolby Laboratories, Inc. Class A		4,874,039
	106,395	International Speedway Corp. Class A		3,927,039
	10,099	Madison Square Garden Co. (The) Class A*		1,680,070
	10,820	Marriott Vacations Worldwide Corp.		730,350
	202,973	SeaWorld Entertainment, Inc.‡		4,274,611
				16,487,042
		Environmental Control — 0.4%
	42,336	US Ecology, Inc.		1,869,558
		Food — 5.5%
	178,515	Aryzta AG, Unsponsored ADR*		3,697,046
	34,340	Fresh Market (The), Inc.*		979,720
	79,485	Ingles Markets, Inc. Class A		2,980,687
	43,050	John B Sanfilippo & Son, Inc.		2,974,325
	349,252	Orkla ASA, Sponsored ADR		3,138,029
	94,125	Pinnacle Foods, Inc.		4,205,505
	58,820	TreeHouse Foods, Inc.*		5,102,635
	49,810	United Natural Foods, Inc.*		2,007,343
	745	Village Super Market, Inc. Class A		17,999
				25,103,289
		Forest Products & Paper — 0.5%
	16,749	Deltic Timber Corp.‡		1,007,453
	64,458	Glatfelter		1,336,214
				2,343,667
		Gas — 2.1%
	32,715	Atmos Energy Corp.		2,429,416
	54,215	Laclede Group (The), Inc.		3,673,066
	31,386	National Fuel Gas Co.‡		1,570,870
	84,120	NiSource, Inc.		1,981,867
				9,655,219
		Hand & Machine Tools — 0.4%
	16,380	Stanley Black & Decker, Inc.‡		1,723,340
		Health Care - Products — 1.0%
	45,700	Bruker Corp.		1,279,600
	30,055	DENTSPLY SIRONA, Inc.		1,852,289

56 See accompanying Notes to the Financial Statements.

Mercer US Small/Mid Cap Value Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		Health Care - Products — continued
	62,485	Globus Medical, Inc. Class A*		1,484,019
				4,615,908
		Health Care - Services — 2.1%
	67,630	Air Methods Corp.* ‡		2,449,559
	15,700	Amedisys, Inc.*		758,938
	46,920	Amsurg Corp.*		3,500,232
	46,890	Centene Corp.*		2,887,017
				9,595,746
		Home Builders — 1.3%
	37,405	KB Home		534,143
	192,360	Taylor Morrison Home Corp. Class A*		2,716,123
	240,125	TRI Pointe Group, Inc.*		2,828,673
				6,078,939
		Home Furnishings — 1.3%
	27,470	Ethan Allen Interiors, Inc.		874,095
	145,263	La-Z-Boy, Inc.		3,884,333
	20,510	Universal Electronics, Inc.*		1,271,415
				6,029,843
		Household Products & Wares — 0.5%
	17,310	Avery Dennison Corp.		1,248,224
	81,970	SodaStream International, Ltd.* ‡		1,154,138
				2,402,362
		Housewares — 0.8%
	81,445	Newell Rubbermaid, Inc.‡		3,607,199
		Insurance — 5.0%
	4,811	Alleghany Corp.*		2,387,218
	53,390	Allied World Assurance Co. Holdings AG		1,865,447
	9,790	American National Insurance Co.		1,130,745
	45,060	Axis Capital Holdings, Ltd.		2,499,028
	48,352	Brown & Brown, Inc.		1,731,002
	38,575	Endurance Specialty Holdings, Ltd.		2,520,490
	20,701	Reinsurance Group of America, Inc.		1,992,471
	119,804	Voya Financial, Inc.		3,566,565
	6,040	White Mountains Insurance Group, Ltd.		4,847,704
				22,540,670
		Internet — 1.4%
	30,709	ePlus, Inc.*		2,472,382
	70,570	Liberty Ventures Class A*		2,760,698
	101,080	Match Group, Inc.* ‡		1,117,945
				6,351,025

See accompanying Notes to the Financial Statements. 57

Mercer US Small/Mid Cap Value Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		Investment Company — 0.3%
	88,182	Capital Southwest Corp.		1,223,084
		Iron & Steel — 0.7%
	64,930	Nucor Corp.		3,071,189
		Lodging — 1.2%
	96,719	La Quinta Holdings, Inc.* ‡		1,208,987
	195,445	MGM Resorts International*		4,190,341
				5,399,328
		Machinery - Diversified — 0.3%
	41,257	Albany International Corp. Class A		1,550,851
		Media — 2.2%
	102,640	Gray Television, Inc.*		1,202,941
	39,060	Liberty Broadband Corp. Class C*		2,263,527
	89,820	News Corp. Class A		1,147,001
	135,620	TEGNA, Inc.		3,181,645
	57,620	Tribune Media Co. Class A		2,209,727
				10,004,841
		Mining — 0.6%
	109,640	Materion Corp.		2,903,267
		Miscellaneous - Manufacturing — 0.9%
	107,050	ITT Corp.		3,949,074
		Oil & Gas — 3.7%
	86,475	Energen Corp.		3,164,120
	145,336	Evolution Petroleum Corp.		706,333
	295,240	Gran Tierra Energy, Inc.*		729,243
	37,693	Murphy USA, Inc.*		2,316,235
	157,155	Nabors Industries, Ltd.		1,445,826
	66,825	Newfield Exploration Co.*		2,221,931
	79,385	PBF Energy, Inc. Class A		2,635,582
	469,760	Precision Drilling Corp.‡		1,972,992
	47,700	QEP Resources, Inc.		673,047
	125,345	WPX Energy, Inc.*		876,162
				16,741,471
		Oil & Gas Services — 0.1%
	28,675	PHI, Inc.*		541,671
		Packaging & Containers — 1.2%
	105,500	Berry Plastics Group, Inc.*		3,813,825
	36,835	WestRock Co.		1,437,670
				5,251,495

58 See accompanying Notes to the Financial Statements.

Mercer US Small/Mid Cap Value Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		Pharmaceuticals — 0.6%
	66,556	Akorn, Inc.*		1,566,062
	39,530	Premier, Inc. Class A*		1,318,721
				2,884,783
		Real Estate — 1.7%
	136,950	CBRE Group, Inc.*		3,946,899
	295,863	Forestar Group, Inc.* ‡		3,858,054
				7,804,953
		REITS — 6.7%
	53,705	Alexandria Real Estate Equities, Inc. REIT		4,881,248
	280,976	Brandywine Realty Trust REIT		3,942,093
	44,789	DuPont Fabros Technology, Inc. REIT		1,815,298
	23,920	EPR Properties REIT		1,593,550
	56,026	Forest City Realty Trust, Inc. REIT Class A		1,181,588
	79,481	Geo Group (The), Inc. REIT		2,755,606
	46,215	Liberty Property Trust REIT		1,546,354
	139,165	Physicians Realty Trust REIT		2,585,686
	215,530	Ramco-Gershenson Properties Trust REIT		3,886,006
	38,900	SL Green Realty Corp. REIT		3,768,632
	2,350	Sovran Self Storage, Inc. REIT		277,183
	167,383	Sunstone Hotel Investors, Inc. REIT		2,343,362
				30,576,606
		Retail — 4.2%
	84,482	American Eagle Outfitters, Inc.‡		1,408,315
	7,411	Biglari Holdings, Inc.*		2,754,743
	130,375	Bloomin’ Brands, Inc.		2,199,426
	209,839	Fred’s, Inc. Class A‡		3,128,700
	181,265	Haverty Furniture Cos., Inc.¤		3,835,567
	32,873	J. Alexander’s Holdings, Inc.*		347,139
	16,713	MSC Industrial Direct Co., Inc. Class A		1,275,369
	43,860	Pier 1 Imports, Inc.		307,459
	37,605	PVH Corp.		3,725,151
				18,981,869
		Savings & Loans — 1.0%
	95,005	Banc of California, Inc.		1,662,587
	55,140	Sterling Bancorp		878,380
	80,755	Washington Federal, Inc.		1,829,101
				4,370,068
		Semiconductors — 4.3%
	59,875	Integrated Device Technology, Inc.*		1,223,845
	30,415	Lam Research Corp.		2,512,279
	748,935	Lattice Semiconductor Corp.* ‡		4,253,951
	42,705	Mellanox Technologies, Ltd.*		2,320,163
	17,810	Microsemi Corp.*		682,301

See accompanying Notes to the Financial Statements. 59

Mercer US Small/Mid Cap Value Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		Semiconductors — continued
	28,065	Skyworks Solutions, Inc.		2,186,263
	293,965	Teradyne, Inc.		6,346,704
				19,525,506
		Software — 2.6%
	70,322	CSG Systems International, Inc.		3,175,742
	585,395	Mitel Networks Corp.* ¤		4,788,531
	88,960	Nuance Communications, Inc.*		1,662,662
	55,100	Rackspace Hosting, Inc.*		1,189,609
	27,500	Take-Two Interactive Software, Inc.*		1,035,925
				11,852,469
		Telecommunications — 2.6%
	40,910	ARRIS International Plc*		937,657
	98,455	Level 3 Communications, Inc.*		5,203,347
	102,914	NeuStar, Inc. Class A* ‡		2,531,685
	102,681	Telephone & Data Systems, Inc.		3,089,671
				11,762,360
		Textiles — 1.2%
	50,046	UniFirst Corp.		5,461,020
		Transportation — 2.2%
	186,849	Air Transport Services Group, Inc.*		2,873,737
	47,843	Forward Air Corp.		2,168,245
	33,880	Kansas City Southern		2,895,046
	122,811	Marten Transport, Ltd.		2,299,022
				10,236,050
		Water — 0.4%
	160,449	PICO Holdings, Inc.*		1,641,393
		TOTAL COMMON STOCKS (COST $420,115,014)		427,136,055
		INVESTMENT COMPANIES — 2.2%
	61,400	iShares Russell 2000 Value Index Fund		5,723,094
	64,650	iShares Russell Mid-Cap Value ETF		4,585,625
		TOTAL INVESTMENT COMPANY (COST $9,067,212)		10,308,719
Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 10.1%
		Bank Deposit — 4.0%
	18,147,653	State Street Bank & Trust Euro Time Deposit, 0.01%, due 04/01/16		18,147,653

60 See accompanying Notes to the Financial Statements.

Mercer US Small/Mid Cap Value Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Par Value ($)			Description	Value ($)
			Securities Lending Collateral — 6.1%
	27,674,916		State Street Institutional U.S. Government Money Market Fund, Premier Class***		27,674,916
			TOTAL SHORT-TERM INVESTMENTS (COST $45,822,569)		45,822,569
			TOTAL INVESTMENTS — 106.1% (Cost $475,004,795)		483,267,343
			Other Assets and Liabilities (net) — (6.1)%		(27,973,238	)
			NET ASSETS — 100.0%	$	455,294,105
			Notes to Schedule of Investments:
			ADR — American Depository Receipt
			REIT — Real Estate Investment Trust
		*	Non-income producing security
		¤	Illiquid security. The total market value of this security at year end is $8,624,098 which represents 1.9% of net assets. The aggregate tax cost of this security held at March 31, 2016 was $9,491,149.
		‡	All or a portion of this security is out on loan.
		***	Represents an investment of securities lending cash collateral.

See accompanying Notes to the Financial Statements. 61

Mercer US Small/Mid Cap Value Equity Fund

Schedule of Investments (Continued)

March 31, 2016

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Unrealized Appreciation (Depreciation)
	Buys
	55	S&P Mid 400 E-mini Index	June 2016	$	7,926,600	$	215,111
	15	Russell 2000 Mini Index	June 2016		1,664,400		42,424
						$	257,535

62 See accompanying Notes to the Financial Statements.

Mercer US Small/Mid Cap Value Equity Fund

Schedule of Investments (Continued)

March 31, 2016

Asset Class Summary (Unaudited)	% of Net Assets
Common Stocks		93.8
Investment Companies		2.2
Futures Contracts		0.1
Short-Term Investments		10.1
Other Assets and Liabilities (net)		(6.2	)
		100.0	%

See accompanying Notes to the Financial Statements. 63

Mercer Non-US Core Equity Fund

Schedule of Investments

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		COMMON STOCKS — 91.9%
		Australia — 3.7%
	473,395	AGL Energy, Ltd.		6,700,525
	912,600	Asaleo Care, Ltd.		1,277,671
	372,118	Aurizon Holdings, Ltd.		1,133,557
	194,218	Australian Pharmaceutical Industries, Ltd.		292,081
	259,978	Austria & New Zealand Banking Group, Ltd.		4,691,719
	294,129	BGP Holdings Plc¤ ****		—
	1,592,563	Brambles, Ltd.		14,847,953
	105,855	carsales.com, Ltd.‡		957,604
	261,005	Computershare, Ltd.		1,963,609
	526,700	CSR, Ltd.		1,337,041
	107,437	Estia Health, Ltd.‡		475,214
	975,799	Evolution Mining, Ltd.		1,140,962
	358,506	Harvey Norman Holdings, Ltd.		1,296,169
	302,588	Investa Office Fund REIT		975,288
	45,800	Macquarie Group, Ltd.		2,328,459
	130,170	McMillan Shakespeare, Ltd.‡		1,250,664
	505,672	Metcash, Ltd.* ‡		676,839
	181,057	Orica, Ltd.‡		2,140,704
	84,729	Premier Investments, Ltd.		1,102,808
	242,111	Primary Health Care, Ltd.		698,414
	1,033,876	Qantas Airways, Ltd.*		3,236,907
	50,424	REA Group, Ltd.		2,095,751
	1,094,627	Sigma Pharmaceuticals, Ltd.		892,564
	61,602	Sirtex Medical, Ltd.		1,370,441
	392,735	Star Entertainment Grp, Ltd. (The)		1,715,992
	523,018	Sydney Airport		2,691,597
	269,252	Tatts Group, Ltd.		782,921
	403,433	Telstra Corp., Ltd.		1,654,116
	261,014	TPG Telecom, Ltd.		2,276,901
	95,488	Treasury Wine Estates, Ltd.		708,098
	115,518	Vocus Communications, Ltd.		740,222
	158,613	Wesfarmers, Ltd.		5,057,439
	194,217	Woolworths, Ltd.		3,301,770
		Total Australia		71,812,000
		Austria — 0.8%
	38,864	BUWOG AG*		836,148
	20,556	CA Immobilien Anlagen AG*		404,660
	362,090	Erste Group Bank AG*		10,191,710
	14,992	Oesterreichische Post AG		610,416
	69,200	OMV AG		1,949,737
	37,607	Voestalpine AG		1,260,153
	41,870	Wienerberger AG		805,395
		Total Austria		16,058,219
		Belgium — 1.0%
	55,042	Ageas		2,187,156
	29,589	Anheuser-Busch InBev NV, Sponsored ADR		3,688,565

64 See accompanying Notes to the Financial Statements.

Mercer Non-US Core Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		Belgium — continued
	55,226	Anheuser-Busch InBev NV		6,875,410
	19,032	Delhaize Group		1,989,867
	12,650	Delhaize Group SA, Sponsored ADR		328,521
	26,047	Mobistar SA*		584,139
	10,267	Ontex Group NV		337,129
	74,923	Proximus		2,564,344
		Total Belgium		18,555,131
		Bermuda — 0.2%
	2,043,033	Esprit Holdings, Ltd.*		1,893,807
	156,650	Hiscox, Ltd.		2,181,733
	69,272	Lancashire Holdings, Ltd.		549,597
		Total Bermuda		4,625,137
		Brazil — 0.1%
	674,100	JBS SA		2,082,786
		Canada — 1.0%
	60,320	Canadian Pacific Railway, Ltd.		8,046,864
	18,245	Fairfax Financial Holdings, Ltd.		10,255,822
	40,400	Milestone Apartments Real Estate Investment Trust REIT		518,489
		Total Canada		18,821,175
		Cayman Islands — 0.9%
	1,339,500	China Hongqiao Group, Ltd.		932,541
	3,714,000	Jiangnan Group, Ltd.		655,985
	2,741,000	Lee & Man Paper Manufacturing, Ltd.		1,865,840
	79,074	Phoenix Group Holdings		1,072,317
	525,050	Tencent Holdings, Ltd.		10,729,051
	2,170,000	United Laboratories International Holdings, Ltd. (The)*		872,862
	3,810,000	Universal Health International Group Holding, Ltd.		417,518
	2,144,000	Xinyi Glass Holdings, Ltd.		1,426,284
		Total Cayman Islands		17,972,398
		China — 0.1%
	905,000	China Railway Construction Corp., Ltd. Class H		1,076,916
	628,600	Shanghai Pharmaceuticals Holding Co., Ltd. Class H		1,248,034
		Total China		2,324,950
		Denmark — 2.0%
	8,251	Carlsberg AS Class B		787,498
	3,700	Christian Hansen Holding AS		248,781
	98,839	Danske Bank AS		2,796,781
	142,025	DSV AS		5,921,736
	69,415	GN Store Nord AS		1,453,501
	27,670	Jyske Bank AS		1,251,042
	15,652	NKT Holding AS		904,462
	131,193	Novo Nordisk AS Class B		7,127,579

See accompanying Notes to the Financial Statements. 65

Mercer Non-US Core Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		Denmark — continued
	99,657	Pandora AS		13,070,745
	36,690	Sydbank AS		1,053,345
	592,883	TDC AS		2,906,400
	18,285	Vestas Wind Systems AS		1,292,098
		Total Denmark		38,813,968
		Faroe Islands — 0.0%
	17,152	Bakkafrost P/F		664,617
		Finland — 1.1%
	96,727	Fortum OYJ		1,467,099
	49,429	Kemira OYJ‡		552,566
	36,230	Kesko OYJ Class B		1,602,306
	43,749	Kone OYJ Class B‡		2,111,824
	47,391	Metsa Board OYJ		317,546
	168,077	Neste OYJ‡		5,539,112
	356,225	Nokia OYJ, Sponsored ADR		2,105,290
	421,440	Nokia OYJ		2,509,317
	128,323	Sponda OYJ		541,053
	18,249	Sponda OYJ, Bonus Issue* ‡ ****		76,944
	213,477	UPM-Kymmene OYJ‡		3,872,824
	9,249	Wartsila OYJ Abp		419,164
		Total Finland		21,115,045
		France — 7.9%
	118,652	Accor SA		5,035,218
	111,860	AXA SA		2,637,357
	36,300	BNP Paribas SA		1,829,604
	11,053	Cap Gemini SA		1,040,132
	48,948	Carrefour SA		1,348,729
	31,766	Casino Guichard Perrachon SA‡		1,823,704
	10,638	Christian Dior SE		1,932,333
	40,716	Cie de Saint-Gobain		1,796,992
	129,388	CNP Assurances		2,020,722
	302,018	Danone SA		21,513,739
	44,597	Dassault Systemes SA		3,543,716
	63,762	Edenred		1,240,307
	76,000	Electricite de France SA		854,280
	276,931	Engie		4,304,468
	14,036	Euler Hermes Group		1,273,820
	9,996	Ipsen SA		574,901
	42,863	IPSOS		1,002,779
	32,289	L’Oreal SA		5,793,364
	93,634	Legrand SA		5,254,475
	35,906	LVMH Moet Hennessy Louis Vuitton SE		6,157,963
	56,503	Metropole Television SA		1,031,818
	223,200	Natixis SA		1,100,562
	45,740	Neopost SA		962,713
	32,329	Nexans SA*		1,455,938

66 See accompanying Notes to the Financial Statements.

Mercer Non-US Core Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		France — continued
	306,230	Orange SA		5,372,309
	84,265	Pernod-Ricard SA		9,410,374
	83,878	Peugeot SA*		1,439,483
	44,103	Renault SA		4,388,493
	26,822	Safran SA		1,879,138
	86,800	Sanofi		7,008,974
	136,220	Schneider Electric SE		8,621,450
	1,679	Societe BIC SA		252,939
	63,400	Societe Generale SA		2,346,599
	17,000	Thales SA		1,491,672
	408,059	Total SA		18,628,054
	52,364	UBISOFT Entertainment*		1,646,931
	87,437	Valeo SA		13,630,598
	44,897	Vivendi SA		945,481
		Total France		152,592,129
		Germany — 7.6%
	18,165	Allianz SE		2,959,056
	22,267	Aurubis AG		1,109,621
	23,200	BASF SE		1,752,811
	120,304	Bayer AG		14,161,654
	22,808	Bayerische Motoren Werke AG		2,097,463
	6,948	Bechtle AG		718,759
	68,296	Brenntag AG		3,906,902
	194,342	Commerzbank AG*		1,692,195
	16,266	Continental AG		3,707,186
	37,605	Daimler AG		2,886,993
	70,100	Deutsche Bank AG		1,194,243
	165,560	Deutsche Lufthansa*		2,679,972
	226,603	Deutsche Wohnen AG		7,057,305
	116,064	Deutz AG		550,205
	66,623	DIC Asset AG		623,305
	372,672	E.ON SE		3,583,438
	100,882	Evonik Industries AG		3,030,924
	13,065	Fraport AG Frankfurt Airport Services Worldwide		793,691
	15,766	Freenet AG		472,330
	114,880	Fresenius Medical Care AG & Co. KGaA		10,190,156
	136,951	GEA Group AG		6,710,691
	20,981	HeidelbergCement AG		1,799,145
	452,922	Infineon Technologies AG		6,454,174
	130,943	Jenoptik AG		2,096,487
	59,144	K+S AG‡		1,386,031
	147,019	Kloeckner & Co. SE		1,439,633
	5,471	KUKA AG‡		573,759
	33,207	LEG Immobilien AG*		3,135,131
	22,512	Leoni AG‡		777,944
	47,800	METRO AG‡		1,483,232
	8,790	MTU Aero Engines AG		844,303
	12,464	Muenchener Rueckversicherungs-Gesellschaft in Muenchen AG		2,538,850

See accompanying Notes to the Financial Statements. 67

Mercer Non-US Core Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		Germany — continued
	734	Rational AG		392,871
	27,895	Rheinmetall AG		2,232,137
	17,127	Rhoen-Klinikum AG		533,792
	126,232	RWE AG		1,636,268
	43,290	Salzgitter AG		1,227,605
	38,500	Siemens AG		4,086,742
	2,359	Sixt SE		127,179
	19,333	SMA Solar Technology AG* ‡		1,011,881
	19,617	Software AG		767,991
	33,833	STADA Arzneimittel AG		1,344,971
	192,402	Symrise AG		12,935,856
	127,027	TAG Immobilien AG‡		1,721,121
	52,401	Talanx AG*		1,792,005
	38,945	TUI AG		608,669
	27,115	United Internet AG		1,362,797
	225,891	Vonovia SE		8,140,724
	19,819	Wirecard AG‡		752,072
	350,840	Zalando SE*		11,534,227
		Total Germany		146,616,497
		Gibraltar — 0.0%
	119,955	888 Holdings Plc		365,943
		Hong Kong — 1.1%
	2,377,600	AIA Group, Ltd.		13,471,907
	257,000	CLP Holdings, Ltd.		2,327,613
	3,458,000	PCCW, Ltd.		2,229,084
	188,500	Power Assets Holdings, Ltd.		1,929,582
	342,000	Wheelock & Co., Ltd.		1,527,780
		Total Hong Kong		21,485,966
		Hungary — 0.1%
	20,405	MOL Hungarian Oil & Gas Plc		1,227,829
	76,167	Richter Gedeon Nyrt		1,519,166
		Total Hungary		2,746,995
		India — 0.1%
	36,200	Tata Motors, Ltd., Sponsored ADR*		1,051,610
		Indonesia — 0.4%
	9,320,700	Bank Mandiri Persero Tbk PT		7,240,061
	3,540,700	Bank Negara Indonesia Persero Tbk PT		1,388,510
		Total Indonesia		8,628,571
		Ireland — 0.3%
	313,147	C&C Group Plc		1,416,682
	5,076,215	Governor & Co. of the Bank of Ireland (The)*		1,475,074
	12,067	Kerry Group Plc Class A		1,125,928

68 See accompanying Notes to the Financial Statements.

Mercer Non-US Core Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		Ireland — continued
	30,796	Kingspan Group Plc		819,435
		Total Ireland		4,837,119
		Isle Of Man — 0.1%
	134,620	GVC Holdings Plc		977,121
	82,555	Playtech Plc		1,028,157
		Total Isle of Man		2,005,278
		Israel — 0.3%
	410,163	Bank Leumi Le-Israel BM*		1,471,765
	5,453	Elbit Systems, Ltd.		513,027
	30,409	First International Bank Of Israel, Ltd.		376,685
	409,309	Israel Discount Bank, Ltd. Class A*		692,434
	57,900	Teva Pharmaceutical Industries, Ltd.		3,121,779
		Total Israel		6,175,690
		Italy — 1.5%
	183,100	Astaldi Spa‡		847,960
	12,685	Danieli & C. Officine Meccaniche Spa-RSP		198,759
	95,081	Davide Campari-Milano Spa		951,851
	1,174,133	Enel Spa		5,215,461
	47,314	ERG Spa		644,844
	339,527	Hera Spa		1,016,021
	47,412	Infrastrutture Wireless Italiane Spa*		238,049
	4,549,190	Intesa Sanpaolo Spa		12,617,933
	190,348	Iren Spa		341,635
	127,100	Mediobanca Spa		916,817
	468,911	Saras Spa*		753,965
	238,876	Snam Spa		1,498,523
	1,661,236	Telecom Italia Spa*		1,794,623
	415,739	Unipol Gruppo Finanziario Spa		1,684,675
		Total Italy		28,721,116
		Japan — 19.7%
	196,000	77 Bank, Ltd. (The)		694,052
	94,000	Aeon Co., Ltd.		1,359,883
	4,000	Ain Pharmaciez, Inc.		205,347
	60,000	Ajinomoto Co., Inc.		1,355,665
	22,000	Alpen Co., Ltd.		363,290
	9,800	Amano Corp.		154,941
	59,400	Asahi Group Holdings, Ltd.		1,853,426
	215,600	Astellas Pharma, Inc.		2,870,638
	214,500	Calbee, Inc.		8,530,762
	275,000	Calsonic Kansei Corp.		2,047,911
	25,900	Capcom Co., Ltd.‡		632,550
	413,000	Central Glass Co., Ltd.		2,245,144
	47,500	Century Tokyo Leasing Corp.‡		1,764,425
	222,294	Chiba Bank, Ltd. (The)		1,109,542

See accompanying Notes to the Financial Statements. 69

Mercer Non-US Core Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		Japan — continued
	67,000	Chubu Electric Power Co., Inc.		936,790
	20,600	Coca-Cola Central Co., Ltd.		342,371
	18,000	Coca-Cola West Co., Ltd.		446,176
	74,500	COMSYS Holdings Corp.‡		1,152,017
	233,800	Dai-ichi Life Insurance Co., Ltd. (The)		2,834,223
	134,100	Daicel Corp.		1,835,009
	182,400	Daihatsu Motor Co., Ltd.‡		2,573,837
	105,000	Daiichi Sanyko Co., Ltd.		2,337,849
	22,000	Daikyonishikawa Corp.		316,117
	54	Daiwa Office Investment Corp. REIT		336,314
	294,246	Daiwa Securities Group, Inc.		1,812,416
	18,300	Descente, Ltd.		269,953
	721,000	DIC Corp.		1,725,602
	33,700	Duskin Co., Ltd.‡		606,267
	40,100	EDION Corp.		304,688
	12,800	Eizo Corp.		322,520
	20,900	Enplas Corp.		775,417
	146,400	Fuji Heavy Industries, Ltd.		5,177,632
	8,900	Fuji Media Holdings, Inc.		97,873
	102,100	Fuji Oil Holdings, Inc.		1,843,150
	31,100	FUJIFILM Holdings Corp.		1,231,604
	352,000	Fujikura, Ltd.		1,659,860
	114,100	Fujitec Co., Ltd.		1,163,384
	414,000	Fujitsu, Ltd.		1,534,520
	708,000	Furukawa Electric Co., Ltd.		1,530,709
	34,200	Geo Holdings Corp.‡		569,315
	54,797	Glory, Ltd.		1,864,839
	218,294	Hachijuni Bank, Ltd. (The)		941,969
	36,700	Hirose Electric Co., Ltd.		4,052,200
	59,600	Hitachi High-Technologies Corp.		1,680,964
	18,300	Hitachi Maxell, Ltd.		278,908
	21,600	Hitachi Transport System, Ltd.		361,682
	435,000	Hitachi, Ltd.		2,038,089
	16,900	House Foods Group, Inc.		316,363
	36,700	IBJ Leasing Co., Ltd.‡		652,401
	246,200	Inpex Corp.		1,869,582
	177,100	Isuzu Motors, Ltd.		1,830,955
	106,300	Ito En, Ltd.‡		3,362,218
	210,000	Itochu Corp.		2,589,617
	41,000	Itoham Foods, Inc.* ****		272,494
	131,500	Japan Airlines Co., Ltd.		4,822,661
	943	Japan Rental Housing Investments, Inc. REIT		697,213
	391,900	Japan Tobacco, Inc.		16,353,138
	89,700	JFE Holdings, Inc.‡		1,209,887
	313,714	Joyo Bank, Ltd. (The)		1,077,393
	146,000	Kaneka Corp.		1,252,227
	663,000	Kanematsu Corp.		967,410
	53,500	Kansai Electric Power Co., Inc. (The)*		474,429
	221,408	Kao Corp.		11,825,368

70 See accompanying Notes to the Financial Statements.

Mercer Non-US Core Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		Japan — continued
	697,600	KDDI Corp.		18,657,285
	108,300	Keihin Corp.		1,619,754
	21,000	Kikkoman Corp.‡		691,312
	125,000	Kirin Holdings Co., Ltd.		1,754,971
	44,000	Kobayashi Pharmaceutical Co., Ltd.‡		3,867,788
	800,000	Kobe Steel, Ltd.‡		704,658
	104,400	Komori Corp.		1,216,816
	452,400	Konica Minolta, Inc.		3,847,986
	9,986	Kose Corp.		972,879
	672,000	Kubota Corp.		9,186,601
	13,300	Kura Corp.		643,730
	342,000	KYB Corp.‡		1,013,266
	64,000	Kyowa Hakko Kirin Co., Ltd.		1,022,679
	71,000	Kyudenko Corp.‡		1,692,326
	6,200	Lawson, Inc.		519,632
	744,700	Marubeni Corp.‡		3,776,672
	22,200	Maruha Nichiro Corp.‡		414,590
	38,400	Matsumotokiyoshi Holdings Co., Ltd.		2,012,332
	132	MCUBS MidCity Investment Corp. REIT		396,957
	343,300	Mitsubishi Chemical Holdings Corp.		1,794,464
	126,200	Mitsubishi Co.‡		2,140,106
	370,000	Mitsubishi Gas Chemical Co., Inc.		1,994,929
	361,100	Mitsui & Co., Ltd.‡		4,160,545
	471,000	Mitsui Mining & Smelting Co., Ltd.		754,304
	1,773,900	Mizuho Financial Group, Inc.‡		2,653,077
	4,700	Mochida Pharmaceutical Co., Ltd.		349,589
	85,800	MS&AD Insurance Group Holdings		2,393,957
	96,000	Nankai Electric Railway Co., Ltd.		521,874
	539,000	NEC Corp.‡		1,357,151
	10,800	NEC Networks & System Integration Corp.		168,157
	30,000	Nichias Corp.		179,634
	77,300	Nichicon Corp.		539,198
	75,000	Nichirei Corp.		611,237
	59,800	Nidec Corp.‡		4,097,334
	159,300	Nihon Kohden Corp.		3,965,669
	49,700	Nihon Unisys, Ltd.‡		659,306
	397,000	Nippon Chemi-Con Corp.		558,085
	169,000	Nippon Electric Glass Co., Ltd.‡		866,088
	20,000	Nippon Flour Mills Co., Ltd.		164,598
	39,300	Nippon Paper Industries Co., Ltd.‡		700,368
	10,600	Nippon Shokubai Co., Ltd.		540,398
	248,000	Nippon Soda Co., Ltd.		1,251,088
	286,700	Nippon Telegraph & Telephone Corp.		12,366,401
	54,705	Nippon Telegraph & Telephone Corp., ADR		2,365,444
	17,100	Nippon Television Network Corp.		282,528
	68,000	Nishimatsu Construction Co., Ltd.		292,219
	25,900	Nishimatsuya Chain Co., Ltd.		259,933
	54,500	Nisshin Seifun Group, Inc.		867,481
	170,000	Nisshinbo Holdings, Inc.		1,807,465

See accompanying Notes to the Financial Statements. 71

Mercer Non-US Core Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		Japan — continued
	218,300	Nomura Research Institute, Ltd.		7,361,155
	326,741	North Pacific Bank, Ltd.		828,517
	29,200	NTT Data Corp.		1,467,859
	341,200	NTT DoCoMo, Inc.‡		7,748,681
	226,700	Obayashi Corp.		2,238,863
	69,100	Obic Co., Ltd.‡		3,658,036
	11,100	Okinawa Electric Power Co. (The), Inc.		299,239
	652,000	Orix Corp.		9,313,457
	68,200	Otsuka Holdings Co., Ltd.		2,480,552
	26,100	Paltac Corp.		462,808
	370,000	Prima Meat Packers, Ltd.		938,209
	431,500	Resona Holdings, Inc.		1,541,798
	368,300	Ricoh Co., Ltd.‡		3,755,254
	89,000	Ryobi, Ltd.		351,581
	53,700	Ryohin Keikaku Co., Ltd.		11,371,146
	24,500	Saizeriya Co., Ltd.		505,063
	27,434	Sankyo Co., Ltd.‡		1,022,719
	218,000	Sankyu, Inc.		996,948
	359,300	Santen Pharmaceutical Co., Ltd.		5,412,117
	37,500	Sanwa Holdings Corp.		279,261
	25,300	Sawai Pharmaceutical Co., Ltd.‡		1,586,948
	52,600	Secom Co., Ltd.		3,915,224
	116,500	Seiko Epson Corp.		1,884,399
	264,300	Senshu Ikeda Holdings, Inc.		952,369
	153,400	Seven & I Holdings Co., Ltd.		6,540,262
	212,000	Shindengen Electric Manufacturing Co., Ltd.		718,644
	105,300	Shinko Electric Industries Co., Ltd.‡		593,042
	56,400	Ship Healthcare Holdings, Inc.		1,422,608
	62,000	Showa Corp.		541,697
	75,500	Softbank Group Corp.		3,604,546
	896,700	Sojitz Corp.		1,842,944
	77,800	Sony Financial Holdings, Inc.‡		995,386
	10,500	Sugi Holdings Co., Ltd.		554,918
	280,800	Sumitomo Corp.‡		2,794,384
	77,100	Sumitomo Dainippon Pharma Co., Ltd.‡		889,022
	91,600	Sumitomo Electric Industries, Ltd.		1,115,712
	84,800	Sumitomo Metal Mining Co., Ltd.		843,134
	217,741	Sumitomo Mitsui Financial Group, Inc.		6,610,012
	6,100	Sumitomo Real Estate Sales Co., Ltd.		117,609
	128,300	Sumitomo Rubber Industries, Ltd.		1,985,086
	163,700	Suntory Beverage & Food, Ltd.		7,384,305
	135,100	Suzuki Motor Corp.		3,619,254
	129,500	T&D Holdings, Inc.		1,209,220
	164,100	Terumo Corp.		5,891,218
	185,000	Toho Gas Co., Ltd.		1,315,139
	22,200	Tokai Rika Co., Ltd.		418,342
	154,700	Tokio Marine Holdings, Inc.		5,230,304
	255,100	Tokyo Electric Power Co., Inc.*		1,404,928
	74,200	Tokyu Construction Co., Ltd.		607,358

72 See accompanying Notes to the Financial Statements.

Mercer Non-US Core Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		Japan — continued
	63	Top REIT, Inc.		249,153
	27,100	Toridoll.corp‡		547,811
	18,000	Towa Pharmaceutical Co., Ltd.‡		739,090
	103,000	Toyo Suisan Kaisha, Ltd.		3,702,300
	82,800	Toyoda Gosei Co., Ltd.		1,600,085
	75,300	TS Tech Co., Ltd.‡		1,764,671
	39,200	Tsumura & Co.‡		942,376
	8,700	Tsuruha Holdings, Inc.		856,880
	15,600	TV Asahi Corp.		280,230
	25,400	United Super Markets Holdings, Inc.		241,808
	142,700	UNY Group Holdings Co., Ltd.		1,006,816
	22,300	Ushio, Inc.		296,817
	145,070	USS Co., Ltd.		2,320,707
	108,500	Valor Holdings Co., Ltd.		2,740,616
	9,200	West Japan Railway Co.		568,805
	43,300	Yamaha Corp.		1,305,992
	47,500	Yamaha Motor Co., Ltd.		791,138
	365,462	Yamato Holdings Co., Ltd.‡		7,306,314
	19,000	Yamato Kogyo Co., Ltd.		412,981
	73,000	Yokohama Rubber Co., Ltd. (The)‡		1,202,215
		Total Japan		381,888,139
		Luxembourg — 0.3%
	15,394	RTL Group*		1,305,844
	80,783	SAF-Holland SA		998,351
	235,952	Tenaris SA‡		2,944,227
		Total Luxembourg		5,248,422
		Malaysia — 0.1%
	748,700	Tenaga Nasional Bhd		2,675,094
		Malta — 0.1%
	193,384	Unibet Group Plc, SDR‡		2,198,223
		Mauritius — 0.0%
	2,915,900	Golden Agri-Resources, Ltd.		887,806
		Mexico — 0.2%
	609,680	Cemex SAB de CV, Sponsored ADR*		4,438,470
		Netherlands — 3.3%
	271,833	Aegon NV		1,497,416
	26,350	Akzo Nobel NV		1,798,627
	34,051	ASM International NV		1,527,474
	10,694	Core Laboratories NV		1,202,112
	273,799	Fiat Chrysler Automobiles NV‡		2,215,255
	7,969	Flow Traders		370,372
	29,541	Heineken Holding NV		2,308,640
	143,851	Heineken NV		13,056,664

See accompanying Notes to the Financial Statements. 73

Mercer Non-US Core Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		Netherlands — continued
	448,668	ING Groep NV, ADR		5,434,905
	87,392	Koninklijke Ahold NV		1,968,847
	23,915	Koninklijke DSM NV		1,317,242
	91,750	Koninklijke Philips NV		2,617,503
	84,600	NN Group NV		2,772,154
	132,050	NXP Semiconductors NV*		10,705,293
	167,226	RELX NV		2,924,181
	55,122	TKH Group NV, ADR		2,363,702
	162,994	Unilever NV		7,315,366
	40,320	Unilever NV (New York Exchange), ADR		1,801,498
		Total Netherlands		63,197,251
		New Zealand — 0.5%
	713,721	Air New Zealand, Ltd.		1,417,234
	183,821	Contact Energy, Ltd.		638,134
	80,187	Fisher & Paykel Healthcare Corp., Ltd.		545,603
	171,748	Fletcher Building, Ltd.		940,840
	302,383	Meridian Energy, Ltd.		550,055
	248,991	Sky City Entertainment Group, Ltd.		866,101
	672,749	Sky Network Television, Ltd.		2,326,106
	436,160	Spark New Zealand, Ltd.		1,105,314
	231,002	Trade Me Group, Ltd.		707,296
		Total New Zealand		9,096,683
		Norway — 1.2%
	81,052	Det Norske Oljeselskap ASA*		607,553
	732,788	DnB NOR ASA		8,668,981
	11,962	Leroy Seafood Group ASA		565,470
	31,729	Marine Harvest ASA*		489,097
	157,623	Orkla ASA		1,428,302
	131,449	Salmar ASA		3,226,132
	110,014	SpareBank 1 SMN		701,616
	70,600	Statoil ASA		1,112,187
	426,276	Storebrand ASA*		1,666,194
	197,141	Telenor ASA		3,191,438
	42,500	Yara International ASA		1,600,060
		Total Norway		23,257,030
		Philippines — 0.0%
	2,449,800	Nickel Asia Corp.		279,855
	6,261,800	Vista Land & Lifescapes, Inc.		633,728
		Total Philippines		913,583
		Poland — 0.1%
	423,743	PGE Polska Grupa Energetyczna SA		1,591,641
		Portugal — 0.8%
	782,528	Banco Espirito Santo SA* ¤ ****		—

74 See accompanying Notes to the Financial Statements.

Mercer Non-US Core Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		Portugal — continued
	831,367	Jeronimo Martins SGPS SA		13,623,392
	825,137	Sonae SGPS SA		995,762
		Total Portugal		14,619,154
		Russia — 0.1%
	246,335	Gazprom PAO, Sponsored ADR		1,062,443
	60,584	MMC Norilsk Nickel PJSC, (London Exchange), ADR		782,139
	32,432	Tatneft PAO (London Exchange), Sponsored ADR		1,032,635
		Total Russia		2,877,217
		Singapore — 0.3%
	817,900	Ascendas Hospitality Trust REIT		455,536
	335,800	ComfortDelGro Corp., Ltd.		728,157
	146,200	DBS Group Holdings, Ltd.		1,669,802
	775,700	Wilmar International, Ltd.		1,935,506
	1,209,600	Yangzijiang Shipbuilding Holdings, Ltd.		880,297
		Total Singapore		5,669,298
		South Africa — 0.1%
	113,251	MTN Group, Ltd.‡		1,041,035
		South Korea — 0.3%
	35,889	Kia Motors Corp.		1,515,774
	3,220	Samsung Electronics Co., Ltd.		3,694,159
	6,440	SK Telecom Co., Ltd.		1,174,134
		Total South Korea		6,384,067
		Spain — 2.3%
	63,420	ACS Actividades de Construccion y Servicios SA		1,892,759
	30,407	Aena SA*		3,931,078
	274,966	Amadeus IT Holding SA Class A		11,809,696
	309,821	Banco Santander SA		1,367,742
	46,200	Distribuidora Internacional de Alimentacion SA		240,387
	23,000	Ebro Foods SA‡		502,832
	317,118	Ence Energia y Celulosa SA		1,071,468
	75,058	Gamesa Corp. Tecnologica SA		1,485,270
	261,233	Gas Natural SDG SA		5,289,919
	32,842	Grifols SA, ADR		508,066
	1,122,843	Iberdrola SA		7,499,362
	77,900	Industria de Diseno Textil SA		2,624,514
	732,130	International Consolidated Airlines Group SA (London Exchange)		5,824,427
	20,191	Let’s GOWEX SA* ¤ ‡ ****		—
	714,400	Mapfre SA		1,545,966
		Total Spain		45,593,486
		Sweden — 2.6%
	96,376	Boliden AB		1,544,308
	486	Fastighets AB Balder Class B*		12,350

See accompanying Notes to the Financial Statements. 75

Mercer Non-US Core Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		Sweden — continued
	48,469	Hennes & Mauritz AB Class B		1,618,483
	43,097	Hufvudstaden AB Class A		684,198
	69,764	Industrivarden AB Class C		1,191,032
	61,428	Investor AB Class B		2,177,755
	385,460	Lundin Petroleum AB*		6,537,895
	704,805	Nordea Bank AB		6,781,402
	156,483	Ratos AB Class B		1,004,717
	136,884	Sandvik AB		1,418,365
	368,300	SAS AB* ‡		1,049,469
	477,880	Skandinaviska Enskilda Banken AB Class A‡		4,571,477
	115,000	SKF AB Class B‡		2,079,638
	138,465	Svenska Cellulosa AB Class B		4,333,276
	364,760	Svenska Handelsbanken AB Class A‡		4,647,971
	9,037	Swedish Match AB		307,227
	850,525	Telefonaktiebolaget LM Ericsson Class B		8,529,695
	561,589	TeliaSonera AB		2,921,313
		Total Sweden		51,410,571
		Switzerland — 8.0%
	124,264	ABB, Ltd.*		2,431,689
	23,719	Actelion, Ltd.*		3,559,150
	48,722	Adecco SA		3,187,421
	10,100	Aryzta AG*		420,073
	12,028	Ascom Holding AG		226,706
	10,699	Autoneum Holding AG*		2,759,519
	5,932	Bucher Industries AG		1,447,615
	2,437	Burckhardt Compression Holding AG‡		839,138
	29,585	Cembra Money Bank AG*		2,076,032
	41	Chocoladefabriken Lindt & Spruengli AG*		255,166
	47,861	Clariant AG*		869,609
	82,184	Coca-Cola HBC AG*		1,748,221
	197,300	Credit Suisse Group AG*		2,804,003
	9,160	Gategroup Holding AG*		411,299
	4,467	Geberit AG		1,675,970
	1,748	Georg Fischer AG		1,418,259
	4,325	Givaudan SA		8,517,674
	18,795	Implenia AG		1,183,458
	154,064	Julius Baer Group, Ltd.*		6,644,226
	41,114	LafargeHolcim, Ltd.*		1,941,822
	2,252	Mobimo Holding AG*		550,978
	22,956	Nestle SA, Sponsored ADR		1,712,747
	560,602	Nestle SA		42,060,517
	2,779	Partners Group Holding AG		1,121,583
	10,585	Rieter Holding AG*		2,294,623
	99,790	Roche Holding AG		24,664,849
	9,943	Schindler Holding AG		1,840,854
	2,752	SGS SA		5,839,361
	17,200	Swiss Life Holding AG*		4,592,534
	41,523	Swiss Re AG		3,854,639

76 See accompanying Notes to the Financial Statements.

Mercer Non-US Core Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		Switzerland — continued
	3,480	Swisscom AG		1,898,710
	6,582	Syngenta AG		2,749,230
	1,732	Tecan Group AG		264,236
	11,043	Temenos Group AG*		606,549
	3,990	U-Blox AG*		769,960
	509,468	UBS Group AG		8,240,651
	1,816	Valora Holding AG		455,114
	13,634	Vontobel Holding AG		592,968
	31,458	Zurich Insurance Group AG*		7,335,218
		Total Switzerland		155,862,371
		Taiwan — 0.5%
	608,000	Fubon Financial Holding Co., Ltd.		774,546
	346,594	Taiwan Semiconductor Manufacturing Co., Ltd., Sponsored ADR		9,080,763
		Total Taiwan		9,855,309
		Thailand — 0.1%
	23,666,400	Sansiri PCL		1,029,266
		Turkey — 0.1%
	208,146	TAV Havalimanlari Holding AS		1,242,652
		United Kingdom — 18.5%
	252,378	3i Group Plc		1,655,559
	40,246	Abcam Plc		341,289
	159,117	Aberdeen Asset Management Plc		634,411
	293,080	Admiral Group Plc		8,353,266
	37,071	ARM Holdings Plc, Sponsored ADR		1,619,632
	636,179	Ashtead Group Plc		7,900,244
	163,227	Associated British Foods Plc		7,856,960
	116,552	AstraZeneca Plc, Sponsored ADR		3,282,104
	45,800	AstraZeneca Plc		2,568,951
	1,451,770	Auto Trader Group Plc		8,137,853
	798,375	BAE Systems Plc		5,840,797
	189,900	Barclays Plc, Sponsored ADR		1,636,938
	712,929	Barclays Plc		1,537,039
	211,562	Barratt Developments Plc		1,704,357
	256,120	BBA Aviation Plc		737,715
	345,322	Beazley Plc		1,785,800
	30,388	Bellway Plc		1,145,639
	43,526	Berendsen Plc		752,596
	66,739	Berkeley Group Holdings Plc		3,086,833
	759,300	BP Plc		3,821,333
	54,492	British American Tobacco Plc, Sponsored ADR		6,370,660
	173,357	British American Tobacco Plc		10,190,890
	133,650	Britvic Plc		1,364,836
	30,028	BT Group Plc, Sponsored ADR		963,298
	232,350	BT Group Plc		1,471,079
	288,800	Bunzl Plc		8,397,316

See accompanying Notes to the Financial Statements. 77

Mercer Non-US Core Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		United Kingdom — continued
	374,146	Cairn Energy Plc*		1,075,520
	349,974	Carillion Plc‡		1,479,375
	158,260	Carnival Plc		8,534,565
	13,865	Carnival Plc, ADR		752,731
	570,622	Centrica Plc		1,867,493
	1,165,738	Cobham Plc		3,637,543
	707,163	Compass Group Plc		12,481,458
	150,255	Crest Nicholson Holdings Plc		1,215,863
	64,807	Diageo Plc, Sponsored ADR		6,990,731
	38,950	Dialog Semiconductor Plc*		1,543,505
	19,722	Domino’s Pizza Group Plc		285,732
	126,585	easyJet Plc		2,763,678
	970,386	Evraz Plc*		1,255,262
	176,882	Experian Plc		3,165,194
	701,600	Firstgroup Plc*		975,132
	339,334	GKN Plc		1,408,549
	64,609	GlaxoSmithKline Plc, Sponsored ADR		2,619,895
	498,491	Glencore Plc		1,127,025
	95,292	Greene King Plc		1,193,634
	47,696	Greggs Plc		745,176
	317,740	Halma Plc		4,162,708
	733,357	Home Retail Group Plc		1,747,621
	6,079	HSBC Holdings Plc, Sponsored ADR		189,178
	582,334	HSBC Holdings Plc		3,631,694
	225,854	IG Group Holdings Plc		2,596,960
	372,984	IMI Plc		5,106,256
	110,506	Imperial Brands Plc		6,135,613
	520,208	Inmarsat Plc		7,361,057
	39,952	InterContinental Hotels Group Plc		1,648,615
	110,430	Intermediate Capital Group Plc		981,690
	60,794	Intertek Group Plc		2,767,300
	618,751	ITV Plc		2,145,066
	1,838,845	J Sainsbury Plc‡		7,302,531
	133,342	Jardine Lloyd Thompson Group Plc		1,618,505
	192,826	John Wood Group Plc		1,704,465
	4,197,051	Lloyds Banking Group Plc		4,103,253
	1,222,520	Man Group Plc		2,679,620
	335,675	Marks & Spencer Group Plc		1,959,776
	179,869	Meggitt Plc		1,051,166
	270,400	Mitchells & Butlers Plc		1,080,047
	65,917	National Grid Plc, Sponsored ADR		4,707,792
	321,050	National Grid Plc		4,555,387
	1,294,785	Old Mutual Plc		3,593,580
	211,900	Paragon Group of Cos. Plc (The)		982,828
	80,637	Pearson Plc, Sponsored ADR		1,011,188
	7,440	Pearson Plc		93,568
	37,883	Persimmon Plc		1,135,267
	34,529	Petrofac, Ltd.		457,079
	302,173	Premier Farnell Plc		489,688

78 See accompanying Notes to the Financial Statements.

Mercer Non-US Core Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		United Kingdom — continued
	86	Prudential Plc, ADR		3,199
	1,132,996	QinetiQ Group Plc		3,712,878
	22,909	Randgold Resources, Ltd.		2,097,457
	6,157	Randgold Resources, Ltd., ADR		559,117
	387,701	Reckitt Benckiser Group Plc		37,502,429
	187,599	Redrow Plc		1,084,746
	262,256	Regus Plc		1,193,771
	53,519	Restaurant Group Plc (The)		301,999
	13,824	Rightmove Plc		836,693
	171,895	Royal Dutch Shell Plc Class B		4,200,099
	904	Royal Dutch Shell Plc (Turquoise) Class A, Sponsored ADR		43,799
	17,380	Shire Plc, ADR		2,987,622
	200,780	Shire Plc		11,424,925
	103,361	Spectris Plc		2,739,460
	61,663	Spirax-Sarco Engineering Plc		3,226,067
	709,204	St James’s Place Plc		9,362,628
	232,817	Stagecoach Group Plc		843,931
	174,961	Standard Chartered Plc		1,188,328
	160,456	SVG Capital Plc*		1,156,576
	786,928	Tesco Plc*		2,169,357
	122,201	Unilever Plc, Sponsored ADR		5,521,041
	41,872	Unilever Plc		1,897,257
	132,964	Vodafone Group Plc, Sponsored ADR		4,261,496
	2,241,996	Vodafone Group Plc		7,127,995
	34,941	Whitbread Plc		1,988,740
	869,900	WM Morrison Supermarkets Plc‡		2,484,360
	211,370	Wolseley Plc		11,966,764
	3,044,750	Worldpay Group Plc*		12,038,978
		Total United Kingdom		359,196,666
		United States — 2.4%
	181,098	Analog Devices, Inc.		10,719,191
	250,038	Cadence Design Systems, Inc.*		5,895,896
	207,839	Colgate-Palmolive Co.		14,683,825
	35,119	Nordson Corp.		2,670,449
	179,554	NVIDIA Corp.		6,397,509
	14,543	Synopsys, Inc.*		704,463
	81,631	Texas Instruments, Inc.		4,687,252
		Total United States		45,758,585
		TOTAL COMMON STOCKS (COST $1,761,201,603)		1,784,004,359
		INVESTMENT COMPANY — 0.9%
		United States — 0.9%
	308,800	iShares MSCI EAFE Index Fund		17,641,744
		TOTAL INVESTMENT COMPANY (COST $16,997,481)		17,641,744

See accompanying Notes to the Financial Statements. 79

Mercer Non-US Core Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares			Description	Value ($)
			PREFERRED STOCKS — 0.7%
			Brazil — 0.1%
	727,600		Itausa - Investimentos Itau SA, 5.73%		1,677,340
			Germany — 0.6%
	95,587		Henkel AG & Co. KGaA, 1.34%		10,554,950
	28,877		Porsche Automobil Holding SE, 4.79%		1,490,349
			Total Germany		12,045,299
			Spain — 0.0%
	29,792		Grifols SA, 2.39% Series B		461,543
			TOTAL PREFERRED STOCKS (COST $12,122,273)		14,184,182
Par Value ($)			Description	Value ($)
			SHORT-TERM INVESTMENTS — 11.0%
			Bank Deposit — 6.3%
	121,519,968		State Street Bank & Trust Euro Time Deposit, 0.01%, due 04/01/16		121,519,968
			Securities Lending Collateral — 4.7%
	91,339,396		State Street Institutional U.S. Government Money Market Fund, Premier Class***		91,339,396
			TOTAL SHORT-TERM INVESTMENTS (COST $212,859,364)		212,859,364
			TOTAL INVESTMENTS — 104.5% (Cost $2,003,180,721)		2,028,689,649
			Other Assets and Liabilities (net) — (4.5)%		(87,055,379	)
			NET ASSETS — 100.0%	$	1,941,634,270
			Notes to Schedule of Investments:
			ADR — American Depository Receipt
			REIT — Real Estate Investment Trust
			SDR — Swedish Depository Receipt
		*	Non-income producing security
		¤	Illiquid security. The total market value of the securities at year end is $0 which represents 0.0% of net assets. The aggregate tax cost of these securities held at March 31, 2016 was $1,457,972.
		‡	All or a portion of this security is out on loan.
		***	Represents an investment of securities lending cash collateral.
		****	Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the securities at year end is $349,438 which represents 0.0% of net assets. The aggregate tax cost of these securities held at March 31, 2016 was $1,792,811.

80 See accompanying Notes to the Financial Statements.

Mercer Non-US Core Equity Fund

Schedule of Investments (Continued)

March 31, 2016

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Unrealized Appreciation (Depreciation)
	Buys
	1,115	MSCI EAFE E-mini Index	June 2016	$	90,621,625	$	(198,945	)

See accompanying Notes to the Financial Statements. 81

Mercer Non-US Core Equity Fund

Schedule of Investments (Continued)

March 31, 2016

Industry Sector Summary (Unaudited)	% of Net Assets
Food		8.3
Telecommunications		6.0
Banks		5.9
Insurance		5.8
Pharmaceuticals		5.2
Retail		4.1
Beverages		3.5
Chemicals		3.5
Diversified Financial Services		3.2
Commercial Services		3.0
Semiconductors		3.0
Household Products & Wares		2.4
Oil & Gas		2.4
Electric		2.3
Auto Parts & Equipment		2.2
Agriculture		1.9
Cosmetics & Personal Care		1.8
Auto Manufacturers		1.7
Distribution & Wholesale		1.7
Real Estate		1.6
Electrical Components & Equipment		1.4
Machinery — Diversified		1.4
Software		1.4
Transportation		1.4
Airlines		1.2
Internet		1.2
Engineering & Construction		1.1
Miscellaneous — Manufacturing		1.1
Building Materials		1.0
Electronics		1.0
Computers		0.9
Gas		0.9
Holding Companies — Diversified		0.9
Unaffiliated Fund		0.9
Aerospace & Defense		0.8
Food Service		0.6
Health Care — Products		0.6
Home Builders		0.6
Media		0.6
Health Care — Services		0.5
Iron & Steel		0.5
Leisure Time		0.5
Lodging		0.5
Forest Products & Paper		0.4
Mining		0.4
Metal Fabricate & Hardware		0.3
Office & Business Equipment		0.3
Apparel		0.2
Energy — Alternate Sources		0.2
Entertainment		0.2
Hand & Machine Tools		0.2

82 See accompanying Notes to the Financial Statements.

Mercer Non-US Core Equity Fund

Schedule of Investments (Continued)

March 31, 2016

Industry Sector Summary (Unaudited)	% of Net Assets
Oil & Gas Services		0.2
Advertising		0.1
Investment Companies		0.1
Packaging & Containers		0.1
REITS		0.1
Shipbuilding		0.1
Textiles		0.1
Biotechnology		0.0
Home Furnishings		0.0
Machinery — Construction & Mining		0.0
Short-Term Investments and Other Assets and Liabilities (net)		6.5
		100.0	%

See accompanying Notes to the Financial Statements. 83

Mercer Core Fixed Income Fund

Schedule of Investments

(showing percentage of net assets)

March 31, 2016

Par Value ($)		Description	Value ($)
		DEBT OBLIGATIONS — 97.8%
		Asset Backed Securities — 10.8%
	750,000	A Voce CLO, Ltd., Series 2014-1A, Class A1A, 2.07%, due 07/15/26† 144A		739,453
	1,700,000	AIMCO CLO, Series 2014-AA, Class A, 2.16%, due 07/20/26† 144A		1,694,900
	1,000,000	AIMCO CLO, Series 2014-AA, Class B1, 2.62%, due 07/20/26† 144A		970,863
	1,500,000	AIMCO CLO, Series 2014-AA, Class B2, 4.58%, due 07/20/26 144A		1,511,371
	750,000	AIMCO CLO, Series 2015-AA, Class A1, 2.03%, due 01/15/28† 144A		747,582
	1,470,000	Ally Auto Receivables Trust, Series 2014-2, Class A4, 1.84%, due 01/15/20		1,482,868
	1,000,000	American Express Credit Account Master Trust, Series 2013-1, Class B, 1.14%, due 02/16/21†		999,002
	756,133	Ameriquest Mortgage Securities, Inc., Series 2003-9, Class AV1, 1.20%, due 09/25/33†		700,843
	194,264	Ameriquest Mortgage Securities, Inc., Series 2004-R2, Class A1A, 1.13%, due 04/25/34†		191,420
	1,000,000	Anchorage Capital CLO 3, Ltd., Series 2014-3A, Class A2A, 2.87%, due 04/28/26† 144A		993,766
	750,000	Anchorage Capital CLO 5, Ltd., Series 2014-5A, Class A, 2.22%, due 10/15/26† 144A		750,644
	388,110	Asset Backed Securities Corp. Home Equity, Series 2003-HE7, Class M1, 1.40%, due 12/15/33†		372,500
	1,700,000	Avis Budget Rental Car Funding AESOP LLC, Series 2015-1A, Class A, 2.50%, due 07/20/21 144A		1,693,550
	1,200,000	Avis Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class A, 2.63%, due 12/20/21 144A		1,194,142
	525,000	Babson CLO, Ltd., Series 2013-IA, Class A, 1.72%, due 04/20/25† 144A		519,002
	250,000	Battalion CLO VIII, Ltd., Series 2015-8A, Class A1, 2.15%, due 04/18/27† 144A		246,882
	55,408	Bear Stearns Asset Backed Securities Trust, Series 2004-SD3, Class A3, 1.00%, due 09/25/34†		54,621
	4,866,000	BMW Vehicle Lease Trust, Series 2014-1, Class A4, 0.99%, due 08/21/17		4,864,132
	1,102,141	BNSF Railway Co. 2007-1 Pass Through Trust, 6.00%, due 04/01/24		1,268,840
	613,288	Burlington Northern and Santa Fe Railway Co. 2006-1 Pass Through Trust, 5.72%, due 01/15/24		689,369
	691,025	Colony American Homes, Series 2014-1A, Class A, 1.59%, due 05/17/31† 144A		679,908
	3,052,762	CVS Pass-Through Trust, 7.51%, due 01/10/32 144A		3,681,262
	1,053,439	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.82%, due 02/10/24		1,212,772
	1,000,000	Ford Credit Auto Owner Trust, Series 2014-1, Class A, 2.26%, due 11/15/25 144A		1,013,923
	2,305,000	Ford Credit Auto Owner Trust, Series 2014-2, Class A, 2.31%, due 04/15/26 144A		2,327,990
	500,000	GE Dealer Floorplan Master Note Trust, Series 2015-1, Class A, 0.93%, due 01/20/20†		498,470
	500,000	GMF Floorplan Owner Revolving Trust, Series 2015-1, Class A2, 0.94%, due 05/15/20¤ † 144A		496,434
	1,600,000	Hertz Vehicle Financing LLC, Series 2015-1A, Class A, 2.73%, due 03/25/21 144A		1,603,384
	600,000	Hertz Vehicle Financing LLC, Series 2015-3A, Class A, 2.67%, due 09/25/21 144A		600,088
	700,000	Hertz Vehicle Financing LLC, Series 2016-1A, Class A, 2.32%, due 03/25/20 144A		700,572
	250,000	Highbridge Loan Management CLO, Ltd., Series 2015-6A, Class A, 2.07%, due 05/05/27† 144A		247,358
	321,354	Home Equity Asset Trust, Series 2003-8, Class M1, 1.51%, due 04/25/34†		292,897
	3,500,000	HSBC Home Equity Loan Trust, Series 2006-3, Class M1, 0.69%, due 03/20/36†		3,443,944
	250,000	ICG US CLO, Ltd., Series 2014-3A, Class A1B, 3.28%, due 01/25/27 144A		251,563
	3,437,683	Invitation Homes Trust, Series 2014-SFR1, Class A, 1.44%, due 06/17/31† 144A		3,363,102
	1,167,527	Invitation Homes Trust, Series 2015-SFR3, Class A, 1.74%, due 08/17/32† 144A		1,151,700
	500,000	KVK CLO, Ltd., Series 2014-2A, Class A, 2.17%, due 07/15/26† 144A		491,128
	1,750,000	Madison Park Funding XI CLO, Ltd., Series 2013-11A, Class A1A, 1.90%, due 10/23/25† 144A		1,735,272

84 See accompanying Notes to the Financial Statements.

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Par Value ($)		Description	Value ($)
		Asset Backed Securities — continued
	250,000	Magnetite XI CLO, Ltd., Series 2014-11A, Class A1, 2.07%, due 01/18/27† 144A		248,456
	1,570,000	MMAF Equipment Finance LLC, Series 2014-AA, Class A5, 2.33%, due 12/08/25 144A		1,566,948
	263,475	Morgan Stanley ABS Capital I, Series 2003-NC10, Class M1, 1.45%, due 10/25/33†		248,449
	318,147	Morgan Stanley ABS Capital I, Series 2003-NC6, Class M1, 1.63%, due 06/25/33†		307,074
	192,656	Morgan Stanley ABS Capital I, Series 2003-NC7, Class M1, 1.48%, due 06/25/33†		181,308
	311,151	New Century Home Equity Loan Trust, Series 2003-A, Class A, 1.16%, due 10/25/33† 144A		282,526
	2,211,000	NextGear Floorplan Master Owner Trust, Series 2015-2A, Class A, 2.38%, due 10/15/20 144A		2,195,051
	1,200,000	OneMain Financial Issuance Trust, Series 2015-2A, Class A, 2.57%, due 07/18/25 144A		1,185,219
	750,000	Palmer Square CLO, Ltd., Series 2015-2A, Class A1A, 2.12%, due 07/20/27† 144A		744,502
	1,000,000	Race Point VIII CLO, Ltd., Series 2013-8A, Class A, 1.87%, due 02/20/25† 144A		993,011
	750,000	Regatta IV Funding CLO, Ltd., Series 2014-1A, Class A2, 2.15%, due 07/25/26† 144A		745,469
	750,000	Regatta V Funding CLO, Ltd., Series 2014-1A, Class A1A, 2.18%, due 10/25/26† 144A		742,453
	712,884	Saxon Asset Securities Trust, Series 2005-1, Class M1, 1.13%, due 05/25/35†		680,384
	500,000	Seneca Park CLO, Ltd., Series 2014-1A, Class B2, 4.35%, due 07/17/26 144A		504,507
	500,000	Shackleton CLO, Ltd., Series 2014-6A, Class A1, 2.10%, due 07/17/26† 144A		494,690
	640,352	Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 2.20%, due 10/20/30 144A		638,230
	750,000	Silvermore CLO, Ltd., Series 2014-1A, Class A1, 2.07%, due 05/15/26† 144A		733,044
	1,557,486	SLM Student Loan Trust, Series 2012-B, Class A2, 3.48%, due 10/15/30 144A		1,587,340
	1,925,378	Small Business Administration Participation Certificates, Series 2010-20D, Class 1, 4.36%, due 04/01/30		2,108,980
	1,307,370	Small Business Administration Participation Certificates, Series 2010-20G, Class 1, 3.80%, due 07/01/30		1,417,900
	1,756,016	Small Business Administration Participation Certificates, Series 2010-20I, Class 1, 3.21%, due 09/01/30		1,855,494
	1,539,894	Small Business Administration Participation Certificates, Series 2011-20F, Class 1, 3.67%, due 06/01/31		1,669,690
	3,027,325	Small Business Administration Participation Certificates, Series 2013-20H, Class 1, 3.16%, due 08/01/33		3,182,621
	4,256,152	Small Business Administration Participation Certificates, Series 2014-20C, Class 1, 3.21%, due 03/01/34		4,505,111
	1,764,845	Small Business Administration Participation Certificates, Series 2014-20D, Class 1, 3.11%, due 04/01/34		1,850,036
	1,246,863	Small Business Administration Participation Certificates, Series 2014-20I, Class 1, 2.92%, due 09/01/34		1,288,523
	860,000	Springleaf Funding Trust, Series 2015-AA, Class A, 3.16%, due 11/15/24 144A		851,657
	1,214,762	STORE Master Funding LLC, Series 2014-1A, Class A2, 5.00%, due 04/20/44 144A		1,206,268
	2,000,000	Synchrony Credit Card Master Note Trust, Series 2015-3, Class A, 1.74%, due 09/15/21		2,004,663
	500,000	THL Credit Wind River CLO, Ltd., Series 2014-3A, Class A, 2.24%, due 01/22/27† 144A		495,322
	750,000	THL Credit Wind River CLO, Ltd., Series 2015-1A, Class A, 2.12%, due 07/20/27† 144A		737,511
	38,782	UAL Pass Through Trust, Series 2009-2A, 9.75%, due 07/15/18		40,777
	1,300,000	Washington Mill CLO, Ltd., Series 2014-1A, Class A1, 2.12%, due 04/20/26† 144A		1,276,958
	500,000	Washington Mill CLO, Ltd., Series 2014-1A, Class B2, 4.25%, due 04/20/26 144A		485,362
				84,533,051

See accompanying Notes to the Financial Statements. 85

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Par Value ($)		Description	Value ($)
		Corporate Debt — 39.9%
	50,000	21st Century Fox America, Inc., 4.50%, due 02/15/21		55,182
	1,600,000	21st Century Fox America, Inc., 6.15%, due 02/15/41		1,917,686
	475,000	21st Century Fox America, Inc., 6.20%, due 12/15/34		573,031
	275,000	21st Century Fox America, Inc., 6.40%, due 12/15/35		337,484
	20,000	21st Century Fox America, Inc., 6.75%, due 01/09/38		23,673
	812,000	AbbVie, Inc., 3.20%, due 11/06/22		840,926
	300,000	AbbVie, Inc., 3.60%, due 05/14/25		315,513
	500,000	AbbVie, Inc., 4.50%, due 05/14/35		521,151
	250,000	ACE INA Holdings, Inc., 3.35%, due 05/03/26		261,327
	30,000	ACE INA Holdings, Inc., 4.35%, due 11/03/45		32,778
	825,000	Actavis Funding SCS, 3.45%, due 03/15/22		857,599
	475,000	Actavis Funding SCS, 3.80%, due 03/15/25		495,267
	605,000	Actavis Funding SCS, 4.55%, due 03/15/35		625,289
	280,000	AerCap Ireland Capital, Ltd./AerCap Global Aviation Trust, 3.75%, due 05/15/19		279,300
	96,000	AES Corp. (The), Senior Note, 8.00%, due 06/01/20‡		109,440
	750,000	Aetna, Inc., 4.75%, due 03/15/44		799,685
	2,275,000	AgriBank FCB, 9.13%, due 07/15/19		2,759,941
	315,000	Agrium, Inc., 4.90%, due 06/01/43		300,874
	150,000	Agrium, Inc., 5.25%, due 01/15/45		148,669
	1,040,000	AIA Group, Ltd., 3.20%, due 03/11/25 144A		1,049,179
	1,415,521	Air Canada 2015-1 Class A Pass Through Trust, 3.60%, due 09/15/28 144A		1,353,592
	425,000	Altria Group, Inc., 2.85%, due 08/09/22		439,641
	150,000	Altria Group, Inc., 9.95%, due 11/10/38		264,584
	340,000	AMC Networks, Inc., 5.00%, due 04/01/24		342,125
	620,000	America Movil SAB de CV, 5.00%, due 03/30/20		687,263
	150,000	America Movil SAB de CV, Guaranteed Senior Note, 5.63%, due 11/15/17		159,894
	3,612,675	American Airlines 2013-2 Class A Pass Through Trust, 4.95%, due 07/15/24		3,869,789
	205,000	American Express Co., 5.20%† †††††		194,238
	1,247,000	American International Group, Inc., 4.80%, due 07/10/45		1,235,571
	680,000	Amgen, Inc., 5.65%, due 06/15/42		802,548
	295,000	Anadarko Petroleum Corp., 6.20%, due 03/15/40		284,670
	8,000,000	Anadarko Petroleum Corp., 7.85%, due 10/10/36‡‡		2,992,000
	1,050,000	Anheuser-Busch InBev Finance, Inc., 3.65%, due 02/01/26		1,105,533
	465,000	Anheuser-Busch InBev Finance, Inc., 4.70%, due 02/01/36		503,502
	1,493,000	Anheuser-Busch InBev Finance, Inc., 4.90%, due 02/01/46		1,672,594
	340,000	Anheuser-Busch InBev Worldwide, Inc., 5.38%, due 01/15/20		383,587
	425,000	Anthem, Inc., 4.35%, due 08/15/20		457,801
	5,000	Anthem, Inc., 5.10%, due 01/15/44		5,293
	730,000	Anthem, Inc., 5.88%, due 06/15/17		767,977
	696,000	Anthem, Inc., 7.00%, due 02/15/19		787,818
	70,000	Aramark Services, Inc., Co., 5.13%, due 01/15/24		73,938
	160,000	ArcelorMittal, 5.50%, due 02/25/17		162,800
	150,000	AT&T, Inc., 2.63%, due 12/01/22‡		148,769
	2,479,000	AT&T, Inc., 3.40%, due 05/15/25		2,489,533
	5,000,000	AT&T, Inc., 3.85%, due 11/27/22‡‡ 144A		3,965,760
	120,000	AT&T, Inc., 3.88%, due 08/15/21		127,849
	550,000	AT&T, Inc., 4.13%, due 02/17/26		581,995
	10,000	AT&T, Inc., 4.45%, due 05/15/21		10,937
	110,000	AT&T, Inc., 4.50%, due 05/15/35		108,815

86 See accompanying Notes to the Financial Statements.

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Par Value ($)		Description	Value ($)
		Corporate Debt — continued
	145,000	AT&T, Inc., 4.75%, due 05/15/46		142,000
	400,000	AT&T, Inc., 5.35%, due 09/01/40		422,043
	500,000	AT&T, Inc., 5.65%, due 02/15/47		553,958
	610,000	AT&T, Inc., Global Note, 5.50%, due 02/01/18		653,825
	1,675,000	AT&T, Inc., Global Note, 6.55%, due 02/15/39		1,978,820
	2,825,000	BAC Capital Trust XI, 6.63%, due 05/23/36		3,275,915
	2,160,000	BAE Systems Holdings, Inc., 6.38%, due 06/01/19 144A		2,430,810
	155,000	Ball Corp., 4.38%, due 12/15/20		161,588
	600,000	Bank of America Corp., 2.60%, due 01/15/19		610,554
	140,000	Bank of America Corp., 3.88%, due 03/22/17		143,274
	500,000	Bank of America Corp., 4.13%, due 01/22/24		530,527
	400,000	Bank of America Corp., 4.20%, due 08/26/24		408,033
	1,195,000	Bank of America Corp., 4.45%, due 03/03/26		1,233,538
	290,000	Bank of America Corp., 5.00%, due 05/13/21		322,234
	420,000	Bank of America Corp., 5.13%† †††††		397,425
	565,000	Bank of America Corp., 5.63%, due 07/01/20		635,503
	555,000	Bank of America Corp., 5.70%, due 01/24/22		638,080
	100,000	Bank of America Corp., 7.63%, due 06/01/19		116,461
	410,000	Bank of America Corp., Senior Note, 5.75%, due 12/01/17		435,848
	1,721,000	Bank of America NA, 1.75%, due 06/05/18		1,721,138
	375,000	Bank One Capital III, 8.75%, due 09/01/30		542,055
	1,450,000	Barclays Plc, 4.38%, due 09/11/24		1,366,484
	345,000	Becton Dickinson and Co., 3.73%, due 12/15/24		367,956
	1,480,000	Berkshire Hathaway Energy Co., 3.50%, due 02/01/25		1,565,183
	1,432,000	Berkshire Hathaway Energy Co., 6.13%, due 04/01/36		1,778,358
	280,000	BHP Billiton Finance USA, Ltd., 6.25%, due 10/19/75† ‡ 144A		282,800
	1,300,000	BHP Billiton Finance USA, Ltd., 6.75%, due 10/19/75† ‡ 144A		1,301,625
	764,000	Blackstone Holdings Finance Co. LLC, 4.75%, due 02/15/23 144A		836,967
	1,830,000	Blackstone Holdings Finance Co. LLC, Series 1, 6.63%, due 08/15/19 144A		2,090,857
	2,125,000	BNP Paribas SA, 4.25%, due 10/15/24‡		2,153,851
	475,000	BNP Paribas SA, 4.38%, due 09/28/25 144A		475,465
	415,000	Boston Properties, LP REIT, 3.13%, due 09/01/23		417,965
	1,025,000	Boston Properties, LP REIT, 4.13%, due 05/15/21		1,099,648
	1,485,000	Boston Properties, LP REIT, 5.63%, due 11/15/20		1,670,040
	280,000	Building Materials Corp. of America, 5.38%, due 11/15/24¤ 144A		285,600
	600,000	Burlington Northern Santa Fe LLC, 3.75%, due 04/01/24		648,243
	859,000	Canadian Pacific Railway Co., 6.13%, due 09/15/15#		925,057
	1,625,000	Capital One Financial Corp., 3.50%, due 06/15/23		1,647,106
	400,000	Capital One Financial Corp., 4.20%, due 10/29/25		405,791
	625,000	Capital One Financial Corp., 4.75%, due 07/15/21		685,691
	1,882,000	Carlyle Holdings II Finance LLC, 5.63%, due 03/30/43 144A		2,050,217
	915,000	Carnival Corp., 1.88%, due 12/15/17		918,222
	214,000	CCO Holdings LLC/CCO Holdings Capital Corp., 7.00%, due 01/15/19		218,318
	5,000	CCO Safari II LLC, 4.46%, due 07/23/22 144A		5,232
	2,161,000	CCO Safari II LLC, 4.91%, due 07/23/25 144A		2,282,794
	195,000	CCO Safari II LLC, 6.38%, due 10/23/35 144A		215,762
	235,000	CCO Safari II LLC, 6.48%, due 10/23/45 144A		262,213
	60,000	CCO Safari II LLC, 6.83%, due 10/23/55 144A		64,982
	3,247,000	CDP Financial, Inc., 3.15%, due 07/24/24 144A		3,401,612

See accompanying Notes to the Financial Statements. 87

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Par Value ($)		Description	Value ($)
		Corporate Debt — continued
	1,700,000	Cemex Finance LLC, 6.00%, due 04/01/24‡ 144A		1,610,580
	675,000	Cemex SAB de CV, 6.50%, due 12/10/19 144A		696,094
	1,125,000	Cemex SAB de CV, 7.25%, due 01/15/21 144A		1,172,812
	800,000	Cigna Corp., 5.38%, due 02/15/42		882,676
	1,100,000	Cigna Corp., 6.15%, due 11/15/36		1,293,819
	325,000	Cigna Corp., 7.88%, due 05/15/27		442,074
	814,000	Citigroup, Inc., 2.15%, due 07/30/18		818,919
	1,374,000	Citigroup, Inc., 2.70%, due 03/30/21		1,385,624
	425,000	Citigroup, Inc., 3.88%, due 03/26/25		421,913
	265,000	Citigroup, Inc., 4.00%, due 08/05/24		267,878
	260,000	Citigroup, Inc., 4.05%, due 07/30/22		270,960
	180,000	Citigroup, Inc., 4.40%, due 06/10/25		183,893
	970,000	Citigroup, Inc., 4.50%, due 01/14/22		1,063,278
	130,000	Citigroup, Inc., 5.90%† ††††† ‡		128,050
	230,000	Citigroup, Inc., 5.95%† †††††		221,878
	550,000	Citigroup, Inc., 5.95%† †††††		527,381
	120,000	Citigroup, Inc., 6.13%† ††††† ‡		120,446
	1,614,000	Cleveland Clinic Foundation (The), 4.86%, due 01/01/14#		1,697,294
	3,230,000	Comcast Corp., 4.25%, due 01/15/33		3,446,168
	746,000	Comcast Corp., 6.40%, due 05/15/38		995,571
	130,000	Comcast Corp., 6.50%, due 01/15/17		135,649
	20,000	Comcast Corp., 6.50%, due 11/15/35		26,923
	90,000	Comcast Corp., 6.95%, due 08/15/37		126,625
	300,000	ConocoPhillips Holding Co., 6.95%, due 04/15/29		338,198
	1,106,535	Continental Airlines 2007-1 Class A Pass Through Trust, 5.98%, due 10/19/23		1,224,105
	525,000	Corp. Nacional del Cobre de Chile, 4.50%, due 09/16/25‡ 144A		536,512
	210,000	Countrywide Financial Corp., Subordinated Note, 6.25%, due 05/15/16		211,198
	1,950,000	COX Communications, Inc., 3.25%, due 12/15/22 144A		1,883,289
	1,650,000	COX Communications, Inc., 3.85%, due 02/01/25 144A		1,594,578
	275,000	COX Communications, Inc., 9.38%, due 01/15/19 144A		323,045
	500,000	Credit Suisse Group Funding Guernsey, Ltd., 2.75%, due 03/26/20		493,882
	1,050,000	CRH America, Inc., 3.88%, due 05/18/25 144A		1,095,692
	550,000	CSX Corp., 7.38%, due 02/01/19		633,346
	1,160,000	CVS Health Corp., 2.75%, due 12/01/22		1,193,183
	95,000	CVS Health Corp., 4.88%, due 07/20/35		106,257
	120,000	CVS Health Corp., 5.13%, due 07/20/45		139,531
	578,000	DCP Midstream LLC, 5.35%, due 03/15/20 144A		498,663
	520,000	Devon Energy Corp., 7.95%, due 04/15/32		530,035
	665,000	Discover Financial Services, 3.75%, due 03/04/25		648,482
	400,000	Dominion Resources, Inc., 4.45%, due 03/15/21		432,970
	325,000	Dominion Resources, Inc., Subordinated Note, 4.10%, due 04/01/21		332,710
	1,325,000	Dominion Resources, Inc., Subordinated Note, 5.75%, due 10/01/54†		1,273,987
	400,000	Dow Chemical Co. (The), 4.38%, due 11/15/42		385,434
	775,000	Dow Chemical Co. (The), 7.38%, due 11/01/29		995,828
	810,000	Dow Chemical Co. (The), 8.55%, due 05/15/19		964,175
	575,000	Dow Chemical Co. (The), 9.40%, due 05/15/39		873,289
	2,589,000	Duke Energy Corp., 3.55%, due 09/15/21		2,716,286
	240,000	Eagle Spinco, Inc., 4.63%, due 02/15/21		233,124
	110,000	Ecolab, Inc., 4.35%, due 12/08/21		121,595

88 See accompanying Notes to the Financial Statements.

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Par Value ($)		Description	Value ($)
		Corporate Debt — continued
	190,000	El Paso Natural Gas Co. LLC, 8.38%, due 06/15/32		202,219
	1,038,000	Electricite de France SA, 3.63%, due 10/13/25 144A		1,060,176
	375,000	Enel Finance International SA, 6.00%, due 10/07/39 144A		441,615
	1,000,000	Enel Finance International SA, Guaranteed Note, 6.80%, due 09/15/37 144A		1,286,339
	322,000	Energy Transfer Partners, LP, 4.05%, due 03/15/25		283,903
	1,319,000	Ensco Plc, 4.70%, due 03/15/21		922,139
	460,000	Enterprise Products Operating LLC, 3.75%, due 02/15/25		460,020
	1,934,000	ERAC USA Finance LLC, 2.80%, due 11/01/18¤ 144A		1,964,925
	1,350,000	ERP Operating, LP, 3.00%, due 04/15/23		1,371,650
	2,045,000	Escrow GCB General Motors, 8.38%, due 07/15/49**** ¤ †††		—
	1,169,000	Exelon Corp., 5.10%, due 06/15/45 144A		1,273,485
	912,000	Exelon Generation Co. LLC, 4.25%, due 06/15/22		957,512
	405,000	Fidelity National Information Services, Inc., 2.85%, due 10/15/18		411,851
	540,000	Fidelity National Information Services, Inc., 3.63%, due 10/15/20		558,675
	1,303,000	Fifth Third Bancorp, 2.88%, due 07/27/20		1,324,421
	150,000	FirstEnergy Corp., 2.75%, due 03/15/18		151,497
	245,000	FirstEnergy Corp., Series C, 7.38%, due 11/15/31		298,303
	540,000	Ford Motor Co., 4.75%, due 01/15/43		543,817
	600,000	Ford Motor Credit Co. LLC, 5.75%, due 02/01/21		679,910
	1,875,000	Ford Motor Credit Co. LLC, 5.88%, due 08/02/21		2,151,508
	350,000	Ford Motor Credit Co. LLC, 8.00%, due 12/15/16		365,501
	580,000	Ford Motor Credit Co. LLC, 8.13%, due 01/15/20		689,348
	372,000	GE Capital International Funding Co., 2.34%, due 11/15/20 144A		381,341
	488,000	GE Capital International Funding Co., 4.42%, due 11/15/35 144A		531,223
	80,000	General Electric Capital Corp., 4.38%, due 09/16/20		89,283
	136,000	General Electric Capital Corp., 4.63%, due 01/07/21		153,878
	129,000	General Electric Capital Corp., 4.65%, due 10/17/21		147,277
	138,000	General Electric Capital Corp., 6.88%, due 01/10/39		200,226
	310,000	General Electric Co., 4.50%, due 03/11/44		346,897
	450,000	General Motors Co., 4.00%, due 04/01/25		439,656
	1,045,000	General Motors Financial Co., Inc., 3.50%, due 07/10/19		1,072,381
	2,594,000	General Motors Financial Co., Inc., 4.20%, due 03/01/21		2,682,196
	30,000	Glencore Finance Canada, Ltd., 5.80%, due 11/15/16‡ 144A		30,377
	944,000	Glencore Funding LLC, 2.13%, due 04/16/18 144A		881,889
	350,000	GLP Capital, LP/GLP Financing II, Inc., 4.88%, due 11/01/20		365,750
	265,000	Goldcorp, Inc., 3.63%, due 06/09/21		267,487
	85,000	Goldman Sachs Group (The), Inc., 3.75%, due 02/25/26		87,350
	150,000	Goldman Sachs Group (The), Inc., 4.00%, due 03/03/24		157,545
	290,000	Goldman Sachs Group (The), Inc., 5.15%, due 05/22/45		295,723
	140,000	Goldman Sachs Group (The), Inc., 5.25%, due 07/27/21		157,772
	565,000	Goldman Sachs Group (The), Inc., 5.38%† †††††		547,287
	680,000	Goldman Sachs Group (The), Inc., 5.95%, due 01/18/18		729,537
	660,000	Goldman Sachs Group (The), Inc., 6.25%, due 02/01/41		823,445
	2,137,000	Goldman Sachs Group (The), Inc., 7.50%, due 02/15/19		2,463,140
	165,000	HCA, Inc., 4.25%, due 10/15/19		170,259
	150,000	HCA, Inc., 5.25%, due 04/15/25		154,875
	460,000	HCA, Inc., 5.88%, due 03/15/22		499,100
	1,085,000	HCP, Inc., 4.00%, due 06/01/25		1,044,648
	859,000	HCP, Inc., 4.25%, due 11/15/23		863,727

See accompanying Notes to the Financial Statements. 89

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Par Value ($)		Description	Value ($)
		Corporate Debt — continued
	625,000	Health Net, Inc., 6.38%, due 06/01/17		656,250
	945,000	HP Enterprise Co., 2.45%, due 10/05/17 144A		951,519
	175,000	HP Enterprise Co., 2.85%, due 10/05/18 144A		178,046
	2,175,000	HP Enterprise Co., 3.60%, due 10/15/20 144A		2,263,973
	1,110,000	HP Enterprise Co., 4.40%, due 10/15/22 144A		1,161,311
	740,000	HSBC Finance Corp., 6.68%, due 01/15/21		849,672
	350,000	HSBC Holdings Plc, 5.10%, due 04/05/21		385,253
	1,050,000	HSBC Holdings Plc, 6.50%, due 05/02/36		1,229,062
	1,590,000	HSBC Holdings Plc, Subordinated Note, 6.50%, due 09/15/37		1,873,212
	1,260,000	Husky Energy, Inc., 7.25%, due 12/15/19		1,393,822
	420,000	Imperial Tobacco Finance Plc, 2.05%, due 02/11/18 144A		421,397
	525,000	Imperial Tobacco Finance Plc, 3.75%, due 07/21/22 144A		548,852
	2,075,000	Imperial Tobacco Finance Plc, 4.25%, due 07/21/25 144A		2,211,139
	1,253,000	Intercontinental Exchange, Inc., 2.75%, due 12/01/20		1,280,781
	500,000	Jefferies Group LLC, 5.13%, due 01/20/23		502,540
	220,000	John Deere Capital Corp., 2.25%, due 04/17/19		224,691
	300,000	JPMorgan Chase & Co., 3.25%, due 09/23/22		313,154
	1,430,000	JPMorgan Chase & Co., 3.38%, due 05/01/23		1,438,165
	525,000	JPMorgan Chase & Co., 3.88%, due 09/10/24		539,380
	90,000	JPMorgan Chase & Co., 4.35%, due 08/15/21		98,415
	860,000	JPMorgan Chase & Co., 4.40%, due 07/22/20		936,362
	200,000	JPMorgan Chase & Co., 4.50%, due 01/24/22		220,881
	555,000	JPMorgan Chase & Co., 5.30%† †††††		557,775
	1,250,000	JPMorgan Chase & Co., Subordinated Note, 6.13%, due 06/27/17		1,316,029
	822,000	Juniper Networks, Inc., 3.13%, due 02/26/19		836,549
	950,000	Kentucky Power Co., 6.00%, due 09/15/17 144A		1,002,197
	2,500,000	Kinder Morgan Energy Partners, LP, 4.15%, due 02/01/24		2,357,305
	1,600,000	Kinder Morgan Energy Partners, LP, 5.00%, due 08/15/42		1,338,627
	850,000	Kinder Morgan Energy Partners, LP, 5.40%, due 09/01/44		746,743
	550,000	Kinder Morgan Energy Partners, LP, (MTN), 6.95%, due 01/15/38		551,703
	1,850,000	Kinder Morgan, Inc., 4.30%, due 06/01/25‡		1,762,967
	1,240,000	KKR Group Finance Co. II LLC, 5.50%, due 02/01/43 144A		1,269,795
	1,268,000	KKR Group Finance Co. LLC, 6.38%, due 09/29/20 144A		1,494,565
	450,000	Koppers, Inc., 7.88%, due 12/01/19		450,563
	360,000	Kraft Foods Group, Inc., 3.50%, due 06/06/22		378,938
	349,000	Kraft Foods Group, Inc., 5.38%, due 02/10/20		389,910
	170,000	Kraft Heinz Foods Co., 5.00%, due 07/15/35 144A		188,074
	400,000	Kroger Co. (The), Senior Note, 6.15%, due 01/15/20		461,967
	300,000	L Brands, Inc., 5.63%, due 10/15/23		330,750
	470,000	Lehman Brothers Holdings Capital Trust VII, (MTN), 5.86%††† †††††		165
	270,000	Lehman Brothers Holdings, Inc., (MTN), Series I, 6.75%, due 12/28/17†††		95
	890,000	Lehman Brothers Holdings, Inc., Subordinated Note, 6.50%, due 07/19/17†††		312
	1,150,000	Liberty Mutual Group, Inc., 4.25%, due 06/15/23 144A		1,187,075
	1,600,000	Liberty Mutual Group, Inc., 4.95%, due 05/01/22 144A		1,744,347
	1,380,000	Lincoln National Corp., 4.00%, due 09/01/23		1,406,049
	1,250,000	Lloyds Banking Group Plc, 4.50%, due 11/04/24‡		1,258,046
	200,000	Lloyds Banking Group Plc, Subordinated Note, 4.65%, due 03/24/26		198,605
	1,010,000	LyondellBasell Industries NV, 5.00%, due 04/15/19		1,079,737
	525,000	Macy’s Retail Holdings, Inc., 6.38%, due 03/15/37		518,114

90 See accompanying Notes to the Financial Statements.

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Par Value ($)		Description	Value ($)
		Corporate Debt — continued
	1,440,000	Macy’s Retail Holdings, Inc., 6.65%, due 07/15/24		1,656,045
	350,000	Macy’s Retail Holdings, Inc., 6.90%, due 01/15/32		373,143
	600,000	Macy’s Retail Holdings, Inc., 7.00%, due 02/15/28		680,212
	230,000	Martin Marietta Materials, Inc., 4.25%, due 07/02/24		232,207
	725,000	Massachusetts Institute of Technology, 4.68%, due 07/01/14#		788,603
	70,000	Medtronic, Inc., 3.13%, due 03/15/22		73,944
	190,000	Medtronic, Inc., 3.15%, due 03/15/22		201,681
	970,000	Medtronic, Inc., 3.50%, due 03/15/25		1,036,518
	410,000	Medtronic, Inc., 4.38%, due 03/15/35		444,749
	625,000	Merck & Co., Inc., 4.15%, due 05/18/43		684,417
	840,000	Merrill Lynch & Co., Inc., Subordinated Note, 5.70%, due 05/02/17		873,783
	1,152,000	MetLife, Inc., 3.00%, due 03/01/25		1,134,627
	105,000	MetLife, Inc., 4.75%, due 02/08/21		116,755
	165,630	Miran Mid-Atlantic Series C Pass Through Trust, 10.06%, due 12/30/28¤		160,868
	80,000	Monsanto Co., 4.40%, due 07/15/44		74,557
	70,000	Morgan Stanley, 4.75%, due 03/22/17		72,314
	325,000	Morgan Stanley, 5.45%† †††††		307,531
	1,547,000	Morgan Stanley, 7.30%, due 05/13/19		1,781,728
	130,000	Morgan Stanley, (MTN), Series F, 1.07%, due 10/18/16†		129,928
	1,720,000	Morgan Stanley, (MTN), 4.10%, due 05/22/23		1,776,473
	1,000,000	Morgan Stanley, (MTN), Series F, 6.63%, due 04/01/18		1,093,049
	1,150,000	Myriad International Holdings BV, 5.50%, due 07/21/25 144A		1,161,378
	1,000,000	Myriad International Holdings BV, 6.00%, due 07/18/20 144A		1,087,914
	400,000	Navient Corp., (MTN), 4.63%, due 09/25/17		405,500
	1,750,000	Navient Corp., (MTN), 6.00%, due 01/25/17		1,776,250
	350,000	Navient Corp., (MTN), 8.45%, due 06/15/18		376,250
	1,037,000	New York and Presbyterian Hospital (The), 4.02%, due 08/01/45		1,038,033
	170,000	Newell Rubbermaid, Inc., 4.20%, due 04/01/26		178,183
	780,000	Noble Energy, Inc., 4.15%, due 12/15/21		779,640
	1,403,000	Noble Energy, Inc., 8.25%, due 03/01/19		1,545,026
	510,000	Nordea Bank AB, 1.88%, due 09/17/18 144A		512,068
	510,000	Norfolk Southern Corp., 4.65%, due 01/15/46		545,447
	220,000	Northern States Power Co., 4.13%, due 05/15/44		235,558
	350,000	NRG Energy, Inc., 6.25%, due 05/01/24‡		322,875
	325,000	NXP BV/NXP Funding LLC, 5.75%, due 03/15/23 144A		344,500
	320,000	Oracle Corp., 4.30%, due 07/08/34		337,180
	460,000	Pacific Gas & Electric Co., 6.05%, due 03/01/34		588,293
	730,000	Penske Truck Leasing Co. LP/PTL Finance Corp., 2.50%, due 06/15/19¤ 144A		726,364
	1,175,000	Petrobras Global Finance BV, 4.38%, due 05/20/23‡		860,335
	875,000	Petrobras Global Finance BV, 5.38%, due 01/27/21		725,489
	300,000	Petroleos Mexicanos, 4.25%, due 01/15/25‡		278,625
	300,000	Petroleos Mexicanos, 4.50%, due 01/23/26		280,200
	600,000	Petroleos Mexicanos, 4.88%, due 01/18/24		589,650
	1,150,000	Petroleos Mexicanos, 5.63%, due 01/23/46		970,772
	1,650,000	Petroleos Mexicanos, 6.38%, due 01/23/45		1,537,800
	550,000	Petroleos Mexicanos, 6.88%, due 08/04/26 144A		596,750
	1,190,000	PNC Bank NA, 2.95%, due 01/30/23		1,199,933
	540,000	PPL Capital Funding, Inc., 5.00%, due 03/15/44		581,033
	95,000	Private Export Funding Corp., 1.88%, due 07/15/18		96,712

See accompanying Notes to the Financial Statements. 91

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Par Value ($)		Description	Value ($)
		Corporate Debt — continued
	675,000	Provident Cos., Inc., 7.25%, due 03/15/28		809,005
	1,000,000	Prudential Financial, Inc., 7.38%, due 06/15/19		1,161,315
	1,689,000	PSEG Power LLC, 8.63%, due 04/15/31		2,024,104
	170,000	QEP Resources, Inc., 6.88%, due 03/01/21		156,825
	1,328,000	RELX Capital, Inc., 3.13%, due 10/15/22		1,325,267
	2,950,000	Rio Oil Finance Trust, 9.25%, due 07/06/24‡ 144A		1,858,500
	3,300,000	Rio Oil Finance Trust, 9.75%, due 01/06/27‡ 144A		1,980,000
	920,000	Rio Tinto Finance USA, Ltd., 9.00%, due 05/01/19		1,089,422
	1,500,000	Rogers Communications, Inc., 6.80%, due 08/15/18		1,671,030
	1,075,000	Royal Bank of Scotland Group Plc, 6.00%, due 12/19/23		1,090,427
	1,700,000	Royal Bank of Scotland Group Plc, 6.13%, due 12/15/22		1,808,263
	320,000	Sally Holdings LLC/Sally Capital, Inc., 5.63%, due 12/01/25‡		342,400
	1,795,000	Schlumberger Holdings Corp., 3.00%, due 12/21/20 144A		1,821,008
	1,220,000	Sempra Energy, 2.40%, due 03/15/20		1,225,480
	2,419,000	Siemens Financieringsmaatschappij NV, 2.90%, due 05/27/22 144A		2,519,901
	850,000	Simon Property Group, LP REIT, 6.75%, due 02/01/40		1,144,698
	500,000	Sinopec Group Overseas Development 2015, Ltd., 2.50%, due 04/28/20 144A		502,566
	630,000	Southern Copper Corp., 5.25%, due 11/08/42		520,818
	1,615,000	Sprint Nextel Corp., 6.00%, due 12/01/16		1,612,981
	1,195,000	St. Jude Medical, Inc., 2.00%, due 09/15/18		1,208,802
	245,000	State Grid Overseas Investment 2014, Ltd., 2.75%, due 05/07/19 144A		251,661
	850,000	State Street Corp., 4.96%, due 03/15/18		893,804
	395,000	State Street Corp., 5.25%† †††††		401,952
	922,000	Sunoco Logistics Partners Operations, LP, 3.45%, due 01/15/23		824,445
	270,000	Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, due 04/15/21 144A		265,950
	380,000	Teachers Insurance & Annuity Association of America, 6.85%, due 12/16/39 144A		490,106
	1,500,000	Teck Resources, Ltd., 5.20%, due 03/01/42		832,500
	300,000	Telecom Italia Capital SA, 7.00%, due 06/04/18		327,750
	1,900,000	Telecom Italia Capital SA, 7.18%, due 06/18/19		2,142,250
	825,000	Telecom Italia Capital SA, 7.72%, due 06/04/38		868,816
	725,000	Telecom Italia Spa, 5.30%, due 05/30/24 144A		745,844
	1,568,000	Telefonaktiebolaget LM Ericsson, 4.13%, due 05/15/22		1,635,954
	260,000	Telefonos de Mexico SAB de CV, 5.50%, due 11/15/19		290,983
	90,000	Tenet Healthcare Corp., 4.50%, due 04/01/21		90,900
	350,000	Tenet Healthcare Corp., 6.00%, due 10/01/20		374,500
	220,000	Thermo Fisher Scientific, Inc., 3.60%, due 08/15/21		227,904
	300,000	Time Warner Cable, Inc., 4.00%, due 09/01/21		314,290
	520,000	Time Warner Cable, Inc., 4.13%, due 02/15/21		550,003
	740,000	Time Warner Cable, Inc., 5.85%, due 05/01/17		771,603
	700,000	Time Warner Cable, Inc., 7.30%, due 07/01/38		823,525
	2,055,000	Time Warner Cable, Inc., 8.25%, due 04/01/19		2,393,993
	200,000	Time Warner Cable, Inc., 8.75%, due 02/14/19		234,329
	702,000	Time Warner Cos., Inc., 7.57%, due 02/01/24		884,536
	260,000	Time Warner, Inc., 4.70%, due 01/15/21		286,510
	200,000	Time Warner, Inc., 4.75%, due 03/29/21		220,805
	2,965,000	Time Warner, Inc., 7.70%, due 05/01/32		3,816,183
	1,250,000	Transcanada Trust, 5.63%, due 05/20/75†		1,103,937
	130,000	Transocean, Inc., 5.80%, due 12/15/16		130,098

92 See accompanying Notes to the Financial Statements.

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Par Value ($)		Description	Value ($)
		Corporate Debt — continued
	500,000	UBS AG/Stamford CT, 1.80%, due 03/26/18		501,835
	3,493,006	United Airlines 2014-1 Class A Pass Through Trust, 4.00%, due 10/11/27		3,610,895
	665,000	UnitedHealth Group, Inc., 4.38%, due 03/15/42		716,709
	2,000,000	Ventas Realty, LP/Ventas Capital Corp. REIT, 2.70%, due 04/01/20		2,015,452
	433,000	Verizon Communications, Inc., 4.27%, due 01/15/36		432,261
	1,821,000	Verizon Communications, Inc., 4.52%, due 09/15/48		1,831,850
	2,719,000	Verizon Communications, Inc., 4.86%, due 08/21/46		2,878,872
	935,000	Verizon Communications, Inc., 5.01%, due 08/21/54		942,019
	110,000	Verizon Communications, Inc., 5.05%, due 03/15/34		119,580
	35,000	Verizon Communications, Inc., 5.15%, due 09/15/23		40,461
	50,000	Verizon Communications, Inc., 6.35%, due 04/01/19		56,689
	3,175,000	Verizon Communications, Inc., 6.55%, due 09/15/43		4,197,413
	1,152,000	Viacom, Inc., 4.85%, due 12/15/34		1,025,492
	824,000	Virginia Electric & Power Co., 3.15%, due 01/15/26		854,016
	1,400,000	Vulcan Materials Co., 7.50%, due 06/15/21		1,666,000
	1,855,000	WEA Finance LLC/Westfield UK & Europe Finance Plc, 2.70%, due 09/17/19 144A		1,869,104
	190,000	Wells Fargo & Co., 1.50%, due 01/16/18		191,166
	250,000	Wells Fargo & Co., 3.45%, due 02/13/23		256,614
	1,050,000	Wells Fargo & Co., 4.30%, due 07/22/27		1,115,599
	1,308,000	Wells Fargo & Co., 4.48%, due 01/16/24		1,422,399
	90,000	Wells Fargo & Co., 4.60%, due 04/01/21		99,924
	1,100,000	Welltower, Inc., 4.50%, due 01/15/24		1,143,715
	170,000	WestRock RKT Co., 3.50%, due 03/01/20		172,522
	1,000,000	Weyerhaeuser Co., 7.38%, due 10/01/19		1,148,565
	290,000	Williams Partners, LP/Williams Partners Finance Corp., 7.25%, due 02/01/17		297,261
	80,000	WM Wrigley Jr Co., 2.40%, due 10/21/18 144A		80,847
	320,000	WM Wrigley Jr Co., 2.90%, due 10/21/19 144A		328,941
	90,000	WM Wrigley Jr Co., 3.38%, due 10/21/20 144A		93,820
	500,000	Xerox Corp., 2.75%, due 03/15/19‡		492,822
	500,000	Xerox Corp., 4.50%, due 05/15/21		508,411
	600,000	Xerox Corp., 5.63%, due 12/15/19		620,636
	1,070,000	Zimmer Biomet Holdings, Inc., 3.55%, due 04/01/25		1,083,144
	425,000	Zoetis, Inc., 3.45%, due 11/13/20		437,074
	750,000	Zoetis, Inc., 4.50%, due 11/13/25		803,563
				312,760,443
		Mortgage Backed Securities - Private Issuers — 11.1%
	1,488,053	Banc of America Commercial Mortgage Trust, Series 2007-1, Class A4, 5.45%, due 01/15/49		1,520,841
	484,582	Bear Stearns ALT-A Trust, Series 2004-12, Class 1A3, 1.13%, due 01/25/35†		475,330
	245,786	Bear Stearns Commercial Mortgage Securities Trust, Series 2006-PW12, Class A4, 5.80%, due 09/11/38†		245,631
	2,223,000	Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4, 5.70%, due 12/10/49†		2,292,305
	1,600,000	Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class A3, 3.36%, due 07/10/47		1,677,718
	1,500,000	Citigroup Commercial Mortgage Trust, Series 2015-GC27, Class A4, 2.88%, due 02/10/48		1,505,884
	1,200,000	Citigroup Commercial Mortgage Trust, Series 2015-P1, Class A4, 3.46%, due 09/15/48		1,263,199

See accompanying Notes to the Financial Statements. 93

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Par Value ($)		Description	Value ($)
		Mortgage Backed Securities - Private Issuers — continued
	1,000,000	Citigroup Commercial Mortgage Trust, Inc., Series 2013-GC17, Class A2, 2.96%, due 11/10/46		1,029,468
	27,500,000	Citigroup Commercial Mortgage Trust, Inc., (IO), Series 2014-GC21, Class XB, 0.33%, due 05/10/47†		874,495
	2,309,725	Commercial Mortgage Pass Through Certificates, Series 2007-C9, Class A4, 5.81%, due 12/10/49†		2,399,410
	300,000	Commercial Mortgage Pass Through Certificates, Series 2013-CR8, Class A2, 2.37%, due 06/10/46		303,846
	100,000	Commercial Mortgage Pass Through Certificates, Series 2013-LC6, Class A3, 2.67%, due 01/10/46		101,914
	1,000,000	Commercial Mortgage Pass Through Certificates, Series 2014-CR18, Class A4, 3.55%, due 07/15/47		1,059,629
	1,600,000	Commercial Mortgage Pass Through Certificates, Series 2014-CR20, Class A3, 3.33%, due 11/10/47		1,679,389
	2,150,000	Commercial Mortgage Pass Through Certificates, Series 2014-UBS2, Class A2, 2.82%, due 03/10/47		2,207,170
	1,200,000	Commercial Mortgage Pass Through Certificates, Series 2015-CR25, Class A3, 3.51%, due 08/10/48		1,270,284
	53,000,000	Commercial Mortgage Pass Through Certificates, (IO), Series 2014-CR17, Class XB, 0.21%, due 05/10/47† 144A		864,520
	1,429,303	Credit Suisse Commercial Mortgage Trust, Series 2006-C5, Class A3, 5.31%, due 12/15/39		1,438,611
	1,504,390	Credit Suisse Commercial Mortgage Trust, Series 2007-C1, Class A3, 5.38%, due 02/15/40		1,526,081
	1,350,870	Credit Suisse Commercial Mortgage Trust, Series 2007-C3, Class A4, 5.70%, due 06/15/39†		1,381,926
	1,500,000	CSAIL Commercial Mortgage Trust, Series 2015-C4, Class A3, 3.54%, due 11/15/48		1,580,078
	1,000,000	FHLMC Multifamily Structured Pass Through Certificates, Series K033, Class A2, 3.06%, due 07/25/23†		1,067,928
	2,100,000	FHLMC Multifamily Structured Pass Through Certificates, Series K044, Class A2, 2.81%, due 01/25/25		2,189,835
	600,000	FHLMC Multifamily Structured Pass Through Certificates, Series KS03, Class A4, 3.16%, due 05/25/25		638,290
	28,052,784	FHLMC Multifamily Structured Pass Through Certificates, (IO), Series K025, Class X1, 0.89%, due 10/25/22†		1,300,656
	1,604,238	FHLMC Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M1, 1.34%, due 10/25/27†		1,599,719
	791,505	FHLMC Structured Agency Credit Risk Debt Notes, Series 2015-DNA2, Class M1, 1.59%, due 12/25/27†		791,620
	287,455	FHLMC Structured Agency Credit Risk Debt Notes, Series 2015-DNA3, Class M1, 1.79%, due 04/25/28†		287,981
	475,320	FHLMC Structured Agency Credit Risk Debt Notes, Series 2015-HQA1, Class M1, 1.68%, due 03/25/28†		475,854
	798,799	FHLMC Structured Agency Credit Risk Debt Notes, Series 2016-DNA1, Class M1, 1.89%, due 07/25/28†		798,428
	877,177	FNMA Connecticut Avenue Securities, Series 2014-C04, Class 1M1, 2.38%, due 11/25/24†		881,613
	189,349	FNMA Connecticut Avenue Securities, Series 2015-C01, Class 1M1, 1.93%, due 02/25/25†		189,579

94 See accompanying Notes to the Financial Statements.

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Par Value ($)		Description	Value ($)
		Mortgage Backed Securities - Private Issuers — continued
	987,721	FNMA Connecticut Avenue Securities, Series 2015-C02, Class 1M1, 1.58%, due 05/25/25†		987,066
	320,000	FNMA Connecticut Avenue Securities, Series 2016-C02, Class 1M1, 2.59%, due 09/25/28†		320,000
	1,200,000	FNMA-ACES, Series 2014-M4, Class A2, 3.35%, due 03/25/24†		1,288,290
	900,000	FNMA-ACES, Series 2014-M4, Class AB2, 3.21%, due 03/25/24		968,353
	1,700,000	FNMA-ACES, Series 2015-M10, Class A2, 3.09%, due 04/25/27†		1,804,232
	1,300,000	FNMA-ACES, Series 2015-M8, Class AB2, 2.83%, due 01/25/25		1,359,436
	275,761	Fremont Home Loan Trust, Series 2004-B, Class M1, 1.30%, due 05/25/34†		255,800
	3,908,457	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.74%, due 12/10/49		4,064,603
	4,411,181	Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.44%, due 03/10/39		4,502,573
	1,800,000	GS Mortgage Securities Corp. II, Series 2013-GC12, Class A3, 2.86%, due 06/10/46		1,846,399
	900,000	GS Mortgage Securities Trust, Series 2015-GC28, Class A4, 3.14%, due 02/10/48		920,881
	267,564	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP9, Class A3, 5.34%, due 05/15/47		271,674
	3,473,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A4, 5.74%, due 06/15/49†		3,554,451
	1,725,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2014-C19, Class A3, 3.67%, due 04/15/47		1,818,912
	1,331,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class A4, 4.72%, due 02/15/46 144A		1,477,054
	500,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C13, Class A3, 3.53%, due 01/15/46		522,026
	1,500,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class A4, 2.69%, due 04/15/46		1,526,591
	1,680,006	LB-UBS Commercial Mortgage Trust, Series 2007-C2, Class A1A, 5.39%, due 02/15/40		1,715,877
	329,486	LSTAR Securities Investment Trust, Series 2015-10, Class A1, 2.43%, due 11/01/20† 144A		321,249
	902,469	LSTAR Securities Investment Trust, Series 2015-3, Class A, 2.44%, due 03/01/20† 144A		890,737
	326,623	LSTAR Securities Investment Trust, Series 2015-4, Class A1, 2.43%, due 04/01/20† 144A		316,824
	384,589	LSTAR Securities Investment Trust, Series 2015-5, Class A1, 2.44%, due 04/01/20† 144A		379,551
	1,187,473	LSTAR Securities Investment Trust, Series 2015-6, Class A, 2.44%, due 05/01/20¤ † 144A		1,160,755
	461,114	LSTAR Securities Investment Trust, Series 2015-8, Class A1, 3.44%, due 08/01/20† 144A		453,436
	562,517	LSTAR Securities Investment Trust, Series 2015-9, Class A1, 2.44%, due 10/01/20† 144A		552,940
	287,971	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A4, 5.70%, due 09/12/49		298,669
	100,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C7, Class A4, 2.92%, due 02/15/46		102,728
	3,448,212	Morgan Stanley Capital I Trust, Series 2007-IQ14, Class A4, 5.69%, due 04/15/49†		3,531,973
	298,000	Morgan Stanley Capital I, Inc., Series 2007-HQ11, Class A4, 5.45%, due 02/12/44†		302,957
	986,000	Morgan Stanley Re-REMIC Trust, Series 2009-GG10, Class A4B, 5.79%, due 08/12/45† 144A		1,008,190

See accompanying Notes to the Financial Statements. 95

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Par Value ($)		Description	Value ($)
		Mortgage Backed Securities - Private Issuers — continued
	1,264,000	Morgan Stanley Re-REMIC Trust, Series 2010-GG10, Class A4B, 5.79%, due 08/15/45† 144A		1,305,751
	178,427	Provident Funding Mortgage Loan Trust, Series 2005-1, Class 2A1, 2.78%, due 05/25/35†		182,097
	2,943,023	Small Business Administration Participation Certificates, Series 2013-20L, Class 1, 3.38%, due 12/01/33		3,128,140
	2,042,000	Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A5, 5.50%, due 04/15/47		2,097,370
	3,158,820	Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A3, 5.68%, due 05/15/46		3,252,165
	37,582	WaMu Mortgage Pass Through Certificates, Series 2003-AR9, Class 1A7, 2.52%, due 09/25/33†		37,994
	1,500,000	Wells Fargo Commercial Mortgage Trust, Series 2015-NXS3, Class A3, 3.35%, due 09/15/57		1,563,048
				87,010,024
		Mortgage Backed Securities - U.S. Government Agency Obligations — 26.6%
	745,654	FHLMC, Pool # 1Q0481, 2.27%, due 02/01/38†		780,207
	4,962,224	FHLMC, Pool # 1Q1587, 2.55%, due 06/01/37†		5,238,954
	3,288,752	FHLMC, Pool # 849820, 3.00%, due 10/01/45†		3,406,607
	864,933	FHLMC, Pool # J26100, 3.00%, due 10/01/28		907,822
	794,173	FHLMC, Pool # V60565, 3.00%, due 06/01/29		833,544
	1,615,687	FHLMC, Pool # V60603, 3.00%, due 09/01/29		1,694,579
	1,714,369	FHLMC, Pool # V60599, 3.00%, due 09/01/29		1,799,159
	2,388,752	FHLMC, Pool # G08635, 3.00%, due 04/01/45		2,448,586
	1,649,275	FHLMC, Pool # 849372, 3.10%, due 06/01/44†		1,716,916
	1,640,039	FHLMC, Pool # 2B1967, 3.12%, due 12/01/43†		1,708,123
	378,983	FHLMC, Pool # J16432, 3.50%, due 08/01/26		403,393
	370,886	FHLMC, Pool # J17763, 3.50%, due 01/01/27		394,773
	431,856	FHLMC, Pool # Q11218, 3.50%, due 09/01/42		452,973
	823,247	FHLMC, Pool # Q12052, 3.50%, due 10/01/42		862,995
	1,488,269	FHLMC, Pool # Q12862, 3.50%, due 11/01/42		1,567,813
	709,121	FHLMC, Pool # Q17792, 3.50%, due 05/01/43		747,026
	1,470,576	FHLMC, Pool # 849096, 3.60%, due 10/01/41†		1,543,264
	805,954	FHLMC, Pool # G14919, 4.00%, due 06/01/26		858,716
	83,834	FHLMC, Pool # G14350, 4.00%, due 12/01/26		89,567
	614,343	FHLMC, Pool # G14678, 4.00%, due 12/01/26		656,437
	2,485,600	FHLMC, Pool # C91402, 4.00%, due 10/01/31		2,682,202
	622,173	FHLMC, Pool # G30700, 4.00%, due 04/01/34		671,393
	2,112,148	FHLMC, Pool # C91850, 4.00%, due 09/01/35		2,278,097
	1,415,203	FHLMC, Pool # A93231, 4.00%, due 08/01/40		1,514,979
	1,088,832	FHLMC, Pool # G06231, 4.00%, due 12/01/40		1,165,611
	751,665	FHLMC, Pool # A96970, 4.00%, due 02/01/41		804,673
	2,447,302	FHLMC, Pool # Q04020, 4.00%, due 10/01/41		2,619,494
	1,227,123	FHLMC, Pool # A89870, 4.50%, due 11/01/39		1,336,061
	1,370,046	FHLMC, Pool # Q02552, 4.50%, due 08/01/41		1,493,722
	208,369	FHLMC, Pool # G07515, 4.50%, due 09/01/41		227,005
	869,067	FHLMC, Pool # G08568, 4.50%, due 01/01/44		945,151
	1,172,752	FHLMC, Pool # G07021, 5.00%, due 09/01/39		1,288,115

96 See accompanying Notes to the Financial Statements.

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Par Value ($)		Description	Value ($)
		Mortgage Backed Securities - U.S. Government Agency Obligations — continued
	1,869,677	FHLMC, Pool # G06576, 5.00%, due 09/01/40		2,086,049
	332,564	FHLMC, Pool # G01749, 5.50%, due 01/01/35		375,194
	319,156	FHLMC, Pool # G06875, 5.50%, due 12/01/38		359,464
	720,145	FHLMC, Pool # 782735, 5.61%, due 09/01/36†		763,103
	12,834	FHLMC, Pool # H09061, 6.00%, due 06/01/37		14,310
	593,377	FHLMC, Pool # G06409, 6.00%, due 11/01/39		675,743
	5,080,561	FHLMC, Series 3427, Class Z, 5.00%, due 03/15/38		5,655,594
	5,750,160	FHLMC, Series 4283, Class EW, 4.50%, due 12/15/43†		6,215,369
	35,778,056	FHLMC Multifamily Structured Pass Through Certificates, (IO), Series K006, Class AX1, 1.01%, due 01/25/20†		1,129,356
	26,590,923	FHLMC Multifamily Structured Pass Through Certificates, (IO), Series K007, Class X1, 1.16%, due 04/25/20†		900,167
	190,505	FHLMC Reference REMIC, Series R007, Class ZA, 6.00%, due 05/15/36		216,814
	500,000	FHLMC TBA, 2.50%, due 10/01/27		513,312
	1,250,000	FHLMC TBA, 3.50%, due 07/01/43		1,306,203
	840,958	FNMA, Pool # AO7971, 2.50%, due 06/01/27		867,624
	57,997	FNMA, Pool # 840589, 2.65%, due 09/01/35†		61,528
	963,031	FNMA, Pool # AX2197, 2.70%, due 12/01/44†		994,792
	613,534	FNMA, Pool # AT7040, 2.89%, due 09/01/44†		637,854
	1,683,777	FNMA, Pool # AB7505, 3.00%, due 01/01/43		1,731,595
	1,266,255	FNMA, Pool # AT0232, 3.00%, due 03/01/43		1,302,179
	1,739,277	FNMA, Pool # AU1292, 3.00%, due 07/01/43		1,788,441
	93,805	FNMA, Pool # AX6719, 3.00%, due 12/01/44		96,324
	480,883	FNMA, Pool # AY4883, 3.00%, due 03/01/45		493,795
	193,735	FNMA, Pool # AY7121, 3.00%, due 04/01/45		198,937
	984,216	FNMA, Pool # AZ0611, 3.00%, due 04/01/45		1,010,643
	2,316,411	FNMA, Pool # AL5088, 3.20%, due 04/01/44†		2,425,135
	814,991	FNMA, Pool # AX3719, 3.50%, due 07/01/27		863,781
	1,472,263	FNMA, Pool # MA2164, 3.50%, due 02/01/35		1,556,225
	1,590,915	FNMA, Pool # AJ9278, 3.50%, due 12/01/41		1,672,211
	2,376,656	FNMA, Pool # AL1895, 3.50%, due 06/01/42		2,507,868
	2,909,720	FNMA, Pool # AB6022, 3.50%, due 08/01/42		3,058,708
	1,348,638	FNMA, Pool # AP2422, 3.50%, due 08/01/42		1,417,698
	1,652,957	FNMA, Pool # AL3316, 3.50%, due 03/01/43		1,740,727
	2,178,096	FNMA, Pool # AX2532, 3.50%, due 11/01/44		2,296,745
	1,574,105	FNMA, Pool # AY5617, 3.50%, due 06/01/45		1,653,681
	1,000,000	FNMA, Pool # AZ5582, 3.50%, due 08/01/45††††		1,049,278
	490,489	FNMA, Pool # AZ3743, 3.50%, due 11/01/45		514,660
	648,362	FNMA, Pool # AL2733, 3.86%, due 07/01/41†		685,912
	1,108,416	FNMA, Pool # AL7359, 4.00%, due 05/01/29		1,184,667
	1,906,877	FNMA, Pool # MA1689, 4.00%, due 12/01/33		2,057,516
	2,122,206	FNMA, Pool # 725331, 4.00%, due 01/01/34		2,274,892
	992,575	FNMA, Pool # AL6300, 4.00%, due 05/01/34		1,071,040
	375,628	FNMA, Pool # AS2666, 4.00%, due 06/01/34		405,028
	806,178	FNMA, Pool # MA2019, 4.00%, due 09/01/34		869,766
	2,494,652	FNMA, Pool # AL6663, 4.00%, due 03/01/39††††		2,670,270
	1,032,002	FNMA, Pool # 932807, 4.00%, due 09/01/40		1,105,930
	558,022	FNMA, Pool # AE7685, 4.00%, due 10/01/40		598,192
	2,315,790	FNMA, Pool # AH4404, 4.00%, due 01/01/41		2,482,380

See accompanying Notes to the Financial Statements. 97

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Par Value ($)		Description	Value ($)
		Mortgage Backed Securities - U.S. Government Agency Obligations — continued
	945,763	FNMA, Pool # AJ9317, 4.00%, due 01/01/42		1,019,346
	350,634	FNMA, Pool # AO4109, 4.00%, due 06/01/42		375,737
	441,233	FNMA, Pool # AB9383, 4.00%, due 05/01/43		477,871
	987,391	FNMA, Pool # AL4147, 4.50%, due 01/01/25		1,066,097
	227,993	FNMA, Pool # MA0634, 4.50%, due 01/01/31		249,557
	772,487	FNMA, Pool # AL5861, 4.50%, due 01/01/31		844,834
	940,134	FNMA, Pool # AL4549, 4.50%, due 01/01/32		1,028,461
	2,105,934	FNMA, Pool # 310098, 4.50%, due 06/01/36		2,301,130
	1,255,266	FNMA, Pool # 995243, 4.50%, due 08/01/38		1,368,507
	1,193,786	FNMA, Pool # AD9153, 4.50%, due 08/01/40		1,302,845
	1,590,387	FNMA, Pool # AL0215, 4.50%, due 04/01/41*		1,736,895
	2,159,325	FNMA, Pool # AL6301, 4.50%, due 06/01/42		2,356,448
	1,458,574	FNMA, Pool # AL5749, 4.50%, due 07/01/42		1,591,973
	4,766,461	FNMA, Pool # AS3881, 4.50%, due 11/01/44		5,186,741
	1,872,612	FNMA, Pool # AL2439, 5.00%, due 06/01/26		2,010,380
	3,058,901	FNMA, Pool # 254903, 5.00%, due 10/01/33		3,401,258
	1,233,250	FNMA, Pool # 725027, 5.00%, due 11/01/33		1,371,345
	1,091,321	FNMA, Pool # 889834, 5.00%, due 12/01/35		1,230,165
	1,038,138	FNMA, Pool # 745148, 5.00%, due 01/01/36		1,151,545
	819,420	FNMA, Pool # 995245, 5.00%, due 01/01/39		906,139
	1,112,097	FNMA, Pool # AI1971, 5.00%, due 05/01/41		1,235,209
	357,393	FNMA, Pool # AI1892, 5.00%, due 05/01/41		401,375
	895,309	FNMA, Pool # AL5955, 5.00%, due 01/01/42		993,210
	3,628,522	FNMA, Pool # AL7404, 5.00%, due 03/01/42		4,074,048
	1,147,282	FNMA, Pool # AL6839, 5.00%, due 04/01/42		1,278,089
	736,647	FNMA, Pool # AL5788, 5.00%, due 05/01/42		818,608
	215,147	FNMA, Pool # AE0011, 5.50%, due 09/01/23		231,596
	813,172	FNMA, Pool # 995253, 5.50%, due 12/01/23		880,117
	1,129,009	FNMA, Pool # AL0278, 5.50%, due 01/01/25		1,238,433
	7,757	FNMA, Pool # 254548, 5.50%, due 12/01/32		8,783
	702,774	FNMA, Pool # 704235, 5.50%, due 05/01/33		791,901
	87,958	FNMA, Pool # 555591, 5.50%, due 07/01/33		99,593
	1,094,827	FNMA, Pool # 725221, 5.50%, due 01/01/34		1,239,789
	51,723	FNMA, Pool # 735224, 5.50%, due 02/01/35		58,589
	97,572	FNMA, Pool # 990906, 5.50%, due 10/01/35		110,430
	536,881	FNMA, Pool # 849077, 5.50%, due 01/01/36		605,779
	1,057,821	FNMA, Pool # 983471, 5.50%, due 05/01/38		1,186,311
	1,099,245	FNMA, Pool # 985184, 5.50%, due 08/01/38		1,232,593
	623,302	FNMA, Pool # AX1916, 5.50%, due 12/01/41		720,089
	615,467	FNMA, Pool # AL0144, 5.58%, due 11/01/37†		653,989
	1,757,791	FNMA, Pool # 725162, 6.00%, due 02/01/34		2,037,504
	1,195,711	FNMA, Pool # AD0218, 6.00%, due 09/01/36		1,383,345
	620,993	FNMA, Pool # AE0469, 6.00%, due 12/01/39		709,022
	387,080	FNMA, Pool # AL0778, 6.50%, due 01/01/49		431,420
	1,045,026	FNMA, Pool # 888369, 7.00%, due 03/01/37		1,241,014
	1,336,378	FNMA, Series 2007-50, Class DZ, 5.50%, due 06/25/37		1,505,448
	945,145	FNMA, Series 2007-63, Class VZ, 5.50%, due 07/25/37		1,013,894
	2,496,750	FNMA, Series 2007-70, Class Z, 5.50%, due 07/25/37		2,814,966
	1,297,777	FNMA, Series 2011-59, Class NZ, 5.50%, due 07/25/41		1,530,165

98 See accompanying Notes to the Financial Statements.

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Par Value ($)		Description	Value ($)
		Mortgage Backed Securities - U.S. Government Agency Obligations — continued
	97,681	FNMA, Series 2012-28, Class B, 6.50%, due 06/25/39		109,144
	66,527	FNMA Grantor Trust, Series 2004-T1, Class 1A2, 6.50%, due 01/25/44		76,101
	676,497	FNMA REMIC Trust, Series 2007-W10, Class 2A, 6.34%, due 08/25/47†		770,815
	2,500,000	FNMA TBA, 2.50%, due 07/01/43		2,566,602
	500,000	FNMA TBA, 3.00%, due 01/01/43		512,930
	2,000,000	FNMA TBA, 3.50%, due 09/01/43		2,097,109
	2,000,000	FNMA TBA, 3.50%, due 09/01/43		2,093,594
	500,000	FNMA TBA, 4.00%, due 10/01/42		534,258
	1,980,747	FNMA Trust, Series 2004-W1, Class 2A2, 7.00%, due 12/25/33		2,359,200
	96,194	FNMA Trust, Series 2004-W9, Class 2A1, 6.50%, due 02/25/44		111,850
	1,453,678	GNMA, Pool # MA3033, 3.00%, due 08/20/45		1,508,271
	1,459,640	GNMA, Pool # MA3104, 3.00%, due 09/20/45		1,514,456
	2,367,177	GNMA, Pool # MA2754, 3.50%, due 04/20/45		2,505,672
	845,292	GNMA, Pool # 004833, 4.00%, due 10/20/40		911,361
	710,802	GNMA, Pool # 004977, 4.00%, due 03/20/41		766,332
	2,556,800	GNMA, Pool # MA3311, 4.00%, due 12/20/45		2,739,555
	746,031	GNMA, Pool # 004636, 4.50%, due 02/20/40		812,336
	140,361	GNMA, Pool # 004678, 4.50%, due 04/20/40		152,836
	1,947,560	GNMA, Pool # 004978, 4.50%, due 03/20/41		2,120,756
	3,105,550	GNMA, Pool # 005055, 4.50%, due 05/20/41		3,381,604
	407,400	GNMA, Pool # 005334, 5.00%, due 03/20/42		454,389
	6,500,000	GNMA TBA, 3.50%, due 02/01/44		6,870,195
	1,000,000	GNMA TBA, 4.00%, due 08/01/43		1,069,023
	500,000	GNMA TBA, 4.00%, due 08/01/43		533,652
				208,769,281
		Municipal Obligations — 2.7%
	300,000	California Bay Area Toll Authority, 6.26%, due 04/01/49		423,519
	1,030,000	City of Houston General Obligation, 6.29%, due 03/01/32		1,281,279
	90,000	District of Columbia Water & Sewer Authority, 4.81%, due 10/01/14#		95,576
	490,000	District of Columbia Water & Sewer Authority, 5.52%, due 10/01/44		610,883
	900,000	Energy Northwest, 2.80%, due 07/01/21		938,502
	700,000	Illinois Taxable Pension, 5.10%, due 06/01/33		655,305
	1,360,000	Los Angeles Unified School District, 5.75%, due 07/01/34		1,704,991
	910,000	Los Angeles Unified School District, 6.76%, due 07/01/34		1,259,704
	1,150,000	New Jersey Economic Development Authority, 3.04%, due 02/15/19‡‡		1,056,413
	2,049,000	New Jersey Economic Development Authority, 3.44%, due 02/15/20‡‡		1,804,513
	925,000	New Jersey Turnpike Authority, 7.10%, due 01/01/41		1,332,259
	1,350,000	State Board of Administration Finance Corp., 2.64%, due 07/01/21		1,379,417
	2,450,000	State of California General Obligation, 7.30%, due 10/01/39		3,594,493
	170,000	State of California General Obligation, 7.50%, due 04/01/34		248,676
	1,000,000	State of California General Obligation, 7.55%, due 04/01/39		1,532,040
	1,050,000	State of Illinois General Obligation, 5.37%, due 03/01/17		1,082,613
	2,325,000	State of Illinois General Obligation, 5.67%, due 03/01/18		2,454,619
				21,454,802
		Sovereign Debt Obligations — 0.8%
	350,000	Colombia Government International Bond, 4.38%, due 07/12/21		365,750
	230,000	Colombia Government International Bond, 5.63%, due 02/26/44		230,000

See accompanying Notes to the Financial Statements. 99

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Par Value ($)		Description	Value ($)
		Sovereign Debt Obligations — continued
	1,385,000	Hashemite Kingdom of Jordan Government AID Bond, 2.58%, due 06/30/22		1,451,346
	800,000	Hashemite Kingdom of Jordan Government AID Bond, 3.00%, due 06/30/25		853,136
	812,000	Hungary Government International Bond, 5.75%, due 11/22/23		926,695
	720,000	Indonesia Government International Bond, 5.88%, due 01/15/24‡ 144A		810,366
	75,000	Israel Government AID Bond, 5.50%, due 04/26/24		93,679
	200,000	Panama Government International Bond, 3.75%, due 03/16/25		206,000
	200,000	Panama Government International Bond, 4.00%, due 09/22/24		211,000
	150,000	Romanian Government International Bond, Reg S, 6.13%, due 01/22/44‡‡‡		183,517
	100,000	Turkey Government International Bond, 7.00%, due 06/05/20		113,407
	300,000	Turkey Government International Bond, 7.00%, due 06/05/20		340,219
				5,785,115
		U.S. Government and Agency Obligations — 5.9%
	2,300,000	FNMA, 1.47%, due 10/09/19‡‡		2,186,332
	1,235,000	FNMA, 6.63%, due 11/15/30**		1,838,262
	1,199,000	Tennessee Valley Authority, 4.25%, due 09/15/65		1,268,746
	190,000	Tennessee Valley Authority, 5.25%, due 09/15/39		243,028
	85,000	Tennessee Valley Authority, 7.13%, due 05/01/30		125,292
	140,000	U.S. Treasury Bond, 2.50%, due 02/15/45		136,546
	1,380,000	U.S. Treasury Bond, 2.50%, due 02/15/46		1,345,608
	265,000	U.S. Treasury Bond, 2.88%, due 05/15/43		279,306
	2,896,000	U.S. Treasury Bond, 3.00%, due 05/15/45		3,124,060
	2,834,000	U.S. Treasury Bond, 3.63%, due 08/15/43		3,442,922
	5,596,000	U.S. Treasury Bond, 4.50%, due 02/15/36		7,679,855
	1,393,000	U.S. Treasury Note, 0.50%, due 06/15/16		1,393,668
	5,500,000	U.S. Treasury Note, 0.75%, due 02/15/19		5,483,885
	5,302,000	U.S. Treasury Note, 1.25%, due 03/31/21		5,308,315
	1,590,000	U.S. Treasury Note, 1.38%, due 04/30/20		1,606,708
	4,615,000	U.S. Treasury Note, 1.63%, due 07/31/19		4,716,765
	683,000	U.S. Treasury Note, 1.63%, due 11/30/20		696,713
	2,220,000	U.S. Treasury Note, 2.13%, due 05/15/25		2,288,984
	2,000,000	U.S. Treasury Note, 2.63%, due 11/15/20		2,127,540
	1,135,000	U.S. Treasury STRIPS, 2.09%, due 08/15/25* ‡‡		947,320
				46,239,855
		TOTAL DEBT OBLIGATIONS (COST $760,704,818)		766,552,571
Shares		Description	Value ($)
		PREFERRED STOCK — 0.3%
		Diversified Financial Services — 0.3%
	96,100	Citigroup Capital XIII, 6.98%†		2,526,469
		TOTAL PREFERRED STOCK (COST $2,583,980)		2,526,469

100 See accompanying Notes to the Financial Statements.

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 4.9%
		Bank Deposit — 3.1%
	24,067,901	State Street Bank & Trust Euro Time Deposit, 0.01%, due 04/01/16		24,067,901
		TOTAL BANK DEPOSITS (COST $24,067,901)		24,067,901
		Securities Lending Collateral — 1.5%
	11,661,485	State Street Institutional U.S. Government Money Market Fund, Premier Class***		11,661,485
		TOTAL SECURITIES LENDING COLLATERAL (COST $11,661,485)		11,661,485
		U.S. Government and Agency Obligations — 0.3%
	2,419,000	United States Treasury Bill, 0.06%, due 05/05/16‡‡		2,418,807
		TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (COST $2,418,861)		2,418,807
		TOTAL SHORT-TERM INVESTMENTS (COST $38,148,247)		38,148,193
		TOTAL INVESTMENTS — 103.0% (Cost $801,437,045)		807,227,233
		Other Assets and Liabilities (net) — (3.0)%		(23,352,250	)
		NET ASSETS — 100.0%	$	783,874,983

See accompanying Notes to the Financial Statements. 101

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

	Notes to Schedule of Investments:
	ACES — Alternative Credit Enhancement Securities
	CLO — Collateralized Loan Obligation
	FHLMC — Federal Home Loan Mortgage Corporation
	FNMA — Federal National Mortgage Association
	GNMA — Government National Mortgage Association
	IO — Interest Only
	MTN — Medium Term Note
	REIT — Real Estate Investment Trust
	REMIC — Real Estate Mortgage Investment Conduit
	TBA — To Be Announced
#	Year of maturity is greater than 2100.
*	All or a portion of this security is held for open futures collateral.
**	All or a portion of this security is held for open futures and swaps collateral.
***	Represents an investment of securities lending cash collateral.
****	Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the securities at year end is $0 which represents 0.0% of net assets. The aggregate tax cost of these securities held at March 31, 2016 was $0.
¤	Illiquid security. The total market value of the securities at year end is $4,794,946 which represents 0.6% of net assets. The aggregate tax cost of these securities held at March 31, 2016 was $4,821,992.
†	Floating rate note. Rate shown is as of March 31, 2016.
†††	Security is currently in default.
††††	When-issued security.
†††††	Security is perpetual and has no stated maturity date.
‡	All or a portion of this security is out on loan.
‡‡	Interest rate presented is yield to maturity.
‡‡‡	Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
	144A — Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The total market value of the securities at year end is $128,139,350 which represents 16.4% of net assets.

102 See accompanying Notes to the Financial Statements.

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

March 31, 2016

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Unrealized Appreciation (Depreciation)
	Buys
	135	U.S. Treasury Note 2-Year	June 2016	$	29,531,250	$	59,303
	24	U.S. Treasury Note 5-Year	June 2016		2,907,938		2,703
	173	U.S. Treasury Note 10-Year	June 2016		22,557,578		139,608
	181	U.S. Ultra Bond	June 2016		31,228,156		(1,079	)
						$	200,535
	Sales
	132	U.S.Long Bond	June 2016	$	21,705,750	$	136,189
	50	U.S. Treasury Note 10-Year	June 2016		6,519,531		10,013
	27	U.S. Ultra Bond	June 2016		4,658,344		33,695
						$	179,897

Centrally Cleared Interest Rate Swaps

Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate	Maturity Date	Notional Amount		Unrealized Appreciation (Depreciation)
Pay	3-Month USD LIBOR	1.68%	01/08/21	$	2,370,000	$	58,219
Receive	3-Month USD LIBOR	1.74%	12/31/21		4,070,000		(107,969	)
Receive	3-Month USD LIBOR	1.85%	11/30/22		3,845,000		(120,674	)
Receive	3-Month USD LIBOR	1.98%	11/30/22		1,800,000		(71,911	)
Receive	3-Month USD LIBOR	2.21%	01/08/26		7,920,000		(424,415	)
Receive	3-Month USD LIBOR	2.22%	05/31/22		2,480,000		(134,244	)
Receive	3-Month USD LIBOR	2.57%	09/08/24		1,600,000		(134,059	)
Pay	Interbank Equilibrium Interest Rate	6.01%	08/19/24	MXN	25,050,000		15,576
						$	(919,477	)

Centrally Cleared Credit Default Swaps (See Note 2(a))

Notional Amount		Expiration Date		Unrealized Appreciation (Depreciation)
$	17,000,000		06/20/20	$	222,333

Currency Abbreviations

MXN — Mexican Peso

See accompanying Notes to the Financial Statements. 103

Mercer Core Fixed Income Fund

Schedule of Investments (Continued)

March 31, 2016

Asset Class Summary (Unaudited)	% of Net Assets
Debt Obligations		97.8
Futures Contracts		0.0
Swaps		(0.1	)
Preferred Stock		0.3
Short-Term Investments		4.9
Other Assets and Liabilities (net)		(2.9	)
		100.0	%

104 See accompanying Notes to the Financial Statements.

Mercer Opportunistic Fixed Income Fund

Schedule of Investments

(showing percentage of net assets)

March 31, 2016

Par Value**			Description	Value ($)
			DEBT OBLIGATIONS — 92.7%
			Corporate Debt — 49.5%
	2,000,000		1011778 BC ULC/New Red Finance, Inc., 6.00%, due 04/01/22 144A		2,085,000
	2,000,000		24 Hour Holdings III LLC, 8.00%, due 06/01/22‡ 144A		1,635,000
	2,000,000		Acosta, Inc., 7.75%, due 10/01/22 144A		1,860,000
	700,000		AerCap Ireland Capital, Ltd./AerCap Global Aviation Trust, 4.25%, due 07/01/20		707,875
	150,000		AerCap Ireland Capital, Ltd./AerCap Global Aviation Trust, 4.63%, due 10/30/20		154,313
	1,000,000		AerCap Ireland Capital, Ltd./AerCap Global Aviation Trust, 5.00%, due 10/01/21		1,037,500
	1,200,000		Alere, Inc., 6.50%, due 06/15/20		1,228,800
	1,200,000		AMC Networks, Inc., 5.00%, due 04/01/24		1,207,500
	10,540,000	MXN	America Movil SAB de CV, 7.13%, due 12/09/24		599,764
	3,000,000		ArcelorMittal, 6.50%, due 03/01/21‡		2,970,000
	2,500,000		Ardagh Packaging Finance Plc/Ardagh Holdings USA, Inc., 6.00%, due 06/30/21‡ 144A		2,387,500
	1,700,000	EUR	Areva SA, Reg S, 3.13%, due 03/20/23‡‡‡		1,597,493
	2,000,000	EUR	Avis Budget Finance Plc, 6.00%, due 03/01/21 144A		2,369,889
	1,300,000	EUR	Axalta Coating Systems US Holdings, Inc./Axalta Coating Systems Dutch Holding B BV, 5.75%, due 02/01/21 144A		1,551,057
	1,700,000	EUR	Ball Corp., 4.38%, due 12/15/23		2,077,492
	2,500,000		Bank of America Corp., Series M, 8.13%† †††††		2,465,625
	1,000,000		Barminco Finance Pty, Ltd., 9.00%, due 06/01/18‡ 144A		752,500
	1,500,000		Blackboard, Inc., 7.75%, due 11/15/19 144A		1,215,000
	900,000		Blue Cube Spinco, Inc., 10.00%, due 10/15/25 144A		1,032,750
	2,000,000		BMC Software Finance, Inc., 8.13%, due 07/15/21 144A		1,450,000
	2,000,000		Bombardier, Inc., 7.50%, due 03/15/25 144A		1,530,000
	1,800,000		BreitBurn Energy Partners LP/BreitBurn Finance Corp., 7.88%, due 04/15/22		189,000
	138,000		California Resources Corp., 5.50%, due 09/15/21		31,050
	345,000		California Resources Corp., 6.00%, due 11/15/24		78,488
	1,293,000		California Resources Corp., 8.00%, due 12/15/22‡ 144A		501,037
	1,500,000		Calpine Corp., 5.75%, due 01/15/25		1,445,625
	1,000,000		Calpine Corp., 6.00%, due 01/15/22 144A		1,052,500
	2,000,000		CCO Holdings LLC/CCO Holdings Capital Corp., 5.25%, due 09/30/22		2,065,000
	800,000		CCOH Safari LLC, 5.75%, due 02/15/26 144A		830,000
	1,700,000		Cemex Finance LLC, 6.00%, due 04/01/24‡ 144A		1,610,580
	800,000		Cemex Finance LLC, 9.38%, due 10/12/22 144A		884,000
	1,500,000		Centene Corp., 4.75%, due 05/15/22‡		1,522,500
	2,200,000		CenturyLink, Inc., 6.75%, due 12/01/23		2,147,750
	1,200,000	EUR	CeramTec Group GmbH, 8.25%, due 08/15/21 144A		1,477,404
	1,500,000		CGG SA, 6.50%, due 06/01/21		615,000
	1,100,700		CHC Helicopter SA, 9.25%, due 10/15/20‡		470,549
	325,000		CHC Helicopter SA, 9.38%, due 06/01/21		22,750
	1,200,000	EUR	Chemours Co. (The), 6.13%, due 05/15/23 144A		1,087,200
	1,343,000		Chesapeake Energy Corp., 8.00%, due 12/15/22‡ 144A		664,785
	2,000,000		CHS/Community Health Systems, Inc., 6.88%, due 02/01/22		1,815,000
	3,000,000		CIT Group, Inc., 5.00%, due 08/01/23		3,022,500
	2,500,000		Citigroup, Inc., 6.30%† †††††		2,404,332
	700,000		Clayton Williams Energy, Inc., 7.75%, due 04/01/19		353,500
	200,000		Clear Channel Worldwide Holdings, Inc., 6.50%, due 11/15/22		200,000
	800,000		Clear Channel Worldwide Holdings, Inc., 7.63%, due 03/15/20		738,000
	2,500,000		CommScope Technologies Finance LLC, 6.00%, due 06/15/25 144A		2,535,937
	1,500,000		Concordia Healthcare Corp., 7.00%, due 04/15/23 144A		1,293,750

See accompanying Notes to the Financial Statements. 105

Mercer Opportunistic Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Par Value**			Description	Value ($)
			Corporate Debt — continued
	1,000,000		CONSOL Energy, Inc., 5.88%, due 04/15/22‡		725,620
	900,000		CONSOL Energy, Inc., 8.00%, due 04/01/23‡		676,980
	300,000		Constellation Brands, Inc., 4.75%, due 12/01/25		312,000
	1,500,000		Crestwood Midstream Partners, LP/Crestwood Midstream Finance Corp., 6.25%, due 04/01/23 144A		1,117,500
	1,500,000		CSC Holdings LLC, 6.75%, due 11/15/21		1,544,250
	300,000		CSI Compressco, LP/Compressco Finance, Inc., 7.25%, due 08/15/22		210,750
	2,000,000		DaVita HealthCare Partners, Inc., 5.13%, due 07/15/24		2,023,750
	2,000,000		Deutsche Bank AG, 4.30%, due 05/24/28†		1,722,268
	300,000		Digicel Group, Ltd., 7.13%, due 04/01/22 144A		234,720
	1,500,000		Digicel, Ltd., 6.00%, due 04/15/21 144A		1,350,000
	1,800,000		DISH DBS Corp., 5.00%, due 03/15/23		1,593,000
	500,000		DISH DBS Corp., 5.13%, due 05/01/20		497,500
	200,000		DISH DBS Corp., 5.88%, due 11/15/24		184,250
	1,000,000		E*TRADE Financial Corp., 4.63%, due 09/15/23		1,002,500
	1,000,000		E*TRADE Financial Corp., 5.38%, due 11/15/22		1,058,750
	600,000	EUR	Edcon, Ltd., 9.50%, due 03/01/18 144A		252,502
	300,000	EUR	Edcon, Ltd., 9.50%, due 03/01/18 144A		126,251
	1,500,000		Eldorado Gold Corp., 6.13%, due 12/15/20 144A		1,376,250
	500,000		Endo, Ltd./Endo Finance LLC/Endo Finco, Inc., 6.00%, due 07/15/23 144A		473,125
	1,000,000		Endo, Ltd./Endo Finance LLC/Endo Finco, Inc., 6.00%, due 02/01/25 144A		942,500
	2,500,000		Energy Transfer Equity, LP, 7.50%, due 10/15/20		2,418,750
	1,200,000		Energy XXI Gulf Coast, Inc., 6.88%, due 03/15/24		40,500
	600,000		Energy XXI Gulf Coast, Inc., 11.00%, due 03/15/20 144A		87,000
	1,000,000		EnQuest Plc, 7.00%, due 04/15/22 144A		450,000
	250,000		EPL Oil & Gas, Inc., 8.25%, due 02/15/18		12,656
	500,000		Equinix, Inc., 4.88%, due 04/01/20		519,750
	1,500,000		Equinix, Inc., 5.38%, due 04/01/23		1,560,000
	9,280,000,000	IDR	European Investment Bank, Reg S, 6.95%, due 02/06/20‡‡‡		665,918
	8,150,000	ZAR	European Investment Bank, Reg S, 8.50%, due 09/17/24‡‡‡		528,320
	2,000,000		Ferrellgas, LP/Ferrellgas Finance Corp., 6.75%, due 06/15/23 144A		1,765,000
	2,500,000		Fiat Chrysler Automobiles NV, 4.50%, due 04/15/20‡		2,543,750
	649,000,000	COP	Financiera de Desarrollo Territorial SA Findeter, Reg S, 7.88%, due 08/12/24‡‡‡		185,351
	2,200,000		First Data Corp., 5.75%, due 01/15/24 144A		2,208,030
	500,000		First Data Corp., 7.00%, due 12/01/23 144A		506,875
	2,000,000		First Quantum Minerals, Ltd., 7.00%, due 02/15/21 144A		1,350,000
	2,200,000		FMG Resources August 2006 Pty, Ltd., 9.75%, due 03/01/22 144A		2,205,500
	1,000,000		Frontier Communications Co., 7.88%, due 01/15/27		800,000
	400,000	EUR	Galapagos Holding SA, 7.00%, due 06/15/22 144A		417,987
	800,000	EUR	Galapagos SA/Luxembourg, 5.38%, due 06/15/21 144A		879,970
	1,000,000		Goodrich Petroleum Corp., 8.00%, due 03/15/18¤ 144A		160,000
	350,000		Goodrich Petroleum Corp., 8.88%, due 03/15/18¤ 144A		56,000
	500,000		Goodyear Tire & Rubber Co. (The), 5.13%, due 11/15/23		513,750
	1,000,000		Goodyear Tire & Rubber Co. (The), 6.50%, due 03/01/21		1,053,750
	1,500,000		Grifols Worldwide Operations, Ltd., 5.25%, due 04/01/22		1,548,750
	600,000		Halcon Resources Corp., 8.88%, due 05/15/21		108,000
	900,000		Halcon Resources Corp., 13.00%, due 02/15/22‡ 144A		272,250
	2,500,000		HCA, Inc., 5.00%, due 03/15/24		2,564,062
	1,200,000		HCA, Inc., 5.88%, due 05/01/23		1,264,500

106 See accompanying Notes to the Financial Statements.

Mercer Opportunistic Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Par Value**			Description	Value ($)
			Corporate Debt — continued
	500,000		HD Supply, Inc., 5.75%, due 04/15/24†††† 144A		515,000
	300,000		Hertz Corp. (The), 6.25%, due 10/15/22‡		301,500
	1,000,000		Horizon Pharma Financing, Inc., 6.63%, due 05/01/23‡ 144A		887,500
	1,000,000		iHeartCommunications, Inc., 9.00%, due 03/01/21		700,000
	500,000		iHeartCommunications, Inc., 9.00%, due 09/15/22‡		349,375
	1,100,000	EUR	Infor US, Inc., 5.75%, due 05/15/22		1,052,945
	2,500,000		Intelsat Jackson Holdings SA, 5.50%, due 08/01/23		1,518,750
	8,860,000,000	IDR	Inter-American Development Bank, 7.35%, due 09/12/18		658,086
	2,000,000		InterGen NV, 7.00%, due 06/30/23 144A		1,375,000
	2,500,000		International Game Technology Plc, 6.25%, due 02/15/22 144A		2,555,750
	1,500,000		Jaguar Holding Co. II/Pharmaceutical Product Development LLC, 6.38%, due 08/01/23 144A		1,543,950
	800,000		Jarden Corp., 5.00%, due 11/15/23 144A		842,000
	1,000,000		JBS USA LLC/JBS USA Finance, Inc., 5.88%, due 07/15/24 144A		907,500
	1,000,000		JBS USA LLC/JBS USA Finance, Inc., 7.25%, due 06/01/21 144A		1,001,000
	1,000,000		JPMorgan Chase & Co., 5.00%† †††††		956,250
	1,500,000		JPMorgan Chase & Co., 6.00%† †††††		1,513,500
	700,000		KB Home, 4.75%, due 05/15/19		700,875
	1,000,000		KB Home, 7.50%, due 09/15/22		1,010,000
	1,000,000		Landry’s, Inc., 9.38%, due 05/01/20 144A		1,055,000
	600,000	EUR	Lincoln Finance, Ltd., 6.88%, due 04/15/21 144A		711,080
	1,300,000		Linn Energy LLC/Linn Energy Finance Corp., 12.00%, due 12/15/20 144A		185,250
	900,000		Martin Midstream Partners, LP/Martin Midstream Finance Corp., 7.25%, due 02/15/21		785,250
	500,000	EUR	Matterhorn Telecom Holding SA, 4.88%, due 05/01/23 144A		501,374
	1,300,000	EUR	Matterhorn Telecom SA, 3.88%, due 05/01/22 144A		1,399,938
	800,000		Memorial Resource Development Corp., 5.88%, due 07/01/22		680,000
	600,000		Microsemi Corp., 9.13%, due 04/15/23 144A		661,500
	1,000,000		Midstates Petroleum Co., Inc./Midstates Petroleum Co. LLC, 9.25%, due 06/01/21		41,250
	2,000,000		Millicom International Cellular SA, 6.63%, due 10/15/21 144A		2,022,500
	800,000		Murray Energy Corp., 11.25%, due 04/15/21 144A		108,000
	2,500,000		Navient Corp., 5.50%, due 01/15/19		2,468,750
	500,000		Neptune Finco Corp., 10.88%, due 10/15/25 144A		544,750
	1,500,000		Netflix, Inc., 5.88%, due 02/15/25		1,586,250
	200,000		NGL Energy Partners, LP/NGL Energy Finance Corp., 5.13%, due 07/15/19		122,000
	1,500,000		NOVA Chemicals Corp., 5.00%, due 05/01/25 144A		1,462,500
	1,500,000		Novelis, Inc., 8.38%, due 12/15/17		1,533,000
	1,500,000		NRG Yield Operating LLC, 5.38%, due 08/15/24‡		1,402,500
	2,000,000		Owens-Brockway Glass Container, Inc., 5.00%, due 01/15/22 144A		2,052,660
	2,000,000		Peabody Energy Corp., 10.00%, due 03/15/22 144A		160,000
	100,000		Penn Virginia Corp., 8.50%, due 05/01/20		13,000
	1,500,000		Petrobras Global Finance BV, 5.38%, due 01/27/21		1,243,695
	24,750,000	MXN	Petroleos Mexicanos, Reg S, 7.19%, due 09/12/24‡‡‡		1,255,124
	300,000		Platform Specialty Products Corp., 10.38%, due 05/01/21 144A		291,000
	1,000,000		Post Holdings, Inc., 6.00%, due 12/15/22 144A		1,033,750
	800,000		Post Holdings, Inc., 6.75%, due 12/01/21 144A		845,000
	200,000		Post Holdings, Inc., 7.38%, due 02/15/22		212,250
	1,000,000	EUR	PSPC Escrow Corp., 6.00%, due 02/01/23 144A		958,613
	1,400,000		QEP Resources, Inc., 5.25%, due 05/01/23		1,225,000
	1,500,000		Qorvo, Inc., 7.00%, due 12/01/25 144A		1,567,500

See accompanying Notes to the Financial Statements. 107

Mercer Opportunistic Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Par Value**			Description	Value ($)
			Corporate Debt — continued
	1,000,000		Radio One, Inc., 9.25%, due 02/15/20 144A		690,000
	1,000,000	EUR	Rain CII Carbon LLC/CII Carbon Corp., 8.50%, due 01/15/21 144A		817,947
	700,000		Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer, 5.75%, due 10/15/20		720,125
	1,900,000		Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer, 8.25%, due 02/15/21		1,957,000
	400,000		Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer, 9.00%, due 04/15/19		406,000
	2,800,000	EUR	Royal Bank of Scotland Plc (The), 6.93%, due 04/09/18		3,509,905
	500,000		Sabine Pass Liquefaction LLC, 5.63%, due 02/01/21		483,125
	1,000,000		Sabine Pass Liquefaction LLC, 5.63%, due 04/15/23		955,000
	500,000		Sabine Pass Liquefaction LLC, 5.63%, due 03/01/25		478,750
	1,000,000		Sanchez Energy Corp., 6.13%, due 01/15/23‡		545,000
	800,000	EUR	Sealed Air Corp., 4.50%, due 09/15/23 144A		970,897
	600,000	EUR	SIG Combibloc Holdings SCA, 7.75%, due 02/15/23 144A		732,316
	300,000		Sirius XM Radio, Inc., 5.38%, due 04/15/25 144A		306,000
	1,500,000		Sirius XM Radio, Inc., 6.00%, due 07/15/24 144A		1,582,500
	2,000,000		Sprint Communications, Inc., 6.00%, due 11/15/22		1,472,500
	500,000		Sprint Communications, Inc., 7.00%, due 03/01/20‡ 144A		502,500
	1,500,000		Sprint Corp., 7.13%, due 06/15/24		1,121,250
	500,000		Sprint Corp., 7.63%, due 02/15/25		373,750
	500,000		Sprint Corp., 7.88%, due 09/15/23		384,895
	300,000		Steel Dynamics, Inc., 5.13%, due 10/01/21		304,500
	1,000,000		Steel Dynamics, Inc., 5.50%, due 10/01/24		1,015,000
	1,000,000		Stena International SA, 5.75%, due 03/01/24 144A		825,000
	1,300,000		T-Mobile USA, Inc., 6.00%, due 04/15/24††††		1,319,500
	1,000,000		T-Mobile USA, Inc., 6.13%, due 01/15/22		1,037,500
	1,000,000		T-Mobile USA, Inc., 6.38%, due 03/01/25		1,027,500
	1,500,000		Talen Energy Supply LLC, 6.50%, due 06/01/25‡		1,252,500
	1,800,000		Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.63%, due 03/01/24 144A		1,732,500
	1,500,000		TEGNA, Inc., 5.13%, due 07/15/20		1,567,500
	1,000,000		Tenet Healthcare Corp., 5.00%, due 03/01/19		993,750
	1,800,000		Tenet Healthcare Corp., 8.13%, due 04/01/22		1,860,750
	1,200,000	GBP	Tesco Plc, 6.13%, due 02/24/22		1,853,722
	2,000,000		Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Series 1, 11.50%, due 10/01/20††† 144A		585,000
	200,000		TransDigm, Inc., 6.00%, due 07/15/22		200,250
	1,000,000		TransDigm, Inc., 6.50%, due 07/15/24		997,200
	800,000		TransDigm, Inc., 6.50%, due 05/15/25		785,000
	2,880,000	ZAR	Transnet SOC, Ltd., Reg S, 9.50%, due 05/13/21‡‡‡		178,939
	800,000		Triangle USA Petroleum Corp., 6.75%, due 07/15/22‡ 144A		154,000
	1,500,000		Ultra Petroleum Corp., 6.13%, due 10/01/24 144A		120,000
	800,000	EUR	Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 4.00%, due 01/15/25 144A		934,431
	810,000	EUR	Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 5.75%, due 01/15/23 144A		992,448
	1,600,000	EUR	UPCB Finance IV, Ltd., 4.00%, due 01/15/27 144A		1,780,671
	1,000,000		Valeant Pharmaceuticals International, Inc., 5.50%, due 03/01/23‡ 144A		791,250

108 See accompanying Notes to the Financial Statements.

Mercer Opportunistic Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Par Value**			Description	Value ($)
			Corporate Debt — continued
	1,000,000		Valeant Pharmaceuticals International, Inc., 5.63%, due 12/01/21 144A		792,500
	600,000		Valeant Pharmaceuticals International, Inc., 6.13%, due 04/15/25‡ 144A		463,500
	450,000	GBP	Virgin Media Secured Finance Plc, 5.50%, due 01/15/25 144A		637,083
	900,000	GBP	Virgin Media Secured Finance Plc, 6.00%, due 04/15/21 144A		1,354,529
	2,000,000		Western Digital Corp., 10.50%, due 04/01/24 144A††††		2,010,000
	1,200,000	EUR	Wind Acquisition Finance SA, 4.00%, due 07/15/20 144A		1,358,914
	700,000	EUR	Wind Acquisition Finance SA, 7.00%, due 04/23/21 144A		766,775
	2,000,000		WMG Acquisition Corp., 5.63%, due 04/15/22 144A		2,035,000
	1,400,000		WPX Energy, Inc., 8.25%, due 08/01/23‡		1,088,500
	700,000		Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.50%, due 03/01/25 144A		662,375
	800,000		Wynn Macau, Ltd., 5.25%, due 10/15/21 144A		758,000
	1,300,000	EUR	XPO Logistics, Inc., 5.75%, due 06/15/21 144A		1,419,347
					205,266,539
			Sovereign Debt Obligations — 43.2%
	18,230,000	BRL	Brazil Letras do Tesouro Nacional, 13.57%, due 01/01/18‡‡		4,115,309
	26,282,000	BRL	Brazil Letras do Tesouro Nacional, 14.59%, due 01/01/19‡‡		5,199,601
	3,000,000	BRL	Brazil Notas do Tesouro Nacional Serie B, 6.00%, due 05/15/35		2,299,093
	8,284,000	BRL	Brazil Notas do Tesouro Nacional Serie F, 10.00%, due 01/01/17		2,290,110
	40,576,000	BRL	Brazil Notas do Tesouro Nacional Serie F, 10.00%, due 01/01/18		10,953,734
	462,000	BRL	Brazil Notas do Tesouro Nacional Serie F, 10.00%, due 01/01/19		120,934
	15,525,000	BRL	Brazil Notas do Tesouro Nacional Serie F, 10.00%, due 01/01/21		3,857,161
	7,264,900,000	COP	Colombian TES, 6.00%, due 04/28/28		2,010,063
	1,270,200,000	COP	Colombian TES, 7.00%, due 09/11/19		419,810
	10,020,100,000	COP	Colombian TES, 7.00%, due 05/04/22		3,226,796
	2,541,700,000	COP	Colombian TES, 7.50%, due 08/26/26		811,206
	2,113,000,000	COP	Colombian TES, 7.75%, due 09/18/30		666,834
	9,664,500,000	COP	Colombian TES, 10.00%, due 07/24/24		3,617,870
	684,400,000	COP	Colombian TES, 11.00%, due 07/24/20		257,130
	1,467,800,000	COP	Colombian TES, 11.25%, due 10/24/18		534,609
	363,360,000	HUF	Hungary Government Bond, 2.50%, due 06/22/18		1,352,721
	400,600,000	HUF	Hungary Government Bond, 3.00%, due 06/26/24		1,484,170
	46,520,000	HUF	Hungary Government Bond, 3.50%, due 06/24/20		180,817
	343,000,000	HUF	Hungary Government Bond, 4.00%, due 04/25/18		1,314,464
	1,380,390,000	HUF	Hungary Government Bond, 5.50%, due 12/20/18		5,553,997
	17,200,000	HUF	Hungary Government Bond, 5.50%, due 06/24/25		76,299
	180,090,000	HUF	Hungary Government Bond, 6.00%, due 11/24/23		806,966
	607,960,000	HUF	Hungary Government Bond, 6.50%, due 06/24/19		2,548,928
	154,560,000	HUF	Hungary Government Bond, 7.00%, due 06/24/22		713,945
	2,436,000		Hungary Government International Bond, 6.38%, due 03/29/21		2,771,462
	26,811,000,000	IDR	Indonesia Treasury Bond, 5.63%, due 05/15/23		1,787,703
	8,900,000,000	IDR	Indonesia Treasury Bond, 6.13%, due 05/15/28		566,123
	15,988,000,000	IDR	Indonesia Treasury Bond, 6.63%, due 05/15/33		1,026,600
	3,300,000,000	IDR	Indonesia Treasury Bond, 7.00%, due 05/15/27		231,836
	24,388,000,000	IDR	Indonesia Treasury Bond, 7.88%, due 04/15/19		1,859,318
	68,368,000,000	IDR	Indonesia Treasury Bond, 8.38%, due 03/15/24		5,357,556
	29,213,000,000	IDR	Indonesia Treasury Bond, 8.38%, due 09/15/26		2,304,734
	21,619,000,000	IDR	Indonesia Treasury Bond, 8.38%, due 03/15/34		1,654,812
	33,162,000,000	IDR	Indonesia Treasury Bond, 9.00%, due 03/15/29		2,653,835

See accompanying Notes to the Financial Statements. 109

Mercer Opportunistic Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Par Value**			Description	Value ($)
			Sovereign Debt Obligations — continued
	3,006,000,000	IDR	Indonesia Treasury Bond, 10.50%, due 08/15/30		269,558
	645,000,000	IDR	Indonesia Treasury Bond, 12.80%, due 06/15/21		59,122
	3,200,000	MYR	Malaysia Government Bond, 3.26%, due 03/01/18		822,658
	120,000	MYR	Malaysia Government Bond, 3.48%, due 03/15/23		30,235
	1,059,000	MYR	Malaysia Government Bond, 3.58%, due 09/28/18		273,741
	999,000	MYR	Malaysia Government Bond, 3.89%, due 03/15/27		251,187
	8,779,000	MYR	Malaysia Government Bond, 3.96%, due 09/15/25		2,274,939
	174,000	MYR	Malaysia Government Bond, 4.16%, due 07/15/21		45,838
	16,055,000	MYR	Malaysia Government Bond, 4.18%, due 07/15/24		4,204,225
	1,950,000	MYR	Malaysia Government Bond, 4.26%, due 09/15/16		504,349
	1,068,000	MYR	Malaysia Government Bond, 4.39%, due 04/15/26		281,631
	32,500,000	MXN	Mexican Bonos, 5.00%, due 06/15/17		1,918,391
	8,085,400	MXN	Mexican Bonos, 6.50%, due 06/10/21		496,002
	68,250,000	MXN	Mexican Bonos, 6.50%, due 06/09/22		4,178,982
	68,530,000	MXN	Mexican Bonos, 7.75%, due 05/29/31		4,517,072
	29,310,000	MXN	Mexican Bonos, 7.75%, due 11/23/34		1,933,657
	25,260,000	MXN	Mexican Bonos, 8.00%, due 06/11/20		1,629,084
	40,100,000	MXN	Mexican Bonos, 8.50%, due 12/13/18		2,560,618
	7,197,300	MXN	Mexican Bonos, 8.50%, due 05/31/29		503,531
	17,400,000	MXN	Mexican Bonos, 10.00%, due 11/20/36		1,404,785
	6,643,000	PEN	Peruvian Government International Bond, Reg S, 5.70%, due 08/12/24‡‡‡		1,877,914
	3,186,000	PEN	Peruvian Government International Bond, Reg S, 6.95%, due 08/12/31‡‡‡		934,522
	3,400,000	PEN	Peruvian Government International Bond, Reg S, 7.84%, due 08/12/20‡‡‡		1,099,537
	6,818,000	PLN	Poland Government Bond, 1.50%, due 04/25/20		1,805,624
	3,943,000	PLN	Poland Government Bond, 2.00%, due 04/25/21		1,052,664
	13,533,000	PLN	Poland Government Bond, 2.50%, due 07/25/26		3,533,753
	4,375,000	PLN	Poland Government Bond, 3.25%, due 07/25/25		1,226,856
	11,047,000	PLN	Poland Government Bond, 4.00%, due 10/25/23		3,271,003
	4,043,000	PLN	Poland Government Bond, 5.25%, due 10/25/20		1,242,696
	6,017,000	PLN	Poland Government Bond, 5.50%, due 10/25/19		1,830,708
	993,000	PLN	Poland Government Bond, 5.75%, due 10/25/21		316,611
	5,715,000	RON	Romania Government Bond, 3.50%, due 12/19/22		1,508,185
	2,815,000	RON	Romania Government Bond, 4.75%, due 02/24/25		798,693
	9,090,000	RON	Romania Government Bond, 5.85%, due 04/26/23		2,743,113
	33,000,000	RUB	Russian Federal Bond - OFZ, 5.00%, due 08/08/18††		461,536
	182,000,000	RUB	Russian Federal Bond - OFZ, 6.20%, due 01/31/18		2,586,273
	187,389,000	RUB	Russian Federal Bond - OFZ, 6.40%, due 05/27/20		2,569,242
	379,209,000	RUB	Russian Federal Bond - OFZ, 6.70%, due 05/15/19		5,335,923
	5,500,000	RUB	Russian Federal Bond - OFZ, 7.00%, due 01/25/23		74,634
	28,973,000	RUB	Russian Federal Bond - OFZ, 7.00%, due 08/16/23		391,304
	60,596,000	RUB	Russian Federal Bond - OFZ, 7.00%, due 08/16/23		818,399
	21,000,000	RUB	Russian Federal Bond - OFZ, 7.40%, due 04/19/17		308,253
	206,000,000	RUB	Russian Federal Bond - OFZ, 7.40%, due 06/14/17		3,013,898
	6,960,000	RUB	Russian Federal Bond - OFZ, 7.50%, due 03/15/18		101,287
	67,880,000	RUB	Russian Federal Bond - OFZ, 7.50%, due 02/27/19		975,458
	120,903,000	RUB	Russian Federal Bond - OFZ, 7.60%, due 04/14/21		1,709,830
	87,467,000	RUB	Russian Federal Bond - OFZ, 7.60%, due 07/20/22		1,223,701
	44,000	RUB	Russian Federal Bond - OFZ, 8.15%, due 02/03/27		627
	20,000,000	RUB	Russian Foreign Bond - Eurobond, Reg S, 7.85%, due 03/10/18‡‡‡		292,106

110 See accompanying Notes to the Financial Statements.

Mercer Opportunistic Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Par Value**			Description	Value ($)
			Sovereign Debt Obligations — continued
	59,100,000	ZAR	South Africa Government Bond, 6.75%, due 03/31/21		3,708,818
	852,000	ZAR	South Africa Government Bond, 7.25%, due 01/15/20		55,532
	57,977,612	ZAR	South Africa Government Bond, 8.00%, due 01/31/30		3,488,709
	1,071,000	ZAR	South Africa Government Bond, 8.25%, due 09/15/17		73,028
	19,399,204	ZAR	South Africa Government Bond, 8.25%, due 03/31/32		1,169,452
	8,100,000	ZAR	South Africa Government Bond, 8.50%, due 01/31/37		487,388
	8,609,265	ZAR	South Africa Government Bond, 8.88%, due 02/28/35		540,865
	12,400,000	ZAR	South Africa Government Bond, 10.50%, due 12/21/26		921,982
	3,000,000	ZAR	South Africa Government Bond, 13.50%, due 09/15/16		209,393
	155,584,000	THB	Thailand Government Bond, 3.63%, due 06/16/23		5,036,375
	75,446,000	THB	Thailand Government Bond, 3.88%, due 06/13/19		2,313,190
	1,717,000	THB	Thailand Government Bond, 4.68%, due 06/29/44		67,492
	102,420,000	THB	Thailand Government Bond, 4.88%, due 06/22/29		3,904,825
	17,792,016	THB	Thailand Government Bond, Reg S, 1.25%, due 03/12/28‡‡‡		486,379
	8,186,000	TRY	Turkey Government Bond, 7.40%, due 02/05/20		2,709,576
	4,165,394	TRY	Turkey Government Bond, 8.00%, due 03/12/25		1,332,521
	4,875,741	TRY	Turkey Government Bond, 8.30%, due 06/20/18		1,689,202
	3,885,833	TRY	Turkey Government Bond, 8.50%, due 07/10/19		1,340,728
	1,710,885	TRY	Turkey Government Bond, 8.50%, due 09/14/22		574,052
	1,831,712	TRY	Turkey Government Bond, 8.80%, due 11/14/18		639,313
	6,354,674	TRY	Turkey Government Bond, 9.00%, due 07/24/24		2,169,982
					178,809,303
			TOTAL DEBT OBLIGATIONS (COST $435,746,433)		384,075,842
Par Value ($)			Description	Value ($)
			SHORT-TERM INVESTMENTS — 10.2%
			Bank Deposit — 5.2%
	21,444,720		State Street Bank & Trust Euro Time Deposit, 0.01%, due 04/01/16		21,444,720
			Securities Lending Collateral — 5.0%
	20,602,453		State Street Institutional U.S. Government Money Market Fund, Premier Class***		20,602,453
			TOTAL SHORT-TERM INVESTMENTS (COST $42,047,173)		42,047,173
			TOTAL INVESTMENTS — 102.9% (Cost $477,793,606)		426,123,015
			Other Assets and Liabilities (net) — (2.9)%		(11,861,326	)
			NET ASSETS — 100.0%	$	414,261,689

See accompanying Notes to the Financial Statements. 111

Mercer Opportunistic Fixed Income Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

	Notes to Schedule of Investments:
**	Unless otherwise indicated, all par values are denominated in United States dollars ($).
***	Represents an investment of securities lending cash collateral.
¤	Illiquid security. The total market value of the securities at year end is $216,000 which represents 0.1% of net assets. The aggregate tax cost of these securities held at March 31, 2016 was $1,154,127.
†	Floating rate note. Rate shown is as of March 31, 2016.
††	Debt obligation initially issued in zero coupon form which converts to coupon form at a specific rate and date. The rate shown is the rate at period end.
†††	Security is currently in default.
††††	When-issued security.
†††††	Security is perpetual and has no stated maturity date.
‡	All or a portion of this security is out on loan.
‡‡	Interest rate presented is yield to maturity.
‡‡‡	Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
	144A — Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The total market value of the securities at year end is $97,000,947 which represents 23.4% of net assets.

112 See accompanying Notes to the Financial Statements.

Mercer Opportunistic Fixed Income Fund

Schedule of Investments (Continued)

March 31, 2016

Forward Foreign Currency Contracts

Settlement Date		Currency	Counterparty	Units of Currency		Value		Unrealized Appreciation (Depreciation)
	Buys
	06/15/16	BRL	Citibank N.A.		9,783,648	$	2,701,835	$	109,522
	06/02/16	BRL	Goldman Sachs International		28,952,000		8,024,849		383,883
	06/15/16	BRL	Goldman Sachs International		13,807,485		3,813,051		199,086
	06/15/16	CLP	Citibank N.A.		114,549,000		170,643		3,124
	06/15/16	CLP	Goldman Sachs International		3,277,427,000		4,882,356		85,021
	06/15/16	CNY	Goldman Sachs International		37,932,000		5,848,366		4,133
	04/20/16	CNY	Standard Chartered Bank		38,050,000		5,879,480		261,585
	06/15/16	COP	Goldman Sachs International		12,382,623,000		4,088,253		65,238
	06/16/16	EUR	Citibank N.A.		219,670		250,726		8,851
	06/15/16	EUR	Citibank N.A.		1,708,000		1,949,404		51,722
	06/15/16	EUR	Goldman Sachs International		1,568,760		1,790,484		46,760
	04/28/16	GBP	Deutsche Bank AG London		309,578		445,205		(32,907	)
	06/16/16	GBP	Deutsche Bank AG London		222,000		319,309		(17,731	)
	08/18/16	GBP	Deutsche Bank AG London		1,000,000		1,438,940		(8,760	)
	06/15/16	HUF	Goldman Sachs International		185,720,000		673,250		(1,360	)
	06/15/16	IDR	Standard Chartered Bank		68,902,393,000		5,137,838		1,618
	06/15/16	MXN	Citibank N.A.		103,146,000		5,952,302		218,547
	06/15/16	MYR	Standard Chartered Bank		18,241,694		4,649,109		206,417
	08/17/16	NGN	Citibank N.A.		82,343,478		402,562		66,535
	08/10/16	NGN	Citibank N.A.		440,574,333		2,156,812		379,563
	08/10/16	NGN	Goldman Sachs International		132,094,344		646,662		92,052
	08/10/16	NGN	Standard Chartered Bank		78,488,416		384,237		57,881
	08/10/16	NGN	Standard Chartered Bank		96,049,818		470,208		76,114
	06/15/16	PHP	Citibank N.A.		43,048,000		931,093		13,812
	06/15/16	PLN	Citibank N.A.		9,016,869		2,417,091		99,011
	06/15/16	PLN	Deutsche Bank AG		5,070,583		1,359,237		55,661
	06/15/16	PLN	Goldman Sachs International		13,513,641		3,622,510		148,230
	06/15/16	RON	Citibank N.A.		10,238,000		2,611,108		114,401
	06/15/16	RUB	Citibank N.A.		9,484,143		138,432		8,334
	09/21/16	RUB	Citibank N.A.		7,579,127		108,013		706
	06/15/16	RUB	Deutsche Bank AG		105,782,000		1,544,015		24,813
	06/15/16	RUB	Goldman Sachs International		151,734,605		2,214,748		136,065
	06/15/16	THB	Barclays Bank Plc		37,537,049		1,065,230		4,262
	06/15/16	THB	Citibank N.A.		378,487,878		10,740,767		16,009
	06/15/16	THB	Deutsche Bank AG		6,909,009		196,065		(521	)
	06/15/16	THB	Standard Chartered Bank		107,615,530		3,053,924		(5,073	)
	06/15/16	TRY	Citibank N.A.		9,226,462		3,204,194		88,899
	06/15/16	TRY	Goldman Sachs International		3,519,549		1,222,280		40,747
	06/15/16	ZAR	Citibank N.A.		12,451,000		834,290		41,914
	06/15/16	ZAR	Goldman Sachs International		115,025,000		7,707,352		149,362
								$	3,193,526
	Sales
	06/02/16	BRL	Deutsche Bank AG		9,223,000	$	2,556,410	$	(854	)
	06/02/16	BRL	Goldman Sachs International		61,162,400		16,952,853		(1,972,945	)
	06/15/16	BRL	Goldman Sachs International		4,275,000		1,180,577		(28,007	)
	02/15/17	CNY	Citibank N.A.		71,266,000		10,923,278		(434,346	)

See accompanying Notes to the Financial Statements. 113

Mercer Opportunistic Fixed Income Fund

Schedule of Investments (Continued)

March 31, 2016

Forward Foreign Currency Contracts — continued

Settlement Date		Currency	Counterparty	Units of Currency		Value		Unrealized Appreciation (Depreciation)
	06/15/16	CNY	Deutsche Bank AG		6,670,000	$	1,028,382	$	(6,160	)
	04/20/16	CNY	Goldman Sachs International		38,050,000		5,879,480		1,390
	06/15/16	CNY	Goldman Sachs International		37,586,000		5,795,020		(81,560	)
	06/15/16	COP	Goldman Sachs International		3,204,600,587		1,058,033		(59,715	)
	06/16/16	EUR	Barclays Bank Plc		96,243		109,849		(3,913	)
	06/15/16	EUR	Citibank N.A.		2,224,000		2,538,334		(34,789	)
	08/18/16	EUR	Deutsche Bank AG London		817,200		934,780		(30,630	)
	06/15/16	HUF	Citibank N.A.		3,249,880,516		11,781,077		(186,701	)
	06/15/16	ILS	Citibank N.A.		34,680,000		9,249,471		(276,499	)
	06/15/16	ILS	Deutsche Bank AG		2,850,000		760,121		(18,551	)
	06/15/16	KRW	Barclays Bank Plc		457,552,775		399,360		(21,608	)
	06/15/16	KRW	Barclays Bank Plc		247,247,831		215,802		(11,676	)
	06/15/16	KRW	Citibank N.A.		5,783,512,394		5,047,953		(279,655	)
	05/18/16	NGN	Citibank N.A.		290,441,323		1,448,535		(285,284	)
	08/10/16	NGN	Citibank N.A.		67,147,677		328,718		(67,444	)
	08/10/16	NGN	Goldman Sachs International		180,842,000		885,304		(225,297	)
	06/15/16	PEN	Citibank N.A.		5,908,780		1,766,684		(71,438	)
	06/15/16	PEN	Goldman Sachs International		19,974,291		5,972,172		(123,276	)
	06/15/16	PEN	Standard Chartered Bank		8,180,963		2,446,050		(100,591	)
	06/15/16	PLN	Citibank N.A.		5,216,000		1,398,218		(38,688	)
	06/15/16	RON	Citibank N.A.		5,940,000		1,514,943		(38,359	)
	06/15/16	RUB	Barclays Bank Plc		152,395,813		2,224,399		(148,657	)
	06/15/16	RUB	Citibank N.A.		248,275,596		3,623,879		(237,456	)
	06/15/16	RUB	Goldman Sachs International		122,608,983		1,789,625		(118,747	)
	06/15/16	SGD	Goldman Sachs International		13,007,000		9,655,391		(266,656	)
	06/15/16	TRY	Citibank N.A.		12,417,000		4,312,214		(159,732	)
	06/15/16	TWD	Barclays Bank Plc		132,195,440		4,110,542		(89,388	)
	06/15/16	TWD	Citibank N.A.		117,766,202		3,661,873		(85,071	)
	06/15/16	TWD	Goldman Sachs International		43,805,042		1,362,093		(30,835	)
	06/15/16	TWD	Standard Chartered Bank		64,737,316		2,012,970		(45,569	)
	06/15/16	ZAR	Citibank N.A.		92,629,000		6,206,688		(385,047	)
								$	(5,963,754	)

Cross-Currency Forwards

Settlement Date		Receive/Deliver	Counterparty	Contract Amount Purchased		Contract Amount Sold		Unrealized Appreciation (Depreciation)
	06/15/16	PLN/EUR	Citibank N.A.		9,870,811		2,302,413	$	18,172

114 See accompanying Notes to the Financial Statements.

Mercer Opportunistic Fixed Income Fund

Schedule of Investments (Continued)

March 31, 2016

Currency Abbreviations

BRL — Brazilian Real

CLP — Chilean Peso

CNY — Chinese Yuan

COP — Colombian Peso

EUR — Euro

GBP — British Pound Sterling

HUF — Hungarian Forint

IDR — Indonesian Rupiah

ILS — Israeli Shekel

KRW — South Korean Won

MXN — Mexican Peso

MYR — Malaysian Ringgit

NGN — Nigeria Naira

PEN — Peruvian Nouveau Sol

PHP — Philippines Peso

PLN — Polish Zloty

RON — New Romanian Leu

RUB — Russian Ruble

SGD — Singapore Dollar

THB — Thai Baht

TRY — New Turkish Lira

TWD — Taiwan Dollar

ZAR — South African Rand

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Unrealized Appreciation (Depreciation)
	Buys
	97	South Africa Government Bond, Series R186	May 2016	$	746,930	$	25,284
	39	South Africa Government Bond, Series R2035	May 2016		249,350		6,606
	469	South Africa Government Bond, Series R2037	May 2016		2,893,851		96,283
	119	South Africa Government Bond, Series R204	May 2016		826,017		10,416
	1,371	South Africa Government Bond, Series R207	May 2016		9,143,871		78,711
	481	South Africa Government Bond, Series R208	May 2016		3,044,631		79,777
						$	297,077

See accompanying Notes to the Financial Statements. 115

Mercer Opportunistic Fixed Income Fund

Schedule of Investments (Continued)

March 31, 2016

Asset Class Summary (Unaudited)	% of Net Assets
Corporate Debt		49.5
Sovereign Debt Obligations		43.2
Futures Contracts		0.1
Forward Foreign Currency Contracts		(0.7	)
Short-Term Investments		10.2
Other Assets and Liabilities (net)		(2.3	)
		100.0	%

116 See accompanying Notes to the Financial Statements.

Mercer Emerging Markets Equity Fund

Schedule of Investments

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		COMMON STOCKS — 88.1%
		Bermuda — 1.0%
	570,756	Cosan, Ltd. Class A		2,808,120
	31,229	Credicorp, Ltd.		4,091,311
	23,501,906	GOME Electrical Appliances Holding, Ltd.‡		3,363,237
	1,907,000	Nine Dragons Paper Holdings, Ltd.		1,435,804
		Total Bermuda		11,698,472
		Brazil — 4.4%
	1,947,814	AMBEV SA, ADR		10,089,676
	896,300	AMBEV SA		4,759,697
	1,024,083	Banco Bradesco SA, ADR‡		7,629,418
	445,800	Banco do Brasil SA		2,486,870
	155,200	BB Seguridade Participacoes SA		1,300,632
	691,900	BM&FBovespa SA - Bolsa de Valores Mercadorias e Futuros		3,002,658
	255,900	BRF SA		3,704,918
	160,300	Cosan SA Industria e Comercio		1,419,813
	301,200	Estacio Participacoes SA		1,004,567
	311,876	Itau Unibanco Holding SA, ADR‡		2,679,015
	1,643,100	JBS SA		5,076,734
	47,000	Klabin SA		256,882
	118,100	Kroton Educacional SA		382,559
	293,800	Lojas Renner SA		1,723,505
	14,300	Natura Cosmeticos SA		107,089
	48,900	Porto Seguro SA		375,857
	112,000	Raia Drogasil SA		1,649,661
	14,760	Totvs SA		113,282
	94,700	Ultrapar Participacoes SA		1,864,874
	146,900	WEG SA		580,719
		Total Brazil		50,208,426
		Cayman Islands — 8.5%
	46,053	Alibaba Group Holding, Ltd., Sponsored ADR*		3,639,569
	1,323,000	ANTA Sports Products, Ltd.		2,926,904
	43,795	Baidu, Inc., Sponsored ADR*		8,359,590
	2,947,000	Belle International Holdings, Ltd.		1,705,917
	56,000	Casetek Holdings, Ltd.		304,499
	1,186,000	China Conch Venture Holdings, Ltd.		2,339,416
	1,444,000	China Medical System Holdings, Ltd.		2,003,138
	804,000	China Mengniu Dairy Co., Ltd.		1,281,168
	488,000	China Resources Land, Ltd.		1,249,483
	255,000	Country Garden Holdings Co., Ltd.		100,599
	13,232	Ctrip.com International, Ltd., ADR*		585,648
	5,013,500	Dali Foods Group Co., Ltd.* ‡ 144A		3,031,414
	572,000	ENN Energy Holdings, Ltd.		3,156,249
	4,022,000	Evergrande Real Estate Group, Ltd.‡		3,100,806
	6,480,000	Geely Automobile Holdings, Ltd.		3,191,316
	130,500	Hengan International Group Co., Ltd.		1,133,129
	15,889	JD.com, Inc., ADR*		421,059

See accompanying Notes to the Financial Statements. 117

Mercer Emerging Markets Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		Cayman Islands — continued
	378,000	Kingsoft Corp., Ltd.‡		889,865
	7,756,652	Lee & Man Paper Manufacturing, Ltd.		5,280,069
	165,000	Longfor Properties Co., Ltd.		234,847
	54,254	NetEase, Inc., ADR		7,789,789
	4,304	Qihoo 360 Technology Co., Ltd., ADR* ‡		325,167
	1,310,000	Shimao Property Holdings, Ltd.‡		1,932,096
	47,486	Silicon Motion Technology Corp., ADR		1,842,932
	919,000	Sino Biopharmaceutical, Ltd.		687,187
	1,321,900	Tencent Holdings, Ltd.		27,012,157
	2,498,000	Want Want China Holdings, Ltd.‡		1,851,790
	7,596,332	WH Group, Ltd.* 144A		5,503,914
	8,132,000	Xinyi Solar Holdings, Ltd.‡		2,872,628
	1,249,000	Zhen Ding Technology Holding, Ltd.		2,794,183
		Total Cayman Islands		97,546,528
		Chile — 0.9%
	30,762,305	Banco de Chile		3,320,633
	75,617	Banco Santander Chile, ADR		1,463,189
	39,561,605	Banco Santander Chile		1,922,895
	178,066	Cencosud SA		451,967
	38,294,758	Corpbanca SA		350,737
	94,339	Empresas COPEC SA		905,534
	101,598	Enersis SA, Sponsored ADR		1,412,212
	134,097	Latam Airlines Group SA, Sponsored ADR* ‡		938,679
		Total Chile		10,765,846
		China — 11.9%
	8,249,000	Agricultural Bank of China, Ltd. Class H		2,967,132
	1,454,000	Air China, Ltd. Class H		1,031,000
	1,184,500	Anhui Conch Cement Co., Ltd. Class H		3,176,361
	267,000	AviChina Industry & Technology Co., Ltd. Class H		199,306
	38,949,000	Bank of China, Ltd. Class H		16,169,016
	2,324,000	Bank of Communications Co., Ltd. Class H		1,528,050
	4,936,000	China Cinda Asset Management Co., Ltd. Class H		1,724,550
	2,456,000	China CITIC Bank Corp., Ltd. Class H*		1,507,185
	4,930,000	China Communications Services Corp., Ltd. Class H		2,249,995
	29,844,000	China Construction Bank Corp. Class H		19,084,031
	4,736,000	China Everbright Bank Co., Ltd. Class H		2,283,572
	1,555,500	China Galaxy Securities Co., Ltd. Class H		1,516,084
	5,600	China International Capital Corp., Ltd. Class H* 144A		8,476
	2,206,000	China Life Insurance Co., Ltd. Class H		5,443,508
	51,500	China Merchants Bank Co., Ltd. Class H		108,225
	5,390,000	China Petroleum & Chemical Corp. Class H		3,543,972
	2,759,000	China Shenhua Energy Co., Ltd. Class H		4,346,646
	204,000	China Southern Airlines Co., Ltd. Class H		128,872
	138,000	China Vanke Co., Ltd. Class H		338,393
	838,000	Chongqing Rural Commercial Bank Co., Ltd. Class H		442,955
	105,000	Dalian Wanda Commercial Properties Co., Ltd. Class H		621,346
	4,502,000	Dongfeng Motor Group Co., Ltd. Class H		5,612,591

118 See accompanying Notes to the Financial Statements.

Mercer Emerging Markets Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		China — continued
	799,000	Great Wall Motor Co., Ltd. Class H		648,961
	2,032,400	Guangzhou R&F Properties Co., Ltd. Class H		2,903,223
	95,200	Haitong Securities Co., Ltd. Class H		162,501
	236,000	Huadian Power International Corp., Ltd. Class H		149,391
	7,968,000	Huaneng Power International, Inc. Class H		7,108,645
	36,176,000	Industrial & Commercial Bank of China Class H		20,288,092
	2,704,000	Jiangsu Expressway Co., Ltd. Class H		3,646,446
	2,453,000	Jiangxi Copper Co., Ltd. Class H		2,950,602
	4,897,000	People’s Insurance Co. Group of China, Ltd. (The) Class H		2,070,787
	3,646,760	PICC Property & Casualty Co., Ltd. Class H		6,694,969
	2,620,000	Sinopec Engineering Group Co., Ltd. Class H		2,131,386
	2,438,000	Sinopec Shanghai Petrochemical Co., Ltd. Class H*		1,235,258
	1,879,200	Sinopharm Group Co., Ltd. Class H		8,443,202
	1,193,000	TravelSky Technology, Ltd. Class H		1,959,482
	1,193,000	Weichai Power Co., Ltd. Class H		1,330,417
	376,000	Zhejiang Expressway Co., Ltd. Class H		401,374
	194,000	Zhuzhou CSR Times Electric Co., Ltd. Class H		1,130,503
		Total China		137,286,505
		Colombia — 0.1%
	211,807	Cementos Argos SA		819,506
	272,341	Interconexion Electrica SA ESP		784,395
		Total Colombia		1,603,901
		Czech Republic — 0.2%
	12,449	Komercni Banka AS		2,753,490
		Denmark — 0.3%
	29,074	Carlsberg AS Class B‡		2,774,903
		Hong Kong — 5.1%
	1,382,200	AIA Group, Ltd.		7,831,793
	206,000	China Everbright International, Ltd.		230,791
	774,000	China Everbright, Ltd.		1,616,543
	100,000	China Merchants Holdings International Co., Ltd.		296,524
	140,372	China Mobile, Ltd., Sponsored ADR		7,783,627
	1,668,500	China Mobile, Ltd.		18,585,376
	2,202,658	China Overseas Land & Investment, Ltd.		6,971,560
	814,000	China Power International Development, Ltd.		423,972
	2,941,431	China Resources Power Holdings Co., Ltd.		5,475,922
	446,000	China Taiping Insurance Holdings Co., Ltd.*		978,646
	1,581,000	CNOOC, Ltd.		1,869,100
	3,122,000	CSPC Pharmaceutical Group, Ltd.		2,821,515
	441,000	Far East Horizon, Ltd.		339,425
	471,772	Guangdong Investment, Ltd.		597,276
	1,069,000	Shanghai Industrial Holdings, Ltd.		2,505,550
	184,000	Sino-Ocean Land Holdings, Ltd.		87,534
		Total Hong Kong		58,415,154

See accompanying Notes to the Financial Statements. 119

Mercer Emerging Markets Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		Hungary — 0.7%
	239,877	OTP Bank Nyrt		6,025,955
	120,814	Richter Gedeon Nyrt		2,409,660
		Total Hungary		8,435,615
		India — 7.8%
	721,892	Aurobindo Pharma, Ltd.		8,121,251
	73,260	Bajaj Auto, Ltd.		2,657,538
	34,390	Bharat Petroleum Corp., Ltd.		470,157
	152,777	Cipla, Ltd.		1,185,580
	161,039	Coal India, Ltd.		710,203
	46,146	Divi’s Laboratories, Ltd.		689,168
	85,750	Dr. Reddy’s Laboratories, Ltd., ADR‡		3,875,043
	1,348	Eicher Motors, Ltd.		390,828
	20,904	Glenmark Pharmaceuticals, Ltd.		250,952
	25,827	Godrej Consumer Products, Ltd.		538,575
	608,360	HCL Technologies, Ltd. Class T		7,472,385
	5,198	Hero MotoCorp Ltd.		230,769
	134,080	Hindustan Unilever, Ltd.		1,766,947
	46,620	Housing Development Finance Corp., Ltd.		779,317
	474,952	Idea Cellular, Ltd.		806,140
	445,874	Indiabulls Housing Finance, Ltd.		4,376,430
	567,701	Infosys, Ltd.		10,458,609
	305,809	Infosys, Ltd., Sponsored ADR		5,816,487
	1,061,612	ITC, Ltd.		5,250,148
	1,682,431	JSW Energy, Ltd.		1,765,698
	67,132	LIC Housing Finance, Ltd.		497,743
	183,890	Marico, Ltd.		680,328
	310,057	Motherson Sumi Systems, Ltd.		1,231,379
	5,268	Nestle India, Ltd.		453,435
	982,003	Oil & Natural Gas Corp., Ltd.		3,175,597
	572,466	Power Finance Corp., Ltd.		1,479,953
	22,332	Reliance Industries, Ltd. (London Exchange), GDR 144A		684,476
	982,688	Rural Electrification Corp., Ltd.		2,466,273
	8,140	Siemens, Ltd.		134,719
	19,585	State Bank of India, Ltd., Reg S, GDR‡‡‡		573,841
	74,119	Sun Pharmaceutical Industries, Ltd.		924,606
	212,088	Tata Consultancy Services, Ltd.		8,102,724
	540,690	Tata Motors, Ltd.*		3,173,637
	36,953	Tata Motors, Ltd., Sponsored ADR* ‡		1,073,485
	597,668	Wipro, Ltd.		5,117,711
	114,614	Wipro, Ltd., ADR‡		1,441,844
	49,794	Zee Entertainment Enterprises, Ltd.¤		291,068
		Total India		89,115,044
		Indonesia — 2.3%
	4,346,300	Astra International Tbk PT		2,376,371
	1,209,900	Bank Central Asia Tbk PT		1,213,550
	292,000	Bank Mandiri Persero Tbk PT		226,817
	2,595,500	Bank Negara Indonesia Persero Tbk PT		1,017,843

120 See accompanying Notes to the Financial Statements.

Mercer Emerging Markets Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		Indonesia — continued
	971,400	Bank Rakyat Indonesia Persero Tbk PT		836,972
	1,507,400	Indofood Sukses Makmur Tbk PT		821,340
	23,089,600	Kalbe Farma Tbk PT		2,516,174
	3,370,500	Lippo Karawaci Tbk PT		265,624
	409,500	Matahari Department Store Tbk PT		566,691
	41,985,800	Telekomunikasi Indonesia Persero Tbk PT		10,528,113
	32,145	Telekomunikasi Indonesia Persero Tbk PT, Sponsored ADR		1,634,573
	190,400	Unilever Indonesia Tbk PT		616,359
	3,049,610	United Tractors Tbk PT		3,518,781
		Total Indonesia		26,139,208
		Luxembourg — 0.2%
	116,345	Ternium SA, Sponsored ADR		2,091,883
		Malaysia — 1.3%
	8,537,815	AirAsia Bhd		4,004,665
	2,049,900	AMMB Holdings Bhd		2,416,901
	414,100	Astro Malaysia Holdings Bhd		317,355
	914,900	Axiata Group Bhd		1,381,202
	930,500	Berjaya Sports Toto Bhd		753,654
	387,200	Genting Bhd		972,590
	106,900	Genting Malaysia Bhd		124,395
	421,100	IHH Healthcare Bhd		708,039
	275,000	IJM Corp. Bhd		248,814
	462,200	Malayan Banking Bhd		1,068,575
	859,400	Petronas Chemicals Group Bhd		1,478,040
	27,000	Petronas Dagangan Bhd		166,782
	199,700	Public Bank Bhd		961,263
	159,700	Tenaga Nasional Bhd		570,606
		Total Malaysia		15,172,881
		Malta — 0.1%
	58,362	Brait SE*		662,663
		Mexico — 3.8%
	678,300	Alfa SAB de CV Class A		1,376,172
	43,252	America Movil SAB de CV Series L, Sponsored ADR‡		671,704
	3,382,800	America Movil SAB de CV Series L		2,652,906
	126,000	Arca Continental SAB de CV		881,748
	78,416	Cemex SAB de CV, Sponsored ADR*		570,869
	29,300	El Puerto de Liverpool SAB de CV		348,996
	419,400	Fibra Uno Administracion SA de CV REIT		983,541
	280,400	Fomento Economico Mexicano SAB de CV		2,724,524
	78,382	Fomento Economico Mexicano SAB de CV, Sponsored ADR		7,548,970
	834,200	Gentera SAB de CV		1,659,857
	207,600	Gruma SAB de CV Class B		3,319,008
	171,700	Grupo Aeroportuario del Pacifico SAB de CV Class B		1,540,794
	21,236	Grupo Aeroportuario del Sureste SAB de CV, ADR		3,189,010
	735,599	Grupo Financiero Banorte SAB de CV Series O		4,202,564

See accompanying Notes to the Financial Statements. 121

Mercer Emerging Markets Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		Mexico — continued
	1,049,240	Grupo GICSA SA de CV*		842,441
	253,500	Grupo Lala SAB de CV		694,628
	1,643,639	Grupo Mexico SAB de CV Series B		3,997,425
	48,200	Grupo Televisa SAB, Sponsored ADR		1,323,572
	657,800	Kimberly-Clark de Mexico SAB de CV Class A		1,602,111
	555,800	OHL Mexico SAB de CV*		886,997
	1,294,300	Wal-Mart de Mexico SAB de CV		3,088,904
		Total Mexico		44,106,741
		Netherlands — 0.1%
	225,863	Steinhoff International Holdings NV		1,487,274
		Philippines — 0.5%
	2,187,319	Metropolitan Bank & Trust Co.		3,916,700
	50,320	Philippine Long Distance Telephone Co.		2,163,831
		Total Philippines		6,080,531
		Poland — 0.6%
	24,139	Alior Bank SA*		421,309
	4,790	Bank Pekao SA		211,965
	114,445	Energa SA		403,120
	124,295	Eurocash SA		1,781,654
	218,065	Orange Polska SA		394,895
	397,884	PGE Polska Grupa Energetyczna SA		1,494,510
	810,321	Polskie Gornictwo Naftowe i Gazownictwo SA		1,158,255
	129,323	Powszechna Kasa Oszczednosci Bank Polski SA*		965,953
		Total Poland		6,831,661
		Qatar — 0.7%
	118,175	Commercial Bank QSC (The)		1,351,675
	45,881	Industries Qatar QSC		1,364,561
	25,611	Ooredoo QSC		654,095
	118,270	Qatar National Bank SAQ		4,573,081
		Total Qatar		7,943,412
		Romania — 0.1%
	39,231	New Europe Property Investments Plc		500,977
		Russia — 1.9%
	487,555	Gazprom PAO, Sponsored ADR		2,102,825
	906,947	Gazprom PAO (OTC Exchange), Sponsored ADR‡		3,908,942
	50,065	LUKOIL PJSC (Euroclear Shares), Sponsored ADR		1,923,247
	24,182	MegaFon PJSC, Reg S, (London Exchange), GDR‡‡‡		266,002
	183,167	MMC Norilsk Nickel PJSC, ADR		2,373,844
	60,473	MMC Norilsk Nickel PJSC, (London Exchange), ADR		780,706
	7,128	NOVATEK OAO, Reg S, GDR‡‡‡		640,451
	439,370	Rosneft Oil Co., Reg S, GDR‡‡‡		1,995,619
	92,659	Rosneft Oil Co., Reg S, (London Exchange), GDR‡‡‡		420,857

122 See accompanying Notes to the Financial Statements.

Mercer Emerging Markets Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		Russia — continued
	85,321	Severstal PAO, Reg S, GDR‡‡‡		902,696
	293,937	Sistema JSFC, Reg S, GDR‡‡‡		1,898,833
	137,124	Surgutneftegas OAO, Sponsored ADR		799,433
	115,501	Tatneft PAO, Sponsored ADR‡		3,749,162
	9,788	Tatneft PAO (London Exchange), Sponsored ADR		311,650
		Total Russia		22,074,267
		South Africa — 4.3%
	41,638	Aspen Pharmacare Holdings, Ltd.*		906,422
	244,982	Barclays Africa Group, Ltd.‡		2,491,627
	1,269,075	FirstRand, Ltd.‡		4,173,590
	137,582	Foschini Group, Ltd. (The)		1,323,062
	390,382	Growthpoint Properties, Ltd.		652,141
	36,256	Hyprop Investments, Ltd. REIT		290,063
	80,065	Imperial Holdings, Ltd.‡		818,723
	214,864	Investec, Ltd.		1,605,637
	155,971	Liberty Holdings, Ltd.‡		1,533,093
	1,546,748	MMI Holdings, Ltd.‡		2,618,577
	206,140	Mondi, Ltd.		3,979,141
	577,451	MTN Group, Ltd.‡		5,308,089
	28,391	Naspers, Ltd. Class N		3,978,369
	473,306	Netcare, Ltd.		1,161,704
	56,247	Pick n Pay Stores, Ltd.‡		268,615
	728,346	Redefine Properties, Ltd.		593,254
	39,012	Remgro, Ltd.		663,586
	29,715	Resilient, Ltd. REIT		273,835
	259,450	RMB Holdings, Ltd.‡		1,080,630
	130,394	Sasol, Ltd.		3,914,480
	47,794	Shoprite Holdings, Ltd.		564,182
	216,048	Spar Group, Ltd. (The)		2,923,141
	229,885	Standard Bank Group, Ltd.		2,070,653
	340,272	Telkom SA SOC, Ltd.		1,331,891
	363,648	Truworths International, Ltd.‡		2,428,441
	957,865	Tsogo Sun Holdings, Ltd.		1,539,565
	85,496	Woolworths Holdings, Ltd.		521,242
		Total South Africa		49,013,753
		South Korea — 12.4%
	376	Amorepacific Corp.		127,076
	2,447	AMOREPACIFIC Group		313,471
	25,143	Celltrion, Inc.* ‡		2,414,045
	4,524	CJ CheilJedang Corp.		1,374,685
	1,083	CJ Corp.		185,140
	36,247	Coway Co., Ltd.		3,058,618
	171,800	Daewoo International Corp.		3,244,911
	44,818	Daewoo Securities Co., Ltd.		324,104
	28,287	DGB Financial Group, Inc.		220,142
	70,850	Dongbu Insurance Co., Ltd.		4,702,269
	34,729	Hana Financial Group, Inc.		753,130

See accompanying Notes to the Financial Statements. 123

Mercer Emerging Markets Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		South Korea — continued
	5,058	Hanmi Science Co., Ltd.		659,008
	226,601	Hanon Systems		1,822,953
	54,385	Hanwha Chemical Corp.		1,186,521
	103,612	Hanwha Corp.		3,216,357
	331,987	Hanwha Life Insurance Co., Ltd.		1,945,010
	16,281	Hyundai Department Store Co., Ltd.		1,957,535
	11,313	Hyundai Development Co-Engineering & Construction		454,558
	12,048	Hyundai Engineering & Construction Co., Ltd.		444,057
	107,659	Hyundai Marine & Fire Insurance Co., Ltd.		3,125,462
	6,821	Hyundai Mobis Co., Ltd.		1,485,160
	41,969	Hyundai Motor Co.		5,596,601
	5,729	Hyundai Wia Corp.		526,010
	209,167	Kangwon Land, Inc.		7,480,702
	185,654	KB Financial Group, Inc.		5,170,584
	156,033	Kia Motors Corp.		6,590,061
	110,920	Korea Electric Power Corp.		5,838,916
	3,458	Korea Investment Holdings Co., Ltd.		132,895
	56,772	Korean Air Lines Co., Ltd.*		1,538,940
	162,624	Korean Reinsurance Co.		1,983,740
	57,325	KT&G Corp.		5,513,947
	5,617	LG Chem, Ltd.		1,608,576
	38,059	LG Corp.		2,279,679
	17,658	LG Display Co., Ltd.		410,723
	4,807	LG Household & Health Care, Ltd.		3,972,206
	61,444	LG Uplus Corp.		593,701
	15,637	Lotte Chemical Corp.		4,669,496
	285	NAVER Corp.		158,749
	26,885	NCSoft Corp.		5,959,555
	1,204	Orion Corp. Republic of South Korea		962,273
	22,668	S-1 Corp.		1,752,231
	11,073	Samsung Card Co., Ltd.		364,549
	16,005	Samsung Electronics Co., Ltd.		18,361,805
	17,536	Samsung Electronics Co., Ltd., GDR*		9,986,752
	58,635	Samsung Life Insurance Co., Ltd.		6,024,495
	19,251	Shinhan Financial Group Co., Ltd.		681,764
	12,100	Shinsegae Co., Ltd.		2,147,866
	103,720	SK Hynix, Inc.		2,553,094
	16,164	SK Innovation Co., Ltd.		2,431,102
	19,531	SK Networks Co., Ltd.		109,303
	20,493	SK Telecom Co., Ltd.		3,736,263
	55,240	Woori Bank		456,952
		Total South Korea		142,607,742
		Taiwan — 12.7%
	2,724,000	Advanced Semiconductor Engineering, Inc.		3,169,705
	464,000	Asustek Computer, Inc.		4,166,542
	1,535,000	AU Optronics Corp.		461,206
	394,000	Catcher Technology Co., Ltd.		3,231,917
	72,000	Cathay Financial Holding Co., Ltd.		86,242

124 See accompanying Notes to the Financial Statements.

Mercer Emerging Markets Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		Taiwan — continued
	820,000	Cheng Shin Rubber Industry Co., Ltd.		1,648,459
	84,855	Chicony Electronics Co., Ltd.		218,307
	3,180,000	China Airlines, Ltd.*		1,136,279
	1,287,000	China Development Financial Holding Corp.		343,904
	2,167,820	China Life Insurance Co., Ltd.		1,667,088
	6,828,000	Compal Electronics, Inc.		4,285,533
	13,849,109	CTBC Financial Holding Co., Ltd.		7,315,276
	8,249,741	E.Sun Financial Holding Co., Ltd.		4,613,949
	57,000	Eclat Textile Co., Ltd.		750,047
	1,581,000	Eva Airways Corp.*		884,228
	381,000	Far EasTone Telecommunications Co., Ltd.		853,533
	253,000	Feng TAY Enterprise Co., Ltd.		1,344,239
	1,338,030	Foxconn Technology Co., Ltd.		3,001,671
	3,712,997	Fubon Financial Holding Co., Ltd.		4,730,079
	1,867,000	Highwealth Construction Corp.		2,726,479
	8,447,005	Hon Hai Precision Industry Co., Ltd.		22,256,588
	417,000	HTC Corp.		1,194,612
	4,688,000	Innolux Corp.		1,638,702
	212,000	Inotera Memories, Inc.*		192,015
	18,000	Largan Precision Co., Ltd.		1,395,414
	1,508,174	Lite-On Technology Corp.		1,841,637
	362,000	Merida Industry Co., Ltd.		1,602,815
	1,372,000	Nan Ya Plastics Corp.		2,881,780
	2,331,000	Pegatron Corp.		5,439,290
	996,000	Pou Chen Corp.		1,268,829
	2,362,000	Powertech Technology, Inc.		5,357,507
	168,000	President Chain Store Corp.		1,224,087
	1,123,060	Radiant Opto-Electronics Corp.		2,177,447
	1,220,000	Shin Kong Financial Holding Co., Ltd.		244,879
	195,000	Siliconware Precision Industries Co., Ltd.		315,063
	480,000	Simplo Technology Co., Ltd.		1,722,595
	633,490	SinoPac Financial Holdings Co., Ltd.		195,850
	6,047,000	Taiwan Semiconductor Manufacturing Co., Ltd.		30,437,919
	391,596	Taiwan Semiconductor Manufacturing Co., Ltd., Sponsored ADR		10,259,815
	180,000	Teco Electric and Machinery Co., Ltd.		146,812
	67,015	Uni-President Enterprises Corp.		117,647
	1,190,000	Vanguard International Semiconductor Corp.		1,859,837
	2,887,000	WPG Holdings, Ltd.		3,076,811
	6,191,926	Yuanta Financial Holding Co., Ltd.		2,212,502
		Total Taiwan		145,695,136
		Thailand — 1.6%
	165,000	Bangkok Bank PCL, NVDR		844,230
	1,669,000	Banpu PCL‡		792,277
	119,100	Bumrungrad Hospital PCL, NVDR		717,715
	291,200	Delta Electronics Thailand PCL, NVDR		720,137
	435,200	Indorama Ventures PCL, NVDR		282,051
	144,900	Kasikornbank PCL, NVDR		712,555
	1,940,200	Krung Thai Bank PCL, NVDR		1,031,317

See accompanying Notes to the Financial Statements. 125

Mercer Emerging Markets Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		Thailand — continued
	2,041,300	PTT Global Chemical PCL		3,510,479
	1,699,900	PTT Global Chemical PCL, NVDR		2,923,364
	304,650	Siam Cement PCL (The)		4,052,763
	42,200	Siam Cement PCL (The), NVDR		558,988
	50,600	Thai Oil PCL, NVDR		99,604
	3,841,000	Thai Union Group PCL, NVDR		2,281,890
	2,557,200	TMB Bank PCL, NVDR		183,176
		Total Thailand		18,710,546
		Turkey — 2.0%
	226,227	Arcelik AS		1,539,407
	5,004,984	Emlak Konut Gayrimenkul Yatirim Ortakligi AS		5,101,504
	505,611	Eregli Demir ve Celik Fabrikalari TAS		761,370
	75,913	Ford Otomotiv Sanayi AS		1,001,317
	543,846	TAV Havalimanlari Holding AS		3,246,813
	163,650	Tofas Turk Otomobil Fabrikasi AS		1,328,636
	31,235	Tupras Turkiye Petrol Rafinerileri AS*		880,242
	206,350	Turk Hava Yollari AO*		570,894
	413,167	Turk Telekomunikasyon AS		980,202
	590,063	Turkcell Iletisim Hizmetleri AS		2,483,307
	314,218	Turkiye Garanti Bankasi AS		919,543
	696,443	Turkiye Halk Bankasi AS		2,589,679
	1,058,455	Turkiye Is Bankasi		1,751,749
	226,313	Turkiye Sise ve Cam Fabrikalari AS		294,174
		Total Turkey		23,448,837
		United Arab Emirates — 1.3%
	459,148	Abu Dhabi Commercial Bank PJSC		837,542
	9,238,467	Aldar Properties PJSC		6,916,903
	3,141,164	Emaar Properties PJSC		5,148,327
	514,672	First Gulf Bank PJSC		1,646,446
		Total United Arab Emirates		14,549,218
		United Kingdom — 1.1%
	284,849	Mondi Plc		5,469,764
	1,792,144	Old Mutual Plc		4,993,341
	79,468	Wizz Air Holdings Plc* 144A		2,102,778
		Total United Kingdom		12,565,883
		United States — 0.2%
	30,036	Cognizant Technology Solutions Corp. Class A*		1,883,257
	13,900	Southern Copper Corp.‡		385,169
		Total United States		2,268,426
		TOTAL COMMON STOCKS (COST $1,040,476,236)		1,012,554,923

126 See accompanying Notes to the Financial Statements.

Mercer Emerging Markets Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		PREFERRED STOCKS — 1.7%
		Brazil — 1.5%
	524,400	Banco Bradesco SA, 4.83%		4,005,504
	793,444	Bradespar SA, 17.17%		1,370,169
	433,500	Braskem SA, 5.47%		2,863,497
	115,000	Cia Brasileira de Distribuicao Grupo Pao de Acucar, 2.54%		1,617,593
	48,300	Cia Energetica de Sao Paulo, 32.11%		216,151
	166,200	Cia Paranaense de Energia, 3.49%		1,343,575
	961,760	Itausa - Investimentos Itau SA, 5.73%		2,217,150
	1,424,400	Petroleo Brasileiro SA, 0.0%*		3,356,021
		Total Brazil		16,989,660
		Chile — 0.1%
	78,839	Sociedad Quimica y Minera de Chile SA, 2.36% Class B		1,630,152
		Colombia — 0.1%
	92,095	Bancolombia SA, 3.28%		793,608
		TOTAL PREFERRED STOCKS (COST $21,201,364)		19,413,420
Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 12.4%
		Bank Deposit — 8.8%
	101,521,449	State Street Bank & Trust Euro Time Deposit, 0.01%, due 04/01/16		101,521,449
		Investment Fund — 0.3%
	3,760,000	State Street Institutional Treasury Plus Money Market Fund, Premier Class*****		3,760,000
		Securities Lending Collateral — 3.3%
	37,754,026	State Street Institutional U.S. Government Money Market Fund, Premier Class***		37,754,026
		TOTAL SHORT-TERM INVESTMENTS (COST $143,035,475)		143,035,475
		TOTAL INVESTMENTS — 102.2% (Cost $1,204,713,075)		1,175,003,818
		Other Assets and Liabilities (net) — (2.2)%		(24,867,465	)
		NET ASSETS — 100.0%	$	1,150,136,353

See accompanying Notes to the Financial Statements. 127

Mercer Emerging Markets Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

	Notes to Schedule of Investments:
	ADR — American Depository Receipt
	GDR — Global Depository Receipt
	NVDR — Non-Voting Depository Receipt
	REIT — Real Estate Investment Trust
*	Non-income producing security
***	Represents an investment of securities lending cash collateral.
*****	Security has been segregated to cover collateral requirements on open synthetic futures contracts.
¤	Illiquid security. The total market value of the securities at year end is $291,068 which represents 0.0% of net assets. The aggregate tax cost of these securities held at March 31, 2016 was $297,008.
‡	All or a portion of this security is out on loan.
‡‡‡	Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
	144A — Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The total market value of the securities at year end is $11,331,058 which represents 1.0% of net assets.

128 See accompanying Notes to the Financial Statements.

Mercer Emerging Markets Equity Fund

Schedule of Investments (Continued)

March 31, 2016

Forward Foreign Currency Contracts

Settlement Date		Currency	Counterparty	Units of Currency		Value		Unrealized Appreciation (Depreciation)
	Buys
	06/15/16	BRL	Citibank N.A. London		176,800,000	$	48,922,987	$	2,087,784
	06/15/16	CLP	Citibank N.A. London		10,249,196,000		15,223,560		533,903
	06/15/16	COP	Citibank N.A. London		27,400,000,000		9,059,845		445,270
	06/15/16	CZK	Citibank N.A. London		311,310,000		13,139,846		588,900
	06/15/16	HKD	Citibank N.A. London		77,071,000		9,940,742		15,456
	06/15/16	HUF	Citibank N.A. London		5,625,097,000		20,378,590		533,366
	06/15/16	IDR	Citibank N.A. London		95,446,049,225		7,117,116		74,644
	06/15/16	ILS	Citibank N.A. London		19,520,000		5,200,575		166,605
	06/15/16	INR	Citibank N.A. London		742,746,000		11,071,345		242,939
	06/15/16	KRW	Citibank N.A. London		13,630,000,000		11,896,509		122,054
	06/15/16	MXN	Citibank N.A. London		322,000,000		18,667,814		720,157
	06/15/16	MYR	Citibank N.A. London		115,410,000		29,413,590		1,498,142
	06/15/16	PEN	Citibank N.A. London		1,658,000		494,017		18,625
	06/15/16	PHP	Citibank N.A. London		71,000,000		1,535,672		23,840
	06/15/16	PLN	Citibank N.A. London		17,000,000		4,563,014		208,747
	06/15/16	SGD	Citibank N.A. London		1,294,000		960,564		42,194
	06/15/16	THB	Citibank N.A. London		18,000,000		510,806		(1,223	)
	06/15/16	TRY	Citibank N.A. London		101,481,000		35,315,337		1,682,581
	06/15/16	ZAR	Citibank N.A. London		69,176,000		4,636,906		356,969
								$	9,360,953
	Sales
	06/15/16	BRL	Citibank N.A. London		78,047,000	$	21,596,676	$	(2,443,069	)
	06/15/16	CLP	Citibank N.A. London		1,830,000,000		2,718,176		(58,661	)
	06/15/16	COP	Citibank N.A. London		1,513,000,000		500,275		(45,007	)
	06/15/16	CZK	Citibank N.A. London		116,000,000		4,896,156		(136,792	)
	06/15/16	HKD	Citibank N.A. London		42,100,000		5,430,126		(5,789	)
	06/15/16	HUF	Citibank N.A. London		2,760,000,000		9,998,922		(80,563	)
	06/15/16	IDR	Citibank N.A. London		6,000,000,000		447,401		927
	06/15/16	ILS	Citibank N.A. London		21,000,000		5,594,881		(135,663	)
	06/15/16	KRW	Citibank N.A. London		20,167,206,000		17,602,299		(1,015,844	)
	06/15/16	MXN	Citibank N.A. London		919,337,000		53,298,175		(2,297,095	)
	06/15/16	MYR	Citibank N.A. London		25,900,000		6,600,918		(284,576	)
	06/15/16	PEN	Citibank N.A. London		300,000		89,388		(2,807	)
	06/15/16	PHP	Citibank N.A. London		581,100,000		12,568,718		(396,063	)
	06/15/16	PLN	Citibank N.A. London		39,026,000		10,475,070		(570,250	)
	06/15/16	SGD	Citibank N.A. London		48,840,000		36,254,992		(728,261	)
	06/15/16	THB	Citibank N.A. London		84,055,000		2,385,321		(19,544	)
	06/15/16	TRY	Citibank N.A. London		1,600,000		556,799		(23,433	)
	06/15/16	TWD	Citibank N.A. London		364,530,000		11,334,853		(257,742	)
	06/15/16	ZAR	Citibank N.A. London		130,000,000		8,713,973		(555,114	)
								$	(9,055,346	)

See accompanying Notes to the Financial Statements. 129

Mercer Emerging Markets Equity Fund

Schedule of Investments (Continued)

March 31, 2016

Currency Abbreviations

BRL — Brazilian Real

CLP — Chilean Peso

COP — Colombian Peso

CZK — Czech Koruna

HKD — Hong Kong Dollar

HUF — Hungarian Forint

IDR — Indonesian Rupiah

ILS — Israeli Shekel

INR — Indian Rupee

KRW — South Korean Won

MXN — Mexican Peso

MYR — Malaysian Ringgit

PEN — Peruvian Nouveau Sol

PHP — Philippines Peso

PLN — Polish Zloty

SGD — Singapore Dollar

THB — Thai Baht

TRY — New Turkish Lira

TWD — Taiwan Dollar

ZAR — South African Rand

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Unrealized Appreciation (Depreciation)
	Buys
	57	FTSE Bursa Malaysia KLCI Index	April 2016	$	1,250,961	$	3,369
	47	H-shares Index	April 2016		2,727,334		91,591
	85	KOSPI 200 Index	June 2016		9,157,048		244,957
	1,501	MSCI Emerging Markets E-mini Index	June 2016		62,584,195		2,848,435
	136	MSCI Taiwan Index	April 2016		4,379,200		30,006
	18	SET50 Index	June 2016		91,954		1,262
						$	3,219,620
	Sales
	484	FTSE/JSE Top 40 Index	June 2016	$	15,398,295	$	78,374
	3	Mexico Bolsa Index	June 2016		80,389		(196	)
	305	SGX Nifty 50 Index	April 2016		4,750,375		(66,175	)
						$	12,003

130 See accompanying Notes to the Financial Statements.

Mercer Emerging Markets Equity Fund

Schedule of Investments (Continued)

March 31, 2016

Synthetic Futures

Number of Contracts Long (Short)			Reference Entity	Expiration Date	Counterparty	Notional Value		Value
	(376	)	SGX Nifty 50 Index	04/28/2016	Goldman Sachs International	$	2,908,370	$	(19,730	)
	25,000,000		KOSPI 200 Index	06/9/2016	Goldman Sachs International		4,994,288		125,179
	(184	)	MSCI Singapore Net Return Index	06/15/2016	Goldman Sachs International		593,736		(5,505	)
	(5,961	)	MSCI Brazil Net Return Index	06/15/2016	Goldman Sachs International		899,942		(21,538	)
	(18,773	)	MSCI South Africa Net Return Index	06/15/2016	Goldman Sachs International		1,105,642		7,163
	(60	)	MSCI Singapore Net Return Index	06/15/2016	Goldman Sachs International		200,271		2,856
	21,000		Tel Aviv 25 Index	04/29/2016	Goldman Sachs International		8,101,844		(202,757	)
	39		MSCI Turkey Net Return Index	06/15/2016	Goldman Sachs International		12,730		731
	31,000		Taiwan Stock Exchange Capitalization Weighted Stock Index	04/20/2016	Goldman Sachs International		8,326,662		4,845
	(374	)	MSCI Singapore Net Return Index	06/15/2016	Goldman Sachs International		1,189,240		(26,209	)
	(154	)	MSCI Singapore Net Return Index	06/15/2016	Goldman Sachs International		499,950		(3,824	)
	(105	)	Brazil Bovespa Stock Index	04/13/2016	Goldman Sachs International		1,479,269		18,655
	6		MSCI Poland Growth Index	06/15/2016	Goldman Sachs International		258		6
	(3,006	)	MSCI Brazil Net Return Index	06/15/2016	Goldman Sachs International		474,328		3,624
	19,950		Hang Seng China Enterprises Index	04/28/2016	Goldman Sachs International		22,520,607		628,898
	(147	)	MSCI Singapore Net Return Index	06/15/2016	Goldman Sachs International		485,274		(2,903	)
	(3,203	)	MSCI Brazil Net Return Index	06/15/2016	Goldman Sachs International		492,123		(5,943	)
	27,807		MSCI Poland Growth Index	06/15/2016	Goldman Sachs International		1,152,981		57,453
	1,300		BIST 30 Index	04/29/2016	Goldman Sachs International		40,935		4,525
								$	565,526

See accompanying Notes to the Financial Statements. 131

Mercer Emerging Markets Equity Fund

Schedule of Investments (Continued)

March 31, 2016

Industry Sector Summary (Unaudited)	% of Net Assets
Banks		12.7
Semiconductors		7.5
Telecommunications		5.8
Diversified Financial Services		4.8
Internet		4.6
Insurance		4.2
Electronics		3.8
Real Estate		3.8
Food		3.7
Computers		3.4
Oil & Gas		3.3
Pharmaceuticals		2.9
Auto Manufacturers		2.6
Beverages		2.6
Retail		2.4
Chemicals		2.3
Electric		2.2
Software		1.5
Forest Products & Paper		1.1
Agriculture		1.0
Airlines		1.0
Commercial Services		0.9
Holding Companies — Diversified		0.9
Mining		0.9
Entertainment		0.8
Engineering & Construction		0.7
Auto Parts & Equipment		0.6
Coal		0.6
Distribution & Wholesale		0.6
Packaging & Containers		0.5
Building Materials		0.4
Health Care — Products		0.4
Home Furnishings		0.4
Household Products & Wares		0.4
Iron & Steel		0.4
Media		0.4
Apparel		0.3
Cosmetics & Personal Care		0.3
Environmental Control		0.3
Gas		0.3
Health Care — Services		0.3
Leisure Time		0.3
Machinery — Construction & Mining		0.3
Metal Fabricate & Hardware		0.3
Biotechnology		0.2
Energy-Alternate Sources		0.2
Lodging		0.2
Oil & Gas Services		0.2
Electrical Components & Equipment		0.1
Machinery — Diversified		0.1
Miscellaneous — Manufacturing		0.1

132 See accompanying Notes to the Financial Statements.

Mercer Emerging Markets Equity Fund

Schedule of Investments (Continued)

March 31, 2016

Industry Sector Summary (Unaudited)	% of Net Assets
REITS		0.1
Water		0.1
Aerospace & Defense		0.0
Home Builders		0.0
Housewares		0.0
Short-Term Investments and Other Assets and Liabilities (net)		10.2
		100.0	%

See accompanying Notes to the Financial Statements. 133

Mercer Global Low Volatility Equity Fund

Schedule of Investments

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		COMMON STOCKS — 85.7%
		Australia — 1.0%
	159,989	Newcrest Mining, Ltd.*		2,087,293
	551,843	Telstra Corp., Ltd.		2,262,612
	323,407	Woolworths, Ltd.		5,498,054
		Total Australia		9,847,959
		Austria — 0.8%
	185	Agrana Beteiligungs AG		17,319
	88,327	BUWOG AG*		1,900,330
	2,273	CA Immobilien Anlagen AG*		44,746
	2,772	Conwert Immobilien Invest SE*		44,508
	17,851	EVN AG		205,455
	8,568	Flughafen Wien AG		937,312
	5,935	Mayr Melnhof Karton AG		713,521
	52,296	Oesterreichische Post AG		2,129,291
	175,068	Telekom Austria AG‡		1,078,690
	3,299	Verbund AG‡		42,218
	1,301	Voestalpine AG		43,595
		Total Austria		7,156,985
		Belgium — 0.7%
	26,837	Colruyt SA		1,565,804
	32,340	Elia System Operator SA		1,611,032
	37,837	Groupe Bruxelles Lambert SA		3,126,426
		Total Belgium		6,303,262
		Bermuda — 1.3%
	19,700	Arch Capital Group, Ltd.*		1,400,670
	17,400	Aspen Insurance Holdings, Ltd.		829,980
	22,300	Axis Capital Holdings, Ltd.		1,236,758
	1,100	Bunge, Ltd.		62,337
	33,000	Cheung Kong Infrastructure Holdings, Ltd.‡		322,914
	34,000	Clear Media, Ltd.		29,369
	286,000	Emperor International Holdings, Ltd.		51,990
	10,700	Endurance Specialty Holdings, Ltd.		699,138
	7,400	Everest Re Group, Ltd.		1,460,982
	34,900	Genpact, Ltd.*		948,931
	7,000	Guoco Group, Ltd.		74,904
	26,700	Jardine Matheson Holdings, Ltd.		1,524,036
	1,000	Jardine Strategic Holdings, Ltd.‡		29,850
	29,800	Mandarin Oriental International, Ltd.		40,528
	9,900	RenaissanceRe Holdings, Ltd.		1,186,317
	21,100	Validus Holdings, Ltd.		995,709
	1,300	White Mountains Insurance Group, Ltd.		1,043,380
	5,000	Wing On Co. International, Ltd.		14,601
		Total Bermuda		11,952,394

134 See accompanying Notes to the Financial Statements.

Mercer Global Low Volatility Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		Canada — 4.1%
	34,048	Agnico-Eagle Mines, Ltd.		1,236,937
	36,700	Bank of Montreal		2,237,836
	7,600	Bank of Nova Scotia (The)‡		372,934
	101,731	Barrick Gold Corp.		1,381,507
	62,700	BCE, Inc.		2,855,358
	26,600	Canadian Imperial Bank of Commerce‡		1,995,231
	18,838	Canadian Natural Resources, Ltd.‡		511,639
	11,300	Canadian Tire Corp., Ltd. Class A		1,181,064
	45,373	Cenovus Energy, Inc.		589,849
	22,400	Cogeco Communications, Inc.		1,199,447
	9,100	Cogeco, Inc.		400,317
	100	E-L Financial Corp., Ltd.		53,102
	78,800	Emera, Inc.		2,896,248
	78,900	Empire Co., Ltd.		1,372,492
	40,900	First Capital Realty, Inc.		652,022
	15,321	Franco-Nevada Corp.‡		944,762
	27,500	George Weston, Ltd.		2,472,226
	91,156	Goldcorp, Inc.		1,479,462
	3,756	Imperial Oil, Ltd.		125,999
	16,100	Manitoba Telecom Services, Inc.‡		401,924
	33,500	North West Co., Inc. (The)‡		749,020
	67,229	Potash Corp. of Saskatchewan, Inc.		1,144,238
	58,100	Rogers Communications, Inc. Class B		2,335,769
	38,100	Royal Bank of Canada		2,204,200
	17,300	Saputo, Inc.		556,938
	105,800	Shaw Communications, Inc. Class B‡		2,052,280
	13,429	Suncor Energy, Inc.		375,528
	37,400	Thomson Reuters Corp. (New York Exchange)		1,513,952
	36,000	Thomson Reuters Corp. (Toronto Exchange)		1,464,548
	44,200	Toronto-Dominion Bank		1,915,692
		Total Canada		38,672,521
		Denmark — 0.1%
	15,853	ISS AS		637,471
	892	Ringkjoebing Landbobank AS		188,279
	4,246	Schouw & Co.		265,621
		Total Denmark		1,091,371
		Faroe Islands — 0.1%
	22,279	Bakkafrost P/F		863,282
		France — 1.9%
	50,440	Bouygues SA		2,060,620
	6,521	Caisse Regionale de Credit Agricole Mutuel Nord de France		134,353
	41,316	Carrefour SA		1,138,435
	32,634	Cie de Saint-Gobain		1,440,295
	35,677	Danone SA		2,541,390
	8,081	Legrand SA		453,483
	885	Manutan International		47,248

See accompanying Notes to the Financial Statements. 135

Mercer Global Low Volatility Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		France — continued
	6,653	Neopost SA		140,029
	50,864	Rexel SA		727,714
	87,044	Sanofi		7,028,677
	9,308	Sodexo SA		1,004,901
	18,327	Total SA		836,635
	1,748	Vetoquinol SA		72,486
	3,317	Wendel SA		361,584
		Total France		17,987,850
		Germany — 1.1%
	68,779	Celesio AG		1,979,023
	3,285	Fraport AG Frankfurt Airport Services Worldwide		199,562
	33,617	HeidelbergCement AG		2,882,697
	918	Homag Group AG		37,663
	6,693	Hornbach Baumarkt AG		215,844
	2,860	Hornbach Holding AG & Co. KGaA		185,118
	558	Linde AG		81,423
	23,405	Merck KGaA		1,955,264
	78,113	Rhoen-Klinikum AG		2,434,525
	13,320	STADA Arzneimittel AG		529,513
	1,924	Wuestenrot & Wuerttembergische AG		40,770
		Total Germany		10,541,402
		Hong Kong — 0.5%
	322,000	CLP Holdings, Ltd.		2,916,309
	532,715	Hang Lung Properties, Ltd.		1,019,202
	79,000	Hong Kong & China Gas Co., Ltd.		147,885
	26,000	Hong Kong Ferry Holdings Co., Ltd.		29,565
	96,389	Hysan Development Co., Ltd.		410,705
	40,000	Miramar Hotel & Investment Co., Ltd.		69,103
	4,500	Power Assets Holdings, Ltd.		46,064
	397,000	Regal Real Estate Investment Trust REIT		101,342
	868,000	Sunlight Real Estate Investment Trust REIT		447,622
		Total Hong Kong		5,187,797
		Ireland — 0.9%
	15,100	Accenture Plc Class A		1,742,540
	26,964	CRH Plc		761,930
	106,989	Hibernia Plc REIT		158,739
	4,600	Jazz Pharmaceuticals Plc*		600,530
	25,145	Kerry Group Plc Class A		2,346,189
	5,300	Medtronic Plc		397,500
	900	Perrigo Co. Plc		115,137
	131,582	UDG Healthcare Plc		1,104,477
	9,281	Willis Towers Watson Plc		1,101,284
		Total Ireland		8,328,326

136 See accompanying Notes to the Financial Statements.

Mercer Global Low Volatility Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		Israel — 0.5%
	58,318	Amot Investments, Ltd.		209,725
	281,383	Bank Hapoalim BM		1,459,494
	51,123	Bank Leumi Le-Israel BM*		183,442
	2,689	Check Point Software Technologies, Ltd.* ‡		235,207
	4,547	Delek Automotive Systems, Ltd.		43,952
	63,255	Israel Chemicals, Ltd.		275,095
	2,426	Osem Investments, Ltd.		52,998
	307	Taro Pharmaceutical Industries, Ltd.*		43,978
	39,238	Teva Pharmaceutical Industries, Ltd., Sponsored ADR		2,099,625
		Total Israel		4,603,516
		Italy — 0.3%
	10,200	Amplifon Spa		88,570
	27,537	Italcementi Spa		323,212
	768,501	Parmalat Spa		2,129,813
	88,003	Terna Rete Elettrica Nazionale Spa		502,924
		Total Italy		3,044,519
		Japan — 4.7%
	17,000	Alpen Co., Ltd.		280,724
	1,400	Asahi Group Holdings, Ltd.		43,683
	95,900	Astellas Pharma, Inc.		1,276,875
	3,000	AT-Group Co., Ltd.		61,924
	4,400	Autobacs Seven Co., Ltd.‡		74,381
	58,800	Canon, Inc.		1,755,185
	9,300	Chubu Electric Power Co., Inc.		130,032
	97,700	Coca-Cola West Co., Ltd.		2,421,747
	54,400	Daiichi Sanyko Co., Ltd.		1,211,228
	27,000	Dydo Drinco, Inc.		1,261,177
	25,500	Earth Chemical Co., Ltd.		1,032,297
	16,000	FANUC Corp.‡		2,489,079
	29,400	Geo Holdings Corp.		489,411
	10,300	Hirose Electric Co., Ltd.‡		1,137,266
	38,400	Hoya Corp.		1,462,613
	6,000	Joshin Denki Co., Ltd.		46,176
	140,200	KDDI Corp.		3,749,644
	4,500	Keyence Corp.		2,457,894
	1,000	KFC Holdings Japan, Ltd.		17,536
	15,600	Kirin Holdings Co., Ltd.		219,020
	188,000	Lion Corp.		2,122,621
	40,700	Maruha Nichiro Corp.		760,081
	8,800	Medipal Holdings Corp.		139,522
	72,400	Mitsubishi Estate Co., Ltd.		1,346,610
	20,200	Mitsubishi Tanabe Pharma Corp.		351,719
	1,300	Mochida Pharmaceutical Co., Ltd.‡		96,695
	15,100	MOS Food Services, Inc.		395,116
	46,300	MS&AD Insurance Group Holdings		1,291,844
	58,000	Nippon Flour Mills Co., Ltd.		477,334
	3,400	Nippon Telegraph & Telephone Corp.		146,654

See accompanying Notes to the Financial Statements. 137

Mercer Global Low Volatility Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		Japan — continued
	68,900	Nipro Corp.‡		655,315
	546,000	Nisshin Oillio Group, Ltd. (The)		2,229,761
	9,200	Nissin Foods Holdings Co., Ltd.		433,009
	111,900	NTT DoCoMo, Inc.		2,541,259
	16,900	Okinawa Cellular Telephone Co.		472,890
	105,000	Osaka Gas Co., Ltd.		403,950
	36,100	Secom Co., Ltd.		2,687,064
	7,600	Shimano, Inc.‡		1,192,793
	50,000	Showa Sangyo Co., Ltd.		207,305
	7,900	SMC Corp.		1,837,324
	76,200	Sompo Japan Nipponkoa Holdings, Inc.		2,161,356
	26,500	Suzuken Co., Ltd.		901,842
	8,200	Tokyo Electric Power Co., Inc.*		45,160
	24,000	Tokyo Gas Co., Ltd.		112,041
	8,900	United Super Markets Holdings, Inc.		84,728
	28,700	Zensho Holdings Co., Ltd.		344,211
		Total Japan		45,056,096
		Luxembourg — 0.1%
	89,943	Atento SA*		736,633
	2,123	Millicom International Cellular SA		117,041
		Total Luxembourg		853,674
		Mexico — 0.2%
	79,198	Grupo Televisa SAB, Sponsored ADR		2,174,777
	14,299	Industrias Penoles SAB de CV		182,182
		Total Mexico		2,356,959
		Netherlands — 0.5%
	38,545	Heineken Holding NV		3,012,306
	86,477	QIAGEN NV*		1,931,896
	3,736	RELX NV		65,329
	2,506	Sligro Food Group NV		98,308
		Total Netherlands		5,107,839
		New Zealand — 2.2%
	886,255	Air New Zealand, Ltd.		1,759,834
	522,943	Argosy Property, Ltd.		430,249
	496,221	Auckland International Airport, Ltd.		2,215,303
	153,687	Chorus, Ltd.		427,886
	645,888	Contact Energy, Ltd.		2,242,200
	72,012	Ebos Group, Ltd.		859,964
	342,913	Fisher & Paykel Healthcare Corp., Ltd.		2,333,227
	48,914	Fletcher Building, Ltd.		267,952
	23,855	Freightways, Ltd.		105,172
	603,080	Genesis Energy, Ltd.		858,373
	665,903	Infratil, Ltd.		1,516,463
	757,292	Kiwi Property Group, Ltd.		759,763

138 See accompanying Notes to the Financial Statements.

Mercer Global Low Volatility Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		New Zealand — continued
	16,947	Mainfreight, Ltd.		186,613
	49,131	Metlifecare, Ltd.		179,086
	398,594	Mighty River Power, Ltd.		808,092
	262,115	New Zealand Refining Co., Ltd. (The)		564,158
	82,976	Nuplex Industries, Ltd.		299,573
	290,401	Precinct Properties New Zealand, Ltd.		253,040
	96,805	Sky City Entertainment Group, Ltd.		336,731
	169,290	Sky Network Television, Ltd.		585,339
	678,552	Spark New Zealand, Ltd.		1,719,583
	142,193	Summerset Group Holdings, Ltd.		437,350
	11,949	TrustPower, Ltd.		63,549
	135,941	Vector, Ltd.		309,579
	262,022	Z Energy, Ltd.		1,227,972
		Total New Zealand		20,747,051
		Norway — 0.9%
	5,758	AF Gruppen ASA		91,891
	20,824	Atea ASA*		198,893
	49,681	Austevoll Seafood ASA		408,440
	57,569	DnB NOR ASA		681,049
	23,647	Marine Harvest ASA*		364,515
	431,606	Norsk Hydro ASA		1,777,823
	337,530	Orkla ASA		3,058,531
	10,963	Statoil ASA		172,704
	132,667	Telenor ASA		2,147,694
		Total Norway		8,901,540
		Panama — 0.0%
	6,500	Carnival Corp.		343,005
		Portugal — 0.0%
	14,550	REN — Redes Energeticas Nacionais SGPS SA		47,785
		Russia — 0.0%
	76,731	Gazprom PAO, Sponsored ADR		330,941
		Singapore — 0.4%
	210,000	Fortune Real Estate Investment Trust REIT		224,713
	53,800	Fraser and Neave, Ltd.‡		79,306
	14,900	Great Eastern Holdings, Ltd.		248,850
	15,200	Hong Leong Finance, Ltd.		26,865
	52,700	Metro Holdings, Ltd.		37,179
	39,200	Singapore Airlines, Ltd.		332,440
	160,500	SPH REIT		115,017
	802,300	StarHub, Ltd.		1,995,919
	126,400	Wilmar International, Ltd.		315,390
		Total Singapore		3,375,679

See accompanying Notes to the Financial Statements. 139

Mercer Global Low Volatility Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		South Korea — 0.3%
	29,861	Kia Motors Corp.		1,261,181
	16,040	KT&G Corp.		1,542,847
	223	Lotte Confectionery Co., Ltd.		500,755
		Total South Korea		3,304,783
		Spain — 0.7%
	18,801	Ebro Foods SA		411,033
	114,444	Endesa SA		2,200,096
	422,865	Iberdrola SA		2,824,275
	10,675	Red Electrica Corp. SA		928,167
		Total Spain		6,363,571
		Sweden — 1.1%
	44,104	Axfood AB‡		816,066
	7,647	Clas Ohlson AB Class B		146,210
	69,361	Hennes & Mauritz AB Class B		2,316,112
	46,628	Investor AB Class B		1,653,063
	102,697	Svenska Cellulosa AB Class B		3,213,913
	64,169	Swedish Match AB		2,181,526
		Total Sweden		10,326,890
		Switzerland — 3.5%
	20,500	Allied World Assurance Co. Holdings AG		716,270
	7,658	Allreal Holding AG*		1,113,135
	720	Alpiq Holding AG		49,321
	282	APG SGA SA		118,083
	876	Banque Cantonale de Geneve		254,526
	1,472	Banque Cantonale Vaudoise*		1,029,854
	1,080	Basler Kantonalbank		82,890
	109	Bell AG		435,363
	252	Berner Kantonalbank AG		50,787
	9,463	BKW AG		399,212
	323	Chocoladefabriken Lindt & Spruengli AG*		2,010,213
	277	Emmi AG*		152,001
	2,229	Flughafen Zuerich AG		2,004,040
	1,851	Galenica AG		2,794,910
	330	Graubuendner Kantonalbank		614,755
	2,259	Intershop Holding AG		1,113,401
	244	Luzerner Kantonalbank AG		101,024
	27	Metall Zug AG Class B		78,210
	4,804	Mobimo Holding AG*		1,175,353
	111,434	Nestle SA		8,360,605
	55,017	Novartis AG		4,004,266
	1,098	St Galler Kantonalbank AG		467,508
	21,284	Swiss Prime Site AG*		1,884,700
	5,360	Swiss Re AG		497,576
	4,028	Swisscom AG		2,197,703
	1,498	Tamedia AG		259,665

140 See accompanying Notes to the Financial Statements.

Mercer Global Low Volatility Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		Switzerland — continued
	2,099	Thurgauer Kantonalbank		181,812
	201	Valora Holding AG		50,373
	7,284	Ypsomed Holding AG*		1,045,841
	32	Zug Estates Holding AG Class B*		53,163
		Total Switzerland		33,296,560
		Thailand — 0.1%
	190,500	Bangkok Bank PCL, NVDR		974,702
	300	Bangkok Bank PCL		1,552
		Total Thailand		976,254
		United Kingdom — 8.0%
	41,913	Advanced Medical Solutions Group Plc		109,338
	15,400	Anglo American Plc		122,204
	18,100	Aon Plc		1,890,545
	25,027	Associated British Foods Plc		1,204,679
	105,897	BCA Marketplace Plc		277,776
	2,472	Berendsen Plc		42,743
	20,820	Berkeley Group Holdings Plc		962,973
	65,748	British American Tobacco Plc		3,865,033
	195,542	Britvic Plc		1,996,878
	295,466	BT Group Plc		1,870,686
	9,222	Carnival Plc		497,319
	240,829	Centrica Plc		788,169
	69,503	Compass Group Plc		1,226,731
	14,927	Cranswick Plc		457,626
	12,626	CVS Group Plc		139,553
	7,565	Dechra Pharmaceuticals Plc		131,130
	117,523	Diageo Plc		3,178,151
	3,608	Dunelm Group Plc		47,372
	29,881	EMIS Group Plc		435,492
	75,341	Fresnillo Plc		1,031,440
	6,588	Gamma Communications Plc		39,509
	4,535	Genus Plc		99,663
	144,109	GlaxoSmithKline Plc		2,924,645
	4,083	Great Portland Estates Plc REIT		42,723
	109,445	Greggs Plc		1,709,909
	15,264	Headlam Group Plc		113,424
	39,599	Hill & Smith Holdings Plc		513,948
	54,099	Imperial Brands Plc		3,003,733
	166,710	Inchcape Plc		1,733,595
	165,043	Indivior Plc		386,900
	16,426	International Game Technology Plc‡		299,774
	316,267	Intu Properties Plc REIT		1,422,806
	26,381	JD Sports Fashion Plc		426,950
	173,645	Kcom Group Plc		268,298
	90,492	Kennedy Wilson Europe Real Estate Plc		1,523,051
	150,537	Kingfisher Plc		815,054
	62,690	Land Securities Group Plc REIT		992,049

See accompanying Notes to the Financial Statements. 141

Mercer Global Low Volatility Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		United Kingdom — continued
	2,851	Liberty Global Plc Class A*		109,763
	35,607	Liberty Global Plc Series C*		1,337,399
	142	Liberty Global Plc LiLAC Class A*		4,979
	1,164	Liberty Global Plc LiLAC Class C* ‡		44,092
	8,472,309	Lloyds Banking Group Plc		8,282,965
	64,079	Londonmetric Property Plc REIT		146,072
	22,144	Lookers Plc		50,415
	252,640	Melrose Industries Plc		1,294,521
	204,055	National Grid Plc		2,895,342
	20,303	Next Plc		1,575,801
	120,284	Pennon Group Plc		1,402,091
	189,206	QinetiQ Group Plc		620,036
	1,567	Randgold Resources, Ltd., ADR‡		142,299
	23,048	Reckitt Benckiser Group Plc		2,229,440
	114,230	RELX Plc		2,124,525
	816,271	Rentokil Initial Plc		2,074,264
	6,125	Rightmove Plc		370,714
	50,233	Sage Group Plc (The)		454,137
	15,809	Severn Trent Plc		493,755
	67,697	Shaftesbury Plc REIT		886,411
	32,941	Sky Plc		484,824
	114,092	SSE Plc		2,446,648
	1,492	Stallergenes Greer*		47,266
	2,950,632	Tesco Plc*		8,134,129
	658,218	Tritax Big Box Plc REIT		1,272,446
	23,148	United Utilities Plc		307,088
	6,004	WH Smith Plc		156,885
	164,149	WM Morrison Supermarkets Plc‡		468,796
		Total United Kingdom		76,448,972
		United States — 49.7%
	24,712	3M Co.		4,117,761
	10,800	Abbott Laboratories		451,764
	1,300	Adobe Systems, Inc.*		121,940
	13,900	Alexandria Real Estate Equities, Inc. REIT		1,263,371
	4,135	Alleghany Corp.*		2,051,787
	7,343	Alphabet, Inc. Class A*		5,601,975
	5,596	Alphabet, Inc. Class C*		4,168,740
	50,000	Altria Group, Inc.		3,133,000
	2,500	Amazon.com, Inc.*		1,484,100
	26,500	Amdocs, Ltd.		1,601,130
	31,700	Ameren Corp.		1,588,170
	24,100	American Electric Power Co., Inc.		1,600,240
	48,949	American Express Co.		3,005,469
	18,600	American Financial Group, Inc.		1,308,882
	26,286	American International Group, Inc.		1,420,758
	16,800	AmerisourceBergen Corp.		1,454,040
	138,800	Annaly Capital Management, Inc. REIT		1,424,088
	13,900	ANSYS, Inc.*		1,243,494

142 See accompanying Notes to the Financial Statements.

Mercer Global Low Volatility Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		United States — continued
	9,299	Anthem, Inc.		1,292,468
	93,087	Apple, Inc.		10,145,552
	2,200	AptarGroup, Inc.		172,502
	42,600	Aramark		1,410,912
	32,800	Arthur J. Gallagher & Co.		1,458,944
	83,600	AT&T, Inc.		3,274,612
	12,000	Atmos Energy Corp.		891,120
	5,465	Automatic Data Processing, Inc.		490,265
	1,900	AutoZone, Inc.*		1,513,711
	8,300	AvalonBay Communities, Inc. REIT		1,578,660
	21,000	Avnet, Inc.		930,300
	18,400	Bank of Hawaii Corp.		1,256,352
	207,104	Bank of New York Mellon Corp. (The)		7,627,640
	28,100	Baxter International, Inc.		1,154,348
	49,941	BB&T Corp.		1,661,537
	11,200	Becton Dickinson and Co.		1,700,384
	23,600	Bemis Co., Inc.		1,222,008
	5	Berkshire Hathaway, Inc. Class A* ‡		1,067,250
	6,800	Bio-Rad Laboratories, Inc. Class A*		929,696
	14,500	Boeing Co. (The)		1,840,630
	22,900	Brinker International, Inc.		1,052,255
	2,300	Bristol-Myers Squibb Co.		146,924
	18,600	Broadridge Financial Solutions, Inc.		1,103,166
	43,821	Brown & Brown, Inc.		1,568,792
	42,900	CA, Inc.		1,320,891
	14,300	Cadence Design Systems, Inc.*		337,194
	13,000	Camden Property Trust REIT		1,093,170
	25,600	Campbell Soup Co.		1,633,024
	9,400	Capital One Financial Corp.		651,514
	22,000	Cardinal Health, Inc.		1,802,900
	11,500	Carter’s, Inc.		1,211,870
	8,800	CDK Global, Inc.		409,640
	14,400	CH Robinson Worldwide, Inc.		1,068,912
	22,400	Chimera Investment Corp. REIT		304,416
	14,206	Cincinnati Financial Corp.		928,504
	16,500	Cinemark Holdings, Inc.		591,195
	24,468	Cintas Corp.		2,197,471
	12,200	Clean Harbors, Inc.*		601,948
	7,900	Clorox Co. (The)		995,874
	12,100	Coca-Cola Co. (The)		561,319
	2,900	Coca-Cola Enterprises, Inc.		147,146
	29,699	Colgate-Palmolive Co.		2,098,234
	92,401	Comcast Corp. Class A		5,643,853
	20,765	Commerce Bancshares, Inc.		933,387
	6,076	Commvault Systems, Inc.*		262,301
	14,400	ConAgra Foods, Inc.		642,528
	29,845	ConocoPhillips		1,201,858
	24,200	Consolidated Edison, Inc.		1,854,204
	13,400	Costco Wholesale Corp.		2,111,572

See accompanying Notes to the Financial Statements. 143

Mercer Global Low Volatility Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		United States — continued
	8,000	CR Bard, Inc.		1,621,360
	4,300	Crown Castle International Corp. REIT		371,950
	3,400	CST Brands, Inc.		130,186
	5,563	Cummins, Inc.		611,596
	114,875	CVS Health Corp.		11,915,984
	12,500	Danaher Corp.		1,185,750
	17,400	Darden Restaurants, Inc.		1,153,620
	15,418	Deere & Co.‡		1,187,032
	3,600	Delta Air Lines, Inc.		175,248
	7,600	DENTSPLY SIRONA, Inc.		468,388
	30,976	Devon Energy Corp.		849,981
	19,200	Digital Realty Trust, Inc. REIT		1,699,008
	15,100	Dollar General Corp.		1,292,560
	800	Domino’s Pizza, Inc.		105,488
	17,200	Dr Pepper Snapple Group, Inc.		1,538,024
	18,500	DTE Energy Co.		1,677,210
	5,200	East-West Bancorp, Inc.		168,896
	388,535	eBay, Inc.*		9,270,445
	20,200	Edison International		1,452,178
	21,200	Eli Lilly & Co.		1,526,612
	21,200	Entergy Corp.		1,680,736
	1,600	Equifax, Inc.		182,864
	17,100	Equity LifeStyle Properties, Inc. REIT		1,243,683
	3,500	Erie Indemnity Co. Class A		325,465
	5,500	Essex Property Trust, Inc. REIT		1,286,230
	6,100	Expedia, Inc.		657,702
	4,672	F5 Networks, Inc.*		494,531
	2,100	Facebook, Inc. Class A*		239,610
	50,000	First Niagara Financial Group, Inc.		484,000
	41,600	FirstEnergy Corp.		1,496,352
	5,300	Fiserv, Inc.*		543,674
	36,401	Flowserve Corp.		1,616,568
	45,966	FMC Technologies, Inc.*		1,257,630
	13,300	General Dynamics Corp.		1,747,221
	29,100	General Mills, Inc.		1,843,485
	11,806	H&R Block, Inc.‡		311,915
	11,600	Hanover Insurance Group, Inc. (The)		1,046,552
	16,200	Healthcare Trust of America, Inc. REIT Class A		476,604
	9,800	Henry Schein, Inc.*		1,691,774
	15,900	Hershey Co. (The)		1,464,231
	1,700	Hill-Rom Holdings, Inc.		85,510
	8,200	Hologic, Inc.*		282,900
	84,227	Home Depot, Inc. (The)		11,238,409
	22,000	Honeywell International, Inc.		2,465,100
	14,000	Hormel Foods Corp.		605,360
	28,000	Hospitality Properties Trust REIT		743,680
	8,700	Huntington Ingalls Industries, Inc.		1,191,378
	11,700	IAC/InterActiveCorp		550,836
	2,500	Ingram Micro, Inc. Class A		89,775

144 See accompanying Notes to the Financial Statements.

Mercer Global Low Volatility Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		United States — continued
	14,700	Ingredion, Inc.		1,569,813
	411,485	Intel Corp.		13,311,540
	82,554	International Business Machines Corp.		12,502,803
	17,000	Intuit, Inc.		1,768,170
	10,400	Jack Henry & Associates, Inc.		879,528
	11,800	JM Smucker Co. (The)		1,532,112
	30,900	Johnson & Johnson		3,343,380
	20,600	Kellogg Co.		1,576,930
	9,800	Kimberly-Clark Corp.		1,318,198
	21,800	Kroger Co. (The)		833,850
	4,900	Lamar Advertising Co. REIT Class A		301,350
	3,700	Leidos Holdings, Inc.		186,184
	43,374	Linear Technology Corp.		1,932,745
	12,923	Lockheed Martin Corp.		2,862,444
	174,203	Lowe’s Cos., Inc.		13,195,877
	6,500	M&T Bank Corp.		721,500
	200	Madison Square Garden Co. (The) Class A*		33,272
	3,218	Martin Marietta Materials, Inc.		513,303
	76,686	Mastercard, Inc. Class A		7,246,827
	3,300	McCormick & Co., Inc.		328,284
	20,500	McDonald’s Corp.		2,576,440
	5,000	McKesson Corp.		786,250
	49,100	Merck & Co., Inc.		2,597,881
	600	Mettler-Toledo International, Inc.*		206,856
	407,061	Microsoft Corp.		22,481,979
	13,900	Mid-America Apartment Communities, Inc. REIT		1,420,719
	5,900	Morningstar, Inc.		520,793
	6,500	Murphy USA, Inc.*		399,425
	24,200	National Instruments Corp.		728,662
	67,990	National Oilwell Varco, Inc.		2,114,489
	47,600	New York Community Bancorp, Inc.		756,840
	3,200	Newmont Mining Corp.		85,056
	16,400	NextEra Energy, Inc.		1,940,776
	2,000	NIKE, Inc. Class B		122,940
	20,000	Northern Trust Corp.		1,303,400
	6,172	Northrop Grumman Corp.		1,221,439
	24,039	NOW, Inc.*		425,971
	200	NVR, Inc.*		346,480
	5,900	O’Reilly Automotive, Inc.*		1,614,594
	25,800	Old Republic International Corp.		471,624
	48,602	Omnicom Group, Inc.		4,045,144
	406,301	Oracle Corp.		16,621,774
	12,707	Orbital ATK, Inc.		1,104,747
	6,600	Panera Bread Co. Class A*		1,351,878
	21,400	Patterson Cos., Inc.		995,742
	278,864	PayPal Holdings, Inc.*		10,764,150
	46,500	People’s United Financial, Inc.		740,745
	25,700	PepsiCo, Inc.		2,633,736
	75,700	Pfizer, Inc.		2,243,748

See accompanying Notes to the Financial Statements. 145

Mercer Global Low Volatility Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		United States — continued
	28,500	PG&E Corp.		1,702,020
	35,300	Philip Morris International, Inc.		3,463,283
	3,923	Phillips 66		339,693
	39,600	Piedmont Office Realty Trust, Inc. REIT Class A		804,276
	17,400	Pinnacle Foods, Inc.		777,432
	4,000	Pinnacle West Capital Corp.		300,280
	13,500	Post Properties, Inc. REIT		806,490
	5,027	Praxair, Inc.		575,340
	300	Priceline Group (The), Inc.*		386,688
	22,000	Procter & Gamble Co. (The)		1,810,820
	44,400	Progressive Corp. (The)		1,560,216
	39,400	Public Service Enterprise Group, Inc.		1,857,316
	6,400	Public Storage REIT		1,765,312
	88,982	QUALCOMM, Inc.		4,550,539
	31,400	Republic Services, Inc.		1,496,210
	2,600	Resmed, Inc.		150,332
	12,600	Reynolds American, Inc.		633,906
	8,198	Royal Gold, Inc.		420,475
	4,672	San Juan Basin Royalty Trust		24,061
	24,636	Scotts Miracle-Gro Co. (The) Class A		1,792,762
	39,400	Senior Housing Properties Trust REIT		704,866
	3,300	Signature Bank*		449,196
	1,900	Simon Property Group, Inc. REIT		394,611
	9,700	Southern Co. (The)		501,781
	9,200	St. Jude Medical, Inc.		506,000
	39,400	Starbucks Corp.		2,352,180
	68,131	State Street Corp.		3,987,026
	11,700	Stericycle, Inc.*		1,476,423
	17,600	Stryker Corp.		1,888,304
	36,242	Synchrony Financial*		1,038,696
	30,500	Synopsys, Inc.*		1,477,420
	36,700	Sysco Corp.		1,714,991
	6,500	Tanger Factory Outlet Centers REIT		236,535
	141,586	Target Corp.		11,649,696
	73,400	TCF Financial Corp.		899,884
	8,900	Teleflex, Inc.		1,397,389
	14,200	Telephone & Data Systems, Inc.		427,278
	53,922	Teradata Corp.*		1,414,913
	32,506	Texas Instruments, Inc.		1,866,495
	16,200	TFS Financial Corp.		281,394
	13,900	Thermo Fisher Scientific, Inc.		1,968,101
	3,268	Tiffany & Co.		239,806
	18,502	Timken Co. (The)		619,632
	12,300	Travelers Cos., Inc. (The)		1,435,533
	7,800	Tyson Foods, Inc. Class A		519,948
	45,306	UGI Corp.		1,825,379
	500	Ulta Salon Cosmetics & Fragrance, Inc.*		96,870
	17,250	Union Pacific Corp.		1,372,238
	8,300	United Continental Holdings, Inc.*		496,838

146 See accompanying Notes to the Financial Statements.

Mercer Global Low Volatility Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares		Description	Value ($)
		United States — continued
	19,700	United Parcel Service, Inc. Class B		2,077,759
	7,100	United States Cellular Corp.*		324,399
	18,500	UnitedHealth Group, Inc.		2,384,650
	36,643	US Bancorp		1,487,339
	26,746	Varian Medical Systems, Inc.*		2,140,215
	22,500	Vectren Corp.		1,137,600
	13,700	VeriSign, Inc.*		1,212,998
	65,900	Verizon Communications, Inc.		3,563,872
	158,795	Visa, Inc. Class A		12,144,642
	22,041	Vista Outdoor, Inc.*		1,144,148
	4,872	Vulcan Materials Co.		514,337
	9,400	VWR Corp.*		254,364
	5,300	W.W. Grainger, Inc.‡		1,237,179
	43,134	Wal-Mart Stores, Inc.		2,954,248
	22,000	Waste Connections, Inc.		1,420,980
	28,600	Waste Management, Inc.		1,687,400
	10,700	Waters Corp.*		1,411,544
	187,796	Wells Fargo & Co.		9,081,815
	113,811	Weyerhaeuser Co. REIT		3,525,865
	19,600	WP Carey, Inc. REIT		1,219,904
	28,435	WR Berkley Corp.		1,598,047
	3,300	Xcel Energy, Inc.		138,006
	40,551	Xilinx, Inc.		1,923,334
	151,050	Yum! Brands, Inc.		12,363,442
		Total United States		472,868,302
		TOTAL COMMON STOCKS (COST $761,571,009)		816,287,085
		INVESTMENT COMPANY — 1.4%
		United States — 1.4%
	109,354	SPDR Gold Shares*		12,860,031
		TOTAL INVESTMENT COMPANY (COST $13,066,713)		12,860,031
		PREFERRED STOCKS — 0.2%
		Germany — 0.2%
	14,404	Henkel AG & Co. KGaA, 1.34%		1,590,525
		Japan — 0.0%
	199	Shinkin Central Bank, 2.91% Class A		395,362
		Sweden — 0.0%
	3,915	Akelius Residential Property AB, 6.84%		141,741
		TOTAL PREFERRED STOCKS (COST $1,906,444)		2,127,628
		RIGHTS — 0.0%
		United Kingdom — 0.0%
	2,686	Primary Health Properties Plc REIT* **** ¤		77
		TOTAL RIGHTS (COST $—)		77

See accompanying Notes to the Financial Statements. 147

Mercer Global Low Volatility Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

Shares			Description	Value ($)
			WARRANTS — 0.0%
			United States — 0.0%
	14,469		JPMorgan Chase & Co., Strike Price $0.00, Expires 10/28/18*		256,101
			TOTAL WARRANTS (COST $234,897)		256,101
Par Value**			Description	Value ($)
			DEBT OBLIGATIONS — 0.3%
			Sovereign Debt Obligations — 0.3%
	10,030,000	MXN	Mexican Bonos, 4.75%, due 06/14/18		588,841
	3,806,100	MXN	Mexican Bonos, 5.00%, due 12/11/19		221,506
	734,000	SGD	Singapore Government Bond, 2.38%, due 04/01/17		554,179
	773,000	SGD	Singapore Government Bond, 0.50%, due 04/01/18		570,801
	444,000	SGD	Singapore Government Bond, 3.25%, due 09/01/20		358,240
			TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $2,452,084)		2,293,567
			TOTAL DEBT OBLIGATIONS (COST $2,452,084)		2,293,567
Par Value ($)			Description	Value ($)
			SHORT-TERM INVESTMENTS — 13.7%
			Bank Deposit — 12.3%
	117,481,776		State Street Bank & Trust Euro Time Deposit, 0.01%, due 04/01/16		117,481,776
			Securities Lending Collateral — 1.4%
	13,141,060		State Street Institutional U.S. Government Money Market Fund, Premier Class***		13,141,060
			TOTAL SHORT-TERM INVESTMENTS (COST $130,622,836)		130,622,836
			TOTAL INVESTMENTS — 101.3% (Cost $909,853,983)		964,447,325
			Other Assets and Liabilities (net) — (1.3)%		(12,061,804	)
			NET ASSETS — 100.0%	$	952,385,521

148 See accompanying Notes to the Financial Statements.

Mercer Global Low Volatility Equity Fund

Schedule of Investments (Continued)

(showing percentage of net assets)

March 31, 2016

	Notes to Schedule of Investments:
	ADR — American Depository Receipt
	NVDR — Non-Voting Depository Receipt
	REIT — Real Estate Investment Trust
*	Non-income producing security
**	Unless otherwise indicated, all par values are denominated in United States dollars ($).
***	Represents an investment of securities lending cash collateral.
****	Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the securities at year end is $77 which represents 0.0% of net assets. The aggregate tax cost of these securities held at March 31, 2016 was $0.
¤	Illiquid security. The total market value of the securities at year end is $77 which represents 0.0% of net assets. The aggregate tax cost of these securities held at March 31, 2016 was $0.
‡	All or a portion of this security is out on loan.

See accompanying Notes to the Financial Statements. 149

Mercer Global Low Volatility Equity Fund

Schedule of Investments (Continued)

March 31, 2016

Forward Foreign Currency Contracts

Settlement Date		Currency	Counterparty	Units of Currency		Value		Unrealized Appreciation (Depreciation)
	Sales
	04/13/16	EUR	Bank of New York		277,000	$	315,743	$	(13,906	)
	05/18/16	EUR	Goldman Sachs		304,000		346,876		(5,514	)
	08/17/16	EUR	HSBC Bank USA		359,000		410,898		(15,736	)
	06/15/16	EUR	JPMorgan Chase Bank N.A.		346,000		395,147		(6,395	)
	07/13/16	EUR	UBS AG		346,000		395,531		(6,803	)
	04/13/16	GBP	Bank of New York		157,000		225,662		3,585
	05/18/16	GBP	Goldman Sachs		82,000		117,873		(1,419	)
								$	(46,188	)

Currency Abbreviations

EUR — Euro

GBP — British Pound Sterling

MXN — Mexican Peso

SGD — Singapore Dollar

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Unrealized Appreciation (Depreciation)
	Buys
	18	Canadian Dollar	June 2016	$	1,387,260	$	43,384
	149	MSCI EAFE E-mini Index	June 2016		12,109,975		(23,790	)
	185	S&P 500 E-mini Index	June 2016		18,976,375		642,816
	10	S&P/TSX 60 Index	June 2016		1,216,900		(3,838	)
						$	658,572

150 See accompanying Notes to the Financial Statements.

Mercer Global Low Volatility Equity Fund

Schedule of Investments (Continued)

March 31, 2016

Industry Sector Summary (Unaudited)	% of Net Assets
Retail		9.1
Food		8.2
Banks		5.7
Electric		4.9
Software		4.9
Pharmaceuticals		4.6
Telecommunications		4.1
Insurance		3.5
Computers		3.1
Commercial Services		3.0
REITS		2.8
Internet		2.6
Media		2.0
Semiconductors		2.0
Agriculture		1.8
Beverages		1.8
Electronics		1.8
Health Care — Products		1.8
Diversified Financial Services		1.7
Commodity Fund		1.4
Real Estate		1.4
Aerospace & Defense		0.9
Mining		0.9
Building Materials		0.8
Environmental Control		0.8
Health Care — Services		0.8
Household Products & Wares		0.8
Engineering & Construction		0.7
Miscellaneous — Manufacturing		0.7
Oil & Gas		0.7
Transportation		0.7
Cosmetics & Personal Care		0.6
Gas		0.6
Machinery — Diversified		0.6
Holding Companies — Diversified		0.5
Advertising		0.4
Airlines		0.4
Chemicals		0.4
Biotechnology		0.3
Distribution & Wholesale		0.3
Forest Products & Paper		0.3
Investment Companies		0.3
Metal Fabricate & Hardware		0.3
Oil & Gas Services		0.3
Sovereign		0.3
Water		0.3
Hand & Machine Tools		0.2
Leisure Time		0.2
Packaging & Containers		0.2
Savings & Loans		0.2
Textiles		0.2

See accompanying Notes to the Financial Statements. 151

Mercer Global Low Volatility Equity Fund

Schedule of Investments (Continued)

March 31, 2016

Industry Sector Summary (Unaudited)	% of Net Assets
Apparel		0.1
Auto Manufacturers		0.1
Electrical Components & Equipment		0.1
Entertainment		0.1
Food Service		0.1
Home Builders		0.1
Shipbuilding		0.1
Iron & Steel		0.0
Lodging		0.0
Office & Business Equipment		0.0
Short-Term Investments and Other Assets and Liabilities (net)		12.4
		100.0	%

152 See accompanying Notes to the Financial Statements.

Mercer Funds

Statements of Assets and Liabilities

March 31, 2016

	Mercer US Large Cap Growth Equity Fund				Mercer US Large Cap Value Equity Fund				Mercer US Small/Mid Cap Growth Equity Fund				Mercer US Small/Mid Cap Value Equity Fund
Assets
Investments, at value(a)		$	310,991,248			$	318,038,314			$	463,773,654			$	483,267,343
Foreign currency, at value(b)			—				—				99,173				—
Cash			1,172				67,608				13,294				43,755
Receivable for investments sold			326,529				5,704,834				1,853,746				4,674,276
Dividend and interest receivable			213,595				413,474				218,779				578,270
Cash collateral held at broker on open futures contracts			422,000				272,000				484,000				500,000
Receivable for variation margin on open futures contracts			—				—				13,427				6,100
Foreign tax reclaims receivable			201,945				5,514				48,519				—
Securities lending income receivable			16,511				4,410				22,366				34,845
Prepaid expenses			1,809				1,743				2,112				2,026
Total assets			312,174,809				324,507,897				466,529,070				489,106,615
Liabilities
Payable for investments purchased			162,522				5,422,328				2,195,336				5,037,880
Payable for Fund shares repurchased			—				—				642,050				651,860
Variation margin payable on open futures contracts			10,225				5,930				—				—
Obligation to return securities lending collateral			10,516,617				8,737,578				35,835,272				27,674,916
Payable to affiliate for:
Advisory fees			137,963				138,115				315,516				336,415
Trustees fees			183				190				255				270
Accrued expenses			87,372				98,126				115,078				111,169
Total liabilities			10,914,882				14,402,267				39,103,507				33,812,510
Net assets		$	301,259,927			$	310,105,630			$	427,425,563			$	455,294,105
Net assets consist of:
Paid-in capital			282,430,807				312,916,317				402,252,353				448,630,040
Accumulated undistributed (distributions in excess of) net investment income			(3,362	)			954,639				(97,703	)			(212	)
Accumulated net realized gain (loss)			10,048,642				(3,081,179	)			(1,817,854	)			(1,855,806	)
Net unrealized appreciation (depreciation) on investments, futures contracts and foreign currencies			8,783,840				(684,147	)			27,088,767				8,520,083
Net assets		$	301,259,927			$	310,105,630			$	427,425,563			$	455,294,105
Net assets attributable to:
Class Y-3 shares		$	301,259,927			$	310,105,630			$	427,425,563			$	455,294,105
Shares outstanding:
Class Y-3			32,246,355				33,784,666				41,484,226				51,436,776
Net asset value per share:
Class Y-3		$	9.34			$	9.18			$	10.30			$	8.85
(a)    Investments, at cost		$	302,492,034			$	318,880,865			$	436,945,541			$	475,004,795
(b)    Foreign currency, at cost		$	—			$	—			$	96,788			$	—

See accompanying Notes to the Financial Statements. 153

Mercer Funds

Statements of Assets and Liabilities (Continued)

March 31, 2016

	Mercer Non-US Core Equity Fund			Mercer Core Fixed Income Fund			Mercer Opportunistic Fixed Income Fund			Mercer Emerging Markets Equity Fund
Assets
Investments, at value(a)		$	2,028,689,649		$	807,227,233		$	426,123,015		$	1,175,003,818
Foreign currency, at value(b)			5,725,713			—			1,076,101			2,893,637
Cash			—			15,188			—			895,202
Receivable for investments sold			19,552,943			11,368,009			12,219,446			1,700,087
Receivable for TBA securities sold			—			11,971,002			—			—
Receivable for Fund shares sold			—			—			—			460
Dividend and interest receivable			6,376,527			5,958,128			7,826,910			3,306,927
Cash collateral held at broker on open futures contracts			3,980,000			197,096			631,826			5,240,393
Unrealized appreciation on open forward foreign currency contracts			—			—			3,279,440			9,363,103
Receivable for variation margin on open futures contracts			—			139,328			217,188			197,600
Receivable for expenses reimbursed by Advisor			—			—			25,469			—
Synthetic futures, at value			—			—			—			853,935
Receivable for closed futures contracts			—			—			—			710,325
Foreign tax reclaims receivable			1,554,091			1,106			74,998			16,190
Securities lending income receivable			155,618			5,617			15,700			53,942
Prepaid expenses			9,409			3,905			1,865			4,927
Total assets			2,066,043,950			836,886,612			451,491,958			1,200,240,546
Liabilities
Payable for investments purchased			29,096,607			7,062,332			5,260,685			—
Payable for Fund shares repurchased			1,365,032			—			886,900			1,395,478
Payable for TBA and when-issued securities purchased			—			33,742,013			3,800,000			—
Due to custodian			—			—			105,632			—
Synthetic futures, at value			—			—			—			288,409
Payable for variation margin on open swap contracts			—			69,021			—			—
Unrealized depreciation on open forward foreign currency contracts			—			—			6,031,496			9,057,496
Variation margin payable on open futures contracts			955,477			47,438			—			50,857
Obligation to return securities lending collateral			91,339,396			11,661,485			20,602,453			37,754,026
Payable to affiliate for:
Advisory fees			1,181,838			228,973			271,059			740,012
Trustees fees			1,149			473			244			669
Payable for foreign capital gains tax			—			—			98,993			253,478
Accrued expenses			470,181			199,894			172,807			563,768
Total liabilities			124,409,680			53,011,629			37,230,269			50,104,193
Net assets		$	1,941,634,270		$	783,874,983		$	414,261,689		$	1,150,136,353

154 See accompanying Notes to the Financial Statements.

Mercer Funds

Statements of Assets and Liabilities (Continued)

March 31, 2016

	Mercer Non-US Core Equity Fund				Mercer Core Fixed Income Fund			Mercer Opportunistic Fixed Income Fund				Mercer Emerging Markets Equity Fund
Net assets consist of:
Paid-in capital		$	1,954,015,493			$	773,303,260		$	484,701,943			$	1,295,979,250
Accumulated undistributed (distributions in excess of) net investment income			(3,143,284	)			4,915,211			(4,384,265	)			5,375,948
Accumulated net realized gain (loss)			(34,557,927	)			183,199			(12,095,873	)			(125,640,615	)
Net unrealized appreciation (depreciation) on investments, futures contracts, swap contracts and foreign currencies			25,319,988				5,473,313			(53,960,116	)			(25,578,230	)
Net assets		$	1,941,634,270			$	783,874,983		$	414,261,689			$	1,150,136,353
Net assets attributable to:
Class Y-3 shares		$	1,941,634,270			$	783,874,983		$	414,261,689			$	1,150,136,353
Shares outstanding:
Class Y-3			202,090,912				77,267,099			49,084,253				133,882,017
Net asset value per share:
Class Y-3		$	9.61			$	10.15		$	8.44			$	8.59
(a)    Investments, at cost		$	2,003,180,721			$	801,437,045		$	477,793,606			$	1,204,713,075
(b)    Foreign currency, at cost		$	5,735,199			$	—		$	1,052,747			$	2,845,913

See accompanying Notes to the Financial Statements. 155

Mercer Funds

Statements of Assets and Liabilities (Continued)

March 31, 2016

	Mercer Global Low Volatility Equity Fund
Assets
Investments, at value(a)		$	964,447,325
Foreign currency, at value(b)			233,767
Cash			40,487
Receivable for investments sold			252,006
Dividend and interest receivable			1,675,345
Cash collateral held at broker on open futures contracts			1,539,000
Unrealized appreciation on open forward foreign currency contracts			3,585
Foreign tax reclaims receivable			434,089
Securities lending income receivable			15,905
Prepaid expenses			3,794
Total assets			968,645,303
Liabilities
Payable for Fund shares repurchased			2,102,536
Unrealized depreciation on open forward foreign currency contracts			49,773
Variation margin payable on open futures contracts			165,184
Obligation to return securities lending collateral			13,141,060
Payable to affiliate for:
Advisory fees			590,866
Trustees fees			568
Payable for foreign capital gains tax			42
Accrued expenses			209,753
Total liabilities			16,259,782
Net assets		$	952,385,521
Net assets consist of:
Paid-in capital			891,116,011
Accumulated undistributed net investment income			1,709,899
Accumulated net realized gain			4,355,811
Net unrealized appreciation on investments, futures contracts and foreign currencies			55,203,800
Net assets		$	952,385,521
Net assets attributable to:
Class Y-3 shares		$	952,385,521
Shares outstanding:
Class Y-3			80,637,578
Net asset value per share:
Class Y-3		$	11.81
(a)    Investments, at cost		$	909,853,983
(b)    Foreign currency, at cost		$	232,339

156 See accompanying Notes to the Financial Statements.

Mercer Funds

Statements of Operations

For the Year Ended March 31, 2016

	Mercer US Large Cap Growth Equity Fund				Mercer US Large Cap Value Equity Fund				Mercer US Small/Mid Cap Growth Equity Fund				Mercer US Small/Mid Cap Value Equity Fund
Investment Income:
Interest		$	2,242			$	2,368			$	3,025			$	3,471
Dividends			3,225,419				7,576,259				3,405,559				5,385,955
Securities lending income			318,914				78,016				222,801				505,658
Withholding taxes			(103,792	)			(55,882	)			(39,877	)			(66,080	)
Total investment income			3,442,783				7,600,761				3,591,508				5,829,004
Expenses:
Advisory fees			1,977,278				1,890,589				4,025,343				4,013,897
Transfer agent fees			22,554				22,029				22,614				22,658
Custodian and fund accounting fees			102,701				130,419				169,520				129,856
Audit fees			51,794				51,791				54,595				52,271
Legal fees			32,173				32,308				42,493				43,974
Trustees fees			20,561				20,342				25,280				25,167
Registration fees			23,722				25,618				26,200				26,854
Interest expense			127				156				152				144
Miscellaneous			24,344				23,967				29,723				30,532
Total expenses			2,255,254				2,197,219				4,395,920				4,345,353
Net investment income (loss)			1,187,529				5,403,542				(804,412	)			1,483,651
Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments			24,720,501				18,044,157				9,634,756				11,959,734
Closed futures contracts			166,086				(938,034	)			(2,368,552	)			(2,228,225	)
Forward foreign currency contracts and foreign currency related transactions			—				(484	)			(2,187	)			(991	)
Net realized gain			24,886,587				17,105,639				7,264,017				9,730,518
Change in net unrealized appreciation (depreciation) on:
Investments			(37,183,096	)			(49,789,686	)			(55,260,315	)			(26,595,007	)
Open futures contracts			459,686				288,868				111,380				23,170
Forward foreign currency contracts and foreign currency related translations			—				562				2,727				14
Change in net unrealized appreciation (depreciation)			(36,723,410	)			(49,500,256	)			(55,146,208	)			(26,571,823	)
Net realized and unrealized gain (loss)			(11,836,823	)			(32,394,617	)			(47,882,191	)			(16,841,305	)
Net increase (decrease) in net assets resulting from operations		$	(10,649,294	)		$	(26,991,075	)		$	(48,686,603	)		$	(15,357,654	)

See accompanying Notes to the Financial Statements. 157

Mercer Funds

Statements of Operations (Continued)

For the Year Ended March 31, 2016

	Mercer Non-US Core Equity Fund				Mercer Core Fixed Income Fund				Mercer Opportunistic Fixed Income Fund				Mercer Emerging Markets Equity Fund
Investment Income:
Interest		$	6,832			$	27,232,644			$	28,562,347			$	4,784
Dividends			52,034,291				198,042				—				33,046,049
Securities lending income			1,281,702				28,006				101,177				360,310
Withholding taxes			(4,675,214	)			—				(154,008	)			(3,707,867	)
Other income			545				47,917				25,101				—
Total investment income			48,648,156				27,506,609				28,534,617				29,703,276
Expenses:
Advisory fees			14,727,618				2,970,087				3,179,550				8,449,534
Transfer agent fees			22,611				22,991				22,728				22,850
Custodian and fund accounting fees			1,260,859				325,458				366,570				1,768,190
Audit fees			149,865				87,345				67,810				145,413
Legal fees			183,555				74,058				39,186				103,288
Trustees fees			112,519				48,207				22,318				59,414
Registration fees			26,040				24,376				41,382				44,681
Interest expense			441				429				2,671				11,762
Miscellaneous			136,940				54,744				27,859				78,441
Total expenses			16,620,448				3,607,695				3,770,074				10,683,573
Reimbursement of expenses			—				—				(190,160	)			—
Net expenses			16,620,448				3,607,695				3,579,914				10,683,573
Net investment income (loss)			32,027,708				23,898,914				24,954,703				19,019,703
Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments			(1,952,975	)			852,282				(33,074,857	)			(88,213,103	)
Swap contracts			—				(807,565	)			—				—
Closed futures contracts			(4,035,183	)			703,955				(843,070	)			(12,613,273	)
Written option contracts			—				299,410				—				—
Forward foreign currency contracts and foreign currency related transactions			(1,208,892	)			(15,835	)			(1,200,298	)			198,263
Net realized gain (loss)			(7,197,050	)			1,032,247				(35,118,225	)			(100,628,113	)
Change in net unrealized appreciation (depreciation) on:
Investments			(132,497,638	)			(17,029,654	)			(11,084,586	)			(47,517,851	)
Swap contracts			—				(529,292	)			—				—
Open futures contracts			(350,330	)			371,934				760,965				1,669,469
Written option contracts			—				4,134				—				—
Forward foreign currency contracts and foreign currency related translations			224,530				443				(4,156,892	)			1,860,268
Change in net unrealized appreciation (depreciation)			(132,623,438	)			(17,182,435	)			(14,480,513	)			(43,988,114	)
Net realized and unrealized gain (loss)			(139,820,488	)			(16,150,188	)			(49,598,738	)			(144,616,227	)
Net increase (decrease) in net assets resulting from operations		$	(107,792,780	)		$	7,748,726			$	(24,644,035	)		$	(125,596,524	)

158 See accompanying Notes to the Financial Statements.

Mercer Funds

Statements of Operations (Continued)

For the Year Ended March 31, 2016

	Mercer Global Low Volatility Equity Fund
Investment Income:
Interest		$	50,915
Dividends			18,298,090
Securities lending income			254,174
Withholding taxes			(961,604	)
Total investment income			17,641,575
Expenses:
Advisory fees			6,428,407
Transfer agent fees			22,337
Custodian and fund accounting fees			355,086
Audit fees			58,931
Legal fees			82,743
Trustees fees			47,681
Registration fees			30,306
Interest expense			371
Miscellaneous			57,147
Total expenses			7,083,009
Net investment income (loss)			10,558,566
Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments			15,239,733
Closed futures contracts			(2,113,191	)
Forward foreign currency contracts and foreign currency related transactions			251,917
Net realized gain			13,378,459
Change in net unrealized appreciation (depreciation) on:
Investments			11,861,437
Open futures contracts			621,287
Forward foreign currency contracts and foreign currency related translations			(457,479	)
Change in net unrealized appreciation (depreciation)			12,025,245
Net realized and unrealized gain (loss)			25,403,704
Net increase (decrease) in net assets resulting from operations		$	35,962,270

See accompanying Notes to the Financial Statements. 159

Mercer Funds

Statements of Changes in Net Assets

	Mercer US Large Cap Growth Equity Fund								Mercer US Large Cap Value Equity Fund
	Year Ended March 31, 2016				Year Ended March 31, 2015				Year Ended March 31, 2016				Year Ended March 31, 2015
Increase (decrease) in net assets:
Operations:
Net investment income (loss)		$	1,187,529			$	1,371,357			$	5,403,542			$	5,280,848
Net realized gain (loss)			24,886,587				89,238,258				17,105,639				64,786,923
Change in net unrealized appreciation (depreciation)			(36,723,410	)			(41,892,194	)			(49,500,256	)			(37,278,891	)
Net increase (decrease) in net assets resulting from operations			(10,649,294	)			48,717,421				(26,991,075	)			32,788,880
Distributions to shareholders from:
Net investment income
Class Y-3			(1,544,807	)			(1,009,786	)			(5,818,504	)			(5,406,946	)
Total distributions from net investment income			(1,544,807	)			(1,009,786	)			(5,818,504	)			(5,406,946	)
Net realized gains
Class Y-3			(38,484,951	)			(93,603,995	)			(42,590,603	)			(51,164,468	)
Total distributions from net realized gains			(38,484,951	)			(93,603,995	)			(42,590,603	)			(51,164,468	)
Net share transactions (See Note 7):
Class Y-3			(10,759,407	)			49,732,510				22,622,945				16,187,539
Increase (decrease) in net assets resulting from net shares transactions			(10,759,407	)			49,732,510				22,622,945				16,187,539
Net increase (decrease) in net assets			(61,438,459	)			3,836,150				(52,777,237	)			(7,594,995	)
Net assets:
Beginning of year			362,698,386				358,862,236				362,882,867				370,477,862
End of year		$	301,259,927			$	362,698,386			$	310,105,630			$	362,882,867
Undistributed (distributions in excess of) net investment income included in net assets at end of year		$	(3,362	)		$	675,053			$	954,639			$	1,587,869

160 See accompanying Notes to the Financial Statements.

Mercer Funds

Statements of Changes in Net Assets (Continued)

	Mercer US Small/Mid Cap Growth Equity Fund								Mercer US Small/Mid Cap Value Equity Fund
	Year Ended March 31, 2016				Year Ended March 31, 2015				Year Ended March 31, 2016				Year Ended March 31, 2015
Increase (decrease) in net assets:
Operations:
Net investment income (loss)		$	(804,412	)		$	(1,064,325	)		$	1,483,651			$	1,175,519
Net realized gain (loss)			7,264,017				47,234,362				9,730,518				22,938,710
Change in net unrealized appreciation (depreciation)			(55,146,208	)			7,053,216				(26,571,823	)			(929,804	)
Net increase (decrease) in net assets resulting from operations			(48,686,603	)			53,223,253				(15,357,654	)			23,184,425
Distributions to shareholders from:
Net investment income
Class Y-3			—				—				(1,219,489	)			(994,292	)
Total distributions from net investment income			—				—				(1,219,489	)			(994,292	)
Net realized gains
Class Y-3			(24,352,888	)			(53,577,019	)			(17,363,946	)			(69,483,836	)
Total distributions from net realized gains			(24,352,888	)			(53,577,019	)			(17,363,946	)			(69,483,836	)
Net share transactions (See Note 7):
Class Y-3			29,572,449				73,886,251				32,889,353				114,927,870
Increase in net assets resulting from net shares transactions			29,572,449				73,886,251				32,889,353				114,927,870
Net increase (decrease) in net assets			(43,467,042	)			73,532,485				(1,051,736	)			67,634,167
Net assets:
Beginning of year			470,892,605				397,360,120				456,345,841				388,711,674
End of year		$	427,425,563			$	470,892,605			$	455,294,105			$	456,345,841
Undistributed (distributions in excess of) net investment income included in net assets at end of year		$	(97,703	)		$	(598,314	)		$	(212	)		$	166,913

See accompanying Notes to the Financial Statements. 161

Mercer Funds

Statements of Changes in Net Assets (Continued)

	Mercer Non-US Core Equity Fund								Mercer Core Fixed Income Fund
	Year Ended March 31, 2016				Year Ended March 31, 2015				Year Ended March 31, 2016				Year Ended March 31, 2015
Increase (decrease) in net assets:
Operations:
Net investment income (loss)		$	32,027,708			$	35,085,958			$	23,898,914			$	25,019,242
Net realized gain (loss)			(7,197,050	)			79,341,632				1,032,247				20,292,462
Change in net unrealized appreciation (depreciation)			(132,623,438	)			(103,250,204	)			(17,182,435	)			5,565,408
Net increase (decrease) in net assets resulting from operations			(107,792,780	)			11,177,386				7,748,726				50,877,112
Distributions to shareholders from:
Net investment income
Class Y-3			(32,290,964	)			(47,473,858	)			(24,184,241	)			(26,100,759	)
Total distributions from net investment income			(32,290,964	)			(47,473,858	)			(24,184,241	)			(26,100,759	)
Net realized gains
Class Y-3			(49,778,409	)			(170,533,817	)			(8,369,548	)			(17,130,534	)
Total distributions from net realized gains			(49,778,409	)			(170,533,817	)			(8,369,548	)			(17,130,534	)
Net share transactions (See Note 7):
Class Y-3			58,515,147				398,335,931				(83,968,766	)			(191,436,484	)
Increase (decrease) in net assets resulting from net shares transactions			58,515,147				398,335,931				(83,968,766	)			(191,436,484	)
Net increase (decrease) in net assets			(131,347,006	)			191,505,642				(108,773,829	)			(183,790,665	)
Net assets:
Beginning of year			2,072,981,276				1,881,475,634				892,648,812				1,076,439,477
End of year		$	1,941,634,270			$	2,072,981,276			$	783,874,983			$	892,648,812
Undistributed (distributions in excess of) net investment income included in net assets at end of year		$	(3,143,284	)		$	4,662,672			$	4,915,211			$	5,601,926

162 See accompanying Notes to the Financial Statements.

Mercer Funds

Statements of Changes in Net Assets (Continued)

	Mercer Opportunistic Fixed Income Fund								Mercer Emerging Markets Equity Fund
	Year Ended March 31, 2016				Year Ended March 31, 2015				Year Ended March 31, 2016				Year Ended March 31, 2015
Increase (decrease) in net assets:
Operations:
Net investment income (loss)		$	24,954,703			$	18,584,572			$	19,019,703			$	16,472,583
Net realized gain (loss)			(35,118,225	)			(2,390,213	)			(100,628,113	)			(13,106,014	)
Change in net unrealized appreciation (depreciation)			(14,480,513	)			(44,818,843	)			(43,988,114	)			1,697,780
Net increase (decrease) in net assets resulting from operations			(24,644,035	)			(28,624,484	)			(125,596,524	)			5,064,349
Distributions to shareholders from:
Net investment income
Class Y-3			(3,476,394	)			(17,059,016	)			(11,714,562	)			(18,781,299	)
Total distributions from net investment income			(3,476,394	)			(17,059,016	)			(11,714,562	)			(18,781,299	)
Net realized gains
Class Y-3			(1,749,711	)			(2,517,357	)			—				—
Total distributions from net realized gains			(1,749,711	)			(2,517,357	)			—				—
Net share transactions (See Note 7):
Class Y-3			48,192,685				183,559,152				200,092,196				238,149,352
Increase in net assets resulting from net shares transactions			48,192,685				183,559,152				200,092,196				238,149,352
Net increase in net assets			18,322,545				135,358,295				62,781,110				224,432,402
Net assets:
Beginning of year			395,939,144				260,580,849				1,087,355,243				862,922,841
End of year		$	414,261,689			$	395,939,144			$	1,150,136,353			$	1,087,355,243
Undistributed (distributions in excess of) net investment income included in net assets at end of year		$	(4,384,265	)		$	(1,552,201	)		$	5,375,948			$	(3,030,275	)

See accompanying Notes to the Financial Statements. 163

Mercer Funds

Statements of Changes in Net Assets (Continued)

	Mercer Global Low Volatility Equity Fund
	Year Ended March 31, 2016				Year Ended March 31, 2015
Increase (decrease) in net assets:
Operations:
Net investment income (loss)		$	10,558,566			$	10,007,231
Net realized gain (loss)			13,378,459				69,610,968
Change in net unrealized appreciation (depreciation)			12,025,245				(32,482,741	)
Net increase in net assets resulting from operations			35,962,270				47,135,458
Distributions to shareholders from:
Net investment income
Class Y-3			(10,380,943	)			(12,009,539	)
Total distributions from net investment income			(10,380,943	)			(12,009,539	)
Net realized gains
Class Y-3			(47,787,568	)			(41,263,632	)
Total distributions from net realized gains			(47,787,568	)			(41,263,632	)
Net share transactions (See Note 7):
Class Y-3			155,539,826				82,548,255
Increase in net assets resulting from net shares transactions			155,539,826				82,548,255
Net increase in net assets			133,333,585				76,410,542
Net assets:
Beginning of year			819,051,936				742,641,394
End of year		$	952,385,521			$	819,051,936
Undistributed net investment income included in net assets at end of year		$	1,709,899			$	1,193,554

164 See accompanying Notes to the Financial Statements.

Mercer US Large Cap Growth Equity Fund

Financial Highlights

	Year Ended 03/31/16				Year Ended 03/31/15				Year Ended 03/31/14				Year Ended 03/31/13				Year Ended 03/31/12
For a Class Y-3 Share Outstanding Throughout Each Period:
Net asset value at beginning of year		$	11.11			$	13.16			$	13.56			$	13.27			$	12.19
Net investment income†			0.04				0.05				0.07				0.08				0.04
Net realized and unrealized gain (loss) on investments			(0.43	)			1.63				3.11				0.68				1.06
Total from investment operations			(0.39	)			1.68				3.18				0.76				1.10
Less dividends and distributions:
From net investment income			(0.05	)			(0.04	)			(0.09	)			(0.08	)			(0.02	)
From net realized gain on investments			(1.33	)			(3.69	)			(3.49	)			(0.39	)			—
Total dividends and distributions			(1.38	)			(3.73	)			(3.58	)			(0.47	)			(0.02	)
Net asset value at end of year		$	9.34			$	11.11			$	13.16			$	13.56			$	13.27
Total investment return			(4.09	)%			13.63	%(a)			23.99	%(a)			6.03	%(a)			9.08	%(a)
Ratios/Supplemental Data:
Net investment income to average net assets			0.33	%			0.37	%			0.48	%			0.61	%			0.33	%
Net expenses to average daily net assets			0.63	%(b)			0.60	%(b)			0.57	%			0.57	%			0.57	%
Total expenses (before reductions and reimbursements) to average daily net assets			0.63	%(b)			0.63	%(b)			0.63	%			0.63	%			0.63	%
Portfolio turnover rate			66	%			118	%			50	%			65	%			64	%
Net assets at end of year (in 000’s)		$	301,260			$	362,698			$	358,862			$	465,787			$	465,641

(a) The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown.

(b) Includes interest expense that amounts to less than 0.01%.

† Computed using average shares outstanding throughout the year.

See accompanying Notes to the Financial Statements. 165

Mercer US Large Cap Value Equity Fund

Financial Highlights (Continued)

	Year Ended 03/31/16				Year Ended 03/31/15				Year Ended 03/31/14				Year Ended 03/31/13				Year Ended 03/31/12
For a Class Y-3 Share Outstanding Throughout Each Period:
Net asset value at beginning of year		$	11.69			$	12.66			$	9.95			$	8.71			$	8.25
Net investment income†			0.16				0.18				0.18				0.18				0.16
Net realized and unrealized gain (loss) on investments			(1.01	)			0.94				2.75				1.26				0.45
Total from investment operations			(0.85	)			1.12				2.93				1.44				0.61
Less dividends and distributions:
From net investment income			(0.20	)			(0.20	)			(0.22	)			(0.20	)			(0.15	)
From net realized gain on investments			(1.46	)			(1.89	)			—				—				—
Total dividends and distributions			(1.66	)			(2.09	)			(0.22	)			(0.20	)			(0.15	)
Net asset value at end of year		$	9.18			$	11.69			$	12.66			$	9.95			$	8.71
Total investment return			(7.28	)%			9.10	%(a)			29.54	%(a)			16.71	%(a)			7.69	%(a)
Ratios/Supplemental Data:
Net investment income to average net assets			1.51	%			1.44	%			1.60	%			2.07	%			2.03	%
Net expenses to average daily net assets			0.62	%(b)			0.59	%(b)			0.55	%			0.55	%			0.55	%
Total expenses (before reductions and reimbursements) to average daily net assets			0.62	%(b)			0.62	%(b)			0.61	%			0.60	%			0.62	%
Portfolio turnover rate			74	%			60	%			45	%			59	%			109	%
Net assets at end of year (in 000’s)		$	310,106			$	362,883			$	370,478			$	475,898			$	459,999

(a) The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown.

(b) Includes interest expense that amounts to less than 0.01%.

† Computed using average shares outstanding throughout the year.

166 See accompanying Notes to the Financial Statements.

Mercer US Small/Mid Cap Growth Equity Fund

Financial Highlights (Continued)

	Year Ended 03/31/16				Year Ended 03/31/15				Year Ended 03/31/14				Year Ended 03/31/13				Year Ended 03/31/12
For a Class Y-3 Share Outstanding Throughout Each Period:
Net asset value at beginning of year		$	12.23			$	12.44			$	11.94			$	11.62			$	12.49
Net investment loss†			(0.02	)			(0.03	)			(0.02	)			(0.01	)			(0.04	)
Net realized and unrealized gain (loss) on investments			(1.28	)			1.32				2.63				1.31				0.27
Total from investment operations			(1.30	)			1.29				2.61				1.30				0.23
Less dividends and distributions:
From net investment income			—				—				—				(0.01	)			—
From net realized gain on investments			(0.63	)			(1.50	)			(2.11	)			(0.97	)			(1.10	)
Total dividends and distributions			(0.63	)			(1.50	)			(2.11	)			(0.98	)			(1.10	)
Net asset value at end of year		$	10.30			$	12.23			$	12.44			$	11.94			$	11.62
Total investment return			(10.78	)%			11.11	%(a)			22.34	%(a)			12.11	%(a)			3.36	%(a)
Ratios/Supplemental Data:
Net investment loss to average net assets			(0.18	)%			(0.25	)%			(0.17	)%			(0.05	)%			(0.36	)%
Net expenses to average daily net assets			0.98	%(b)			0.98	%(b)			0.97	%			0.96	%			0.92	%
Total expenses (before reductions and reimbursements) to average daily net assets			0.98	%(b)			0.99	%(b)			0.99	%			1.01	%			1.01	%
Portfolio turnover rate			68	%			75	%			67	%			54	%			95	%
Net assets at end of year (in 000’s)		$	427,426			$	470,893			$	397,360			$	442,080			$	300,176

(a) The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown.

(b) Includes interest expense that amounts to less than 0.01%.

† Computed using average shares outstanding throughout the year.

See accompanying Notes to the Financial Statements. 167

Mercer US Small/Mid Cap Value Equity Fund

Financial Highlights (Continued)

	Year Ended 03/31/16				Year Ended 03/31/15				Year Ended 03/31/14				Year Ended 03/31/13				Year Ended 03/31/12
For a Class Y-3 Share Outstanding Throughout Each Period:
Net asset value at beginning of year		$	9.63			$	10.98			$	11.05			$	9.94			$	10.64
Net investment income†			0.03				0.03				0.04				0.13				0.06
Net realized and unrealized gain (loss) on investments			(0.43	)			0.34				2.24				1.46				(0.14	)(a)
Total from investment operations			(0.40	)			0.37				2.28				1.59				(0.08	)
Less dividends and distributions:
From net investment income			(0.02	)			(0.02	)			(0.10	)			(0.11	)			(0.04	)
From net realized gain on investments			(0.36	)			(1.70	)			(2.25	)			(0.37	)			(0.58	)
Total dividends and distributions			(0.38	)			(1.72	)			(2.35	)			(0.48	)			(0.62	)
Net asset value at end of year		$	8.85			$	9.63			$	10.98			$	11.05			$	9.94
Total investment return			(4.00	)%			4.27	%(b)			21.61	%(b)			16.51	%(b)			(0.03	)%(b)
Ratios/Supplemental Data:
Net investment income to average net assets			0.33	%			0.28	%			0.38	%			1.26	%			0.60	%
Net expenses to average daily net assets			0.97	%(c)			0.98	%(c)			0.97	%			0.96	%			0.92	%
Total expenses (before reductions and reimbursements) to average daily net assets			0.97	%(c)			0.99	%(c)			1.00	%			1.01	%			1.01	%
Portfolio turnover rate			83	%			88	%			122	%(d)			80	%			92	%
Net assets at end of year (in 000’s)		$	455,294			$	456,346			$	388,712			$	429,412			$	292,391

(a) The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain for the period due to the timing of sales of the Fund in relation to the fluctuating net asset value per share of the Fund.

(b) The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown.

(c) Includes interest expense that amounts to less than 0.01%.

(d) Portfolio turnover calculation does not include $38,447,113 of securities transferred out of the Fund as part of an in-kind redemption.

† Computed using average shares outstanding throughout the period.

168 See accompanying Notes to the Financial Statements.

Mercer Non-US Core Equity Fund

Financial Highlights (Continued)

	Year Ended 03/31/16				Year Ended 03/31/15				Year Ended 03/31/14				Year Ended 03/31/13				Year Ended 03/31/12
For a Class Y-3 Share Outstanding Throughout Each Period:
Net asset value at beginning of year		$	10.64			$	11.92			$	10.58			$	9.72			$	10.46
Net investment income†			0.16				0.19				0.29				0.21				0.25
Net realized and unrealized gain (loss) on investments			(0.76	)			(0.22	)			1.94				0.90				(0.81	)
Total from investment operations			(0.60	)			(0.03	)			2.23				1.11				(0.56	)
Less dividends and distributions:
From net investment income			(0.17	)			(0.27	)			(0.33	)			(0.25	)			(0.18	)
From net realized gain on investments			(0.26	)			(0.98	)			(0.56	)			—				—
Total dividends and distributions			(0.43	)			(1.25	)			(0.89	)			(0.25	)			(0.18	)
Net asset value at end of year		$	9.61			$	10.64			$	11.92			$	10.58			$	9.72
Total investment return			(5.64	)%			0.19	%(a)			21.48	%(a)			11.53	%(a)			(5.15	)%(a)
Ratios/Supplemental Data:
Net investment income to average net assets			1.60	%			1.72	%			2.52	%			2.17	%			2.57	%
Net expenses to average daily net assets			0.83	%(b)			0.84	%(b)			0.85	%			0.83	%			0.82	%
Total expenses (before reductions and reimbursements) to average daily net assets			0.83	%(b)			0.84	%(b)			0.86	%			0.86	%			0.92	%
Portfolio turnover rate			109	%			101	%			95	%(c)			90	%			105	%(d)
Net assets at end of year (in 000’s)		$	1,941,634			$	2,072,981			$	1,881,476			$	2,138,930			$	1,892,784

(a) The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown.

(b) Includes interest expense that amounts to less than 0.01%.

(c) Portfolio turnover calculation does not include $177,821,966 of securities transferred out of the Fund as part of an in-kind redemption.

(d) Portfolio turnover calculation does not include $9,536,640 of securities transferred into the Fund as part of an in-kind contribution.

† Computed using average shares outstanding throughout the year.

See accompanying Notes to the Financial Statements. 169

Mercer Core Fixed Income Fund

Financial Highlights (Continued)

	Year Ended 03/31/16				Year Ended 03/31/15				Year Ended 03/31/14				Year Ended 03/31/13				Year Ended 03/31/12
For a Class Y-3 Share Outstanding Throughout Each Period:
Net asset value at beginning of year		$	10.43			$	10.42			$	10.68			$	10.58			$	10.23
Net investment income†			0.29				0.28				0.24				0.27				0.33
Net realized and unrealized gain (loss) on investments			(0.17	)			0.28				(0.19	)			0.37				0.46
Total from investment operations			0.12				0.56				0.05				0.64				0.79
Less dividends and distributions:
From net investment income			(0.30	)			(0.33	)			(0.25	)			(0.31	)			(0.31	)
From net realized gain on investments			(0.10	)			(0.22	)			(0.06	)			(0.23	)			(0.13	)
Total dividends and distributions			(0.40	)			(0.55	)			(0.31	)			(0.54	)			(0.44	)
Net asset value at end of year		$	10.15			$	10.43			$	10.42			$	10.68			$	10.58
Total investment return			1.26	%			5.43	%(a)			0.44	%(a)			6.15	%(a)			7.88	%(a)
Ratios/Supplemental Data:
Net investment income to average net assets			2.80	%			2.66	%			2.32	%			2.51	%			3.13	%
Net expenses to average daily net assets			0.42	%(b)			0.40	%			0.37	%			0.37	%			0.37	%
Total expenses (before reductions and reimbursements) to average daily net assets			0.42	%(b)			0.42	%			0.43	%			0.43	%			0.44	%
Portfolio turnover rate			88	%			192	%			187	%(c)			125	%			181	%
Net assets at end of (in 000’s)		$	783,875			$	892,649			$	1,076,439			$	1,093,253			$	1,025,624

(a) The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown.

(b) Includes interest expense that amounts to less than 0.01%.

(c) Excludes treasury dollar roll transactions. The Portfolio turnover rate including treasury dollar roll transactions was 251% for the year ended March 31, 2014.

† Computed using average shares outstanding throughout the year.

170 See accompanying Notes to the Financial Statements.

Mercer Opportunistic Fixed Income Fund

Financial Highlights (Continued)

	Year Ended 03/31/16				Year Ended 03/31/15				Period  Ended 03/31/14(a)
For a Class Y-3 Share Outstanding Throughout Each Period:
Net asset value at beginning of year		$	9.13			$	10.43			$	10.00
Net investment income†			0.54				0.56				0.34
Net realized and unrealized gain (loss) on investments			(1.12	)			(1.32	)			0.35
Total from investment operations			(0.58	)			(0.76	)			0.69
Less dividends and distributions:
From net investment income			(0.07	)			(0.47	)			(0.22	)
From net realized gain on investments			(0.04	)			(0.07	)			(0.04	)
Total dividends and distributions			(0.11	)			(0.54	)			(0.26	)
Net asset value at end of year		$	8.44			$	9.13			$	10.43
Total investment return(b)			(6.25	)%			(7.36	)%			7.00	%**
Ratios/Supplemental Data:
Net investment income to average net assets			6.28	%			5.55	%			5.52	%*
Net expenses to average daily net assets			0.90	%(c)			0.90	%(c)			0.90	%*
Total expenses (before reductions and reimbursements) to average daily net assets			0.95	%(c)			0.97	%(c)			1.17	%*
Portfolio turnover rate			53	%			58	%			28	%**
Net assets at end of year (in 000’s)		$	414,262			$	395,939			$	260,581

(a) The Fund commenced operations on August 21, 2013.

(b) The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown.

(c) Includes interest expense that amounts to less than 0.01%.

† Computed using average shares outstanding throughout the year.

* Annualized

** Not annualized

See accompanying Notes to the Financial Statements. 171

Mercer Emerging Markets Equity Fund

Financial Highlights (Continued)

	Year Ended 03/31/16				Year Ended 03/31/15				Year Ended 03/31/14				Period  Ended 03/31/13(a)
For a Class Y-3 Share Outstanding Throughout Each Period:
Net asset value at beginning of year		$	9.88			$	9.99			$	10.49			$	10.00
Net investment income†			0.16				0.17				0.18				0.10
Net realized and unrealized gain (loss) on investments			(1.36	)			(0.09	)			(0.46	)			0.46
Total from investment operations			(1.20	)			0.08				(0.28	)			0.56
Less dividends and distributions:
From net investment income			(0.09	)			(0.19	)			(0.19	)			(0.06	)
From net realized gain on investments			—				—				(0.03	)			(0.01	)
Total dividends and distributions			(0.09	)			(0.19	)			(0.22	)			(0.07	)
Net asset value at end of year		$	8.59			$	9.88			$	9.99			$	10.49
Total investment return			(12.06	)%			0.81	%(b)			(2.61	)%(b)			5.64	%(b)**
Ratios/Supplemental Data:
Net investment income to average net assets			1.79	%			1.66	%			1.77	%			1.08	%*
Net expenses to average daily net assets			1.00	%(c)			0.98	%(c)			0.95	%(c)			0.95	%(c)*
Total expenses (before reductions and reimbursements) to average daily net assets			1.00	%(c)			1.00	%(c)			1.04	%(c)			1.15	%(c)*
Portfolio turnover rate			66	%			46	%			64	%			52	%**
Net assets at end of year (in 000’s)		$	1,150,136			$	1,087,355			$	862,923			$	517,085

(a) The Portfolio commenced operations on May 1, 2012.

(b) The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown.

(c) Includes interest expense that amounts to less than 0.01%.

† Computed using average shares outstanding throughout the year.

* Annualized

** Not annualized

172 See accompanying Notes to the Financial Statements.

Mercer Global Low Volatility Equity Fund

Financial Highlights (Continued)

	Year Ended 03/31/16				Year Ended 03/31/15				Year Ended 03/31/14				Period  Ended 03/31/13(a)
For a Class Y-3 Share Outstanding Throughout Each Period:
Net asset value at beginning of year		$	12.11			$	12.27			$	11.19			$	10.00
Net investment income†			0.15				0.15				0.14				0.07
Net realized and unrealized gain on investments			0.33				0.54				1.45				1.14
Total from investment operations			0.48				0.69				1.59				1.21
Less dividends and distributions:
From net investment income			(0.14	)			(0.19	)			(0.16	)			(0.02	)
From net realized gain on investments			(0.64	)			(0.66	)			(0.35	)			—
Total dividends and distributions			(0.78	)			(0.85	)			(0.51	)			(0.02	)
Net asset value at end of year		$	11.81			$	12.11			$	12.27			$	11.19
Total investment return			4.13	%			5.80	%(b)			14.40	%(b)			12.13	%(b)**
Ratios/Supplemental Data:
Net investment income to average net assets			1.23	%			1.25	%			1.20	%			1.62	%*
Net expenses to average daily net assets			0.82	%(c)			0.85	%(c)			0.85	%			0.85	%*
Total expenses (before reductions and reimbursements/recapture) to average daily net assets			0.82	%(c)			0.84	%(c)			0.84	%			1.00	%*
Portfolio turnover rate			31	%			84	%			46	%			12	%**
Net assets at end of year (in 000’s)		$	952,386			$	819,052			$	742,641			$	301,230

(a) The Fund commenced operations on November 6, 2012.

(b) The total return would have been lower had certain expenses not been reduced or reimbursed during the periods shown.

(c) Includes interest expense that amounts to less than 0.01%.

† Computed using average shares outstanding throughout the year.

* Annualized

** Not annualized

See accompanying Notes to the Financial Statements. 173

Mercer Funds

Notes to the Financial Statements

March 31, 2016

1. Organization

Mercer Funds (the “Trust”) consists of the following nine series: Mercer US Large Cap Growth Equity Fund (“Large Cap Growth”), Mercer US Large Cap Value Equity Fund (“Large Cap Value”), Mercer US Small/Mid Cap Growth Equity Fund (“Small/Mid Cap Growth”), Mercer US Small/Mid Cap Value Equity Fund (“Small/Mid Cap Value”), Mercer Non-US Core Equity Fund (“Non-US Core Equity”), Mercer Core Fixed Income Fund (“Core Fixed”), Mercer Opportunistic Fixed Income Fund (“Opportunistic Fixed”), Mercer Emerging Markets Equity Fund (“Emerging Markets”) and Mercer Global Low Volatility Equity Fund (“Global Low Volatility”) (each a “Fund,” and collectively referred to as the “Funds”). The Trust is a Delaware statutory trust established on March 11, 2005. The Trust is registered as an investment company under the Investment Company Act of 1940 (the “1940 Act”). The Funds’ investment advisor is Mercer Investment Management, Inc. (the “Advisor”). The Advisor manages each Fund using a “manager of managers” approach by selecting one or more subadvisors (each a “Subadvisor,” and collectively referred to as the “Subadvisors”) to manage each Fund’s assets. The Funds are investment companies and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946: Financial Services — Investment Companies.

Under the 1940 Act, each Fund is classified as “diversified”, with the exception of Opportunistic Fixed. Opportunistic Fixed is classified as “non-diversified” under the 1940 Act, as amended, and may invest a larger percentage of its assets in fewer issuers than diversified funds.

The investment objectives of the Funds are:

Fund	Investment Objective
Large Cap Growth	Long-term total return, which includes capital appreciation and income
Large Cap Value	Long-term total return, which includes capital appreciation and income
Small/Mid Cap Growth	Long-term total return, comprised primarily of capital appreciation
Small/Mid Cap Value	Long-term total return, comprised primarily of capital appreciation
Non-US Core Equity	Long-term total return, which includes capital appreciation and income
Core Fixed	Total return, consisting of both current income and capital appreciation
Opportunistic Fixed	Long-term total return, which includes capital appreciation and income
Emerging Markets	Long-term total return, which includes capital appreciation and income
Global Low Volatility	Long-term total return, which includes capital appreciation and income

Each Fund has registered and is authorized to offer interests in four classes of shares: Class S, Class Y-1, Class Y-2 and Class Y-3. The principal difference between the classes of shares is the level of shareholder service, marketing and administrative fees borne by the classes. As of March 31, 2016, only the Class Y-3 shares of each Fund had commenced operations.

2. Significant Accounting Policies

The following are significant accounting policies followed by the Funds. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from these estimates.

174

Mercer Funds

Notes to the Financial Statements (Continued)

March 31, 2016

(a)  Security Valuation

Each Fund’s investments are valued as of the close of regular trading on the New York Stock Exchange (“NYSE”) on each day when the NYSE is open. Portfolio securities listed on an exchange normally are valued at the last sale or official closing price on the day on which the securities are valued or, lacking any sales on such day, at the last available bid price using prices as of the close of trading. In cases where securities are traded on more than one exchange, the securities are generally valued on the exchange considered by the Advisor or the applicable Subadvisor as the primary market for such securities. Securities traded in the over-the-counter (“OTC”) market and listed on the NASDAQ Stock Market (“NASDAQ”) normally are valued at the NASDAQ Official Closing Price; other OTC securities are valued at the last bid price available prior to valuation (other than short-term investments, which are valued as described below). The Funds may invest in securities that are traded in foreign markets. Foreign securities will be converted into U.S. dollar equivalents based on the exchange rate in effect at a uniform time on each business day. Events occurring after the close of trading on foreign exchanges may result in adjustments to the valuation of foreign securities to more accurately reflect their fair value as of the close of regular trading on the New York Stock Exchange. When valuing foreign equity securities that meet certain criteria, the Board of Trustees of the Trust (the “Board”) has approved the use of a fair value service that values such securities to reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or other instruments that have a strong correlation to the fair-valued securities. Investments in open-end investment companies are valued at their net asset value (“NAV”) per share.

Certain fixed-income securities may be valued based upon appraisals received from an independent pricing service using a computerized matrix system or based upon appraisals derived from information concerning the securities or similar securities received from a recognized dealer or dealers in those securities. It should be recognized that judgment often plays a greater role in valuing thinly traded securities, as well as bonds and other securities with few dealer quotations, than is the case with respect to securities for which a broader range of dealer quotations and last-sale information is available. Each such determination is based on consideration of relevant factors, and judgment is made by or at the direction of the Board. Each Fund values its investments for which market quotations are readily available at market value. Each Fund may value short-term investments that will mature within 60 days or less by using pricing service quotations or at amortized cost, provided that such amortized cost approximates market value.

Derivative financial instruments, such as futures contracts or options contracts that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. Futures traded on inactive markets are valued using broker quotations. OTC derivative financial instruments, such as foreign currency contracts, options contracts, synthetic futures, or swaps agreements, derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of an independent pricing service providers or broker dealer quotations. Depending on the derivative type and the terms of the derivative, the value of the derivative financial instruments is assigned by independent pricing service providers using a series of techniques, which may include pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, volatilities, dividends and exchange rates.

Senior secured floating rate loans and senior secured floating rate debt securities are valued using an evaluated quote provided by an independent pricing service. Evaluated quotes provided by the pricing service may reflect appropriate factors such as ratings, yield curves, prepayment speeds, tranche type, industry, company performance, spread, individual trading characteristics, institutional size trading in similar groups of securities and other market data.

The Board has delegated its responsibility for valuing portfolio securities to the Advisor, subject to continuing Board oversight. The Advisor has appointed a Valuation Committee that is responsible for overseeing the day-to-day process of valuing portfolio securities. With respect to portfolio securities for which market quotations are not readily available or (in the opinion of the Advisor or the applicable Subadvisor) do not otherwise accurately reflect the fair values of the securities, the Valuation Committee will value such securities at fair value based upon procedures approved by the Board.

175

Mercer Funds

Notes to the Financial Statements (Continued)

March 31, 2016

The application of fair value pricing represents a good faith determination based on specific procedures performed under the supervision of the Board. Due to the subjective nature of fair value pricing, there can be no assurance that a Fund could realize the fair value assigned to the security if the Fund were to sell the security at approximately the time at which the Fund determines its NAV per share. A Fund’s value for a particular security may be different from the last quoted market price.

In May 2015, the FASB issued Accounting Standards Update (“ASU”) 2015-07 “Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or its Equivalent)” (“ASU 2015-07”). ASU 2015-07 removes the requirement to categorize within the fair value hierarchy all investments for which the fair value is measured using the net asset value per share practical expedient. ASU 2015-07 is effective for public entities for fiscal years beginning after December 15, 2015 and interim periods within those fiscal years, with early adoption permitted. Management has elected to early adopt the disclosure requirements prescribed by ASU 2015-07. At March 31, 2016, the Funds did not hold any investments valued at NAV as practical expedient, as such, there was no impact to the Funds’ financial statement disclosures.

The Funds follow a three-tier hierarchy to prioritize the assumptions, referred to as inputs, used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.

• Level 1 — quoted prices unadjusted in active markets for identical investments

• Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

• Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

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

The assets and liabilities shown in the Statements of Assets and Liabilities related to investments purchased for “to-be-announced” (“TBA”) or when-issued securities approximate fair value and are determined using Level 2 inputs, as of March 31, 2016. The assets and liabilities shown in the Statements of Assets and Liabilities related to cash collateral held at broker for futures contracts are determined using Level 1 inputs as of March 31, 2016.

At March 31, 2016, Large Cap Growth, Large Cap Value and Small/Mid Cap Value held long-term investments whose value was determined using Level 1 inputs, with corresponding major categories as shown in the schedule of investments, Futures Contracts whose value was determined using Level 1 inputs and short-term investment positions in a Euro Time Deposit and State Street Institutional U.S. Government Money Market Fund, Premier Class, as shown in the schedule of investments, whose value was determined using Level 2 inputs.

176

Mercer Funds

Notes to the Financial Statements (Continued)

March 31, 2016

The following is a summary of the inputs used as of March 31, 2016 in valuing the assets and liabilities of Small/Mid Cap Growth, Non-US Core Equity, Core Fixed, Opportunistic Fixed, Emerging Markets and Global Low Volatility for which fair valuation was used:

Small/Mid Cap Growth

ASSETS VALUATION INPUT

Description	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Common Stocks
Advertising	$	2,093,270	$	—	$	—	$	2,093,270
Aerospace & Defense		5,933,810		—		—		5,933,810
Airlines		4,502,024		—		—		4,502,024
Apparel		5,983,222		—		—		5,983,222
Banks		7,101,501		—		—		7,101,501
Biotechnology		6,815,354		—		—		6,815,354
Building Materials		8,647,951		—		—		8,647,951
Chemicals		8,721,531		—		—		8,721,531
Commercial Services		27,849,428		—		—		27,849,428
Computers		21,809,663		—		—		21,809,663
Distribution & Wholesale		5,640,585		—		—		5,640,585
Diversified Financial Services		20,490,511		—		—		20,490,511
Electrical Components & Equipment		1,219,403		—		—		1,219,403
Electronics		5,313,156		—		—		5,313,156
Engineering & Construction		1,488,342		—		—		1,488,342
Entertainment		3,135,265		—		—		3,135,265
Food		950,610		—		—		950,610
Hand & Machine Tools		5,318,036		—		—		5,318,036
Health Care - Products		23,664,791		—		—		23,664,791
Health Care - Services		11,021,342		—		—		11,021,342
Home Furnishings		896,277		—		—		896,277
Household Products & Wares		4,744,885		—		—		4,744,885
Insurance		3,572,816		—		—		3,572,816
Internet		14,964,592		—		—		14,964,592
Leisure Time		2,632,763		—		—		2,632,763
Lodging		1,529,126		—		—		1,529,126
Machinery - Diversified		19,815,569		—		—		19,815,569
Media		3,452,411		—		—		3,452,411
Miscellaneous - Manufacturing		4,923,630		—		—		4,923,630
Office Furnishings		2,675,940		—		—		2,675,940
Oil & Gas		3,780,374		—		—		3,780,374
Oil & Gas Services		6,143,859		—		—		6,143,859
Packaging & Containers		2,062,647		—		—		2,062,647
Pharmaceuticals		13,190,526		—		—		13,190,526
Real Estate		1,846,030		—		—		1,846,030
REITS		19,096,320		—		—		19,096,320
Retail		43,211,003		—		—		43,211,003
Semiconductors		8,153,999		—		—		8,153,999
Software		46,238,189		—		—		46,238,189
Telecommunications		9,852,524		—		—		9,852,524
Transportation		7,771,908		—		—		7,771,908
Total Common Stocks		398,255,183		—		—		398,255,183

177

Mercer Funds

Notes to the Financial Statements (Continued)

March 31, 2016

Description	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Total
Investment Companies
Investment Companies	$	10,519,290	$	—		$	—	$	10,519,290
Total Investment Companies		10,519,290		—			—		10,519,290
Warrants
Oil & Gas		—		0	*		—		—
Total Warrants		—		0			—		—
Short-Term Investments
Bank Deposits		—		19,163,909			—		19,163,909
Securities Lending Collateral		—		35,835,272			—		35,835,272
Total Short-Term Investments		—		54,999,181			—		54,999,181
Futures Contracts†
Buys		257,657		—			—		257,657
Total Futures Contracts		257,657		—			—		257,657
Total	$	409,032,130	$	54,999,181		$	—	$	464,031,311

* Represents one or more Level 2 securities at $0 value as of March 31, 2016.

† Futures contracts are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statements of Assets and Liabilities.

Non-US Core Equity

ASSETS VALUATION INPUT

Description	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Total
Common Stocks
Australia	$	71,812,000	$	0	*	$	—	$	71,812,000
Austria		16,058,219		—			—		16,058,219
Belgium		18,555,131		—			—		18,555,131
Bermuda		4,625,137		—			—		4,625,137
Brazil		2,082,786		—			—		2,082,786
Canada		18,821,175		—			—		18,821,175
Cayman Islands		17,972,398		—			—		17,972,398
China		2,324,950		—			—		2,324,950
Denmark		38,813,968		—			—		38,813,968
Faroe Islands		664,617		—			—		664,617
Finland		21,038,101		76,944			—		21,115,045
France		152,592,129		—			—		152,592,129
Germany		146,616,497		—			—		146,616,497
Gibraltar		365,943		—			—		365,943
Hong Kong		21,485,966		—			—		21,485,966
Hungary		2,746,995		—			—		2,746,995
India		1,051,610		—			—		1,051,610

178

Mercer Funds

Notes to the Financial Statements (Continued)

March 31, 2016

Description	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)			Total
Indonesia	$	8,628,571	$	—	$	—		$	8,628,571
Ireland		4,837,119		—		—			4,837,119
Isle Of Man		2,005,278		—		—			2,005,278
Israel		6,175,690		—		—			6,175,690
Italy		28,721,116		—		—			28,721,116
Japan		381,615,645		272,494		—			381,888,139
Luxembourg		5,248,422		—		—			5,248,422
Malaysia		2,675,094		—		—			2,675,094
Malta		2,198,223		—		—			2,198,223
Mauritius		887,806		—		—			887,806
Mexico		4,438,470		—		—			4,438,470
Netherlands		63,197,251		—		—			63,197,251
New Zealand		9,096,683		—		—			9,096,683
Norway		23,257,030		—		—			23,257,030
Philippines		913,583		—		—			913,583
Poland		1,591,641		—		—			1,591,641
Portugal		14,619,154		—		0	**		14,619,154
Russia		2,877,217		—		—			2,877,217
Singapore		5,669,298		—		—			5,669,298
South Africa		1,041,035		—		—			1,041,035
South Korea		6,384,067		—		—			6,384,067
Spain		45,593,486		—		0	**		45,593,486
Sweden		51,410,571		—		—			51,410,571
Switzerland		155,862,371		—		—			155,862,371
Taiwan		9,855,309		—		—			9,855,309
Thailand		1,029,266		—		—			1,029,266
Turkey		1,242,652		—		—			1,242,652
United Kingdom		359,196,666		—		—			359,196,666
United States		45,758,585		—		—			45,758,585
Total Common Stocks		1,783,654,921		349,438		0			1,784,004,359
Investment Companies
United States		17,641,744		—		—			17,641,744
Total Investment Companies		17,641,744		—		—			17,641,744
Preferred Stocks
Brazil		1,677,340		—		—			1,677,340
Germany		12,045,299		—		—			12,045,299
Spain		461,543		—		—			461,543
Total Preferred Stocks		14,184,182		—		—			14,184,182
Short-Term Investments
Bank Deposits		—		121,519,968		—			121,519,968
Securities Lending Collateral		—		91,339,396		—			91,339,396
Total Short-Term Investments		—		212,859,364		—			212,859,364
Total	$	1,815,480,847	$	213,208,802	$	0		$	2,028,689,649

179

Mercer Funds

Notes to the Financial Statements (Continued)

March 31, 2016

LIABILITIES VALUATION INPUT

Description	Quoted Prices in Active Markets for Identical Assets (Level 1)			Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Futures Contracts†
Buys	$	(198,945	)	$	—	$	—	$	(198,945	)
Total Futures Contracts		(198,945	)		—		—		(198,945	)
Total	$	(198,945	)	$	—	$	—	$	(198,945	)

* Represents one or more Level 2 securities at $0 value as of March 31, 2016.

** Represents one or more Level 3 securities at $0 value as of March 31, 2016.

† Futures contracts are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statements of Assets and Liabilities.

Core Fixed

ASSETS VALUATION INPUT

Description	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)			Total
Debt Obligations
Asset Backed Securities	$	—	$	84,533,051	$	—		$	84,533,051
Corporate Debt		—		312,760,443		0	**		312,760,443
Mortgage Backed Securities - Private Issuers		—		87,010,024		—			87,010,024
Mortgage Backed Securities - U.S. Government Agency Obligations		—		208,769,281		—			208,769,281
Municipal Obligations		—		21,454,802		—			21,454,802
Sovereign Debt Obligations		—		5,785,115		—			5,785,115
U.S. Government and Agency Obligations		—		46,239,855		—			46,239,855
Total Debt Obligations		—		766,552,571		0			766,552,571
Preferred Stocks
Diversified Financial Services		2,526,469		—		—			2,526,469
Total Preferred Stocks		2,526,469		—		—			2,526,469
Short-Term Investments
Bank Deposits		—		24,067,901		—			24,067,901
Securities Lending Collateral		—		11,661,485		—			11,661,485
U.S. Government and Agency Obligations		—		2,418,807		—			2,418,807
Total Short-Term Investments		—		38,148,193		—			38,148,193

180

Mercer Funds

Notes to the Financial Statements (Continued)

March 31, 2016

Description	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Futures Contracts†
Buys	$	201,614	$	—	$	—	$	201,614
Sales		179,897		—		—		179,897
Total Futures Contracts		381,511		—		—		381,511
Swaps
Centrally Cleared Interest Rate Swaps†		—		73,795		—		73,795
Centrally Cleared Credit Default Swaps†		—		222,333		—		222,333
Total Swaps		—		296,128		—		296,128
Total	$	2,907,980	$	804,996,892	$	0	$	807,904,872

LIABILITIES VALUATION INPUT

Description	Quoted Prices in Active Markets for Identical Assets (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Total
Futures Contracts†
Buys	$	(1,079	)	$	—		$	—	$	(1,079	)
Total Futures Contracts		(1,079	)		—			—		(1,079	)
Swaps
Centrally Cleared Interest Rate Swaps†		—			(993,272	)		—		(993,272	)
Total Swaps		—			(993,272	)		—		(993,272	)
Total	$	(1,079	)	$	(993,272	)	$	—	$	(994,351	)

** Represents one or more Level 3 securities at $0 value as of March 31, 2016.

† Futures contracts and Centrally Cleared Swaps are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statements of Assets and Liabilities.

181

Mercer Funds

Notes to the Financial Statements (Continued)

March 31, 2016

Opportunistic Fixed

ASSETS VALUATION INPUT

Description	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Debt Obligations
Corporate Debt	$	—	$	205,266,539	$	—	$	205,266,539
Sovereign Debt Obligations		—		178,809,303		—		178,809,303
Total Debt Obligations		—		384,075,842		—		384,075,842
Short-Term Investments
Bank Deposits		—		21,444,720		—		21,444,720
Securities Lending Collateral		—		20,602,453		—		20,602,453
Total Short-Term Investments		—		42,047,173		—		42,047,173
Forward Foreign Currency Contracts†
Buys		—		3,259,878		—		3,259,878
Sales		—		1,390		—		1,390
Cross - Currency Forwards		—		18,172		—		18,172
Total Forward Foreign Currency Contracts		—		3,279,440		—		3,279,440
Futures Contracts†
Buys		290,471		6,606		—		297,077
Total Futures Contracts		290,471		6,606		—		297,077
Total	$	290,471	$	429,409,061	$	—	$	429,699,532

LIABILITIES VALUATION INPUT

Description	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Total
Forward Foreign Currency Contracts†
Buys	$	—	$	(66,352	)	$	—	$	(66,352	)
Sales		—		(5,965,144	)		—		(5,965,144	)
Total Forward Foreign Currency Contracts		—		(6,031,496	)		—		(6,031,496	)
Total	$	—	$	(6,031,496	)	$	—	$	(6,031,496	)

† Forward foreign currency contracts and Futures contracts are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statements of Assets and Liabilities.

182

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Notes to the Financial Statements (Continued)

March 31, 2016

Emerging Markets

ASSETS VALUATION INPUT

Description	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Common Stocks
Bermuda	$	11,698,472	$	—	$	—	$	11,698,472
Brazil		50,208,426		—		—		50,208,426
Cayman Islands		97,546,528		—		—		97,546,528
Chile		10,765,846		—		—		10,765,846
China		137,286,505		—		—		137,286,505
Colombia		1,603,901		—		—		1,603,901
Czech Republic		2,753,490		—		—		2,753,490
Denmark		2,774,903		—		—		2,774,903
Hong Kong		58,415,154		—		—		58,415,154
Hungary		8,435,615		—		—		8,435,615
India		89,115,044		—		—		89,115,044
Indonesia		26,139,208		—		—		26,139,208
Luxembourg		2,091,883		—		—		2,091,883
Malaysia		15,172,881		—		—		15,172,881
Malta		662,663		—		—		662,663
Mexico		44,106,741		—		—		44,106,741
Netherlands		1,487,274		—		—		1,487,274
Philippines		6,080,531		—		—		6,080,531
Poland		6,831,661		—		—		6,831,661
Qatar		7,943,412		—		—		7,943,412
Romania		500,977		—		—		500,977
Russia		22,074,267		—		—		22,074,267
South Africa		49,013,753		—		—		49,013,753
South Korea		142,607,742		—		—		142,607,742
Taiwan		145,695,136		—		—		145,695,136
Thailand		15,200,067		3,510,479		—		18,710,546
Turkey		23,448,837		—		—		23,448,837
United Arab Emirates		14,549,218		—		—		14,549,218
United Kingdom		12,565,883		—		—		12,565,883
United States		2,268,426		—		—		2,268,426
Total Common Stocks		1,009,044,444		3,510,479		—		1,012,554,923
Preferred Stocks
Brazil		16,989,660		—		—		16,989,660
Chile		1,630,152		—		—		1,630,152
Colombia		793,608		—		—		793,608
Total Preferred Stocks		19,413,420		—		—		19,413,420
Short-Term Investments
Bank Deposits		—		101,521,449		—		101,521,449
Investment Fund		—		3,760,000		—		3,760,000
Securities Lending Collateral		—		37,754,026		—		37,754,026
Total Short-Term Investments		—		143,035,475		—		143,035,475

183

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Notes to the Financial Statements (Continued)

March 31, 2016

Description	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Forward Foreign Currency Contracts†
Buys	$	—	$	9,362,176	$	—	$	9,362,176
Sales		—		927		—		927
Total Forward Foreign Currency Contracts		—		9,363,103		—		9,363,103
Futures Contracts†
Buys		3,219,620		—		—		3,219,620
Sales		78,374		—		—		78,374
Total Futures Contracts		3,297,994		—		—		3,297,994
Synthetic Futures		—		853,935		—		853,935
Total	$	1,031,755,858	$	156,762,992	$	—	$	1,188,518,850

LIABILITIES VALUATION INPUT

Description	Quoted Prices in Active Markets for Identical Assets (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Total
Forward Foreign Currency Contracts†
Buys	$	—		$	(1,223	)	$	—	$	(1,223	)
Sales		—			(9,056,273	)		—		(9,056,273	)
Total Forward Foreign Currency Contracts		—			(9,057,496	)		—		(9,057,496	)
Futures Contracts†
Sales		(66,371	)		—			—		(66,371	)
Total Futures Contracts		(66,371	)		—			—		(66,371	)
Synthetic Futures		—			(288,409	)		—		(288,409	)
Total	$	(66,371	)	$	(9,345,905	)	$	—	$	(9,412,276	)

† Forward foreign currency contracts and Futures contracts are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statements of Assets and Liabilities.

184

Mercer Funds

Notes to the Financial Statements (Continued)

March 31, 2016

Global Low Volatility

ASSETS VALUATION INPUT

Description	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Common Stocks
Australia	$	9,847,959	$	—	$	—	$	9,847,959
Austria		7,156,985		—		—		7,156,985
Belgium		6,303,262		—		—		6,303,262
Bermuda		11,952,394		—		—		11,952,394
Canada		38,672,521		—		—		38,672,521
Denmark		1,091,371		—		—		1,091,371
Faroe Islands		863,282		—		—		863,282
France		17,987,850		—		—		17,987,850
Germany		10,541,402		—		—		10,541,402
Hong Kong		5,187,797		—		—		5,187,797
Ireland		8,328,326		—		—		8,328,326
Israel		4,603,516		—		—		4,603,516
Italy		3,044,519		—		—		3,044,519
Japan		44,994,172		61,924		—		45,056,096
Luxembourg		853,674		—		—		853,674
Mexico		2,356,959		—		—		2,356,959
Netherlands		5,107,839		—		—		5,107,839
New Zealand		20,747,051		—		—		20,747,051
Norway		8,901,540		—		—		8,901,540
Panama		343,005		—		—		343,005
Portugal		47,785		—		—		47,785
Russia		330,941		—		—		330,941
Singapore		3,375,679		—		—		3,375,679
South Korea		3,304,783		—		—		3,304,783
Spain		6,363,571		—		—		6,363,571
Sweden		10,326,890		—		—		10,326,890
Switzerland		33,296,560		—		—		33,296,560
Thailand		976,254		—		—		976,254
United Kingdom		76,448,972		—		—		76,448,972
United States		472,868,302		—		—		472,868,302
Total Common Stocks		816,225,161		61,924		—		816,287,085
Investment Companies
United States		12,860,031		—		—		12,860,031
Total Investment Companies		12,860,031		—		—		12,860,031
Preferred Stocks
Germany		1,590,525		—		—		1,590,525
Japan		395,362		—		—		395,362
Sweden		141,741		—		—		141,741
Total Preferred Stocks		2,127,628		—		—		2,127,628

185

Mercer Funds

Notes to the Financial Statements (Continued)

March 31, 2016

Description	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Rights
United Kingdom	$	—	$	77	$	—	$	77
Total Rights		—		77		—		77
Warrants
United States		256,101		—		—		256,101
Total Warrants		256,101		—		—		256,101
Debt Obligations		—		2,293,567		—		2,293,567
Total Debt Obligations		—		2,293,567		—		2,293,567
Short-Term Investments
Bank Deposits		—		117,481,776		—		117,481,776
Securities Lending Collateral		—		13,141,060		—		13,141,060
Total Short-Term Investments		—		130,622,836		—		130,622,836
Forward Foreign Currency Contracts†
Sales		—		3,585		—		3,585
Total Forward Foreign Currency Contracts		—		3,585		—		3,585
Futures Contracts†
Buys		686,200		—		—		686,200
Total Futures Contracts		686,200		—		—		686,200
Total	$	832,155,121	$	132,981,989	$	—	$	965,137,110

LIABILITIES VALUATION INPUT

Description	Quoted Prices in Active Markets for Identical Assets (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)		Total
Forward Foreign Currency Contracts†
Sales	$	—		$	(49,773	)	$	—	$	(49,773	)
Total Forward Foreign Currency Contracts		—			(49,773	)		—		(49,773	)
Futures Contracts†
Buys		(27,628	)		—			—		(27,628	)
Total Futures Contracts		(27,628	)		—			—		(27,628	)
Total	$	(27,628	)	$	(49,773	)	$	—	$	(77,401	)

† Forward foreign currency contracts and Futures contracts are valued at unrealized appreciation/depreciation. Only current day’s variation margin, if any, is reported on the Statements of Assets and Liabilities.

186

Mercer Funds

Notes to the Financial Statements (Continued)

March 31, 2016

The following tables show transfers between Level 1 and Level 2 of the fair value hierarchy:

Emerging Markets

	Transfers In					Transfers Out
	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs			Level 1 — Quoted Prices			Level 2 — Other Significant Observable Inputs
Common Stocks	$	—	$	3,510,479	*	$	3,510,479	*	$	—

* Transfers occurred between Level 1 and Level 2 as a result of foreign securities not receiving an exchange traded price.

For financial statement reporting purposes, the Funds recognize transfers between Levels as of the end of the reporting period.

The following tables include a rollforward of the amounts for the year ended March 31, 2016 for financial instruments classified as Level 3:

Non-US Core Equity

Investments in Securities	Balance as of March 31, 2015				Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)				Net Transfers In (Out) of Level 3			Purchases			Balance as of March 31, 2016				Change in Unrealized Appreciation (Depreciation) from Investments Held at March 31, 2016
COMMON STOCKS
Portugal		$	100,852			$	—		$	(100,852	)		$	—		$	—		$	0	^^		$	(100,852	)
Spain			0	^			—			—				—			—			0	^^			—
Total		$	100,852			$	—		$	(100,852	)		$	—		$	—		$	0	^^		$	(100,852	)

^ Represents one security at $0 value as of March 31, 2015.

^^ Represents one security at $0 value as of March 31, 2016.

Core Fixed

Investments in Securities	Balance as of March 31, 2015				Realized Gain (Loss)				Change in Unrealized Appreciation (Depreciation)			Net Transfers In (Out) of Level 3			Purchases/ Sales			Balance as of March 31, 2016				Change in Unrealized Appreciation (Depreciation) from Investments Held at March 31, 2016
DEBT OBLIGATIONS
Corporate Debt		$	0	^		$	(418,993	)		$	418,993		$	—		$	—		$	0	^^		$	—
Total		$	0	^		$	(418,993	)		$	418,993		$	—		$	—		$	0	^^		$	—

^ Represents three securities at $0 value as of March 31, 2015.

^^ Represents one security at $0 value as of March 31, 2016.

187

Mercer Funds

Notes to the Financial Statements (Continued)

March 31, 2016

Investments in Derivative Instruments

Non-US Core Equity, Emerging Markets and Global Low Volatility held rights during the year as a result of corporate actions. Small/Mid Cap Growth and Global Low Volatility held warrants during the year as a result of corporate actions.

At March 31, 2016 and during the period then ended, the Funds had the following derivatives and transactions in derivatives, grouped into appropriate risk categories:

Large Cap Growth

ASSET DERIVATIVES

	Equity Risk		Total
Futures Contracts(3)	$	284,626	$	284,626
Total Value	$	284,626	$	284,626

NET REALIZED GAIN (LOSS)

	Equity Risk		Total
Futures Contracts(7)	$	166,086	$	166,086
Total Realized Gain (Loss)	$	166,086	$	166,086

CHANGE IN APPRECIATION (DEPRECIATION)

	Equity Risk		Total
Futures Contracts(12)	$	459,686	$	459,686
Total Change in Appreciation (Depreciation)	$	459,686	$	459,686

NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS⁽¹⁵⁾

	Equity Risk		Total
Futures Contracts		118		118

Large Cap Value

ASSET DERIVATIVES

	Equity Risk		Total
Futures Contracts(3)	$	157,834	$	157,834
Total Value	$	157,834	$	157,834

NET REALIZED GAIN (LOSS)

	Equity Risk			Total
Futures Contracts(7)	$	(938,034	)	$	(938,034	)
Total Realized Gain (Loss)	$	(938,034	)	$	(938,034	)

188

Mercer Funds

Notes to the Financial Statements (Continued)

March 31, 2016

CHANGE IN APPRECIATION (DEPRECIATION)

	Equity Risk		Total
Futures Contracts(12)	$	288,868	$	288,868
Total Change in Appreciation (Depreciation)	$	288,868	$	288,868

NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS⁽¹⁵⁾

	Equity Risk		Total
Futures Contracts		122		122

Small/Mid Cap Growth

ASSET DERIVATIVES

	Equity Risk			Total
Warrants(1)	$	0	*	$	0
Futures Contracts(3)		257,657			257,657
Total Value	$	257,657		$	257,657

NET REALIZED GAIN (LOSS)

	Equity Risk			Total
Futures Contracts(7)	$	(2,368,552	)	$	(2,368,552	)
Total Realized Gain (Loss)	$	(2,368,552	)	$	(2,368,552	)

CHANGE IN APPRECIATION (DEPRECIATION)

	Equity Risk		Total
Warrants(10)	$	0	$	0
Futures Contracts(12)		111,380		111,380
Total Change in Appreciation (Depreciation)	$	111,380	$	111,380

NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS⁽¹⁵⁾

	Equity Risk		Total
Warrants		27,862		27,862
Futures Contracts		159		159

Small/Mid Cap Value

ASSET DERIVATIVES

	Equity Risk		Total
Futures Contracts(3)	$	257,535	$	257,535
Total Value	$	257,535	$	257,535

189

Mercer Funds

Notes to the Financial Statements (Continued)

March 31, 2016

NET REALIZED GAIN (LOSS)

	Equity Risk			Total
Futures Contracts(7)	$	(2,228,225	)	$	(2,228,225	)
Total Realized Gain (Loss)	$	(2,228,225	)	$	(2,228,225	)

CHANGE IN APPRECIATION (DEPRECIATION)

	Equity Risk		Total
Futures Contracts(12)	$	23,170	$	23,170
Total Change in Appreciation (Depreciation)	$	23,170	$	23,170

NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS⁽¹⁵⁾

	Equity Risk		Total
Futures Contracts		134		134

Non-US Core Equity

LIABILITY DERIVATIVES

	Foreign Exchange Risk		Equity Risk			Total
Futures Contracts(3)	$	—	$	(198,945	)	$	(198,945	)
Total Value	$	—	$	(198,945	)	$	(198,945	)

NET REALIZED GAIN (LOSS)

	Foreign Exchange Risk			Equity Risk			Total
Options Purchased(5)	$	69,668		$	—		$	69,668
Rights(5)		—			196,725			196,725
Futures Contracts(7)		—			(4,035,183	)		(4,035,183	)
Forward Foreign Currency Contracts(6)		(37	)		—			(37	)
Total Realized Gain (Loss)	$	69,631		$	(3,838,458	)	$	(3,768,827	)

CHANGE IN APPRECIATION (DEPRECIATION)

	Foreign Exchange Risk		Equity Risk			Total
Options Purchased(10)	$	77,788	$	—		$	77,788
Rights(10)		—		(31,442	)		(31,442	)
Futures Contracts(12)		—		(350,330	)		(350,330	)
Total Change in Appreciation (Depreciation)	$	77,788	$	(381,772	)	$	(303,984	)

190

Mercer Funds

Notes to the Financial Statements (Continued)

March 31, 2016

NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS⁽¹⁵⁾

	Foreign Exchange Risk			Equity Risk		Total
Options Purchased		12,282,120			—		12,282,120
Rights		—			243,694		243,694
Futures Contracts		—			916		916
Forward Foreign Currency Contracts		(21,214	)		—		(21,214	)

Core Fixed

ASSET DERIVATIVES

	Interest Rate Risk			Foreign Exchange Risk		Credit Risk			Total
Futures Contracts(3)	$	381,511		$	—	$	—		$	381,511
Centrally Cleared Swap Contracts		73,795	**		—		222,333	**		296,128
Total Value	$	455,306		$	—	$	222,333		$	677,639

LIABILITY DERIVATIVES

	Interest Rate Risk			Foreign Exchange Risk		Credit Risk		Total
Futures Contracts(3)	$	(1,079	)	$	—	$	—	$	(1,079	)
Centrally Cleared Swap Contracts		(993,272	)**		—		—		(993,272	)
Total Value	$	(994,351	)	$	—	$	—	$	(994,351	)

NET REALIZED GAIN (LOSS)

	Interest Rate Risk			Foreign Exchange Risk			Credit Risk			Total
Options Purchased(5)	$	(480,228	)	$	(94,575	)	$	—		$	(574,803	)
Options Written(8)		235,979			63,431			—			299,410
Swaps Contracts(9)		(635,204	)		—			(172,361	)		(807,565	)
Futures Contracts(7)		703,955			—			—			703,955
Total Realized Gain (Loss)	$	(175,498	)	$	(31,144	)	$	(172,361	)	$	(379,003	)

CHANGE IN APPRECIATION (DEPRECIATION)

	Interest Rate Risk			Foreign Exchange Risk		Credit Risk		Total
Options Written(13)	$	4,134		$	—	$	—	$	4,134
Options Purchased(10)		(46,037	)		—		—		(46,037	)
Swaps Contracts(14)		(741,284	)		—		211,992		(529,292	)
Futures Contracts(12)		371,934			—		—		371,934
Total Change in Appreciation (Depreciation)	$	(411,253	)	$	—	$	211,992	$	(199,261	)

191

Mercer Funds

Notes to the Financial Statements (Continued)

March 31, 2016

NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS⁽¹⁵⁾

	Interest Rate Risk			Foreign Exchange Risk			Credit Risk		Total
Options Purchased		205,571			2,385,000			—		2,590,571
Options Written		(199,571	)		(2,385,000	)		—		(2,584,571	)
Swaps Contracts		38,331,326			—			17,000,000		55,331,326
Futures Contracts		718			—			—		718

Opportunistic Fixed

ASSET DERIVATIVES

	Interest Rate Risk		Foreign Exchange Risk		Total
Futures Contracts(3)	$	297,077	$	—	$	297,077
Forward Foreign Currency Contracts(2)†		—		3,279,440		3,279,440
Total Value	$	297,077	$	3,279,440	$	3,576,517

LIABILITY DERIVATIVES

	Interest Rate Risk		Foreign Exchange Risk			Total
Forward Foreign Currency Contracts(4)	$	—	$	(6,031,496	)	$	(6,031,496	)
Total Value	$	—	$	(6,031,496	)	$	(6,031,496	)

NET REALIZED GAIN (LOSS)

	Interest Rate Risk			Foreign Exchange Risk		Total
Futures Contracts(7)	$	(843,070	)	$	—	$	(843,070	)
Forward Foreign Currency Contracts(6)†		—			2,499,354		2,499,354
Total Realized Gain (Loss)	$	(843,070	)	$	2,499,354	$	1,656,284

CHANGE IN APPRECIATION (DEPRECIATION)

	Interest Rate Risk		Foreign Exchange Risk			Total
Futures Contracts(12)	$	760,965	$	—		$	760,965
Forward Foreign Currency Contracts(11)†		—		(4,833,525	)		(4,833,525	)
Total Change in Appreciation (Depreciation)	$	760,965	$	(4,833,525	)	$	(4,072,560	)

NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS⁽¹⁵⁾

	Interest Rate Risk		Foreign Exchange Risk			Total
Futures Contracts		1,783		—			1,783
Forward Foreign Currency Contracts†		—		(3,636,954	)		(3,636,954	)

192

Mercer Funds

Notes to the Financial Statements (Continued)

March 31, 2016

Emerging Markets

ASSET DERIVATIVES

	Foreign Exchange Risk		Equity Risk		Total
Futures Contracts(3)††	$	—	$	4,151,929	$	4,151,929
Forward Foreign Currency Contracts(2)		9,363,103		—		9,363,103
Total Value	$	9,363,103	$	4,151,929	$	13,515,032

LIABILITY DERIVATIVES

	Foreign Exchange Risk			Equity Risk			Total
Futures Contracts(3)††	$	—		$	(354,780	)	$	(354,780	)
Forward Foreign Currency Contracts(4)		(9,057,496	)		—			(9,057,496	)
Total Value	$	(9,057,496	)	$	(354,780	)	$	(9,412,276	)

NET REALIZED GAIN (LOSS)

	Foreign Exchange Risk		Equity Risk			Total
Rights(5)	$	—	$	(20,618	)	$	(20,618	)
Futures Contracts(7)††		—		(12,613,273	)		(12,613,273	)
Forward Foreign Currency Contracts(6)		1,795,766		—			1,795,766
Total Realized Gain (Loss)	$	1,795,766	$	(12,633,891	)	$	(10,838,125	)

CHANGE IN APPRECIATION (DEPRECIATION)

	Foreign Exchange Risk		Equity Risk		Total
Futures Contracts(12)††	$	—	$	1,669,469	$	1,669,469
Forward Foreign Currency Contracts(11)		926,076		—		926,076
Total Change in Appreciation (Depreciation)	$	926,076	$	1,669,469	$	2,595,545

NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS⁽¹⁵⁾

	Foreign Exchange Risk		Equity Risk		Total
Rights		—		16,118		16,118
Futures Contracts††		—		3,731,929		3,731,929
Forward Foreign Currency Contracts		36,696,854		—		36,696,854

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March 31, 2016

Global Low Volatility

ASSET DERIVATIVES

	Foreign Exchange Risk		Equity Risk		Total
Rights(1)	$	—	$	77	$	77
Warrants(1)		—		256,101		256,101
Futures Contracts(3)		43,384		642,816		686,200
Forward Foreign Currency Contracts(2)		3,585		—		3,585
Total Value	$	46,969	$	898,994	$	945,963

LIABILITY DERIVATIVES

	Foreign Exchange Risk			Equity Risk			Total
Futures Contracts(3)	$	—		$	(27,628	)	$	(27,628	)
Forward Foreign Currency Contracts(4)		(49,773	)		—			(49,773	)
Total Value	$	(49,773	)	$	(27,628	)	$	(77,401	)

NET REALIZED GAIN (LOSS)

	Foreign Exchange Risk			Equity Risk			Total
Rights(5)	$	—		$	69,395		$	69,395
Warrants(5)		—			231,558			231,558
Futures Contracts(7)		(105,359	)		(2,007,832	)		(2,113,191	)
Forward Foreign Currency Contracts(6)		464,331			—			464,331
Total Realized Gain (Loss)	$	358,972		$	(1,706,879	)	$	(1,347,907	)

CHANGE IN APPRECIATION (DEPRECIATION)

	Foreign Exchange Risk			Equity Risk			Total
Rights(10)	$	—		$	(30,072	)	$	(30,072	)
Warrants(10)		—			(219,954	)		(219,954	)
Futures Contracts(12)		42,134			579,153			621,287
Forward Foreign Currency Contracts(11)		(517,139	)		—			(517,139	)
Total Change in Appreciation (Depreciation)	$	(475,005	)	$	329,127		$	(145,878	)

NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS⁽¹⁵⁾

	Foreign Exchange Risk			Equity Risk		Total
Rights		—			141,358		141,358
Warrants		—			22,335		22,335
Futures Contracts		19			347		366
Forward Foreign Currency Contracts		(1,933,571	)		—		(1,933,571	)

* Represents one security at $0 value as of March 31, 2016.

** Centrally Cleared Swaps are valued at unrealized appreciation/depreciation on the Schedule of Investments. Only current day’s variation margin, if any, is reported on the Statement of Assets and Liabilities.

† Includes Cross Currency Foreign Currency Contracts.

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March 31, 2016

†† Includes Synthetic Futures.

⁽¹⁾ Statements of Assets and Liabilities location: Investments, at value.

⁽²⁾ Statements of Assets and Liabilities location: Unrealized appreciation on open forward foreign currency contracts.

⁽³⁾ Cumulative appreciation (depreciation) on futures contracts is disclosed within the Schedule of Investments under the open “Futures Contracts” section. Only current day’s variation margin, if any, are reported within the Statements of Assets and Liabilities. Synthetic futures are presented as Synthetic futures, at value within the Statements of Assets and Liabilities.

⁽⁴⁾ Statements of Assets and Liabilities location: Unrealized depreciation on open forward foreign currency contracts.

⁽⁵⁾ Statements of Operations location: Amounts are included in Net realized gain (loss) on Investments.

⁽⁶⁾ Statements of Operations location: Amounts are included in Net realized gain (loss) on Forward foreign currency contracts and foreign currency related transactions.

⁽⁷⁾ Statements of Operations location: Amounts are included in Net realized gain (loss) on Closed futures contracts.

⁽⁸⁾ Statements of Operations location: Amounts are included in Net realized gain (loss) on Written option contracts.

⁽⁹⁾ Statements of Operations location: Amounts are included in Net realized gain (loss) on Swap contracts.

⁽¹⁰⁾ Statements of Operations location: Amounts are included in Change in net unrealized appreciation (depreciation) on Investments.

⁽¹¹⁾ Statements of Operations location: Amounts are included in Change in net unrealized appreciation (depreciation) on Forward foreign currency contracts and foreign currency related transactions.

⁽¹²⁾ Statements of Operations location: Amounts are included in Change in net unrealized appreciation (depreciation) on Open futures contracts.

⁽¹³⁾ Statements of Operations location: Amounts are included in Change in net unrealized appreciation (depreciation) on Written option contracts.

⁽¹⁴⁾ Statements of Operations location: Amounts are included in Change in net unrealized appreciation (depreciation) on Swap contracts.

⁽¹⁵⁾ Amounts disclosed represent average number of contracts, notional amounts, or shares outstanding for the time period that the Fund held such derivatives during the year ended March 31, 2016.

The Funds follow FASB ASC 815-10-50 “Disclosures about Credit Derivatives and Certain Guarantees”. This applies to written credit derivatives, hybrid instruments with embedded credit derivatives (for example, credit-linked notes), and certain guarantees.

The following is a summary of open centrally cleared credit default swap positions held Core Fixed at March 31, 2016:

Notional Amount*

Currency

Expiration Date

Buy/Sell Protection

Receive (Pay) Fixed Rate

Deliverable on Default

Unrealized Appreciation (Depreciation)

Value

17,000,000

USD

06/20/20

Buy

(1.00

%)

CDX.IG.24 CG24

$

222,333

$(92,598)

* The maximum potential amount of future undiscounted payments that the Fund could be required to make under a credit default swap contract would be the notional amount of the contract. These potential amounts would be partially offset by any recovery values of the referenced debt obligation or net amounts received from the settlement of purchased protection credit default swap contracts entered into by the Fund for the same referenced debt obligation.

Netting Agreements and Collateral Requirements

In order to better define contractual rights under derivative contracts and to secure rights that will help the Funds mitigate their counterparty risk, a sub-adviser may, on behalf of the Funds, enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Funds and a counterparty that governs OTC derivatives and foreign exchange contracts and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Funds may, under certain circumstances, offset with the counterparty certain derivative financial instrument’s payables and/or receivables with certain collateral held and/or posted and create a net payment. The provisions of the ISDA Master Agreement typically permit a net payment in the event of default including the

195

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March 31, 2016

bankruptcy or insolvency of the counterparty. Absent an event of default by the counterparty or termination of the agreement, the ISDA Master Agreement does not result in an offset of reported amounts of assets and liabilities in the Statement of Assets and Liabilities across the transactions between the Funds and the applicable counterparty. The right to offset and net payments across all transactions traded under the ISDA Master Agreement could result in a reduction of the Funds’ credit risk to such counterparty equal to any amounts payable by the Funds under the applicable transactions, if any. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event a Fund’s net assets decline by a stated percentage or the Funds fail to meet the terms of their ISDA Master Agreements, which would cause the Funds to accelerate payment of any net liability owed to the counterparty.

For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty.

Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately on the Statement of Assets and Liabilities as cash collateral held at broker or cash collateral due to broker, respectively. Non-cash collateral pledged by or received by the Funds, if any, is noted in the Schedule of Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold before a transfer is required, which is determined each day at the close of business of the Funds, typically based on changes in market values for each transaction under an ISDA Master Agreement and netted into one amount for such agreement and any additional required collateral is delivered to/pledged by the Funds on the next business day. Typically, the Funds and counterparties are not permitted to sell, re-pledge or use the collateral they receive. To the extent amounts due to the Funds from their counterparties are not fully collateralized, contractually or otherwise, the Funds bear the risk of loss from counterparty non-performance. The Funds attempt to mitigate counterparty risk by entering into agreements only with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.

The Funds are required to disclose both gross and net information for assets and liabilities related to derivatives, repurchase and reverse repurchase agreements, and securities lending and securities borrowings transactions that are eligible for offset or subject to an enforceable master netting or similar agreement. The Funds’ derivative assets and liabilities at fair value by risk are presented in the tables above. For financial reporting purposes the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.

The following tables present the Funds’ derivative assets and liabilities by counterparty, net of amounts available for offset under a Master Netting Agreement (“MNA”) and net of related collateral received by the Funds for assets or pledged by the Funds for liabilities as of March 31, 2016.

Opportunistic Fixed

Offsetting of Financial Assets and Derivative Assets:

Counterparty	Derivative Assets Subject to MNA		Derivative Assets/(Liabilities) available for offset			Collateral Received*		Net Amount of Derivative Assets(a)
Barclays Bank Plc	$	4,262	$	(4,262	)	$	—	$	—
Citibank N.A.		1,239,122		(1,239,122	)		—		—
Deutsche Bank AG		80,474		(26,086	)		—		54,388
Goldman Sachs International		1,351,967		(1,351,967	)		—		—
Standard Chartered Bank		603,615		(151,233	)		—		452,382
	$	3,279,440	$	(2,772,670	)	$	—	$	506,770

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Notes to the Financial Statements (Continued)

March 31, 2016

Offsetting of Financial Liabilities and Derivative Liabilities:

Counterparty	Derivative Liabilities Subject to MNA			Derivative Assets/(Liabilities) available for offset		Collateral Pledged*		Net Amount of Derivative Assets(b)
Barclays Bank Plc	$	(275,242	)	$	4,262	$	—	$	(270,980	)
Citibank N.A.		(2,580,509	)		1,239,122		—		(1,341,387	)
Deutsche Bank AG		(26,086	)		26,086		—		—
Deutsche Bank AG London		(90,028	)		—		—		(90,028	)
Goldman Sachs International		(2,908,398	)		1,351,967		—		(1,556,431	)
Standard Chartered Bank		(151,233	)		151,233		—		—
	$	(6,031,496	)	$	2,772,670	$	—	$	(3,258,826	)

^(a) Represents the net amount receivable from the counterparty in the event of default.

^(b) Represents the net amount payable to the counterparty in the event of default.

* In some instances, the actual collateral received and/or pledged may be more than the derivative asset or liability due to overcollateralization.

Emerging Markets

Offsetting of Financial Assets and Derivative Assets:

Counterparty	Derivative Assets Subject to MNA		Derivative Assets/(Liabilities) available for offset			Collateral Received*		Net Amount of Derivative Assets(a)
Citibank N.A. London	$	9,363,103	$	(9,057,496	)	$	—	$	305,607
Goldman Sachs International		853,935		(288,409	)		—		565,526
	$	10,217,038	$	(9,345,905	)	$	—	$	871,133

Offsetting of Financial Liabilities and Derivative Liabilities:

Counterparty	Derivative Liabilities Subject to MNA			Derivative Assets/(Liabilities) available for offset		Collateral Pledged*		Net Amount of Derivative Assets(b)
Citibank N.A. London	$	(9,057,496	)	$	9,057,496	$	—	$	—
Goldman Sachs International		(288,409	)		288,409		—		—
	$	(9,345,905	)	$	9,345,905	$	—	$	—

^(a)  Represents the net amount receivable from the counterparty in the event of default.

^(b)  Represents the net amount payable to the counterparty in the event of default.

* In some instances, the actual collateral received and/or pledged may be more than the derivative asset or liability due to overcollateralization.

Global Low Volatility

Offsetting of Financial Assets and Derivative Assets:

Counterparty	Derivative Assets Subject to MNA		Derivative Assets/(Liabilities) available for offset			Collateral Received*		Net Amount of Derivative Assets(a)
Bank of New York	$	3,585	$	(3,585	)	$	—	$	—
	$	3,585	$	(3,585	)	$	—	$	—

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March 31, 2016

Offsetting of Financial Liabilities and Derivative Liabilities:

Counterparty	Derivative Liabilities Subject to MNA			Derivative Assets/(Liabilities) available for offset		Collateral Pledged*		Net Amount of Derivative Assets(b)
Bank of New York	$	(13,906	)	$	3,585	$	—	$	(10,321	)
Goldman Sachs		(6,933	)		—		—		(6,933	)
HSBC Bank USA		(15,736	)		—		—		(15,736	)
JPMorgan Chase Bank N.A.		(6,395	)		—		—		(6,395	)
UBS AG		(6,803	)		—		—		(6,803	)
	$	(49,773	)	$	3,585	$	—	$	(46,188	)

^(a)  Represents the net amount receivable from the counterparty in the event of default.

^(b)  Represents the net amount payable to the counterparty in the event of default.

* In some instances, the actual collateral received and/or pledged may be more than the derivative asset or liability due to overcollateralization.

(b)  Security transactions and related investment income

Security transactions are accounted for on trade date. Dividend income, net of applicable withholding taxes, is recorded on the ex-dividend date or when the Fund is informed of the ex-dividend date, if later. Interest income is recorded on the accrual basis, and is adjusted for amortization of premium and discounts for debt securities. Income is not recognized, nor are premium and discount amortized, on securities for which collection is not expected. Withholding taxes on foreign dividend, interest, and capital gains have been provided for in accordance with the respective country’s tax rules and rates. Non-cash dividends, if any, are recorded at the fair value of the securities received. Interest income on inflation indexed securities is accrued daily based upon an inflation-adjusted principal. Additionally, any increase in the principal or face amount of these securities is recorded as interest income. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified-cost basis.

(c)  Cash and short term investments

A Fund may invest a portion of its assets in short-term debt securities (including repurchase agreements and reverse repurchase agreements) of corporations, the U.S. government and its agencies and instrumentalities and banks and finance companies, which may be denominated in any currency.

A Fund may invest a portion of its assets in shares issued by money market mutual funds. A Fund also may invest in collective investment vehicles that are managed by an unaffiliated investment manager, pending investment of the Fund’s assets in portfolio securities. When unusual market conditions warrant, a Fund may make substantial temporary defensive investments in cash equivalents, up to a maximum of 100% of the Fund’s net assets. Cash equivalent holdings may be in any currency. When a Fund invests for temporary defensive purposes, such investments may affect the Fund’s ability to achieve its investment objective.

(d)  Securities lending

A Fund may lend its portfolio securities to qualified broker/dealers and financial institutions pursuant to agreements, provided: (1) the loan is secured continuously by collateral marked-to-market daily and maintained in an amount at least equal to the current fair value of the securities loaned; (2) the Fund may call the loan at any time and receive the securities loaned; (3) the Fund will receive any interest or dividends paid on the loaned securities; and (4) the aggregate fair value of securities loaned will not at any time exceed 33 1/3% of the total assets of the Fund. Collateral will consist of U.S. and non-U.S. securities, cash equivalents or irrevocable letters of credit. A liability for cash collateral is reflected in the Statements of Assets and Liabilities, and is categorized as Level 2 within the fair value hierarchy. As with other extensions of credit, there are risks of delay in recovery or even loss of rights in collateral in the event of default or insolvency of a borrower of a Fund’s portfolio securities. A Fund may not retain voting rights on securities while they are on loan.

198

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March 31, 2016

Certain Funds may from time to time participate in a securities lending program under which the Funds’ custodian, State Street Bank and Trust Company (the “Custodian”) acting as securities lending agent, is authorized to lend Fund portfolio securities to qualified broker/dealers and financial institutions that post appropriate collateral. The Custodian has agreed to indemnify the Funds in case of default of any security borrower.

Securities on loan are fully collateralized and the collateral was equal to or exceeded the securities on loan at March 31, 2016. Cash collateral is invested in the State Street Institutional U.S. Government Money Market Fund, Premier Class. The Custodian receives a portion of the interest earned on any reinvested collateral. The market value of securities on loan to borrowers and the value of collateral held by the Funds with respect to such loans at March 31, 2016 were as follows:

	Market Value of Loaned Securities		Value of Cash Collateral		Value of Non-Cash Collateral
Large Cap Growth	$	10,488,966	$	10,516,617	$	106,415
Large Cap Value		8,734,222		8,737,578		304,435
Small/Mid Cap Growth		35,457,114		35,835,272		526,835
Small/Mid Cap Value		28,249,827		27,674,916		1,713,165
Non-US Core Equity		92,940,134		91,339,396		6,888,963
Core Fixed		14,974,194		11,661,485		3,595,885
Opportunistic Fixed		20,199,313		20,602,453		—
Emerging Markets		39,972,141		37,754,026		3,781,944
Global Low Volatility		12,772,988		13,141,060		295,294

The Funds have adopted the disclosure provisions of FASB Accounting Standards Update No. 2014-11 (“ASU No. 2014-11”), Transfers & Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures. ASU No. 2014-11 is intended to provide increased transparency about the types of collateral pledged in securities lending and other similar transactions that are accounted for as secured borrowings.

For Large Cap Growth, Large Cap Value, Small/Mid Cap Value, Non-US Core Equity, Emerging Markets and Global Low Volatility, all of the securities on loan collateralized by cash are classified as Common Stocks in each Fund’s Schedule of Investments at March 31, 2016, with a contractual maturity of overnight and continuous.

For Core Fixed and Opportunistic Fixed, all of the securities on loan collateralized by cash are classified as Corporate Debt in the Fund’s Schedule of Investments at March 31, 2016, with a contractual maturity of overnight and continuous.

For Small/Mid Cap Growth, the value of the security loan obligation is classified as follows at March 31, 2016:

Small/Mid Cap Growth

	Remaining Contractual Maturity of the Agreements As of March 31, 2016
	Overnight and Continuous			<30 days		Between 30 & 90 days		>90 days		Total
Securities Lending Transactions
Common Stocks	$	35,835,272		$	—	$	—	$	—	$	35,835,272
Warrants		0	*		—		—		—		0
Total	$	35,835,272		$	—	$	—	$	—	$	35,835,272
Total Borrowings	$	35,835,272		$	—	$	—	$	—	$	35,835,272
Gross amount of recognized liabilities for securities lending transactions										$	35,835,272

* Represents one security with $0 value at March 31, 2016.

199

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Notes to the Financial Statements (Continued)

March 31, 2016

(e)  Repurchase agreements

A Fund may enter into a repurchase agreement under the terms of a Master Repurchase Agreement (“MRA”) where the Fund purchases securities from a bank or broker/dealer who simultaneously agrees to repurchase the securities at a mutually agreed upon time and price, thereby determining the yield during the term of the agreement. As a result, a repurchase agreement provides a fixed rate of return insulated from market fluctuations during the term of the agreement. The term of a repurchase agreement generally is short, possibly overnight or for a few days, although it may extend over a number of months (up to one year) from the date of delivery. Repurchase agreements are considered under the 1940 Act to be collateralized loans by a Fund to a seller secured by the securities transferred to the Fund. Repurchase agreements are fully collateralized and the collateral is marked-to-market daily. A Fund may not enter into a repurchase agreement having more than seven days remaining to maturity if, as a result, such agreement, together with any other illiquid securities held by the Fund, would exceed 15% of the value of the net assets of the Fund.

An MRA permits the Funds, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from the Funds. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, the Funds receive or post securities as collateral with a market value in excess of the repurchase price to be paid or received by the Funds upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, the Funds would recognize a liability with respect to such excess collateral to reflect the Funds’ obligation under bankruptcy law to return the excess to the counterparty. As of March 31, 2016, none of the Funds held open repurchase agreements.

(f)  Swaps

Swap contracts are derivatives in the form of a contract or similar instrument, which is an agreement to exchange the return generated by one instrument for the return generated by another instrument. A Fund may engage in swaps, including, but not limited to, interest rate, currency, credit default, and index swaps, and the purchase or sale of related caps, floors, collars, and other derivative instruments. A Fund expects to enter into these transactions to preserve a return or spread on a particular investment or portion of the portfolio, to modify the portfolio’s duration, to protect against any increase in the price of securities the Fund anticipates purchasing at a later date, or to gain exposure to certain markets in the most economical way possible.

Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) with respect to a notional amount of principal. Currency swaps involve the exchange of cash flows on a notional amount based on changes in the values of referenced currencies.

The credit default swap agreements may have as reference obligations one or more securities that are not currently held by a Fund. The protection “buyer” in a credit default swap agreement is generally obligated to pay the protection “seller” an upfront or a periodic stream of payments over the term of the contract provided that no credit event, such as a default, on a reference obligation has occurred. If a credit event occurs, the seller generally must pay the buyer the “par value” (full notional value) of the swap in exchange for an equal face amount of deliverable obligations of the reference entity described in the swap, or the seller may be required to deliver the related net cash amount, if the swap is cash settled. A Fund may be either the buyer or seller in the transaction. If a Fund is a buyer and no credit event occurs, the Fund may recover nothing if the swap is held through its termination date. However, if a credit event occurs, the buyer generally may elect to receive the full notional value of the swap in exchange for an equal face amount of deliverable obligations of the reference entity whose value may have significantly decreased. As a seller, a Fund generally receives an upfront payment or a fixed rate of income throughout the term of the swap provided that there is no credit event. As the seller, a Fund would effectively add leverage to its portfolio because, in addition to its total net assets, a Fund would be subject to investment exposure on the notional amount of the swap.

200

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Notes to the Financial Statements (Continued)

March 31, 2016

The spread of a credit default swap is the annual amount the protection buyer must pay the protection seller over the length of the contract, expressed as a percentage of the notional amount. When spreads rise, market perceived credit risk rises and when spreads fall, market perceived credit risk falls. Wider credit spreads and decreasing market values, when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit worthiness and an increased market perception that there is a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values, as well as the annual payment rates, serve as an indication of the current status of the payment/performance risk.

Swaps do not involve the delivery of securities or other underlying assets or principal, and are subject to counterparty risk. If the other party to a swap defaults and fails to consummate the transaction, a Fund’s risk of loss consists of the net amount of interest payments that the Fund is contractually entitled to receive.

The equity swaps in which the Funds may invest involve agreements with a counterparty. The return to the Funds on any equity swap contract will be the total return on the notional amount of the contract as if it were invested in the stocks comprising the contract index in exchange for an interest component based on the notional amount of the agreement. The Funds will only enter into an equity swap contract on a net basis, i.e., the two parties’ obligations are netted out, with the Funds paying or receiving, as the case may be, only the net amount of the payments. Payments under an equity swap contract may be made at the conclusion of the contract or periodically during its term.

Whether a Fund’s use of swap agreements or swap options will be successful in achieving the Fund’s investment objective will depend on the Subadvisor’s ability to predict correctly whether certain types of investments are likely to produce greater returns than other investments. Moreover, a Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. The Funds will enter into swap agreements only with counterparties that meet certain standards of creditworthiness.

If there is a default by the counterparty to a swap contract, a Fund will be limited to contractual remedies pursuant to the agreements related to the transaction. There is no assurance that a swap contract counterparty will be able to meet its obligations pursuant to a swap contract or that, in the event of a default, a Fund will succeed in pursuing contractual remedies. A Fund thus assumes the risk that it may be delayed in, or prevented from, obtaining payments owed to it pursuant to a swap contract. However, the amount at risk is only the net unrealized gain, if any, on the swap at the time of default, and not the entire notional amount of the swap contract now that the potential loss can be mitigated by the posting of collateral and offsetting provisions of the ISDA. The Subadvisor that enters into the swap agreement will closely monitor, subject to the oversight of the Board, the creditworthiness of swap counterparties in order to minimize the risk of counterparty default on swaps.

Because swaps are two party contracts that may be subject to contractual restrictions on transferability and termination, and they may have terms of greater than seven days, swap agreements may be considered to be illiquid and subject to a Fund’s limitation on investments in illiquid securities. However, the Trust has adopted procedures pursuant to which the Advisor may determine that swaps (including swap options) are liquid under certain circumstances. To the extent that a swap is not liquid, it may not be possible to initiate a transaction or liquidate a position at an advantageous time or price, which may result in significant losses.

Under the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) enacted in 2010, a regulatory framework for certain OTC derivatives, such as swaps was enacted. The Dodd-Frank Act requires many swap transactions to be executed on registered exchanges or through swap execution facilities, cleared through a regulated clearinghouse, and publicly reported. In addition, many market participants are now regulated as swap dealers or swap participants, and are subject to certain minimum capital and margin requirements and business conduct standards.

The swaps market is largely unregulated. It is possible that developments in the swaps market, including potential government regulation, could adversely affect the Funds’ ability to terminate existing swap agreements or to realize amounts to be received under such agreements.

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Certain clearinghouses currently offer clearing for limited types of derivatives transactions, principally credit and interest derivatives. In a cleared derivative transaction, a Fund typically enters into the transaction with a financial institution counterparty, and performance of the transaction is effectively guaranteed by a central clearinghouse, thereby reducing or eliminating the Fund’s exposure to the credit risk of the original counterparty. The Fund typically will be required to post specified levels of margin with the clearinghouse or at the instruction of the clearinghouse; the margin required by a clearinghouse may be greater than the margin the Fund would be required to post in an uncleared derivative transaction. Cash margin is recorded on the Statements of Assets and Liabilities as cash collateral held at broker on open swap contracts. Swap agreements are marked to market daily. Daily changes in valuation of centrally cleared swaps, if any, are recorded as a receivable or payable for the change in value as appropriate on the Statements of Assets and Liabilities. Only a limited number of derivative transactions are currently eligible for clearing by clearinghouses.

A Fund will accrue for interim payments on swap contracts on a daily basis, with the net amount recorded as interest payable or receivable on swap contracts on the Statements of Assets and Liabilities. Once interim payments are settled in cash, the net amount is recorded as realized gain/loss on swap contracts, in addition to realized gain/loss recorded upon the termination of swap contracts on the Statements of Operations. Fluctuations in the value of swap contracts are recorded for financial statement purposes as unrealized appreciation or depreciation of swap contracts (swap contracts, at value on the Statements of Assets and Liabilities).

Swap agreements are marked to market daily. The change in value, if any, is recorded as unrealized gain or loss in the Statements of Operations. A liquidation payment received or made at the termination of the swap is recorded as realized gain or loss in the Statements of Operations. Net periodic payments are included as part of realized gain (loss) on the Statements of Operations.

The swaps in which the Fund may engage may include instruments under which one party pays a single or periodic fixed amount(s) (or premium), and the other party pays periodic amounts based on the movement of a specified index. The Fund’s maximum risk of loss from counterparty credit risk, as opposed to investment and other types of risk, in respect of swaps is typically the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life to the extent that such amount is positive, plus the cost of entering into a similar transaction with another counterparty, if possible.

The use of swaps is a highly specialized activity that involves investment techniques and risks different from those associated with ordinary portfolio securities transactions. If the Advisor or Subadvisor is incorrect in its forecasts of market values, interest rates, and currency exchange rates, the investment performance of the Fund would be less favorable than it would have been if this investment technique were not used.

Like most other investments, swap agreements are subject to the risk that the market value of the instrument will change in a way detrimental to a Fund’s interest. A Fund bears the risk that Subadvisor will not accurately forecast future market trends or the values of assets, reference rates, indexes, or other economic factors in establishing swap positions for the Fund. If a Subadvisor attempts to use a swap as a hedge against, or as a substitute for, a portfolio investment, the Fund will be exposed to the risk that the swap will have or will develop imperfect or no correlation with the portfolio investment. This could cause substantial losses for the Fund. While hedging strategies involving swap instruments can reduce the risk of loss, they can also reduce the opportunity for gain or even result in losses by offsetting favorable price movements in other Fund investments.

During the year ended March 31, 2016, Core Fixed used swap agreements to adjust interest rate and yield curve exposure or to manage credit exposure. See the Core Fixed Schedule of Investments for a listing of open swap agreements as of March 31, 2016.

(g)  Futures

A futures contract is a contractual agreement to buy or sell a specific amount of a commodity or financial instrument at a predetermined price on a stipulated future date. A Fund may enter into contracts for the purchase or sale for future delivery of securities, indices and foreign currencies. Futures contracts may be opened to protect against the adverse effects of fluctuations in security prices, interest rates, or foreign exchange rates without actually

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March 31, 2016

buying or selling the securities or foreign currency. A Fund also may enter into futures contracts as a low cost method for gaining or reducing exposure to a particular currency or securities market without directly investing in those currencies or securities.

A purchase of a futures contract means the acquisition of a contractual right of a Fund to obtain delivery of the securities, indices or foreign currency underlying the contract at a specified price on a specified future date. When a futures contract is sold, a Fund incurs a contractual obligation to deliver the securities, indices or foreign currency underlying the contract at a specified price on a specified date.

When a Fund enters into a futures contract, it must deliver to the futures commission merchant selected by the Fund an amount referred to as “initial margin.” This amount is maintained by the futures commission merchant in a segregated account at the custodian bank. Futures contracts are marked-to-market daily, depending upon changes in the price of the underlying securities, indices or foreign currencies subject to the futures contracts, and the change in value is recorded by the Fund as a variation margin payable or receivable. The Fund recognizes gains and losses on futures contracts in addition to the variation margin, which gains and losses are considered realized at the time the contracts expire or close.

A Fund may enter into futures transactions on domestic exchanges and, to the extent such transactions have been approved by the Commodity Futures Trading Commission (“CFTC”) for sale to customers in the United States, or on foreign exchanges. In addition, a Fund may sell stock index futures in anticipation of, or during a market decline to attempt to offset the decrease in the market value of the Fund’s common stocks that might otherwise result, and a Fund may purchase such contracts in order to offset increases in the cost of common stocks that it intends to purchase. Unlike other futures contracts, a stock index futures contract specifies that no delivery of the actual stocks making up the index will take place. Instead, settlement in cash must occur upon the termination of the contract.

In entering into futures contracts and options on futures contracts, there is a credit risk that a counterparty will not be able to meet its obligations to the Fund. The counterparty for futures contracts and options on futures contracts traded in the United States and on most foreign futures exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of its members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse is not backed by the clearing members (i.e., some foreign exchanges), it is normally backed by a consortium of banks or other financial institutions. There can be no assurance that any counterparty, clearing member or clearinghouse will be able to meet its obligations to the Fund.

While futures contracts provide for the delivery of securities, deliveries usually do not occur. Contracts are generally terminated by entering into offsetting transactions.

Where the futures market is not as developed or where the regulations prevent or make it disadvantageous to trade futures, Emerging Markets will utilize synthetic futures as part of the country selection strategy implementation. A synthetic future operates like a swap transaction and uses equity index swaps on equity index futures. These are marked to market daily and the change in value is recorded as unrealized gain or loss in the Statement of Operations.

During the year ended March 31, 2016, Large Cap Growth, Large Cap Value, Small/Mid Cap Growth, Small/Mid Cap Value, Non-US Core Equity, Emerging Markets and Global Low Volatility used futures to equitize cash. Core Fixed and Opportunistic Fixed used futures to adjust interest rate exposure and replicate government bond positions. Emerging Markets also used futures to create passive index exposure to certain domestic emerging market country indices in the Fund. See the Large Cap Growth, Large Cap Value, Small/Mid Cap Growth, Small/Mid Cap Value, Non-US Core Equity, Core Fixed, Opportunistic Fixed, Emerging Markets and Global Low Volatility Schedules of Investments for a listing of open futures contracts as of March 31, 2016.

(h)  Options

The Funds may purchase and sell (write) put and call options on debt securities, currencies and indices to enhance investment performance, manage duration, or protect against changes in market prices. The Funds may also buy and

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March 31, 2016

sell combinations of put and call options on the same underlying security, currency or index. Short (sold) options positions will generally be hedged by the Funds with cash, cash equivalents, current portfolio security holdings, or other options or futures positions.

The Funds may enter into swap options (“swaptions”). A swaption is a contract that gives a counterparty the right (but not the obligation), in return for payment of a premium, to enter into a new swap agreement or to shorten, extend, cancel, or otherwise modify an existing swap agreement, at some designated future time on specified terms. Each Fund may sell (write) and purchase put and call swaptions. Depending on the terms of the particular option agreement, a Fund generally will incur a greater degree of risk when the Fund writes a swaption than the Fund will incur when it purchases a swaption. When a Fund purchases a swaption, the Fund’s risk of loss is limited to the amount of the premium it has paid should it decide to let the swaption expire unexercised. However, when a Fund writes a swaption, upon exercise of the option, the Fund will become obligated according to the terms of the underlying agreement.

When the Fund writes a covered call or a put option, an amount equal to the premium received by the Fund is included in the Fund’s Statement of Assets and Liabilities as an asset and as an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written. The Fund receives a premium on the sale of a call option but gives up the opportunity to profit from any increase in stock value above the exercise price of the option, and when the Fund writes a put option, it is exposed to a decline in the price of the underlying security.

Whether an option which the Fund has written expires on its stipulated expiration date or the Fund enters into a closing purchase transaction, the Fund realizes a gain (or loss, if the cost of a closing purchase transaction exceeds the premium received when the option was sold) without regard to any unrealized gain or loss on the underlying security, and the liability related to such option is extinguished. If a call option which the Fund has written is exercised, the Fund realizes a capital gain or loss from the sale of the underlying security, and the cost basis of the lots sold are decreased by the premium originally received. When a put option which a Fund has written is exercised, the amount of the premium originally received will reduce the cost of the security which a Fund purchases upon exercise of the option. Realized gains (losses) on purchased options are included in net realized gain (loss) from investments.

The Funds’ use of written options involves, to varying degrees, elements of market risk in excess of the amount recognized in the Statements of Assets and Liabilities. The face or contract amounts of these instruments reflect the extent of the Fund’s exposure to market risk. The risks may be caused by an imperfect correlation between movements in the price of the instrument and the price of the underlying securities, currencies and interest rates.

During the year ended March 31, 2016, Non-US Core Equity used options to adjust exposure to foreign currency and to efficiently maintain liquidity. Core Fixed used options to manage interest rate and volatility exposure. As of March 31, 2016, none of the Funds held open options.

Transactions in written option contracts for Core Fixed for the year ended March 31, 2016, is as follows:

	Number of Contracts/ Notional Amount			Premiums Received
Options outstanding at March 31, 2015		260		$	38,147
Options written		3,146			458,394
Options terminated in closing purchase transactions		(1,438	)		(298,334	)
Options expired		(1,968	)		(198,207	)
Options outstanding at March 31, 2016		—		$	—

(i)  Forward foreign currency contracts

The Funds may purchase or sell currencies and/or engage in forward foreign currency transactions in order to expedite settlement of portfolio transactions and to manage currency risk.

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March 31, 2016

Forward foreign currency contracts are traded in the inter-bank market conducted directly between currency traders (usually large commercial banks) and their customers. A forward contract generally has no deposit requirement and no commissions are charged at any stage for trades. The Funds will account for forward contracts by marking-to-market each day at current forward contract values. The change in market value is recorded by the Fund as an unrealized gain or loss. When the contract is closed, the Fund recognizes a realized gain or loss equal to the difference between the value of the contract at the time the contract was opened and the value at the time the contract was closed.

The Funds will only enter into forward contracts to sell, for a fixed amount of U.S. dollars or other appropriate currency, an amount of foreign currency, to the extent that the value of the short forward contract is covered by the underlying value of securities denominated in the currency being sold. Alternatively, when a Fund enters into a forward contract to sell an amount of foreign currency, the Custodian or the Fund’s sub-custodian will segregate assets in a segregated account of the Fund in an amount not less than the value of the Fund’s total assets committed to the consummation of such forward contract. If the additional segregated assets placed in the segregated account decline, additional cash or securities will be placed in the account on a daily basis so that the value of the account will equal the amount of the Fund’s commitments with respect to such contract.

During the year ended March 31, 2016, Opportunistic Fixed used forward foreign currency contracts for a variety of purposes, including hedging, risk management, efficient portfolio management, enhancing total returns, or as a substitute for taking a position in the underlying asset. Non-US Core Equity, Emerging Markets and Global Low Volatility used forward foreign currency contracts to hedge, cross hedge or to actively manage the currency exposures in the Funds. See the Opportunistic Fixed, Emerging Markets and Global Low Volatility Schedules of Investments for a listing of open forward foreign currency contracts as of March 31, 2016.

(j)  Foreign currency translation

The books and records of each Fund are maintained in US dollars. Foreign currencies, investments and other assets and liabilities denominated in foreign currencies are translated into US dollars at the foreign exchange rates prevailing at the end of the period. Purchases and sales of investment securities, income and expenses are translated at exchange rates prevailing on the respective dates of such transactions. Unrealized gains and losses that result from changes in foreign currency exchange rates have been included in the unrealized gains (losses) on foreign currency translations within each Fund’s Statement of Operations. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date on investment securities transactions, foreign currency transactions and the difference between the amounts of interest and dividends recorded on the books of the Fund and the amount actually received. The portion of foreign currency gains and losses related to fluctuations in exchange rates between the purchase settlement date and subsequent sale trade date is included in realized gains and losses on investment transactions.

(k)  When-issued securities/TBA securities

Purchasing securities on a “when-issued” basis is a commitment by a Fund to buy a security before the security is actually issued. A Fund may purchase securities offered on a “when-issued” or “forward delivery” basis such as TBA securities. When so offered, the price, which is generally expressed in yield terms, is fixed at the time the commitment to purchase is made, but delivery and payment for the when-issued or forward delivery securities take place at a later date. During the period between purchase and settlement, no payment is made by the purchaser to the issuer and no interest on the when-issued or forward delivery security accrues to the purchaser. While when-issued or forward delivery securities may be sold prior to the settlement date, it is intended that a Fund will purchase such securities with the purpose of actually acquiring the securities unless a sale appears desirable for investment reasons. At the time a Fund makes the commitment to purchase a security on a when-issued or forward delivery basis, the Fund will record the transaction and reflect the value of the security in determining the Fund’s NAV. The market value of when-issued or forward delivery securities may be more or less than the purchase price. Certain risks may arise upon entering into when-issued or forward delivery securities transactions, including the potential inability of counterparties to meet the terms of their contracts, and the issuer’s failure to issue the securities due to political, economic, or other factors. Additionally, losses may arise due to declines in the value of the securities prior to settlement date. See the Core Fixed and Opportunistic Fixed Schedules of Investments for TBA and when-issued securities held as of March 31, 2016.

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March 31, 2016

(l)  Real estate investment trusts

The Funds may invest in real estate investment trusts (“REITs”), which pool investors’ funds for investment, primarily in income producing real estate or real estate-related loans or interests. A REIT is not taxed on income distributed to its shareholders or unitholders if it complies with regulatory requirements relating to its organization, ownership, assets and income, and with a regulatory requirement to distribute to its shareholders or unitholders at least 90% of its taxable income for each taxable year.

A shareholder in a Fund, by investing in REITs through the Fund, will bear not only the shareholder’s proportionate share of the expenses of the Fund, but also, indirectly, the management expenses of the underlying REITs. REITs depend generally on their ability to generate cash flow to make distributions to shareholders or unitholders, and may be subject to defaults by borrowers and to self-liquidations. In addition, the performance of a REIT may be affected by its failure to qualify for tax-free pass-through of income, or the REIT’s failure to maintain exemption from registration under the 1940 Act. Dividends representing a return of capital are reflected as a reduction of cost and/or as a realized gain when the amount of the return of capital is conclusively determined. See each Fund’s Schedule of Investments for REIT securities held as of March 31, 2016.

(m)  Mortgage-related and other asset-backed securities

The Funds may invest in mortgage-backed and asset-backed securities. Mortgage-backed securities represent an interest in a pool of mortgages. Asset-backed securities are structured like mortgage-backed securities, but instead of mortgage loans or interests in mortgage loans, the underlying assets may include such items as motor vehicle installment sales or installment loan contracts, leases of various types of real and personal property, and receivables from credit card agreements. The value of some mortgage or asset-backed securities may be particularly sensitive to changes in prevailing interest rates. Early repayment of principal on some mortgage-related securities may expose the Fund to a lower rate of return upon reinvestment of principal. The value of these securities may fluctuate in response to the market’s perception of the creditworthiness of the issuers. Additionally, although mortgages and mortgage-related securities are generally supported by some form of government or private guarantee and/or insurance, there is no assurance that private guarantors or insurers will meet their obligations.

One type of stripped mortgage-backed security has one class receiving all of the interest from the mortgage assets (the interest-only, or “IO” class), while the other class will receive all of the principal (the principal-only, or “PO” class). Payments received for the IOs are included in interest income on the Statements of Operations. Because principal will not be received at the maturity of an IO, adjustments are made to the cost basis of the security on a daily basis until maturity. These adjustments are included in interest income on the Statements of Operations. Payments received for POs are treated as reductions to the cost and par value of the securities. See the Schedule of Investments for mortgage-backed and asset-backed securities held by Core Fixed as of March 31, 2016.

(n)  Mortgage dollar roll and treasury roll transactions

The Funds may sell mortgage-backed securities and simultaneously contract to repurchase substantially similar (same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, the Fund will not be entitled to receive interest and principal payments on the securities sold. The Fund accounts for mortgage dollar roll transactions as purchases and sales and realizes gains and losses on these transactions. Mortgage dollar rolls involve the risk that the market value of the securities that the Fund is required to purchase may decline below the agreed upon repurchase price of those securities.

The Funds may enter into treasury roll transactions. In a treasury roll transaction the Fund sells a treasury security to a counterparty with a simultaneous agreement to repurchase the same security at an agreed upon price at a future settlement date. The Fund receives cash from the sale of the treasury security to use for other investment purposes. The difference between the sale and repurchase price represents net interest income or net interest expense. Under GAAP, the treasury roll transaction is accounted for as a financing transaction and not as a purchase or sale. During the term of the borrowing the Fund records the related interest income or interest expenses on an accrual basis. Treasury roll transactions involve the risk that the market value of the securities that the Fund is required to repurchase may decline below the agreed upon repurchase price of those securities.

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Mercer Funds

Notes to the Financial Statements (Continued)

March 31, 2016

Treasury roll transactions are entered into by the Funds under an MRA. An MRA permits the Fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from the Fund. With treasury roll transactions, typically the Fund and the counterparties are permitted to sell, re-pledge, or use the collateral associated with the transaction. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, the Fund receives or posts securities as collateral with a market value in excess of the repurchase price to be paid or received by the Fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, the Fund would recognize a liability with respect to such excess collateral to reflect the Fund obligation under bankruptcy law to return the excess to the counterparty. The Funds did not hold open treasury rolls as of March 31, 2016.

(o)  Bank loans

Core Fixed may invest in bank loans, which include institutionally-traded floating rate securities generally acquired as an assignment from another holder of, or participation interest in, loans originated by a bank or financial institution (the ‘‘Lender’’) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. The Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. When investing in a loan participation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the Lender selling the loan agreement and only upon receipt by the Lender of payments from the borrower. The Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, the Fund may be subject to the credit risk of both the borrower and the Lender that is selling the loan agreement. At March 31, 2016, the Funds held no unfunded loan commitments.

(p)  Indexed securities

The Funds may invest in indexed securities where the redemption values and/or coupons are linked to the prices of other securities, securities indices, or other financial indicators. The Funds use indexed securities to increase or decrease their exposure to different underlying instruments and to gain exposure to markets in which it may be difficult to invest through conventional securities. Indexed securities may be more volatile than their underlying instruments, but any loss is limited to the amount of the original investment.

(q)  Taxes and distributions

The Funds intend to qualify each year as regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended (“the Code”). The Funds intend to distribute substantially all of their net investment income and net realized short-term and long-term gains, if any, after giving effect to any available capital loss carryovers for U.S. federal income tax purposes. Therefore, no provision for U.S. federal and state income or excise tax is necessary.

The Funds utilize the provisions of the federal income tax laws that provide for the carryforward of capital losses for prior years, offsetting such losses against any future realized capital gains. Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized after December 22, 2010 may be carried forward indefinitely, and their character is retained as short-term and/or long-term losses. Previously, net capital losses were carried forward for eight years and treated as short-term losses. As a transition rule, the Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.

On March 31, 2016, the following Funds had deferred capital losses available to be offset against future net capital gains through the indicated expiration dates as follows:

	Expiring March 31,
	2017		2018		2019		2020		Unlimited
Opportunistic Fixed	$	—	$	—	$	—	$	—	$	4,252,639
Emerging Markets		—		—	$	—		—		59,472,733

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Notes to the Financial Statements (Continued)

March 31, 2016

During the year ended March 31, 2016, none of the Funds utilized capital loss carryforwards.

Under current tax rules, regulated investment companies can elect to treat certain late-year ordinary losses incurred and post-October capital losses (capital losses realized after October 31) as arising on the first day of the following taxable year. As of March 31, 2016, Non-US Core Equity, Opportunistic Fixed and Emerging Markets have elected to defer current year post-October losses of $20,954,337, $7,542,948 and $45,236,167, respectively. Small Mid/Cap Growth and Opportunistic Fixed have elected to defer late-year ordinary losses of $97,077 and $6,672,485 respectively, as arising on April 1, 2016.

As of March 31, 2016, the cost for U.S. federal income tax purposes and gross unrealized appreciation and depreciation in value of investments were as follows:

	Federal Income Tax Cost		Tax Basis Unrealized Appreciation		Tax Basis Unrealized Depreciation			Net Unrealized Appreciation (Depreciation)
Large Cap Growth	$	305,679,512	$	23,250,482	$	(17,938,746	)	$	5,311,736
Large Cap Value		322,068,857		21,436,817		(25,467,360	)		(4,030,543	)
Small/Mid Cap Growth		442,051,848		43,367,134		(21,645,328	)		21,721,806
Small/Mid Cap Value		476,602,762		34,533,785		(27,869,204	)		6,664,581
Non-US Core Equity		2,020,126,474		133,768,050		(125,204,875	)		8,563,175
Core Fixed		801,558,426		18,729,305		(13,060,498	)		5,668,807
Opportunistic Fixed		478,093,892		5,264,753		(57,235,630	)		(51,970,877	)
Emerging Markets		1,223,068,683		55,663,685		(103,728,550	)		(48,064,865	)
Global Low Volatility		912,039,645		91,015,023		(38,607,343	)		52,407,680

The temporary differences between book-basis and tax-basis unrealized appreciation/(depreciation) are primarily due to wash sale loss deferrals, investments in passive foreign investment companies and other basis adjustments.

As of March 31, 2016, the Funds had no uncertain tax positions that would require recognition, derecognition, or disclosure. Each of the Funds’ federal tax returns filed in the 3-year period ended March 31, 2016 remains subject to examination by the Internal Revenue Service.

The Funds’ policy is to declare and pay distributions from net investment income and net realized short-term and long-term gains at least annually. All distributions are paid in shares of the Funds, at NAV, unless the shareholder elects to receive cash distributions. A Fund may distribute such income dividends and capital gains more frequently, if necessary, in order to reduce or eliminate federal excise taxes on the Funds. The amount of any distribution will vary, and there is no guarantee that a Fund will pay either income dividends or capital gains distributions.

During the years ended March 31, 2016 and March 31, 2015, the tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid, were as follows:

	2016						2015
	Ordinary Income		Long-Term Capital Gains		Return of Capital		Ordinary Income		Long-Term Capital Gains
Large Cap Growth	$	11,304,258	$	28,725,500	$	—	$	14,492,112	$	80,121,669
Large Cap Value		7,398,779		41,010,328		—		10,792,989		45,778,425
Small/Mid Cap Growth		—		24,352,888		—		12,410,352		41,166,667
Small/Mid Cap Value		1,736,254		16,735,627		111,554		26,104,424		44,373,704
Non-US Core Equity		41,554,865		40,514,508		—		65,007,286		153,000,389
Core Fixed		29,092,642		3,461,147		—		32,695,835		10,535,458
Opportunistic Fixed		5,165,823		—		60,282		19,485,679		90,694
Emerging Markets		11,714,562		—		—		18,781,299		—
Global Low Volatility		18,709,142		39,459,369		—		27,269,525		26,003,646

208

Mercer Funds

Notes to the Financial Statements (Continued)

March 31, 2016

As of March 31, 2016, the components of distributable earnings on a tax basis were as follows:

	Undistributed Ordinary Income		Undistributed Long-Term Gains		Capital Losses Other Temporary Differences			Unrealized Appreciation (Depreciation)			Total Distributable Earnings
Large Cap Growth	$	—	$	13,520,746	$	(3,362	)	$	5,311,736		$	18,829,120
Large Cap Value		897,846		324,640		(3,201	)		(4,029,972	)		(2,810,687	)
Small/Mid Cap Growth		—		3,546,109		(97,701	)		21,724,802			25,173,210
Small/Mid Cap Value		—		—		(519	)		6,664,584			6,664,065
Non-US Core Equity		—		—		(20,959,298	)		8,578,075			(12,381,223	)
Core Fixed		5,223,145		637,403		(7,503	)		4,718,678			10,571,723
Opportunistic Fixed		—		—		(18,478,138	)		(51,962,116	)		(70,440,254	)
Emerging Markets		6,141,320		—		(104,708,900	)		(47,275,317	)		(145,842,897	)
Global Low Volatility		2,554,179		6,313,412		—			52,401,919			61,269,510

All other differences are temporary losses related to mostly organizational costs and other timing adjustments.

(r)  Allocation of expenses and income

The majority of expenses of the Trust are directly identifiable to an individual Fund. Expenses which are not readily identifiable to a specific Fund are allocated among the applicable Funds, taking into consideration, among other things, the nature and type of expense and the relative size of each applicable Fund.

(s)  Redemption fees

While none of the Funds’ classes have initial or contingent deferred sales charges on purchases of Fund shares, redemptions of Fund shares held less than 30 days may be assessed a 2% short-term trading fee and recorded as paid-in capital.

3. Credit agreement

Effective December 17, 2015, the Trust entered into a Credit Agreement on behalf of the Funds (“the Agreement”) with a bank pursuant to a committed, unsecured revolving line of credit through December 15, 2016. Borrowings for each Fund under the Agreement are limited to the lesser of $50,000,000 or 33 1/3% of a Fund’s Adjusted Net Assets provided borrowings did not exceed, in the aggregate, $50,000,000. Under the terms of the Agreement the Trust pays an annual commitment fee at the rate 0.25% per year on the difference between the total line of credit and the average daily amount of borrowings outstanding. Interest is charged to the Funds based on its borrowings at a variable rate equal to the higher of the Overnight Federal Funds Rate or 30-Day LIBOR plus 1.00%. The Funds did not borrow under the Agreement during the period ended March 31, 2016.

4. Indemnities

In the normal course of business, the Funds enter into contracts that require them to provide a variety of representations or general indemnification for certain liabilities. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts and expect the risk of loss to be remote.

209

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Notes to the Financial Statements (Continued)

March 31, 2016

5. Fees and other transactions with affiliates

The Advisor provides investment advisory services to each Fund pursuant to an investment management agreement. Pursuant to the investment management agreement, each Fund pays the Advisor a fee for managing the Fund’s investments at an annual rate of:

	Investment Advisory Fee* on Net Assets
	Average net assets up to $750 million		Average net assets in excess of $750 million
Large Cap Growth		0.55%		0.53	%
Large Cap Value		0.53%		0.51	%
Small/Mid Cap Growth		0.90%		0.88	%
Small/Mid Cap Value		0.90%		0.88	%
Non-US Core Equity		0.75%		0.73	%
Core Fixed		0.35%		0.33	%
Opportunistic Fixed		0.80%		0.78	%
Emerging Markets		0.80%		0.78	%
Global Low Volatility		0.75%		0.73	%

* Consists of the total advisory fee payable by the Funds to the Advisor. The Advisor is responsible for paying the subadvisory fees.

Such fees as referenced above are shown in the Advisory fees line in the Statements of Operations. The Advisor provides certain internal administrative services to the Class S, Class Y-1 and Class Y-2 shares of the Funds, for which the Advisor receives a fee of 0.15%, 0.10% and 0.05% of the average daily net assets of the Class S, Class Y-1 and Class Y-2 shares of the Funds, respectively. These internal administrative services include attending to shareholder correspondence, assisting with the processing of purchases and redemptions of shares, preparing and disseminating information and documents for use by beneficial shareholders and monitoring and overseeing non-advisory relationships with entities providing services to the Class S, Class Y-1 and Class Y-2 shares, including the transfer agent. However, Class S, Class Y-1 and Class Y-2 shares have not commenced operations.

The Funds have adopted a plan of marketing and service, or “12b-1 plan” to finance the provision of certain shareholder services to the owners of Class S and Class Y-1 shares of the Funds (collectively referred to as the “plans”). The plan provides for payments at annual rates (based on average net assets) of up to 0.25% of each Fund’s Class S and Class Y-1 shares. However, Class S and Class Y-1 shares have not commenced operations.

The Trust, with respect to Opportunistic Fixed, and the Advisor have entered into a written contractual fee waiver and expense reimbursement agreement pursuant to which the Advisor has agreed to waive a portion of its fees and/or reimburse expenses through July 31, 2016 in an amount necessary to limit the Fund’s total annual operating expenses to an annual rate (as a percentage of the Fund’s average daily net assets) as set forth in the table below. For the year ended March 31, 2016, the fees were reimbursed to the extent that the Fund’s class expenses exceeded the net expense rates of average daily net assets of the Fund class. These reimbursements are shown in the Reimbursement of expenses line in the Statements of Operations. However, Class S, Class Y-1 and Class Y-2 shares have not commenced operations.

	Class S		Class Y-1		Class Y-2		Class Y-3
Opportunistic Fixed		1.40%		1.35%		1.05%		0.90%

Pursuant to the expense reimbursement agreement, the Advisor is entitled to be reimbursed for any fees the Advisor waives and Fund expenses that the Advisor reimburses for a period of three years following such fee waiver and expense reimbursement, to the extent that such reimbursement of the Advisor by a Fund will not cause the Fund to exceed any applicable expense limitation that is in place for the Fund. For the year ended March 31, 2016, there were no reimbursed expenses recovered by the Advisor from the Funds.

210

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Notes to the Financial Statements (Continued)

March 31, 2016

Pursuant to the Funds’ expense reimbursement agreement, the Advisor can recapture certain amounts waived or reimbursed over the past three 12-month periods ended July 31, 2015. The following amounts were available for recapture as of July 31, 2015:

	Expenses Reimbursed in the 12-Months Ended July 31,
	2013		2014		2015
	Subject to Recapture until July 31,
	2016		2017		2018
Large Cap Growth	$	206,394	$	248,632	$	—
Large Cap Value		198,065		240,121		—
Small/Mid Cap Growth		85,083		54,175		—
Small/Mid Cap Value		84,500		103,551		—
Non-US Core Equity		—		—		—
Core Fixed		556,235		651,589		—
Opportunistic Fixed		—		253,811		208,082
Emerging Markets		556,088		556,688		—
Global Low Volatility		131,146		—		—

6. Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended March 31, 2016, were as follows:

	Long-Term U.S. Government Securities		Other Long-Term Securities
Purchases
Large Cap Growth	$	—	$	225,058,581
Large Cap Value		—		249,101,262
Small/Mid Cap Growth		—		294,223,428
Small/Mid Cap Value		—		370,336,251
Non-US Core Equity		—		2,060,408,865
Core Fixed		553,864,573		161,666,335
Opportunistic Fixed		—		251,398,949
Emerging Markets		—		820,196,470
Global Low Volatility		—		322,883,622
Sales
Large Cap Growth		—		270,425,296
Large Cap Value		—		262,955,557
Small/Mid Cap Growth		—		286,183,297
Small/Mid Cap Value		—		347,174,211
Non-US Core Equity		—		2,072,737,766
Core Fixed		600,145,803		190,285,320
Opportunistic Fixed		—		197,548,618
Emerging Markets		—		640,616,856
Global Low Volatility		—		233,679,471

211

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Notes to the Financial Statements (Continued)

March 31, 2016

7. Share transactions

Each Fund is authorized to issue an unlimited number of shares of beneficial interest without par value. Transactions in Fund shares were as follows:

Large Cap Growth

	Year Ended March 31, 2016						Year Ended March 31, 2015
	Shares			Amount			Shares			Amount
Class Y-3:
Shares sold		4,985,529		$	54,996,490			6,185,388		$	77,587,271
Shares issued to shareholders in reinvestment of distributions		4,072,203			40,029,758			8,784,938			94,613,781
Shares repurchased		(9,458,703	)		(105,785,655	)		(9,582,950	)		(122,468,542	)
Net increase (decrease)		(400,971	)	$	(10,759,407	)		5,387,376		$	49,732,510

Large Cap Value

	Year Ended March 31, 2016						Year Ended March 31, 2015
	Shares			Amount			Shares			Amount
Class Y-3:
Shares sold		4,754,681		$	54,421,350			4,511,523		$	56,106,037
Shares issued to shareholders in reinvestment of distributions		5,256,146			48,409,107			4,919,253			56,571,414
Shares repurchased		(7,268,149	)		(80,207,512	)		(7,663,555	)		(96,489,912	)
Net increase		2,742,678		$	22,622,945			1,767,221		$	16,187,539

Small/Mid Cap Growth

	Year Ended March 31, 2016						Year Ended March 31, 2015
	Shares			Amount			Shares			Amount
Class Y-3:
Shares sold		4,942,894		$	55,377,890			9,332,692		$	111,300,308
Shares issued to shareholders in reinvestment of distributions		2,293,116			24,352,888			4,650,783			53,577,019
Shares repurchased		(4,259,716	)		(50,158,329	)		(7,407,808	)		(90,991,076	)
Net increase		2,976,294		$	29,572,449			6,575,667		$	73,886,251

212

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Notes to the Financial Statements (Continued)

March 31, 2016

Small/Mid Cap Value

	Year Ended March 31, 2016						Year Ended March 31, 2015
	Shares			Amount			Shares			Amount
Class Y-3:
Shares sold		6,336,223		$	55,728,149			10,577,321		$	108,544,174
Shares issued to shareholders in reinvestment of distributions		2,176,046			18,583,435			7,710,955			70,478,128
Shares repurchased		(4,476,265	)		(41,422,231	)		(6,285,557	)		(64,094,432	)
Net increase		4,036,004		$	32,889,353			12,002,719		$	114,927,870

Non-US Core Equity

	Year Ended March 31, 2016						Year Ended March 31, 2015
	Shares			Amount			Shares			Amount
Class Y-3:
Shares sold		21,486,792		$	213,382,507			44,854,131		$	511,679,522
Shares issued to shareholders in reinvestment of distributions		8,452,047			82,069,373			21,352,368			218,007,675
Shares repurchased		(22,605,539	)		(236,936,733	)		(29,317,958	)		(331,351,266	)
Net increase		7,333,300		$	58,515,147			36,888,541		$	398,335,931

Core Fixed

	Year Ended March 31, 2016						Year Ended March 31, 2015
	Shares			Amount			Shares			Amount
Class Y-3:
Shares sold		15,717,334		$	161,679,985			18,919,349		$	199,255,007
Shares issued to shareholders in reinvestment of distributions		3,294,918			32,553,789			4,225,933			43,231,293
Shares repurchased		(27,303,611	)		(278,202,540	)		(40,863,194	)		(433,922,784	)
Net decrease		(8,291,359	)	$	(83,968,766	)		(17,717,912	)	$	(191,436,484	)

Opportunistic Fixed

	Year Ended March 31, 2016						Year Ended March 31, 2015
	Shares			Amount			Shares			Amount
Class Y-3:
Shares sold		10,534,645		$	90,807,455			21,642,636		$	219,014,162
Shares issued to shareholders in reinvestment of distributions		655,722			5,226,105			2,114,079			19,576,373
Shares repurchased		(5,465,227	)		(47,840,875	)		(5,370,938	)		(55,031,383	)
Net increase		5,725,140		$	48,192,685			18,385,777		$	183,559,152

213

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Notes to the Financial Statements (Continued)

March 31, 2016

Emerging Markets

	Year Ended March 31, 2016						Year Ended March 31, 2015
	Shares			Amount			Shares			Amount
Class Y-3:
Shares sold		37,663,658		$	329,515,356			35,613,656		$	362,012,477
Shares issued to shareholders in reinvestment of distributions		1,428,605			11,714,562			1,946,249			18,781,299
Shares repurchased		(15,257,581	)		(141,137,722	)		(13,852,646	)		(142,644,424	)
Net increase		23,834,682		$	200,092,196			23,707,259		$	238,149,352

Global Low Volatility

	Year Ended March 31, 2016						Year Ended March 31, 2015
	Shares			Amount			Shares			Amount
Class Y-3:
Shares sold		15,663,054		$	191,381,879			22,126,406		$	272,817,683
Shares issued to shareholders in reinvestment of distributions		5,098,029			58,168,511			4,495,626			53,273,171
Shares repurchased		(7,747,497	)		(94,010,564	)		(19,537,419	)		(243,542,599	)
Net increase		13,013,586		$	155,539,826			7,084,613		$	82,548,255

8. Subsequent events

Management has evaluated the impact of subsequent events through May 26, 2016, the date the financial statements were available to be issued for possible adjustment to and/or disclosure in the Funds’ financial statements.

On December 7, 2015 and March 17-18, 2016, the Board of the Trust approved an Agreement and Plan of Reorganization (the “Reorganization”) relating to Large Cap Value and Small/Mid Cap Value, each a series of the Trust. Under the Reorganization, Large Cap Value would be combined with Large Cap Growth, another series of the Trust and Small/Mid Cap Value would be combined with Small/Mid Cap Growth, in tax free Reorganizations. The Reorganizations are scheduled to be effective upon the close of business on June 24, 2016, or on a later date as the parties may agree.

Management has determined that, with the exception of the Reorganizations noted above, there are no material events that would require adjustment and/or disclosure in the Funds’ financial statements through this date.

214

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Board of Trustees and Shareholders of Mercer Funds:

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Mercer Funds (the “Funds”), comprising Mercer US Large Cap Growth Equity Fund, Mercer US Large Cap Value Equity Fund, Mercer US Small/Mid Cap Growth Equity Fund, Mercer US Small/Mid Cap Value Equity Fund, Mercer Non-US Core Equity Fund, Mercer Core Fixed Income Fund, Mercer Opportunistic Fixed Income Fund, Mercer Emerging Markets Equity Fund, and Mercer Global Low Volatility Equity Fund as of March 31, 2016, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of March 31, 2016, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, such financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the Funds as of March 31, 2016, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

May 26, 2016

215

Mercer Funds

Additional Information (Unaudited)

Proxy Voting

A description of the policies and procedures that the Advisor and each Fund’s Subadvisors use to determine how to vote proxies relating to the Fund’s portfolio securities is available, without charge, upon request, by calling 1-866-658-9896, and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov. Information about Funds’ proxy voting decisions are available without charge, online on the Funds’ website at http://www.mercer.us/mutual-funds-on-offer.

Quarterly Reporting

The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q, which when filed, will be available on the SEC’s website at http://www.sec.gov. When filed, the Funds’ Form N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

Federal Tax Information

The amount of long-term capital gains paid for the fiscal year ended March 31, 2016, the amount of long-term capital gains paid were as follows:

Fund
Large Cap Growth	$	28,725,500
Large Cap Value		41,010,328
Small/Mid Cap Growth		24,352,888
Small/Mid Cap Value		16,735,627
Non-US Core Equity		40,514,508
Core Fixed		3,416,147
Global Low Volatility		39,459,369

For the year ended March 31, 2016, Non-US Core Equity and Emerging Markets had foreign tax credits in the amount of $2,494,169 and $3,284,845, respectively, and foreign source income of $35,327,666 and $30,334,813, respectively.

Qualified dividend income (“QDI”) received by the Funds through March 31, 2016, that qualified for a reduced tax rate pursuant to the Internal Revenue Code Section 1(h)(11) are as follows:

Fund	QDI
Large Cap Growth	$	2,904,360
Large Cap Value		6,697,494
Small/Mid Cap Growth		2,465,759
Small/Mid Cap Value		3,698,528
Non-US Core Equity		32,363,941
Emerging Markets		18,133,806
Global Low Volatility		13,822,744

For corporate shareholders, a portion of the ordinary dividends paid during the Funds’ year ended March 31, 2016, qualified for the dividends received deduction, as follows:

Fund
Large Cap Growth	31.83%
Large Cap Value	78.08%
Small/Mid Cap Value	86.85%
Non-US Core Equity	1.93%
Global Low Volatility	43.22%

216

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Additional Information (Unaudited) (Continued)

Board Approval of New Subadvisory Agreements for Certain of the Funds during the period October 1, 2015 through March 31, 2016

December 7-8, 2015 Board Meeting

Mercer US Large Cap Growth Equity Fund

Mercer US Small/Mid Cap Growth Equity Fund

At a meeting of the Board of Trustees held on December 7-8, 2015 (the “December Meeting”), the Trustees, including the Independent Trustees, considered and approved proposed new subadvisory agreements between the Advisor and certain of the current subadvisors and certain newly proposed subadvisors with respect to each of: (i) the Mercer US Large Cap Growth Equity Fund (the “Large Cap Growth Fund”) and (ii) the Mercer US Small/Mid Cap Growth Equity Fund (the “Small/Mid Cap Growth Fund”). These approvals were made in connection with proposed reorganization transactions involving each of the Large Cap Growth Fund and the Small/Mid Cap Growth Fund (the “Reorganization Transactions”) pursuant to which: (i) the Large Cap Growth Fund is proposed to engage in a reorganization transaction with the Mercer US Large Cap Value Equity Fund (the “Large Cap Value Fund”) and acquire all of the assets and liabilities of the Large Cap Value Fund (the “Large Cap Fund Reorganization”) and (ii) the Small/Mid Cap Growth Fund is proposed to engage in a reorganization transaction with the Mercer US Small/Mid Cap Value Equity Fund (the “Small/Mid Cap Value Fund”) and acquire all of the assets and liabilities of the Small/Mid Cap Value Fund (the “Small/Mid Cap Fund Reorganization”).

In connection with carrying out each of the Reorganization Transactions, the Board approved proposed changes to the principal investment strategies of each of the Large Cap Growth Fund and the Small/Mid Cap Growth Fund, which changes are to become effective upon the closing of the Reorganization Transactions in late June 2016. Pursuant to the proposed changes to the principal investment strategies of the Large Cap Growth Fund and the Small/Mid Cap Growth Fund, effective upon the closing of the Reorganization Transactions, each Fund will pursue new principal investment strategies with a focus on “core equity” investment strategies. As a result of the implementation of the proposed new “core equity” investment strategies for each of the Funds and the repositioning of the assets of the Large Cap Value Fund to the Large Cap Growth Fund and the repositioning of the assets of the Small/Mid Cap Value Fund to the Small/Mid Cap Growth Fund resulting from the Reorganization Transactions, the Advisor recommended to the Board changes in the subadvisors for each of the surviving Funds.

In connection with the Reorganization Transactions and the proposed change in the principal investment strategies for each of the surviving Funds, the Advisor also recommended and the Board approved proposed changes to the names of each of the Funds to be effective upon the closing of the Reorganization Transactions. Accordingly, upon the closing of the Reorganization Transactions, the Mercer US Large Cap Growth Equity Fund will change its name to the “Mercer US Large Cap Equity Fund” and the Mercer US Small/Mid Cap Growth Equity Fund will change its name to the “Mercer US Small/Mid Cap Equity Fund”.

Mercer US Large Cap Growth Equity Fund

Approval of a New Subadvisory Agreement for the Fund with AJO, LP

At the December Meeting, the Trustees, including the Independent Trustees, considered and approved a proposed new subadvisory agreement between the Advisor and AJO, LP (“AJO”) on behalf of the Large Cap Growth Fund (the “Proposed AJO Subadvisory Agreement”). The Board was informed by the Advisor that AJO was being recommended to become a new subadvisor to the Fund in connection with the Large Cap Fund Reorganization and the implementation of the new principal investment strategy for the Fund and that AJO would commence managing assets for the Fund upon the closing of the Large Cap Fund Reorganization.

In considering the approval of the Proposed AJO Subadvisory Agreement, the Trustees considered the information and materials from the Advisor and AJO that included, as to AJO and the Fund: (i) a copy of the form of the Proposed AJO Subadvisory Agreement; (ii) information regarding the process by which the Advisor had reviewed, selected, and recommended AJO for the Board’s approval, and the Advisor’s rationale for recommending that AJO be appointed as a subadvisor to the Fund, and how AJO would supplement the Fund’s other subadvisors; (iii) the nature, extent, and quality of the services that AJO proposed to provide to the Fund; (iv) the investment

217

Mercer Funds

Additional Information (Unaudited) (Continued)

management business, portfolio management personnel, operations, prior investment experience, and reputation of AJO; (v) AJO’s brokerage and trading policies and practices; (vi) the level of subadvisory fees to be charged by AJO for its services to the Fund, and a comparison of those fees to other accounts that AJO manages; (vii) a summary of AJO’s compliance program; (viii) information regarding AJO’s historical performance returns managing an investment mandate similar to the Fund’s investment mandate, and a comparison of such performance to a relevant index; and (ix) the financial condition of AJO. In addition, the Trustees considered presentations made by, and discussions held with, representatives of the Advisor during the Meeting.

The Trustees also considered and analyzed factors that they deemed relevant with respect to AJO, including: the nature, extent, and quality of the services to be provided to the Fund by AJO; AJO’s management style and investment decision-making process; AJO’s historical performance record managing investment products similar to the Fund; the qualifications and experience of the members of AJO’s portfolio management team; and AJO’s staffing levels and overall resources. The Trustees also took into consideration the nature and extent of the oversight duties performed by the Advisor in connection with each of the subadvisors, which includes extensive management and compliance due diligence with respect to the management and operations of each of the subadvisors. Additionally, the Independent Trustees received assistance and advice regarding legal and industry standards supplied by their independent legal counsel, which were intended to assist the Independent Trustees in fulfilling their duties under the 1940 Act.

In particular, and as to AJO, the Board, including the Independent Trustees, considered the following factors:

(a)  The nature, extent, and quality of the services to be provided by AJO. The Trustees reviewed the nature, extent, and quality of the services to be provided by AJO to the Fund. The Trustees discussed the specific investment management process that AJO indicated that it will employ to manage its allocated portion of the Fund’s investment portfolio (which was described in detail in the materials provided by AJO), the qualifications of AJO’s portfolio managers and investment management personnel with regard to implementing the investment mandate relating to the allocated portion of the Fund’s investment portfolio that AJO would be managing, and the performance record of AJO as compared to a relevant benchmark. The Trustees considered AJO’s infrastructure and resources, and whether AJO’s organization appeared to support AJO’s strategy adequately. The Trustees also discussed the Advisor’s review, selection, and due diligence process with respect to AJO, and the Advisor’s favorable assessment as to the nature, extent, and quality of the subadvisory services expected to be provided to the Fund by AJO. The Trustees determined that the Fund and its shareholders would benefit from the quality and experience of AJO’s portfolio managers and the qualifications of its investment professionals. Based on their consideration and review of the foregoing information, the Trustees concluded that the nature, extent and quality of the subadvisory services anticipated to be provided by AJO, as well as AJO’s ability to render such services based on AJO’s experience, operations and resources, were appropriate for the Fund, in light of the Fund’s investment objective, and the mandate relating to the allocated portion of the Fund’s investment portfolio that AJO would manage.

(b)  Comparison of the services to be rendered and fees to be paid to AJO under other advisory and subadvisory contracts, such as those with other clients. The Trustees discussed the services that would be rendered by AJO and evaluated the compensation to be paid to AJO by the Advisor for those services. The Trustees noted that the services that AJO would furnish to the Fund appeared to be comparable to the services that AJO currently provides to its other advisory and subadvisory clients having similar investment strategies. The Trustees also considered comparisons of the fees that will be paid to AJO by the Advisor in light of the fees that are charged by AJO to its other advisory clients, as disclosed in AJO’s Form ADV, Part 2A (Firm Brochure) and in its 15(c) Questionnaire responses, including commingled and separate accounts. The Trustees also considered that the fees agreed to by AJO were the result of an arm’s-length bargain negotiated by unaffiliated parties. The Trustees also noted that, while AJO’s fee schedule did include breakpoints, the benefit of the breakpoints would go to the Advisor, and not to the Fund, and would be reflected in the Advisor’s profitability, which had been reviewed by the Independent Trustees.

The Trustees considered the review, selection, and due diligence process employed by the Advisor, in determining to recommend AJO to serve as a subadvisor to the Fund, and the Advisor’s reasons for concluding that the subadvisory fees to be paid by the Advisor to AJO for its services to the Fund were reasonable. The Trustees emphasized in their discussions that the subadvisory fees of AJO would be paid by the Advisor, and were not

218

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Additional Information (Unaudited) (Continued)

additional fees to be borne by the Fund or its shareholders. Based on their discussion, the Trustees concluded that, in light of the nature, extent, and quality of the services to be provided, the proposed level of fees to be paid to AJO with respect to the assets of the Fund to be allocated to AJO was supported by the services that were expected to be provided by AJO to the Fund. The Trustees also considered the potential “fallout” or ancillary benefits that may accrue to AJO from its relationship with the Fund and concluded that they were reasonable.

Since the fees to be paid to AJO were the result of arm’s-length bargaining between unaffiliated parties, and given the Advisor’s economic incentive to negotiate a reasonable fee, the potential profitability of AJO was not considered relevant to the Trustees’ deliberations. The Trustees took note of the Advisor’s explanation that the recommended appointment of AJO was not affected by the impact that the appointment would have on the Advisor’s revenues and profitability, and recalled that the Advisor had demonstrated that the appointment of AJO may result in a benefit to the Advisor as a result of the potential for increased profitability for the Advisor, which had been reported to and reviewed by the Independent Trustees. On the basis of these considerations, the Board concluded that, in light of the nature, extent and quality of the services expected to be provided by AJO and the proposed fees to be paid to AJO by the Advisor for managing its allocated portion of the Fund, the potential benefits accruing to AJO as a result of serving as a subadvisor to the Fund were reasonable in relation to the services that were expected to be provided by AJO to the Fund.

(c)  Investment performance of the Fund and AJO. Because AJO was a newly proposed subadvisor to the Fund, the Trustees could not consider AJO’s investment performance in managing the Fund as a factor in evaluating the Proposed AJO Subadvisory Agreement. However, the Trustees reviewed AJO’s historical investment performance record in subadvising other investment companies and accounts that were comparable to the Fund. The Trustees also compared the historical investment performance of AJO to a relevant benchmark and concluded that AJO’s historical performance record, viewed together with the other factors considered by the Trustees, supported a decision to approve the Proposed AJO Subadvisory Agreement.

Conclusion.  Following consideration of the foregoing factors, it was reported that no single factor was determinative to the Trustees’ decisions. Based on these factors, along with the determination of the Advisor at the conclusion of its review, selection, and due diligence process to recommend AJO to serve as a new subadvisor to the Fund, and such other matters as were deemed relevant, the Trustees concluded that the proposed fee rate for AJO was supported by the services that were expected to be provided to the Fund. As a result, the Trustees, including a majority of the Independent Trustees, concluded that the approval of the Proposed AJO Subadvisory Agreement was in the best interests of the Fund and its shareholders and approved the Proposed AJO Subadvisory Agreement.

Approval of a New Subadvisory Agreement for the Fund with Brandywine Global Investment Management, LLC

At the December Meeting, the Trustees, including the Independent Trustees, considered and approved a proposed new subadvisory agreement between the Advisor and Brandywine Global Investment Management, LLC (“Brandywine”) on behalf of the Large Cap Growth Fund (the “Proposed Brandywine Subadvisory Agreement”). The Board was informed by the Advisor that Brandywine was being recommended to become a new subadvisor to the Fund in connection with the Large Cap Fund Reorganization and the implementation of the new principal investment strategy for the Fund and that Brandywine would commence managing assets for the Fund upon the closing of the Large Cap Fund Reorganization. In connection with its review process, the Board took into consideration the fact that Brandywine was presently serving as a subadvisor to the Large Cap Value Fund and that the Advisor had recommended that Brandywine be retained to serve as a subadvisor to the Large Cap Growth Fund following the completion of the Large Cap Fund Reorganization.

In considering the approval of the Proposed Brandywine Subadvisory Agreement, the Trustees considered the information and materials from the Advisor and Brandywine that included, as to Brandywine and the Fund: (i) a copy of the form of the Proposed Brandywine Subadvisory Agreement; (ii) information regarding the process by which the Advisor had initially reviewed, selected, and recommended Brandywine for the Board’s approval as a subadvisor to the Large Cap Value Fund, and the Advisor’s rationale for recommending that Brandywine be appointed as a subadvisor to the Fund, and how Brandywine would supplement the Fund’s other subadvisors; (iii) the nature, extent, and quality of the services that Brandywine proposed to provide to the Fund; (iv) the

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investment management business, portfolio management personnel, operations, prior investment experience, and reputation of Brandywine; (v) Brandywine’s brokerage and trading policies and practices; (vi) the level of subadvisory fees to be charged by Brandywine for its services to the Fund, and a comparison of those fees to other accounts that Brandywine manages; (vii) a summary of Brandywine’s compliance program; (viii) information regarding Brandywine’s historical performance returns managing an investment mandate similar to the Fund’s investment mandate, and a comparison of such performance to a relevant index; and (ix) the financial condition of Brandywine. In addition, the Trustees considered presentations made by, and discussions held with, representatives of the Advisor during the Meeting.

The Trustees also considered and analyzed factors that they deemed relevant with respect to Brandywine, including: the nature, extent, and quality of the services to be provided to the Fund by Brandywine; Brandywine’s management style and investment decision-making process; Brandywine’s historical performance record managing investment products similar to the Fund; the qualifications and experience of the members of Brandywine’s portfolio management team; and Brandywine’s staffing levels and overall resources. The Trustees also took into consideration the nature and extent of the oversight duties performed by the Advisor in connection with each of the subadvisors, which includes extensive management and compliance due diligence with respect to the management and operations of each of the subadvisors. Additionally, the Independent Trustees received assistance and advice regarding legal and industry standards supplied by their independent legal counsel, which were intended to assist the Independent Trustees in fulfilling their duties under the 1940 Act.

In particular, and as to Brandywine, the Board, including the Independent Trustees, considered the following factors:

(a)  The nature, extent, and quality of the services to be provided by Brandywine. The Trustees reviewed the nature, extent, and quality of the services to be provided by Brandywine to the Fund. The Trustees discussed the specific investment management process that Brandywine indicated that it will employ to manage its allocated portion of the Fund’s investment portfolio (which was described in detail in the materials provided by Brandywine), the qualifications of Brandywine’s portfolio managers and investment management personnel with regard to implementing the investment mandate relating to the allocated portion of the Fund’s investment portfolio that Brandywine would be managing, and the performance record of Brandywine as compared to a relevant benchmark. The Trustees considered Brandywine’s infrastructure and resources, and whether Brandywine’s organization appeared to support Brandywine’s strategy adequately. The Trustees also discussed the Advisor’s initial review, selection, and due diligence process with respect to the initial hiring of Brandywine as a subadvisor to the Large Cap Value Fund, and the Advisor’s favorable assessment as to the nature, extent, and quality of the subadvisory services expected to be provided to the Fund by Brandywine. The Trustees determined that the Fund and its shareholders would benefit from the quality and experience of Brandywine’s portfolio managers and the qualifications of its investment professionals. Based on their consideration and review of the foregoing information, the Trustees concluded that the nature, extent and quality of the subadvisory services anticipated to be provided by Brandywine, as well as Brandywine’s ability to render such services based on Brandywine’s experience, operations and resources, were appropriate for the Fund, in light of the Fund’s investment objective, and the mandate relating to the allocated portion of the Fund’s investment portfolio that Brandywine would manage.

(b)  Comparison of the services to be rendered and fees to be paid to Brandywine under other advisory and subadvisory contracts, such as those with other clients. The Trustees discussed the services that would be rendered by Brandywine and evaluated the compensation to be paid to Brandywine by the Advisor for those services. The Trustees noted that the services that Brandywine would furnish to the Fund appeared to be comparable to the services that Brandywine currently provides to its other advisory and subadvisory clients having similar investment strategies, including the Large Cap Value Fund. The Trustees also considered comparisons of the fees that will be paid to Brandywine by the Advisor in light of the fees that are charged by Brandywine to its other advisory clients, including the Large Cap Value Fund, as disclosed in Brandywine’s Form ADV, Part 2A (Firm Brochure) and in its 15(c) Questionnaire responses, including commingled and separate accounts. The Trustees also considered that the fees agreed to by Brandywine were the result of an arm’s-length bargain negotiated by unaffiliated parties. The Trustees also noted that, while Brandywine’s fee schedule did include breakpoints, the benefit of the breakpoints would go to the Advisor, and not to the Fund, and would be reflected in the Advisor’s profitability, which had been reviewed by the Independent Trustees.

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The Trustees considered the initial review, selection, and due diligence process employed by the Advisor when it initially retained Brandywine as a subadvisor to the Large Cap Value Fund, as was discussed during the Meeting, in determining to recommend Brandywine to serve as a subadvisor to the Fund, and the Advisor’s reasons for concluding that the subadvisory fees to be paid by the Advisor to Brandywine for its services to the Fund were reasonable. The Trustees emphasized in their discussions that the subadvisory fees of Brandywine would be paid by the Advisor, and were not additional fees to be borne by the Fund or its shareholders. Based on their discussion, the Trustees concluded that, in light of the nature, extent, and quality of the services to be provided, the proposed level of fees to be paid to Brandywine with respect to the assets of the Fund to be allocated to Brandywine was supported by the services that were expected to be provided by Brandywine to the Fund. The Trustees also considered the potential “fallout” or ancillary benefits that may accrue to Brandywine from its relationship with the Fund and concluded that they were reasonable.

Since the fees to be paid to Brandywine were the result of arm’s-length bargaining between unaffiliated parties, and given the Advisor’s economic incentive to negotiate a reasonable fee, the potential profitability of Brandywine was not considered relevant to the Trustees’ deliberations. The Trustees took note of the Advisor’s explanation that the recommended appointment of Brandywine was not affected by the impact that the appointment would have on the Advisor’s revenues and profitability, and recalled that the Advisor had demonstrated that the appointment of Brandywine may result in a benefit to the Advisor as a result of the potential for increased profitability for the Advisor, which had been reported to and reviewed by the Independent Trustees. On the basis of these considerations, the Board concluded that, in light of the nature, extent and quality of the services expected to be provided by Brandywine and the proposed fees to be paid to Brandywine by the Advisor for managing its allocated portion of the Fund, the potential benefits accruing to Brandywine as a result of serving as a subadvisor to the Fund were reasonable in relation to the services that were expected to be provided by Brandywine to the Fund.

(c)  Investment performance of the Fund and Brandywine. Because Brandywine was a newly proposed subadvisor to the Fund, the Trustees could not consider Brandywine’s investment performance in managing the Fund as a factor in evaluating the Proposed Brandywine Subadvisory Agreement. However, the Trustees reviewed Brandywine’s historical investment performance record in subadvising other investment companies and accounts that were comparable to the Fund, including its performance with respect to its allocated portion of the Large Cap Value Fund. The Trustees also compared the historical investment performance of Brandywine to a relevant benchmark and concluded that Brandywine’s historical performance record, viewed together with the other factors considered by the Trustees, supported a decision to approve the Proposed Brandywine Subadvisory Agreement.

Conclusion.  Following consideration of the foregoing factors, it was reported that no single factor was determinative to the Trustees’ decisions. Based on these factors, along with the determination of the Advisor at the conclusion of its review, selection, and due diligence process to recommend Brandywine to serve as a new subadvisor to the Fund, and such other matters as were deemed relevant, the Trustees concluded that the proposed fee rate for Brandywine was supported by the services that were expected to be provided to the Fund. As a result, the Trustees, including a majority of the Independent Trustees, concluded that the approval of the Proposed Brandywine Subadvisory Agreement was in the best interests of the Fund and its shareholders and approved the Proposed Brandywine Subadvisory Agreement.

Approval of a New Subadvisory Agreement for the Fund with O’Shaughnessy Asset Management LLC

At the December Meeting, the Trustees, including the Independent Trustees, considered and approved a proposed new subadvisory agreement between the Advisor and O’Shaughnessy Asset Management LLC (“O’Shaughnessy”) on behalf of the Large Cap Growth Fund (the “Proposed O’Shaughnessy Subadvisory Agreement”). The Board was informed by the Advisor that O’Shaughnessy was being recommended to become a new subadvisor to the Fund in connection with the Large Cap Fund Reorganization and the implementation of the new principal investment strategy for the Fund and that O’Shaughnessy would commence managing assets for the Fund upon the closing of the Large Cap Fund Reorganization. In connection with its review process, the Board took into consideration the fact that O’Shaughnessy was presently serving as a subadvisor to the Large Cap Value Fund and that the Advisor had recommended that O’Shaughnessy be retained to serve as a subadvisor to the Large Cap Growth Fund following completion of the Large Cap Fund Reorganization.

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In considering the approval of the Proposed O’Shaughnessy Subadvisory Agreement, the Trustees considered the information and materials from the Advisor and O’Shaughnessy that included, as to O’Shaughnessy and the Fund: (i) a copy of the form of the Proposed O’Shaughnessy Subadvisory Agreement; (ii) information regarding the process by which the Advisor had initially reviewed, selected, and recommended O’Shaughnessy for the Board’s approval as a subadvisor to the Large Cap Value Fund, and the Advisor’s rationale for recommending that O’Shaughnessy be appointed as a subadvisor to the Fund, and how O’Shaughnessy would supplement the Fund’s other subadvisors; (iii) the nature, extent, and quality of the services that O’Shaughnessy proposed to provide to the Fund; (iv) the investment management business, portfolio management personnel, operations, prior investment experience, and reputation of O’Shaughnessy; (v) O’Shaughnessy’s brokerage and trading policies and practices; (vi) the level of subadvisory fees to be charged by O’Shaughnessy for its services to the Fund, and a comparison of those fees to other accounts that O’Shaughnessy manages; (vii) a summary of O’Shaughnessy’s compliance program; (viii) information regarding O’Shaughnessy’s historical performance returns managing an investment mandate similar to the Fund’s investment mandate, and a comparison of such performance to a relevant index; and (ix) the financial condition of O’Shaughnessy. In addition, the Trustees considered presentations made by, and discussions held with, representatives of the Advisor during the Meeting.

The Trustees also considered and analyzed factors that they deemed relevant with respect to O’Shaughnessy, including: the nature, extent, and quality of the services to be provided to the Fund by O’Shaughnessy; O’Shaughnessy’s management style and investment decision-making process; O’Shaughnessy’s historical performance record managing investment products similar to the Fund; the qualifications and experience of the members of O’Shaughnessy’s portfolio management team; and O’Shaughnessy’s staffing levels and overall resources. The Trustees also took into consideration the nature and extent of the oversight duties performed by the Advisor in connection with each of the subadvisors, which includes extensive management and compliance due diligence with respect to the management and operations of each of the subadvisors. Additionally, the Independent Trustees received assistance and advice regarding legal and industry standards supplied by their independent legal counsel, which were intended to assist the Independent Trustees in fulfilling their duties under the 1940 Act.

In particular, and as to O’Shaughnessy, the Board, including the Independent Trustees, considered the following factors:

(a)  The nature, extent, and quality of the services to be provided by O’Shaughnessy. The Trustees reviewed the nature, extent, and quality of the services to be provided by O’Shaughnessy to the Fund. The Trustees discussed the specific investment management process that O’Shaughnessy indicated that it will employ to manage its allocated portion of the Fund’s investment portfolio (which was described in detail in the materials provided by O’Shaughnessy), the qualifications of O’Shaughnessy’s portfolio managers and investment management personnel with regard to implementing the investment mandate relating to the allocated portion of the Fund’s investment portfolio that O’Shaughnessy would be managing, and the performance record of O’Shaughnessy as compared to a relevant benchmark. The Trustees considered O’Shaughnessy’s infrastructure and resources, and whether O’Shaughnessy’s organization appeared to support O’Shaughnessy’s strategy adequately. The Trustees also discussed the Advisor’s initial review, selection, and due diligence process with respect to the initial hiring of O’Shaughnessy as a subadvisor to the Large Cap Value Fund, and the Advisor’s favorable assessment as to the nature, extent, and quality of the subadvisory services expected to be provided to the Fund by O’Shaughnessy. The Trustees determined that the Fund and its shareholders would benefit from the quality and experience of O’Shaughnessy’s portfolio managers and the qualifications of its investment professionals. Based on their consideration and review of the foregoing information, the Trustees concluded that the nature, extent and quality of the subadvisory services anticipated to be provided by O’Shaughnessy, as well as O’Shaughnessy’s ability to render such services based on O’Shaughnessy’s experience, operations and resources, were appropriate for the Fund, in light of the Fund’s investment objective, and the mandate relating to the allocated portion of the Fund’s investment portfolio that O’Shaughnessy would manage.

(b)  Comparison of the services to be rendered and fees to be paid to O’Shaughnessy under other advisory and subadvisory contracts, such as those with other clients. The Trustees discussed the services that would be rendered by O’Shaughnessy and evaluated the compensation to be paid to O’Shaughnessy by the Advisor for those services. The Trustees noted that the services that O’Shaughnessy would furnish to the Fund appeared to be comparable to

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the services that O’Shaughnessy currently provides to its other advisory and subadvisory clients having similar investment strategies, including the Large Cap Value Fund. The Trustees also considered comparisons of the fees that will be paid to O’Shaughnessy by the Advisor in light of the fees that are charged by O’Shaughnessy to its other advisory clients, including the Large Cap Value Fund, as disclosed in O’Shaughnessy’s Form ADV, Part 2A (Firm Brochure) and in its 15(c) Questionnaire responses, including commingled and separate accounts. The Trustees also considered that the fees agreed to by O’Shaughnessy were the result of an arm’s-length bargain negotiated by unaffiliated parties. The Trustees also noted that, while O’Shaughnessy’s fee schedule did include breakpoints, the benefit of the breakpoints would go to the Advisor, and not to the Fund, and would be reflected in the Advisor’s profitability, which had been reviewed by the Independent Trustees.

The Trustees considered the initial review, selection, and due diligence process employed by the Advisor when it initially retained O’Shaughnessy as a subadvisor to the Large Cap Value Fund, as was discussed during the Meeting, in determining to recommend O’Shaughnessy to serve as a subadvisor to the Fund, and the Advisor’s reasons for concluding that the subadvisory fees to be paid by the Advisor to O’Shaughnessy for its services to the Fund were reasonable. The Trustees emphasized in their discussions that the subadvisory fees of O’Shaughnessy would be paid by the Advisor, and were not additional fees to be borne by the Fund or its shareholders. Based on their discussion, the Trustees concluded that, in light of the nature, extent, and quality of the services to be provided, the proposed level of fees to be paid to O’Shaughnessy with respect to the assets of the Fund to be allocated to O’Shaughnessy was supported by the services that were expected to be provided by O’Shaughnessy to the Fund. The Trustees also considered the potential “fallout” or ancillary benefits that may accrue to O’Shaughnessy from its relationship with the Fund and concluded that they were reasonable.

Since the fees to be paid to O’Shaughnessy were the result of arm’s-length bargaining between unaffiliated parties, and given the Advisor’s economic incentive to negotiate a reasonable fee, the potential profitability of O’Shaughnessy was not considered relevant to the Trustees’ deliberations. The Trustees took note of the Advisor’s explanation that the recommended appointment of O’Shaughnessy was not affected by the impact that the appointment would have on the Advisor’s revenues and profitability, and recalled that the Advisor had demonstrated that the appointment of O’Shaughnessy may result in a benefit to the Advisor as a result of the potential for increased profitability for the Advisor, which had been reported to and reviewed by the Independent Trustees. On the basis of these considerations, the Board concluded that, in light of the nature, extent and quality of the services expected to be provided by O’Shaughnessy and the proposed fees to be paid to O’Shaughnessy by the Advisor for managing its allocated portion of the Fund, the potential benefits accruing to O’Shaughnessy as a result of serving as a subadvisor to the Fund were reasonable in relation to the services that were expected to be provided by O’Shaughnessy to the Fund.

(c)  Investment performance of the Fund and O’Shaughnessy. Because O’Shaughnessy was a newly proposed subadvisor to the Fund, the Trustees could not consider O’Shaughnessy’s investment performance in managing the Fund as a factor in evaluating the Proposed O’Shaughnessy Subadvisory Agreement. However, the Trustees reviewed O’Shaughnessy’s historical investment performance record in subadvising other investment companies and accounts that were comparable to the Fund, including its performance with respect to its allocated portion of the Large Cap Value Fund. The Trustees also compared the historical investment performance of O’Shaughnessy to a relevant benchmark and concluded that O’Shaughnessy’s historical performance record, viewed together with the other factors considered by the Trustees, supported a decision to approve the Proposed O’Shaughnessy Subadvisory Agreement.

Conclusion.  Following consideration of the foregoing factors, it was reported that no single factor was determinative to the Trustees’ decisions. Based on these factors, along with the determination of the Advisor at the conclusion of its review, selection, and due diligence process to recommend O’Shaughnessy to serve as a new subadvisor to the Fund, and such other matters as were deemed relevant, the Trustees concluded that the proposed fee rate for O’Shaughnessy was supported by the services that were expected to be provided to the Fund. As a result, the Trustees, including a majority of the Independent Trustees, concluded that the approval of the Proposed O’Shaughnessy Subadvisory Agreement was in the best interests of the Fund and its shareholders and approved the Proposed O’Shaughnessy Subadvisory Agreement.

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Mercer US Small/Mid Cap Growth Equity Fund

Approval of a New Subadvisory Agreement for the Fund with GW&K Investment Management, LLC

At the December Meeting, the Trustees, including the Independent Trustees, considered and approved a proposed new subadvisory agreement between the Advisor and GW&K Investment Management, LLC (“GW&K”) on behalf of the Small/Mid Cap Growth Fund (the “Proposed GW&K Subadvisory Agreement”). The Board was informed by the Advisor that GW&K was being recommended to become a new subadvisor to the Fund in connection with the Small/Mid Cap Fund Reorganization and the implementation of the new principal investment strategy for the Fund and that GW&K would commence managing assets for the Fund upon the closing of the Small/Mid Cap Fund Reorganization.

In considering the approval of the Proposed GW&K Subadvisory Agreement, the Trustees considered the information and materials from the Advisor and GW&K that included, as to GW&K and the Fund: (i) a copy of form of the Proposed GW&K Subadvisory Agreement; (ii) information regarding the process by which the Advisor had reviewed, selected, and recommended GW&K for the Board’s approval, and the Advisor’s rationale for recommending that GW&K be appointed as a subadvisor to the Fund, and how GW&K would supplement the Fund’s other Subadvisors; (iii) the nature, extent, and quality of the services that GW&K proposed to provide to the Fund; (iv) the investment management business, portfolio management personnel, operations, prior investment experience, and reputation of GW&K; (v) GW&K’s brokerage and trading policies and practices; (vi) the level of subadvisory fees to be charged by GW&K for its services to the Fund, and a comparison of those fees to other accounts that GW&K manages; (vii) a summary of GW&K’s compliance program; (viii) information regarding GW&K’s historical performance returns managing an investment mandate similar to the Fund’s investment mandate, and a comparison of such performance to a relevant index; and (ix) the financial condition of GW&K. In addition, the Trustees considered presentations made by, and discussions held with, representatives of the Advisor during the Meeting.

The Trustees also considered and analyzed factors that they deemed relevant with respect to GW&K, including: the nature, extent, and quality of the services to be provided to the Fund by GW&K; GW&K’s management style and investment decision-making process; GW&K’s historical performance record managing investment products similar to the Fund; the qualifications and experience of the members of GW&K’s portfolio management team; and GW&K’s staffing levels and overall resources. The Trustees also took into consideration the nature and extent of the oversight duties performed by the Advisor in connection with each of the subadvisors, which includes extensive management and compliance due diligence with respect to the management and operations of each of the subadvisors. Additionally, the Independent Trustees received assistance and advice regarding legal and industry standards supplied by their independent legal counsel, which were intended to assist the Independent Trustees in fulfilling their duties under the 1940 Act.

In particular, and as to GW&K, the Board, including the Independent Trustees, considered the following factors:

(a)  The nature, extent, and quality of the services to be provided by GW&K. The Trustees reviewed the nature, extent, and quality of the services to be provided by GW&K to the Fund. The Trustees discussed the specific investment management process that GW&K indicated that it will employ to manage its allocated portion of the Fund’s investment portfolio (which was described in detail in the materials provided by GW&K), the qualifications of GW&K’s portfolio managers and investment management personnel with regard to implementing the investment mandate relating to the allocated portion of the Fund’s investment portfolio that GW&K would be managing, and the performance record of GW&K as compared to a relevant benchmark. The Trustees considered GW&K’s infrastructure and resources, and whether GW&K’s organization appeared to support GW&K’s strategy adequately. The Trustees also discussed the Advisor’s review, selection, and due diligence process with respect to GW&K, and the Advisor’s favorable assessment as to the nature, extent, and quality of the subadvisory services expected to be provided to the Fund by GW&K. The Trustees determined that the Fund and its shareholders would benefit from the quality and experience of GW&K’s portfolio managers and the qualifications of its investment professionals. Based on their consideration and review of the foregoing information, the Trustees concluded that the nature, extent and quality of the subadvisory services anticipated to be provided by GW&K, as well as GW&K’s ability to render such services based on GW&K’s experience, operations and resources, were appropriate for the Fund, in light of the Fund’s investment objective, and the mandate relating to the allocated portion of the Fund’s investment portfolio that GW&K would manage.

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(b)  Comparison of the services to be rendered and fees to be paid to GW&K under other advisory and subadvisory contracts, such as those with other clients. The Trustees discussed the services that would be rendered by GW&K and evaluated the compensation to be paid to GW&K by the Advisor for those services. The Trustees noted that the services that GW&K would furnish to the Fund appeared to be comparable to the services that GW&K currently provides to its other advisory and subadvisory clients having similar investment strategies. The Trustees also considered comparisons of the fees that will be paid to GW&K by the Advisor in light of the fees that are charged by GW&K to its other advisory clients, as disclosed in GW&K’s Form ADV, Part 2A (Firm Brochure) and in its 15(c) Questionnaire responses, including commingled and separate accounts. The Trustees also considered that the fees agreed to by GW&K were the result of an arm’s-length bargain negotiated by unaffiliated parties. The Trustees also noted that, while GW&K’s fee schedule did include breakpoints, the benefit of the breakpoints would go to the Advisor, and not to the Fund, and would be reflected in the Advisor’s profitability, which had been reviewed by the Independent Trustees.

The Trustees considered the review, selection, and due diligence process employed by the Advisor, in determining to recommend GW&K to serve as a subadvisor to the Fund, and the Advisor’s reasons for concluding that the subadvisory fees to be paid by the Advisor to GW&K for its services to the Fund were reasonable. The Trustees emphasized in their discussions that the subadvisory fees of GW&K would be paid by the Advisor, and were not additional fees to be borne by the Fund or its shareholders. Based on their discussion, the Trustees concluded that, in light of the nature, extent, and quality of the services to be provided, the proposed level of fees to be paid to GW&K with respect to the assets of the Fund to be allocated to GW&K was supported by the services that were expected to be provided by GW&K to the Fund. The Trustees also considered the potential “fallout” or ancillary benefits that may accrue to GW&K from its relationship with the Fund and concluded that they were reasonable.

Since the fees to be paid to GW&K were the result of arm’s-length bargaining between unaffiliated parties, and given the Advisor’s economic incentive to negotiate a reasonable fee, the potential profitability of GW&K was not considered relevant to the Trustees’ deliberations. The Trustees took note of the Advisor’s explanation that the recommended appointment of GW&K was not affected by the impact that the appointment would have on the Advisor’s revenues and profitability, and recalled that the Advisor had demonstrated that the appointment of GW&K may result in a benefit to the Advisor as a result of the potential for increased profitability for the Advisor, which had been reported to and reviewed by the Independent Trustees. On the basis of these considerations, the Board concluded that, in light of the nature, extent and quality of the services expected to be provided by GW&K and the proposed fees to be paid to GW&K by the Advisor for managing its allocated portion of the Fund, the potential benefits accruing to GW&K as a result of serving as a subadvisor to the Fund were reasonable in relation to the services that were expected to be provided by GW&K to the Fund.

(c)  Investment performance of the Fund and GW&K. Because GW&K was a newly proposed subadvisor to the Fund, the Trustees could not consider GW&K’s investment performance in managing the Fund as a factor in evaluating the Proposed GW&K Subadvisory Agreement. However, the Trustees reviewed GW&K’s historical investment performance record in subadvising other investment companies and accounts that were comparable to the Fund. The Trustees also compared the historical investment performance of GW&K to a relevant benchmark and concluded that GW&K’s historical performance record, viewed together with the other factors considered by the Trustees, supported a decision to approve the Proposed GW&K Subadvisory Agreement.

Conclusion.  Following consideration of the foregoing factors, it was reported that no single factor was determinative to the Trustees’ decisions. Based on these factors, along with the determination of the Advisor at the conclusion of its review, selection, and due diligence process to recommend GW&K to serve as a new subadvisor to the Fund, and such other matters as were deemed relevant, the Trustees concluded that the proposed fee rate for GW&K was supported by the services that were expected to be provided to the Fund. As a result, the Trustees, including a majority of the Independent Trustees, concluded that the approval of the Proposed GW&K Subadvisory Agreement was in the best interests of the Fund and its shareholders and approved the Proposed GW&K Subadvisory Agreement.

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Approval of a New Subadvisory Agreement for the Fund with LSV Asset Management

At the December Meeting, the Trustees, including the Independent Trustees, considered and approved a proposed new subadvisory agreement between the Advisor and LSV Asset Management (“LSV”) on behalf of the Small/Mid Cap Growth Fund (the “Proposed LSV Subadvisory Agreement”). The Board was informed by the Advisor that LSV was being recommended to become a new subadvisor to the Fund in connection with the Small/Mid Cap Fund Reorganization and the implementation of the new principal investment strategy for the Fund and that LSV would commence managing assets for the Fund upon the closing of the Small/Mid Cap Fund Reorganization.

In considering the approval of the Proposed LSV Subadvisory Agreement, the Trustees considered the information and materials from the Advisor and LSV that included, as to LSV and the Fund: (i) a copy of the form of the Proposed LSV Subadvisory Agreement; (ii) information regarding the process by which the Advisor had reviewed, selected, and recommended LSV for the Board’s approval, and the Advisor’s rationale for recommending that LSV be appointed as a subadvisor to the Fund, and how LSV would supplement the Fund’s other subadvisors; (iii) the nature, extent, and quality of the services that LSV proposed to provide to the Fund; (iv) the investment management business, portfolio management personnel, operations, prior investment experience, and reputation of LSV; (v) LSV’s brokerage and trading policies and practices; (vi) the level of subadvisory fees to be charged by LSV for its services to the Fund, and a comparison of those fees to other accounts that LSV manages; (vii) a summary of LSV’s compliance program; (viii) information regarding LSV’s historical performance returns managing an investment mandate similar to the Fund’s investment mandate, and a comparison of such performance to a relevant index; and (ix) the financial condition of LSV. In addition, the Trustees considered presentations made by, and discussions held with, representatives of the Advisor during the Meeting.

The Trustees also considered and analyzed factors that they deemed relevant with respect to LSV, including: the nature, extent, and quality of the services to be provided to the Fund by LSV; LSV’s management style and investment decision-making process; LSV’s historical performance record managing investment products similar to the Fund; the qualifications and experience of the members of LSV’s portfolio management team; and LSV’s staffing levels and overall resources. The Trustees also took into consideration the nature and extent of the oversight duties performed by the Advisor in connection with each of the subadvisors, which includes extensive management and compliance due diligence with respect to the management and operations of each of the subadvisors. Additionally, the Independent Trustees received assistance and advice regarding legal and industry standards supplied by their independent legal counsel, which were intended to assist the Independent Trustees in fulfilling their duties under the 1940 Act.

In particular, and as to LSV, the Board, including the Independent Trustees, considered the following factors:

(a)  The nature, extent, and quality of the services to be provided by LSV. The Trustees reviewed the nature, extent, and quality of the services to be provided by LSV to the Fund. The Trustees discussed the specific investment management process that LSV indicated that it will employ to manage its allocated portion of the Fund’s investment portfolio (which was described in detail in the materials provided by LSV), the qualifications of LSV’s portfolio managers and investment management personnel with regard to implementing the investment mandate relating to the allocated portion of the Fund’s investment portfolio that LSV would be managing, and the performance record of LSV as compared to a relevant benchmark. The Trustees considered LSV’s infrastructure and resources, and whether LSV’s organization appeared to support LSV’s strategy adequately. The Trustees also discussed the Advisor’s review, selection, and due diligence process with respect to LSV, and the Advisor’s favorable assessment as to the nature, extent, and quality of the subadvisory services expected to be provided to the Fund by LSV. The Trustees determined that the Fund and its shareholders would benefit from the quality and experience of LSV’s portfolio managers and the qualifications of its investment professionals. Based on their consideration and review of the foregoing information, the Trustees concluded that the nature, extent and quality of the subadvisory services anticipated to be provided by LSV, as well as LSV’s ability to render such services based on LSV’s experience, operations and resources, were appropriate for the Fund, in light of the Fund’s investment objective, and the mandate relating to the allocated portion of the Fund’s investment portfolio that LSV would manage.

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(b)  Comparison of the services to be rendered and fees to be paid to LSV under other advisory and subadvisory contracts, such as those with other clients. The Trustees discussed the services that would be rendered by LSV and evaluated the compensation to be paid to LSV by the Advisor for those services. The Trustees noted that the services that LSV would furnish to the Fund appeared to be comparable to the services that LSV currently provides to its other advisory and subadvisory clients having similar investment strategies. The Trustees also considered comparisons of the fees that will be paid to LSV by the Advisor in light of the fees that are charged by LSV to its other advisory clients, as disclosed in LSV’s Form ADV, Part 2A (Firm Brochure) and in its 15(c) Questionnaire responses, including commingled and separate accounts. The Trustees also considered that the fees agreed to by LSV were the result of an arm’s-length bargain negotiated by unaffiliated parties. The Trustees also noted that, while LSV’s fee schedule did include breakpoints, the benefit of the breakpoints would go to the Advisor, and not to the Fund, and would be reflected in the Advisor’s profitability, which had been reviewed by the Independent Trustees.

The Trustees considered the review, selection, and due diligence process employed by the Advisor, in determining to recommend LSV to serve as a subadvisor to the Fund, and the Advisor’s reasons for concluding that the subadvisory fees to be paid by the Advisor to LSV for its services to the Fund were reasonable. The Trustees emphasized in their discussions that the subadvisory fees of LSV would be paid by the Advisor, and were not additional fees to be borne by the Fund or its shareholders. Based on their discussion, the Trustees concluded that, in light of the nature, extent, and quality of the services to be provided, the proposed level of fees to be paid to LSV with respect to the assets of the Fund to be allocated to LSV was supported by the services that were expected to be provided by LSV to the Fund. The Trustees also considered the potential “fallout” or ancillary benefits that may accrue to LSV from its relationship with the Fund and concluded that they were reasonable.

Since the fees to be paid to LSV were the result of arm’s-length bargaining between unaffiliated parties, and given the Advisor’s economic incentive to negotiate a reasonable fee, the potential profitability of LSV was not considered relevant to the Trustees’ deliberations. The Trustees took note of the Advisor’s explanation that the recommended appointment of LSV was not affected by the impact that the appointment would have on the Advisor’s revenues and profitability, and recalled that the Advisor had demonstrated that the appointment of LSV may result in a benefit to the Advisor as a result of the potential for increased profitability for the Advisor, which had been reported to and reviewed by the Independent Trustees. On the basis of these considerations, the Board concluded that, in light of the nature, extent and quality of the services expected to be provided by LSV and the proposed fees to be paid to LSV by the Advisor for managing its allocated portion of the Fund, the potential benefits accruing to LSV as a result of serving as a subadvisor to the Fund were reasonable in relation to the services that were expected to be provided by LSV to the Fund.

(c)  Investment performance of the Fund and LSV. Because LSV was a newly proposed subadvisor to the Fund, the Trustees could not consider LSV’s investment performance in managing the Fund as a factor in evaluating the Proposed LSV Subadvisory Agreement. However, the Trustees reviewed LSV’s historical investment performance record in subadvising other investment companies and accounts that were comparable to the Fund. The Trustees also compared the historical investment performance of LSV to a relevant benchmark and concluded that LSV’s historical performance record, viewed together with the other factors considered by the Trustees, supported a decision to approve the Proposed LSV Subadvisory Agreement.

Conclusion.  Following consideration of the foregoing factors, it was reported that no single factor was determinative to the Trustees’ decisions. Based on these factors, along with the determination of the Advisor at the conclusion of its review, selection, and due diligence process to recommend LSV to serve as a new subadvisor to the Fund, and such other matters as were deemed relevant, the Trustees concluded that the proposed fee rate for LSV was supported by the services that were expected to be provided to the Fund. As a result, the Trustees, including a majority of the Independent Trustees, concluded that the approval of the Proposed LSV Subadvisory Agreement was in the best interests of the Fund and its shareholders and approved the Proposed LSV Subadvisory Agreement.

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Approval of a New Subadvisory Agreement for the Fund with NWQ Investment Management Company, LLC

At the December Meeting, the Trustees, including the Independent Trustees, considered and approved a proposed new subadvisory agreement between the Advisor and NWQ Investment Management Company, LLC (“NWQ”) on behalf of the Small/Mid Cap Growth Fund (the “Proposed NWQ Subadvisory Agreement”). The Board was informed by the Advisor that NWQ was being recommended to become a new subadvisor to the Fund in connection with the Large Cap Fund Reorganization and the implementation of the new principal investment strategy for the Fund and that NWQ would commence managing assets for the Fund upon the closing of the Large Cap Fund Reorganization. In connection with its review process, the Board took into consideration the fact that NWQ was presently serving as a subadvisor to the Small/Mid Cap Value Fund and that the Advisor had recommended that NWQ be retained to serve as a subadvisor to the Small/Mid Cap Growth Fund following the Small/Mid Cap Fund Reorganization.

In considering the approval of the Proposed NWQ Subadvisory Agreement, the Trustees considered the information and materials from the Advisor and NWQ that included, as to NWQ and the Fund: (i) a copy of the form of the Proposed NWQ Subadvisory Agreement; (ii) information regarding the process by which the Advisor had initially reviewed, selected, and recommended NWQ for the Board’s approval as a subadvisor to the Small/Mid Cap Value Fund, and the Advisor’s rationale for recommending that NWQ be appointed as a subadvisor to the Fund, and how NWQ would supplement the Fund’s other subadvisors; (iii) the nature, extent, and quality of the services that NWQ proposed to provide to the Fund; (iv) the investment management business, portfolio management personnel, operations, prior investment experience, and reputation of NWQ; (v) NWQ’s brokerage and trading policies and practices; (vi) the level of subadvisory fees to be charged by NWQ for its services to the Fund, and a comparison of those fees to other accounts that NWQ manages; (vii) a summary of NWQ’s compliance program; (viii) information regarding NWQ’s historical performance returns managing an investment mandate similar to the Fund’s investment mandate, and a comparison of such performance to a relevant index; and (ix) the financial condition of NWQ. In addition, the Trustees considered presentations made by, and discussions held with, representatives of the Advisor during the Meeting.

The Trustees also considered and analyzed factors that they deemed relevant with respect to NWQ, including: the nature, extent, and quality of the services to be provided to the Fund by NWQ; NWQ’s management style and investment decision-making process; NWQ’s historical performance record managing investment products similar to the Fund; the qualifications and experience of the members of NWQ’s portfolio management team; and NWQ’s staffing levels and overall resources. The Trustees also took into consideration the nature and extent of the oversight duties performed by the Advisor in connection with each of the subadvisors, which includes extensive management and compliance due diligence with respect to the management and operations of each of the subadvisors. Additionally, the Independent Trustees received assistance and advice regarding legal and industry standards supplied by their independent legal counsel, which were intended to assist the Independent Trustees in fulfilling their duties under the 1940 Act.

In particular, and as to NWQ, the Board, including the Independent Trustees, considered the following factors:

(a)  The nature, extent, and quality of the services to be provided by NWQ. The Trustees reviewed the nature, extent, and quality of the services to be provided by NWQ to the Fund. The Trustees discussed the specific investment management process that NWQ indicated that it will employ to manage its allocated portion of the Fund’s investment portfolio (which was described in detail in the materials provided by NWQ), the qualifications of NWQ’s portfolio managers and investment management personnel with regard to implementing the investment mandate relating to the allocated portion of the Fund’s investment portfolio that NWQ would be managing, and the performance record of NWQ as compared to a relevant benchmark. The Trustees considered NWQ’s infrastructure and resources, and whether NWQ’s organization appeared to support NWQ’s strategy adequately. The Trustees also discussed the Advisor’s initial review, selection, and due diligence process with respect to the initial hiring of NWQ as a subadvisor to the Small/Mid Cap Value Fund, and the Advisor’s favorable assessment as to the nature, extent, and quality of the subadvisory services expected to be provided to the Fund by NWQ. The Trustees determined that the Fund and its shareholders would benefit from the quality and experience of NWQ’s portfolio managers and the qualifications of its investment professionals. Based on their consideration and review of the foregoing information,

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the Trustees concluded that the nature, extent and quality of the subadvisory services anticipated to be provided by NWQ, as well as NWQ’s ability to render such services based on NWQ’s experience, operations and resources, were appropriate for the Fund, in light of the Fund’s investment objective, and the mandate relating to the allocated portion of the Fund’s investment portfolio that NWQ would manage.

(b)  Comparison of the services to be rendered and fees to be paid to NWQ under other advisory and subadvisory contracts, such as those with other clients. The Trustees discussed the services that would be rendered by NWQ and evaluated the compensation to be paid to NWQ by the Advisor for those services. The Trustees noted that the services that NWQ would furnish to the Fund appeared to be comparable to the services that NWQ currently provides to its other advisory and subadvisory clients having similar investment strategies, including the Small/Mid Cap Value Fund. The Trustees also considered comparisons of the fees that will be paid to NWQ by the Advisor in light of the fees that are charged by NWQ to its other advisory clients, including the Small/Mid Cap Value Fund, as disclosed in NWQ’s Form ADV, Part 2A (Firm Brochure) and in its 15(c) Questionnaire responses, including commingled and separate accounts. The Trustees also considered that the fees agreed to by NWQ were the result of an arm’s-length bargain negotiated by unaffiliated parties. The Trustees also noted that, while NWQ’s fee schedule did include breakpoints, the benefit of the breakpoints would go to the Advisor, and not to the Fund, and would be reflected in the Advisor’s profitability, which had been reviewed by the Independent Trustees.

The Trustees considered the initial review, selection, and due diligence process employed by the Advisor when it initially retained NWQ as a subadvisor to the Small/Mid Cap Value Fund, as was discussed during the Meeting, in determining to recommend NWQ to serve as a subadvisor to the Fund, and the Advisor’s reasons for concluding that the subadvisory fees to be paid by the Advisor to NWQ for its services to the Fund were reasonable. The Trustees emphasized in their discussions that the subadvisory fees of NWQ would be paid by the Advisor, and were not additional fees to be borne by the Fund or its shareholders. Based on their discussion, the Trustees concluded that, in light of the nature, extent, and quality of the services to be provided, the proposed level of fees to be paid to NWQ with respect to the assets of the Fund to be allocated to NWQ was supported by the services that were expected to be provided by NWQ to the Fund. The Trustees also considered the potential “fallout” or ancillary benefits that may accrue to NWQ from its relationship with the Fund and concluded that they were reasonable.

Since the fees to be paid to NWQ were the result of arm’s-length bargaining between unaffiliated parties, and given the Advisor’s economic incentive to negotiate a reasonable fee, the potential profitability of NWQ was not considered relevant to the Trustees’ deliberations. The Trustees took note of the Advisor’s explanation that the recommended appointment of NWQ was not affected by the impact that the appointment would have on the Advisor’s revenues and profitability, and recalled that the Advisor had demonstrated that the appointment of NWQ may result in a benefit to the Advisor as a result of the potential for increased profitability for the Advisor, which had been reported to and reviewed by the Independent Trustees. On the basis of these considerations, the Board concluded that, in light of the nature, extent and quality of the services expected to be provided by NWQ and the proposed fees to be paid to NWQ by the Advisor for managing its allocated portion of the Fund, the potential benefits accruing to NWQ as a result of serving as a subadvisor to the Fund were reasonable in relation to the services that were expected to be provided by NWQ to the Fund.

(c)  Investment performance of the Fund and NWQ. Because NWQ was a newly proposed subadvisor to the Fund, the Trustees could not consider NWQ’s investment performance in managing the Fund as a factor in evaluating the Proposed NWQ Subadvisory Agreement. However, the Trustees reviewed NWQ’s historical investment performance record in subadvising other investment companies and accounts that were comparable to the Fund, including its performance with respect to its allocated portion of the Small/Mid Cap Value Fund. The Trustees also compared the historical investment performance of NWQ to a relevant benchmark and concluded that NWQ’s historical performance record, viewed together with the other factors considered by the Trustees, supported a decision to approve the Proposed NWQ Subadvisory Agreement.

Conclusion.  Following consideration of the foregoing factors, it was reported that no single factor was determinative to the Trustees’ decisions. Based on these factors, along with the determination of the Advisor at the conclusion of its review, selection, and due diligence process to recommend NWQ to serve as a new subadvisor to the Fund, and such other matters as were deemed relevant, the Trustees concluded that the proposed fee rate for NWQ was supported by the services that were expected to be provided to the Fund. As a result, the Trustees,

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including a majority of the Independent Trustees, concluded that the approval of the Proposed NWQ Subadvisory Agreement was in the best interests of the Fund and its shareholders and approved the Proposed NWQ Subadvisory Agreement.

March 17-18, 2016 Board Meeting

Mercer US Small/Mid Cap Growth Equity Fund

Mercer Emerging Markets Equity Fund

At a meeting of the Board of Trustees held on March 17-18, 2016 (the “March Meeting”), the Trustees, including the Independent Trustees, considered and approved: (i) a proposed new subadvisory agreement between the Advisor and a new subadvisor to the Mercer US Small/Mid Cap Growth Equity Fund, and (ii) a proposed new subadvisory agreement between the Advisor and one of the subadvisors to the Mercer Emerging Markets Equity Fund.

Mercer US Small/Mid Cap Growth Equity Fund

Approval of a New Subadvisory Agreement for the Fund with Loomis Sayles & Company, L.P.

At the March Meeting, the Trustees, including the Independent Trustees, considered and approved a proposed new subadvisory agreement between the Advisor and Loomis Sayles & Company, L.P. (“Loomis Sayles”) on behalf of the Small/Mid Cap Growth Fund (the “Proposed Loomis Sayles Subadvisory Agreement”). The Board was informed by the Advisor that Loomis Sayles was being recommended to replace a subadvisor to the Fund that the Advisor intended to terminate as a subadvisor, and the Advisor had presented the Board with a recommendation to retain Loomis Sayles based upon the Advisor’s determination that Loomis Sayles was qualified to serve as a new subadvisor to the Fund, based upon the Advisor’s analysis of Loomis Sayles.

In considering the approval of the Proposed Loomis Sayles Subadvisory Agreement, the Trustees considered the information and materials from the Advisor and Loomis Sayles that included, as to Loomis Sayles and the Fund: (i) a copy of the form of the Proposed Loomis Sayles Subadvisory Agreement; (ii) information regarding the process by which the Advisor had reviewed, selected, and recommended Loomis Sayles for the Board’s approval, and the Advisor’s rationale for recommending that Loomis Sayles be appointed as a subadvisor to the Fund, and how Loomis Sayles would supplement the Fund’s other subadvisors; (iii) the nature, extent, and quality of the services that Loomis Sayles proposed to provide to the Fund; (iv) the investment management business, portfolio management personnel, operations, prior investment experience, and reputation of Loomis Sayles; (v) Loomis Sayles’ brokerage and trading policies and practices; (vi) the level of subadvisory fees to be charged by Loomis Sayles for its services to the Fund, and a comparison of those fees to other accounts that Loomis Sayles manages; (vii) a summary of Loomis Sayles’ compliance program; (viii) information regarding Loomis Sayles’ historical performance returns managing an investment mandate similar to the Fund’s investment mandate, and a comparison of such performance to a relevant index; and (ix) the financial condition of Loomis Sayles. In addition, the Trustees considered presentations made by, and discussions held with, representatives of the Advisor during the Meeting.

The Trustees also considered and analyzed factors that they deemed relevant with respect to Loomis Sayles, including: the nature, extent, and quality of the services to be provided to the Fund by Loomis Sayles; Loomis Sayles’ management style and investment decision-making process; Loomis Sayles’ historical performance record managing investment products similar to the Fund; the qualifications and experience of the members of Loomis Sayles’ portfolio management team; and Loomis Sayles’ staffing levels and overall resources. The Trustees also took into consideration the nature and extent of the oversight duties performed by the Advisor in connection with each of the subadvisors, which includes extensive management and compliance due diligence with respect to the management and operations of each of the subadvisors. Additionally, the Independent Trustees received assistance and advice regarding legal and industry standards supplied by their independent legal counsel, which were intended to assist the Independent Trustees in fulfilling their duties under the 1940 Act.

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In particular, and as to Loomis Sayles, the Board, including all of the Independent Trustees, considered the following factors:

(a)  The nature, extent, and quality of the services to be provided by Loomis Sayles. The Trustees reviewed the nature, extent, and quality of the services to be provided by Loomis Sayles to the Fund. The Trustees discussed the specific investment management process that Loomis Sayles indicated that it will employ to manage its allocated portion of the Fund’s investment portfolio (which was described in detail in the materials provided by Loomis Sayles), the qualifications of Loomis Sayles’ portfolio managers and investment management personnel with regard to implementing the investment mandate relating to the allocated portion of the Fund’s investment portfolio that Loomis Sayles would be managing, and the performance record of Loomis Sayles as compared to a relevant benchmark. The Trustees considered Loomis Sayles’ infrastructure and resources, and whether Loomis Sayles’ organization appeared to support Loomis Sayles’ strategy adequately. The Trustees also discussed the Advisor’s review, selection, and due diligence process with respect to Loomis Sayles, and the Advisor’s favorable assessment as to the nature, extent, and quality of the subadvisory services expected to be provided to the Fund by Loomis Sayles. The Trustees determined that the Fund and its shareholders would benefit from the quality and experience of Loomis Sayles’ portfolio managers and the qualifications of its investment professionals. Based on their consideration and review of the foregoing information, the Trustees concluded that the nature, extent and quality of the subadvisory services anticipated to be provided by Loomis Sayles, as well as Loomis Sayles’ ability to render such services based on Loomis Sayles’ experience, operations and resources, were appropriate for the Fund, in light of the Fund’s investment objective, and the mandate relating to the allocated portion of the Fund’s investment portfolio that Loomis Sayles would manage.

(b)  Comparison of the services to be rendered and fees to be paid to Loomis Sayles under other advisory and subadvisory contracts, such as those with other clients. The Trustees discussed the services that would be rendered by Loomis Sayles and evaluated the compensation to be paid to Loomis Sayles by the Advisor for those services. The Trustees noted that the services that Loomis Sayles would furnish to the Fund appeared to be comparable to the services that Loomis Sayles currently provides to its other advisory and subadvisory clients having similar investment strategies. The Trustees also considered comparisons of the fees that will be paid to Loomis Sayles by the Advisor in light of the fees that are charged by Loomis Sayles to its other advisory clients, as disclosed in Loomis Sayles’ Form ADV, Part 2A (Firm Brochure) and in its 15(c) Questionnaire responses, including commingled and separate accounts. The Trustees also considered that the fees agreed to by Loomis Sayles were the result of an arm’s-length bargain negotiated by unaffiliated parties.

The Trustees considered the review, selection, and due diligence process employed by the Advisor, in determining to recommend Loomis Sayles to serve as a subadvisor to the Fund, and the Advisor’s reasons for concluding that the subadvisory fees to be paid by the Advisor to Loomis Sayles for its services to the Fund were reasonable. The Trustees emphasized in their discussions that the subadvisory fees of Loomis Sayles would be paid by the Advisor, and were not additional fees to be borne by the Fund or its shareholders. Based on their discussion, the Trustees concluded that, in light of the nature, extent, and quality of the services to be provided, the proposed level of fees to be paid to Loomis Sayles with respect to the assets of the Fund to be allocated to Loomis Sayles was supported by the services that were expected to be provided by Loomis Sayles to the Fund. The Trustees also considered the potential “fallout” or ancillary benefits that may accrue to Loomis Sayles from its relationship with the Fund and concluded that they were reasonable.

Since the fees to be paid to Loomis Sayles were the result of arm’s-length bargaining between unaffiliated parties, and given the Advisor’s economic incentive to negotiate a reasonable fee, the potential profitability of Loomis Sayles was not considered relevant to the Trustees’ deliberations. The Trustees took note of the Advisor’s explanation that the recommended appointment of Loomis Sayles was not affected by the impact that the appointment would have on the Advisor’s revenues and profitability, and recalled that the Advisor had demonstrated that the appointment of Loomis Sayles can be expected to result in an increase in the profitability to the Advisor as a result of decreased subadvisory fees that will be paid out of the Advisor’s resources, which had been reported to and reviewed by the Independent Trustees. On the basis of these considerations, the Board concluded that, in light of the nature, extent and quality of the services expected to be provided by Loomis Sayles and the proposed fees to be paid to Loomis Sayles by the Advisor for managing its allocated portion of the Fund, the

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potential benefits accruing to Loomis Sayles as a result of serving as a subadvisor to the Fund were reasonable in relation to the services that were expected to be provided by Loomis Sayles to the Fund.

(c)  Investment performance of the Fund and Loomis Sayles. Because Loomis Sayles was a newly proposed subadvisor to the Fund, the Trustees could not consider Loomis Sayles’ investment performance in managing the Fund as a factor in evaluating the Proposed Loomis Sayles Subadvisory Agreement. However, the Trustees reviewed Loomis Sayles’ historical investment performance record in subadvising other investment companies and accounts that were comparable to the Fund. The Trustees also compared the historical investment performance of Loomis Sayles to a relevant benchmark and concluded that Loomis Sayles’s historical performance record, viewed together with the other factors considered by the Trustees, supported a decision to approve the Proposed Loomis Sayles Subadvisory Agreement.

Conclusion.  Following consideration of the foregoing factors, it was reported that no single factor was determinative to the Trustees’ decisions. Based on these factors, along with the determination of the Advisor at the conclusion of its review, selection, and due diligence process to recommend Loomis Sayles to serve as a new subadvisor to the Fund, and such other matters as were deemed relevant, the Trustees concluded that the proposed fee rate for Loomis Sayles was supported by the services that were expected to be provided to the Fund. As a result, the Trustees, including a majority of the Independent Trustees, concluded that the approval of the Proposed Loomis Sayles Subadvisory Agreement was in the best interests of the Fund and its shareholders and approved the Proposed Loomis Sayles Subadvisory Agreement.

Mercer Emerging Markets Equity Fund

Approval of a New Subadvisory Agreement for the Fund with Kleinwort Benson Investors International Ltd.

At the March Meeting, the Trustees, including the Independent Trustees, also considered and approved a proposed new subadvisory agreement between the Advisor and Klieinwort Benson Investors International Ltd. (“KBI”), a subadvisor to the Emerging Markets Equity Fund (the “New KBI Subadvisory Agreement”). Due to a change in the ownership structure of KBI’s corporate parent, BHF Kleinwort Benson Group SA (the “KBI Transaction”), effective January 13, 2016, the prior subadvisory agreement between KBI and the Advisor, on behalf of the Fund (the “Prior KBI Subadvisory Agreement”) had been deemed terminated in accordance with the terms of the Prior KBI Subadvisory Agreement and applicable provisions of the Investment Company Act of 1940, as amended (the “1940 Act”) relating to changes in ownership and control of investment advisors and subadvisors to mutual funds. As a result of the event involving the change in control of KBI’s corporate parent, the Board, during a special meeting that was held on January 28, 2016, had approved an interim subadvisory agreement with KBI (the “Interim KBI Subadvisory Agreement”) in accordance with relevant provisions of the 1940 Act that permit the adoption of an interim investment advisory agreement in connection with a change in control event, provided that certain conditions are met, and those conditions were met in this case. The Interim Subadvisory Agreement, which had a term of 150 days, was replaced upon the Board’s approval of the New KBI Subadvisory Agreement at the March Meeting. The New KBI Subadvisory Agreement, which became effective as of March 18, 2016, is essentially identical to the Prior KBI Subadvisory Agreement in all material respects. The Advisor had informed the Board that they were of the view that the KBI Transaction was not expected to cause any change in the level or quality of services provided to the Fund by KBI.

In considering the approval of the New KBI Subadvisory Agreement, the Trustees considered the information and materials from the Advisor and KBI that included, as to KBI and the Fund: (i) the New KBI Subadvisory Agreement; (ii) information regarding the process by which the Advisor had initially reviewed, selected, and recommended KBI for the Board’s approval, and the Advisor’s rationale for continuing to retain KBI as a Subadvisor following the consumation of the KBI Transaction; (iii) the nature, extent, and quality of the services that KBI had previously provided to the Fund; (iv) the investment management business, portfolio management personnel, operations, prior investment experience, and reputation of KBI and the effect that the KBI Transaction may have on KBI’s business and operations; (v) KBI’s brokerage and trading policies and practices; (vi) the level of subadvisory fees to be charged by KBI for its services to the Fund, and a comparison of those fees to other accounts that KBI manages; (vii) a summary of KBI’s compliance program; (viii) information regarding KBI’s historical performance returns managing its allocated portion of the Fund’s portfolio and investment mandates similar to the

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Fund’s investment mandate, and a comparison of such performance to a relevant index; and (ix) the financial condition of KBI before and after the KBI Transaction. In addition, the Trustees considered presentations made by, and discussions held with representatives of the Advisor during the Meeting.

The Trustees considered and analyzed factors that the Trustees deemed relevant with respect to KBI, including: the nature, extent, and quality of the services to be provided to the Fund by KBI following the consummation of the KBI Transaction; KBI’s management style and investment decision-making process; KBI’s historical performance record managing investment products similar to the Fund; the qualifications and experience of the members of KBI’s portfolio management team; and KBI’s staffing levels and overall resources. The Trustees also took into consideration the nature and extent of the oversight duties performed by the Advisor in connection with each of the subadvisors, which includes extensive management and compliance due diligence with respect to the management and operations of each of the subadvisors. Additionally, the Independent Trustees received assistance and advice regarding legal and industry standards, and reviewed materials supplied by their independent legal counsel, which were intended to assist the Independent Trustees in fulfilling their duties under the 1940 Act.

In particular, and as to KBI, the Trustees, including all of the Independent Trustees, considered the following factors:

(a)  The nature, extent, and quality of the services to be provided by KBI. The Trustees reviewed the nature, extent, and quality of the services that have been previously provided by KBI to the Fund under the Prior KBI Subadvisory Agreement and that are proposed to be provided by KBI to the Fund under the New KBI Subadvisory Agreement. The Trustees considered: (i) KBI’s organization, history, reputation, qualification and background, as well as the qualifications of its personnel; (ii) its expertise in providing portfolio management services to the Fund and other similar investment portfolios and the performance history of the Fund and those other portfolios; (iii) its investment strategy for the Fund; (iv) its performance relative to comparable mutual funds and unmanaged indices; and (v) its compliance program. The Trustees also considered the review process undertaken by the Advisor and the Advisor’s favorable assessment of the nature and quality of the subadvisory services provided and expected to be provided to the Fund by KBI after consummation of the KBI Transaction. The Trustees also noted that the executive and portfolio management teams of KBI were expected to stay in place after consummation of the KBI Transaction. The Trustees concluded that the Fund and its shareholders would continue to benefit from the quality and experience of KBI’s investment professionals. Based on their consideration and review of the foregoing information, the Trustees concluded that the nature, extent and quality of the subadvisory services provided by KBI under the Prior KBI Subadvisory Agreement, as well as KBI’s ability to render such services based on its experience, operations and resources, were adequate and appropriate for the Fund in light of the Fund’s investment objective, and supported a decision to approve the New KBI Subadvisory Agreement.

Based on their consideration and review of the foregoing information, the Trustees concluded that the nature, extent, and quality of the subadvisory services anticipated to be provided by KBI following the consummation of the KBI Transaction, as well as KBI’s ability to render such services based on KBI’s experience, operations, and resources, were appropriate for the Fund, in light of the Fund’s investment objective, and the mandate relating to the allocated portion of the Fund’s investment portfolio that KBI would continue to manage.

(b)  Comparison of the services to be rendered and fees to be paid to KBI under other advisory and subadvisory contracts, such as those with other clients. The Trustees discussed the services that would be rendered by KBI and evaluated the compensation to be paid to KBI by the Advisor for those services. The Trustees considered the fees payable under the New KBI Subadvisory Agreement, noting that the proposed fee would be paid by the Advisor, and not the Fund, and, thus, would not impact the fees paid by the Fund. The Trustees concluded that the proposed level of fees to be paid to KBI by the Advisor with respect to the assets allocated to KBI in its capacity as subadvisor was supported by the services that were expected to be provided by KBI. The Trustees noted that the services that KBI would furnish to the Fund appeared to be comparable to the services that KBI currently provides to its other advisory and subadvisory clients having similar investment strategies. The Trustees also considered that the fees agreed to by KBI were the result of an arm’s-length bargain negotiated by unaffiliated parties. The Trustees also noted that, while KBI’s fee schedule did include breakpoints, the benefit of breakpoints would go to the Advisor, and not to the Fund, and would be reflected in the Advisor’s profitability, which had been reviewed by the Independent Trustees.

233

Mercer Funds

Additional Information (Unaudited) (Continued)

The Trustees considered the review, selection, and due diligence process employed by the Advisor in determining to recommend that KBI continue to serve as a subadvisor to the Fund, and the Advisor’s reasons for concluding that the subadvisory fees to be paid by the Advisor to KBI for its services to the Fund were reasonable. The Trustees emphasized in their discussions that the subadvisory fees of KBI would be paid by the Advisor, and were not additional fees to be borne by the Fund or its shareholders. Based on their discussion, the Trustees concluded that, in light of the nature, quality, and extent of the services to be provided, the proposed level of fees to be paid to KBI with respect to the assets of the Fund allocated to KBI was supported by the services that were expected to be provided by KBI. The Trustees also considered the potential “fallout” or ancillary benefits that may accrue to KBI from its relationship with the Fund and concluded that they were reasonable.

Since the fees to be paid to KBI were the result of arm’s-length bargaining between unaffiliated parties, and given the Advisor’s economic incentive to negotiate a reasonable fee, the potential profitability of KBI was not considered relevant to the Trustees’ deliberations. The Trustees took note of the Advisor’s explanation that the recommended appointment of KBI was not affected by the impact that the appointment would have on the Advisor’s revenues and profitability. On the basis of these considerations, the Trustees concluded that, in light of the nature, extent, and quality of the services expected to be provided by KBI and the proposed fees to be paid to KBI by the Advisor for managing its allocated portion of the Fund, the potential benefits accruing to KBI as a result of serving as a subadvisor to the Fund were reasonable in relation to the services that were expected to be provided by KBI to the Fund.

(c)  Investment performance of the Fund and KBI. The Trustees considered KBI’s prior investment performance in managing its allocated portion of the Fund’s portfolio as a factor in evaluating the New KBI Subadvisory Agreement. The Trustees also considered the Advisor’s conclusions, and the reasons supporting the Advisor’s conclusions, that the performance record of KBI supported the approval of the New KBI Subadvisory Agreement.

Conclusion.  Following consideration of the foregoing factors, it was reported that no single factor was determinative to the Trustees’ decisions. Based on these factors, along with the determination of the Advisor at the conclusion of its review, selection, and due diligence process to recommend that KBI continue to serve as a subadvisor to the Fund, and such other matters as were deemed relevant, the Trustees concluded that the proposed fee rate for KBI was supported by the services that were expected to be provided to the Fund. As a result, the Trustees, including all of the Independent Trustees, concluded that the approval of the New KBI Subadvisory Agreement was in the best interests of the Fund and its shareholders and approved the New KBI Subadvisory Agreement.

234

Mercer Funds

Understanding Your Fund’s Expenses (Unaudited)

As a mutual fund shareholder, you incur different costs: transaction costs, including sales charges (loads) on purchases, redemption fees and certain exchange fees and ongoing costs, including management fees, distribution fees (12b-1 fees), and other fund expenses. These costs are described in more detail in the Funds’ prospectus. The examples below are intended to help you understand the ongoing costs of investing in the Funds and help you compare these with the ongoing costs of investing in other mutual funds. The first line in the table for each Fund shows the actual account values and actual fund expenses you would have paid on a $1,000 investment in the Fund from October 1, 2015 through March 31, 2016. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual fund returns and expenses. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = $8.60) and multiply the result by the number in the Operating Expenses Incurred column as shown below for your Class. The second line in the table for each Fund provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs, such as sales charges, redemption fees or exchange fees. Therefore, the second line in the table of each fund is useful in comparing ongoing costs only, and will not help you determine the relative costs of owning different funds. If transaction costs were included, total costs would be higher.

Large Cap Growth — Class Y-3

Hypothetical Return on $1,000

	Expense Ratio		Beginning Amount		Ending Value		Avg Value		Operating Expense Incurred*
Actual		0.63%**		1,000.00		1,012.90		1,006.45		3.17
Hypothetical		0.63%**		1,000.00		1,021.85		1,010.93		3.18

* Actual expenses are equal to the Class’ annualized expense ratio of 0.63%, multiplied by the average account value over the period, multiplied by 183/366

** Includes interest expense that amounts to less than 0.01%.

Large Cap Value — Class Y-3

Hypothetical Return on $1,000

	Expense Ratio		Beginning Amount		Ending Value		Avg Value		Operating Expense Incurred*
Actual		0.62%**		1,000.00		1,039.20		1,019.60		3.16
Hypothetical		0.62%**		1,000.00		1,021.90		1,010.95		3.13

* Actual expenses are equal to the Class’ annualized expense ratio of 0.62%, multiplied by the average account value over the period, multiplied by 183/366

** Includes interest expense that amounts to less than 0.01%.

235

Mercer Funds

Understanding Your Fund’s Expenses (Unaudited) (Continued)

Small/Mid Cap Growth — Class Y-3    

Hypothetical Return on $1,000    

	Expense Ratio		Beginning Amount		Ending Value		Avg Value		Operating Expense Incurred*
Actual		0.99%**		1,000.00		1,000.10		1,000.05		4.95
Hypothetical		0.99%**		1,000.00		1,020.05		1,010.03		5.00

* Actual expenses are equal to the Class’ annualized expense ratio of 0.99%, multiplied by the average account value over the period, multiplied by 183/366    

** Includes interest expense that amounts to less than 0.01%.    

Small/Mid Cap Value — Class Y-3    

Hypothetical Return on $1,000    

	Expense Ratio		Beginning Amount		Ending Value		Avg Value		Operating Expense Incurred*
Actual		0.97%**		1,000.00		1,083.80		1,041.90		5.05
Hypothetical		0.97%**		1,000.00		1,020.15		1,010.08		4.90

* Actual expenses are equal to the Class’ annualized expense ratio of 0.97%, multiplied by the average account value over the period, multiplied by 183/366    

** Includes interest expense that amounts to less than 0.01%.    

Non-US Core Equity — Class Y-3    

Hypothetical Return on $1,000    

	Expense Ratio		Beginning Amount		Ending Value		Avg Value		Operating Expense Incurred*
Actual		0.84%**		1,000.00		1,030.80		1,015.40		4.26
Hypothetical		0.84%**		1,000.00		1,020.80		1,010.40		4.24

* Actual expenses are equal to the Class’ annualized expense ratio of 0.84%, multiplied by the average account value over the period, multiplied by 183/366    

** Includes interest expense that amounts to less than 0.01%.    

Core Fixed — Class Y-3    

Hypothetical Return on $1,000    

	Expense Ratio		Beginning Amount		Ending Value		Avg Value		Operating Expense Incurred*
Actual		0.42%		1,000.00		1,025.40		1,012.70		2.13
Hypothetical		0.42%		1,000.00		1,022.90		1,011.45		2.12

* Actual expenses are equal to the Class’ annualized expense ratio of 0.42%, multiplied by the average account value over the period, multiplied by 183/366    

236

Mercer Funds

Understanding Your Fund’s Expenses (Unaudited) (Continued)

Opportunistic Fixed — Class Y-3    

Hypothetical Return on $1,000    

	Expense Ratio		Beginning Amount		Ending Value		Avg Value		Operating Expense Incurred*
Actual		0.90%**		1,000.00		1,038.70		1,019.35		4.59
Hypothetical		0.90%**		1,000.00		1,020.50		1,010.25		4.55

* Actual expenses are equal to the Class’ annualized expense ratio of 0.90%, multiplied by the average account value over the period, multiplied by 183/366    

** Includes interest expense that amounts to less than 0.01%.    

Emerging Markets — Class Y3    

Hypothetical Return on $1,000    

	Expense Ratio		Beginning Amount		Ending Value		Avg Value		Operating Expense Incurred*
Actual		1.03%**		1,000.00		1,045.50		1,022.75		5.27
Hypothetical		1.03%**		1,000.00		1,019.85		1,009.93		5.20

* Actual expenses are equal to the Class’ annualized expense ratio of 1.03%, multiplied by the average account value over the period, multiplied by 183/366    

** Includes interest expense that amounts to less than 0.01%.    

Global Low Volatility — Class Y3    

Hypothetical Return on $1,000    

	Expense Ratio		Beginning Amount		Ending Value		Avg Value		Operating Expense Incurred*
Actual		0.82%**		1,000.00		1,078.70		1,039.35		4.26
Hypothetical		0.82%**		1,000.00		1,020.90		1,010.45		4.14

* Actual expenses are equal to the Class’ annualized expense ratio of 0.82%, multiplied by the average account value over the period, multiplied by 183/366    

** Includes interest expense that amounts to less than 0.01%.     

237

Mercer Funds

Trustees and Officers (Unaudited)

The following tables list the Trust’s Trustees and Officers as of the date of this report; their address and age; their position with the Trust; the length of time holding that position with the Trust; their principal occupation(s) during the past five years; the number of portfolios in the fund complex they oversee; and other directorships they hold in companies subject to registration or reporting requirements of the Securities Exchange Act of 1934 (generally called “public companies”) or in registered investment companies. The Trust’s Statement of Additional Information (“SAI”) includes additional information about the Trust’s trustees, including changes subsequent to the date of the report. The SAI is available, without charge, upon request, by calling 1-866-658-9896, or on the SEC website at www.sec.gov.

Independent Trustees

Name, Address and Age	Position(s) Held with Trust	Term of Office(1) and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex* Overseen by Trustee		Other Directorships Held by Trustee
Harrison M. Bains, Jr. 99 High Street Boston, MA 02110 (72)	Chairperson and Trustee	Chairperson since 2016; Trustee since 2005	Mr. Bains is retired.		9	Mr. Bains is a director of BG Medicine, Inc., and Cara Therapeutics, Inc. and a Trustee of BofA Fund Series Trust (11 portfolios).
Adela M. Cepeda A.C. Advisory, Inc. 150 North Wacker Drive, Suite 2160 Chicago, IL 60606 (57)	Trustee	Since 2005	Ms. Cepeda is Founder and President of A.C. Advisory, Inc. (a financial advisory firm) since 1995.		9	Ms. Cepeda is a director or trustee of: The UBS Funds (19 portfolios), UBS Relationship Funds (25 portfolios), Fort Dearborn Income Securities, Inc. (1 portfolio), SMA Relationship Trust (5 portfolios, Consulting Group Capital Markets Funds (11 portfolios), and the Amalgamated Bank of Chicago.
Gail A. Schneider 99 High Street Boston, MA 02110 (66)	Trustee	Trustee Since 2009	Ms. Schneider is a self-employed consultant since 2007.		9	None

238

Mercer Funds

Trustees and Officers (Unaudited) (Continued)

Interested Trustee:

Name, Address and Age	Position(s) Held with Trust	Term of Office(1) and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex* Overseen by Trustee		Other Directorships Held by Trustee
Richard Nuzum** (47)	Trustee, President, and Chief Executive Officer	Since 2010	Mr. Nuzum is North America’s Business Leader of Mercer’s Investment Management Business since 2011. Prior to 2011, he was Global Business Leader of Mercer’s Investment Management Business.		9	Mr. Nuzum is a Director of Mercer Trust Company and a director of Mercer Investment Management, Inc.

(1) Each Trustee holds office for an indefinite term.

* The “Fund Complex” consists of the Trust, which has nine portfolios effective March 31, 2016.

** Mr. Nuzum is considered to be an “interested person,” as defined in the 1940 Act, of the Trust due to his relationship with the Advisor.

239

Mercer Funds

Trustees and Officers (Unaudited) (Continued)

Officers:

The executive officers of the Trust not named above are:

Name and Age	Position(s) Held with the Trust	Term of Office† and Length of Time Served	Principal Occupation(s) During Past 5 Years
Richard S. Joseph (50)	Vice President	Since 2005	Mr. Joseph is Vice President and Head of the US Mercer Delegated Solutions of Mercer Investment Management, Inc. since December 2015, prior to December 2015 he was Chief Operating Officer of Mercer Investment Management, Inc. since 2005.
Janice Desmond (64)	Treasurer, and Chief Financial Officer	Since 2015	Ms. Desmond is a CPA in MA and has served as Head of Fund Administration for Mercer Investment Management, Inc. since 2010.
Jeremiah France (45)	Vice President, Assistant Treasurer	Since 2015 Since 2005	Mr. France is a partner and COO of North American Investments at Mercer Investment Management, Inc. since 2005.
Scott M. Zoltowski (46)	Vice President, Chief Legal Officer, and Secretary	Since 2008	Mr. Zoltowski is a partner of Mercer (US) Inc. and serves as Global Chief Counsel — Investment for Mercer Investment Management, Inc. and Mercer Investment Consulting LLC.
Stan Mavromates (54)	Vice President and Chief Investment Officer	Since 2012	Mr. Mavromates is Vice President and Chief Investment Officer of Mercer Investment Management, Inc. since 2012. Prior to 2012, he served as Chief Investment Officer of the Massachusetts Pension Reserves Investment Management Board (2005-2012).
Colin Dean (38)	Vice President and Assistant Secretary	Since 2010	Mr. Dean has served as Senior Legal Counsel — Investments for Mercer Investment Management, Inc. and Mercer Investment Consulting LLC since 2010.
Manny Weiss (66)	Vice President	Since 2010	Mr. Weiss is a Portfolio Manager and Principal of Mercer Investment Management, Inc. since 2009.
John Johnson (49)	Vice President	Since 2015	Mr. Johnson is a Portfolio Manager and Principal of Mercer Investment Management, Inc. since 2015. Prior to joining Mercer, he was a Fixed Income Portfolio Manager and Trader for Aberdeen Asset Management.
Larry Vasquez (48)	Vice President	Since 2012	Mr. Vasquez is a Vice President and Portfolio Manager of Mercer Investment Management, Inc. since 2012. Prior to joining Mercer, he was a Portfolio Manager at UBS Global Asset Management, Inc. from 2009 to 2012.
Maureen Kiefer-Goldenberg (47)	Vice President and Chief Compliance Officer	Since 2016	Ms. Kiefer-Goldenberg serves as Partner/North America Chief Compliance Officer at Mercer Investments. Ms. Kiefer-Goldenberg most recently served as Vice President and Chief Compliance Officer at Fund Evaluation Group, LLC (from 2011 to 2015) and previous to that, Compliance Officer at Touchstone Investments (from 2005 to 2011).

† Officers of the Trust are elected by the Trustees and serve at the pleasure of the Board.

240

Shares of Mercer Funds are distributed by MGI Funds Distributors, LLC.

Item 2. Code of Ethics.

As of the end of the period covered by this report, the Registrant has adopted a code of ethics that applies to its President, Chief Financial Officer and Chief Investment Officer. During the period covered by this report, there were no amendments to a provision of its code of ethics, nor were there any waivers, including implicit waivers granted from a provision of the code of ethics. A copy of the Registrant’s code of ethics is filed with the Form N-CSR under Item 12(a)(1).

Item 3. Audit Committee Financial Expert.

The Registrant’s Board of Trustees has determined that the Registrant has at least one audit committee financial expert serving on its audit committee. The audit committee financial expert serving on the Registrant’s audit committee is Harrison M. Bains, Jr., who is “independent” as defined in Item 3(a)(2) of this Form.

Item 4. Principal Accountant Fees and Services.

(a) Audit Fees – The aggregate fee billed for the fiscal year for professional services rendered by the principal accountant for the audit of the Registrant’s annual financial statements or services that are normally provided by the principal accountant in connection with statutory and regulatory filings or engagements was $416,777 and $400,008 for the fiscal years ended March 31, 2015 and March 31, 2016, respectively.

(b) Audit-Related Fees – There were no fees billed for the fiscal years ended March 31, 2015 and March 31, 2016 for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the Registrant’s financial statements and are not reported under (a) of this Item.

(c) Tax Fees – The aggregate fee billed in the last fiscal year for professional services rendered by the principal accountant for the review of the Registrant’s tax returns and excise tax calculations was $77,314 and $80,298 for the fiscal years ended March 31, 2015 and March 31, 2016, respectively. Fees in the amount of $59,332 and $18,458 were billed in the fiscal years ended March 31, 2015 and March 31, 2016, respectively for review of non-US capital gains and the preparation and filing of return of income for the Mercer Non-US Core Equity Fund and the Mercer Emerging Markets Equity Fund.

(d) All Other Fees – Fees in the amount of $7,820 and $117,747 were billed in the fiscal years ended March 31, 2015 and March 31, 2016, respectively for tax advisory services related to the reclamation of taxes paid by the Mercer Non-US Core Equity Fund in certain European Union countries.

(e) (1) The Registrant’s audit committee pre-approves all audit and non-audit services to be performed by the Registrant’s accountant before the accountant is engaged by the Registrant to perform such services.

(2) There were no services described in (b) through (d) above (including services required to be approved by the audit committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X) that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) None of the hours expended on the principal accountant’s engagement to audit the Registrant’s financial statements for the fiscal year ended March 31, 2016 were attributable to work performed by persons other than the principal accountant’s full-time, permanent employees.

(g) There were no aggregate fees billed for the fiscal year ended March 31, 2016 by the Registrant’s principal accountant for non-audit services rendered to the Registrant, its investment adviser and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Registrant.

(h) Not applicable.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Schedule of Investments.

The Registrant’s full schedules of investments are included as part of the report to shareholders filed under Item 1 of this Form.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which the shareholders may recommend nominees to the Registrant’s Board of Directors, where those changes were implemented after the Registrant last provided disclosure in response to the requirements of Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101), or this Item.

Item 11. Controls and Procedures.

(a) The Registrant’s Principal Executive Officer and Principal Financial Officer concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c))), are effective based on the evaluation of Registrant’s disclosure controls and procedures as of a date within 90 days prior to the filing date of this report.

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940 (17 CFR 270.30a-3(d))), that occurred during the Registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a)(1) Code of Ethics for the Registrant’s President, Chief Financial Officer and Chief Investment Officer (as referenced in Item 2 above), attached hereto as Exhibit (a)(1).

(a)(2) Certification of the Principal Executive Officer and Principal Financial Officer of the Registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is attached hereto as Exhibit 99CERT.

(a)(3) Not applicable.

(b) Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 as required by Rule 30a-2(b), under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)), Rule 15d-14(b) under the Securities Exchange Act of 1934 (17 CFR 240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) is attached hereto as Exhibit 99.906CERT.

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) Mercer Funds

By (Signature and Title)	By: /s/ Richard Nuzum
	Richard Nuzum President and Chief Executive Officer (Principal Executive Officer)

Date May 26, 2016

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 person on behalf of the Registrant and in the capacities and on the date indicated.

By (Signature and Title)	By: /s/ Richard Nuzum
	Richard Nuzum President and Chief Executive Officer (Principal Executive Officer)

Date May 26, 2016

By (Signature and Title)	By: /s/ Janice Desmond
	Janice Desmond Treasurer and Chief Financial Officer

Date May 26, 2016