Mercer FundsTM Annual Report Mercer US Large Cap Equity Fund Mercer US Small/Mid Cap 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. Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ shareholder reports are no longer being sent by mail, unless you specifically request paper copies of the reports from a Fund or from your financial intermediary, such as a broker-dealer or bank if you hold your shares through such an institution. Instead, the reports are made available on a website, and you are notified by mail each time a report is posted and provided with a website link to access the report. If you already elected to receive shareholder reports electronically, you are not affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a Fund or your financial intermediary electronically by calling 1-888-887-0619 if you hold your shares directly with the Mercer Funds, or, if you hold your shares through a financial intermediary, by contacting your financial intermediary. You may elect to receive all future reports in paper copies free of charge. You can inform the Funds or your financial intermediary that you wish to continue receiving paper copies of your shareholder reports by calling 1-888-887-0619 if you hold your shares directly with the Mercer Funds, or, if you hold your shares through a financial intermediary, by contacting your financial intermediary. Your election to receive reports in paper copies apply to all Funds held with the Mercer Funds or through your financial intermediary, as applicable. March 31, 2021 MERCER FUNDS TABLE OF CONTENTS Page Management’s Discussion of Fund Performance 1 Schedules of Investments 27 Statements of Assets and Liabilities 190 Statements of Operations 194 Statements of Changes in Net Assets 196 Financial Highlights 200 Notes to the Financial Statements 207 Report of Independent Registered Public Accounting Firm 245 Additional Information 246 Understanding Your Fund’s Expenses 263 Trustees and Officers 266 Mercer US Large Cap 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® Index. Investment Strategy The Fund invests principally in equity securities (such as common stock) issued by large capitalization U.S. companies. The Fund employs a “core equity” investment strategy by investing in both growth and value oriented equity securities. The Fund may invest in derivative instruments to gain market exposure on cash balances or to reduce market exposure in anticipation of liquidity needs. Performance For the fiscal year ended March 31, 2021, the Fund’s Y-3 share class performance was 64.71% compared to its benchmark, the Russell 1000® Index, return of 60.59%. Performance for the Fund is reported net of fees and operating expenses while the benchmark returns do not include expenses of any kind as indexes are unmanaged. The Sub-Advisors As of March 31, 2021, the Fund employed six sub-advisors: Brandywine Global Investment Management LLC (Brandywine), O’Shaughnessy Asset Management LLC (OSAM), Polen Capital Management LLC (Polen), Jennison Associates LLC (Jennison), Delaware Investments Fund Advisers, a series of Macquarie Investment Management Business Trust (Macquarie), and Parametric Portfolio Associates LLC (Parametric). Brandywine, a deep value manager, focuses on cheap stocks that trade at a significant discount to intrinsic value, with strong free cash flows and quality balance sheets. OSAM is a yield focused quantitative value manager that seeks stocks that rank high based on valuation, quality and shareholder yield. Polen is a concentrated quality growth manager, focused on finding high quality companies, with sustainable, above-average earnings growth. Jennison is a growth manager who selects stocks with long-term competitive advantages that are growing earnings faster or longer than the broad market. Macquarie is a quality value manager who invests in strong, high quality businesses with sound balance sheets and free cash flow generation. Parametric utilizes exchange-traded futures to generate market exposure corresponding to the Fund’s benchmark. Market Commentary and Fund Performance The start of the fiscal year 2020 was like no other in recent memory, with the global pandemic forcing large parts of our society to shelter in place, disrupting business activity, and sending millions to work from home. During this period, consumer and corporate spending habits were altered and/or shifted, which sent the economy from thriving to being shuttered in a matter of weeks. But there were patches of strength. Companies in cloud computing, video conferencing, e-commerce, and digital entertainment flourished as people did more — and spent more money — online. After the initial shock, unprecedented monetary and fiscal response provided liquidity and support to every day Americans through direct payments, and financial markets through quantitative easing, paving the way to recovery. 1 Mercer US Large Cap Equity Fund In the fourth quarter of 2020, the announcements of the Moderna and Pfizer vaccines, along with optimism surrounding the results of the U.S. election sent equity markets higher, as investors started to price in a reopening of the economy in 2021. These events were the catalysts for a new “reopening trade” which saw a rally in cyclical stocks, including financials, industrials, materials, and energy which would benefit most from a reopening of the economy. By several measures, 2020 represented one of the most volatile periods in history for U.S. stock prices. The year was characterized by frequent, large, daily price swings in both directions and implied volatility remained elevated throughout. As we moved into 2021, equity markets continued to climb higher, as inflation expectations climbed, and rates rose, adding further momentum to cyclicals, and the selling of growth stocks. Alongside this trend, investor optimism and the continued monetary and fiscal stimulus created pockets of speculation and froth as outlined by the booming SPAC IPO market, price action in cannabis stocks, cryptocurrency derivatives, and the online forums contributing to volatility in stocks like Game Stop and AMC. Looking forward, the outlook for the domestic economy is bullish. The expectation is that leading indicators will remain strong on the back of the reopening activity and extensive consumer spending as a result of employment, stimulus and savings. Within the Russell 1000® Index, the Fund’s benchmark, the best performing sectors for the fiscal year were Consumer Discretionary (91.1%), Energy (79.3%), and Materials (78.7%). The worst performing sectors were Utilities (19.8%), Consumer Staples (29.6%), and Real Estate (34.3%). The Mercer US Large Cap Equity Fund outperformed the Russell 1000® Index for the period, with the growth- oriented managers, Brandywine, OSAM, and Jennison outperforming, and the two higher quality managers, Polen and Macquarie lagging. At the total Fund level, exposure to more cyclical areas like materials and financials were strong tailwinds, while, holdings in communication services and health care detracted from performance. Over the one year period Jennison outperformed the Russell 1000® Growth Index with strong returns from higher growth stocks acting as a tailwind. Performance from consumer names, particularly a holding in Tesla, which rose 537% during the period benefitted the Fund. Holdings in technology were also positive, especially software and IT service names like Shopify, Twilo, Adyen, and Crowdstrike, which all benefitted from COVID related stay at home trends. Detracting from relative results were holdings in media and entertainment. For the one year ended March 31, 2021, the Polen Focus Growth strategy trailed the Russell 1000® Growth Index return of 62.7%. Polen’s focus on higher quality businesses was a headwind, as higher growth and higher valuation stocks with strong stay at home tailwinds were in favor. Many investors appeared to prefer more pro-cyclical stocks toward the end of the period and rotated away from those stocks that performed well in the second and third quarters of 2020. In addition, lack of exposure to two large index names, Tesla and Apple were large detractors. On the positive side, holdings in health care, particularly Align Technology, along with holdings in Facebook and Alphabet contributed to returns. Macquarie underperformed the Russell 1000® Value Index over the Fund’s fiscal year. The majority of Macquarie’s underperformance came in the last two quarters when lower quality cyclical businesses rallied, which was a headwind to their higher quality portfolio. Holdings in industrials were the largest detractors, as defense contractors Northrop Grumman and Raytheon failed to keep up with more economically sensitive businesses,