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 (formerly known as Mercer Core Opportunistic 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, 2014 MERCER FUNDS TABLE OF CONTENTS Page Management’s Discussion of Fund Performance 1 Schedules of Investments 28 Statements of Assets and Liabilities 143 Statements of Operations 147 Statements of Changes in Net Assets 150 Financial Highlights 155 Notes to the Financial Statements 164 Report of Independent Registered Public Accounting Firm 204 Additional Information 205 Understanding Your Fund’s Expenses 220 Trustees and Officers 223 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, 2014, the Fund’s Y-3 share class performance was 23.99% compared to its benchmark return of 23.22%. 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, 2014, the Fund employed four sub-advisors, Atlanta Capital Management Company, LLC (Atlanta), Neuberger Berman Management LLC (Neuberger Berman), Sands Capital Management, LLC (Sands) and Winslow Capital Management, LLC (Winslow). Atlanta manages its allocated portion of the Fund using high quality securities as a key part of their selection criteria. The firm seeks companies that have a demonstrated history of consistent growth (typically greater than 8%) and earnings stability. Neuberger Berman uses a fundamental process to identify companies with accelerating earnings while seeking to avoid those companies with decelerating earnings. Sands manages a concentrated portfolio using a fundamental, bottom-up approach to identify leading companies in various industries. Winslow manages a portfolio of securities across a range of market capitalizations, earnings growth, market valuations and industry sectors. Market Commentary and Fund Performance For the Fund’s fiscal year, the market, as measured by the Russell 3000 Index, rose 22.61%, which exceeded expectations for the period, given the already strong four-year performance coming into the fiscal year. Overall, the fiscal year rewarded economically sensitive stocks, but began with more defensive sectors such as utilities, staples and telecommunications in favor. It wasn’t until the Federal Reserve (Fed) provided guidance in May 2013 on the winding down of asset purchases through its quantitative easing program that more cyclical (i.e., economically sensitive), or at least, non-defensive stocks returned to favor. Bond markets tended to react negatively to the Fed’s guidance leading to a sell off and likewise, bond proxies (i.e., high dividend yielding stocks) within equities also experienced a sharp decline. While economic growth was weak in the first half of 2013, it did nothing to deter the consensus view, as represented by a Bloomberg poll of economists, that predicted 2.5% growth in the second half of the year. Indeed, by the end of the calendar year, U.S. GDP growth was 2.6%. The markets rose largely on valuation expansion, evidence of an improved growth outlook. However, political and economic risks remain and the withdrawal of the Fed’s support is expected to increase the volatility of equity markets. Despite the risks, we expect stronger global growth for the next fiscal year driven by Europe and emerging markets, which will help the U.S. economy and we expect earnings growth to grow at a similar pace as the economy, which will support the current level of the markets. Among major U.S. equity indices, smaller cap and growth indices outperformed. The best performing index for the fiscal year among 62 U.S. indices was the Russell Microcap® Growth Index and the worst was the Russell Top 200® Value-Defensive™ Index. In addition, cyclical stocks, outperformed on the fiscal year and this is evident in sector performance as industrials, technology and consumer discretionary sectors outperformed. Within the Russell 1000® Growth Index, the best performing sectors for the fiscal year were health care, industrials, and consumer discretionary, posting gains of 31.1%, 27.6%, and 26.2% respectively. All ten sectors generated positive returns, with financials, utilities, staples and telecommunications lagging on the year, posting returns of 16.2%, 14.0%, 9.4%, and 4.9%, respectively. 1 Mercer US Large Cap Growth Equity Fund The Mercer U.S. Large Cap Growth Equity Fund outperformed the Russell 1000® Growth Index during this fiscal year. The Fund’s bias overall is pro-cyclical, although the Fund does employ more defensive type sub-advisors, and the prior fiscal year was a good market environment for the Fund. On a sector attribution basis, the primary driver of the Fund’s outperformance was stock selection in the technology and consumer discretionary sectors. An underweight position to the consumer staples sector was an additional positive contributor to returns. Notable positive contributors in the technology sector included the holdings Facebook and Google, which advanced 136% and 40%, respectively. An underweight to the holding IBM, a large holding in the Index, was also a source of value for the period. In the consumer discretionary sector, holdings priceline.com and Chipotle Mexican Grill were large positive contributors. Stock selection in the energy and health care sectors were areas of weakness. In the energy sector, Cameron and FMC Technologies were large negative contributors posting returns on the fiscal year of -5.3% and -3.9%, respectively. In the health care sector, the holdings Allergan and Biomarin hampered results. The Winslow portion of the Fund outperformed the Russell 1000® Growth Index for the fiscal year. Stock selection in the consumer discretionary sector and an underweight position in the consumer staples sector added value. In the consumer discretionary sector, holdings priceline.com, BestBuy and Wynn Resorts were notable positive contributors. Stock selection in the health care sector detracted from results. The Sands portion of the Fund outperformed the Index. The primary driver of outperformance was stock selection in the technology and consumer discretionary sectors. In the technology sector, holdings Facebook, Baidu and Splunk were significant positive contributors to excess return. In the consumer discretionary sector, priceline.com and Chipotle Mexican Grill helped results. In the energy sector, FMC Technologies and National Oilwell Varco hampered returns over the fiscal year. Atlanta Capital underperformed on the year, which was not an unexpected result for this more “core growth” oriented sub-advisor. The primary driver of underperformance was stock selection in the energy and industrials sectors. Good stock selection in the financials sector was able to partially offset some of the underperformance. Neuberger Berman underperformed the benchmark for the fiscal year. Overall, this more defensively positioned sub-advisor was in a poor market environment to outperform. Stock selection in the energy sector and an overweight position to the consumer staples sector were the primary drivers of underperformance for the period. Good stock selection in the technology and financials sectors helped results. Risk Considerations The Fund invests in growth stocks which may be particularly sensitive to market conditions. 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, 2014 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, 2014 $20,000 Average Annual Return $19,740 Mercer US Large ® Cap Growth Equity - Russell 1000 $18,576 $18,000 Class Y-3 Growth Index 1 Year 23.99% 23.22% 5 Years 20.81% 21.68% $16,000 Since Inception 7.44% 8.20% $14,000 $12,000 8/15/05 $10,000 $10,000 $8,000 $6,000 8/15/05 3/31/06 3/31/07 3/31/08 3/31/09 3/31/10 3/31/11 3/31/12 3/31/13 3/31/14 Mercer US Large Cap Growth Equity Russell 1000® Growth Index 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 August 15, 2005, which is the inception date of the Fund, through March 31, 2014. 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.