MGI Funds

Mercer Funds^TM

(formerly known as MGI Funds^TM)

Semi-Annual Report

Mercer US Large Cap Growth Equity Fund

(formerly known as MGI US Large Cap Growth Equity Fund)

Mercer US Large Cap Value Equity Fund

(formerly known as MGI US Large Cap Value Equity Fund)

Mercer US Small/Mid Cap Growth Equity Fund

(formerly known as MGI US Small/Mid Cap Growth Equity Fund)

Mercer US Small/Mid Cap Value Equity Fund

(formerly known as MGI US Small/Mid Cap Value Equity Fund)

Mercer Non-US Core Equity Fund

(formerly known as MGI Non-US Core Equity Fund)

Mercer Core Opportunistic Fixed Income Fund

(formerly known as MGI Core Opportunistic Fixed Income Fund)

Mercer US Short Maturity Fixed Income Fund

(formerly known as Mercer US Short Maturity Fixed Income Fund)

This report has been prepared for Mercer Funds (formerly known as MGI Funds) shareholders. It is not authorized for distribution to prospective investors unless accompanied or preceded by a current Mercer Funds (formerly known as MGI 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.

September 30, 2011

Mercer US Large Cap Growth Equity Fund
(formerly known as MGI US Large Cap Growth Equity Fund)
Schedule of Investments
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Shares		Description	Value ($)
		COMMON STOCKS — 97.4%

		Aerospace & Defense — 1.7%

	11,600	Boeing Co. (The)		701,915
	11,000	Goodrich Corp.		1,327,480
	24,911	Raytheon Co.		1,018,113
	43,304	United Technologies Corp.		3,046,869

				6,094,377


		Agriculture — 2.1%

	9,400	Lorillard, Inc.		1,040,580
	110,270	Monsanto Co.		6,620,611

				7,661,191


		Apparel — 2.3%

	21,864	Coach, Inc.		1,133,211
	40,100	NIKE, Inc. Class B		3,428,951
	11,500	Ralph Lauren Corp.		1,491,550
	19,356	VF Corp.		2,352,141

				8,405,853


		Auto Parts & Equipment — 1.0%

	47,850	BorgWarner, Inc.*		2,896,360
	31,300	Johnson Controls, Inc.		825,381

				3,721,741


		Banks — 0.6%

	36,280	Comerica, Inc.		833,352
	58,320	Wells Fargo & Co.		1,406,678

				2,240,030


		Beverages — 3.1%

	88,474	Coca-Cola Co. (The)		5,977,303
	32,700	Green Mountain Coffee Roasters, Inc.*		3,039,138
	35,731	PepsiCo, Inc.		2,211,749

				11,228,190


		Biotechnology — 2.5%

	45,000	Alexion Pharmaceuticals, Inc.*		2,882,700
	16,700	Celgene Corp.*		1,034,064
	103,290	Illumina, Inc.*		4,226,627
	14,200	Regeneron Pharmaceuticals, Inc.*		826,440

				8,969,831

See accompanying Notes to the Financial Statements.

Mercer US Large Cap Growth Equity Fund
(formerly known as MGI US Large Cap Growth Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Shares		Description	Value ($)

		Chemicals — 1.5%

	29,600	Ecolab, Inc.		1,447,144
	32,057	Praxair, Inc.		2,996,688
	17,000	Sigma-Aldrich Corp.		1,050,430

				5,494,262


		Coal — 0.2%

	24,900	Peabody Energy Corp.		843,612


		Commercial Services — 2.5%

	103,400	Visa, Inc. Class A		8,863,448


		Computers — 9.1%

	60,878	Apple, Inc.*		23,205,476
	72,430	Cognizant Technology Solutions Corp. Class A*		4,541,361
	185,845	EMC Corp.*		3,900,887
	24,300	NetApp, Inc.*		824,742

				32,472,466


		Cosmetics & Personal Care — 1.8%

	26,945	Estee Lauder Cos. (The), Inc. Class A		2,366,849
	64,473	Procter & Gamble Co. (The)		4,073,404

				6,440,253


		Distribution & Wholesale — 0.6%

	13,600	W.W. Grainger, Inc.		2,033,744


		Diversified Financial Services — 4.3%

	23,360	American Express Co.		1,048,864
	132,500	Charles Schwab Corp. (The)		1,493,275
	7,996	CME Group, Inc.		1,970,214
	17,000	Franklin Resources, Inc.		1,625,880
	40,200	IntercontinentalExchange, Inc.*		4,754,052
	55,650	JPMorgan Chase & Co.		1,676,178
	41,410	T. Rowe Price Group, Inc.		1,978,156
	57,800	TD Ameritrade Holding Corp.		849,949

				15,396,568


		Electric — 0.3%

	31,986	American Electric Power Co., Inc.		1,216,108


		Electronics — 0.6%

	26,266	Waters Corp.*		1,982,820

See accompanying Notes to the Financial Statements.

Mercer US Large Cap Growth Equity Fund
(formerly known as MGI US Large Cap Growth Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Shares		Description	Value ($)

		Engineering & Construction — 0.7%

	52,700	Fluor Corp.		2,453,185


		Environmental Control — 0.5%

	42,464	Republic Services, Inc.		1,191,540
	7,146	Stericycle, Inc.*		576,825

				1,768,365


		Food — 1.2%

	28,200	General Mills, Inc.		1,084,854
	75,429	Kroger Co. (The)		1,656,421
	81,702	Tyson Foods, Inc. Class A		1,418,347

				4,159,622


		Health Care - Products — 3.5%

	25,856	Covidien Plc		1,140,250
	32,660	Edwards Lifesciences Corp.*		2,328,005
	12,580	Intuitive Surgical, Inc.*		4,582,642
	47,596	Johnson & Johnson		3,032,341
	10,710	Stryker Corp.		504,762
	20,500	Varian Medical Systems, Inc.*		1,069,280

				12,657,280


		Health Care - Services — 1.6%

	121,576	UnitedHealth Group, Inc.		5,607,085


		Household Products & Wares — 0.5%

	23,840	Kimberly-Clark Corp.		1,692,878


		Internet — 11.3%

	66,856	Amazon.Com, Inc.*		14,456,273
	14,100	Baidu, Inc., Sponsored ADR*		1,507,431
	30,600	Ctrip.com International, Ltd., ADR*		984,096
	25,300	F5 Networks, Inc.*		1,797,565
	22,698	Google, Inc. Class A*		11,675,397
	14,000	MercadoLibre, Inc.		752,500
	16,460	Netflix, Inc.*		1,862,614
	12,300	OpenTable, Inc.*		565,923
	13,220	priceline.com, Inc.*		5,941,861
	39,400	VeriSign, Inc.		1,127,234

				40,670,894

See accompanying Notes to the Financial Statements.

Mercer US Large Cap Growth Equity Fund
(formerly known as MGI US Large Cap Growth Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Shares		Description	Value ($)

		Iron & Steel — 0.3%

	5,345	Allegheny Technologies, Inc.		197,712
	16,300	Cliffs Natural Resources, Inc.		834,071

				1,031,783


		Lodging — 2.1%

	154,106	Las Vegas Sands Corp.*		5,908,424
	43,479	Starwood Hotels & Resorts Worldwide, Inc.		1,687,855

				7,596,279


		Machinery - Diversified — 0.5%

	25,300	Deere & Co.		1,633,621


		Media — 0.5%

	15,000	Scripps Networks Interactive, Inc. Class A		557,550
	35,942	Time Warner, Inc.		1,077,182

				1,634,732


		Metal Fabricate & Hardware — 1.0%

	23,775	Precision Castparts Corp.		3,696,061


		Miscellaneous - Manufacturing — 2.8%

	12,349	3M Co.		886,535
	98,134	Danaher Corp.		4,115,740
	77,980	General Electric Co.		1,188,415
	36,500	Honeywell International, Inc.		1,602,715
	25,400	Illinois Tool Works, Inc.		1,056,640
	27,442	Tyco International, Ltd.		1,118,261

				9,968,306


		Oil & Gas — 3.6%

	21,050	Apache Corp.		1,689,052
	10,282	BG Group Plc, Sponsored ADR		980,903
	40,878	Canadian Natural Resources, Ltd.		1,196,499
	23,200	Concho Resources, Inc.*		1,650,448
	14,032	EOG Resources, Inc.		996,413
	26,300	Occidental Petroleum Corp.		1,880,450
	22,770	Range Resources Corp.		1,331,134
	49,100	Southwestern Energy Co.*		1,636,503
	56,080	Suncor Energy, Inc.		1,426,675

				12,788,077


		Oil & Gas Services — 5.0%

	4,094	Baker Hughes, Inc.		188,979
	30,280	Cameron International Corp.*		1,257,831

See accompanying Notes to the Financial Statements.

Mercer US Large Cap Growth Equity Fund
(formerly known as MGI US Large Cap Growth Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Shares		Description	Value ($)
		Oil & Gas Services — continued

	109,900	FMC Technologies, Inc.*		4,132,240
	53,000	Halliburton Co.		1,617,560
	87,056	National Oilwell Varco, Inc.		4,459,008
	106,397	Schlumberger, Ltd.		6,355,093

				18,010,711


		Pharmaceuticals — 4.5%

	73,665	Allergan, Inc.		6,068,523
	58,033	Express Scripts, Inc.*		2,151,283
	39,550	Gilead Sciences, Inc.*		1,534,540
	23,474	Mead Johnson Nutrition Co.		1,615,716
	69,350	Mylan, Inc.*		1,178,950
	11,900	Perrigo Co.		1,155,609
	17,000	Shire Plc, ADR		1,596,810
	20,370	Teva Pharmaceutical Industries, Ltd., Sponsored ADR		758,171

				16,059,602


		Retail — 6.8%

	36,309	Abercrombie & Fitch Co. Class A		2,235,182
	56,500	CarMax, Inc.*		1,347,525
	2,600	Chipotle Mexican Grill, Inc. Class A*		787,670
	28,100	Costco Wholesale Corp.		2,307,572
	24,020	CVS Caremark Corp.		806,592
	33,790	Darden Restaurants, Inc.		1,444,523
	30,034	Kohl’s Corp.		1,474,669
	22,951	McDonald’s Corp.		2,015,557
	20,800	O’Reilly Automotive, Inc.*		1,385,904
	150,807	Starbucks Corp.		5,623,593
	33,350	Urban Outfitters, Inc.*		744,372
	34,017	Wal-Mart Stores, Inc.		1,765,482
	47,873	Yum! Brands, Inc.		2,364,447

				24,303,088


		Semiconductors — 1.7%

	18,300	Altera Corp.		576,999
	54,400	ASML Holding NV, ADR		1,878,976
	54,050	Broadcom Corp. Class A*		1,799,325
	79,510	Intel Corp.		1,695,948

				5,951,248


		Software — 8.0%

	96,170	Activision Blizzard, Inc.		1,144,423
	21,100	Cerner Corp.*		1,445,772
	58,770	Citrix Systems, Inc.*		3,204,728
	19,200	Informatica Corp.*		786,240

See accompanying Notes to the Financial Statements.

Mercer US Large Cap Growth Equity Fund
(formerly known as MGI US Large Cap Growth Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Shares		Description	Value ($)
		Software — continued

	25,800	Intuit, Inc.*		1,223,952
	135,274	Microsoft Corp.		3,366,970
	267,698	Oracle Corp.		7,693,640
	69,920	Salesforce.com, Inc.*		7,990,458
	15,854	VeriFone Systems, Inc.*		555,207
	15,370	VMware, Inc. Class A*		1,235,441

				28,646,831


		Telecommunications — 4.4%

	21,280	Acme Packet, Inc.*		906,315
	41,200	American Tower Corp. Class A*		2,216,560
	45,814	Juniper Networks, Inc.*		790,750
	246,738	QUALCOMM, Inc.		11,998,869

				15,912,494


		Transportation — 2.7%

	51,730	CH Robinson Worldwide, Inc.		3,541,953
	32,630	Expeditors International of Washington, Inc.		1,323,147
	17,610	J.B. Hunt Transport Services, Inc.		636,073
	51,730	Union Pacific Corp.		4,224,789

				9,725,962


		TOTAL COMMON STOCKS (COST $328,026,544)		349,032,598


Par Value ($)		Description	Value ($)

		SHORT-TERM INVESTMENTS — 2.3%

		Bank Deposits — 2.3%

	8,374,900	State Street Bank & Trust Euro Time Deposit, 0.01%, due 10/03/11		8,374,900


		TOTAL SHORT-TERM INVESTMENTS (COST $8,374,900)		8,374,900


		TOTAL INVESTMENTS — 99.7% (Cost $336,401,444)		357,407,498

		Other Assets and Liabilities (net) — 0.3%		920,562


		NET ASSETS — 100.0%	$	358,328,060


		Notes to Schedule of Investments:

		ADR — American Depository Receipt

		* Non-income producing security

See accompanying Notes to the Financial Statements.

Mercer US Large Cap Value Equity Fund
(formerly known as MGI US Large Cap Value Equity Fund)
Schedule of Investments
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Shares		Description	Value ($)
		COMMON STOCKS — 97.8%

		Advertising — 0.5%

	51,993	Omnicom Group, Inc.		1,915,423


		Aerospace & Defense — 4.6%

	55,806	BAE Systems Plc, Sponsored ADR		912,986
	9,211	Boeing Co. (The)		557,358
	16,311	General Dynamics Corp.		927,933
	4,585	L-3 Communications Holdings, Inc.		284,132
	48,685	Lockheed Martin Corp.		3,536,478
	54,925	Northrop Grumman Corp.		2,864,888
	118,870	Raytheon Co.		4,858,217
	39,111	United Technologies Corp.		2,751,850

				16,693,842


		Agriculture — 1.9%

	6,709	Lorillard, Inc.		742,686
	97,249	Philip Morris International, Inc.		6,066,393

				6,809,079


		Airlines — 0.1%

	45,200	Delta Air Lines, Inc.*		339,000


		Auto Manufacturers — 0.3%

	13,500	General Motors Co.*		272,430
	18,613	Navistar International Corp.*		597,850
	22,011	Tata Motors, Ltd., Sponsored ADR		338,529

				1,208,809


		Auto Parts & Equipment — 1.0%

	16,173	Autoliv, Inc.		784,391
	47,860	Lear Corp.		2,053,194
	9,643	TRW Automotive Holdings Corp.*		315,615
	8,035	Visteon Corp.*		345,505

				3,498,705


		Banks — 5.5%

	36,503	Banco Santander SA, Sponsored ADR		293,484
	9,779	BNP Paribas SA, ADR		192,646
	55,000	Capital One Financial Corp.		2,179,650
	61,705	Fifth Third Bancorp		623,220
	17,700	First Republic Bank/San Francisco CA*		409,932
	15,401	HSBC Holdings Plc, Sponsored ADR		585,854
	92,608	KeyCorp		549,165
	76,788	PNC Financial Services Group, Inc.		3,700,414

See accompanying Notes to the Financial Statements.

Mercer US Large Cap Value Equity Fund
(formerly known as MGI US Large Cap Value Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Shares		Description	Value ($)
		Banks — continued

	128,988	US Bancorp		3,036,378
	342,607	Wells Fargo & Co.		8,263,681

				19,834,424


		Beverages — 2.1%

	16,996	Anheuser-Busch InBev NV, Sponsored ADR		900,448
	137,658	Coca-Cola Enterprises, Inc.		3,424,931
	51,353	Dr Pepper Snapple Group, Inc.		1,991,469
	18,385	PepsiCo, Inc.		1,138,032

				7,454,880


		Biotechnology — 1.3%

	87,231	Amgen, Inc.		4,793,343
	800	Biogen Idec, Inc.*		74,520

				4,867,863


		Chemicals — 0.7%

	5,506	Air Products & Chemicals, Inc.		420,493
	9,900	CF Industries Holdings, Inc.		1,221,561
	37,700	LyondellBasell Industries NV Class A		921,011

				2,563,065


		Coal — 0.3%

	28,127	Peabody Energy Corp.		952,943


		Commercial Services — 1.7%

	63,800	Hertz Global Holdings, Inc.*		567,820
	5,000	ITT Educational Services, Inc.*		287,900
	42,045	McKesson Corp.		3,056,672
	18,400	Visa, Inc. Class A		1,577,248
	51,973	Western Union Co. (The)		794,667

				6,284,307


		Computers — 3.9%

	24,633	Accenture Plc		1,297,667
	13,980	Apple, Inc.*		5,328,897
	14,391	CGI Group, Inc. Class A*		270,695
	41,711	EMC Corp.*		875,514
	38,603	Hewlett-Packard Co.		866,637
	16,106	International Business Machines Corp.		2,819,033
	128,480	Seagate Technology PLC		1,320,774
	12,300	Synopsys, Inc.*		299,628
	38,678	Western Digital Corp.*		994,798

				14,073,643

See accompanying Notes to the Financial Statements.

Mercer US Large Cap Value Equity Fund
(formerly known as MGI US Large Cap Value Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Shares		Description	Value ($)

		Cosmetics & Personal Care — 0.0%

	1,306	Procter & Gamble Co. (The)		82,513


		Diversified Financial Services — 6.0%

	36,410	American Express Co.		1,634,809
	38,900	Ameriprise Financial, Inc.		1,531,104
	63,888	Citigroup, Inc.		1,636,810
	59,450	Discover Financial Services		1,363,783
	8,159	Franklin Resources, Inc.		780,327
	26,798	Goldman Sachs Group, Inc.		2,533,751
	323,347	JPMorgan Chase & Co.		9,739,211
	10,700	Morgan Stanley		144,450
	23,351	Raymond James Financial, Inc.		606,192
	120,086	SLM Corp.		1,495,071

				21,465,508


		Electric — 3.2%

	145,000	AES Corp. (The)*		1,415,200
	55,000	Ameren Corp.		1,637,350
	45,862	American Electric Power Co., Inc.		1,743,673
	23,300	DTE Energy Co.		1,142,166
	32,155	Edison International		1,229,929
	2,700	Northeast Utilities		90,855
	41,036	NV Energy, Inc.		603,640
	26,479	PG&E Corp.		1,120,326
	42,037	PPL Corp.		1,199,736
	37,169	Public Service Enterprise Group, Inc.		1,240,330

				11,423,205


		Electronics — 0.7%

	18,100	Dolby Laboratories, Inc. Class A*		496,664
	19,700	Jabil Circuit, Inc.		350,463
	41,072	TE Connectivity, Ltd.		1,155,766
	12,281	Thermo Fisher Scientific, Inc.*		621,910

				2,624,803


		Engineering & Construction — 0.3%

	20,900	Fluor Corp.		972,895


		Entertainment — 0.2%

	34,045	Cinemark Holdings, Inc.		642,770


		Food — 3.2%

	62,553	ConAgra Foods, Inc.		1,515,034
	26,195	Kraft Foods, Inc. Class A		879,628
	34,828	Nestle SA, Sponsored ADR		1,919,023

See accompanying Notes to the Financial Statements.

Mercer US Large Cap Value Equity Fund
(formerly known as MGI US Large Cap Value Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Shares		Description	Value ($)
		Food — continued

	98,826	Safeway, Inc.		1,643,476
	190,016	Sara Lee Corp.		3,106,762
	85,215	Tyson Foods, Inc. Class A		1,479,332
	27,869	Unilever NV, ADR		877,595

				11,420,850


		Forest Products & Paper — 0.4%

	9,969	Domtar Corp.		679,587
	17,963	Rayonier, Inc.		660,840

				1,340,427


		Gas — 0.4%

	22,809	Sempra Energy		1,174,663
	8,100	UGI Corp.		212,787

				1,387,450


		Health Care - Products — 2.3%

	25,970	CareFusion Corp.*		621,981
	41,259	Covidien Plc		1,819,522
	92,274	Johnson & Johnson		5,878,777

				8,320,280


		Health Care - Services — 3.8%

	72,358	Aetna, Inc.		2,630,213
	61,913	Humana, Inc.		4,502,932
	72,296	UnitedHealth Group, Inc.		3,334,292
	4,400	WellCare Health Plans, Inc.*		167,112
	46,731	WellPoint, Inc.		3,050,600

				13,685,149


		Home Furnishings — 0.0%

	400	Harman International Industries, Inc.		11,432


		Household Products & Wares — 0.0%

	2,200	Kimberly-Clark Corp.		156,222


		Insurance — 7.1%

	21,014	ACE, Ltd.		1,273,448
	3,700	Allied World Assurance Co. Holdings, Ltd.		198,727
	19,395	American Financial Group, Inc.		602,603
	24,300	Assurant, Inc.		869,940
	49,608	Berkshire Hathaway, Inc. Class B*		3,524,152
	62,682	Chubb Corp. (The)		3,760,293
	600	Everest Re Group, Ltd.		47,628
	19,462	Hartford Financial Services Group (The), Inc.		314,117

See accompanying Notes to the Financial Statements.

Mercer US Large Cap Value Equity Fund
(formerly known as MGI US Large Cap Value Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Shares		Description	Value ($)
		Insurance — continued

	57,416	Lincoln National Corp.		897,412
	83,853	Metlife, Inc.		2,348,723
	8,703	Protective Life Corp.		136,028
	49,418	Prudential Financial, Inc.		2,315,727
	11,523	Reinsurance Group of America, Inc.		529,482
	4,685	Transatlantic Holdings, Inc.		227,316
	121,894	Travelers Cos. (The), Inc.		5,939,895
	13,591	Unum Group		284,867
	32,690	Validus Holdings, Ltd.		814,635
	72,687	XL Group Plc		1,366,516

				25,451,509


		Internet — 1.2%

	66,403	eBay, Inc.*		1,958,224
	1,700	Expedia, Inc.		43,775
	24,340	IAC/InterActiveCorp*		962,647
	73,500	Symantec Corp.*		1,198,050

				4,162,696


		Investment Companies — 0.1%

	47,800	American Capital, Ltd.*		325,996


		Iron & Steel — 0.3%

	3,600	Cliffs Natural Resources, Inc.		184,212
	21,840	Reliance Steel & Aluminum Co.		742,778

				926,990


		Leisure Time — 0.3%

	23,162	Carnival Corp.		701,809
	7,600	Polaris Industries, Inc.		379,772

				1,081,581


		Machinery - Diversified — 0.1%

	15,100	AGCO Corp.*		522,007


		Media — 5.8%

	106,480	CBS Corp. Class B		2,170,062
	129,398	Comcast Corp. Class A		2,704,418
	72,602	DIRECTV Class A*		3,067,435
	40,200	DISH Network Corp. Class A*		1,007,412
	51,911	Liberty Global, Inc.*		1,878,140
	15,699	Liberty Media Corp. — Starz Series A*		997,828
	35,345	McGraw-Hill Cos. (The), Inc.		1,449,145
	34,438	Time Warner Cable, Inc.		2,158,230
	83,825	Time Warner, Inc.		2,512,235

See accompanying Notes to the Financial Statements.

Mercer US Large Cap Value Equity Fund
(formerly known as MGI US Large Cap Value Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Shares		Description	Value ($)
		Media — continued

	49,216	Viacom, Inc. Class B		1,906,628
	31,143	Walt Disney Co. (The)		939,273

				20,790,806


		Mining — 0.6%

	17,534	BHP Billiton, Ltd., Sponsored ADR		1,164,959
	31,543	Freeport-McMoran Copper & Gold, Inc. Class B		960,484

				2,125,443


		Miscellaneous - Manufacturing — 2.5%

	255,053	General Electric Co.		3,887,008
	34,285	Honeywell International, Inc.		1,505,454
	21,352	Illinois Tool Works, Inc.		888,243
	24,085	ITT Corp.		1,011,570
	44,694	Tyco International, Ltd.		1,821,281

				9,113,556


		Office & Business Equipment — 0.2%

	131,935	Xerox Corp.		919,587


		Oil & Gas — 8.8%

	18,840	Apache Corp.		1,511,722
	22,105	Canadian Natural Resources, Ltd.		647,013
	82,712	Chevron Corp.		7,652,514
	86,100	ConocoPhillips		5,451,852
	15,100	CVR Energy, Inc.*		319,214
	14,524	EOG Resources, Inc.		1,031,349
	54,768	Exxon Mobil Corp.		3,977,800
	22,659	Hess Corp.		1,188,691
	6,100	HollyFrontier Corp.		159,942
	41,000	Marathon Oil Corp.		884,780
	5,200	Marathon Petroleum Corp.		140,712
	15,056	Noble Energy, Inc.		1,065,965
	56,119	Occidental Petroleum Corp.		4,012,508
	23,310	Royal Dutch Shell PLC, ADR		1,434,031
	11,710	SM Energy Co.		710,212
	85,451	Valero Energy Corp.		1,519,319

				31,707,624


		Oil & Gas Services — 0.3%

	10,985	Baker Hughes, Inc.		507,068
	10,200	Complete Production Services, Inc.*		192,270
	1,300	National Oilwell Varco, Inc.		66,586
	2,300	SEACOR Holdings, Inc.		184,483

				950,407

See accompanying Notes to the Financial Statements.

Mercer US Large Cap Value Equity Fund
(formerly known as MGI US Large Cap Value Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Shares		Description	Value ($)

		Packaging & Containers — 0.2%

	2,599	Ball Corp.		80,621
	14,140	Rock-Tenn Co. Class A		688,335

				768,956


		Pharmaceuticals — 6.0%

	27,945	AmerisourceBergen Corp.		1,041,510
	26,830	AstraZeneca Plc, Sponsored ADR		1,190,179
	59,375	Bristol-Myers Squibb Co.		1,863,187
	26,300	Eli Lilly & Co.		972,311
	4,751	Express Scripts, Inc.*		176,120
	64,602	Gilead Sciences, Inc.*		2,506,558
	11,748	Herbalife, Ltd.		629,693
	50,198	Medco Health Solutions, Inc.*		2,353,784
	46,254	Merck & Co., Inc.		1,512,968
	525,925	Pfizer, Inc.		9,298,354

				21,544,664

		REITS — 1.8%

	30,855	Annaly Capital Management, Inc. REIT		513,119
	8,215	AvalonBay Communities, Inc. REIT		936,921
	10,533	Boston Properties, Inc. REIT		938,490
	15,200	CBL & Associates Properties, Inc. REIT		172,672
	9,688	CommonWealth REIT		183,781
	25,400	DDR Corp. REIT		276,860
	45,000	Duke Realty Corp. REIT		472,500
	8,400	Equity Lifestyle Properties, Inc. REIT		526,680
	23,195	Simon Property Group, Inc. REIT		2,550,986

				6,572,009


		Retail — 7.0%

	2,909	AutoZone, Inc.*		928,524
	45,126	Best Buy Co., Inc.		1,051,436
	70,147	CVS Caremark Corp.		2,355,536
	9,000	Dillard’s, Inc. Class A		391,320
	169,262	Gap , Inc.(The)		2,748,815
	31,835	Home Depot, Inc.		1,046,416
	50,623	Kohl’s Corp.		2,485,589
	98,051	Lowe’s Cos., Inc.		1,896,306
	73,666	Macy’s, Inc.		1,938,889
	12,611	McDonald’s Corp.		1,107,498
	57,545	Target Corp.		2,822,007
	36,003	TJX Cos. (The), Inc.		1,997,086
	71,294	Wal-Mart Stores, Inc.		3,700,159
	18,911	Walgreen Co.		621,983

				25,091,564

See accompanying Notes to the Financial Statements.

Mercer US Large Cap Value Equity Fund
(formerly known as MGI US Large Cap Value Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Shares		Description	Value ($)

		Semiconductors — 0.4%

	15,200	Intel Corp.		324,216
	39,663	Texas Instruments, Inc.		1,057,019

				1,381,235


		Shipbuilding — 0.1%

	13,849	Huntington Ingalls Industries, Inc.*		336,946


		Software — 2.7%

	74,400	Activision Blizzard, Inc.		885,360
	27,845	CA, Inc.		540,472
	12,200	Global Payments, Inc.		492,758
	168,419	Microsoft Corp.		4,191,949
	131,622	Oracle Corp.		3,782,816

				9,893,355


		Telecommunications — 7.0%

	176,576	AT&T, Inc.		5,035,948
	7,253	BCE, Inc.		271,697
	145,960	Deutsche Telekom AG, Sponsored ADR		1,712,111
	33,188	France Telecom SA, Sponsored ADR		543,288
	39,157	Harris Corp.		1,337,995
	207,814	Koninklijke KPN NV, Sponsored ADR		2,736,910
	48,561	Portugal Telecom, SGPS, SA, Sponsored ADR		352,067
	74,534	Rogers Communications, Inc. Class B		2,549,808
	22,444	Telecom Italia Spa, Sponsored ADR		242,620
	36,272	Telecomunicacoes de Sao Paulo SA, ADR		959,394
	59,359	Telefonica SA, Sponsored ADR		1,134,944
	178,741	Telstra Corp., Ltd., ADR		2,681,115
	98,853	Verizon Communications, Inc.		3,637,790
	73,270	Vodafone Group Plc, Sponsored ADR		1,879,376

				25,075,063


		Transportation — 0.8%

	17,900	CSX Corp.		334,193
	6,900	Norfolk Southern Corp.		421,038
	24,315	Union Pacific Corp.		1,985,806

				2,741,037


		Water — 0.1%

	15,906	American Water Works Co., Inc.		480,043


		TOTAL COMMON STOCKS (COST $365,303,298)		351,992,561

See accompanying Notes to the Financial Statements.

Mercer US Small/Mid Cap Growth Equity Fund
(formerly known as MGI US Small/Mid Cap Growth Equity Fund)
Schedule of Investments
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Shares		Description	Value ($)
		COMMON STOCKS — 96.7%

		Advertising — 0.2%

	33,619	Lamar Advertising Co. Class A*		572,532


		Aerospace & Defense — 1.8%

	25,833	Aerovironment, Inc.*		727,199
	58,778	BE Aerospace, Inc.*		1,946,140
	7,471	Teledyne Technologies, Inc.*		365,033
	14,075	TransDigm Group, Inc.*		1,149,505

				4,187,877


		Apparel — 1.6%

	18,891	Ascena Retail Group, Inc.*		511,379
	27,779	Carter’s, Inc.*		848,371
	53,773	CROCS, Inc.*		1,272,807
	8,301	Under Armour, Inc. Class A*		551,270
	16,693	Wolverine World Wide, Inc.		555,042

				3,738,869


		Auto Parts & Equipment — 0.9%

	50,883	Amerigon, Inc. Class A*		647,741
	98,800	Goodyear Tire & Rubber Co. (The)*		996,892
	22,641	Titan International, Inc.		339,615
	6,406	Westport Innovations, Inc.*		185,325

				2,169,573


		Banks — 1.4%

	51,798	Eagle Bancorp, Inc.*		609,662
	34,646	East-West Bancorp, Inc.		516,572
	66,770	First Republic Bank/San Francisco CA*		1,546,393
	303,691	Popular, Inc.*		455,537

				3,128,164


		Beverages — 0.8%

	33,400	Peet’s Coffee & Tea, Inc.*		1,858,376


		Biotechnology — 2.1%

	29,732	Alexion Pharmaceuticals, Inc.*		1,904,632
	43,304	Halozyme Therapeutics, Inc.*		265,887
	21,231	Human Genome Sciences, Inc.*		269,421
	21,875	Illumina, Inc.*		895,125
	35,998	Incyte Corp.*		502,892
	20,370	Life Technologies Corp.*		782,819
	46,467	NPS Pharmaceuticals, Inc.*		302,500

				4,923,276

See accompanying Notes to the Financial Statements.

Mercer US Small/Mid Cap Growth Equity Fund
(formerly known as MGI US Small/Mid Cap Growth Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Shares		Description	Value ($)

		Chemicals — 1.7%

	26,544	Airgas, Inc.		1,694,038
	30,750	Celanese Corp.		1,000,297
	35,520	Westlake Chemical Corp.		1,217,626

				3,911,961


		Coal — 0.3%

	40,402	Alpha Natural Resources, Inc.*		714,711


		Commercial Services — 8.5%

	15,440	Alliance Data Systems Corp.*		1,431,288
	29,269	Coinstar, Inc.*		1,170,760
	55,337	ExamWorks Group, Inc.*		563,331
	40,312	FleetCor Technologies, Inc.*		1,058,593
	61,657	Genpact, Ltd.*		887,244
	83,799	Healthcare Services Group		1,352,516
	75,968	Heartland Payment Systems, Inc.		1,498,089
	140,660	Hertz Global Holdings, Inc.*		1,251,874
	85,448	iSoftstone Holdings, Ltd., ADR*		554,557
	16,100	ITT Educational Services, Inc.*		927,038
	16,797	PAREXEL International Corp.*		317,967
	59,207	Quanta Services, Inc.*		1,112,500
	90,092	Ritchie Bros Auctioneers, Inc.		1,818,957
	25,107	RSC Holdings, Inc.*		179,013
	9,461	Sotheby’s		260,840
	21,300	Strayer Education, Inc.		1,633,071
	23,953	Verisk Analytics, Inc. Class A*		832,846
	46,265	Weight Watchers International, Inc.		2,694,936

				19,545,420


		Computers — 3.1%

	5,174	Factset Research Systems, Inc.		460,331
	14,911	Fortinet, Inc.*		250,505
	26,219	IHS, Inc. Class A*		1,961,443
	25,418	MICROS Systems, Inc.*		1,116,104
	61,848	RealD, Inc.*		578,279
	8,713	Riverbed Technology, Inc.*		173,912
	14,210	Syntel, Inc.		613,730
	35,600	Teradata Corp.*		1,905,668

				7,059,972


		Distribution & Wholesale — 1.6%

	47,300	Fastenal Co.		1,574,144
	37,630	LKQ Corp.*		909,141

See accompanying Notes to the Financial Statements.


Shares		Description	Value ($)
		Distribution & Wholesale — continued

	19,076	Pool Corp.		499,410
	18,740	WESCO International, Inc.*		628,727

				3,611,422


		Diversified Financial Services — 3.8%

	33,760	Affiliated Managers Group, Inc.*		2,634,968
	25,156	CBOE Holdings, Inc.		615,567
	50,180	Evercore Partners, Inc. Class A		1,144,104
	5,644	Greenhill & Co., Inc.		161,362
	16,850	IntercontinentalExchange, Inc.*		1,992,681
	30,567	Lazard, Ltd. Class A		644,964
	139,090	MF Global Holdings, Ltd.*		574,442
	35,360	Waddell & Reed Financial, Inc. Class A		884,353

				8,652,441


		Electrical Components & Equipment — 0.8%

	12,598	Ametek, Inc.		415,356
	11,015	General Cable Corp.*		257,200
	24,010	Hubbell, Inc.		1,189,456

				1,862,012


		Electronics — 3.3%

	35,266	Amphenol Corp. Class A		1,437,795
	42,654	FLIR Systems, Inc.		1,068,483
	73,967	Gentex Corp.		1,778,906
	31,214	National Instruments Corp.		713,552
	18,964	Sensata Technologies Holding NV*		501,787
	28,164	Trimble Navigation, Ltd.*		944,902
	7,835	Waters Corp.*		591,464
	16,124	Woodward, Inc.		441,798

				7,478,687


		Engineering & Construction — 0.9%

	17,918	Aecom Technology Corp.*		316,611
	15,315	Chicago Bridge & Iron Co. NV		438,469
	22,339	KBR, Inc.		527,871
	37,415	McDermott International, Inc.*		402,585
	11,888	URS Corp.*		352,598

				2,038,134

See accompanying Notes to the Financial Statements.


Shares		Description	Value ($)

		Environmental Control — 1.8%

	32,741	Nalco Holding Co.		1,145,280
	12,482	Stericycle, Inc.*		1,007,547
	57,991	Waste Connections, Inc.		1,961,256

				4,114,083


		Food — 1.1%

	26,800	Ralcorp Holdings, Inc.*		2,055,828
	59,094	Smart Balance, Inc.*		348,655
	3,178	TreeHouse Foods, Inc.*		196,527

				2,601,010


		Hand & Machine Tools — 1.0%

	49,152	Kennametal, Inc.		1,609,237
	16,910	Snap-on, Inc.		750,804

				2,360,041


		Health Care - Products — 5.2%

	67,766	ABIOMED, Inc.*		747,459
	63,152	Bruker Corp.*		854,447
	33,370	CareFusion Corp.*		799,211
	10,531	Cooper Cos. (The), Inc.		833,529
	7,706	Given Imaging, Ltd.*		116,284
	26,519	Henry Schein, Inc.*		1,644,443
	41,210	Hill-Rom Holdings, Inc.		1,237,124
	13,083	Hologic, Inc.*		198,992
	22,904	IDEXX Laboratories, Inc.*		1,579,689
	11,283	Resmed, Inc.*		324,838
	36,946	Techne Corp.		2,512,697
	12,339	Tornier BV*		252,826
	8,283	Varian Medical Systems, Inc.*		432,041
	15,525	Volcano Corp.*		460,006

				11,993,586


		Health Care - Services — 2.8%

	34,230	Community Health Systems, Inc.*		569,587
	36,330	Coventry Health Care, Inc.*		1,046,667
	48,040	Health Management Associates, Inc. Class A*		332,437
	29,482	HealthSouth Corp.*		440,166
	8,848	LifePoint Hospitals, Inc.*		324,191
	10,910	Mettler-Toledo International, Inc.*		1,526,964
	24,212	Pediatrix Medical Group, Inc.*		1,516,640
	9,544	Universal Health Services, Inc. Class B		324,496
	6,531	WellCare Health Plans, Inc.*		248,047

				6,329,195

See accompanying Notes to the Financial Statements.


Shares		Description	Value ($)

		Home Furnishings — 0.4%

	19,528	DTS, Inc.*		484,880
	7,646	Tempur-Pedic International, Inc.*		402,256

				887,136


		Household Products & Wares — 0.6%

	9,248	Fossil, Inc.*		749,643
	12,234	Scotts Miracle-Gro Co. (The) Class A		545,636

				1,295,279


		Housewares — 0.4%

	73,986	Newell Rubbermaid, Inc.		878,214


		Insurance — 0.1%

	2,320	Everest Re Group, Ltd.		184,162


		Internet — 3.6%

	27,707	21Vianet Group, Inc., ADR*		274,854
	15,328	Equinix, Inc.*		1,361,586
	5,725	F5 Networks, Inc.*		406,761
	21,727	IAC/InterActiveCorp*		859,303
	80,040	j2 Global Communications, Inc.		2,153,076
	37,928	Pandora Media, Inc.*		555,645
	30,903	Rackspace Hosting, Inc.*		1,055,028
	53,900	VeriSign, Inc.		1,542,079

				8,208,332


		Iron & Steel — 0.2%

	12,159	Schnitzer Steel Industries, Inc. Class A		447,451


		Leisure Time — 0.3%

	56,365	Interval Leisure Group, Inc.*		750,782


		Lodging — 0.3%

	21,084	Choice Hotels International, Inc.		626,617


		Machinery - Construction & Mining — 0.2%

	9,135	Joy Global, Inc.		569,841


		Machinery - Diversified — 2.8%

	48,300	Graco, Inc.		1,648,962
	47,416	IDEX Corp.		1,477,483
	3,943	Manitowoc Co. (The), Inc.		26,458
	7,475	Middleby Corp.*		526,688

See accompanying Notes to the Financial Statements.


Shares		Description	Value ($)
		Machinery - Diversified — continued

	22,254	Robbins & Myers, Inc.		772,436
	28,519	Roper Industries, Inc.		1,965,244

				6,417,271


		Mining — 0.3%

	40,381	Titanium Metals Corp.		604,907


		Miscellaneous - Manufacturing — 1.5%

	19,202	Actuant Corp. Class A		379,240
	16,334	CLARCOR, Inc.		675,901
	31,430	Crane Co.		1,121,737
	6,866	Pall Corp.		291,118
	9,835	Polypore International, Inc.*		555,874
	63,810	STR Holdings, Inc.*		517,499

				3,541,369


		Oil & Gas — 4.0%

	28,703	Approach Resources, Inc.*		487,664
	11,354	Berry Petroleum Co. Class A		401,704
	5,424	Cabot Oil & Gas Corp.		335,800
	112,600	Denbury Resources, Inc.*		1,294,900
	26,530	Ensco Plc, Sponsored ADR		1,072,608
	10,319	Helmerich & Payne, Inc.		418,951
	21,865	Patterson-UTI Energy, Inc.		379,139
	85,424	Rex Energy Corp.*		1,080,614
	22,724	Rosetta Resources, Inc.*		777,615
	93,680	Tesoro Corp.*		1,823,950
	33,303	Whiting Petroleum Corp.*		1,168,269

				9,241,214


		Oil & Gas Services — 2.4%

	3,017	CARBO Ceramics, Inc.		309,333
	22,720	Complete Production Services, Inc.*		428,272
	40,165	Core Laboratories NV		3,608,022
	21,548	Dril-Quip, Inc.*		1,161,653

				5,507,280


		Packaging & Containers — 1.2%

	51,518	Crown Holdings, Inc.*		1,576,966
	46,540	Packaging Corp. of America		1,084,382

				2,661,348


		Pharmaceuticals — 4.5%

	21,334	BioMarin Pharmaceutical, Inc.*		679,915
	22,358	Catalyst Health Solutions, Inc.*		1,289,833

See accompanying Notes to the Financial Statements.


Shares		Description	Value ($)
		Pharmaceuticals — continued

	47,440	DENTSPLY International, Inc.		1,455,934
	106,490	Elan Corp. Plc, Sponsored ADR*		1,121,340
	7,948	Herbalife, Ltd.		426,013
	24,549	Impax Laboratories, Inc.*		439,673
	21,105	Medicis Pharmaceutical Corp. Class A		769,910
	29,116	Perrigo Co.		2,827,455
	8,466	Pharmasset, Inc.*		697,344
	18,727	Sagent Pharmaceuticals, Inc.*		379,034
	39,750	Santarus, Inc.*		110,902

				10,197,353

		REITS — 1.1%

	72,562	CBRE Group, Inc.		976,685
	46,130	Hospitality Properties Trust REIT		979,340
	26,557	Lasalle Hotel Properties REIT		509,894

				2,465,919


		Retail — 6.3%

	4,161	Abercrombie & Fitch Co. Class A		256,151
	54,917	Dick’s Sporting Goods, Inc.*		1,837,523
	39,100	DineEquity, Inc.*		1,504,959
	9,263	DSW, Inc. Class A		427,765
	6,237	Dunkin’ Brands Group, Inc.*		172,765
	88,272	Foot Locker, Inc.		1,773,384
	13,190	MSC Industrial Direct Co., Inc Class A		744,707
	23,740	O’Reilly Automotive, Inc.*		1,581,796
	50,564	OfficeMax, Inc.*		245,235
	5,448	Panera Bread Co. Class A*		566,265
	28,461	Petsmart, Inc.		1,213,862
	27,482	PVH Corp.		1,600,552
	23,824	Rue21, Inc.*		540,567
	13,263	Teavana Holdings, Inc.*		269,769
	40,168	Texas Roadhouse, Inc. Class A		531,021
	3,130	Tiffany & Co.		190,367
	42,543	Urban Outfitters, Inc.*		949,560

				14,406,248


		Semiconductors — 5.0%

	44,074	Atmel Corp.*		355,677
	31,810	Avago Technologies, Ltd.		1,042,414
	27,388	Cavium, Inc.*		739,750
	34,260	Hittite Microwave Corp.*		1,668,462
	11,559	Lam Research Corp.*		439,011
	15,868	Linear Technology Corp.		438,750
	170,110	LSI Corp.*		881,170
	34,556	Microsemi Corp.*		552,205

See accompanying Notes to the Financial Statements.


Shares		Description	Value ($)
		Semiconductors — continued

	34,756	NVIDIA Corp.*		434,450
	41,520	NXP Semiconductor NV*		586,262
	144,150	ON Semiconductor Corp.*		1,033,555
	29,799	Rovi Corp.*		1,280,761
	69,260	Teradyne, Inc.*		762,553
	47,512	Xilinx, Inc.		1,303,729

				11,518,749


		Software — 9.3%

	32,811	ANSYS, Inc.*		1,609,051
	24,200	athenahealth, Inc.*		1,441,110
	69,742	Blackbaud, Inc.		1,553,154
	27,930	BMC Software, Inc.*		1,076,981
	86,221	Emdeon, Inc. Class A*		1,620,092
	29,779	Global Payments, Inc.		1,202,774
	40,355	Informatica Corp.*		1,652,537
	45,626	InterXion Holding NV*		538,843
	58,895	Medassets, Inc.*		565,981
	109,902	MSCI, Inc. Class A*		3,333,328
	79,580	Nuance Communications, Inc.*		1,620,249
	349	Opnet Technologies, Inc.		12,184
	8,915	Solera Holdings, Inc.		450,207
	61,419	SuccessFactors, Inc.*		1,412,023
	90,883	VeriFone Systems, Inc.*		3,182,723

				21,271,237


		Telecommunications — 5.3%

	24,871	ADTRAN, Inc.		658,087
	45,181	DigitalGlobe, Inc.*		877,867
	17,703	IPG Photonics Corp.*		769,018
	36,388	NICE Systems, Ltd., Sponsored ADR*		1,104,376
	34,150	NII Holdings, Inc. Class B*		920,342
	122,055	Polycom, Inc.*		2,242,150
	133,647	SBA Communications Corp.*		4,608,149
	58,344	tw telecom, Inc. Class A*		963,843

				12,143,832


		Transportation — 2.2%

	4,134	Atlas Air Worldwide Holdings, Inc.*		137,621
	39,600	Expeditors International of Washington, Inc.		1,605,780
	8,997	Genesee & Wyoming, Inc. Class A*		418,540
	18,320	Kirby Corp.*		964,365

See accompanying Notes to the Financial Statements.


Shares		Description	Value ($)
		Transportation — continued

	32,290	Landstar System, Inc.		1,277,392
	37,934	Roadrunner Transportation Systems, Inc.*		520,455

				4,924,153


		TOTAL COMMON STOCKS (COST $231,287,151)		221,600,036


Par Value ($)		Description	Value ($)

		SHORT-TERM INVESTMENTS — 3.7%

		Bank Deposits — 3.7%

	8,422,482	State Street Bank & Trust Euro Time Deposit, 0.01%, due 10/03/11		8,422,482


		TOTAL SHORT-TERM INVESTMENTS (COST $8,422,482)		8,422,482


		TOTAL INVESTMENTS — 100.4% (Cost $239,709,633)		230,022,518

		Other Assets and Liabilities (net) — (0.4)%		(994,977	)


		NET ASSETS — 100.0%	$	229,027,541


		Notes to Schedule of Investments:

		ADR — American Depository Receipt

		REIT — Real Estate Investment Trust

		* Non-income producing security

See accompanying Notes to the Financial Statements.

Mercer US Small/Mid Cap Value Equity Fund
(formerly known as MGI US Small/Mid Cap Value Equity Fund)
Schedule of Investments
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Shares		Description	Value ($)
		COMMON STOCKS — 97.9%

		Aerospace & Defense — 1.0%

	3,100	Alliant Techsystems, Inc.		168,981
	3,900	Curtiss-Wright Corp.		112,437
	1,800	Esterline Technologies Corp.*		93,312
	9,000	GenCorp, Inc.*		40,410
	46,200	Orbital Sciences Corp.*		591,360
	25,425	Triumph Group, Inc.		1,239,215

				2,245,715


		Agriculture — 0.0%

	2,100	Universal Corp.		75,306


		Airlines — 0.3%

	3,500	Alaska Air Group, Inc.*		197,015
	7,030	Allegiant Travel Co.*		331,324
	23,400	Hawaiian Holdings, Inc.*		98,514

				626,853


		Apparel — 1.0%

	28,790	Ascena Retail Group, Inc.*		779,345
	42,200	Guess?, Inc.		1,202,278
	11,900	True Religion Apparel, Inc.*		320,824

				2,302,447


		Auto Parts & Equipment — 1.4%

	59,300	American Axle & Manufacturing Holdings, Inc.*		452,459
	1,500	Autoliv, Inc.		72,750
	64,500	Exide Technologies*		258,000
	44,050	Lear Corp.		1,889,745
	3,800	Superior Industries International, Inc.		58,710
	11,100	TRW Automotive Holdings Corp.*		363,303

				3,094,967


		Banks — 6.2%

	7,400	Associated Banc-Corp.		68,820
	6,400	Bank of Hawaii Corp.		232,960
	9,400	BOK Financial Corp.		440,766
	1,500	Chemical Financial Corp.		22,965
	5,900	City Holding Co.		159,241
	1,200	City National Corp.		45,312
	16,413	Commerce Bancshares, Inc.		570,352
	2,600	Cullen/Frost Bankers, Inc.		119,236
	104,100	Fifth Third Bancorp		1,051,410
	2,500	First Citizens BancShares, Inc. Class A		358,850
	93,900	First Commonwealth Financial Corp.		347,430

See accompanying Notes to the Financial Statements.

Mercer US Small/Mid Cap Value Equity Fund
(formerly known as MGI US Small/Mid Cap Value Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Shares		Description	Value ($)
		Banks — continued

	121,400	Fulton Financial Corp.		928,710
	4,352	Hancock Holding Co.		116,546
	428,250	Huntington Bancshares, Inc.		2,055,600
	55,100	International Bancshares Corp.		724,565
	273,150	KeyCorp		1,619,779
	8,400	NBT Bancorp, Inc.		156,408
	54,700	Northwest Bancshares, Inc.		651,477
	11,550	Old National Bancorp/IN		107,646
	56,654	People’s United Financial, Inc.		645,856
	9,200	Pinnacle Financial Partners, Inc.*		100,648
	153,200	Popular, Inc.*		229,800
	40,800	PrivateBancorp, Inc.		306,816
	33,700	Prosperity Bancshares, Inc.		1,101,316
	3,900	S&T Bancorp, Inc.		63,024
	32,800	Texas Capital Bancshares, Inc.*		749,480
	17,700	Webster Financial Corp.		270,810
	100,150	Western Alliance Bancorp*		548,822
	3,900	Zions BanCorp		54,873

				13,849,518


		Beverages — 0.4%

	31,600	Constellation Brands, Inc. Class A*		568,800
	59,810	Cott Corp.*		407,306

				976,106


		Biotechnology — 0.3%

	55,100	Affymetrix, Inc.*		269,990
	5,200	Medicines Co. (The)*		77,376
	59,800	PDL BioPharma, Inc.		331,890

				679,256


		Building Materials — 1.0%

	11,000	Apogee Enterprises, Inc.		94,490
	61,600	Gibraltar Industries, Inc.*		500,192
	51,250	Owens Corning, Inc.*		1,111,100
	5,200	Quanex Building Products Corp.		56,940
	21,000	Simpson Manufacturing Co., Inc.		523,530

				2,286,252


		Chemicals — 1.5%

	1,700	Ashland, Inc.		75,038
	500	Eastman Chemical Co.		34,265
	31,700	Ferro Corp.*		194,955
	85,375	Huntsman Corp.		825,576
	20,325	Innophos Holdings, Inc.		810,358

See accompanying Notes to the Financial Statements.


Shares		Description	Value ($)
		Chemicals — continued

	14,800	Innospec, Inc.*		358,308
	3,800	Minerals Technologies, Inc.		187,226
	2,800	OM Group, Inc.*		72,716
	34,300	PolyOne Corp.		367,353
	7,790	Stepan Co.		523,332

				3,449,127


		Coal — 0.7%

	36,000	Arch Coal, Inc.		524,880
	66,520	Cloud Peak Energy, Inc.*		1,127,514

				1,652,394


		Commercial Services — 4.3%

	19,630	ABM Industries, Inc.		374,148
	21,900	Career Education Corp.*		285,795
	5,690	Chemed Corp.		312,722
	62,510	Convergys Corp.*		586,344
	11,200	Education Management Corp.*		166,208
	35,055	Equifax, Inc.		1,077,591
	6,500	Euronet Worldwide, Inc.*		102,310
	51,990	Geo Group (The), Inc.*		964,934
	30,500	Great Lakes Dredge & Dock Corp.		124,135
	15,700	Heidrick & Struggles International, Inc.		258,265
	128,150	Hertz Global Holdings, Inc.*		1,140,535
	8,900	ICF International, Inc.*		167,409
	16,060	Insperity, Inc.		357,335
	12,927	Ituran Location and Control, Ltd.		150,600
	14,300	Kelly Services, Inc. Class A		163,020
	10,700	Korn/Ferry International*		130,433
	24,300	Lincoln Educational Services Corp.		196,587
	35,200	Rent-A-Center, Inc.		966,240
	29,500	Service Corp. International		270,220
	10,400	Stewart Enterprises, Inc. Class A		61,880
	5,100	TeleTech Holdings, Inc.*		77,724
	41,670	Total System Services, Inc.		705,473
	10,700	Viad Corp.		181,686
	15,400	Weight Watchers International, Inc.		897,050

				9,718,644


		Computers — 2.6%

	214,916	Brocade Communications Systems, Inc.*		928,437
	181,725	Cadence Design Systems, Inc.*		1,679,139
	21,170	DST Systems, Inc.		927,881
	14,000	Lexmark International, Inc. Class A*		378,420
	40,300	Quantum Corp.*		72,943
	7,300	SYKES Enterprises, Inc.*		109,135

See accompanying Notes to the Financial Statements.


Shares		Description	Value ($)
		Computers — continued

	10,600	Unisys Corp.*		166,314
	51,950	Western Digital Corp.*		1,336,154
	23,900	Xyratex, Ltd.		221,553

				5,819,976


		Cosmetics & Personal Care — 0.7%

	53,980	Elizabeth Arden, Inc.*		1,535,191
	27,900	Skilled Healthcare Group, Inc. Class A*		100,719

				1,635,910


		Distribution & Wholesale — 0.7%

	80,290	Ingram Micro, Inc. Class A*		1,295,078
	8,311	WESCO International, Inc.*		278,834

				1,573,912


		Diversified Financial Services — 2.8%

	5,800	Cohen & Steers, Inc.		166,750
	33,200	Discover Financial Services		761,608
	40,300	Invesco, Ltd.		625,053
	26,800	Investment Technology Group, Inc.*		262,372
	29,700	Knight Capital Group, Inc. Class A*		361,152
	14,100	Nelnet, Inc. Class A		264,798
	9,100	Oppenheimer Holdings, Inc. Class A		145,964
	68,425	Raymond James Financial, Inc.		1,776,313
	146,800	SLM Corp.		1,827,660

				6,191,670


		Electric — 3.1%

	18,590	Avista Corp.		443,371
	128,175	CMS Energy Corp.		2,536,583
	4,000	DPL, Inc.		120,560
	7,700	El Paso Electric Co.		247,093
	11,100	Integrys Energy Group, Inc.		539,682
	12,000	Northeast Utilities		403,800
	7,300	NSTAR		327,113
	10,500	NV Energy, Inc.		154,455
	39,200	Pepco Holdings, Inc.		741,664
	13,700	Pinnacle West Capital Corp.		588,278
	9,000	Portland General Electric Co.		213,210
	7,400	TECO Energy, Inc.		126,762
	15,340	Unisource Energy Corp.		553,621

				6,996,192

See accompanying Notes to the Financial Statements.


Shares		Description	Value ($)

		Electrical Components & Equipment — 0.2%

	131,100	Alcatel-Lucent, Sponsored ADR*		371,013
	1,400	Hubbell, Inc.		69,356

				440,369


		Electronics — 2.4%

	33,162	Arrow Electronics, Inc.*		921,240
	41,994	Avnet, Inc.*		1,095,204
	25,200	AVX Corp.		299,124
	26,204	Coherent, Inc.*		1,125,724
	8,450	Cubic Corp.		330,141
	14,170	Daktronics, Inc.		121,579
	36,000	Kemet Corp.*		257,400
	15,800	Newport Corp.*		170,798
	7,300	Thomas & Betts Corp.*		291,343
	82,700	Vishay Intertechnology, Inc.*		691,372

				5,303,925


		Energy-Alternate Sources — 0.0%

	4,600	Covanta Holding Corp.		69,874


		Engineering & Construction — 1.2%

	8,500	Dycom Industries, Inc.*		130,050
	88,925	KBR, Inc.		2,101,298
	13,600	Orion Marine Group, Inc.*		78,472
	1,700	Tutor Perini Corp.		19,533
	11,100	URS Corp.*		329,226

				2,658,579


		Entertainment — 0.8%

	6,390	Ascent Media Corp.*		251,255
	15,960	DreamWorks Animation SKG, Inc. Class A*		290,153
	44,130	Madison Square Garden, Inc.*		1,006,164
	6,600	Penn National Gaming, Inc.*		219,714

				1,767,286


		Environmental Control — 0.1%

	10,400	Metalico, Inc.*		40,560
	2,250	Waste Connections, Inc.		76,095

				116,655


		Food — 4.7%

	12,000	B&G Foods, Inc. Class A		200,160
	12,500	Chiquita Brands International, Inc.*		104,250
	8,000	Dole Food Co., Inc.*		80,000
	2,550	Flowers Foods, Inc.		49,623

See accompanying Notes to the Financial Statements.


Shares		Description	Value ($)
		Food — continued

	45,700	Fresh Del Monte Produce, Inc.		1,060,240
	36,225	Hain Celestial Group (The), Inc.*		1,106,674
	17,900	Hormel Foods Corp.		483,658
	11,914	Industries Bachoco, S.A.B., Sponsored ADR		267,708
	10,490	J&J Snack Foods Corp.		504,045
	16,900	Nash Finch Co.		455,117
	3,600	Ralcorp Holdings, Inc.*		276,156
	42,290	Ruddick Corp.		1,648,887
	108,525	Smithfield Foods, Inc.*		2,116,237
	20,350	TreeHouse Foods, Inc.*		1,258,444
	16,963	Village Super Market, Inc. Class A		406,094
	78,225	Winn-Dixie Stores, Inc.*		463,092

				10,480,385


		Forest Products & Paper — 2.4%

	84,200	Boise, Inc.		435,314
	8,300	Buckeye Technologies, Inc.		200,113
	25,700	Clearwater Paper Corp.*		873,286
	18,800	Domtar Corp.		1,281,596
	31,700	KapStone Paper and Packaging Corp.*		440,313
	42,175	MeadWestvaco Corp.		1,035,818
	3,900	Potlatch Corp.		122,928
	14,100	Rayonier, Inc.		518,739
	17,516	Temple-Inland, Inc.		549,477

				5,457,584


		Gas — 2.3%

	4,700	AGL Resources, Inc.		191,478
	6,700	Atmos Energy Corp.		217,415
	40,140	Energen Corp.		1,641,325
	12,200	Laclede Group (The), Inc.		472,750
	3,200	Nicor, Inc.		176,032
	81,625	NiSource, Inc.		1,745,142
	8,300	Southern Union Co.		336,731
	4,400	Southwest Gas Corp.		159,148
	9,700	UGI Corp.		254,819

				5,194,840


		Health Care - Products — 1.5%

	9,900	Cooper Cos. (The), Inc.		783,585
	14,100	Greatbatch, Inc.*		282,141
	10,100	Hill-Rom Holdings, Inc.		303,202
	23,350	ICU Medical, Inc.*		859,280

See accompanying Notes to the Financial Statements.


Shares		Description	Value ($)
		Health Care - Products — continued

	11,300	Invacare Corp.		260,352
	900	Kinetic Concepts, Inc.*		59,301
	28,870	STERIS Corp.		845,025

				3,392,886


		Health Care - Services — 2.8%

	9,900	Almost Family, Inc.*		164,637
	5,200	Amsurg Corp.*		117,000
	17,120	Ensign Group (The), Inc.		395,643
	227,050	Health Management Associates, Inc. Class A*		1,571,186
	94,500	Health Net, Inc.*		2,240,595
	10,100	Healthways, Inc.*		99,283
	15,400	LifePoint Hospitals, Inc.*		564,256
	9,600	Magellan Health Services, Inc.*		463,680
	4,550	National Healthcare Corp.		146,965
	14,500	WellCare Health Plans, Inc.*		550,710

				6,313,955


		Home Builders — 0.0%

	18,500	Pulte Homes, Inc.*		73,075


		Home Furnishings — 0.1%

	10,600	Leggett & Platt, Inc.		209,774


		Household Products & Wares — 0.3%

	29,300	American Greetings Corp. Class A		542,050
	25,100	Central Garden and Pet Co. Class A*		177,708

				719,758


		Insurance — 7.6%

	2,253	Alleghany Corp.*		649,991
	27,650	Allied World Assurance Co. Holdings, Ltd.		1,485,081
	51,980	Alterra Capital Holdings, Ltd.		986,061
	19,200	American Financial Group, Inc.		596,544
	39,025	Arch Capital Group, Ltd.*		1,275,142
	8,100	Argo Group International Holdings, Ltd.		229,797
	2,300	Assurant, Inc.		82,340
	2,700	Axis Capital Holdings, Ltd.		70,038
	15,900	CNO Financial Group, Inc.*		86,019
	23,100	Endurance Specialty Holdings, Ltd.		788,865
	5,000	Fidelity National Financial, Inc. Class A		75,900
	53,900	Horace Mann Educators Corp.		614,999
	11,300	Infinity Property & Casualty Corp.		593,024
	9,200	Kemper Corp.		220,432
	85,350	Lincoln National Corp.		1,334,021

See accompanying Notes to the Financial Statements.


Shares		Description	Value ($)
		Insurance — continued

	12,800	Meadowbrook Insurance Group, Inc.		114,048
	6,085	Navigators Group, Inc.*		262,872
	25,120	PartnerRe, Ltd.		1,313,022
	7,300	Protective Life Corp.		114,099
	22,890	Reinsurance Group of America, Inc.		1,051,796
	10,500	Tower Group, Inc.		240,030
	6,000	Transatlantic Holdings, Inc.		291,120
	24,345	Validus Holdings, Ltd.		606,677
	3,119	White Mountains Insurance Group, Ltd.		1,265,534
	14,800	Willis Group Holdings Plc		508,676
	22,270	WR Berkley Corp.		661,196
	75,625	XL Group Plc		1,421,750

				16,939,074


		Internet — 1.2%

	16,400	IAC/InterActiveCorp*		648,620
	10,600	Infospace, Inc.*		88,616
	6,840	j2 Global Communications, Inc.		183,996
	117,525	ValueClick, Inc.*		1,828,689

				2,749,921


		Investment Companies — 0.6%

	46,800	American Capital, Ltd.*		319,176
	11,000	Apollo Investment Corp.		82,720
	2,830	Capital Southwest Corp.		209,420
	98,500	MCG Capital Corp.		390,060
	9,200	Solar Capital, Ltd.		185,196
	9,900	TICC Capital Corp.		80,883

				1,267,455


		Iron & Steel — 0.1%

	13,400	Steel Dynamics, Inc.		132,928


		Leisure Time — 0.6%

	25,300	Harley-Davidson, Inc.		868,549
	20,650	WMS Industries, Inc.*		363,234

				1,231,783


		Lodging — 0.5%

	36,950	Ameristar Casinos, Inc.		593,047
	18,325	Wyndham Worldwide Corp.		522,446

				1,115,493

See accompanying Notes to the Financial Statements.


Shares		Description	Value ($)

		Machinery - Construction & Mining — 0.0%

	1,300	Astec Industries, Inc.*		38,064
	3,400	Terex Corp.*		34,884

				72,948


		Machinery - Diversified — 1.0%

	8,200	AGCO Corp.*		283,474
	22,100	Applied Industrial Technologies, Inc.		600,236
	18,800	Briggs & Stratton Corp.		253,988
	7,300	Kadant, Inc.*		129,648
	9,900	Middleby Corp.*		697,554
	2,800	NACCO Industries, Inc. Class A		177,520

				2,142,420


		Media — 0.7%

	30,860	Dolan Co. (The)*		277,431
	14,400	Gannett Co., Inc.		137,232
	3,300	Liberty Media Corp. — Starz Series A*		209,748
	2,600	Liberty Media Corp. — Liberty Capital*		171,912
	31,500	McClatchy Co. (The) Class A*		42,210
	25,000	Scholastic Corp.		700,750
	9,000	Sinclair Broadcast Group, Inc.		64,530

				1,603,813


		Metal Fabricate & Hardware — 1.3%

	24,100	CIRCOR International, Inc.		707,817
	6,000	Mueller Industries, Inc.		231,540
	60,850	Timken Co. (The)		1,997,097

				2,936,454


		Mining — 2.1%

	100,700	Aurizon Mines, Ltd.*		510,549
	20,400	Century Aluminum Co.*		182,376
	9,100	Coeur d’Alene Mines Corp.*		195,104
	20,800	Horsehead Holding Corp.*		154,336
	1,700	Materion Corp.*		38,556
	119,925	Noranda Aluminum Holding Corp.*		1,001,374
	336,316	Northgate Minerals Corp.*		1,109,843
	12,200	Royal Gold, Inc.		781,532
	108,600	Thompson Creek Metals Co., Inc.*		659,202

				4,632,872


		Miscellaneous - Manufacturing — 2.5%

	600	Ameron International Corp.		50,964
	11,610	Aptargroup, Inc.		518,619
	45,845	Brink’s Co. (The)		1,068,647

See accompanying Notes to the Financial Statements.


Shares		Description	Value ($)
		Miscellaneous - Manufacturing — continued

	20,400	Ceradyne, Inc.*		548,556
	133,864	Griffon Corp.*		1,095,008
	2,600	Harsco Corp.		50,414
	42,650	Pentair, Inc.		1,365,226
	3,300	Teleflex, Inc.		177,441
	7,500	Trimas Corp.*		111,375
	30,900	Trinity Industries, Inc.		661,569

				5,647,819


		Oil & Gas — 2.6%

	22,800	Delek US Holdings, Inc.		256,956
	145,214	Denbury Resources, Inc.*		1,669,961
	19,480	Endeavour International Corp.*		155,450
	10,700	Energy Partners, Ltd.*		118,449
	37,720	Miller Energy Resources, Inc.*		99,581
	3,800	Patterson-UTI Energy, Inc.		65,892
	48,200	Petroquest Energy, Inc.*		265,100
	6,700	Pioneer Drilling Co.*		48,106
	20,510	Rex Energy Corp.*		259,451
	3,500	Rowan Cos., Inc.*		105,665
	2,464	SM Energy Co.		149,442
	26,500	Stone Energy Corp.*		429,565
	2,300	Tesoro Corp.*		44,781
	2,900	Unit Corp.*		107,068
	45,400	Vaalco Energy, Inc.*		220,644
	51,600	W&T Offshore, Inc.		710,016
	90,100	Western Refining, Inc.*		1,122,646

				5,828,773


		Oil & Gas Services — 2.1%

	60,900	Helix Energy Solutions Group, Inc.*		797,790
	35,300	Hercules Offshore, Inc.*		103,076
	22,325	Oil States International, Inc.*		1,136,789
	18,900	SEACOR Holdings, Inc.		1,515,969
	1,800	SemGroup Corp.*		35,928
	29,675	Superior Energy Services*		778,672
	2,700	Tesco Corp.*		31,320
	36,890	Tetra Technologies, Inc.*		284,791

				4,684,335


		Packaging & Containers — 0.4%

	20,300	Ball Corp.		629,706
	6,914	Packaging Corp. of America		161,096
	8,700	Sealed Air Corp.		145,290

				936,092

See accompanying Notes to the Financial Statements.


Shares		Description	Value ($)

		Pharmaceuticals — 1.5%

	1,500	Hi-Tech Pharmacal Co., Inc.*		50,400
	89,700	KV Pharmaceutical Co. Class A*		121,095
	20,100	Omega Protein Corp.*		182,508
	31,400	Omnicare, Inc.		798,502
	29,600	Salix Pharmaceuticals, Ltd.*		876,160
	29,800	Sirona Dental Systems, Inc.*		1,263,818

				3,292,483


		Pipelines — 0.0%

	3,600	Questar Corp.		63,756


		Real Estate — 0.6%

	113,400	Forestar Group, Inc.*		1,237,194
	24,630	Hilltop Holdings, Inc.*		177,582

				1,414,776

		REITS — 6.2%

	2,000	Acadia Realty Trust REIT		37,400
	4,200	Alexandria Real Estate Equities, Inc. REIT		257,838
	3,768	American Campus Communities, Inc. REIT		140,207
	16,350	American Capital Agency Corp. REIT		443,085
	8,200	Anworth Mortgage Asset Corp. REIT		55,760
	114,625	BioMed Realty Trust, Inc. REIT		1,899,336
	8,300	Brandywine Realty Trust REIT		66,483
	4,300	Bre Properties, Inc. REIT		182,062
	5,100	Camden Property Trust REIT		281,826
	4,600	Capstead Mortgage Corp. REIT		53,084
	88,400	CBL & Associates Properties, Inc. REIT		1,004,224
	66,100	Chimera Investment Corp. REIT		183,097
	6,000	Colonial Properties Trust REIT		108,960
	4,775	CommonWealth REIT		90,582
	6,600	CubeSmart REIT		56,298
	14,800	DDR Corp. REIT		161,320
	11,153	DiamondRock Hospitality Co. REIT		77,959
	9,500	Douglas Emmett, Inc. REIT		162,450
	18,600	Duke Realty Corp. REIT		195,300
	32,250	DuPont Fabros Technology, Inc. REIT		635,003
	1,000	EastGroup Properties, Inc. REIT		38,140
	3,500	Entertainment Properties Trust REIT		136,430
	2,700	Equity One, Inc. REIT		42,822
	1,900	Essex Property Trust, Inc. REIT		228,076
	6,600	Extra Space Storage, Inc. REIT		122,958
	3,300	Federal Realty Investment Trust REIT		271,953
	1,000	First Industrial Realty Trust, Inc. REIT*		8,000
	2,800	First Potomac Realty Trust REIT		34,916
	2,200	Government Properties Income Trust REIT		47,322

See accompanying Notes to the Financial Statements.


Shares		Description	Value ($)
		REITS — continued

	3,600	Hatteras Financial Corp. REIT		90,576
	7,900	Health Care, Inc. REIT		369,720
	4,500	Healthcare Realty Trust, Inc. REIT		75,825
	4,900	Highwoods Properties, Inc. REIT		138,474
	38,275	Home Properties, Inc. REIT		2,172,489
	9,700	Hospitality Properties Trust REIT		205,931
	5,300	Inland Real Estate Corp. REIT		38,690
	10,575	Invesco Mortgage Capital, Inc. REIT		149,425
	4,500	Investors Real Estate Trust REIT		32,400
	6,400	iStar Financial, Inc. REIT*		37,248
	5,100	Lasalle Hotel Properties REIT		97,920
	7,073	Lexington Realty Trust REIT		46,257
	8,300	Liberty Property Trust REIT		241,613
	3,500	LTC Properties, Inc. REIT		88,620
	1,929	Macerich Co. (The) REIT		82,233
	5,300	Mack-Cali Realty Corp. REIT		141,775
	8,100	Medical Properties Trust, Inc. REIT		72,495
	18,800	MFA Financial, Inc. REIT		131,976
	1,000	Mid-America Apartment Communities, Inc. REIT		60,220
	1,600	National Health Investors, Inc. REIT		67,408
	6,300	National Retail Properties, Inc. REIT		169,281
	5,400	Omega Healthcare Investors, Inc. REIT		86,022
	3,400	Pennsylvania Real Estate Investment Trust REIT		26,282
	3,500	Piedmont Office Realty Trust, Inc. REIT		56,595
	3,600	Post Properties, Inc. REIT		125,064
	1,100	PS Business Parks, Inc. REIT		54,494
	4,200	Ramco-Gershenson Properties Trust REIT		34,440
	7,900	Realty Income Corp. REIT		254,696
	6,000	Redwood Trust, Inc. REIT		67,020
	4,500	Retail Opportunity Investments Corp. REIT		49,860
	10,700	Sabra Healthcare, Inc. REIT		102,078
	9,100	Senior Housing Properties Trust REIT		196,014
	2,100	Sovran Self Storage, Inc. REIT		78,057
	3,200	Starwood Property Trust, Inc. REIT		54,912
	67,100	Summit Hotel Properties, Inc. REIT		473,726
	1,300	Sun Communities, Inc. REIT		45,747
	6,600	Sunstone Hotel Investors, Inc. REIT*		37,554
	2,600	Tanger Factory Outlet Centers REIT		67,626
	4,000	Taubman Centers, Inc. REIT		201,240
	1,184	UDR, Inc. REIT		26,214
	3,700	Urstadt Biddle Properties, Inc. REIT Class A		59,089
	3,500	Washington Real Estate Investment Trust REIT		98,630
	8,600	Weingarten Realty Investors REIT		182,062

				13,910,889

See accompanying Notes to the Financial Statements.


Shares		Description	Value ($)

		Retail — 8.8%

	35,600	American Eagle Outfitters, Inc.		417,232
	52,170	Big Lots, Inc.*		1,817,081
	74,890	Bob Evans Farms, Inc.		2,135,863
	61,200	Brinker International, Inc.		1,280,304
	28,200	Casey’s General Stores, Inc.		1,230,930
	16,490	Cracker Barrel Old Country Store, Inc.		660,919
	1,700	Dillard’s, Inc. Class A		73,916
	27,500	Finish Line (The) Class A		549,725
	38,250	Foot Locker, Inc.		768,442
	36,510	Fred’s, Inc. Class A		389,197
	20,900	GameStop Corp. Class A*		482,790
	30,000	Insight Enterprises, Inc.*		454,200
	68,975	Macy’s, Inc.		1,815,422
	11,975	Nu Skin Enterprises, Inc. Class A		485,227
	29,600	Pacific Sunwear of California, Inc.*		35,520
	57,940	Pep Boys — Manny, Moe & Jack (The)		571,868
	13,490	Petsmart, Inc.		575,348
	106,000	Pier 1 Imports, Inc.*		1,036,680
	25,775	PVH Corp.		1,501,136
	14,400	RadioShack Corp.		167,328
	40,600	Regis Corp.		572,054
	335,200	Rite Aid Corp.*		328,496
	64,600	Signet Jewelers, Ltd.*		2,183,480
	29,200	Wet Seal (The), Inc. Class A*		130,816

				19,663,974


		Savings & Loans — 1.0%

	10,200	Astoria Financial Corp.		78,438
	182,600	First Niagara Financial Group, Inc.		1,670,790
	38,500	Provident Financial Services, Inc.		413,875

				2,163,103


		Semiconductors — 3.6%

	16,500	Amtech Systems, Inc.*		132,000
	144,950	Atmel Corp.*		1,169,747
	95,175	Brooks Automation, Inc.		775,676
	18,400	Entegris, Inc.*		117,392
	10,400	International Rectifier Corp.*		193,648
	85,400	Kulicke & Soffa Industries, Inc.*		637,084
	57,000	LTX-Credence Corp.*		301,530
	78,800	MKS Instruments, Inc.		1,710,748
	24,000	Novellus Systems, Inc.*		654,240
	197,100	PMC-Sierra, Inc.*		1,178,658
	14,500	Rudolph Technologies, Inc.*		97,005

See accompanying Notes to the Financial Statements.


Shares		Description	Value ($)
		Semiconductors — continued

	99,900	Teradyne, Inc.*		1,099,899
	2,900	Tessera Technologies, Inc.*		34,626

				8,102,253


		Shipbuilding — 0.1%

	4,300	Huntington Ingalls Industries, Inc.*		104,619


		Software — 0.9%

	21,330	CSG Systems International, Inc.*		269,611
	33,200	Electronic Arts, Inc.*		678,940
	15,190	Mantech International Corp.		476,662
	56,700	Schawk, Inc.		559,629

				1,984,842


		Telecommunications — 1.7%

	9,580	Atlantic Tele-Network, Inc.		314,990
	2,900	Black Box Corp.		61,915
	19,500	Comtech Telecommunications Corp.		547,755
	57,225	MasTec, Inc.*		1,007,732
	38,910	NeuStar, Inc. Class A*		978,198
	6,800	Oplink Communications, Inc.*		102,952
	32,400	Opnext, Inc.*		40,500
	29,400	TeleNav, Inc.*		260,778
	11,400	Telephone & Data Systems, Inc.		242,250
	48,200	Vonage Holdings Corp.*		125,320

				3,682,390


		Textiles — 0.8%

	19,520	G&K Services, Inc. Class A		498,541
	30,075	UniFirst Corp.		1,362,097

				1,860,638


		Toys, Games & Hobbies — 0.2%

	22,300	Jakks Pacific, Inc.		422,585


		Transportation — 1.2%

	20,500	Atlas Air Worldwide Holdings, Inc.*		682,445
	20,200	Frontline, Ltd.		97,970
	5,500	Knightsbridge Tankers, Ltd.		91,025
	49,550	Ryder System, Inc.		1,858,620

				2,730,060

See accompanying Notes to the Financial Statements.


Shares		Description	Value ($)

		Trucking & Leasing — 0.2%

	28,110	Aircastle, Ltd.		267,607
	1,900	Amerco, Inc.*		118,655

				386,262


		Water — 1.0%

	72,125	American Water Works Co., Inc.		2,176,733


		TOTAL COMMON STOCKS (COST $244,465,050)		219,254,733


Par Value ($)		Description	Value ($)

		SHORT-TERM INVESTMENTS — 2.2%

		Bank Deposits — 2.2%

	4,794,410	State Street Bank & Trust Euro Time Deposit, 0.01%, due 10/03/11		4,794,410


		TOTAL SHORT-TERM INVESTMENTS (COST $4,794,410)		4,794,410


		TOTAL INVESTMENTS — 100.1% (Cost $249,259,460)		224,049,143

		Other Assets and Liabilities (net) — (0.1)%		(163,092	)


		NET ASSETS — 100.0%	$	223,886,051


		Notes to Schedule of Investments:

		ADR — American Depository Receipt

		REIT — Real Estate Investment Trust

		* Non-income producing security

See accompanying Notes to the Financial Statements.

Mercer Non-US Core Equity Fund
(formerly known as MGI Non-US Core Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Shares		Description	Value ($)

		Belgium — 1.0%

	44,869	AGFA-Gevaert NV*		116,240
	154,903	Anheuser-Busch InBev NV, ADR		8,226,992
	1,734	Barco NV		78,846
	31,764	Delhaize Group		1,857,318
	520	EVS Broadcast Equipment SA		27,050
	14,803	Groupe Bruxelles Lambert SA		1,043,227
	8,389	KBC Ancora*		69,294
	101,706	KBC Groep NV		2,344,319
	5,829	Melexis NV		70,985
	5,763	Solvay SA		542,921
	5,240	Tessenderlo Chemie NV		143,281

		Total Belgium		14,520,473


		Bermuda — 0.8%

	91,269	Alliance Oil Co., Ltd., ADR*		968,026
	9,195	Archer, Ltd.*		33,500
	53,000	Biosensors International Group, Ltd.*		49,248
	325,646	BW Offshore, Ltd.		567,020
	503,246	Catlin Group, Ltd.		2,898,328
	138,000	Cheung Kong Infrastructure Holdings, Ltd.		805,661
	2,869	Credicorp, Ltd.		264,522
	127,500	Dickson Concepts International, Ltd.		60,377
	1,043,933	Esprit Holdings, Ltd.		1,273,616
	55,391	Frontline, Ltd.		266,472
	405,143	Hiscox, Ltd.		2,311,004
	1,330,000	Huabao International Holdings, Ltd.		1,084,546
	17,000	Jardine Strategic Holdings, Ltd.		445,031
	83,868	Lancashire Holdings, Ltd.		897,113
	17,000	Luk Fook Holdings International, Ltd.		48,675
	21,500	Orient Overseas International, Ltd.		86,080
	54,639	Petra Diamonds, Ltd.*		94,732

		Total Bermuda		12,153,951


		Brazil — 2.5%

	245,203	Banco do Brasil SA		3,281,262
	421,025	BR Malls Participacoes SA		4,357,113
	40,910	CCR SA		1,078,812
	65,984	Cia de Bebidas das Americas, ADR		2,022,410
	112,300	Cia Siderurgica Nacional SA, Sponsored ADR		891,662
	121,760	Cielo SA		2,748,414
	64,640	Companhia Energetica de Minas Gerais, Sponsored ADR		959,258
	15,309	CPFL Energia SA, ADR		339,094
	478,504	Diagnosticos da America SA		4,121,901
	14,211	Embraer SA, ADR		360,533
	239,770	Itau Unibanco Holding SA, ADR		3,721,230
	56,100	Natura Cosmeticos SA		967,111

See accompanying Notes to the Financial Statements.

Mercer Non-US Core Equity Fund
(formerly known as MGI Non-US Core Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Shares		Description	Value ($)
		Brazil — continued

	239,874	Petroleo Brasileiro SA, Sponsored ADR		4,970,189
	192,218	Redecard SA		2,650,926
	87,380	Souza Cruz SA		890,629
	33,500	Tractebel Energia SA		471,030
	65,100	Vale SA, ADR		1,367,100
	107,779	Vale SA, Sponsored ADR		2,457,361

		Total Brazil		37,656,035


		Canada — 1.2%

	20,200	Agrium, Inc.		1,352,094
	234,535	Cameco Corp.		4,330,362
	10,100	Empire Co., Ltd.		557,315
	60,700	First Quantum Minerals, Ltd.		812,595
	155,836	Gildan Activewear, Inc.		4,067,693
	6,629	Industrial Alliance Insurance and Financial Services, Inc.		196,952
	49,800	Magna International, Inc. Class A		1,655,938
	14,485	National Bank of Canada		971,505
	111,200	New Gold, Inc.*		1,154,632
	128,342	Nexen, Inc.		2,007,557
	64,300	Precision Drilling Corp.*		538,687

		Total Canada		17,645,330


		Cayman Islands — 0.6%

	4,369	Baidu, Inc., Sponsored ADR*		467,090
	427,000	Belle International Holdings, Ltd.		730,932
	1,522,000	Evergrande Real Estate Group, Ltd.		461,166
	670,000	Hutchison Telecommunications Hong Kong Holdings, Ltd.		234,632
	11,500	Netease.com, Inc., ADR*		438,840
	554,000	SA SA International Holdings, Ltd.		327,325
	238,800	Tencent Holdings, Ltd.		4,888,125
	678,000	Want Want China Holdings, Ltd.		600,287
	175,600	Wynn Macau, Ltd.		403,660

		Total Cayman Islands		8,552,057


		Chile — 0.1%

	9,396	Banco Santander Chile, ADR		690,418
	62,968	SACI Falabella		498,957
	7,011	Sociedad Quimica y Minera de Chile SA, Sponsored ADR		335,196

		Total Chile		1,524,571


		China — 0.2%

	1,044,190	China Construction Bank Class H		623,288
	784,000	China Petroleum & Chemical Corp. Class H		755,322
	476,000	Dongfeng Motor Group Co., Ltd. Class H		631,055
	1,010,000	Industrial & Commercial Bank of China Class H		488,372

See accompanying Notes to the Financial Statements.

Mercer Non-US Core Equity Fund
(formerly known as MGI Non-US Core Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Shares		Description	Value ($)
		China — continued

	78,500	Ping An Insurance Group Co. Class H		436,941
	133,900	Weichai Power Co., Ltd.		609,218

		Total China		3,544,196


		Cyprus — 0.1%

	152,912	Bank of Cyprus Public Co., Ltd.		238,150
	41,438	ProSafe SE		269,092
	170,881	Songa Offshore SE*		528,643

		Total Cyprus		1,035,885


		Denmark — 0.7%

	3,157	Coloplast AS		456,333
	14,703	Jyske Bank AS*		436,702
	70,002	Novo Nordisk AS		6,969,518
	26,817	Sydbank AS		474,558
	294,471	TDC AS		2,406,193

		Total Denmark		10,743,304


		Egypt — 0.1%

	199,933	Commercial International Bank		769,743
	17,998	Eastern Tobacco		264,000
	11,877	Egyptian Co. for Mobile Services		188,152
	24,620	Orascom Construction Industries		895,189

		Total Egypt		2,117,084


		Finland — 0.7%

	232,343	Fortum OYJ		5,464,347
	3,464	Huhtamaki OYJ		36,273
	731,939	Nokia OYJ		4,152,043
	63,778	Nokia OYJ, Sponsored ADR		360,984
	7,323	Sampo OYJ Class A		183,677
	24,779	Tieto OYJ		312,973

		Total Finland		10,510,297


		France — 7.5%

	4,634	Alten, Ltd.		125,085
	3,170	April Group		48,562
	8,890	Arkema SA		517,028
	422,985	AXA SA		5,500,080
	204,374	BNP Paribas		8,101,381
	92,500	Bouygues SA		3,065,510
	14,509	CFAO SA		521,049
	220,974	Cie Generale de Geophysique-Veritas*		3,885,852
	51,935	CNP Assurances		767,997
	228,348	Credit Agricole SA		1,572,008

See accompanying Notes to the Financial Statements.

Mercer Non-US Core Equity Fund
(formerly known as MGI Non-US Core Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Shares		Description	Value ($)
		France — continued

	73,123	Dassault Systemes SA		5,170,701
	31,253	Essilor International		2,255,579
	14,770	Euler Hermes SA		893,428
	1,607	Eurazeo		67,630
	220,523	Faurecia		4,710,513
	18,437	GameLoft SA*		89,759
	13,461	GDF Suez		402,710
	116,241	Groupe Danone SA		7,164,027
	9,477	Imerys SA		476,128
	38,354	Ipsen SA		1,156,022
	13,043	Lafarge SA		449,676
	23,036	Lagardere S.C.A.		565,971
	90,457	Legrand SA		2,824,105
	35,336	LVMH Moet Hennessy Louis Vuitton SA		4,692,614
	709,248	Natixis		2,248,214
	51,322	Neopost SA		3,777,050
	68,309	PagesJaunes Groupe		269,203
	3,087	Parrot SA*		63,290
	57,741	Peugeot SA		1,230,302
	8,084	Plastic Omnium SA		190,673
	140,949	Renault SA		4,678,543
	1,648	Sanofi, ADR		54,054
	179,840	Sanofi-Aventis		11,825,315
	274,360	SCOR SE		5,923,406
	20,884	Sequana		127,769
	202,290	Societe Generale		5,308,015
	1,329	Societe Internationale de Plantations d’Heveas SA		135,667
	32,778	Societe Television Francaise 1		407,868
	185,743	Theolia SA*		232,418
	139,123	Total SA		6,142,956
	55,275	Total SA, Sponsored ADR, Sponsored ADR		2,424,914
	132,463	UBISOFT Entertainment*		715,460
	37,716	Valeo SA		1,586,099
	403,044	Vivendi SA		8,241,171

		Total France		110,605,802


		Germany — 6.5%

	21,502	ADVA AG Optical Networking*		95,705
	71,563	Allianz AG		6,743,936
	17,421	BASF SE		1,058,558
	196,019	Bayer AG		10,788,098
	43,011	Bayerische Motoren Werke AG		2,854,070
	10,955	Brenntag AG		953,976
	2,583	Celesio AG		34,146
	25,662	Continental AG*		1,476,831
	61,600	Deutsche Bank AG		2,149,391

See accompanying Notes to the Financial Statements.

Mercer Non-US Core Equity Fund
(formerly known as MGI Non-US Core Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Shares		Description	Value ($)
		Germany — continued

	133,772	Deutsche Lufthansa		1,728,171
	609,128	Deutsche Post AG		7,796,415
	191,585	Deutsche Telekom AG		2,256,944
	221,609	Deutsche Wohnen AG		2,958,417
	96,340	Deutz AG*		530,763
	547	Draegerwerk AG & Co. KGaA		41,474
	507,816	E.ON AG		11,091,046
	4,416	E.ON AG, Sponsored ADR		95,871
	22,872	Freenet AG		268,916
	138,024	Fresenius SE		12,267,387
	219,009	GEA Group AG		5,124,688
	15,701	Gerresheimer AG		651,234
	40,450	Gildemeister AG*		512,820
	77,602	GSW Immobilien AG*		2,206,376
	14,527	Hannover Rueckversicherung AG		658,234
	87,771	Infineon Technologies AG		647,326
	12,229	Leoni AG		392,860
	38,642	Linde AG		5,161,286
	63,022	Muenchener Rueckver AG		7,823,267
	63,928	Rhoen Klinikum AG		1,296,125
	73,041	RWE AG		2,693,483
	14,335	Software AG		453,715
	82,039	Symrise AG		1,908,957
	84,400	Thyssenkrupp AG		2,074,610

		Total Germany		96,795,096


		Greece — 0.4%

	275,419	Coca Cola Hellenic Bottling Co. SA*		4,879,037
	6,420	Folli Follie Group*		55,626
	25,805	JUMBO SA		134,039
	72,007	OPAP SA		731,666
	32,197	Public Power Corp. SA		257,942

		Total Greece		6,058,310


		Hong Kong — 1.0%

	442,000	Cathay Pacific Airways, Ltd.		716,364
	295,000	Cheung Kong Holdings, Ltd.		3,159,109
	2,905,800	China Resources Power Holdings Co., Ltd.		4,342,695
	883,830	China Unicom Hong Kong, Ltd.		1,807,565
	66,500	CLP Holdings, Ltd.		595,458
	327,000	CNOOC, Ltd.		523,919
	197,000	Hong Kong & China Gas Co., Ltd.		445,201
	129,000	Melco International Development		82,443
	594,903	New World Development, Ltd.		559,756
	1,827,000	PCCW, Ltd.		676,066
	205,000	Regal Real Estate Investment Trust REIT		40,440

See accompanying Notes to the Financial Statements.

Mercer Non-US Core Equity Fund
(formerly known as MGI Non-US Core Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Shares		Description	Value ($)
		Hong Kong — continued

	627,000	SJM Holdings, Ltd.		1,091,770
	8,000	Wheelock & Co., Ltd.		23,395

		Total Hong Kong		14,064,181


		Hungary — 0.1%

	51,753	OTP Bank Nyrt		762,098


		India — 0.7%

	8,824	Bajaj Auto, Ltd.		275,625
	94,140	Bank of India		598,486
	38,039	Bharat Heavy Electricals, Ltd.		1,256,014
	61,858	HDFC Bank, Ltd.		582,761
	69,911	Hindalco Industries, Ltd., GDR 144A		187,641
	39,189	Housing Development Finance Corp.		506,752
	9,200	Infosys, Ltd., Sponsored ADR		469,844
	13,910	Infosys, Ltd.		704,354
	272,471	ITC, Ltd.		1,091,409
	85,516	Jindal Steel & Power, Ltd.		865,505
	17,862	Larsen & Toubro, Ltd.		486,006
	3,142	Nestle India, Ltd.		271,605
	78,624	Punjab National Bank		1,520,627
	58,466	Sun Pharmaceutical Industries, Ltd.		548,718
	35,357	Tata Consultancy Services, Ltd.		729,669
	153,540	Tata Motors, Ltd.		475,179
	30,600	Tata Steel, Ltd., GDR		261,143

		Total India		10,831,338


		Indonesia — 0.5%

	137,000	Astra International Tbk PT		967,612
	755,211	Bank Mandiri		527,400
	1,165,500	Bank Rakyat Indonesia Persero Tbk PT		764,707
	783,500	Indofood Sukses Makmur Tbk PT		441,936
	1,472,500	Perusahaan Gas Negara PT		438,123
	53,810	PT Telekomunikasi Indonesia, Sponsored ADR		1,779,497
	771,600	Semen Gresik Persero Tbk PT		721,856
	296,500	Tambang Batubara Bukit Asam Tbk PT		554,996
	252,914	United Tractors Tbk PT		616,257

		Total Indonesia		6,812,384


		Ireland — 0.7%

	9,633	C&C Group Plc		36,371
	62,315	CRH Plc		973,802
	220,700	CRH Plc (Dublin Exchange)		3,408,973
	222,355	Ryanair Holdings Plc, Sponsored ADR*		5,725,641

		Total Ireland		10,144,787

See accompanying Notes to the Financial Statements.

Mercer Non-US Core Equity Fund
(formerly known as MGI Non-US Core Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Shares		Description	Value ($)

		Israel — 0.9%

	606,241	Bezeq Israeli Telecommunication Corp., Ltd.		1,134,044
	314,741	Israel Chemicals, Ltd.		3,582,750
	761	Israel Corp., Ltd. (The)		490,910
	207,515	Teva Pharmaceutical Industries, Ltd., Sponsored ADR		7,723,708

		Total Israel		12,931,412


		Italy — 1.9%

	81,504	Assicurazioni Generali Spa		1,289,354
	11,982	Autostrada Torino-Milano Spa		113,780
	96,369	Azimut Holding Spa		665,452
	61,436	Banca Piccolo Credito Valtellinese Scarl		184,132
	45,168	Buongiorno Spa*		53,922
	21,213	De’Longhi Spa		190,560
	383,303	ENI Spa		6,744,606
	32,677	Exor Spa		638,543
	93,766	Fiat Spa (MIL Exchange)		507,499
	2,397,069	Intesa Sanpaolo Spa		3,750,900
	244,720	Intesa Sanpaolo Spa-RSP		313,997
	118,107	Mediobanca Spa		931,534
	85,785	Mediolanum Spa		311,506
	85,690	Pirelli & C Spa		608,966
	54,222	RCS MediaGroup Spa*		51,249
	40,859	Recordati Spa		355,755
	3,637,966	Telecom Italia Spa		3,956,040
	5,824	Telecom Italia Spa, Sponsored ADR		62,958
	2,596,429	Telecom Italia Spa-RNC		2,526,185
	2,883	Tod’s Spa		242,942
	3,920,968	UniCredito Italiano Spa		4,178,661
	215,850	Unione di Banche Italiane SCPA		798,170

		Total Italy		28,476,711


		Japan — 24.1%

	16,000	ADEKA Corp.		171,075
	90,200	Aeon Co., Ltd.		1,218,371
	62,000	Aichi Steel Corp.		367,556
	9,500	Ain Pharmaciez, Inc.		420,391
	49,000	Air Water, Inc.		605,102
	126,700	Aisin Seiki Co., Ltd.		4,212,081
	98,000	Ajinomoto Co., Inc.		1,159,741
	92,300	Alpine Electronics, Inc.		1,185,745
	33,800	Alps Electric Co., Ltd.		259,056
	30,000	Anritsu Corp.		332,087
	60,000	AOC Holdings, Inc.		338,096
	64,000	Aozora Bank, Ltd.		146,793
	9,000	Ariake Japan Co., Ltd.		182,548
	88,800	Asahi Breweries, Ltd.		1,881,696

See accompanying Notes to the Financial Statements.

Mercer Non-US Core Equity Fund
(formerly known as MGI Non-US Core Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Shares		Description	Value ($)
		Japan — continued

	27,700	Asahi Diamond Industrial Co., Ltd.		385,188
	270,000	Asahi Glass Co., Ltd.		2,634,179
	280,000	Asahi Kasei Corp.		1,681,608
	51,700	Astellas Pharma, Inc.		1,951,667
	60,500	Best Denki Co., Ltd.*		171,166
	221,900	Bridgestone Corp.		5,034,715
	45,600	Brother Industries, Ltd.		534,819
	305,000	Calsonic Kansei Corp.		1,843,624
	3,700	Capcom Co., Ltd.		92,487
	147,000	Central Glass Co., Ltd.		715,446
	12,700	Century Tokyo Leasing Corp.		250,523
	177,294	Chiba Bank, Ltd. (The)		1,227,664
	20,700	Chugai Pharmaceutical Co., Ltd.		351,002
	11,200	Circle K Sunkus Co., Ltd.		188,360
	32,900	CKD Corp.		193,775
	183,000	Clarion Co., Ltd.*		299,190
	53,700	Coca-Cola Central Japan Co., Ltd.		756,281
	6,400	Cocokara fine, Inc.		174,832
	6,600	Cosmos Pharmaceutical Corp.		339,635
	38,000	Daido Steel Co., Ltd.		226,284
	171,632	Daiei, Inc.*		629,322
	243,000	Daihatsu Motor Co., Ltd.		4,395,595
	94,700	Daiichi Sanyko Co., Ltd.		1,973,123
	11,300	Daiichikosho Co., Ltd.		222,764
	106,000	Dainippon Screen Manufacturing Co., Ltd.		648,615
	24,200	Dainippon Sumitomo Pharma Co., Ltd.		266,480
	502,000	Daiwa House Industry Co., Ltd.		6,464,995
	912,246	Daiwa Securities Group, Inc.		3,406,120
	142,800	Dena Co., Ltd.		5,977,939
	95,900	Denso Corp.		3,075,767
	246,000	DIC Corp.		446,287
	75,000	Dowa Holdings Co., Ltd.		416,415
	52	Dr Ci:Labo Co., Ltd.		335,471
	44,000	Eagle Industry Co., Ltd.		479,715
	24,622	East Japan Railway Co.		1,496,007
	110,600	EDION Corp.		924,201
	11,600	Eisai Co., Ltd.		467,822
	15,900	Exedy Corp.		600,238
	8,600	FCC Co., Ltd.		178,595
	157,000	Fuji Heavy Industries, Ltd.		917,708
	14,000	Fuji Machine Manufacturing Co., Ltd.		247,909
	2,050	Fuji Media Holdings, Inc.		2,942,225
	35,100	FUJIFILM Holdings Corp.		815,213
	91,000	Fujitsu General, Ltd.		536,863
	424,000	Fujitsu, Ltd.		1,998,703
	216,000	Furukawa Electric Co., Ltd.		587,337
	10,100	Fuyo General Lease Co., Ltd.		372,185

See accompanying Notes to the Financial Statements.

Mercer Non-US Core Equity Fund
(formerly known as MGI Non-US Core Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Shares		Description	Value ($)
		Japan — continued

	78,397	Glory, Ltd.		1,835,614
	182,294	Hachijuni Bank, Ltd. (The)		1,116,728
	36,200	Heiwa Corp.		641,246
	6,900	Heiwado Co., Ltd.		93,945
	212,000	Hino Motors, Ltd.		1,260,882
	29,959	Hisamitsu Pharmaceutical Co., Inc.		1,439,635
	12,300	Hitachi Chemical Co., Ltd.		202,218
	14,000	House Foods Corp.		269,147
	5,100	Ibiden Co., Ltd.		107,183
	2,000	Idemitsu Kosan Co., Ltd.		179,424
	1,781	Inpex Holdings, Inc.		10,982,365
	459,000	Isuzu Motors, Ltd.		1,966,546
	12,300	Ito En, Ltd.		225,077
	1,700	Japan Petroleum Exploration Co.		61,943
	3,259	Japan Tobacco, Inc.		15,214,654
	82,300	JFE Holdings, Inc.		1,660,724
	269,714	Joyo Bank, Ltd. (The)		1,254,455
	8,300	JSP Corp.		143,229
	34,200	JTEKT Corp.		408,701
	107,900	JVC Kenwood Holdings, Inc.*		429,308
	735,500	JX Holdings, Inc.		4,130,757
	9,600	K’s Holdings Corp.		375,757
	72,000	Kaken Pharmaceutical Co., Ltd.		1,005,484
	51,000	Kanto Auto Works, Ltd.		438,502
	419,608	Kao Corp.		11,679,611
	3,992	Kao Corp., Sponsored ADR		110,858
	36,000	Kawasaki Kisen Kaisha, Ltd.		74,837
	1,681	KDDI Corp.		11,552,736
	27,700	Keihin Corp.		474,412
	24,000	Kikkoman Corp.		274,143
	102,000	Kirin Holdings Co., Ltd.		1,332,471
	58,200	Kobayashi Pharmaceutical Co., Ltd.		3,135,280
	25,300	Kohnan Shoji Co., Ltd.		445,333
	44,000	Kojima Co., Ltd.		309,792
	183,900	Komatsu, Ltd.		3,973,749
	621,264	Konica Minolta Holdings, Inc.		4,258,831
	81,986	Kose Corp.		2,084,950
	22,000	Krosaki Harima Corp.		77,852
	32,700	Kuraray Co., Ltd.		446,085
	159,000	KYB Co., Ltd.		891,121
	77,373	Lawson, Inc.		4,376,012
	47,400	Lintec Corp.		941,851
	118	M3, Inc.		586,370
	138,000	Makino Milling Machine Co., Ltd.		810,338
	16,000	Marudai Food Co., Ltd.		58,845
	866,000	Mazda Motor Corp.*		1,744,513
	2,700	Megmilk Snow Brand Co., Ltd.		55,373

See accompanying Notes to the Financial Statements.

Mercer Non-US Core Equity Fund
(formerly known as MGI Non-US Core Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Shares		Description	Value ($)
		Japan — continued

	21,600	MEIJI Holdings Co., Ltd.		1,023,775
	11,000	Ministop Co., Ltd.		207,000
	93,200	Miraca Holdings, Inc.		4,099,805
	232,000	Mitsubishi Chemical Holdings Corp.		1,570,732
	83,100	Mitsubishi Co.		1,693,403
	395,000	Mitsubishi Electric Corp.		3,500,550
	129,000	Mitsubishi Gas Chemical Co., Inc.		793,586
	186,000	Mitsubishi Steel Manufacturing Co., Ltd.		530,063
	22,100	Mitsubishi Tanabe Pharma Corp.		409,951
	357,500	Mitsubishi UFJ Financial Group, Inc.		1,607,851
	65,600	Mitsui & Co., Ltd.		950,112
	238,000	Mitsui Chemicals, Inc.		793,557
	129,000	Mitsui Mining & Smelting Co., Ltd.		332,422
	288,000	Mitsui OSK Lines, Ltd.		1,104,491
	90,000	Mitsui Sugar Co., Ltd.		380,880
	221,000	Morinaga Milk Industry Co., Ltd.		977,086
	21,000	Musashi Seimitsu Industry Co., Ltd.		504,715
	39,000	Nachi-Fujikoshi Corp.		189,652
	79,007	Namco Bandai Holdings, Inc.		1,068,044
	88,000	NGK Spark Plug Co., Ltd.		1,192,155
	36,000	NHK Spring Co., Ltd.		317,765
	56,500	Nidec Corp.		4,548,045
	73,100	Nihon Kohden Corp.		1,966,975
	79,300	Nikon Corp.		1,864,577
	5,200	Nintendo Co., Ltd.		757,914
	499,000	Nippon Electric Glass Co., Ltd.		4,523,930
	442,000	Nippon Express Co., Ltd.		1,883,751
	81,000	Nippon Flour Mills Co., Ltd.		393,864
	309,000	Nippon Light Metal Co., Ltd.		507,236
	52,000	Nippon Meat Packers, Inc.		675,883
	83,000	Nippon Sharyo, Ltd.		354,134
	2,000	Nippon Shinyaku Co., Ltd.		25,740
	19,000	Nippon Synthetic Chemical Industry Co., Ltd. (The)		98,973
	40,900	Nippon Telegraph & Telephone Corp., ADR		979,555
	261,865	Nippon Telegraph & Telephone Corp.		12,593,581
	20,810	Nippon Television Network Corp.		3,006,128
	140,000	Nippon Yusen KK		378,192
	364,661	Nissan Motor Company, Ltd.		3,224,693
	38,000	Nissan Shatai Co., Ltd.		310,819
	12,000	Nisshin Seifun Group, Inc.		156,662
	105,000	Nissin Electric Co., Ltd.		784,644
	14,400	Nissin Kogyo Co., Ltd.		214,871
	60,300	Nitori Co., Ltd.		6,070,699
	10,000	Nittetsu Mining Co., Ltd.		41,224
	172,941	Nomura Research Institute, Ltd.		3,933,640
	46,000	NSK, Ltd.		337,855
	5,164	NTT DoCoMo, Inc.		9,419,561

See accompanying Notes to the Financial Statements.

Mercer Non-US Core Equity Fund
(formerly known as MGI Non-US Core Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Shares		Description	Value ($)
		Japan — continued

	5,970	NTT DoCoMo, Inc., Sponsored ADR		109,012
	14,420	Obic Co., Ltd.		2,785,899
	30,400	Omron Corp.		595,810
	26,100	Ono Pharmaceutical Co., Ltd.		1,555,188
	31,621	Orix Corp.		2,465,820
	96,500	Otsuka Holdings Co., Ltd.		2,640,808
	34,000	Pacific Metals Co., Ltd.		195,168
	458,400	Pioneer Corp.*		1,921,183
	30,100	Pola Orbis Holdings, Inc.		888,376
	119,000	Press Kogyo Co., Ltd.		531,271
	5,628	Rakuten, Inc.		6,576,459
	14,000	Ricoh Company, Ltd.		117,200
	10,500	Ricoh Leasing Co., Ltd.		233,548
	47,000	Riken Corp.		195,391
	24,500	Round One Corp.		177,123
	29,000	Sanden Corp.		100,858
	25,834	Sankyo Co., Ltd.		1,394,593
	11,000	Sanoh Industrial Co., Ltd.		105,176
	84,733	Santen Pharmaceutical Co., Ltd.		3,543,481
	11,000	Sanyo Special Steel Co., Ltd.		61,616
	213,141	Sapporo Hokuyo Holdings, Inc.		754,251
	154,000	Sapporo Holdings, Ltd.		572,714
	20,300	Sega Sammy Holdings, Inc.		474,441
	35,100	Seiko Epson Corp.		445,092
	124,000	Sekisui Chemical Co., Ltd.		1,041,425
	155,600	Seven & I Holdings Co., Ltd.		4,370,844
	2,759	Seven & I Holdings Co., Ltd., ADR		153,952
	321,588	Sharp Corp.		2,701,810
	33,000	Shimizu Corp.		145,540
	222,340	Shin-Etsu Chemical Co., Ltd.		10,908,558
	7,900	Shinko Plantech Co., Ltd.		73,939
	4,800	Shionogi & Co., Ltd.		71,086
	2,800	Ship Healthcare Holdings, Inc.		69,147
	39,100	Shiseido Co., Ltd.		757,764
	48,600	Showa Corp.*		287,116
	27,200	Sodick Co., Ltd.		123,714
	166,500	Softbank Corp.		4,877,101
	161,500	Sojitz Corp.		295,292
	91,424	Sony Corp.		1,755,684
	9,400	Sugi Holdings Co., Ltd.		263,662
	18,500	Sumco Corp.*		172,988
	61,000	Sumitomo Bakelite Co., Ltd.		324,778
	18,000	Sumitomo Chemical Co., Ltd.		69,275
	331,100	Sumitomo Electric Industries, Ltd.		3,876,748
	52,000	Sumitomo Heavy Industries, Ltd.		266,837
	84,000	Sumitomo Metal Mining Co., Ltd.		1,114,145
	205,566	Sumitomo Mitsui Financial Group		5,805,267

See accompanying Notes to the Financial Statements.

Mercer Non-US Core Equity Fund
(formerly known as MGI Non-US Core Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Shares		Description	Value ($)
		Japan — continued

	86,500	Sumitomo Rubber Industries, Ltd.		1,107,406
	78,000	T.RAD Co., Ltd.		295,351
	54,500	Tachi-S Co., Ltd.		958,949
	34,000	Taihei Dengyo Kaisha, Ltd.		216,073
	57,000	Taisho Pharmaceutical Co., Ltd.****		1,400,597
	43,000	Takaoka Electric Manufacturing Co., Ltd.		108,282
	67,000	Takara Holdings, Inc.		404,736
	17,100	Takata Corp.		388,431
	58,000	Toagosei Co., Ltd.		283,648
	9,100	Tocalo Co., Ltd.		176,699
	20,000	Toho Zinc Co., Ltd.		74,193
	26,700	Tokai Rika Co., Ltd.		480,710
	25,400	Tokai Rubber Industries, Ltd.		352,244
	201,000	Tokyo Gas Co., Ltd.		936,873
	5,400	Tokyo Ohka Kogyo Co., Ltd.		108,836
	50,200	TOMONY Holdings, Inc.		226,560
	12,600	Topre Corp.		124,579
	58,000	Toray Industries, Inc.		406,720
	349,463	Toshiba Corp.		1,425,941
	90,000	Toshiba Machine Co., Ltd.		375,036
	115,000	Tosoh Corp.		359,543
	713,000	TOTO, Ltd.		6,302,891
	82,000	Toyo Ink SC Holdings Co., Ltd.		323,371
	12,000	Toyo Kohan Co., Ltd.		51,221
	9,000	Toyo Suisan Kaisha, Ltd.		246,790
	19,200	Toyota Industries Corp.		558,812
	115,900	Toyota Motor Corp.		3,964,546
	32,600	Toyota Tsusho Corp.		557,391
	134,000	Tsubakimoto Chain Co.		697,373
	11,800	Tsuruha Holdings, Inc.		654,734
	196,000	Ube Industries Ltd		650,284
	11,300	Ulvac, Inc.*		150,497
	46,000	Uniden Corp.		166,437
	39,300	Unipres Corp.		1,058,810
	155,100	UNY Co., Ltd.		1,444,286
	29,257	USS Co., Ltd.		2,490,222
	36	V Technology Co., Ltd.		139,634
	6,150	Yamada Denki Co., Ltd.		429,657
	43,800	Yamaha Corp.		473,064
	55,400	Yamaha Motor Co., Ltd.*		726,033
	329,062	Yamato Holdings Co., Ltd.		5,992,896
	5,000	Yamazaki Baking Co., Ltd.		75,955
	12,000	Yokohama Rubber Co., Ltd. (The)		69,649
	13,500	Yorozu Corp.		347,822
	89,000	Zeon Corp.		816,390

		Total Japan		356,363,347

See accompanying Notes to the Financial Statements.

Mercer Non-US Core Equity Fund
(formerly known as MGI Non-US Core Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Shares		Description	Value ($)

		Luxembourg — 0.8%

	14,216	Aperam		205,844
	92,593	Gagfah SA		563,800
	60,875	Millicom International Cellular SA, SDR		6,090,428
	16,829	Oriflame Cosmetics SA, SDR		606,757
	306,725	Tenaris SA		3,902,103
	17,942	Tenaris SA, ADR		456,624

		Total Luxembourg		11,825,556


		Malaysia — 0.1%

	34,800	British American Tobacco Malaysia Berhad		485,860
	304,100	CIMB Group Holdings Bhd		659,554

		Total Malaysia		1,145,414


		Mauritius — 0.1%

	2,357,000	Golden Agri-Resources, Ltd.		1,086,486


		Mexico — 0.7%

	282,921	America Movil SA de CV Series L, ADR		6,246,896
	16,180	Desarrolladora Homex SA de CV, ADR*		218,430
	120,900	Grupo Financiero Banorte SAB de CV		358,335
	495,170	Grupo Mexico SAB de CV		1,174,394
	38,480	Grupo Televisa SA, Sponsored ADR		707,647
	100,060	Kimberly-Clark de Mexico SAB de CV		511,885
	330,400	Wal-Mart de Mexico SAB de CV		759,719

		Total Mexico		9,977,306


		Netherlands — 2.3%

	621,758	Aegon NV*		2,510,267
	20,584	Aegon NV, ADR*		83,365
	72,053	ASM International NV		1,793,863
	5,724	ASML Holding NV		199,188
	6,101	Heijmans NV		81,100
	907	Heineken Holding NV		35,038
	226,633	Heineken NV		10,142,850
	981,113	ING Groep NV*		6,915,137
	237,666	Koninklijke Ahold NV		2,798,587
	34,667	Koninklijke DSM NV		1,509,386
	11,300	Koninklijke Philips Electronics NV, ADR		202,722
	52,200	Randstad Holding NV		1,667,596
	288,982	Royal KPN NV		3,809,853
	166,034	SNS REAAL NV*		412,932
	75,572	STMicroelectronics NV		494,511
	36,790	TNT NV		161,338
	9,483	USG People NV		78,554

See accompanying Notes to the Financial Statements.

Mercer Non-US Core Equity Fund
(formerly known as MGI Non-US Core Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Shares		Description	Value ($)
		Netherlands — continued

	22,397	Wavin NV*		172,268
	10,586	X5 Retail Group NV, GDR*		290,549

		Total Netherlands		33,359,104


		New Zealand — 0.3%

	239,820	AMP NZ Office, Ltd.		157,735
	49,831	Auckland International Airport, Ltd.		86,799
	153,294	Goodman Property Trust REIT		114,641
	57,928	Mainfreight, Ltd.		427,491
	66,604	Ryman Healthcare, Ltd.		129,131
	324,465	Sky City Entertainment Group, Ltd.		818,959
	205,870	Sky Network Television, Ltd.		849,289
	1,031,832	Telecom Corp. of New Zealand, Ltd.		2,045,888
	26,824	Telecom Corp. of New Zealand, Ltd., Sponsored ADR		265,021

		Total New Zealand		4,894,954


		Norway — 1.4%

	50,697	Aker Solutions ASA		486,366
	46,954	Austevoll Seafood ASA		162,256
	26,075	Cermaq ASA*		279,430
	222,220	DnB NOR ASA		2,218,133
	27,762	Fred Olsen Energy ASA		789,960
	4,055	Leroy Seafood Group ASA		56,625
	112,879	Marine Harvest ASA		49,326
	784,811	Norsk Hydro ASA		3,565,137
	180,952	Petroleum Geo-Services ASA*		1,823,809
	222,456	Statoil ASA		4,752,452
	398,432	Telenor ASA		6,141,187
	9,681	TGS Nopec Geophysical Co. ASA		179,926

		Total Norway		20,504,607


		Pakistan — 0.1%

	284,200	Oil & Gas Development Co., Ltd.		430,725
	290,444	Pakistan Petroleum		628,661

		Total Pakistan		1,059,386


		Philippines — 0.1%

	31,470	Philippine Long Distance Telephone Co., Sponsored ADR		1,558,709


		Poland — 0.1%

	19,310	KGHM Polska Miedz SA		763,218


		Portugal — 0.2%

	472,717	Banco Comercial Portugues SA Class R*		122,820
	550,100	EDP — Energias de Portugal SA		1,692,005

See accompanying Notes to the Financial Statements.

Mercer Non-US Core Equity Fund
(formerly known as MGI Non-US Core Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Shares		Description	Value ($)
		Portugal — continued

	25,454	Jeronimo Martins SGPS SA		397,194
	26,299	Portugal Telecom SGPS SA		192,046
	14,597	Semapa-Sociedade de Investimento e Gestao		102,017
	43,096	Sonaecom SGPS SA		64,856

		Total Portugal		2,570,938


		Qatar — 0.0%

	13,072	Industries Qatar QSC		441,529


		Russia — 0.6%

	5,193	Gazprom OAO, Sponsored ADR		49,673
	246,185	Gazprom OAO-SA, Sponsored ADR		2,351,067
	33,729	LUKOIL OAO, Sponsored ADR		1,692,859
	44,182	Magnit OJSC, GDR 144A		758,048
	88,625	Mobile Telesystems, Sponsored ADR		1,090,088
	640,342	Sberbank of Russia		1,384,736
	222,932	TNK-BP Holding		588,541
	19,812	Uralkali (Ordinary Shares), GDR		674,602

		Total Russia		8,589,614


		Singapore — 1.7%

	801,946	DBS Group Holdings, Ltd.		7,215,742
	205,000	Frasers Commercial Trust REIT		124,984
	587,000	Keppel Corp., Ltd.		3,451,038
	307,000	Lippo Malls Indonesia Retail Trust REIT		125,414
	261,000	M1, Ltd.		488,286
	2,583,000	Olam International, Ltd.		4,419,955
	174,000	Parkway Life Real Estate Investment Trust REIT		243,777
	2,840,000	Singapore Telecommunications, Ltd.		6,886,125
	131,000	StarHub, Ltd.		286,097
	562,000	Suntec Real Estate Investment Trust REIT		493,460
	63,000	UOL Group, Ltd.		199,178
	268,230	Venture Corp., Ltd.		1,365,065

		Total Singapore		25,299,121


		South Africa — 1.1%

	56,026	Bidvest Group, Ltd.		1,037,080
	24,540	Exxaro Resources, Ltd.		516,979
	15,660	Kumba Iron Ore, Ltd.		828,600
	17,489	Massmart Holdings, Ltd.		300,609
	64,746	MTN Group, Ltd.		1,063,966
	145,745	Murray & Roberts Holdings		469,083
	20,555	Naspers, Ltd.		893,680
	41,606	Nedbank Group, Ltd.		706,329
	181,589	Pretoria Portland Cement Co., Ltd.		521,482

See accompanying Notes to the Financial Statements.

Mercer Non-US Core Equity Fund
(formerly known as MGI Non-US Core Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Shares		Description	Value ($)
		South Africa — continued

	174,570	Salam, Ltd.		584,615
	101,084	Sasol, Ltd.		4,149,446
	135,712	Shoprite Holdings, Ltd.		1,908,529
	52,742	Standard Bank Group, Ltd.		607,094
	31,604	Tiger Brands, Ltd.		822,789
	143,487	Truworths International, Ltd.		1,252,367

		Total South Africa		15,662,648


		South Korea — 2.1%

	163,644	Celltrion, Inc.		6,015,140
	10,274	Hana Financial Group, Inc.		298,573
	12,809	Hite Jinro Co., Ltd.		272,648
	5,792	Hyundai Mobis		1,644,946
	32,662	Hyundai Motor Co.		5,729,377
	7,258	KB Financial Group, Inc., ADR		237,772
	36,457	KB Financial Group, Inc.		1,190,669
	177,392	Korea Life Insurance Co., Ltd.		810,087
	25,720	KT&G Corp.		1,604,290
	50,400	LG Display Co., Ltd.		825,333
	1,521	LG Household & Health Care, Ltd.		684,461
	5,580	NHN Corp.*		1,051,983
	10,729	Samsung Electronics Co., Ltd.		7,515,806
	3,762	Samsung Engineering Co., Ltd.		729,007
	54,567	Shinhan Financial Group Co., Ltd.		1,908,228
	28,005	Woongjin Coway Co., Ltd.		886,061

		Total South Korea		31,404,381


		Spain — 1.8%

	9,157	Acciona SA		774,113
	230,752	Amadeus IT Holding SA		3,709,599
	128,214	Banco Bilbao Vizcaya Argentaria SA		1,046,221
	42,478	Banco de Valencia SA*		43,859
	186,417	Banco Santander SA		1,526,185
	103,863	Banco Santander SA, Sponsored ADR		835,059
	52,150	Bankia SA*		255,280
	24,966	Bankinter SA		136,178
	1,212	Corp. Financiera Alba SA		51,317
	153,511	Criteria Caixacorp SA		677,974
	80,254	Distribuidora Internacional de Alimentacion SA*		316,501
	26,269	Duro Felguera SA		164,957
	12,646	Ferrovial SA		144,669
	140,000	Gas Natural SDG SA		2,389,748
	6,896	Grupo Catalana Occidente SA		113,326
	66,192	Inditex SA		5,676,784
	140,094	Mapfre SA		433,380
	114,839	Red Electrica Corp. SA		5,248,236

See accompanying Notes to the Financial Statements.

Mercer Non-US Core Equity Fund
(formerly known as MGI Non-US Core Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Shares		Description	Value ($)
		Spain — continued

	88,509	Repsol VPF SA		2,335,422
	29,244	Repsol YPF, SA, Sponsored ADR		767,947
	109,581	Sacyr Vallehermoso SA		608,925

		Total Spain		27,255,680


		Sweden — 1.6%

	15,412	Axfood AB		525,075
	49,771	Axis Communications AB		812,253
	45,390	Billerud AB		304,354
	148,381	Boliden AB		1,529,117
	66,646	Lundin Petroleum AB*		1,124,308
	561,868	Nordea Bank AB		4,535,514
	48,600	Saab AB		872,413
	122,130	Swedish Match AB		4,037,139
	389,646	Tele2 AB		7,117,896
	311,481	Telefonaktiebolaget LM Ericsson		2,981,515

		Total Sweden		23,839,584


		Switzerland — 6.2%

	237,236	ABB, Ltd.*		4,042,972
	34,489	Actelion, Ltd-REG*		1,144,988
	96,815	Adecco SA*		3,788,450
	11,231	Aryzta AG		485,455
	16,227	Baloise-Holding AG		1,183,414
	1,381	Barry Callebaut AG-REG*		1,161,452
	4,506	Basilea Pharmaceutica*		191,648
	902	Bucher Industries AG		140,025
	1,553	Flughafen Zuerich AG		582,928
	1,042	Galenica AG		532,335
	70,200	GAM Holding AG*		875,530
	14,172	Geberit AG*		2,599,865
	2,922	Georg Fischer AG*		1,012,664
	10,913	Givaudan SA*		8,507,670
	39,922	Julius Baer Group, Ltd.*		1,327,601
	11,273	Kudelski SA		99,720
	41	Lindt & Spruengli AG		119,084
	267,135	Nestle SA		14,653,780
	35,724	Nobel Biocare Holding AG*		356,982
	92,634	Novartis AG		5,159,047
	60,056	OC Oerlikon Corp. AG Class R*		340,364
	38,928	Petroplus Holdings AG*		215,747
	116,580	Roche Holding AG		18,716,355
	18,231	Schindler Holding AG		1,947,945
	2,794	SGS SA		4,228,448
	22,883	Swiss Life Holding*		2,495,960
	74,373	Swiss Re, Ltd.*		3,454,231

See accompanying Notes to the Financial Statements.

Mercer Non-US Core Equity Fund
(formerly known as MGI Non-US Core Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Shares		Description	Value ($)
		Switzerland — continued

	20,725	Syngenta AG*		5,357,773
	939	Tecan Group AG*		67,131
	313,353	UBS AG*		3,559,520
	15,728	Zurich Financial Services*		3,249,293

		Total Switzerland		91,598,377


		Taiwan — 0.9%

	1,656,346	Acer, Inc.		2,008,764
	501,703	Advanced Semiconductor Engineering, Inc.		427,788
	163,280	Asustek Computer, Inc.		1,219,433
	754,369	AU Optronics Corp.		300,902
	87,000	Delta Electronics, Inc.		203,626
	126,797	Hon Hai Precision Industry Co., Ltd., GDR		565,801
	276,800	Hon Hai Precision Industry Co., Ltd.		617,908
	77,195	HTC Corp.		1,695,901
	64,053	MediaTek, Inc.		697,894
	457,000	Pegatron Corp.		420,984
	254,000	Powertech Technology, Inc.		540,569
	453,442	Taiwan Semiconductor Manufacturing Co., Ltd., Sponsored ADR		5,182,842

		Total Taiwan		13,882,412


		Thailand — 0.2%

	48,100	Banpu PCL		811,773
	819,200	CP All PCL Class F		1,256,744
	211,700	Kasikornbank PCL		795,111
	20,700	PTT Exploration & Production PCL		91,374
	53,600	Siam Cement PCL		527,609

		Total Thailand		3,482,611


		Turkey — 0.4%

	203,447	Akbank TAS		799,237
	217,910	KOC Holding AS		808,138
	117,360	Turkcell Iletisim Hizmetleri AS, ADR*		1,323,821
	232,866	Turkiye Garanti Bankasi AS		902,351
	772,371	Turkiye Is Bankasi		1,987,879
	255,524	Turkiye Vakiflar Bankasi Tao		509,909

		Total Turkey		6,331,335


		United Kingdom — 16.8%

	24,777	Admiral Group Plc		485,271
	238,583	Afren Plc*		298,917
	14,091	African Barrick Gold, Ltd.		109,874
	197,606	Amlin Plc		865,212
	33,465	Anglo American Plc		1,152,877
	110,276	Antofagasta Plc		1,564,145

See accompanying Notes to the Financial Statements.

Mercer Non-US Core Equity Fund
(formerly known as MGI Non-US Core Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Shares		Description	Value ($)
		United Kingdom — continued

	50,113	ARM Holdings Plc		428,475
	28,264	ARM Holdings Plc, Sponsored ADR		720,732
	371,335	Ashtead Group Plc		763,038
	276,465	AstraZeneca Plc		12,228,388
	36,528	AstraZeneca Plc, Sponsored ADR		1,620,382
	896,903	Aviva Plc		4,233,640
	71,433	Avocet Mining Plc		252,755
	370,965	BAE Systems Plc		1,527,810
	745,667	Barclays Plc		1,828,603
	188,967	Beazley Plc		341,718
	27,248	Berendsen Plc		182,422
	1,178	BG Group Plc, Sponsored ADR		112,381
	80,668	Bodycote Plc		307,609
	2,402,957	BP Plc		14,397,914
	318,482	British American Tobacco Plc		13,484,985
	26,061	British American Tobacco Plc, Sponsored ADR		2,208,149
	73,100	British Land Co. Plc REIT		539,282
	117,432	British Sky Broadcasting Group Plc		1,204,401
	1,374,650	BT Group Plc		3,681,135
	9,949	BT Group Plc, Sponsored ADR		265,041
	306,846	Bunzl Plc		3,640,784
	53,780	Burberry Group Plc		972,499
	632,137	Cable & Wireless Worldwide Plc		302,103
	1,320,081	Cobham Plc		3,576,971
	567,410	Compass Group Plc		4,583,638
	182,200	Cookson Group Plc		1,220,232
	29,958	Diageo Plc, Sponsored ADR		2,274,711
	21,696	Domino’s Pizza UK & IRL Plc		149,404
	104,489	Drax Group Plc		774,944
	141,129	Eurasian Natural Resources Corp. Plc		1,255,595
	384,625	Ferrexpo Plc		1,568,666
	111,293	Firstgroup Plc		551,118
	178,040	Game Group Plc		65,183
	946,223	GKN Plc		2,555,489
	647,079	Glaxosmithkline Plc		13,346,188
	188,342	GlaxoSmithKline Plc, Sponsored ADR		7,776,641
	12,858	Go-Ahead Group Plc		263,509
	492,273	Halma Plc		2,409,088
	38,108	Highland Gold Mining, Ltd.		94,997
	9,692	Hochschild Mining Plc		61,451
	358,674	Home Retail Group		621,981
	1,269,739	HSBC Holdings Plc		9,667,182
	15,904	Hunting Plc		147,114
	54,500	Imperial Tobacco Group Plc		1,838,603
	1,087,182	Inchcape Plc		4,701,883
	195,900	Informa Plc		995,121
	203,527	Inmarsat Plc		1,544,777

See accompanying Notes to the Financial Statements.

Mercer Non-US Core Equity Fund
(formerly known as MGI Non-US Core Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Shares		Description	Value ($)
		United Kingdom — continued

	11,350	Intercontinental Hotels Group Plc		184,063
	25,179	Intermediate Capital Group Plc		83,715
	1,057,183	ITV Plc*		969,001
	190,526	Jardine Lloyd Thompson Group Plc		1,861,008
	89,711	John Wood Group Plc		736,300
	44,606	Kazakhmys Plc		545,652
	125,756	Kesa Electricals Plc		163,411
	16,565	Kier Group Plc		325,158
	693,049	Kingfisher Plc		2,653,847
	4,828,500	Lloyds TSB Group Plc*		2,557,733
	103,114	Logica Plc		125,310
	30,412	Marks & Spencer Group Plc		147,693
	13,423	Misys Plc*		44,810
	74,485	Mondi Plc		545,852
	212,347	Morgan Crucible Co. Plc		804,762
	7,515	National Grid Plc, Sponsored ADR		372,744
	27,714	New World Resources Plc		197,652
	25,922	Northgate Plc*		100,614
	1,190,173	Old Mutual Plc		1,922,329
	5,128	Pennon Group Plc		53,733
	196,817	Persimmon Plc		1,388,894
	280,105	Premier Foods Plc*		44,756
	749,201	Prudential Plc		6,405,966
	245,977	QinetiQ Group Plc		442,904
	81,378	Reckitt Benckiser Group Plc		4,109,997
	9,019	Renishaw Plc		141,796
	833,561	Rentokil Initial Plc*		921,614
	172,956	Resolution, Ltd.		663,176
	63,303	Restaurant Group Plc		269,169
	23,343	Rexam Plc		111,830
	116,600	Rio Tinto Plc		5,144,341
	25,512	Rio Tinto Plc, Sponsored ADR		1,124,569
	200,851	Royal Dutch Shell Plc Class A (Amsterdam Exchange)		6,245,241
	284,365	Royal Dutch Shell Plc Class A (London Exchange)		8,810,619
	463,010	RSA Insurance Group Plc		793,375
	199,155	SABMiller Plc		6,466,292
	237,279	Sage Group Plc (The)		939,822
	88,522	Shire Plc		2,757,445
	19,106	Shire Plc, ADR		1,794,627
	352,164	Smith & Nephew Plc		3,162,912
	14,599	Smith & Nephew Plc, Sponsored ADR		652,429
	125,578	Spectris Plc		2,272,235
	311,393	Standard Chartered Plc		6,208,832
	40,222	Standard Life Plc		124,439
	1,605,034	Tesco Plc		9,378,932
	392,318	Thomas Cook Group Plc		240,574
	14,457	TT electronics Plc		34,855

See accompanying Notes to the Financial Statements.

Mercer Non-US Core Equity Fund
(formerly known as MGI Non-US Core Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Shares		Description	Value ($)
		United Kingdom — continued

	17,202	Ultra Electronics Holdings Plc		401,009
	119,204	United Business Media, Ltd.		828,845
	62,500	Vectura Group Plc*		83,532
	7,985,792	Vodafone Group Plc		20,600,905
	235,490	Vodafone Group Plc, Sponsored ADR		6,040,319
	154,056	WH Smith Plc		1,181,863
	32,147	Whitbread Plc		786,849
	69,262	William Hill Plc		243,107
	171,799	Xstrata Plc		2,152,394

		Total United Kingdom		249,130,879


		TOTAL COMMON STOCKS (COST $1,570,379,992)		1,412,589,903


		INVESTMENT COMPANY — 0.8%

		United States — 0.8%

	258,305	iShares MSCI EAFE Index Fund		12,334,064


		TOTAL INVESTMENT COMPANY (COST $13,767,592)		12,334,064


		PREFERRED STOCKS — 0.6%

		Brazil — 0.1%

	50,600	Itau Unibanco Holding SA, 0.49%		791,882
	64,500	Petroleo Brasileiro SA, 0.67%		663,677
	26,900	Usinas Siderurgicas de Minas Gerais SA, 3.88%		152,451

		Total Brazil		1,608,010


		Germany — 0.5%

	924	Draegerwerk AG & Co. KGaA, 1.50%		88,334
	86,574	Henkel AG & Co. KGaA, 1.51%		4,606,873
	2,975	RWE AG, 12.90%		102,217
	14,900	Volkswagen AG, 2.27%		1,974,137

		Total Germany		6,771,561


		TOTAL PREFERRED STOCKS (COST $9,489,557)		8,379,571


		RIGHTS — 0.0%

		Australia — 0.0%

	308,039	Goodman Fielder, Ltd., Strike Price $0.00, Expires 10/21/2011*		14,969


		Spain — 0.0%

	128,214	Banco Bilbao Vizcaya Argentaria SA, Strike Price $0.00, Expires 10/20/2011*		18,923
	153,511	CaixaBank SA, Strike Price $0.00, Expires 10/13/2011*		12,564

		Total Spain		31,487


		TOTAL RIGHTS (COST $30,058)		46,456

See accompanying Notes to the Financial Statements.

Mercer Non-US Core Equity Fund
(formerly known as MGI Non-US Core Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Shares		Description	Value ($)

		WARRANTS — 0.5%

		Bermuda — 0.5%

	213,098	CLSA Financial Products, Strike Price $0.00, Expires 05/10/15* ¤ 144A		4,113,451
	191,289	CLSA Financial Products, Strike Price $0.00, Expires 05/26/16* ¤		3,545,671

		Total Bermuda		7,659,122


		TOTAL WARRANTS (COST $12,169,967)		7,659,122


Notional		Description	Value ($)

		OPTIONS PURCHASED — 0.0%

		Call Options — 0.0%

	4,210,342	OTC Euro versus Japanese Yen with JP Morgan Securities, Inc., Strike Price $120.90, Expires 01/18/12		5,406
	2,470,136	OTC Euro versus Japanese Yen with JP Morgan Securities, Inc., Strike Price $126.50, Expires 03/08/12		3,364
	507,764,368	OTC USD versus Japanese Yen with Deutsche Bank AG, Strike Price $90.50, Expires 01/18/12		1,159


		TOTAL CALL OPTIONS PURCHASED (COST $276,395)		9,929


		Put Options — 0.0%

	304,255,244	OTC Japanese Yen versus U.S. Dollar with Deutsche Bank AG, Strike Price $90.55, Expires 03/08/12		2,905
	478,588,000	OTC Japanese Yen versus U.S. Dollar with UBS Securites LLC, Strike Price $84.80, Expires 08/09/12		70,416


		TOTAL PUT OPTIONS PURCHASED (COST $151,793)		73,321


Par Value ($)		Description	Value ($)

		SHORT-TERM INVESTMENTS — 2.2%

		Bank Deposit — 2.2%

	32,087,394	State Street Bank & Trust Euro Time Deposit, 0.01%, due 10/03/11		32,087,394


		TOTAL SHORT-TERM INVESTMENTS (COST $32,087,394)		32,087,394


		TOTAL INVESTMENTS — 99.6% (Cost $1,638,352,748)		1,473,179,760

		Other Assets and Liabilities (net) — 0.4%		6,601,464


		NET ASSETS — 100.0%	$	1,479,781,224

See accompanying Notes to the Financial Statements.

Mercer Non-US Core Equity Fund
(formerly known as MGI Non-US Core Equity Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2011 (Unaudited)


				Notes to Schedule of Investments:

				ADR — American Depository Receipt

				GDR — Global 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 period end is $7,659,122 which represents 0.5% of net assets. The aggregate tax cost of these securities held at September 30, 2011 was $12,169,967.

				**** Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the securities at period end is $1,400,597 which represents 0.1% of net assets. The aggregate tax cost of these securities held at September 30, 2011 was $1,201,301.

				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 $6,720,063 which represents 0.5% of net assets.

See accompanying Notes to the Financial Statements.

Mercer Non-US Core Equity Fund
(formerly known as MGI Non-US Core Equity Fund)
Schedule of Investments (Continued)
September 30, 2011 (Unaudited)

A summary of outstanding financial instruments at September 30, 2011 is as follows:

Forward Currency Contracts


									Net
									Unrealized
Settlement					Units of				Appreciation
Date	Deliver/Receive		Counterparty		Currency		Value		(Depreciation)
Buys
10/14/11		AUD		BNP Paribas SA		9,142,000	$	8,875,035	$	(776,494	)
10/14/11		AUD		Deutsche Bank AG		7,547,000		7,326,613		(543,399	)
10/14/11		AUD		Westpac Banking Corp.		964,000		935,849		(77,117	)
10/14/11		CAD		Barclays Bank Plc		594,000		569,877		(34,398	)
10/14/11		CAD		CIitibank N.A.		1,083,000		1,039,018		(56,426	)
10/14/11		CAD		Royal Bank of Canada		942,000		903,744		(13,669	)
10/14/11		CHF		Barclays Bank Plc		2,146,000		2,363,100		(301,623	)
10/14/11		CHF		Canadian Imperial Bank of Commerce		13,301,000		14,646,597		(1,209,729	)
10/14/11		CHF		Deutsche Bank AG		6,509,000		7,167,484		(582,571	)
10/14/11		CHF		UBS AG		1,554,000		1,711,211		(251,406	)
1/13/12		CHF		Westpac Banking Corp.		707,000		780,092		(35,138	)

10/14/11		EUR		Credit Suisse London Branch (GFX)		7,864,000		10,550,318		(590,611	)
10/14/11		EUR		Royal Bank of Scotland Plc		5,376,000		7,212,425		(523,908	)
10/14/11		GBP		Citibank N.A.		15,514,000		24,165,304		(943,019	)
10/14/11		GBP		Credit Suisse London Branch (GFX)		5,267,000		8,204,116		(287,341	)
10/14/11		GBP		HSBC Bank USA		1,389,000		2,163,569		(108,516	)
10/14/11		JPY		Barclays Bank Plc		93,969,000		1,219,277		(4,134	)
10/14/11		JPY		Standard Chartered Bank		529,188,000		6,866,380		149,627
10/14/11		JPY		Standard Chartered Bank		227,609,000		2,953,298		(19,302	)
10/14/11		NOK		HSBC Bank USA		3,817,000		649,827		(52,382	)
10/14/11		NOK		Royal Bank of Canada		59,391,000		10,111,049		(772,004	)
10/14/11		NZD		HSBC Bank USA		14,109,000		10,777,350		(938,340	)
10/14/11		SEK		HSBC Bank USA		44,120,000		6,420,476		(489,291	)
10/14/11		SEK		Morgan Stanley & Co.		30,265,000		4,404,255		(315,434	)

									$	(8,776,625	)

Sales
10/14/11		AUD		BNP Paribas SA		7,604,000	$	7,381,948	$	503,216
10/14/11		CAD		Barclays Bank Plc		8,858,000		8,498,266		651,474

10/14/11		CAD		Canadian Imperial Bank of Commerce		1,124,000		1,078,353		85,359
10/14/11		CAD		Royal Bank of Scotland Plc		886,000		850,018		43,244
10/14/11		CHF		Barclays Bank Plc		1,184,000		1,303,779		199,296
10/14/11		CHF		Credit Suisse London Branch (GFX)		10,627,000		11,702,082		2,354,611
10/14/11		CHF		Deutsche Bank AG		1,012,000		1,114,379		210,107
10/14/11		CHF		Royal Bank of Scotland Plc		2,451,000		2,698,956		387,946
10/14/11		CHF		UBS AG		1,348,000		1,484,371		165,643
10/14/11		EUR		Deutsche Bank AG		6,475,000		8,686,840		560,572

See accompanying Notes to the Financial Statements.

Mercer Non-US Core Equity Fund
(formerly known as MGI Non-US Core Equity Fund)
Schedule of Investments (Continued)
September 30, 2011 (Unaudited)

Forward Currency Contracts — continued


									Net
									Unrealized
Settlement					Units of				Appreciation
Date	Deliver/Receive		Counterparty		Currency		Value		(Depreciation)
10/14/11		EUR		Goldman Sachs International		10,316,000		13,839,914		776,104
1/13/12		EUR		Westpac Banking Corp.		1,021,000		1,369,425		42,645
10/14/11		GBP		Barclays Bank Plc		18,357,000		28,593,688		770,903
10/14/11		GBP		HSBC Bank USA		2,157,000		3,359,840		144,918
10/14/11		JPY		Bank of America N.A.		593,449,000		7,700,186		(339,578	)
10/14/11		JPY		Goldman Sachs International		1,126,892,000		14,621,776		(683,545	)
10/14/11		NOK		BNP Paribas SA		29,716,000		5,059,015		452,563
10/14/11		NOK		Deutsche Bank AG		33,492,000		5,701,862		327,084
10/14/11		NZD		BNP Paribas SA		6,099,000		4,658,803		302,605
10/14/11		NZD		Deutsche Bank AG		6,592,000		5,035,388		439,268
10/14/11		NZD		Westpac Banking Corp.		1,418,000		1,083,158		145,964
10/14/11		SEK		Royal Bank of Scotland Plc		39,186,000		5,702,465		237,966

									$	7,778,365

Currency Abbreviations

AUD — Australian Dollar

CAD — Canadian Dollar

CHF — Swiss Franc

EUR — Euro

GBP — British Pound Sterling

JPY — Japanese Yen

NOK — Norwegian Krona

NZD — New Zealand Dollar

SEK — Swedish Krona

Futures Contracts


							Net
							Unrealized
Number of					Contract		Appreciation
Contracts		Type		Expiration Date	Value		(Depreciation)
	Buys
	9		TOPIX Index	December 2011	$	884,162	$	19,024
	23		STOXX 50 Index	December 2011		665,322		58,478

							$	77,502

See accompanying Notes to the Financial Statements.

Mercer Non-US Core Equity Fund
(formerly known as MGI Non-US Core Equity Fund)
Schedule of Investments (Continued)
September 30, 2011 (Unaudited)


Industry Sector Summary (Unaudited)	% of Total Net Assets
Telecommunications		10.3
Banks		8.2
Pharmaceuticals		7.8
Oil & Gas		6.5
Insurance		5.4
Chemicals		4.6
Food		3.8
Retail		3.3
Auto Parts & Equipment		3.0
Agriculture		2.9
Beverages		2.7
Mining		2.6
Auto Manufacturers		2.5
Electric		2.5
Diversified Financial Services		1.8
Media		1.8
Commercial Services		1.7
Electronics		1.7
Internet		1.5
Cosmetics & Personal Care		1.4
Building Materials		1.3
Health Care — Products		1.3
Semiconductors		1.3
Transportation		1.3
Holding Companies — Diversified		1.2
Electrical Components & Equipment		1.0
Software		1.0
Real Estate		0.9
Computers		0.8
Equity Fund		0.8
Miscellaneous — Manufacturing		0.8
Engineering & Construction		0.7
Iron & Steel		0.7
Airlines		0.6
Distribution & Wholesale		0.6
Home Builders		0.6
Household Products & Wares		0.6
Metal Fabricate & Hardware		0.6
Oil & Gas Services		0.6
Apparel		0.5
Aerospace & Defense		0.4
Biotechnology		0.4
Health Care — Services		0.4
Machinery — Construction & Mining		0.4
Entertainment		0.3
Food Service		0.3
Gas		0.3
Home Furnishings		0.3

See accompanying Notes to the Financial Statements.

Mercer Core Opportunistic Fixed Income Fund
(formerly known as MGI Core Opportunistic Fixed Income Fund)
Schedule of Investments
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Par Value ($)		Description	Value ($)
		DEBT OBLIGATIONS — 102.2%

		Asset Backed Securities — 4.4%

	83,962	ACE Securities Corp., Series 2005-SD3, Class A, 0.63%, due 08/25/45†		78,507
	42,210	American Airlines Pass Through Trust, Series 2001-1, Class A, 6.98%, due 11/23/22		28,703
	34,136	American Airlines, Inc., Series 2001-1, Class B, 7.38%, due 05/23/19		22,530
	95,191	American Home Mortgage Investment Trust, Series 2005-4, Class 1A1, 0.52%, due 11/25/45†		56,726
	417,959	Ameriquest Mortgage Securities, Inc., Series 2004-R2, Class A1A, 0.58%, due 04/25/34†		338,144
	695,300	Argent Securities, Inc., Series 2003-W9, Class M1, 1.27%, due 03/25/34†		582,374
	292,552	Asset Backed Securities Corp. Home Equity, Series 2003-HE7, Class M1, 1.20%, due 12/15/33†		238,364
	320,000	Avis Budget Rental Car Funding AESOP LLC, Series 2010-3A, Class A, 4.64%, due 05/20/16 144A		343,443
	210,000	Avis Budget Rental Car Funding AESOP LLC, Series 2010-5A, Class A, 3.15%, due 03/20/17 144A		216,588
	43,899	Bayview Financial Acquisition Trust, Series 2004-A, Class A, 0.91%, due 02/28/44†		39,236
	86,926	Bayview Financial Acquisition Trust, Series 2004-C, Class A1, 0.87%, due 05/28/44†		79,693
	217,111	Bear Stearns Asset Backed Securities Trust, Series 2004-SD3, Class A3, 0.80%, due 09/25/34†		188,689
	308,935	Bear Stearns Asset Backed Securities Trust, Series 2006-SD3, Class 1A1A, 5.50%, due 08/25/36		205,905
	348,433	Bear Stearns Asset Backed Securities, Inc., Series 2005-AQ2, Class A3, 0.59%, due 09/25/35†		289,430
	66,096	Bear Stearns Asset Backed Securities, Inc., Series 2005-SD4, Class 2A1, 0.63%, due 12/25/42†		57,786
	205,738	Bear Stearns Asset Backed Securities, Inc., Series 2006-HE10, Class 1A1, 0.34%, due 12/25/36†		201,836
	1,566,713	BNSF Railway Co. 2007-1 Pass Through Trust, 6.00%, due 04/01/24		1,805,000
	400,000	Brazos Higher Education Authority, Series 2010-1, Class A2, 1.51%, due 02/25/35†		382,448
	912,624	Burlington Northern and Santa Fe Railway Co. 2006-1 Pass Through Trust, 5.72%, due 01/15/24		1,052,962
	402,029	Citigroup Mortgage Loan Trust, Inc., Series 2006-SHL1, Class A, 0.43%, due 11/25/45† 144A		284,992
	110,287	Citigroup Mortgage Loan Trust, Inc., Series 2007-AHL2, Class A3A, 0.30%, due 05/25/37†		88,179
	137,206	Continental Airlines Pass Through Trust, Series 1998-1, Class A, 6.65%, due 03/15/19		137,206
	36,703	Continental Airlines Pass Through Trust, Series 2003-ERJ1, Class A, 7.88%, due 01/02/20		35,234
	244,657	Continental Airlines Pass Through Trust, Series 2004-ERJ1, Class A, 9.56%, due 09/01/19		242,211
	339,528	Continental Airlines Pass Through Trust, Series 2005-ERJ1, 9.80%, due 04/01/21		337,830

See accompanying Notes to the Financial Statements.

Mercer Core Opportunistic Fixed Income Fund
(formerly known as MGI Core Opportunistic Fixed Income Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Par Value ($)		Description	Value ($)
		Asset Backed Securities — continued

	1,107,899	Countrywide Asset-Backed Certificates, Series 2007-SD1, Class A1, 0.68%, due 03/25/47† 144A		489,791
	75,649	Countrywide Home Equity Loan Trust, Series 2005-F, Class 2A, 0.47%, due 12/15/35†		36,613
	51,074	Countrywide Home Equity Loan Trust, Series 2005-G, Class 2A, 0.46%, due 12/15/35†		28,170
	102,140	CVS Pass-Through Trust, 5.88%, due 01/10/28		106,862
	237,419	CVS Pass-Through Trust, 6.04%, due 12/10/28		250,551
	55,183	CVS Pass-Through Trust, 6.94%, due 01/10/30		62,174
	320,000	CVS Pass-Through Trust, 9.35%, due 01/10/23 144A		368,795
	226,902	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.82%, due 02/10/24		228,604
	150,000	Education Funding Capital Trust I, Series 2004-1, Class A5, 1.71%, due 06/15/43†		138,844
	425,000	Greenpoint Manufactured Housing, Series 1999-2, Class A2, 3.10%, due 03/18/29†		349,025
	820,000	Greenpoint Manufactured Housing, Series 1999-3, Class 1A7, 7.27%, due 06/15/29		767,842
	250,000	Greenpoint Manufactured Housing, Series 1999-3, Class 2A2, 3.73%, due 06/19/29†		199,995
	250,000	Greenpoint Manufactured Housing, Series 1999-4, Class A2, 3.73%, due 02/20/30†		201,841
	325,000	Greenpoint Manufactured Housing, Series 2000-6, Class A3, 2.22%, due 11/22/31†		269,960
	375,000	Greenpoint Manufactured Housing, Series 2001-2, Class IA2, 3.71%, due 02/20/32†		246,167
	500,000	Greenpoint Manufactured Housing, Series 2001-2, Class IIA2, 3.69%, due 03/13/32†		318,896
	50,085	Greenpoint Mortgage Funding Trust, Series 2005-HE4, Class 2A1, 0.45%, due 07/25/30†		41,643
	245,953	GSAA Trust, Series 2006-14, Class A1, 0.28%, due 09/25/36†		98,061
	733,638	GSAMP Trust, Series 2004-SEA2, Class A2B, 0.78%, due 03/25/34†		713,408
	163,004	GSAMP Trust, Series 2006-S4, Class A1, 0.32%, due 05/25/36†		14,309
	410,000	Hertz Vehicle Financing LLC, Series 2009-2A, Class A2, 5.29%, due 03/25/16 144A		444,330
	579,344	Home Equity Asset Trust, Series 2003-8, Class M1, 1.31%, due 04/25/34†		463,672
	800,000	Illinois Student Assistance Commission, Series 2010-1, Class A3, 1.15%, due 07/25/45†		769,648
	363,259	Impac Secured Assets CMN Owner Trust, Series 2006-1, Class 1A2B, 0.43%, due 05/25/36†		195,177
	1,230,221	Keycorp Student Loan Trust, Series 2002-A, Class 1A2, 0.51%, due 08/27/31†		1,128,985
	905,021	Keycorp Student Loan Trust, Series 2003-A, Class 1A2, 0.51%, due 10/25/32†		844,927
	212,361	Merrill Lynch Mortgage Investors, Inc., Series 2007-MLN1, Class A2A, 0.34%, due 03/25/37†		106,122
	526,668	Morgan Stanley ABS Capital I, Series 2003-NC10, Class M1, 1.25%, due 10/25/33†		406,551
	449,643	Morgan Stanley ABS Capital I, Series 2003-NC6, Class M1, 1.43%, due 06/25/33†		385,442
	355,046	Morgan Stanley ABS Capital I, Series 2003-NC7, Class M1, 1.28%, due 06/25/33†		288,146
	159,554	Morgan Stanley ABS Capital I, Series 2007-NC2, Class A2FP, 0.38%, due 02/25/37†		95,905
	1,100,000	Nelnet Student Loan Trust, Series 2005-4, Class A4R2, 0.70%, due 03/22/32†		1,108,387
	372,158	North Carolina State Education Assistance Authority, Series 2010-1, Class A1, 1.15%, due 07/25/41†		361,656

See accompanying Notes to the Financial Statements.


Par Value ($)		Description	Value ($)
		Asset Backed Securities — continued

	346,614	Novastar Home Equity Loan, Series 2003-3, Class A3, 1.13%, due 12/25/33†		287,197
	332,956	NovaStar Mortgage Funding Trust, Series 2003-3, Class A2C, 1.29%, due 12/25/33†		285,032
	1,700,000	Origen Manufactured Housing, Series 2006-A, Class A2, 3.71%, due 10/15/37†		1,557,628
	1,700,000	Origen Manufactured Housing, Series 2007-A, Class A2, 3.71%, due 04/15/37†		1,568,602
	604,150	Park Place Securities, Inc., Series 2004-WCW2, Class M1, 0.85%, due 10/25/34†		576,040
	215,437	RAAC Series, Series 2006-RP2, Class A, 0.48%, due 02/25/37† 144A		153,698
	158,759	Renaissance Home Equity Loan Trust, Series 2007-2, Class AF1, 5.89%, due 06/25/37††		86,072
	29,060	SACO I, Inc., Series 2005-7, Class A, 0.79%, due 09/25/35†		25,674
	429,864	SACO I, Inc., Series 2006-5, Class 1A, 0.53%, due 04/25/36†		150,407
	163,092	SACO I, Inc., Series 2006-6, Class A, 0.49%, due 06/25/36†		53,369
	607,660	Saxon Asset Securities Trust, Series 2005-1, Class M1, 0.69%, due 05/25/35†		409,264
	1,100,000	SLM Student Loan Trust, Series 2002-5, Class B, 0.78%, due 09/16/24†		992,956
	500,000	SLM Student Loan Trust, Series 2003-11, Class A6, 0.64%, due 12/15/25† 144A		469,162
	530,000	SLM Student Loan Trust, Series 2008-5, Class A3, 1.55%, due 01/25/18†		541,147
	1,856,125	SLM Student Loan Trust, Series 2008-9, Class A, 1.75%, due 04/25/23†		1,908,902
	7,280,416	SLM Student Loan Trust, Series 2009-B, Class A1, 6.23%, due 07/15/42† 144A		6,824,534
	1,214,847	SLM Student Loan Trust, Series 2009-CT, Class 1A, 2.35%, due 04/15/39† 144A		1,227,118
	2,753,916	SLM Student Loan Trust, Series 2009-D, Class A, 3.50%, due 08/17/43† 144A		2,737,116
	1,053,327	SLM Student Loan Trust, Series 2010-1, Class A, 0.63%, due 03/25/25†		1,049,151
	3,664,204	SLM Student Loan Trust, Series 2010-A, Class 2A, 3.48%, due 05/16/44† 144A		3,819,170
	549,630	Small Business Administration Participation Certificates, Series 2008-20L, Class 1, 6.22%, due 12/01/28		623,438
	126,090	Soundview Home Equity Loan Trust, Series 2006-EQ2, Class A2, 0.34%, due 01/25/37†		105,268
	98,355	Soundview Home Equity Loan Trust, Series 2007-OPT1, Class 2A1, 0.31%, due 06/25/37†		84,825
	45,110	Structured Asset Securities Corp., Series 2002-AL1, Class A3, 3.45%, due 02/25/32		41,013
	354,982	Structured Asset Securities Corp., Series 2006-ARS1, Class A1, 0.34%, due 02/25/36† 144A		14,698
	54,547	UAL Pass Through Trust, Series 2009-1, 10.40%, due 05/01/18		58,911
	106,721	UAL Pass Through Trust, Series 2009-2A, 9.75%, due 01/15/17		116,860
	1,705,959	Washington Mutual Alternative Mortgage Pass Through Certificates, Series 2006-AR3, Class A1A, 1.21%, due 05/25/46†		839,025
	54,828	Washington Mutual, Inc., Series 2005-AR8, Class 2A1A, 0.52%, due 07/25/45†		43,002

				45,513,794


		Bank Loans — 1.0%

	750,000	Caesars Entertainment, Term Loan B2, 3.25%, due 01/28/15		630,625
	500,000	Capsuegal Healthcare, Ltd., Term Loan, 5.25%, due 08/01/18		493,906
	474,674	CHS Community Health Systems, Inc., Non-Extended Delayed Term Loan, 2.57%, due 07/25/14		445,336
	24,354	CHS Community Health Systems, Inc., Non-Extended Term Loan, 2.57%, due 07/25/14		22,849

See accompanying Notes to the Financial Statements.


Par Value ($)		Description	Value ($)
		Bank Loans — continued

	600,000	Delos Aircraft, Inc., Term Loan B2, 7.00%, due 03/17/16		601,500
	498,747	Emergency Medical Services Corp., Term Loan, 5.25%, due 05/25/18		475,784
	468,825	Exopack Holding Corp., Term Loan, 6.50%, due 05/26/17		440,696
	500,000	Fairmount Minerals, New Term Loan B, 5.25%, due 03/15/17		493,125
	500,000	Frac Tech International, LLC, Term Loan B, 6.25%, due 05/06/16		492,396
	498,744	Gymboree Corp., New Term Loan, 5.00%, due 02/23/18		445,856
	498,744	Hanger Orthopedic Group, Inc., Term Loan C, 4.00%, due 12/01/16		482,535
	498,607	Health Management Associates, Inc., Term Loan B, 2.12%, due 02/28/14		470,560
	1,400,000	International Lease Finance Corp., Term Loan B1, 6.75%, due 03/17/15		1,404,666
	415,273	Las Vegas Sands, LLC, Extended Delayed Draw Term Loan, 2.74%, due 11/23/16		389,022
	83,464	Las Vegas Sands, LLC, Extended Term Loan B, 2.74%, due 11/23/16		78,143
	1,000,000	Reynolds Group Holdings, Inc., Tranche C Term Loan, 6.50%, due 08/09/18		970,417
	498,750	Royalty Pharma Finance Trust, Tranche 2 Term Loan, 4.00%, due 05/09/18		495,009
	500,000	Sunguard Data Systems, Inc., Tranch B Term Loan, 3.89%, due 02/28/16		481,666
	500,000	Univision Communications, Inc., Extended Term Loan, 4.45%, due 03/31/17		426,042
	500,000	Walter Energy, Inc., Term Loan B, 4.00%, due 04/02/18		485,125

				10,225,258


		Convertible Debt — 0.0%

	245,000	Icahn Enterprises, LP, 4.00%, due 08/15/13†		227,556


		Corporate Debt — 30.3%

	85,000	ACCO Brands Corp., 10.63%, due 03/15/15		91,800
	680,000	AES Corp. (The), Senior Note, 8.00%, due 06/01/20		683,400
	300,000	Alcatel-Lucent USA, Inc., 6.45%, due 03/15/29		250,500
	155,000	Alere, Inc., 8.63%, due 10/01/18		141,050
	115,000	Alere, Inc., 9.00%, due 05/15/16		110,400
	275,000	Aleris International, Inc., 7.63%, due 02/15/18 144A		248,188
	170,000	Aleris International, Inc., Senior Note, (PIK), 9.00%, due 12/15/14**** †††		—
	350,000	Alliant Techsystems, Inc., 6.88%, due 09/15/20		351,750
	2,950,000	Ally Financial, Inc., 4.50%, due 02/11/14		2,706,625
	185,000	Ally Financial, Inc., 6.75%, due 12/01/14		177,831
	1,550,000	Ally Financial, Inc., 7.50%, due 09/15/20		1,408,562
	280,000	Ally Financial, Inc., 8.00%, due 03/15/20		259,874
	200,000	Alpha Natural Resources, Inc., 6.00%, due 06/01/19		187,500
	35,000	Alpha Natural Resources, Inc., 6.25%, due 06/01/21		32,856
	490,000	Altria Group, Inc., 4.75%, due 05/05/21		507,815
	270,000	Altria Group, Inc., 8.50%, due 11/10/13		308,090
	490,000	Altria Group, Inc., 9.25%, due 08/06/19		643,244
	370,000	Amerada Hess Corp., 7.30%, due 08/15/31		474,417
	290,000	America Movil SAB de CV, 5.00%, due 03/30/20		309,140
	150,000	America Movil SAB de CV, Guaranteed Senior Note, 5.63%, due 11/15/17		168,041
	85,000	American Airlines 2011-2 Class A Pass Through Trust, 8.63%, due 10/15/21		84,735
	240,000	American Express Co., 8.13%, due 05/20/19		303,357
	690,000	American Express Co., Subordinated Note, 6.80%, due 09/01/66†		671,025

See accompanying Notes to the Financial Statements.


Par Value ($)		Description	Value ($)
		Corporate Debt — continued

	1,900,000	American Express Credit Corp., 5.88%, due 05/02/13		2,015,725
	100,000	American General Finance Corp., 5.40%, due 12/01/15		73,500
	300,000	American International Group, Inc., 3.75%, due 11/30/13 144A		300,426
	525,000	American International Group, Inc., 4.25%, due 09/15/14		510,928
	1,500,000	American International Group, Inc., 5.85%, due 01/16/18		1,489,909
	1,000,000	American International Group, Inc., 6.40%, due 12/15/20		1,020,550
	7,375,000	American International Group, Inc., 8.25%, due 08/15/18		8,196,472
	460,000	American International Group, Inc., Junior Subordinated Note, Series A, 6.25%, due 03/15/37		320,850
	330,000	American Railcar Industries, Inc., Senior Note, 7.50%, due 03/01/14		325,050
	210,000	AmeriGas Partners LP/AmeriGas Finance Corp., 6.50%, due 05/20/21		203,700
	310,000	Amsted Industries, Inc., 8.13%, due 03/15/18 144A		322,400
	430,000	Anadarko Finance Co., Senior Note, 7.50%, due 05/01/31		510,613
	180,000	Anadarko Petroleum Corp., 6.38%, due 09/15/17		202,181
	740,000	Anglo American Capital Plc, 4.45%, due 09/27/20 144A		742,549
	660,000	Anheuser-Busch InBev Worldwide, Inc., 5.00%, due 04/15/20		756,368
	340,000	Anheuser-Busch InBev Worldwide, Inc., 5.38%, due 01/15/20		396,805
	700,000	Apache Corp., 5.25%, due 04/15/13		745,426
	150,000	APERAM, 7.38%, due 04/01/16 144A		132,750
	265,000	ARAMARK Corp., Senior Note, 8.50%, due 02/01/15		269,638
	110,000	ARAMARK Holdings Corp., 8.63%, due 05/01/16 144A		108,900
	740,000	Arch Coal, Inc., 7.00%, due 06/15/19 144A		706,700
	250,000	Ardagh Packaging Finance, 9.13%, due 10/15/20 144A		226,250
	200,000	Associated Materials LLC, 9.13%, due 11/01/17		163,000
	210,000	Astoria Depositor Corp., Series B, 8.14%, due 05/01/21 144A		186,900
	340,000	AT&T, Inc., 3.88%, due 08/15/21		350,459
	1,110,000	AT&T, Inc., 5.55%, due 08/15/41		1,199,556
	80,000	AT&T, Inc., Global Note, 5.50%, due 02/01/18		92,468
	780,000	AT&T, Inc., Global Note, 6.30%, due 01/15/38		896,566
	1,250,000	AT&T, Inc., Global Note, 6.55%, due 02/15/39		1,485,472
	160,000	Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 8.25%, due 01/15/19		147,200
	15,000	Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 9.63%, due 03/15/18		14,925
	1,965,000	BAC Capital Trust VI, 5.63%, due 03/08/35		1,411,978
	1,050,000	BAC Capital Trust XI, 6.63%, due 05/23/36		797,689
	20,000	BAC Capital Trust XIV, 5.63%, due 09/29/49†		11,100
	410,000	Baker Hughes, Inc., Senior Note, 7.50%, due 11/15/18		539,557
	610,000	Ball Corp., 5.75%, due 05/15/21		596,275
	250,000	Ball Corp., 6.75%, due 09/15/20		260,000
	85,000	Ball Corp., 7.38%, due 09/01/19		90,100
	210,000	Ball Corp., Senior Note, 6.63%, due 03/15/18		212,100
	400,000	Bank of America Corp., 4.50%, due 04/01/15		379,398
	1,040,000	Bank of America Corp., 5.00%, due 05/13/21		929,553
	380,000	Bank of America Corp., 5.63%, due 07/01/20		350,591
	3,510,000	Bank of America Corp., 7.63%, due 06/01/19		3,692,309
	70,000	Bank of America Corp., 8.00%, due 12/29/49†		59,580
	500,000	Bank of America Corp., (MTN), Series L, 5.65%, due 05/01/18		475,404

See accompanying Notes to the Financial Statements.


Par Value ($)		Description	Value ($)
		Corporate Debt — continued

	2,670,000	Bank of America Corp., Senior Note, 5.75%, due 12/01/17		2,507,258
	280,000	Bank of Tokyo-Mitsubishi UFJ, Ltd., 3.85%, due 01/22/15 144A		297,891
	100,000	Bank One Capital III, 8.75%, due 09/01/30		123,892
	900,000	Barclays Bank Plc, 5.13%, due 01/08/20		883,431
	140,000	Barclays Bank Plc, 5.20%, due 07/10/14		143,267
	575,000	Barclays Bank Plc, 6.75%, due 05/22/19		622,133
	2,300,000	Barclays Bank Plc, 7.43%, due 09/29/49† 144A		1,897,500
	400,000	Barclays Bank Plc, 10.18%, due 06/12/21 144A		429,232
	120,000	Barclays Bank Plc, Subordinated Note, 6.05%, due 12/04/17 144A		110,284
	580,000	Barrick Gold Corp., 6.95%, due 04/01/19		704,301
	50,000	Barrick North America Finance LLC, 4.40%, due 05/30/21		51,372
	45,000	Basic Energy Services, Inc., 7.75%, due 02/15/19 144A		42,975
	215,000	Basic Energy Services, Inc., Senior Note, 7.13%, due 04/15/16		205,325
	1,000,000	BBVA US Senior SAU, 3.25%, due 05/16/14		937,708
	225,000	BE Aerospace, Inc., Senior Note, 8.50%, due 07/01/18		241,875
	255,000	Beazer Homes USA, Inc., 8.13%, due 06/15/16		171,488
	40,000	Berkshire Hathaway, Inc., 3.20%, due 02/11/15		42,088
	900,000	BHP Billiton Finance USA, Ltd., 6.50%, due 04/01/19		1,107,634
	255,000	Boart Longyear Management Pty, Ltd., 7.00%, due 04/01/21 144A		253,725
	260,000	Boeing Capital Corp., 4.70%, due 10/27/19		295,563
	280,000	Boeing Co. (The), 4.88%, due 02/15/20		320,050
	285,000	Boise Cascade LLC, Senior Subordinated Note, 7.13%, due 10/15/14		277,163
	255,000	Boise Paper Holdings LLC/Boise Finance Co., 9.00%, due 11/01/17		267,750
	90,000	Bombardier, Inc., 7.50%, due 03/15/18 144A		95,400
	245,000	Bombardier, Inc., 7.75%, due 03/15/20 144A		262,150
	1,550,000	Boston Properties, LP REIT, 4.13%, due 05/15/21		1,492,329
	250,000	Boston Properties, LP REIT, 5.88%, due 10/15/19		274,833
	1,400,000	Boston Scientific Corp., 6.00%, due 01/15/20		1,572,169
	425,000	Boston Scientific Corp., 6.40%, due 06/15/16		475,502
	30,000	Boyd Gaming Corp., 7.13%, due 02/01/16		22,200
	270,000	BP Capital Markets Plc, 3.13%, due 10/01/15		279,247
	500,000	BP Capital Markets Plc, 5.25%, due 11/07/13		538,636
	160,000	BP Capital Markets Plc, Guaranteed Note, 3.88%, due 03/10/15		169,771
	255,000	Caesars Entertainment Operating Co., Inc., 10.00%, due 12/15/18		153,000
	85,000	Caesars Entertainment Operating Co., Inc., 12.75%, due 04/15/18		58,013
	180,000	Caesars Entertainment Operating Co., Inc., Guaranteed Note, 10.00%, due 12/15/18		101,700
	195,000	Calpine Construction Finance Co., LP and CCFC Finance Corp., 8.00%, due 06/01/16 144A		200,850
	140,000	Calpine Corp., 7.25%, due 10/15/17 144A		135,800
	520,000	Calpine Corp., 7.50%, due 02/15/21 144A		499,200
	245,000	Calpine Corp., 7.88%, due 07/31/20 144A		237,650
	260,000	Calpine Corp., 7.88%, due 01/15/23 144A		252,200
	4,000,000	Canadian Imperial Bank of Commerce, 2.00%, due 02/04/13 144A		4,060,768
	1,100,000	Capital One Financial Corp., 4.75%, due 07/15/21		1,103,948
	1,625,000	Capital One Financial Corp., 6.75%, due 09/15/17		1,845,231
	310,000	Case New Holland, Inc., 7.88%, due 12/01/17		331,700
	340,000	Caterpillar, Inc., 3.90%, due 05/27/21		367,435

See accompanying Notes to the Financial Statements.


Par Value ($)		Description	Value ($)
		Corporate Debt — continued

	205,000	CCO Holdings LLC/CCO Holdings Capital Corp., 7.00%, due 01/15/19		199,875
	1,680,000	CCO Holdings LLC/CCO Holdings Capital Corp., 7.00%, due 01/15/19 144A		1,633,800
	205,000	CCO Holdings LLC/CCO Holdings Capital Corp., 7.25%, due 10/30/17		206,025
	1,320,000	Cellco Partnership/Verizon Wireless Capital LLC, 8.50%, due 11/15/18		1,761,436
	319,300	Century Aluminum Co., 8.00%, due 05/15/14		319,300
	280,000	Cequel Communications Holdings I LLC and Cequel Capital Corp., 8.63%, due 11/15/17 144A		278,600
	280,000	CF Industries, Inc., 6.88%, due 05/01/18		313,250
	5,000	CF Industries, Inc., 7.13%, due 05/01/20		5,706
	340,000	CHC Helicopter SA, 9.25%, due 10/15/20 144A		290,700
	95,000	Chesapeake Energy Corp., 6.50%, due 08/15/17		98,800
	440,000	Chesapeake Energy Corp., 6.63%, due 08/15/20		455,400
	200,000	Chesapeake Energy Corp., 6.88%, due 08/15/18		207,000
	335,000	Chesapeake Energy Corp., Senior Note, 7.25%, due 12/15/18		358,450
	230,000	Chesapeake Midstream Partners, LP/CHKM Finance Corp., 5.88%, due 04/15/21 144A		219,650
	4,000,000	Cie de Financement Foncier, 2.13%, due 04/22/13 144A		4,008,580
	630,000	Cie Generale de Geophysique-Veritas SA, 6.50%, due 06/01/21 144A		570,150
	120,000	Cie Generale de Geophysique-Veritas SA, Senior Note, 7.75%, due 05/15/17		118,800
	385,000	CIGNA Corp., 5.38%, due 03/15/17		428,909
	1,100,000	CIGNA Corp., 6.15%, due 11/15/36		1,292,897
	200,000	CIGNA Corp., 8.50%, due 05/01/19		262,066
	13,904	CIT Group, Inc., 7.00%, due 05/01/14		14,200
	79,501	CIT Group, Inc., 7.00%, due 05/01/15		79,004
	75,000	CIT Group, Inc., 7.00%, due 05/04/15 144A		74,531
	132,504	CIT Group, Inc., 7.00%, due 05/01/16		128,695
	195,000	CIT Group, Inc., 7.00%, due 05/02/16 144A		189,638
	185,106	CIT Group, Inc., 7.00%, due 05/01/17		179,784
	233,000	CIT Group, Inc., 7.00%, due 05/02/17 144A		226,301
	100,000	Citigroup, Inc., 1.70%, due 06/28/13†		128,761
	560,000	Citigroup, Inc., 3.95%, due 06/15/16		559,261
	810,000	Citigroup, Inc., 5.38%, due 08/09/20		840,648
	830,000	Citigroup, Inc., 6.00%, due 12/13/13		872,254
	1,250,000	Citigroup, Inc., 6.01%, due 01/15/15		1,329,469
	4,620,000	Citigroup, Inc., Global Senior Note, 6.13%, due 11/21/17		4,943,123
	540,000	Citigroup, Inc., Global Senior Note, 6.50%, due 08/19/13		568,490
	400,000	Citigroup, Inc., Senior Note, 6.88%, due 03/05/38		435,668
	600,000	Citigroup, Inc., Subordinated Note, 5.00%, due 09/15/14		588,852
	220,000	CityCenter Holdings LLC/CityCenter Finance Corp., 7.63%, due 01/15/16 144A		207,900
	50,000	Clear Channel Communications, Inc., 5.50%, due 12/15/16		18,750
	110,000	Clear Channel Communications, Inc., 6.88%, due 06/15/18		44,825
	65,000	Clear Channel Communications, Inc., 7.25%, due 10/15/27		23,238
	150,000	Clear Channel Communications, Inc., 9.00%, due 03/01/21		112,125
	25,000	Clear Channel Worldwide Holdings, Inc., 9.25%, due 12/15/17		25,500
	75,000	Clear Channel Worldwide Holdings, Inc., 9.25%, due 12/15/17		77,063
	195,000	Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance Corp., 8.25%, due 12/15/17		203,288

See accompanying Notes to the Financial Statements.


Par Value ($)		Description	Value ($)
		Corporate Debt — continued

	105,000	Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance Corp., 8.50%, due 12/15/19		109,725
	25,000	CNH Americah LLC, 7.25%, due 01/15/16		26,000
	320,000	Comcast Corp., 5.65%, due 06/15/35		336,096
	1,375,000	Comcast Corp., 5.88%, due 02/15/18		1,595,154
	290,000	Comcast Corp., 6.30%, due 11/15/17		339,478
	370,000	Comcast Corp., 6.40%, due 03/01/40		432,122
	870,000	Comcast Corp., 6.50%, due 01/15/15		992,298
	130,000	Comcast Corp., 6.50%, due 01/15/17		152,861
	40,000	Comcast Corp., 6.95%, due 08/15/37		48,107
	100,000	Comcast Corp., Guaranteed Note, 6.45%, due 03/15/37		115,421
	310,000	Commonwealth Bank of Australia, 3.75%, due 10/15/14 144A		322,214
	130,000	Commonwealth Bank of Australia, 5.00%, due 10/15/19 144A		135,199
	290,000	CommScope, Inc., 8.25%, due 01/15/19 144A		284,200
	130,000	Complete Production Services, Inc., Senior Note, 8.00%, due 12/15/16		130,650
	553,000	Concho Resources, Inc., 6.50%, due 01/15/22		547,470
	490,000	ConocoPhillips Holding Co., 6.95%, due 04/15/29		654,157
	240,000	ConocoPhillips, Guaranteed Note, 5.90%, due 05/15/38		296,327
	90,000	Consol Energy, Inc., 6.38%, due 03/01/21 144A		87,300
	220,000	Consol Energy, Inc., 8.25%, due 04/01/20		232,650
	250,000	Constellation Brands, Inc., Senior Note, 7.25%, due 05/15/17		263,750
	460,000	Continental Airlines, Inc., 6.75%, due 09/15/15 144A		443,900
	210,000	Countrywide Financial Corp., Subordinated Note, 6.25%, due 05/15/16		185,510
	240,000	Cox Communications, Inc., 5.45%, due 12/15/14		265,940
	2,150,000	COX Communications, Inc., 5.88%, due 12/01/16 144A		2,440,598
	450,000	Credit Agricole SA, 2.63%, due 01/21/14 144A		429,962
	1,020,000	Credit Agricole SA, 8.38%, due 10/29/49† 144A		808,350
	190,000	Credit Suisse AG Guernsey Branch, 5.86%, due 05/29/49†		150,100
	500,000	Credit Suisse/New York, Subordinated Note, 6.00%, due 02/15/18		508,054
	240,000	Crown Americas LLC/Crown Americas Capital Corp. II, 7.63%, due 05/15/17		255,000
	300,000	Crown Castle International Corp., 7.13%, due 11/01/19		310,500
	150,000	Crown Castle International Corp., Senior Note, 9.00%, due 01/15/15		159,750
	550,000	CSX Corp., 7.38%, due 02/01/19		697,854
	700,000	CVS Caremark Corp., 6.60%, due 03/15/19		852,748
	550,000	Daimler Finance North America LLC, 2.63%, due 09/15/16 144A		537,041
	150,000	Daimler Finance North America LLC, 3.88%, due 09/15/21 144A		146,628
	700,000	Daimler Finance North America LLC, Senior Note, 6.50%, due 11/15/13		768,924
	235,000	Delta Air Lines 2010-1 Class B Pass Through Trust, 6.38%, due 07/02/17		211,500
	375,000	Delta Air Lines, Inc., 12.25%, due 03/15/15 144A		400,312
	255,000	Denbury Resources, Inc., 6.38%, due 08/15/21		248,625
	95,000	Denbury Resources, Inc., 8.25%, due 02/15/20		100,225
	35,000	Denbury Resources, Inc., 9.75%, due 03/01/16		37,975
	500,000	Deutsche Bank AG/London, 4.88%, due 05/20/13		516,927
	310,000	Deutsche Telekom International Finance BV, 5.75%, due 03/23/16		341,664
	650,000	Devon Energy Corp., 7.95%, due 04/15/32		926,802
	730,000	Diageo Capital Plc, 4.83%, due 07/15/20		818,331
	65,000	DISH DBS Corp., 6.75%, due 06/01/21 144A		62,400

See accompanying Notes to the Financial Statements.


Par Value ($)		Description	Value ($)
		Corporate Debt — continued

	115,000	DISH DBS Corp., 7.88%, due 09/01/19		117,875
	500,000	Dominion Resources, Inc., 5.20%, due 08/15/19		578,286
	410,000	Dominion Resources, Inc., 5.70%, due 09/17/12		428,056
	215,000	Domtar Corp., 10.75%, due 06/01/17		268,750
	1,250,000	Dow Chemical Co. (The), 5.70%, due 05/15/18		1,392,816
	575,000	Dow Chemical Co. (The), 9.40%, due 05/15/39		890,944
	500,000	Duke Energy Corp., 5.63%, due 11/30/12		524,778
	155,000	Echostar DBS Corp., Senior Note, 6.63%, due 10/01/14		157,519
	40,000	Echostar DBS Corp., Senior Note, 7.00%, due 10/01/13		41,700
	745,000	Echostar DBS Corp., Senior Note, 7.13%, due 02/01/16		758,037
	110,000	Echostar DBS Corp., Senior Note, 7.75%, due 05/31/15		113,300
	5,000	Edison Mission Energy, Senior Note, 7.20%, due 05/15/19		2,875
	70,000	Edison Mission Energy, Senior Note, 7.63%, due 05/15/27		38,850
	65,000	EH Holding Corp., 7.63%, due 06/15/21 144A		62,888
	78,000	El Paso Corp., 7.75%, due 01/15/32		90,734
	480,000	El Paso Corp., Senior Note, 7.00%, due 06/15/17		540,080
	190,000	El Paso Natural Gas Co., 8.38%, due 06/15/32		250,826
	1,708,000	Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 10.00%, due 12/01/20		1,673,840
	300,000	Energy Transfer Equity, LP, 7.50%, due 10/15/20		309,750
	720,000	Energy Transfer Partners, LP, 9.00%, due 04/15/19		868,529
	185,000	EnergySolutions, Inc./EnergySolutions LLC, 10.75%, due 08/15/18		185,925
	750,000	Enterprise Products Operating LLC, 4.05%, due 02/15/22		752,946
	1,000,000	Enterprise Products Operating LLC, 5.25%, due 01/31/20		1,100,817
	400,000	Enterprise Products Operating LLC, 5.70%, due 02/15/42		422,437
	2,045,000	Escrow GCB General Motors, 8.38%, due 07/15/49¤ ****		21,268
	175,000	Ferrellgas, LP/Ferrellgas Finance Corp., 6.50%, due 05/01/21		149,625
	600,000	Fiat Finance & Trade SA, 9.00%, due 07/30/12		821,121
	250,000	Fifth Third Capital Trust IV, 6.50%, due 04/15/67†		238,775
	9,000	FirstEnergy Corp., Series B, 6.45%, due 11/15/11		9,049
	1,245,000	FirstEnergy Corp., Series C, 7.38%, due 11/15/31		1,539,898
	70,000	FMG Resources August 2006 Pty, Ltd., 6.38%, due 02/01/16 144A		63,350
	310,000	FMG Resources August 2006 Pty, Ltd., 6.88%, due 02/01/18 144A		274,350
	205,000	Ford Holdings LLC, 9.30%, due 03/01/30		263,188
	750,000	Ford Motor Co., 6.63%, due 10/01/28		748,086
	110,000	Ford Motor Co., 7.13%, due 11/15/25		109,078
	1,206,000	Ford Motor Credit Co., 8.00%, due 12/15/16		1,319,014
	1,500,000	Ford Motor Credit Co. LLC, 5.63%, due 09/15/15		1,512,622
	2,100,000	Ford Motor Credit Co. LLC, 5.75%, due 02/01/21		2,083,198
	240,000	Ford Motor Credit Co. LLC, 5.88%, due 08/02/21		239,165
	100,000	Ford Motor Credit Co. LLC, 8.13%, due 01/15/20		113,820
	440,000	Ford Motor Credit Co. LLC, 12.00%, due 05/15/15		531,300
	1,080,000	Freeport-McMoRan Copper & Gold, Inc., Senior Note, 8.38%, due 04/01/17		1,159,575
	380,000	Freescale Semiconductor, Inc., Series 1, 9.25%, due 04/15/18 144A		392,350
	130,000	Fresenius Medical Care US Finance, Inc., 6.88%, due 07/15/17		134,550
	90,000	Frontier Communications Corp., 7.00%, due 11/01/25		77,850
	103,000	Frontier Communications Corp., 7.05%, due 10/01/46		81,370

See accompanying Notes to the Financial Statements.


Par Value ($)		Description	Value ($)
		Corporate Debt — continued

	3,000,000	Gazprom Via Gaz Capital SA, 6.51%, due 03/07/22 144A		2,947,500
	2,600,000	General Electric Capital Corp., 0.65%, due 06/20/14†		2,552,490
	1,020,000	General Electric Capital Corp., 2.13%, due 12/21/12		1,042,498
	1,495,000	General Electric Capital Corp., 4.38%, due 09/16/20		1,524,042
	1,785,000	General Electric Capital Corp., 4.63%, due 01/07/21		1,856,052
	80,000	General Electric Capital Corp., 5.30%, due 02/11/21		83,145
	1,850,000	General Electric Capital Corp., 5.50%, due 01/08/20		2,021,232
	960,000	General Electric Capital Corp., 6.00%, due 08/07/19		1,082,332
	860,000	General Electric Capital Corp., 6.38%, due 11/15/67†		810,550
	170,000	GenOn Americas Generation LLC, 9.13%, due 05/01/31		143,650
	180,000	Geokinetics Holdings USA, Inc., 9.75%, due 12/15/14		142,650
	120,000	Giant Funding Corp., 8.25%, due 02/01/18 144A		120,600
	580,000	GlaxoSmithKline Capital, Inc., Guaranteed Note, 5.65%, due 05/15/18		702,359
	225,000	Glencore Funding LLC, Guaranteed Note, 6.00%, due 04/15/14 144A		231,689
	150,000	Glitnir Banki HF, 6.33%, due 12/31/49††† ¤ 144A		39,750
	290,000	Glitnir Banki HF, 6.38%, due 09/25/12††† ¤ 144A		76,850
	320,000	Glitnir Banki HF, Subordinated Note, 6.69%, due 06/15/16††† 144A		3,232
	15,000	GMAC LLC, Global Note, 6.75%, due 12/01/14		14,551
	30,000	Goldman Sachs Capital II, Guaranteed Note, 5.79%, due 06/01/43†		18,750
	90,000	Goldman Sachs Group (The), Inc., 3.63%, due 08/01/12		91,265
	30,000	Goldman Sachs Group (The), Inc., 4.75%, due 07/15/13		30,886
	140,000	Goldman Sachs Group (The), Inc., 5.25%, due 07/27/21		138,374
	30,000	Goldman Sachs Group (The), Inc., 5.30%, due 02/14/12		30,375
	480,000	Goldman Sachs Group (The), Inc., 5.38%, due 03/15/20		477,476
	140,000	Goldman Sachs Group (The), Inc., 5.45%, due 11/01/12		144,356
	1,110,000	Goldman Sachs Group (The), Inc., 5.95%, due 01/18/18		1,144,276
	350,000	Goldman Sachs Group (The), Inc., 6.00%, due 06/15/20		360,640
	200,000	Goldman Sachs Group (The), Inc., 6.15%, due 04/01/18		207,531
	1,160,000	Goldman Sachs Group (The), Inc., 6.25%, due 02/01/41		1,131,726
	60,000	Goldman Sachs Group (The), Inc., 6.60%, due 01/15/12		60,866
	480,000	Goldman Sachs Group (The), Inc., 7.50%, due 02/15/19		536,409
	130,000	Goldman Sachs Group (The), Inc., Global Note, 5.25%, due 10/15/13		135,142
	2,600,000	Goldman Sachs Group (The), Inc., Senior Note, 6.25%, due 09/01/17		2,711,257
	80,000	Goodyear Tire & Rubber Co. (The), 8.25%, due 08/15/20		81,800
	15,000	Gulfmark Offshore, Inc., Senior Note, 7.75%, due 07/15/14		14,775
	75,000	Hapag-Lloyd AG, 9.75%, due 10/15/17 144A		52,125
	165,000	Hartford Financial Services Group, Inc., 6.00%, due 01/15/19		166,015
	110,000	HBOS Capital Funding, LP, 6.07%, due 06/29/49† 144A		67,100
	100,000	HBOS Treasury Services Plc/New York, NY, 5.25%, due 02/21/17 144A		108,173
	20,000	HCA, Inc., 5.75%, due 03/15/14		19,600
	9,000	HCA, Inc., 6.25%, due 02/15/13		9,169
	1,570,000	HCA, Inc., 6.50%, due 02/15/16		1,507,200
	600,000	HCA, Inc., 6.50%, due 02/15/20		588,000
	3,700,000	HCA, Inc., 6.75%, due 07/15/13		3,774,000
	230,000	HCA, Inc., 7.88%, due 02/15/20		239,200
	200,000	HCA, Inc., 8.00%, due 10/01/18		195,750
	600,000	Health Net, Inc., 6.38%, due 06/01/17		622,500

See accompanying Notes to the Financial Statements.


Par Value ($)		Description	Value ($)
		Corporate Debt — continued

	215,000	Helix Energy Solutions Group, Inc., Senior Note, 9.50%, due 01/15/16 144A		219,300
	180,000	Hertz Corp. (The), 6.75%, due 04/15/19		164,250
	190,000	Hertz Corp. (The), 7.50%, due 10/15/18		182,400
	19,000	Hertz Corp., Senior Note, 8.88%, due 01/01/14		19,095
	40,000	Hess Corp., 7.88%, due 10/01/29		53,973
	570,000	Hess Corp., 8.13%, due 02/15/19		735,748
	78,000	Hexcel Corp., Senior Subordinated Note, 6.75%, due 02/01/15		79,365
	285,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.88%, due 02/01/18		236,550
	110,000	Hornbeck Offshore Services, Inc., 8.00%, due 09/01/17		110,000
	250,000	Hornbeck Offshore Services, Inc., Senior Note, Series B, 6.13%, due 12/01/14		247,500
	300,000	HSBC Finance Capital Trust IX, 5.91%, due 11/30/35†		250,500
	990,000	HSBC Finance Corp., 6.68%, due 01/15/21 144A		974,651
	350,000	HSBC Holdings Plc, 5.10%, due 04/05/21		361,089
	575,000	HSBC Holdings Plc, Subordinated Note, 6.50%, due 05/02/36		578,837
	1,750,000	HSBC Holdings Plc, Subordinated Note, 6.50%, due 09/15/37		1,722,976
	395,000	Huntsman International LLC, 8.63%, due 03/15/20		386,112
	100,000	Huntsman International LLC, 8.63%, due 03/15/21		96,250
	75,000	Icahn Enterprises, LP/Icahn Enterprises Finance Corp., 7.75%, due 01/15/16		75,281
	300,000	ICICI Bank, Ltd., Reg S, Subordinated Note, 6.38%, due 04/30/22†		250,500
	190,000	Inergy, LP/Inergy Finance Corp., 6.88%, due 08/01/21		173,850
	140,000	Inergy, LP/Inergy Finance Corp., 7.00%, due 10/01/18		132,300
	16,000	Inergy, LP/Inergy Finance Corp., 8.75%, due 03/01/15		16,400
	30,000	ING Capital Funding Trust III, 3.97%, due 12/29/49†		22,531
	350,000	Intelsat Jackson Holdings SA, 7.25%, due 10/15/20 144A		323,750
	110,000	Intelsat Jackson Holdings SA, 8.50%, due 11/01/19		107,800
	20,000	Intelsat Jackson Holdings SA, 9.50%, due 06/15/16		20,325
	300,000	Intelsat Luxembourg SA, 11.25%, due 02/04/17		261,000
	125,000	Intelsat Luxembourg SA, 11.50%, due 02/04/17		107,813
	285,000	Interface, Inc., 7.63%, due 12/01/18		286,425
	190,000	Intergen NV, Senior Note, 9.00%, due 06/30/17 144A		194,275
	300,000	International Lease Finance Corp., 0.60%, due 07/13/12†		285,637
	220,000	International Lease Finance Corp., 6.50%, due 09/01/14 144A		221,100
	1,130,000	International Lease Finance Corp., 6.75%, due 09/01/16 144A		1,138,475
	370,000	Intesa Sanpaolo Spa, 3.63%, due 08/12/15 144A		324,190
	345,000	Iron Mountain, Inc., 8.38%, due 08/15/21		353,625
	75,000	Iron Mountain, Inc., 8.75%, due 07/15/18		76,875
	270,000	Isle of Capri Casinos, Inc., 7.00%, due 03/01/14		246,713
	310,000	Jarden Corp., 7.50%, due 01/15/20		315,037
	1,500,000	JPMorgan Chase & Co., 4.25%, due 10/15/20		1,506,354
	90,000	JPMorgan Chase & Co., 4.35%, due 08/15/21		91,127
	860,000	JPMorgan Chase & Co., 4.40%, due 07/22/20		871,673
	1,325,000	JPMorgan Chase & Co., 4.95%, due 03/25/20		1,403,570
	1,030,000	JPMorgan Chase & Co., Global Subordinated Note, 5.15%, due 10/01/15		1,087,924
	1,440,000	JPMorgan Chase & Co., Subordinated Note, 6.13%, due 06/27/17		1,576,414
	300,000	JPMorgan Chase Bank NA, 0.67%, due 06/13/16†		275,569
	280,000	K Hovnanian Enterprises, Inc., 10.63%, due 10/15/16		211,400
	115,000	K Hovnanian Enterprises, Inc., Guaranteed Senior Note, 6.50%, due 01/15/14		64,975

See accompanying Notes to the Financial Statements.


Par Value ($)		Description	Value ($)
		Corporate Debt — continued

	310,000	Kansas City Southern de Mexico SA de CV, 6.13%, due 06/15/21		310,000
	100,000	Kaupthing Bank HF, 7.13%, due 05/19/16††† 144A		510
	1,680,000	Kaupthing Bank HF, 7.63%, due 02/28/15††† ¤ 144A		420,000
	210,000	Kerr-McGee Corp., 6.95%, due 07/01/24		245,983
	720,000	Kerr-McGee Corp., 7.88%, due 09/15/31		887,832
	270,000	Key Energy Services, Inc., 6.75%, due 03/01/21		261,225
	1,000,000	KeyCorp, 6.50%, due 05/14/13		1,067,078
	20,000	Kinder Morgan Energy Partners, LP, 7.13%, due 03/15/12		20,515
	60,000	Kinder Morgan Energy Partners, LP, Senior Note, 5.00%, due 12/15/13		64,341
	770,000	Kinder Morgan Energy Partners, LP, Senior Note, 6.00%, due 02/01/17		872,966
	2,300,000	Kinder Morgan Finance Co. ULC, Guranteed Note, 5.70%, due 01/05/16		2,317,250
	600,000	Koninklijke Philips Electronics NV, 5.75%, due 03/11/18		689,512
	1,300,000	Kraft Foods, Inc., 5.38%, due 02/10/20		1,473,749
	400,000	Kroger Co. (The), Senior Note, 6.15%, due 01/15/20		480,904
	600,000	Lafarge SA, 6.20%, due 07/09/15 144A		597,491
	1,550,000	Lafarge SA, 6.50%, due 07/15/16		1,554,648
	245,000	Lamar Media Corp., Senior Subordinated Note, 6.63%, due 08/15/15		242,550
	60,000	Lamar Media Corp., Senior Subordinated Note, Series C, 6.63%, due 08/15/15		59,250
	290,000	Landsbanki Islands HF, 6.10%, due 12/31/49††† ¤ 144A		21,750
	600,000	LBG Capital No.1 Plc, 7.88%, due 11/01/20 144A		441,000
	470,000	Lehman Brothers Holdings Capital Trust VII, (MTN), 5.86%, due 11/29/49†††		282
	270,000	Lehman Brothers Holdings, Inc., (MTN), Series I, 6.75%, due 12/28/17†††		405
	890,000	Lehman Brothers Holdings, Inc., Subordinated Note, 6.50%, due 07/19/17†††		1,335
	198,000	Libbey Glass, Inc., 10.00%, due 02/15/15		208,395
	375,000	Liberty Mutual Group, Inc., Junior Subordinated Note, Series A, 7.80%, due 03/07/87 144A		331,875
	335,000	Linn Energy LLC/Linn Energy Finance Corp., 8.63%, due 04/15/20		346,725
	260,000	Lloyds TSB Bank Plc, 5.80%, due 01/13/20 144A		247,619
	660,000	Lloyds TSB Bank Plc, 6.38%, due 01/21/21		651,836
	300,000	Lloyds TSB Bank Plc, 6.50%, due 09/14/20 144A		255,343
	1,700,000	Macquarie Bank, Ltd., 4.10%, due 12/17/13 144A		1,823,228
	2,765,000	Macys Retail Holdings, Inc., 6.65%, due 07/15/24		3,162,657
	125,000	MarkWest Energy Partners, LP/MarkWest Energy Finance Corp., 6.50%, due 08/15/21		128,750
	160,000	MBNA Capital A, Series A, 8.28%, due 12/01/26		149,400
	240,000	Medtronic, Inc., 4.45%, due 03/15/20		272,239
	700,000	Merrill Lynch & Co., Inc., 1.84%, due 05/30/14†		816,821
	190,000	Merrill Lynch & Co., Inc., 5.45%, due 02/05/13		188,355
	9,450,000	Merrill Lynch & Co., Inc., 6.88%, due 04/25/18		9,465,715
	840,000	Merrill Lynch & Co., Inc., Subordinated Note, 5.70%, due 05/02/17		750,119
	250,000	MetLife, Inc., 4.75%, due 02/08/21		260,659
	560,000	Metlife, Inc., Subordinated Note, 6.40%, due 12/15/66		499,177
	60,000	MetroPCS Wireless, Inc., 6.63%, due 11/15/20		52,950
	135,000	MetroPCS Wireless, Inc., 7.88%, due 09/01/18		131,625
	10,000	MGM Resorts International, 5.88%, due 02/27/14		9,175
	260,000	MGM Resorts International, 6.63%, due 07/15/15		221,650

See accompanying Notes to the Financial Statements.


Par Value ($)		Description	Value ($)
		Corporate Debt — continued

	200,000	MGM Resorts International, 7.50%, due 06/01/16		174,500
	40,000	MGM Resorts International, 7.63%, due 01/15/17		34,500
	15,000	MGM Resorts International, 10.38%, due 05/15/14		16,444
	35,000	MGM Resorts International, 11.13%, due 11/15/17		38,588
	80,000	MGM Resorts International, 11.38%, due 03/01/18		80,400
	210,000	Mizuho Capital Investment USD 2, Ltd., 14.95%, due 12/29/49† 144A		254,816
	40,000	Mohegan Tribal Gaming Authority, Series 1, 11.50%, due 11/01/17 144A		36,600
	265,000	Mohegan Tribal Gaming Authority, Senior Note, 6.13%, due 02/15/13		166,950
	75,000	Moog, Inc., 7.25%, due 06/15/18		77,250
	830,000	Morgan Stanley, 5.63%, due 01/09/12		837,399
	1,000,000	Morgan Stanley, 6.60%, due 04/01/12		1,021,844
	5,000,000	Morgan Stanley, 7.30%, due 05/13/19		5,160,105
	130,000	Morgan Stanley, (MTN), Series F, 0.70%, due 10/18/16†		101,332
	900,000	Morgan Stanley, (MTN), Series F, 5.75%, due 08/31/12		929,942
	1,000,000	Morgan Stanley, (MTN), Series F, 6.63%, due 04/01/18		993,352
	150,000	Mueller Water Products, Inc., 8.75%, due 09/01/20		148,500
	85,000	Mueller Water Products, Inc., Senior Subordinated Note, 7.38%, due 06/01/17		66,725
	100,000	MUFG Capital Finance 1, Ltd., Secured Note, 6.35%, due 07/29/49†		101,107
	180,000	Nalco Co., 6.63%, due 01/15/19 144A		198,000
	50,000	National Semiconductor Corp., Senior Note, 6.60%, due 06/15/17		59,722
	155,000	Navistar International Corp., 8.25%, due 11/01/21		159,844
	110,000	News America, Inc., 4.50%, due 02/15/21		110,722
	475,000	News America, Inc., 6.20%, due 12/15/34		510,097
	30,000	News America, Inc., Senior Note, 6.65%, due 11/15/37		33,082
	330,000	Nordea Bank AB, 3.70%, due 11/13/14 144A		336,076
	200,000	Nordea Bank AB, 4.88%, due 01/27/20 144A		208,621
	1,000,000	Nordstrom, Inc., 6.25%, due 01/15/18		1,186,351
	250,000	Norske Skogindustrier ASA, 7.13%, due 10/15/33 144A		103,750
	225,000	Novelis, Inc., 8.38%, due 12/15/17		223,875
	380,000	Novelis, Inc., 8.75%, due 12/15/20		374,300
	335,000	NRG Energy, Inc., 8.25%, due 09/01/20		318,250
	560,000	Occidental Petroleum Corp., 3.13%, due 02/15/22		561,063
	265,000	OGX Petroleo e Gas Participacoes SA, Series 1, 8.50%, due 06/01/18 144A		239,825
	540,000	Pacific Gas & Electric Co., 6.05%, due 03/01/34		646,621
	10,000	Pacific Gas & Electric Co., Senior Note, 5.63%, due 11/30/17		11,664
	205,000	Packaging Dynamics Corp., 8.75%, due 02/01/16 144A		201,925
	800,000	Peabody Energy Corp., 6.50%, due 09/15/20		845,000
	606,000	Pemex Project Funding Master Trust, 6.63%, due 06/15/35		655,995
	171,000	PepsiCo, Inc., Senior Note, 7.90%, due 11/01/18		227,854
	400,000	Petrobras International Finance Co. — PIFCo, 3.88%, due 01/27/16		400,800
	1,280,000	Petrobras International Finance Co. — PIFCo, 5.38%, due 01/27/21		1,306,880
	196,000	Petrobras International Finance Co. — PIFCo, 5.75%, due 01/20/20		205,408
	160,000	Petrobras International Finance Co. — PIFCo, 6.13%, due 10/06/16		175,200
	100,000	Petroleos Mexicanos, 5.50%, due 01/21/21		106,000
	210,000	Pfizer, Inc., 7.20%, due 03/15/39		307,781
	205,000	PHI, Inc., 8.63%, due 10/15/18		202,950
	148,000	Pinafore LLC/Pinafore, Inc., 9.00%, due 10/01/18 144A		152,440

See accompanying Notes to the Financial Statements.


Par Value ($)		Description	Value ($)
		Corporate Debt — continued

	225,000	Pinnacle Entertainment, Inc., Senior Subordinated Note, 7.50%, due 06/15/15		217,688
	205,000	Pittsburgh Glass Works LLC, 8.50%, due 04/15/16 144A		189,625
	200,000	Polypore International, Inc., 7.50%, due 11/15/17		202,000
	90,000	Potash Corp. of Saskatchewan, Inc., 4.88%, due 03/30/20		101,104
	265,000	Precision Drilling Corp., 6.50%, due 12/15/21 144A		262,350
	60,000	Precision Drilling Corp., 6.63%, due 11/15/20		58,800
	430,000	QEP Resources, Inc., 6.88%, due 03/01/21		451,500
	200,000	QVC, Inc., 7.38%, due 10/15/20 144A		214,000
	20,000	Qwest Communications International, Inc., Senior Note, Series B, 7.50%, due 02/15/14		20,050
	100,000	Qwest Corp., 6.88%, due 09/15/33		95,000
	45,000	Qwest Corp., 7.50%, due 10/01/14		48,825
	295,000	Rabobank Nederland NV, 11.00%, due 12/29/49† 144A		355,710
	440,000	RailAmerica, Inc., 9.25%, due 07/01/17		478,500
	500,000	Range Resources Corp., 6.75%, due 08/01/20		535,000
	487,000	Range Resources Corp., 8.00%, due 05/15/19		535,700
	73,098	RathGibson, Inc., Senior Note, 11.25%, due 02/15/14¤ **** †††		—
	220,000	Raytheon Co., 3.13%, due 10/15/20		219,518
	1,370,000	Reed Elsevier Capital, Inc., Guaranteed Note, 8.63%, due 01/15/19		1,751,275
	329,000	Regency Energy Partners, LP/Regency Energy Finance Corp., 6.50%, due 07/15/21		332,290
	590,000	Resona Preferred Global Securities, Cayman, 7.19%, due 12/29/49† 144A		552,145
	755,000	Reynolds American, Inc., Senior Note, 6.75%, due 06/15/17		871,246
	190,000	Reynolds American, Inc., Senior Secured Note, 7.25%, due 06/01/12		197,537
	410,000	Reynolds Group DL Escrow Inc/Reynolds Group Escrow LLC, 8.75%, due 10/15/16 144A		413,075
	290,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, 6.88%, due 02/15/21 144A		262,450
	120,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, 7.13%, due 04/15/19 144A		112,200
	310,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, 9.00%, due 05/15/18 144A		263,500
	125,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, 9.00%, due 04/15/19 144A		106,875
	70,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, 9.88%, due 08/15/19 144A		61,950
	80,000	Rio Tinto Finance USA, Ltd., 3.75%, due 09/20/21		79,847
	110,000	Rio Tinto Finance USA, Ltd., 6.50%, due 07/15/18		132,175
	1,240,000	Rio Tinto Finance USA, Ltd., 9.00%, due 05/01/19		1,671,191
	720,000	Roche Holdings, Inc., Guaranteed Note, 6.00%, due 03/01/19 144A		881,038
	40,000	Rogers Cable, Inc., 6.25%, due 06/15/13		43,322
	20,000	Rogers Communications, Inc., Senior Note, 6.80%, due 08/15/18		24,289
	200,000	Royal Bank of Scotland Group Plc, 0.00%, due 10/29/49 144A		128,000
	110,000	Royal Bank of Scotland Group Plc, 5.00%, due 11/12/13		105,226
	550,000	Royal Bank of Scotland Group Plc, 5.00%, due 10/01/14		512,489
	140,000	Royal Bank of Scotland Group Plc, 5.05%, due 01/08/15		130,164
	710,000	Royal Bank of Scotland Group Plc, 6.40%, due 10/21/19		679,777
	100,000	Royal Bank of Scotland Group Plc, 7.65%, due 08/29/49†		65,500

See accompanying Notes to the Financial Statements.


Par Value ($)		Description	Value ($)
		Corporate Debt — continued

	400,000	Royal Bank of Scotland Plc (The), 0.52%, due 08/29/17†		263,476
	460,000	Royal Bank of Scotland Plc (The), 3.95%, due 09/21/15		433,000
	775,000	Royal Bank of Scotland Plc (The), 4.38%, due 03/16/16		741,787
	775,000	Royal Bank of Scotland Plc (The), 5.63%, due 08/24/20		749,821
	1,100,000	Royal Bank of Scotland Plc (The), 6.13%, due 01/11/21		1,089,320
	150,000	RSHB Capital SA for OJSC Russian Agricultural Bank, 6.30%, due 05/15/17 144A		148,313
	1,070,000	Safeway, Inc., 3.95%, due 08/15/20		1,080,092
	500,000	Santander US Debt SA Unipersonal, Series 1, 3.72%, due 01/20/15 144A		463,988
	400,000	Santander US Debt SA Unipersonal, 3.78%, due 10/07/15 144A		356,681
	200,000	Sealed Air Corp., Series 1, 8.13%, due 09/15/19 144A		202,500
	110,000	Service Corp. International, Senior Note, 7.50%, due 04/01/27		103,125
	10,000	Service Corp. International, Senior Note, 7.63%, due 10/01/18		10,625
	235,000	Shea Homes, LP/Shea Homes Funding Corp., 8.63%, due 05/15/19 144A		193,288
	580,000	Shell International Finance BV, 4.38%, due 03/25/20		652,521
	400,000	Sheraton Holding Corp., 7.38%, due 11/15/15		433,000
	10,000	SLM Corp., 5.00%, due 04/15/15		9,333
	65,000	SLM Corp., 5.63%, due 08/01/33		51,906
	1,080,000	SLM Corp., 8.00%, due 03/25/20		1,068,873
	65,000	Smithfield Foods, Inc., 10.00%, due 07/15/14		74,100
	405,000	Springleaf Finance Corp., 6.90%, due 12/15/17		293,625
	80,000	Sprint Capital Corp., 8.75%, due 03/15/32		69,900
	1,535,000	Sprint Capital Corp., Guaranteed Note, 6.90%, due 05/01/19		1,327,775
	1,150,000	Sprint Nextel Corp., 6.00%, due 12/01/16		994,750
	225,000	SPX Corp., 6.88%, due 09/01/17		231,750
	245,000	Standard Pacific Corp., 8.38%, due 05/15/18		209,475
	1,000,000	State Bank of India (London Branch), 4.50%, due 10/23/14		1,020,350
	780,000	State Street Corp., 4.96%, due 03/15/18		826,511
	210,000	Steel Dynamics, Inc., 7.63%, due 03/15/20		210,788
	130,000	Steel Dynamics, Inc., 7.75%, due 04/15/16		128,700
	100,000	Steel Dynamics, Inc., Senior Note, 6.75%, due 04/01/15		98,750
	15,000	Steel Dynamics, Inc., Senior Note, 7.38%, due 11/01/12		15,375
	105,000	Stora Enso Oyj, 7.25%, due 04/15/36 144A		88,725
	400,000	Sumitomo Mitsui Banking Corp., 3.10%, due 01/14/16 144A		412,575
	550,000	Sumitomo Mitsui Banking Corp., 3.15%, due 07/22/15 144A		567,701
	100,000	SunGard Data Systems, Inc., 7.38%, due 11/15/18		93,500
	100,000	SunGard Data Systems, Inc., 7.63%, due 11/15/20		93,500
	110,000	SunGard Data Systems, Inc., Senior Subordinated Note, 10.25%, due 08/15/15		111,650
	99,000	SunTrust Preferred Capital I, 5.85%, due 06/29/49†		76,230
	175,000	Swift Energy Co., 8.88%, due 01/15/20		184,625
	55,000	Targa Resources Partners, LP/Targa Resources Partners Finance Corp., Series 1, 6.88%, due 02/01/21 144A		53,075
	95,000	Targa Resources Partners, LP/Targa Resources Partners Finance Corp., 7.88%, due 10/15/18		96,425
	95,000	Targa Resources Partners, LP/Targa Resources Partners Finance Corp., 8.25%, due 07/01/16		99,275
	380,000	Teachers Insurance & Annuity Association of America, 6.85%, due 12/16/39 144A		467,283
	8,000	Teck Resources, Ltd., 9.75%, due 05/15/14		9,488

See accompanying Notes to the Financial Statements.


Par Value ($)		Description	Value ($)
		Corporate Debt — continued

	12,000	Teck Resources, Ltd., 10.25%, due 05/15/16		14,120
	35,000	Teekay Corp., 8.50%, due 01/15/20		33,688
	550,000	Telecom Italia Capital SA, 4.95%, due 09/30/14		530,168
	300,000	Telecom Italia Capital SA, 7.00%, due 06/04/18		301,003
	950,000	Telecom Italia Capital SA, 7.18%, due 06/18/19		953,861
	450,000	Telefonica Emisiones SAU, 5.13%, due 04/27/20		419,815
	30,000	Telefonica Emisiones SAU, 5.46%, due 02/16/21		28,539
	120,000	Telefonica Emisiones SAU, 5.88%, due 07/15/19		117,964
	430,000	Tenet Healthcare Corp., 8.88%, due 07/01/19		456,875
	115,000	Tenet Healthcare Corp., 10.00%, due 05/01/18		125,063
	20,000	Tennessee Gas Pipeline Co., 7.63%, due 04/01/37		25,401
	320,000	Terex Corp., 8.00%, due 11/15/17		284,800
	110,000	Tesoro Corp., Senior Note, 6.50%, due 06/01/17		110,000
	130,000	Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Series 1, 11.50%, due 10/01/20 144A		104,650
	295,000	Texas Industries, Inc., 9.25%, due 08/15/20		230,838
	220,000	Thermo Fisher Scientific, Inc., 3.60%, due 08/15/21		228,842
	130,000	Time Warner Cable, Inc., 4.13%, due 02/15/21		129,715
	740,000	Time Warner Cable, Inc., 5.85%, due 05/01/17		823,246
	690,000	Time Warner Cable, Inc., 5.88%, due 11/15/40		709,499
	160,000	Time Warner Cable, Inc., 7.30%, due 07/01/38		195,280
	655,000	Time Warner Cable, Inc., 8.25%, due 04/01/19		821,402
	2,240,000	Time Warner Cable, Inc., 8.75%, due 02/14/19		2,870,549
	240,000	Time Warner Entertainment Co. LP, Senior Subordinated Note, 8.38%, due 07/15/33		313,866
	260,000	Time Warner, Inc., 4.70%, due 01/15/21		272,271
	200,000	Time Warner, Inc., 4.75%, due 03/29/21		210,401
	50,000	Time Warner, Inc., 6.25%, due 03/29/41		57,250
	200,000	Time Warner, Inc., 7.63%, due 04/15/31		250,344
	2,175,000	Time Warner, Inc., 7.70%, due 05/01/32		2,767,811
	10,000	TL Acquisitions, Inc., Senior Subordinated Note, 10.50%, due 01/15/15 144A		6,450
	130,000	TNK-BP Finance SA, 6.63%, due 03/20/17		130,325
	1,100,000	TNK-BP Finance SA, 7.50%, due 07/18/16 144A		1,144,132
	3,200,000	TNK-BP Finance SA, 7.88%, due 03/13/18		3,360,000
	440,000	Total Capital SA, 4.25%, due 12/15/21		479,780
	500,000	Total Capital SA, 4.45%, due 06/24/20		560,007
	325,000	TransDigm, Inc., 7.75%, due 12/15/18		332,312
	330,000	Transocean, Inc., Senior Note, 5.25%, due 03/15/13		343,849
	1,025,000	Travelers Cos. (The), Inc., 5.80%, due 05/15/18		1,182,429
	240,000	Triumph Group, Inc., 8.63%, due 07/15/18		256,800
	830,000	Tyco International Finance SA, 6.00%, due 11/15/13		909,153
	370,000	UBS AG/Stamford Branch, 2.25%, due 01/28/14		360,753
	270,000	UBS AG/Stamford Branch, 4.88%, due 08/04/20		260,440
	500,000	UBS AG/Stamford Branch, 5.75%, due 04/25/18		515,010
	1,837,000	Union Pacific Corp., 4.16%, due 07/15/22 144A		1,964,640
	300,000	United Business Media, Ltd., 5.75%, due 11/03/20 144A		321,126
	210,000	United Parcel Service, Inc., Senior Note, 4.50%, due 01/15/13		220,632

See accompanying Notes to the Financial Statements.


Par Value ($)		Description	Value ($)
		Corporate Debt — continued

	320,000	United Rentals North America, Inc., 9.25%, due 12/15/19		333,600
	150,000	United States Steel Corp., 7.38%, due 04/01/20		135,750
	95,000	United States Steel Corp., Senior Note, 7.00%, due 02/01/18		85,975
	520,000	UnitedHealth Group, Inc., Senior Note, 6.00%, due 02/15/18		617,888
	280,000	UPCB Finance III, Ltd., 6.63%, due 07/01/20 144A		264,600
	245,000	USG Corp., 6.30%, due 11/15/16		180,688
	105,000	USG Corp., 8.38%, due 10/15/18 144A		88,200
	390,000	Vale Overseas, Ltd., Guaranteed Note, 6.88%, due 11/21/36		421,629
	320,000	Vedanta Resources Plc, 8.25%, due 06/07/21 144A		249,600
	220,000	Vedanta Resources Plc, Senior Global Note, 8.75%, due 01/15/14 144A		212,300
	320,000	Verizon Communications, Inc., 6.00%, due 04/01/41		390,429
	110,000	Verizon Communications, Inc., 6.10%, due 04/15/18		131,352
	270,000	Verizon Global Funding Corp., Global Note, 7.38%, due 09/01/12		285,528
	195,000	Vertellus Specialties, Inc., 9.38%, due 10/01/15 144A		171,113
	225,000	Vulcan Materials Co., 6.50%, due 12/01/16		207,618
	825,000	Vulcan Materials Co., 7.50%, due 06/15/21		770,938
	1,500,000	Wachovia Bank NA, 0.68%, due 03/15/16†		1,341,072
	1,070,000	Wachovia Capital Trust III, Secured Note, 5.57%, due 03/29/49†		881,412
	700,000	Wachovia Corp., 5.75%, due 02/01/18		789,739
	700,000	Wachovia Corp., Senior Note, 5.63%, due 10/15/16		757,526
	640,000	Wachovia Corp., Subordinated Note, 5.25%, due 08/01/14		671,874
	550,000	Wal-Mart Stores, Inc., 5.63%, due 04/15/41		680,289
	190,000	Waste Management, Inc., 7.38%, due 05/15/29		241,764
	30,000	WellPoint, Inc., 3.70%, due 08/15/21		30,235
	730,000	WellPoint, Inc., 5.88%, due 06/15/17		836,073
	1,750,000	WellPoint, Inc., 7.00%, due 02/15/19		2,163,168
	420,000	Wells Fargo & Co., 3.68%, due 06/15/16		437,533
	90,000	Wells Fargo & Co., 4.60%, due 04/01/21		96,387
	1,000,000	Wells Fargo Bank NA, Subordinated Note, 4.75%, due 02/09/15		1,042,843
	350,000	Wells Fargo Capital X, 5.95%, due 12/01/86		342,805
	200,000	Williams Cos. (The), Inc., 7.88%, due 09/01/21		237,526
	437,000	Williams Cos., Inc., Series A, 7.50%, due 01/15/31		512,625
	290,000	Williams Partners, LP/Williams Partners Finance Corp., Senior Note, 7.25%, due 02/01/17		336,672
	75,000	Windstream Corp., 8.13%, due 09/01/18		75,938
	510,000	Wyeth, 5.95%, due 04/01/37		652,136
	120,000	Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 7.88%, due 11/01/17		126,300
	255,000	Wynn Las Vegas, LLC, 7.75%, due 08/15/20		269,025
	300,000	Xerox Corp., 5.63%, due 12/15/19		324,326
	1,750,000	Xerox Corp., 6.35%, due 05/15/18		1,991,864

				313,795,099


		Mortgage Backed Securities - Private Issuers — 3.3%

	400,000	Americold LLC Trust, Series 2010-ARTA, Class A2FX, 4.95%, due 01/14/29 144A		422,153
	150,000	Banc of America Commercial Mortgage, Inc., Series 2006-2, Class A4, 5.92%, due 05/10/45†		164,941

See accompanying Notes to the Financial Statements.


Par Value ($)		Description	Value ($)
		Mortgage Backed Securities - Private Issuers — continued

	187,043	Banc of America Funding Corp., Series 2005-E, Class 8A1, 2.77%, due 06/20/35†		93,143
	303,815	Banc of America Mortgage Securities, Series 2005-A, Class 2A1, 2.87%, due 02/25/35†		255,854
	1,200,000	Bear Stearns Commercial Mortgage Securities, Series 2006-PW12, Class A4, 5.90%, due 09/11/38†		1,322,016
	561,117	Citigroup Mortgage Loan Trust, Inc., Series 2010-3, Class 4A1, 3.24%, due 02/25/36† 144A		546,851
	133,979	Countrywide Alternative Loan Trust, Series 2005-59, Class 1A1, 0.54%, due 11/20/35†		76,060
	90,613	Countrywide Alternative Loan Trust, Series 2005-61, Class 1A1, 0.49%, due 12/25/35†		62,180
	105,578	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-3, Class 1A2, 0.52%, due 04/25/35†		62,691
	96,808	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-9, Class 1A1, 0.53%, due 05/25/35†		62,162
	87,671	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-R3, Class AF, 0.63%, due 09/25/35† 144A		73,705
	408,677	Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR30, Class 2A1, 2.73%, due 01/25/34†		353,352
	820,000	Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C5, Class A4, 5.10%, due 08/15/38†		891,529
	260,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A3, 5.99%, due 09/15/39†		271,730
	534,356	Downey Savings & Loan Association Mortgage Loan Trust, Series 2004-AR1, Class A2A, 0.64%, due 09/19/44†		360,266
	393,903	Extended Stay America Trust, Series 2010-ESHA, Class A, 2.95%, due 11/05/27 144A		388,590
	258,911	First Horizon Alternative Mortgage Securities, Series 2004-AA4, Class A1, 2.25%, due 10/25/34†		219,178
	343,621	First Horizon Alternative Mortgage Securities, Series 2006-FA1, Class 1A6, 0.98%, due 04/25/36†		271,898
	504,954	First Horizon Alternative Mortgage Securities, Series 2006-FA8, Class 1A8, 0.60%, due 02/25/37†		267,332
	290,000	Fremont Home Loan Trust, Series 2004-B, Class M1, 1.10%, due 05/25/34†		208,182
	210,000	GMAC Commercial Mortgage Securities, Inc., Series 2006-C1, Class A4, 5.24%, due 11/10/45†		223,885
	283,274	Granite Mortgages Plc, Series 2003-2, Class 1A3, 0.75%, due 07/20/43†		270,173
	180,068	Granite Mortgages Plc, Series 2004-3, Class 2A1, 0.63%, due 09/20/44†		171,469
	479,306	Greenpoint Mortgage Funding Trust, Series 2007-AR2, Class 1A1, 0.36%, due 04/25/47†		398,004
	7,062,770	GS Mortgage Securities Corp., Series 2011, 1.34%, due 03/10/44† 144A		419,098
	110,000	GS Mortgage Securities Corp. II, Series 2011-GC3, Class A4, 4.75%, due 03/10/44 144A		114,931
	303,513	GSMPS Mortgage Loan Trust, Series 2005-RP2, Class 1AF, 0.58%, due 03/25/35† 144A		246,413
	869,032	GSMPS Mortgage Loan Trust, Series 2005-RP3, Class 1AF, 0.58%, due 09/25/35† 144A		703,558

See accompanying Notes to the Financial Statements.


Par Value ($)		Description	Value ($)
		Mortgage Backed Securities - Private Issuers — continued

	174,172	GSR Mortgage Loan Trust, Series 2004-7, Class 4A1, 4.87%, due 06/25/34†		170,390
	91,787	Harborview Mortgage Loan Trust, Series 2005-9, Class 2A1A, 0.57%, due 06/20/35†		70,574
	1,253,809	Harborview Mortgage Loan Trust, Series 2006-13, Class A, 0.41%, due 11/19/46†		612,932
	1,193,388	Harborview Mortgage Loan Trust, Series 2007-4, Class 2A1, 0.45%, due 07/19/47†		751,538
	419,788	Indymac Index Mortgage Loan Trust, Series 2005-AR15, Class A2, 4.93%, due 09/25/35†		322,845
	911,127	Indymac Index Mortgage Loan Trust, Series 2007-AR15, Class 2A1, 5.11%, due 08/25/37†		554,486
	208,621	Indymac Index Mortgage Loan Trust, Series 2007-AR7, Class 1A1, 5.77%, due 11/25/37†		158,740
	2,015,000	JP Morgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP9, Class A3, 5.34%, due 05/15/47		2,088,865
	150,000	JP Morgan Chase Commercial Mortgage Securities Corp., Series 2011-C5, Class A3, 4.17%, due 08/15/46		154,037
	700,000	LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class A5, 4.74%, due 07/15/30		751,631
	147,000	LB-UBS Commercial Mortgage Trust, Series 2007-C1, Class A4, 5.42%, due 02/15/40		155,766
	58,634	Lehman XS Trust, Series 2005-5N, Class 1A1, 0.53%, due 11/25/35†		43,181
	132,077	Lehman XS Trust, Series 2005-7N, Class 1A1B, 1.00%, due 12/25/35†		43,051
	293,312	Lehman XS Trust, Series 2006-2N, Class 1A1, 1.00%, due 02/25/46†		147,087
	148,651	MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 3A1, 2.80%, due 01/25/36†		114,425
	1,358,708	MASTR Adjustable Rate Mortgages Trust, Series 2007-3, Class 12A1, 0.43%, due 05/25/47†		665,305
	552,382	MASTR Adjustable Rate Mortgages Trust, Series 2007-R5, Class A1, 2.60%, due 11/25/35† 144A		285,969
	366,980	MASTR Reperforming Loan Trust, Series 2005-1, Class 1A3, 7.00%, due 08/25/34 144A		377,750
	490,945	MASTR Reperforming Loan Trust, Series 2005-2, Class 1A1F, 0.58%, due 05/25/35† 144A		390,541
	97,332	Merrill Lynch Mortgage Investors, Inc., Series 2005-A3, Class A1, 0.50%, due 04/25/35†		71,857
	400,000	Merrill Lynch Mortgage Trust, Series 2005-CKI1, Class A6, 5.39%, due 11/12/37†		439,365
	300,000	Merrill Lynch Mortgage Trust, Series 2006-C1, Class A4, 5.85%, due 05/12/39†		332,377
	330,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.49%, due 03/12/51†		339,935
	340,000	MLCC Mortgage Investors, Inc., Series 2007-1, Class 4A3, 5.69%, due 01/25/37†		326,518
	250,069	Morgan Stanley Mortgage Loan Trust, Series 2004-5AR, Class 2A, 2.79%, due 07/25/34†		212,034
	382,758	Morgan Stanley Mortgage Loan Trust, Series 2004-7AR, Class 2A6, 2.48%, due 09/25/34†		336,567
	504,567	Nomura Asset Acceptance Corp., Series 2004-R3, Class A1, 6.50%, due 02/25/35 144A		516,490
	463,096	Novastar Mortgage-Backed Notes, Series 2006-MTA1, Class 2A1A, 0.42%, due 09/25/46†		326,106

See accompanying Notes to the Financial Statements.


Par Value ($)		Description	Value ($)
		Mortgage Backed Securities - Private Issuers — continued

	403,110	Prime Mortgage Trust, Series 2006-DR1, Class 1A1, 5.50%, due 05/25/35 144A		396,526
	174,395	Prime Mortgage Trust, Series 2006-DR1, Class 1A2, 6.00%, due 05/25/35 144A		174,791
	1,458,440	Prime Mortgage Trust, Series 2006-DR1, Class 2A1, 5.50%, due 05/25/35 144A		1,262,341
	1,148,609	Prime Mortgage Trust, Series 2006-SRS12, Class AF, 6.00%, due 05/25/35 144A		1,014,613
	527,077	Provident Funding Mortgage Loan Trust, Series 2005-1, Class 2A1, 2.66%, due 05/25/35†		492,945
	292,798	RBSSP Resecuritization Trust, Series 2010-3, Class 4A1, 3.16%, due 12/26/35† 144A		286,244
	106,920	Residential Accredit Loans, Inc., Series 2005-QQ3, Class A1, 0.63%, due 10/25/45†		57,607
	214,052	Residential Asset Securitization Trust, Series 2003-A8, Class A2, 0.58%, due 10/25/18†		205,819
	1,030,555	Sequoia Mortgage Trust, Series 2007-3, Class 1A1, 0.43%, due 07/20/36†		804,850
	198,343	Structured Asset Securities Corp., Series 2002-9, Class A2, 0.53%, due 10/25/27†		167,026
	142,000	Wachovia Bank Commercial Mortgage Trust, Series 2006-C29, Class A4, 5.31%, due 11/15/48		151,823
	254,047	WaMu Mortgage Pass Through Certificates, Series 2002-AR19, Class A6, 2.57%, due 02/25/33†		228,111
	785,114	WaMu Mortgage Pass Through Certificates, Series 2003-AR10, Class A7, 2.53%, due 10/25/33†		744,451
	1,047,430	WaMu Mortgage Pass Through Certificates, Series 2003-AR11, Class A6, 2.49%, due 10/25/33†		987,514
	95,755	WaMu Mortgage Pass Through Certificates, Series 2003-AR9, Class 1A7, 2.47%, due 09/25/33†		91,087
	360,631	WaMu Mortgage Pass Through Certificates, Series 2004-AR13, Class A1A, 0.59%, due 11/25/34†		278,739
	911,215	WaMu Mortgage Pass Through Certificates, Series 2004-AR14, Class A1, 2.58%, due 01/25/35†		842,800
	544,699	WaMu Mortgage Pass Through Certificates, Series 2004-CB2, Class 4A, 6.50%, due 08/25/34		581,719
	1,011,256	WaMu Mortgage Pass Through Certificates, Series 2005-AR11, Class A1A, 0.55%, due 08/25/45†		777,776
	613,786	WaMu Mortgage Pass Through Certificates, Series 2005-AR3, Class A2, 2.58%, due 03/25/35†		537,153
	379,282	WaMu Mortgage Pass Through Certificates, Series 2005-AR6, Class 2A1A, 0.46%, due 04/25/45†		296,423
	92,123	WaMu Mortgage Pass Through Certificates, Series 2006-AR14, Class 1A1, 5.18%, due 11/25/36†		72,735
	137,487	Washington Mutual, Inc., Series 2005-AR13, Class A1A1, 0.52%, due 10/25/45†		106,304
	129,050	Washington Mutual, Inc., Series 2005-AR15, Class A1A1, 0.49%, due 11/25/45†		100,236
	129,050	Washington Mutual, Inc., Series 2005-AR15, Class A1A2, 0.51%, due 11/25/45†		88,338
	300,089	Washington Mutual, Inc., Series 2005-AR17, Class A1A1, 0.50%, due 12/25/45†		231,805
	150,045	Washington Mutual, Inc., Series 2005-AR17, Class A1A2, 0.52%, due 12/25/45†		105,500
	193,114	Washington Mutual, Inc., Series 2005-AR19, Class A1A1, 0.50%, due 12/25/45†		154,353
	241,393	Washington Mutual, Inc., Series 2005-AR19, Class A1A2, 0.52%, due 12/25/45†		182,093
	327,581	Washington Mutual, Inc., Series 2006-AR14, Class 1A4, 5.18%, due 11/25/36†		234,267
	806,485	Washington Mutual, Inc., Series 2006-AR16, Class 1A1, 5.24%, due 12/25/36†		554,184
	349,273	Washington Mutual, Inc., Series 2006-AR20, Class 1A1, 5.84%, due 09/25/36†		253,707

See accompanying Notes to the Financial Statements.


Par Value ($)		Description	Value ($)
		Mortgage Backed Securities - Private Issuers — continued

	349,641	Wells Fargo Mortgage Backed Securities Trust, Series 2004-Y, Class 1A2, 2.75%, due 11/25/34†		325,610
	339,728	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR8, Class 2A1, 2.74%, due 06/25/35†		316,535
	831,619	Wells Fargo Mortgage Loan Trust, Series 2010-RR4, Class 2A1, 2.79%, due 08/27/35† 144A		770,845
	200,000	WF-RBS Commercial Mortgage Trust, Series 2011-C3, Class A4, 4.38%, due 03/15/44 144A		203,443
	310,000	WF-RBS Commercial Mortgage Trust, Series 2011-C4, Class A4, 4.90%, due 06/15/44† 144A		327,851

				34,089,870


		Mortgage Backed Securities - U.S. Government Agency Obligations — 42.6%

	57,392	FHLMC, Pool # 1Q0136, 2.70%, due 09/01/36†		60,772
	11,701,033	FHLMC, Pool # A96413, 4.00%, due 01/01/41		12,270,240
	640,490	FHLMC, Pool # A90675, 4.50%, due 01/01/40		678,606
	3,000,001	FHLMC, Pool # A91076, 4.50%, due 02/01/40		3,179,001
	385,452	FHLMC, Pool # A91943, 4.50%, due 04/01/40		408,450
	974,058	FHLMC, Pool # A92736, 4.50%, due 06/01/40		1,032,177
	6,599,111	FHLMC, Pool # A93146, 4.50%, due 07/01/40		6,992,858
	1,742,997	FHLMC, Pool # A93559, 4.50%, due 08/01/40		1,846,996
	5,581,171	FHLMC, Pool # A93338, 4.50%, due 08/01/40		5,914,181
	76,725	FHLMC, Pool # Q00012, 4.50%, due 04/01/41		81,248
	2,344,303	FHLMC, Pool # A74793, 5.00%, due 03/01/38		2,517,586
	1,617,039	FHLMC, Pool # G01749, 5.50%, due 01/01/35		1,761,158
	298,543	FHLMC, Pool # A39306, 5.50%, due 11/01/35		325,244
	426,359	FHLMC, Pool # G02427, 5.50%, due 12/01/36		463,758
	738,125	FHLMC, Pool # G03695, 5.50%, due 11/01/37		802,873
	425,291	FHLMC, Pool # G04222, 5.50%, due 04/01/38		461,666
	3,060,790	FHLMC, Pool # G04587, 5.50%, due 08/01/38		3,317,322
	2,874,494	FHLMC, Pool # G06172, 5.50%, due 12/01/38		3,120,353
	5,089,064	FHLMC, Pool # G06020, 5.50%, due 12/01/39		5,524,338
	41,481	FHLMC, Pool # 1N1589, 5.80%, due 05/01/37†		44,297
	6,182,295	FHLMC, Pool # G02988, 6.00%, due 05/01/37		6,791,252
	105,799	FHLMC, Pool # H09061, 6.00%, due 06/01/37		115,377
	1,460,935	FHLMC, Pool # G03362, 6.00%, due 09/01/37		1,604,837
	4,590,571	FHLMC, Pool # G06409, 6.00%, due 11/01/39		5,052,418
	292,977	FHLMC, Pool # G06669, 6.50%, due 09/01/39		328,498
	300,380	FHLMC, Series 2808, Class FT, 0.58%, due 04/15/33†		300,499
	600,000	FHLMC, Series 3738, Class BP, 4.00%, due 12/15/38		638,222
	900,000	FHLMC, Series 3871, Class JB, 5.50%, due 06/15/41		1,056,485
	2,000,000	FHLMC Gold Pool, 3.50%, due 12/01/99		2,053,750
	1,689,492	FHLMC Multifamily Structured Pass Through Certificates, (IO), Series K006, Class AX1, 1.23%, due 01/25/20†		108,600
	3,258,323	FHLMC Multifamily Structured Pass Through Certificates, (IO), Series K007, Class X1, 1.41%, due 04/25/20†		246,159

See accompanying Notes to the Financial Statements.


Par Value ($)		Description	Value ($)
		Mortgage Backed Securities - U.S. Government Agency Obligations — continued

	3,974,833	FHLMC Multifamily Structured Pass Through Certificates, (IO), Series K008, Class X1, 1.84%, due 06/25/20†		403,752
	1,804,698	FHLMC Multifamily Structured Pass Through Certificates, (IO), Series K009, Class X1, 1.68%, due 08/25/20†		167,750
	1,756,550	FHLMC Multifamily Structured Pass Through Certificates, (IO), Series K702, Class X1, 1.73%, due 02/25/18†		137,030
	465,410	FHLMC Structured Pass Through Securities, Series T-61, Class 1A1, 1.65%, due 07/25/44†		474,452
	100,000	FHLMC TBA, 4.00%, due 01/01/40		104,688
	100,000	FHLMC TBA, 5.50%, due 06/01/35		108,156
	304,443	FNMA, Pool # MA0546, 3.50%, due 10/01/25		318,467
	599,692	FNMA, Pool # AE2641, 3.50%, due 10/01/25		627,318
	384,423	FNMA, Pool # AE7929, 3.50%, due 12/01/25		402,132
	3,000,008	FNMA, Pool # AH2430, 3.50%, due 01/01/26		3,138,208
	1,999,999	FNMA, Pool # AE2148, 3.50%, due 02/01/26		2,092,132
	1,264,973	FNMA, Pool # AH4523, 3.50%, due 02/01/26		1,323,247
	1,551,868	FNMA, Pool # AE3507, 3.50%, due 02/01/26		1,623,357
	1,583,469	FNMA, Pool # AH4692, 3.50%, due 03/01/26		1,656,415
	311,135	FNMA, Pool # AL0554, 3.50%, due 08/01/26		325,468
	331,222	FNMA, Pool # 735321, 4.00%, due 03/01/15		340,161
	1,306,530	FNMA, Pool # 889304, 4.00%, due 04/01/23		1,380,149
	4,000,001	FNMA, Pool # AA4538, 4.00%, due 04/01/24		4,222,889
	3,319,421	FNMA, Pool # AA5528, 4.00%, due 04/01/24		3,504,385
	465,119	FNMA, Pool # AA2238, 4.00%, due 05/01/24		491,036
	4,199,438	FNMA, Pool # 935983, 4.00%, due 05/01/25		4,436,063
	3,680,583	FNMA, Pool # AD8009, 4.00%, due 07/01/25		3,887,973
	36,860	FNMA, Pool # AD7737, 4.00%, due 07/01/25		38,937
	99,685	FNMA, Pool # AE2977, 4.00%, due 08/01/25		105,302
	20,623	FNMA, Pool # AD6598, 4.00%, due 09/01/25		21,785
	239,268	FNMA, Pool # AD7480, 4.00%, due 09/01/25		252,750
	17,090	FNMA, Pool # AE2434, 4.00%, due 09/01/25		18,053
	319,701	FNMA, Pool # AE0551, 4.00%, due 11/01/25		337,715
	38,508	FNMA, Pool # AE7182, 4.00%, due 11/01/25		40,678
	944,528	FNMA, Pool # AE6360, 4.00%, due 11/01/25		997,750
	233,730	FNMA, Pool # AE8298, 4.00%, due 11/01/25		246,900
	157,155	FNMA, Pool # AE8069, 4.00%, due 12/01/25		166,011
	892,509	FNMA, Pool # AL0243, 4.00%, due 01/01/26		942,799
	52,726	FNMA, Pool # AH3622, 4.00%, due 01/01/26		55,697
	667,455	FNMA, Pool # 890306, 4.00%, due 04/01/26		705,064
	3,999,997	FNMA, Pool # AI3000, 4.00%, due 06/01/26		4,225,385
	115,741	FNMA, Pool # 776565, 4.00%, due 04/01/34		122,552
	123,355	FNMA, Pool # AA4432, 4.00%, due 03/01/39		129,515
	21,842	FNMA, Pool # MA0006, 4.00%, due 03/01/39		22,971
	130,617	FNMA, Pool # 982569, 4.00%, due 04/01/39		137,140
	120,774	FNMA, Pool # AE4971, 4.00%, due 11/01/40		126,786
	2,934,171	FNMA, Pool # AE8321, 4.00%, due 11/01/40		3,080,238
	71,766	FNMA, Pool # AE9244, 4.00%, due 11/01/40		75,339

See accompanying Notes to the Financial Statements.


Par Value ($)		Description	Value ($)
		Mortgage Backed Securities - U.S. Government Agency Obligations — continued

	2,501,595	FNMA, Pool # AH0857, 4.00%, due 12/01/40		2,626,127
	149,245	FNMA, Pool # AH0943, 4.00%, due 12/01/40		157,141
	16,718,633	FNMA, Pool # AH0946, 4.00%, due 12/01/40		17,550,907
	741,324	FNMA, Pool # AH1338, 4.00%, due 12/01/40		781,356
	848,181	FNMA, Pool # AE7295, 4.00%, due 12/01/40		890,405
	7,847,816	FNMA, Pool # AH1230, 4.00%, due 12/01/40		8,238,490
	998,482	FNMA, Pool # AH2800, 4.00%, due 01/01/41		1,048,188
	359,238	FNMA, Pool # AH2399, 4.00%, due 01/01/41		377,121
	234,224	FNMA, Pool # AH2926, 4.00%, due 01/01/41		245,884
	995,463	FNMA, Pool # AH3394, 4.00%, due 01/01/41		1,045,019
	982,812	FNMA, Pool # AB2088, 4.00%, due 01/01/41		1,031,738
	995,417	FNMA, Pool # AE0949, 4.00%, due 02/01/41		1,044,970
	191,673	FNMA, Pool # AH6392, 4.00%, due 02/01/41		201,814
	5,593,672	FNMA, Pool # AH5575, 4.00%, due 02/01/41		5,872,132
	179,919	FNMA, Pool # AH6233, 4.00%, due 03/01/41		188,875
	1,378,132	FNMA, Pool # AH6234, 4.00%, due 03/01/41		1,446,306
	3,992,760	FNMA, Pool # AH6486, 4.00%, due 03/01/41		4,190,277
	3,151,207	FNMA, Pool # AI1707, 4.00%, due 03/01/41		3,308,078
	1,951,098	FNMA, Pool # AE4476, 4.00%, due 03/01/41		2,048,226
	4,957,157	FNMA, Pool # AH8022, 4.00%, due 04/01/41		5,203,930
	502,021	FNMA, Pool # AH9917, 4.00%, due 04/01/41		526,855
	991,126	FNMA, Pool # AH9138, 4.00%, due 04/01/41		1,040,466
	76,550	FNMA, Pool # AH9139, 4.00%, due 04/01/41		80,361
	1,391,711	FNMA, Pool # AI5044, 4.00%, due 06/01/41		1,460,558
	726,958	FNMA, Pool # AI0771, 4.00%, due 08/01/41		762,920
	3,030,810	FNMA, Pool # AI7253, 4.00%, due 08/01/41		3,180,740
	2,990,819	FNMA, Pool # AI8186, 4.00%, due 08/01/41		3,138,771
	57,022	FNMA, Pool # 254802, 4.50%, due 07/01/18		61,099
	794,692	FNMA, Pool # 982875, 4.50%, due 05/01/23		855,041
	58,037	FNMA, Pool # AB1370, 4.50%, due 08/01/25		61,897
	31,421	FNMA, Pool # 995373, 4.50%, due 02/01/39		33,406
	969,791	FNMA, Pool # 931487, 4.50%, due 07/01/39		1,030,453
	94,095	FNMA, Pool # AC8568, 4.50%, due 01/01/40		99,981
	29,717	FNMA, Pool # AC5613, 4.50%, due 03/01/40		31,576
	64,196	FNMA, Pool # AD1656, 4.50%, due 03/01/40		68,211
	4,015,096	FNMA, Pool # AL0215, 4.50%, due 04/01/41		4,266,248
	30,175	FNMA, Pool # AH4709, 4.50%, due 04/01/41		32,062
	748,284	FNMA, Pool # AH6923, 4.50%, due 04/01/41		795,090
	43,557	FNMA, Pool # AH8029, 4.50%, due 04/01/41		46,282
	89,100	FNMA, Pool # AH5442, 4.50%, due 05/01/41		94,673
	9,033,558	FNMA, Pool # AI0736, 4.50%, due 05/01/41		9,598,625
	7,279,234	FNMA, Pool # AI3399, 4.50%, due 05/01/41		7,734,565
	699,163	FNMA, Pool # AB3517, 4.50%, due 09/01/41		742,897
	776,331	FNMA, Pool # AL0476, 5.00%, due 11/01/40		844,608
	97,772	FNMA, Pool # AI0511, 5.00%, due 04/01/41		106,370
	196,729	FNMA, Pool # AI1863, 5.00%, due 05/01/41		214,031
	883,655	FNMA, Pool # AI1892, 5.00%, due 05/01/41		961,370

See accompanying Notes to the Financial Statements.


Par Value ($)		Description	Value ($)
		Mortgage Backed Securities - U.S. Government Agency Obligations — continued

	197,661	FNMA, Pool # AI2433, 5.00%, due 05/01/41		215,045
	99,381	FNMA, Pool # AI2443, 5.00%, due 05/01/41		108,121
	98,383	FNMA, Pool # AI2462, 5.00%, due 05/01/41		107,035
	99,453	FNMA, Pool # AI4261, 5.00%, due 06/01/41		108,200
	946,954	FNMA, Pool # AE0011, 5.50%, due 09/01/23		1,035,970
	4,507,404	FNMA, Pool # 995253, 5.50%, due 12/01/23		4,891,675
	6,013,569	FNMA, Pool # AL0278, 5.50%, due 01/01/25		6,523,088
	35,784	FNMA, Pool # 254548, 5.50%, due 12/01/32		39,108
	405,213	FNMA, Pool # 555591, 5.50%, due 07/01/33		442,974
	4,775,740	FNMA, Pool # 725221, 5.50%, due 01/01/34		5,220,779
	232,649	FNMA, Pool # 735224, 5.50%, due 02/01/35		254,329
	506,705	FNMA, Pool # 990906, 5.50%, due 10/01/35		553,607
	2,850,368	FNMA, Pool # 849077, 5.50%, due 01/01/36		3,112,424
	117,772	FNMA, Pool # 852523, 5.50%, due 02/01/36		128,361
	420,685	FNMA, Pool # 878059, 5.50%, due 03/01/36		458,507
	100,253	FNMA, Pool # 256219, 5.50%, due 04/01/36		107,574
	307,509	FNMA, Pool # 868658, 5.50%, due 04/01/36		335,156
	383,389	FNMA, Pool # 190375, 5.50%, due 11/01/36		417,858
	328,722	FNMA, Pool # 968968, 5.50%, due 01/01/38		358,636
	655,526	FNMA, Pool # 995072, 5.50%, due 08/01/38		721,734
	5,484,176	FNMA, Pool # AL0484, 5.50%, due 05/01/40		5,967,811
	2,361,567	FNMA, Pool # AL0520, 5.50%, due 07/01/41		2,569,828
	1,346,018	FNMA, Pool # 745506, 5.66%, due 02/01/16		1,523,562
	5,277,078	FNMA, Pool # AL0144, 5.80%, due 11/01/37†		5,717,997
	59,671	FNMA, Pool # 840483, 6.00%, due 11/01/21		64,971
	738,187	FNMA, Pool # 256517, 6.00%, due 12/01/26		812,283
	712,292	FNMA, Pool # 256962, 6.00%, due 11/01/27		783,343
	26,854	FNMA, Pool # 745000, 6.00%, due 10/01/35		29,773
	389,494	FNMA, Pool # 882524, 6.00%, due 05/01/36		429,015
	78,177	FNMA, Pool # 887324, 6.00%, due 08/01/36		86,109
	194,615	FNMA, Pool # 893282, 6.00%, due 08/01/36		214,362
	211,074	FNMA, Pool # 878210, 6.00%, due 09/01/36		232,492
	35,538	FNMA, Pool # 882321, 6.00%, due 09/01/36		39,144
	40,193	FNMA, Pool # 900746, 6.00%, due 09/01/36		44,272
	225,936	FNMA, Pool # 898198, 6.00%, due 11/01/36		248,861
	995,083	FNMA, Pool # 948690, 6.00%, due 08/01/37		1,107,248
	324,797	FNMA, Pool # 888736, 6.00%, due 10/01/37		354,963
	605,949	FNMA, Pool # 955166, 6.00%, due 11/01/37		662,227
	6,415,740	FNMA, Pool # 967691, 6.00%, due 01/01/38		7,052,703
	1,346,781	FNMA, Pool # 889552, 6.00%, due 05/01/38		1,479,649
	2,750,959	FNMA, Pool # 889579, 6.00%, due 05/01/38		3,030,703
	3,155,502	FNMA, Pool # AL0406, 6.00%, due 06/01/38		3,448,569
	832,580	FNMA, Pool # AE0028, 6.00%, due 10/01/39		917,061
	4,094,545	FNMA, Pool # AE0469, 6.00%, due 12/01/39		4,501,057
	22,464	FNMA, Pool # 869972, 6.50%, due 04/01/36		25,076
	206,102	FNMA, Pool # 955797, 6.50%, due 10/01/37		228,730
	1,900,000	FNMA, Pool # AL0814, 6.50%, due 10/01/41		2,095,641

See accompanying Notes to the Financial Statements.


Par Value ($)		Description	Value ($)
		Mortgage Backed Securities - U.S. Government Agency Obligations — continued

	4,973,918	FNMA, Pool # 888369, 7.00%, due 03/01/37		5,715,431
	394,453	FNMA, Series 2004-38, Class FK, 0.58%, due 05/25/34†		395,410
	1,013,813	FNMA, Series 2011-59, Class NZ, 5.50%, due 07/25/41		1,235,934
	124,088	FNMA Grantor Trust, Series 2004-T1, Class 1A2, 6.50%, due 01/25/44		140,679
	1,067,000	FNMA Pass-Through Certificates, 0.01%, due 06/01/38		1,170,366
	2,100,000	FNMA Pass-Through Certificates, 1.00%, due 09/30/41		2,388,750
	2,323,000	FNMA Pass-Through Certificates, 6.00%, due 07/01/38		2,540,055
	3,355,000	FNMA Pass-Through Certificates, 6.00%, due 10/01/40		3,703,605
	2,829,000	FNMA Pass-Through Certificates, 6.50%, due 01/01/41		3,136,654
	2,100,000	FNMA Pass-Through Certificates, 6.50%, due 09/30/41		2,362,500
	11,000,000	FNMA TBA, 3.50%, due 10/01/25		11,504,484
	14,900,000	FNMA TBA, Pool # 000606, 3.50%, due 10/01/25		15,561,187
	20,800,000	FNMA TBA, 3.50%, due 07/01/40		21,375,251
	5,000,000	FNMA TBA, 4.00%, due 04/01/24		5,270,312
	19,800,000	FNMA TBA, Pool # 003043, 4.00%, due 12/01/39		20,759,062
	11,550,000	FNMA TBA, Pool # 011047, 4.50%, due 04/01/39		12,255,632
	6,327,551	FNMA TBA, 6.00%, due 02/01/34		7,024,966
	7,600,000	FNMA TBA, Pool # 053813, 6.00%, due 08/01/35		8,337,439
	2,100,000	FNMA TBA, Pool # 050966, 6.50%, due 09/01/34		2,314,922
	26,996	FNMA Whole Loan, Series 2003-W1, Class 1A1, 6.32%, due 12/25/42†		32,432
	174,082	FNMA Whole Loan, Series 2004-W9, Class 2A1, 6.50%, due 02/25/44		195,096
	1,211,485	FNMA, (IO), Series 2011-63, Class SW, 6.45%, due 07/25/41†		170,586
	660,547	GNMA, Pool # 734712, 4.50%, due 03/15/40		718,981
	189,715	GNMA, Pool # 004854, 4.50%, due 11/20/40		206,024
	383,105	GNMA, Pool # 004883, 4.50%, due 12/20/40		416,038
	95,656	GNMA, Pool # 004923, 4.50%, due 01/20/41		103,879
	481,936	GNMA, Pool # 004946, 4.50%, due 02/20/41		523,365
	7,693,954	GNMA, Pool # 004978, 4.50%, due 03/20/41		8,355,360
	294,309	GNMA, Pool # 005017, 4.50%, due 04/20/41		319,609
	325,811	GNMA, Pool # 641779, 5.00%, due 09/15/35		359,332
	8,523	GNMA, Pool # 653562, 5.00%, due 04/15/36		9,395
	183,451	GNMA, Pool # 733600, 5.00%, due 04/15/40		202,825
	559,228	GNMA, Pool # 733627, 5.00%, due 05/15/40		618,301
	89,206	GNMA, Pool # 004747, 5.00%, due 07/20/40		98,139
	89,385	GNMA, Pool # 783050, 5.00%, due 07/20/40		98,315
	1,441,572	GNMA, Pool # 004772, 5.00%, due 08/20/40		1,585,939
	350,857	GNMA, Pool # 004802, 5.00%, due 09/20/40		385,994
	510,141	GNMA, Pool # 510835, 5.50%, due 02/15/35		565,874
	16,367	GNMA, Pool # 002657, 6.00%, due 10/20/28		18,360
	18,850	GNMA, Pool # 003489, 6.00%, due 12/20/33		21,127
	126,770	GNMA, Pool # 003879, 6.00%, due 07/20/36		141,843
	16,465	GNMA, Pool # 003920, 6.00%, due 11/20/36		18,423
	920,871	GNMA, Pool # 004145, 6.00%, due 05/20/38		1,027,481
	413,435	GNMA, Pool # 004195, 6.00%, due 07/20/38		461,298
	16,350	GNMA, Pool # 004245, 6.00%, due 09/20/38		18,243
	172,562	GNMA, Pool # 004580, 6.00%, due 11/20/39		193,075
	227,946	GNMA, Pool # 004602, 6.00%, due 12/20/39		254,335

See accompanying Notes to the Financial Statements.


Par Value ($)		Description	Value ($)
		Mortgage Backed Securities - U.S. Government Agency Obligations — continued

	130,856	GNMA, Pool # 004620, 6.00%, due 01/20/40		146,006
	279,511	GNMA, Pool # 004639, 6.00%, due 02/20/40		311,871
	487,876	GNMA, Pool # 004774, 6.00%, due 08/20/40		545,882
	107,307	GNMA, Pool # 004804, 6.00%, due 09/20/40		120,066
	1,022,398	GNMA, Pool # 004837, 6.00%, due 10/20/40		1,144,596
	580,666	GNMA, Pool # 004871, 6.00%, due 11/20/40		650,067
	579,876	GNMA, Pool # 004928, 6.00%, due 01/20/41		649,183
	467,197	GNMA, Pool # 004991, 6.00%, due 03/20/41		523,037
	1,452,779	GNMA, Pool # 005063, 6.00%, due 05/20/41		1,625,508
	518,942	GNMA, Pool # 004040, 6.50%, due 10/20/37		588,507
	284,081	GNMA REMIC, (IO), 5.82%, due 12/20/39†		48,521
	3,600,000	GNMA TBA, Pool # 001566, 4.00%, due 07/01/40		3,850,875
	5,200,000	GNMA TBA, Pool # 002895, 5.50%, due 07/01/36		5,757,375
	900,000	GNMA TBA, Pool # 020486, 6.00%, due 12/01/35		1,003,781
	2,000,000	GNMA TBA, Pool # 002203, 6.00%, due 05/01/36		2,228,437
	1,062,075	GNMA, (IO), Series 2009-61, Class SB, 6.47%, due 08/20/39†		142,610
	226,013	GNMA, (IO), Series 2009-68, Class SL, 6.52%, due 04/16/39†		29,134
	2,060,840	GNMA, (IO), Series 2010-117, Class PS, 5.77%, due 10/20/39†		335,829
	761,488	GNMA, (IO), Series 2010-146, Class GS, 5.87%, due 06/20/39†		144,940
	574,351	GNMA, (IO), Series 2010-160, Class SW, 6.32%, due 10/20/38†		91,330
	402,620	GNMA, (IO), Series 2010-31, Class GS, 6.27%, due 03/20/39†		60,881
	189,203	GNMA, (IO), Series 2011-32, Class S, 5.77%, due 03/16/41†		31,607
	969,263	GNMA, (IO), Series 2011-70, Class BS, 6.47%, due 12/16/36†		198,469
	683,314	GNMA, (IO), Series 2011-80, Class SA, 5.17%, due 06/20/41†		109,147

				440,937,554


		Municipal Obligations — 4.0%

	2,250,000	American Municipal Power-Ohio, Inc., 8.08%, due 02/15/50		3,200,423
	2,700,000	California East Bay Municipal Utility District, 5.87%, due 06/01/40		3,342,141
	600,000	Chicago Transit Authority, Series A, 6.90%, due 12/01/40		720,480
	600,000	Chicago Transit Authority, Series B, 6.90%, due 12/01/40		720,480
	1,200,000	Florida Educational Loan Marketing Corp., 0.50%, due 12/01/18†		998,688
	450,000	Florida Educational Loan Marketing Corp., 0.54%, due 12/01/36†		354,236
	155,000	Los Angeles Unified School District, 5.75%, due 07/01/34		174,218
	510,000	Los Angeles Unified School District, 6.76%, due 07/01/34		635,062
	1,000,000	New Jersey State Turnpike Authority, 7.10%, due 01/01/41		1,339,690
	1,800,000	New York City Transitional Finance Authority, 4.73%, due 11/01/23		2,021,202
	1,300,000	New York City Transitional Finance Authority, 4.91%, due 11/01/24		1,477,086
	1,300,000	New York City Transitional Finance Authority, 5.08%, due 11/01/25		1,494,675
	700,000	Northstar Education Finance, Inc., 1.60%, due 01/29/46†		595,438
	50,000	Ohio Housing Finance Agency, 6.04%, due 09/01/17		51,442
	3,100,000	Ohio Tobacco Settlement Financing Authority, 6.50%, due 06/01/47		2,377,452
	100,000	State of California General Obligation, 3.95%, due 11/01/15		105,978
	575,000	State of California General Obligation, 6.20%, due 03/01/19		657,346
	4,650,000	State of California General Obligation, 7.30%, due 10/01/39		5,534,058
	800,000	State of California General Obligation, 7.50%, due 04/01/34		963,936

See accompanying Notes to the Financial Statements.


Par Value ($)		Description	Value ($)
		Municipal Obligations — continued

	1,950,000	State of California General Obligation, 7.55%, due 04/01/39		2,391,207
	4,100,000	State of Illinois General Obligation, 2.77%, due 01/01/12		4,119,065
	450,000	State of Illinois General Obligation, 4.96%, due 03/01/16		475,857
	1,400,000	State of Illinois General Obligation, 5.37%, due 03/01/17		1,499,036
	1,000,000	State of Illinois General Obligation, 5.67%, due 03/01/18		1,077,420
	1,000,000	State of Kentucky Property & Building Commission, 4.30%, due 11/01/19		1,096,540
	1,200,000	State of Kentucky Property & Building Commission, 4.40%, due 11/01/20		1,310,892
	2,400,000	State of Kentucky Property & Building Commission, 5.37%, due 11/01/25		2,698,488
	160,000	Tulsa Airports Improvement Trust, 7.75%, due 06/01/35†		164,003

				41,596,539


		Sovereign Debt Obligations — 3.2%

	6,500,000	Australia Government Bond, 4.75%, due 06/15/16		6,577,609
	800,000	Australia Government Bond, 5.25%, due 03/15/19		836,281
	10,700,000	Australia Government Bond, 5.75%, due 07/15/22		11,694,353
	3,900,000	Australia Government Bond, 6.00%, due 02/15/17		4,184,918
	900,000	Bundesrepublik Deutschland, 4.25%, due 07/04/18		1,426,005
	2,500,000	Canadian Government Bond, 1.50%, due 03/01/12		2,405,523
	2,500,000	Korea Housing Finance Corp., 4.13%, due 12/15/15 144A		2,577,967
	2,600,000	Province of Ontario Canada, 2.70%, due 06/16/15		2,734,594
	6,680	Russian Foreign — Eurobond, 7.50%, due 03/31/30†† 144A		7,523
	112,000	United Mexican States, 6.75%, due 09/27/34		138,320

				32,583,093


		U.S. Government and Agency Obligations — 13.4%

	351,010	FHLMC, 5.68%, due 02/01/37†		374,215
	90,000	Financing Corp. FICO STRIPS, Series 11, 0.00%, due 02/08/18‡		81,251
	280,000	Financing Corp. FICO STRIPS, 0.00%, due 04/06/18‡		251,524
	350,000	Financing Corp. FICO STRIPS, Series 1, 0.00%, due 05/11/18‡		313,435
	270,000	Financing Corp. FICO STRIPS, Series 7, 0.00%, due 08/03/18‡		240,089
	150,000	Financing Corp. FICO STRIPS, Series 7, 0.00%, due 08/03/18‡		133,382
	140,000	Financing Corp. FICO STRIPS, Series 8, 0.00%, due 08/03/18‡		124,490
	330,000	Financing Corp. FICO STRIPS, Series D, 0.00%, due 08/03/18‡		293,442
	330,000	Financing Corp. FICO STRIPS, Series E, 0.00%, due 11/02/18‡		291,135
	150,000	Financing Corp. FICO STRIPS, Series 15, 0.00%, due 03/07/19‡		130,855
	50,000	Financing Corp. FICO STRIPS, Series 19, 0.00%, due 06/06/19‡		43,243
	20,000	Financing Corp. FICO STRIPS, Series D, 0.00%, due 09/26/19‡		17,111
	830,000	FNMA, 0.00%, due 10/09/19‡		632,333
	324,475	FNMA, 3.87%, due 06/01/36†		343,470
	360,000	FNMA, 4.38%, due 10/15/15		408,698
	143,491	FNMA, 5.04%, due 09/01/35†		152,383
	1,850,000	FNMA, 5.25%, due 08/01/12		1,926,768
	555,000	FNMA, 5.63%, due 07/15/37		763,190
	389,251	FNMA, 5.77%, due 08/01/37†		415,054
	585,000	FNMA, 6.63%, due 11/15/30		872,144
	1,163,947	GNMA, 0.58%, due 12/20/60†		1,149,731

See accompanying Notes to the Financial Statements.


Par Value ($)		Description	Value ($)
		U.S. Government and Agency Obligations — continued

	2,068,426	GNMA, 0.65%, due 02/20/61†		2,051,416
	2,040,117	GNMA, 0.70%, due 01/20/61†		2,030,026
	490,957	GNMA, 0.70%, due 03/20/61†		487,312
	1,790,064	GNMA, (IO), 5.82%, due 11/20/40†		293,585
	1,567,952	GNMA, (IO), 6.32%, due 11/20/38†		235,962
	122,925	GNMA, (IO), 6.32%, due 11/20/38†		17,873
	1,066,159	GNMA, (IO), 6.42%, due 01/20/40†		172,705
	4,000,000	Overseas Private Investment Corp., 0.00%, due 11/18/13‡		4,000,000
	190,000	Tennessee Valley Authority, 5.25%, due 09/15/39		244,353
	179,240	U.S. Treasury Bond, 2.38%, due 01/15/27		224,344
	3,890,000	U.S. Treasury Bond, 3.75%, due 08/15/41		4,529,423
	3,200,000	U.S. Treasury Bond, 3.88%, due 08/15/40		3,802,499
	200,000	U.S. Treasury Bond, 4.25%, due 11/15/40		252,938
	200,000	U.S. Treasury Bond, 4.38%, due 02/15/38		255,531
	2,380,000	U.S. Treasury Bond, 4.38%, due 11/15/39		3,060,159
	900,000	U.S. Treasury Bond, 4.38%, due 05/15/41		1,162,832
	4,000,000	U.S. Treasury Bond, 4.50%, due 02/15/36		5,180,000
	6,090,000	U.S. Treasury Bond, 4.75%, due 02/15/41		8,322,369
	1,800,000	U.S. Treasury Bond, 5.25%, due 02/15/29		2,458,688
	800,000	U.S. Treasury Bond, 7.50%, due 11/15/24		1,272,375
	16,420,566	U.S. Treasury Inflation Indexed Bond, 1.13%, due 01/15/21^(a)		17,935,626
	1,906,056	U.S. Treasury Inflation Indexed Bond, 1.25%, due 07/15/20		2,105,746
	1,326,395	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28^(b)		1,538,204
	102,442	U.S. Treasury Inflation Indexed Bond, 2.00%, due 01/15/26^(b)		121,817
	2,142,722	U.S. Treasury Inflation Indexed Bond, 2.13%, due 02/15/40		2,723,433
	2,682,212	U.S. Treasury Inflation Indexed Bond, 2.13%, due 02/15/41		3,431,136
	1,201,231	U.S. Treasury Inflation Indexed Bond, 3.63%, due 04/15/28^(b)		1,729,209
	180,000	U.S. Treasury Note, 0.13%, due 08/31/13		179,585
	4,150,000	U.S. Treasury Note, 0.38%, due 06/30/13		4,159,736
	10,000	U.S. Treasury Note, 0.50%, due 05/31/13		10,044
	11,375,000	U.S. Treasury Note, 0.63%, due 07/31/12		11,420,341
	8,325,000	U.S. Treasury Note, 0.75%, due 05/31/12		8,359,432
	460,000	U.S. Treasury Note, 0.75%, due 09/30/16		460,753
	2,520,000	U.S. Treasury Note, 1.00%, due 08/31/16		2,526,693
	70,000	U.S. Treasury Note, 1.38%, due 02/15/13		71,096
	530,000	U.S. Treasury Note, 1.50%, due 06/30/16		544,700
	2,190,000	U.S. Treasury Note, 1.88%, due 02/28/14		2,269,046
	100,000	U.S. Treasury Note, 1.88%, due 08/31/17		103,891
	6,940,000	U.S. Treasury Note, 2.13%, due 08/15/21		7,063,650
	6,170,000	U.S. Treasury Note, 2.25%, due 07/31/18		6,512,244
	600,000	U.S. Treasury Note, 2.63%, due 08/15/20		642,703
	6,400,000	U.S. Treasury Note, 2.75%, due 02/15/19		6,959,002
	3,500,000	U.S. Treasury Note, 2.88%, due 03/31/18		3,842,345

See accompanying Notes to the Financial Statements.

100


Par Value ($)		Description	Value ($)
		U.S. Government and Agency Obligations — continued

	3,120,000	U.S. Treasury Note, 3.13%, due 05/15/21		3,463,440
	800,000	U.S. Treasury Note, 3.25%, due 05/31/16		887,625
	300,000	U.S. Treasury Note, 3.38%, due 11/15/19		340,266

				138,414,096


		TOTAL DEBT OBLIGATIONS (COST $1,040,508,491)		1,057,382,859


Shares		Description	Value ($)

		COMMON STOCKS — 0.0%

		Auto Manufacturers — 0.0%

	8,151	General Motors Co.*		164,488


		Building Materials — 0.0%

	280	Nortek, Inc.*		6,160
	10,371	US Concrete, Inc.* ¤		43,247

				49,407


		Diversified Financial Services — 0.0%

	1,754	CIT Group, Inc.*		53,269


		Oil & Gas Services — 0.0%

	181	SemGroup Corp.*		3,613


		TOTAL COMMON STOCKS (COST $487,779)		270,777


		PREFERRED STOCKS — 0.2%

		Banks — 0.1%

	600	Wells Fargo & Co., 7.50% Class A		619,836


		Diversified Financial Services — 0.1%

	10,250	Citigroup Capital XII, 8.50%		257,275
	40,425	Citigroup Capital XIII, 7.88%		1,067,624

				1,324,899


		Sovereign — 0.0%

	700	FNMA, 0.00%		1,925


		TOTAL PREFERRED STOCKS (COST $1,743,312)		1,946,660

See accompanying Notes to the Financial Statements.

101


Shares		Description	Value ($)

		WARRANTS — 0.0%

		Auto Manufacturers — 0.0%

	7,411	General Motors Co., Strike Price $10.00, Expires 7/10/16*		86,264
	7,411	General Motors Co., Strike Price $18.33, Expires 7/10/19*		58,769

				145,033


		Media — 0.0%

	307	Charter Communications, Inc., Strike Price $46.68, Expires 11/30/14*		4,145


		Oil & Gas Services — 0.0%

	190	SemGroup Corp., Strike Price $25.00, Expires 11/30/14*		779


		TOTAL WARRANTS (COST $307,300)		149,957


Notional		Description	Value ($)

		OPTIONS PURCHASED — 0.0%

		Call Options — 0.0%

	162,500	Eurodollar Mid-Curve 2-Year Futures Option with Barclays Capital, Inc., Strike Price $99.75, Expires 12/16/11		406
	162,500	Eurodollar Mid-Curve 3-Year Futures Option with Barclays Capital, Inc., Strike Price $98.75, Expires 12/16/11		10,157


		TOTAL CALL OPTIONS PURCHASED (COST $14,235)		10,563


		Put Options — 0.0%

	5,000,000	Eurodollar Mid-Curve 3-Year Futures Option with Goldman Sachs Capital Markets, Strike Price $2.00, Expires 11/19/12		2,439


		TOTAL PUT OPTIONS PURCHASED (COST $12,125)		2,439


Par Value ($)		Description	Value ($)

		SHORT-TERM INVESTMENTS — 10.0%

		U.S. Government and Agency Obligations — 3.2%

	7,100,000	FHLMC Discount Note, 0.00%, due 02/10/12‡		7,099,744
	6,300,000	FNMA Discount Note, 0.00%, due 11/09/11‡		6,299,591
	7,100,000	FNMA Discount Note, 0.00%, due 01/04/12‡		7,099,815
	12,800,000	FNMA Discount Note, 0.00%, due 02/01/12‡		12,799,565


		TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (COST $33,291,365)		33,298,715

See accompanying Notes to the Financial Statements.

102


Par Value ($)			Description	Value ($)

			Bank Deposit — 6.8%

	70,055,600		State Street Bank & Trust Euro Time Deposit, 0.01%, due 10/03/11		70,055,600


			TOTAL SHORT-TERM INVESTMENTS (COST $103,346,965)		103,354,315


			TOTAL INVESTMENTS BEFORE TBA COMMITMENTS — 112.4% (Cost $1,146,420,207)		1,163,117,570


			TBA SALE COMMITMENTS — (2.9)%

	(10,000,000	)	FNMA TBA, 4.00%, due 12/01/39		(10,484,375	)
	(18,000,000	)	FNMA TBA, 4.50%, due 04/01/39		(19,099,687	)

					(29,584,062	)


			TOTAL TBA SALE COMMITMENTS (PROCEEDS $29,406,719)		(29,584,062	)


			TOTAL INVESTMENTS NET OF TBA SALE COMMITMENTS — 109.5% (Cost $1,117,013,488)		1,133,533,508

			Other Assets and Liabilities (net) — (9.5)%		(98,710,898	)


			NET ASSETS — 100.0%	$	1,034,822,610

			Notes to Schedule of Investments:


			FHLB — Federal Home Loan Bank

			FHLMC — Federal Home Loan Mortgage Corporation

			FNMA — Federal National Mortgage Association

			GNMA — Government National Mortgage Association

			IO — Interest Only

			MTN — Medium Term Note

			PIK — Payment In Kind

			REIT — Real Estate Investment Trust

			REMIC — Real Estate Mortgage Investment Conduit

			TBA — To Be Announced

			* Non-income producing security

			(a) All or a portion of this security is held for open futures collateral.

			(b) All or a portion of this security is held for open written options collateral.

			¤ Illiquid security. The total market value of the securities at period end is $622,865 which represents 0.1% of net assets. The aggregate tax cost of these securities held at September 30, 2011 was $2,391,379.

			**** Securities fair valued by the Valuation Committee as approved by the Board of Trustees. The total market value of the securities at period end is $21,268 which represents 0.0% of net assets. The aggregate tax cost of these securities held at September 30, 2011 was $220,257.

See accompanying Notes to the Financial Statements.

103

Mercer Core Opportunistic Fixed Income Fund
(formerly known as MGI Core Opportunistic Fixed Income Fund)
Schedule of Investments (Continued)
September 30, 2011 (Unaudited)

A summary of outstanding financial instruments at September 30, 2011 is as follows:

Forward Currency Contracts


									Net
									Unrealized
Settlement					Units of				Appreciation
Date	Deliver/Receive		Counterparty		Currency		Value		(Depreciation)
Buys
10/31/11		CAD		Credit Suisse Londan Branch (GFX)		553,000	$	530,322	$	(27,425	)
2/13/12		CNY		Citibank N.A.		4,642,400		728,609		8,913
2/13/12		CNY		JPMorgan Chase Bank		41,623,700		6,532,700		141,695
11/15/11		CNY		JPMorgan Chase Bank		5,986,164		937,837		6,573
8/05/13		CNY		UBS AG		8,424,725		1,343,890		9,809
10/19/11		EUR		JPMorgan Chase Bank		300,000		402,464		(31,782	)
7/12/12		INR		JPMorgan Chase Bank		57,057,480		1,139,265		(88,305	)
11/14/11		KRW		JPMorgan Chase Bank		4,489,590,000		3,801,516		(412,479	)
12/09/11		SGD		UBS AG		12,782		9,810		(743	)
1/11/12		TWD		Citibank N.A.		121,918,080		4,012,484		(237,754	)

									$	(631,498	)

Sales
10/20/11		AUD		Citibank N.A.		12,350,000	$	11,980,296	$	90,697
10/20/11		AUD		JPMorgan Chase Bank		12,024,000		11,664,055		119,465
11/16/11		EUR		Citibank N.A.		576,166		772,831		55,571
10/19/11		EUR		Credit Suisse Londan Branch (GFX)		3,554,000		4,767,852		194,420
10/19/11		EUR		Morgan Stanley & Co., Inc.		3,555,000		4,769,194		184,699
12/08/11		GBP		Citibank N.A.		1,447,000		2,252,727		64,817

									$	709,669

Currency Abbreviations


AUD	—	Australian Dollar
CAD	—	Canadian Dollar
CNY	—	Chinese Yuan
EUR	—	Euro
GBP	—	British Pound Sterling
INR	—	Indian Rupee
KRW	—	South Korean Won
SGD	—	Singapore Dollar
TWD	—	Taiwan Dollar

See accompanying Notes to the Financial Statements.

105

Mercer Core Opportunistic Fixed Income Fund
(formerly known as MGI Core Opportunistic Fixed Income Fund)
Schedule of Investments (Continued)
September 30, 2011 (Unaudited)

Futures Contracts


							Net
							Unrealized
Number of							Appreciation
Contracts		Type		Expiration Date	Contract Value		(Depreciation)
	Buys
	453		Eurodollar 90 Day	December 2011	$	112,649,010	$	52,596
	75		Eurodollar 90 Day	September 2015		18,346,066		270,938
	38		Eurodollar 90 Day	June 2015		9,310,540		133,475
	10		U.S. Treasury Note 5 Yr.	December 2011		1,224,876		1,172
	110		U.S. Treasury Bond 30 Yr.	December 2011		17,447,228		1,604,722
	29		Euro-Bobl	December 2011		4,751,993		(778	)
	25		Eurodollar 90 Day	March 2012		6,213,206		(4,063	)
	204		Eurodollar 90 Day	March 2014		50,436,960		981,750

							$	3,039,812

	Sales
	102		U.S. Treasury Note 2 Yr.	December 2011	$	22,460,387	$	19,672
	57		U.S. Treasury Bond 30 Yr.	December 2011		8,129,440		(350,734	)
	28		U.S. Treasury Note 5 Yr.	December 2011		3,429,533		(1,750	)
	249		U.S. Treasury Note 10 Yr.	December 2011		32,392,535		(239,961	)
	25		Eurodollar 90 Day	March 2013		6,212,419		(29,688	)

							$	(602,461	)

Written Options


		Number of		Premiums		Value at
Type of Contract	Counterparty	Contracts		Received		September 30, 2011
CALL — EURODOLLAR FUTURES
Strike @ $99.38 Expires 03/19/2012	Barclays Capital, Inc.		38		21,040		(17,812	)
CALL — EURODOLLAR FUTURES
Strike @ $99.50 Expires 03/19/2012	Barclays Capital, Inc.		70		25,035		(17,937	)
CALL — EURODOLLAR FUTURES
Strike @ $99.63 Expires 06/18/2012	Barclays Capital, Inc.		32		9,096		(4,600	)
CALL — EURODOLLAR MID-CURVE 2-YEAR FUTURES
Strike @ $99.50 Expires 12/16/2011	Barclays Capital, Inc.		65		6,289		(1,625	)
CALL — EURODOLLAR MID-CURVE 3-YEAR FUTURES
Strike @ $99.00 Expires 12/16/2011	Barclays Capital, Inc.		65		3,851		(3,250	)
CALL — OTC 1YR. VS. 1YR. FORWARD VOLATILITY AGREEMENT
Strike TBD Expires 10/11/2011	Royal Bank of Scotland Plc		20,700,000		109,300		(77,327	)

See accompanying Notes to the Financial Statements.

106

Mercer Core Opportunistic Fixed Income Fund
(formerly known as MGI Core Opportunistic Fixed Income Fund)
Schedule of Investments (Continued)
September 30, 2011 (Unaudited)

Written Options — continued


		Number of		Premiums		Value at
Type of Contract	Counterparty	Contracts		Received		September 30, 2011
CALL — OTC 1YR. VS. 2YR. FORWARD VOLATILITY AGREEMENT
Strike TBD Expires 11/14/2011	Morgan Stanley Capital Services, Inc.		21,200,000		231,398		(220,492	)
PUT — 5 YEAR CREDIT DEFAULT SWAPTION ON DOW JONES CDX INDEX
Strike @ $1.20 Expires 12/21/2011	Morgan Stanley Capital Services, Inc.		21,100,000		97,060		(294,818	)
PUT — EURODOLLAR FUTURES
Strike @ $99.38 Expires 03/19/2012	Barclays Capital, Inc.		38		15,076		(14,488	)
PUT — EURODOLLAR FUTURES
Strike @ $99.50 Expires 03/19/2012	Barclays Capital, Inc.		70		28,098		(33,688	)
PUT — EURODOLLAR FUTURES
Strike @ $99.63 Expires 06/18/2012	Barclays Capital, Inc.		32		11,096		(21,800	)
PUT — OTC 1 YEAR INTEREST RATE SWAPTION
Strike @ $1.00 Expires 11/19/2012	Goldman Sachs Capital Markets		5,000,000		28,526		(6,131	)
PUT — OTC 10 YEAR INTEREST RATE SWAPTION
Strike @ $4.25 Expires 10/11/2011	Royal Bank of Scotland Plc		1,700,000		12,750		—
PUT — OTC 10 YEAR INTEREST RATE SWAPTION
Strike @ $10.00 Expires 07/10/2012	Morgan Stanley Capital Services, Inc.		4,000,000		24,503		(4	)
PUT — OTC 10 YEAR INTEREST RATE SWAPTION
Strike @ $10.00 Expires 07/10/2012	Royal Bank of Scotland Plc		300,000		2,040		—
PUT — OTC 10 YEAR INTEREST RATE SWAPTION
Strike @ $10.00 Expires 07/10/2012	Credit Suisse Securities		100,000		690		—
PUT — OTC 2 YEAR INTEREST RATE SWAPTION
Strike @ $2.25 Expires 09/24/2012	Bank of America N.A.		500,000		3,417		(343	)

See accompanying Notes to the Financial Statements.

107

Mercer Core Opportunistic Fixed Income Fund
(formerly known as MGI Core Opportunistic Fixed Income Fund)
Schedule of Investments (Continued)
September 30, 2011 (Unaudited)

Written Options — continued


		Number of		Premiums		Value at
Type of Contract	Counterparty	Contracts		Received		September 30, 2011
PUT — OTC 2 YEAR INTEREST RATE SWAPTION
Strike @ $2.25 Expires 09/24/2012	Citibank N.A.		400,000		2,725		(274	)
PUT — OTC 2 YEAR INTEREST RATE SWAPTION
Strike @ $2.25 Expires 09/24/2012	Morgan Stanley Capital Services, Inc.		1,000,000		6,400		(686	)
PUT — OTC 2 YEAR INTEREST RATE SWAPTION
Strike @ $2.25 Expires 09/24/2012	Goldman Sachs Capital Markets		100,000		593		(69	)
PUT — OTC 3 YEAR INTEREST RATE SWAPTION
Strike @ $3.00 Expires 06/18/2012	Morgan Stanley Capital Services, Inc.		1,600,000		14,049		(746	)
PUT — OTC 3 YEAR INTEREST RATE SWAPTION
Strike @ $2.75 Expires 06/18/2012	Royal Bank of Scotland Plc		6,300,000		61,740		(3,735	)
PUT — U.S. TREASURY BOND 10-YEAR FUTURES
Strike @ $126.00 Expires 11/25/2011	Barclays Capital, Inc.		32		29,896		(9,000	)
PUT — U.S. TREASURY BOND 10-YEAR FUTURES
Strike @ $128.50 Expires 11/25/2011	Barclays Capital, Inc.		30		23,527		(23,438	)
PUT — U.S. TREASURY BOND 5-YEAR FUTURES
Strike @ $121.50 Expires 11/25/2011	Barclays Capital, Inc.		57		37,377		(15,586	)

TOTAL				$	805,572	$	(767,849	)

Interest Rate Swaps


			Unrealized
	Notional		Appreciation
Description	Amount		(Depreciation)		Value
Agreement with Royal Bank of Scotland Plc dated 06/07/11 receiving a fixed rate of 3.50% paying the notional amount multiplied by the three-month LIBOR rate. Expiring 06/17/16.	$	59,200,000	$	798,548	$	732,244

See accompanying Notes to the Financial Statements.

108

Mercer US Short Maturity Fixed Income Fund
(formerly known as MGI US Short Maturity Fixed Income Fund)
Schedule of Investments
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Par Value ($)		Description	Value ($)
		DEBT OBLIGATIONS — 99.4%

		Asset Backed Securities — 11.7%

	147,605	Ally Auto Receivables Trust, Series 2010-1, Class A3, 1.45%, due 05/15/14		148,430
	200,000	Ally Auto Receivables Trust, Series 2010-2, Class A4, 2.09%, due 05/15/15		205,151
	65,000	Ally Auto Receivables Trust, Series 2010-3, Class A4, 1.55%, due 08/17/15		66,071
	200,000	Ally Auto Receivables Trust, Series 2011-1, Class A4, 2.23%, due 03/15/16		206,936
	112,888	AmeriCredit Automobile Receivables Trust, Series 2010-2, Class A2, 1.22%, due 10/08/13		113,044
	135,000	AmeriCredit Automobile Receivables Trust, Series 2010-2, Class A3, 1.71%, due 08/08/14		135,848
	112,446	Bank of America Auto Trust, Series 2009-2A, Class A3, 2.13%, due 09/15/13 144A		112,937
	198,905	Bank of America Auto Trust, Series 2010-2, Class A3, 1.31%, due 07/15/14		199,769
	125,790	Capital Auto Receivables Asset Trust, Series 2007-4A, Class A4, 5.30%, due 05/15/14		127,410
	45,791	CarMax Auto Owner Trust, Series 2009-1, Class A3, 4.12%, due 03/15/13		46,103
	146,269	CarMax Auto Owner Trust, Series 2009-2, Class A3, 1.74%, due 04/15/14		147,198
	108,788	Chase Funding Mortgage Loan Asset-Backed Certificates, Series 2003-2, Class 1A6, 4.36%, due 08/25/14		109,168
	228,989	Chrysler Financial Auto Securitization Trust, Series 2009-A, Class A3, 2.82%, due 01/15/16		231,146
	399,867	CitiFinancial Auto Issuance Trust, Series 2009-1, Class A3, 2.59%, due 10/15/13 144A		402,969
	230,000	CNH Equipment Trust, Series 2010-A, Class A4, 2.49%, due 01/15/16		236,192
	115,000	CNH Equipment Trust, Series 2011-A, Class A3, 1.20%, due 05/16/16		115,558
	122,010	Ford Credit Auto Owner Trust, Series 2009-B, Class A3, 2.79%, due 08/15/13		122,889
	90,714	Ford Credit Auto Owner Trust, Series 2009-E, Class A3, 1.51%, due 01/15/14		91,106
	124,000	Ford Credit Auto Owner Trust, Series 2009-E, Class A4, 2.42%, due 11/15/14		127,103
	200,000	Ford Credit Auto Owner Trust, Series 2011-A, Class A3, 0.97%, due 01/15/15		200,907
	100,000	GE Capital Credit Card Master Note Trust, Series 2009-4, Class A, 3.80%, due 11/15/17		108,204
	88,036	Harley-Davidson Motorcycle Trust, Series 2009-3, Class A3, 1.74%, due 09/15/13		88,321
	125,000	Harley-Davidson Motorcycle Trust, Series 2009-3, Class A4, 2.54%, due 04/15/17		126,546
	114,521	Honda Auto Receivables Owner Trust, Series 2010-2, Class A3, 1.34%, due 03/18/14		115,132
	30,000	Hyundai Auto Receivables Trust, Series 2010-A, Class A4, 2.45%, due 12/15/16		31,109
	25,000	Hyundai Auto Receivables Trust, Series 2010-B, Class A3, 0.97%, due 04/15/15		25,097
	65,000	Hyundai Auto Receivables Trust, Series 2010-B, Class A4, 1.63%, due 03/15/17		65,983
	22,846	John Deere Owner Trust, Series 2009-A, Class A3, 2.59%, due 10/15/13		22,934
	450,000	John Deere Owner Trust, Series 2009-A, Class A4, 3.96%, due 05/16/16		459,030
	25,000	John Deere Owner Trust, Series 2011-A, Class A3, 1.29%, due 01/15/16		25,222
	175,520	Mercedes-Benz Auto Receivables Trust, Series 2010-1, Class A3, 1.42%, due 08/15/14		176,602
	117,998	Nissan Auto Receivables Owner Trust, Series 2009-1, Class A3, 5.00%, due 09/15/14		119,963
	36,700	Nissan Auto Receivables Owner Trust, Series 2009-A, Class A3, 3.20%, due 02/15/13		36,908
	20,000	Santander Drive Auto Receivables Trust, Series 2010-3, Class A3, 1.20%, due 06/16/14		20,011
	300,000	Santander Drive Auto Receivables Trust, Series 2010-A, Class A3, 1.83%, due 11/17/14 144A		302,644
	78,746	Securitized Asset Backed NIM Trust, Series 2005-FR4, Class NIM, 6.00%, due 01/25/36¤ 144A		1
	178,000	USAA Auto Owner Trust, Series 2009-2, Class A4, 2.53%, due 07/15/15		182,520

See accompanying Notes to the Financial Statements.

111

Mercer US Short Maturity Fixed Income Fund
(formerly known as MGI US Short Maturity Fixed Income Fund)
Schedule of Investments (Continued)
(showing percentage of net assets)
September 30, 2011 (Unaudited)


Par Value ($)		Description	Value ($)
		Asset Backed Securities — continued

	17,977	World Omni Auto Receivables Trust, Series 2009-A, Class A3, 3.33%, due 05/15/13		18,060
	260,000	World Omni Auto Receivables Trust, Series 2010-A, Class A4, 2.21%, due 05/15/15		264,924

				5,335,146


		Corporate Debt — 19.7%

	20,000	Abbott Laboratories, 2.70%, due 05/27/15		21,013
	45,000	Alabama Power Co., Series 2, 5.80%, due 11/15/13		49,521
	80,000	Allstate Life Global Funding Trusts, 5.38%, due 04/30/13		84,817
	35,000	American Express Co., 7.25%, due 05/20/14		39,691
	25,000	American Express Credit Corp., 5.13%, due 08/25/14		27,077
	105,000	American Express Credit Corp., 7.30%, due 08/20/13		114,986
	150,000	American Honda Finance Corp., 2.38%, due 03/18/13 144A		152,141
	60,000	AON Corp., 3.50%, due 09/30/15		61,979
	60,000	Arrow Electronics, Inc., 6.88%, due 07/01/13		64,161
	55,000	Atmos Energy Corp., 4.95%, due 10/15/14		59,925
	15,000	BAE Systems Holdings, Inc., 4.95%, due 06/01/14 144A		16,103
	10,000	BAE Systems Holdings, Inc., 5.20%, due 08/15/15 144A		10,959
	25,000	Bank of New York Mellon Corp. (The), 4.30%, due 05/15/14		26,991
	80,000	Bank of New York Mellon Corp. (The), 5.13%, due 08/27/13		86,147
	65,000	Bank of Nova Scotia, 2.25%, due 01/22/13		66,248
	40,000	BB&T Corp., 3.20%, due 03/15/16		40,896
	100,000	BB&T Corp., 5.70%, due 04/30/14		109,212
	170,000	BellSouth Corp., 5.20%, due 09/15/14		186,794
	30,000	BHP Billiton Finance USA, Ltd., 4.80%, due 04/15/13		31,649
	30,000	BHP Billiton Finance USA, Ltd., 8.50%, due 12/01/12		32,580
	35,000	BlackRock, Inc., 3.50%, due 12/10/14		37,218
	20,000	Boeing Co. (The), 5.00%, due 03/15/14		21,956
	80,000	BP Capital Markets Plc, 3.63%, due 05/08/14		84,027
	30,000	Burlington Northern Santa Fe LLC, 7.00%, due 02/01/14		33,936
	15,000	Canadian Imperial Bank of Commerce/Canada, 2.35%, due 12/11/15		15,208
	15,000	Canadian National Railway Co., 4.40%, due 03/15/13		15,763
	25,000	Canadian Natural Resources, Ltd., 4.90%, due 12/01/14		27,251
	35,000	Capital One Financial Corp., 7.38%, due 05/23/14		39,118
	25,000	Cargill, Inc., 4.38%, due 06/01/13 144A		26,260
	75,000	Caterpillar Financial Services Corp., 6.13%, due 02/17/14		83,725
	25,000	Caterpillar, Inc., 7.00%, due 12/15/13		28,289
	15,000	CBS Corp., 8.20%, due 05/15/14		17,253
	195,000	Cellco Partnership/Verizon Wireless Capital LLC, 5.55%, due 02/01/14		213,456
	15,000	CenterPoint Energy Houston Electric LLC, Series U, 7.00%, due 03/01/14		16,906
	25,000	CenterPoint Energy Resources Corp., 5.95%, due 01/15/14		27,162
	25,000	Charles Schwab Corp. (The), 4.95%, due 06/01/14		27,337
	20,000	Cisco Systems, Inc., 5.50%, due 02/22/16		23,082
	315,000	Citigroup, Inc., Global Note, 5.50%, due 04/11/13		324,324
	100,000	CME Group, Inc., 5.75%, due 02/15/14		109,887
	35,000	CNA Financial Corp., 5.85%, due 12/15/14		37,004
	40,000	Coca-Cola Co. (The), 1.50%, due 11/15/15		40,411

See accompanying Notes to the Financial Statements.

112


Par Value ($)		Description	Value ($)
		Corporate Debt — continued

	30,000	Comcast Cable Communications LLC, 7.13%, due 06/15/13		32,770
	70,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 1.85%, due 01/10/14		70,810
	50,000	Cox Communications, Inc., 5.45%, due 12/15/14		55,404
	150,000	Credit Suisse, 5.50%, due 05/01/14		158,667
	80,000	Credit Suisse USA, Inc., 5.13%, due 08/15/15		84,467
	30,000	Crown Castle Towers LLC, 3.21%, due 08/15/15 144A		30,484
	60,000	CSX Corp., 6.30%, due 03/15/12		61,407
	15,000	Daimler Finance North America LLC, 7.30%, due 01/15/12		15,261
	30,000	Daimler Finance North America LLC, Senior Note, 6.50%, due 11/15/13		32,954
	20,000	Dell, Inc., 4.70%, due 04/15/13		21,094
	60,000	Delmarva Power & Light Co., Series I, 6.40%, due 12/01/13		66,308
	25,000	Deutsche Bank AG, 3.88%, due 08/18/14		25,532
	65,000	Deutsche Bank Financial LLC, 5.38%, due 03/02/15		65,909
	75,000	Deutsche Telekom International Finance BV, 4.88%, due 07/08/14		80,041
	60,000	Diageo Finance BV, 5.50%, due 04/01/13		64,064
	30,000	Dow Chemical Co. (The), 5.90%, due 02/15/15		33,142
	10,000	Dow Chemical Co. (The), 7.60%, due 05/15/14		11,365
	20,000	Duke Energy Carolinas LLC, 5.75%, due 11/15/13		21,944
	15,000	Duke Energy Corp., 3.35%, due 04/01/15		15,667
	35,000	Duke Energy Corp., 5.65%, due 06/15/13		37,372
	25,000	eBay, Inc., 1.63%, due 10/15/15		25,099
	10,000	EI Du Pont de Nemours & Co., 5.88%, due 01/15/14		11,030
	35,000	Emerson Electric Co., 5.00%, due 12/15/14		39,012
	25,000	ERAC USA Finance Co., Series 1, 2.75%, due 07/01/13 144A		25,302
	55,000	General Electric Capital Corp., 4.75%, due 09/15/14		58,939
	485,000	General Electric Capital Corp., 4.88%, due 03/04/15		518,304
	30,000	General Electric Capital Corp., 5.50%, due 06/04/14		32,544
	30,000	General Mills, Inc., 5.65%, due 09/10/12		31,330
	85,000	Goldman Sachs Group (The), Inc., 3.63%, due 02/07/16		82,836
	106,000	Goldman Sachs Group (The), Inc., 3.70%, due 08/01/15		103,874
	116,000	Goldman Sachs Group (The), Inc., 5.00%, due 10/01/14		120,253
	50,000	Goldman Sachs Group (The), Inc., Global Note, 5.25%, due 10/15/13		51,978
	120,000	Hewlett-Packard Co., 6.13%, due 03/01/14		131,261
	45,000	Honeywell International, Inc., 3.88%, due 02/15/14		48,418
	50,000	International Business Machines Corp., 7.50%, due 06/15/13		55,388
	20,000	Intuit, Inc., 5.40%, due 03/15/12		20,366
	50,000	Jackson National Life Global Funding, 5.38%, due 05/08/13 144A		52,829
	61,000	Jefferies Group, Inc., 3.88%, due 11/09/15		59,759
	60,000	John Deere Capital Corp., 4.50%, due 04/03/13		63,403
	20,000	John Deere Capital Corp., 4.90%, due 09/09/13		21,498
	35,000	Johnson Controls, Inc., 4.88%, due 09/15/13		37,426
	15,000	KCP&L Greater Missouri Operations Co., 11.88%, due 07/01/12		16,135
	60,000	KeyCorp, 6.50%, due 05/14/13		64,025
	15,000	Macquarie Group, Ltd., 7.30%, due 08/01/14 144A		16,252
	45,000	Merck & Co., Inc., 4.75%, due 03/01/15		50,585
	50,000	Merrill Lynch & Co., Inc., 5.45%, due 02/05/13		49,567

See accompanying Notes to the Financial Statements.

113


Par Value ($)		Description	Value ($)
		Corporate Debt — continued

	160,000	Merrill Lynch & Co., Inc., 6.15%, due 04/25/13		160,136
	200,000	Metropolitan Life Global Funding I, 5.13%, due 04/10/13 144A		210,000
	100,000	Morgan Stanley, 4.10%, due 01/26/15		95,424
	100,000	Morgan Stanley, 6.00%, due 05/13/14		101,330
	25,000	NASDAQ OMX Group (The), Inc., 4.00%, due 01/15/15		25,497
	50,000	National City Corp., 4.90%, due 01/15/15		54,290
	40,000	National Rural Utilities Cooperative Finance Corp., 2.63%, due 09/16/12		40,734
	50,000	National Semiconductor Corp., 3.95%, due 04/15/15		53,618
	65,000	New York Life Global Funding, 3.00%, due 05/04/15 144A		67,622
	15,000	News America, Inc., 7.60%, due 10/11/15		17,241
	50,000	Nisource Finance Corp., 6.15%, due 03/01/13		52,948
	20,000	Nomura Holdings, Inc., 4.13%, due 01/19/16		20,315
	40,000	Nomura Holdings, Inc., 5.00%, due 03/04/15		41,949
	10,000	Northern States Power Co., Series B, 8.00%, due 08/28/12		10,644
	25,000	Northern Trust Corp., 4.63%, due 05/01/14		26,968
	60,000	Northern Trust Corp., 5.50%, due 08/15/13		65,106
	20,000	Nucor Corp., 5.00%, due 12/01/12		20,946
	60,000	Ohio Power Co., Series L, 5.75%, due 09/01/13		64,444
	20,000	Oncor Electric Delivery Co. LLC, 6.38%, due 01/15/15		22,883
	45,000	Oracle Corp., 5.25%, due 01/15/16		51,738
	25,000	PACCAR, Inc., 6.38%, due 02/15/12		25,486
	160,000	PacifiCorp, 5.45%, due 09/15/13		172,293
	25,000	PC Financial Partnership, 5.00%, due 11/15/14		27,138
	80,000	PepsiCo, Inc., 3.75%, due 03/01/14		85,474
	25,000	PG&E Corp., 5.75%, due 04/01/14		27,430
	15,000	Pitney Bowes, Inc., 3.88%, due 06/15/13		15,548
	10,000	Pitney Bowes, Inc., 4.88%, due 08/15/14		10,740
	30,000	Potash Corp. of Saskatchewan, Inc., 3.75%, due 09/30/15		31,892
	35,000	PPG Industries, Inc., 5.75%, due 03/15/13		37,282
	80,000	Praxair, Inc., 2.13%, due 06/14/13		81,919
	60,000	Pricoa Global Funding I, 5.45%, due 06/11/14 144A		65,392
	65,000	Procter & Gamble Co. (The), 4.95%, due 08/15/14		72,679
	50,000	Protective Life Secured Trusts, 5.45%, due 09/28/12		52,108
	15,000	Public Service Electric & Gas Co., 2.70%, due 05/01/15		15,692
	10,000	Rio Tinto Finance USA, Ltd., 1.88%, due 11/02/15		10,020
	30,000	Rio Tinto Finance USA, Ltd., 8.95%, due 05/01/14		35,498
	25,000	Ryder System, Inc., 6.00%, due 03/01/13		26,560
	60,000	SABMiller Plc, 5.50%, due 08/15/13 144A		64,408
	50,000	Sempra Energy, 6.00%, due 02/01/13		52,982
	40,000	Shell International Finance BV, 1.88%, due 03/25/13		40,836
	45,000	Shell International Finance BV, 4.00%, due 03/21/14		48,533
	30,000	Southern California Edison Co., 4.15%, due 09/15/14		32,468
	15,000	Spectra Energy Capital LLC, 5.67%, due 08/15/14		16,324
	15,000	State Street Corp., 2.88%, due 03/07/16		15,348
	55,000	State Street Corp., 4.30%, due 05/30/14		59,373
	35,000	TCI Communications, Inc., Senior Note, 8.75%, due 08/01/15		42,706
	15,000	Telecom Italia Capital SA, 6.18%, due 06/18/14		14,937

See accompanying Notes to the Financial Statements.

114


Par Value ($)		Description	Value ($)
		Corporate Debt — continued

	55,000	Time Warner Cable, Inc., 3.50%, due 02/01/15		57,236
	50,000	Time Warner Cable, Inc., 8.25%, due 02/14/14		56,859
	22,000	Total Capital SA, 3.00%, due 06/24/15		23,277
	36,000	Toyota Motor Credit Corp., 3.20%, due 06/17/15		37,805
	20,000	Transocean, Inc., Senior Note, 5.25%, due 03/15/13		20,839
	30,000	Travelers Property Casualty Corp., 5.00%, due 03/15/13		31,517
	25,000	Union Pacific Corp., 5.45%, due 01/31/13		26,499
	60,000	United Technologies Corp., 4.88%, due 05/01/15		67,367
	15,000	UnitedHealth Group, Inc., 5.00%, due 08/15/14		16,442
	70,000	US Bancorp, 1.38%, due 09/13/13		70,464
	75,000	US Bancorp, 3.15%, due 03/04/15		78,335
	35,000	Verizon Communications, Inc., 5.55%, due 02/15/16		39,970
	50,000	Verizon New Jersey, Inc., Series A, 5.88%, due 01/17/12		50,730
	65,000	Vodafone Group Plc, 4.15%, due 06/10/14		69,876
	60,000	Wachovia Corp., 4.88%, due 02/15/14		62,442
	70,000	Wachovia Corp., 5.50%, due 05/01/13		74,414
	50,000	Wal-Mart Stores, Inc., 4.55%, due 05/01/13		53,132
	40,000	Wal-Mart Stores, Inc., 7.25%, due 06/01/13		44,329
	50,000	WEA Finance LLC/WT Finance Aust Pty, Ltd., 7.50%, due 06/02/14 144A		55,810
	30,000	WellPoint, Inc., 5.00%, due 12/15/14		32,924
	100,000	Wells Fargo & Co., 4.38%, due 01/31/13		103,795
	55,000	Westpac Banking Corp., 4.20%, due 02/27/15		57,707
	15,000	Wisconsin Electric Power Co., 6.00%, due 04/01/14		16,802
	65,000	Wyeth, 5.50%, due 02/01/14		71,597
	25,000	Xerox Corp., 4.25%, due 02/15/15		26,465
	20,000	Xerox Corp., 5.65%, due 05/15/13		21,175

				8,957,245


		Mortgage Backed Securities - Private Issuers — 5.0%

	215,000	Banc of America Mortgage Securities, Inc., Series 2004-3, Class 1A26, 5.50%, due 04/25/34		220,516
	119,298	Bear Stearns Commercial Mortgage Securities, Series 2004-T14, Class A3, 4.80%, due 01/12/41		120,877
	48,316	Bear Stearns Commercial Mortgage Securities, Series 2005-T18, Class AAB, 4.82%, due 02/13/42†		49,932
	103,894	Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class 3A4, 5.25%, due 09/25/33		109,564
	137,071	Commercial Mortgage Acceptance Corp., Series 1998-C2, Class F, 5.44%, due 09/15/30† 144A		141,448
	250,000	Commercial Mortgage Asset Trust, Series 1999-C1, Class C, 7.35%, due 01/17/32†		263,730
	902	Countrywide Alternative Loan Trust, Series 2002-11, Class A4, 6.25%, due 10/25/32		922
	51,860	Credit Suisse First Boston Mortgage Securities Corp., Series 2003-17, Class 2A6, 3.50%, due 07/25/18		52,994
	112,304	Credit Suisse First Boston Mortgage Securities Corp., Series 2003-27, Class 5A4, 5.25%, due 11/25/33		116,397
	90,000	Credit Suisse Mortgage Capital Certificates, Series 2006-C2, Class A3, 5.82%, due 03/15/39†		94,538

See accompanying Notes to the Financial Statements.

115


Par Value ($)		Description	Value ($)
		Mortgage Backed Securities - Private Issuers — continued

	90,000	GS Mortgage Securities Corp. II, Series 2004-GG2, Class A6, 5.40%, due 08/10/38†		95,867
	94,752	Honda Auto Receivables Owner Trust, Series 2010-1, Class A3, 1.25%, due 10/21/13		95,071
	84,033	MASTR Alternative Loans Trust, Series 2004-8, Class 7A1, 5.00%, due 09/25/19		88,291
	115,746	MASTR Asset Securitization Trust, Series 2003-8, Class 2A1, 4.50%, due 09/25/18		119,177
	100,000	Morgan Stanley Re-REMIC Trust, Series 2010-HQ4B, Class A7A, 4.97%, due 04/16/40 144A		104,439
	119,901	NCUA Guaranteed Notes, Series 2010-C1, Class A1, 1.60%, due 10/29/20		121,201
	62,882	NCUA Guaranteed Notes, Series 2010-R3, Class 3A, 2.40%, due 12/08/20		64,179
	79,407	Residential Asset Securitization Trust, Series 2003-A14, Class A1, 4.75%, due 02/25/19		80,259
	172,196	WaMu Mortgage Pass-Through Certificates, Series 2003-S1, Class A5, 5.50%, due 04/25/33		178,136
	147,220	Washington Mutual MSC Mortgage Pass-Through Certificates, Series 2003-MS2, Class 3A1, 5.00%, due 03/25/18		150,490

				2,268,028


		Mortgage Backed Securities - U.S. Government Agency Obligations — 16.8%

	48,054	FHLMC, Pool # B14248, 4.00%, due 05/01/14		49,148
	60,561	FHLMC, Pool # C91030, 5.50%, due 05/01/27		65,703
	160,524	FHLMC, Pool # G11977, 6.00%, due 05/01/21		174,731
	26,670	FHLMC, Series 2394, Class KD, 6.00%, due 12/15/16		28,570
	95,495	FHLMC, Series 2405, Class PE, 6.00%, due 01/15/17		102,933
	62,596	FHLMC, Series 2513, Class DM, 5.50%, due 10/15/17		67,452
	48,163	FHLMC, Series 2566, Class LH, 5.00%, due 04/15/32		49,725
	195,348	FHLMC, Series 2590, Class AQ, 4.25%, due 03/15/18		209,587
	38,322	FHLMC, Series 2594, Class YA, 4.00%, due 04/15/23		40,799
	23,154	FHLMC, Series 2610, Class DJ, 4.00%, due 03/15/33		23,512
	36,555	FHLMC, Series 2614, Class NA, 3.75%, due 04/15/33		37,422
	54,152	FHLMC, Series 2614, Class UD, 5.50%, due 06/15/31		55,163
	38,403	FHLMC, Series 2617, Class KD, 5.00%, due 05/15/20		39,671
	68,098	FHLMC, Series 2644, Class ED, 4.00%, due 02/15/18		70,638
	150,000	FHLMC, Series 2668, Class OG, 5.00%, due 03/15/32		160,096
	11,598	FHLMC, Series 2672, Class HA, 4.00%, due 09/15/16		11,674
	60,000	FHLMC, Series 2675, Class CK, 4.00%, due 09/15/18		63,898
	170,000	FHLMC, Series 2682, Class LC, 4.50%, due 07/15/32		185,695
	200,000	FHLMC, Series 2695, Class BG, 4.50%, due 04/15/32		218,845
	185,000	FHLMC, Series 2709, Class PE, 5.00%, due 12/15/22		201,633
	50,000	FHLMC, Series 2714, Class BQ, 4.50%, due 12/15/18		54,764
	19,291	FHLMC, Series 2751, Class VC, 5.00%, due 02/15/15		19,289
	158,791	FHLMC, Series 2758, Class VG, 5.50%, due 02/15/15		167,150
	102,468	FHLMC, Series 2760, Class LB, 4.50%, due 01/15/33		110,838
	111,610	FHLMC, Series 2827, Class QE, 5.50%, due 03/15/33		118,048
	120,000	FHLMC, Series 2840, Class BC, 5.00%, due 01/15/32		123,492
	72,426	FHLMC, Series 2864, Class NA, 5.50%, due 01/15/31		75,389
	93,464	FHLMC, Series 2866, Class W, 4.50%, due 08/15/34		102,190
	129,646	FHLMC, Series 2881, Class AE, 5.00%, due 08/15/34		141,870

See accompanying Notes to the Financial Statements.

116


Par Value ($)		Description	Value ($)
		Mortgage Backed Securities - U.S. Government Agency Obligations — continued

	130,000	FHLMC, Series 2899, Class KB, 4.50%, due 03/15/19		137,979
	68,845	FHLMC, Series 2931, Class AM, 4.50%, due 07/15/19		72,184
	200,000	FHLMC, Series 2931, Class DC, 4.00%, due 06/15/18		208,568
	225,000	FHLMC, Series 2931, Class QC, 4.50%, due 01/15/19		236,868
	50,000	FHLMC, Series 2962, Class YE, 4.50%, due 09/15/18		52,800
	56,744	FHLMC, Series 3001, Class BN, 4.50%, due 06/15/33		59,989
	164,990	FHLMC, Series 3035, Class PA, 5.50%, due 09/15/35		186,656
	74,099	FHLMC, Series 3088, Class CK, 5.50%, due 06/15/33		76,237
	66,355	FNMA, Pool # 255598, 5.00%, due 12/01/14		68,762
	98,316	FNMA, Pool # 254762, 5.00%, due 05/01/23		107,470
	52,535	FNMA, Pool # 254831, 5.00%, due 08/01/23		57,426
	141,012	FNMA, Pool # 254420, 6.00%, due 07/01/22		155,651
	188,712	FNMA, Pool # 254471, 6.00%, due 09/01/22		208,303
	78,459	FNMA, Pool # AE0081, 6.00%, due 07/01/24		85,402
	22,989	FNMA, Pool # 251812, 6.50%, due 07/01/13		23,877
	45,866	FNMA, Series 2001-51, Class GH, 5.50%, due 10/25/31		51,186
	28,882	FNMA, Series 2002-19, Class PE, 6.00%, due 04/25/17		30,974
	84,367	FNMA, Series 2002-63, Class NB, 5.50%, due 10/25/32		94,102
	98,046	FNMA, Series 2003-14, Class AQ, 3.50%, due 03/25/33		103,802
	121,720	FNMA, Series 2003-21, Class OA, 4.00%, due 03/25/33		129,066
	92,151	FNMA, Series 2003-35, Class UN, 4.25%, due 05/25/33		99,443
	96,362	FNMA, Series 2003-39, Class LD, 4.50%, due 10/25/22		99,821
	39,464	FNMA, Series 2003-42, Class EP, 4.00%, due 11/25/22		40,815
	32,597	FNMA, Series 2003-45, Class AB, 3.75%, due 05/25/33		33,722
	90,581	FNMA, Series 2003-64, Class TH, 5.00%, due 07/25/23		100,270
	30,000	FNMA, Series 2003-9, Class EB, 5.00%, due 02/25/18		34,001
	70,750	FNMA, Series 2003-92, Class GA, 4.50%, due 09/25/18		72,169
	110,000	FNMA, Series 2004-81, Class KD, 4.50%, due 07/25/18		114,315
	148,233	FNMA, Series 2005-62, Class CQ, 4.75%, due 07/25/35		158,822
	128,547	FNMA, Series 2007-59, Class AQ, 5.75%, due 07/25/35		139,161
	81,081	FNMA REMIC, Series 1998-37, Class VZ, 6.00%, due 06/17/28		91,303
	125,000	FNMA REMIC, Series 2004-101, Class PD, 5.00%, due 06/25/30		129,192
	201,320	FNMA REMIC, Series 2004-90, Class GA, 4.35%, due 03/25/34		209,750
	145,079	FNMA REMIC, Series 2005-31, Class PA, 5.50%, due 10/25/34		161,342
	43,825	FNMA REMIC, Series 2005-58, Class MA, 5.50%, due 07/25/35		49,432
	160,000	GNMA, Series 2003-105, Class VH, 4.50%, due 11/16/28		170,356
	117,985	GNMA, Series 2003-15, Class PE, 5.50%, due 02/20/33		133,379
	73,372	GNMA, Series 2003-18, Class OA, 5.00%, due 10/20/31		82,085
	228,000	GNMA, Series 2005-77, Class BA, 5.00%, due 11/20/32		241,610
	80,253	GNMA, Series 2008-49, Class PG, 5.25%, due 11/20/37		85,899
	124,721	GNMA, Series 2008-51, Class PG, 5.00%, due 06/20/38		136,931
	67,450	GNMA REMIC, Series 2001-52, 6.00%, due 10/20/31		75,769
	165,837	GNMA REMIC, Series 2004-047, 5.00%, due 08/16/33		175,265
	104,046	GNMA REMIC, Series 2008-050, 5.50%, due 03/16/37		114,015

				7,666,094

See accompanying Notes to the Financial Statements.

117


Par Value ($)		Description	Value ($)

		U.S. Government and Agency Obligations — 46.2%

	150,000	Federal Farm Credit Bank, 3.70%, due 05/15/13		157,987
	225,000	Federal Farm Credit Bank, 4.63%, due 06/11/12		231,715
	117,000	Federal Farm Credit Bank, 5.45%, due 12/11/13		129,693
	400,000	Federal Home Loan Bank, 1.13%, due 03/09/12		401,752
	1,000,000	Federal Home Loan Bank, 2.00%, due 09/14/12		1,016,450
	235,000	Federal Home Loan Bank, 2.38%, due 03/14/14		245,570
	125,000	Federal Home Loan Bank, 3.13%, due 03/11/16		135,816
	910,000	Federal Home Loan Bank, 4.25%, due 06/14/13		969,778
	195,000	Federal Home Loan Bank, 5.13%, due 05/24/13		210,225
	300,000	Federal Home Loan Bank, 6.05%, due 05/12/14		342,124
	80,000	Federal Home Loan Banks, 2.88%, due 09/11/15		85,945
	1,000,000	Federal Home Loan Mortgage Corp., 1.00%, due 08/28/12		1,006,713
	500,000	Federal Home Loan Mortgage Corp., 1.00%, due 08/27/14		505,817
	235,000	Federal Home Loan Mortgage Corp., 2.50%, due 05/27/16		249,123
	280,000	Federal Home Loan Mortgage Corp., 4.00%, due 06/12/13		297,157
	300,000	Federal Home Loan Mortgage Corp., 4.13%, due 12/21/12		313,824
	175,000	Federal Home Loan Mortgage Corp., 5.00%, due 01/30/14		193,242
	250,000	FHLMC, 5.25%, due 04/18/16		295,368
	200,000	FNMA, 1.00%, due 09/23/13		202,111
	100,000	FNMA, 2.25%, due 03/15/16		105,043
	560,000	FNMA, 4.63%, due 10/15/13		607,336
	445,000	FNMA, 4.75%, due 02/21/13		471,827
	300,000	U.S. Treasury Note, 0.25%, due 09/15/14		298,571
	150,000	U.S. Treasury Note, 0.38%, due 10/31/12		150,334
	100,000	U.S. Treasury Note, 0.38%, due 07/31/13		100,230
	250,000	U.S. Treasury Note, 0.50%, due 08/15/14		250,684
	1,000,000	U.S. Treasury Note, 0.63%, due 06/30/12		1,003,596
	200,000	U.S. Treasury Note, 0.63%, due 12/31/12		201,086
	70,000	U.S. Treasury Note, 0.63%, due 01/31/13		70,394
	1,000,000	U.S. Treasury Note, 0.75%, due 08/15/13		1,008,867
	300,000	U.S. Treasury Note, 0.75%, due 06/15/14		302,953
	1,900,000	U.S. Treasury Note, 1.00%, due 04/30/12		1,909,948
	1,300,000	U.S. Treasury Note, 1.00%, due 07/15/13		1,316,752
	125,000	U.S. Treasury Note, 1.00%, due 05/15/14		126,963
	385,000	U.S. Treasury Note, 1.00%, due 08/31/16		386,022
	300,000	U.S. Treasury Note, 1.25%, due 04/15/14		306,586
	200,000	U.S. Treasury Note, 1.25%, due 08/31/15		204,656
	200,000	U.S. Treasury Note, 1.38%, due 01/15/13		202,977
	2,000,000	U.S. Treasury Note, 1.38%, due 03/15/13		2,033,134
	320,000	U.S. Treasury Note, 1.50%, due 06/30/16		328,875
	665,000	U.S. Treasury Note, 1.50%, due 07/31/16		682,980
	260,000	U.S. Treasury Note, 1.75%, due 04/15/13		265,961
	150,000	U.S. Treasury Note, 1.75%, due 07/31/15		156,340
	100,000	U.S. Treasury Note, 1.75%, due 05/31/16		104,008
	250,000	U.S. Treasury Note, 1.88%, due 06/30/15		261,601
	125,000	U.S. Treasury Note, 2.00%, due 04/30/16		131,505
	200,000	U.S. Treasury Note, 2.13%, due 12/31/15		211,484

See accompanying Notes to the Financial Statements.

118


Par Value ($)		Description	Value ($)
		U.S. Government and Agency Obligations — continued

	135,000	U.S. Treasury Note, 2.13%, due 02/29/16		142,762
	200,000	U.S. Treasury Note, 2.25%, due 01/31/15		211,438
	190,000	U.S. Treasury Note, 2.38%, due 03/31/16		202,959
	70,000	U.S. Treasury Note, 2.50%, due 04/30/15		74,774
	200,000	U.S. Treasury Note, 2.63%, due 04/30/16		215,938

				21,038,994


		TOTAL DEBT OBLIGATIONS (COST $44,972,770)		45,265,507


		SHORT-TERM INVESTMENTS — 0.1%

		Bank Deposits — 0.1%

	44,205	State Street Bank & Trust Euro Time Deposit, 0.01%, due 10/03/11		44,205


		TOTAL SHORT-TERM INVESTMENTS (COST $44,205)		44,205


		TOTAL INVESTMENTS — 99.5% (Cost $45,016,975)		45,309,712

		Other Assets and Liabilities (net) — 0.5%		213,900


		NET ASSETS — 100.0%	$	45,523,612


		Notes to Schedule of Investments:

		FHLMC — Federal Home Loan Mortgage Corporation

		FNMA — Federal National Mortgage Association

		GNMA — Government National Mortgage Association

		REMIC — Real Estate Mortgage Investment Conduit

		¤ Illiquid security. The total market value of the securities at period end is $1 which represents 0.0% of net assets. The aggregate tax cost of these securities held at September 30, 2011 was $77,673.

		† Floating rate note. Rate shown is as of September 30, 2011.

		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 $1,858,000 which represents 4.1% of net assets.

See accompanying Notes to the Financial Statements.

119

Mercer Funds
(formerly known as MGI Funds)

Statements of Assets and Liabilities
September 30, 2011 (Unaudited)


	Mercer US Large Cap			Mercer US Large Cap			Mercer US Small/Mid Cap			Mercer US Small/Mid Cap
	Growth Equity Fund			Value Equity Fund			Growth Equity Fund			Value Equity Fund
	(formerly known as			(formerly known as			(formerly known as			(formerly known as
	MGI US Large Cap			MGI US Large Cap			MGI US Small/Mid Cap			MGI US Small/Mid Cap
	Growth Equity Fund)			Value Equity Fund)			Growth Equity Fund)			Value Equity Fund)
Assets
Investments, at value^(a)	$	357,407,498		$	358,823,650		$	230,022,518		$	224,049,143
Cash		—			22,802			—			—
Receivable for investments sold		5,582,017			2,014,739			1,287,495			1,094,849
Dividend and interest receivable		216,106			611,714			46,754			287,616
Cash collateral held at broker on open future contracts		—			—			—			274,966
Receivable for expenses reimbursed by Advisor		18,109			26,981			20,454			17,614
Foreign tax reclaims receivable		—			5,253			—			2,074
Prepaid expenses		6,559			6,385			4,589			4,521

Total assets		363,230,289			361,511,524			231,381,810			225,730,783


Liabilities
Payable for investments purchased		4,668,342			1,526,548			2,121,578			1,506,596
Payable for variation margin on open futures contracts		—			—			—			118,170
Payable to affiliate for:
Advisor fee		170,991			161,126			178,364			173,401
Trustees fees		2,736			2,648			2,017			1,932
Accrued expenses		60,160			64,594			52,310			44,633

Total liabilities		4,902,229			1,754,916			2,354,269			1,844,732

Net assets	$	358,328,060		$	359,756,608		$	229,027,541		$	223,886,051


Net assets consist of:
Paid-in capital		357,448,546			515,616,661			214,683,265			234,955,384
Accumulated undistributed (distributions in excess of) net investment income		676,183			5,475,732			(280,808	)		801,217
Accumulated net realized gain (loss)		(20,802,576	)		(148,023,663	)		24,312,199			13,457,937
Net unrealized appreciation (depreciation) on investments, futures contracts and foreign currencies		21,005,907			(13,312,122	)		(9,687,115	)		(25,328,487	)

Net assets	$	358,328,060		$	359,756,608		$	229,027,541		$	223,886,051


Net assets attributable to:
Class Y-3 shares	$	358,328,060		$	359,756,608		$	229,027,541		$	223,886,051


Shares outstanding
Class Y-3		34,442,932			51,519,494			23,027,363			27,078,851


Net asset value per share
Class Y-3	$	10.40		$	6.98		$	9.95		$	8.27


(a) Investments at cost		336,401,444			372,134,387			239,709,633			249,259,460

See accompanying Notes to the Financial Statements.

121

Mercer Funds
(formerly known as MGI Funds)

Statements of Assets and Liabilities (Continued)
September 30, 2011 (Unaudited)


	Mercer Non-US Core		Mercer Core Opportunistic		Mercer US Short Maturity
	Equity Fund		Fixed Income Fund		Fixed Income Fund
	(formerly known as		(formerly known as		(formerly known as
	MGI Non-US Core		MGI Core Opportunistic		MGI US Short Maturity
	Equity Fund)		Fixed Income Fund)		Fixed Income Fund)
Assets
Investments, at value^(a)	$	1,473,179,760	$	1,163,117,570	$	45,309,712
Foreign currency, at value^(b)		4,936,916		748,621		—
Receivable for investments sold		5,315,450		12,946,336		—
Receivable for TBA securities sold		—		79,152,195		—
Dividend and interest receivable		4,881,939		7,970,953		241,711
Receivable for open forward foreign currency contracts		8,951,115		876,659		—
Cash collateral held at broker on open future contracts		165,719		—		—
Receivable for variation margin on open futures contracts		77,502		175,430		—
Receivable for expenses reimbursed by Advisor		59,118		27,563		8,302
Swap contracts, at value (up-front net premiums paid of $172,110)		—		992,119		—
Foreign tax reclaims receivable		952,388		—		—
Prepaid expenses		26,362		17,068		371

Total assets		1,498,546,269		1,266,024,514		45,560,096


Liabilities
Payable for investments purchased		7,467,199		11,496,111		—
Payable for TBA securities purchased		—		183,155,446		—
Payable for Fund shares repurchased		—		2,538,370		—
Due to custodian		—		40,372		—
Swap contracts, at value (up-front net premiums received of $107,713)		—		86,830		—
Payable for open forward foreign currency contracts		9,949,375		798,488		—
Cash collateral on TBA due to broker		—		810,000		—
Cash collateral on swap contracts due to broker		—		1,420,000		—
Cash collateral due to broker on open future contracts		—		34,665		—
Payable for variation margin on open futures contracts		—		10,844		—
Payable to affiliate for:
Advisor fee		925,341		295,646		9,342
Trustees fees		10,142		6,814		443
Written options, at value^(c)		—		767,849		—
TBA Sale Commitments^(d)		—		29,584,062		—
Accrued expenses		412,988		156,407		26,699

Total liabilities		18,765,045		231,201,904		36,484

Net assets	$	1,479,781,224	$	1,034,822,610	$	45,523,612

See accompanying Notes to the Financial Statements.

122

Mercer Funds
(formerly known as MGI Funds)

Statements of Assets and Liabilities (Continued)
September 30, 2011 (Unaudited)


	Mercer Non-US Core			Mercer Core Opportunistic		Mercer US Short Maturity
	Equity Fund			Fixed Income Fund		Fixed Income Fund
	(formerly known as			(formerly known as		(formerly known as
	MGI Non-US Core			MGI Core Opportunistic		MGI US Short Maturity
	Equity Fund)			Fixed Income Fund)		Fixed Income Fund)

Net assets consist of:
Paid-in capital		1,743,052,104			984,174,176		49,049,896
Accumulated undistributed net investment income		36,984,466			21,904,591		656,095
Accumulated net realized gain (loss)		(133,934,818	)		8,881,105		(4,475,116	)
Net unrealized appreciation (depreciation) on investments, futures contracts, options written, short sales, swap contracts and foreign currencies		(166,320,528	)		19,862,738		292,737

Net assets	$	1,479,781,224		$	1,034,822,610	$	45,523,612


Net assets attributable to:
Class Y-3 shares	$	1,479,781,224		$	1,034,822,610	$	45,523,612


Shares outstanding
Class Y-3		171,365,665			97,147,147		4,703,756


Net asset value per share
Class Y-3	$	8.64		$	10.65	$	9.68


(a) Investments at cost		1,638,352,748			1,146,420,207		45,016,975

(b) Foreign currency at cost		5,032,179			792,880		—

(c) Premiums on written options		—			805,572		—

(d) Proceeds for TBA Sale Commitments		—			29,406,719		—

See accompanying Notes to the Financial Statements.

123

Mercer Funds
(formerly known as MGI Funds)

Statements of Operations
For the Six Months Ended September 30, 2011 (Unaudited)


	Mercer US Large Cap			Mercer US Large Cap			Mercer US Small/Mid Cap			Mercer US Small/Mid Cap
	Growth Equity Fund			Value Equity Fund			Growth Equity Fund			Value Equity Fund
	(formerly known as			(formerly known as			(formerly known as			(formerly known as
	MGI US Large Cap			MGI US Large Cap			MGI US Small/Mid Cap			MGI US Small/Mid Cap
	Growth Equity Fund)			Value Equity Fund)			Growth Equity Fund)			Value Equity Fund)
Investment Income:
Interest	$	427		$	376		$	328		$	225
Dividends		1,767,820			5,119,092			979,059			1,976,140
Withholding taxes		(9,483	)		(138,513	)		(7,028	)		(1,555	)

Total investment income		1,758,764			4,980,955			972,359			1,974,810


Expenses:
Advisory fees		1,110,710			1,057,347			1,224,607			1,202,442
Transfer agent fees		19,705			19,474			13,264			13,029
Custodian and fund accounting fees		71,753			90,100			80,279			67,291
Audit fees		21,278			21,234			20,085			20,878
Legal fees		20,590			20,442			14,458			14,196
Trustees fees		10,101			10,027			7,069			6,957
Blue Sky fees		12,430			11,298			11,008			11,008
Miscellaneous		15,494			15,177			10,717			10,903

Total expenses		1,282,061			1,245,099			1,381,487			1,346,704
Reimbursement of expenses		(130,961	)		(147,851	)		(129,666	)		(117,542	)

Net expenses		1,151,100			1,097,248			1,251,821			1,229,162

Net investment income (loss)		607,664			3,883,707			(279,462	)		745,648


Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		18,169,213			10,851,667			21,350,233			21,061,047
Closed futures contracts		—			—			—			(66,341	)
Forward foreign currency contracts and foreign currency related transactions		(173	)		1,374			—			—

Net realized gain		18,169,040			10,853,041			21,350,233			20,994,706

Change in net unrealized appreciation (depreciation) on:
Investments		(77,873,126	)		(77,314,567	)		(78,146,021	)		(84,713,656	)
Open futures contracts		—			—			—			(118,170	)
Forward foreign currency contracts and foreign currency related translations		(240	)		(1,990	)		—			—

Change in net unrealized depreciation		(77,873,366	)		(77,316,557	)		(78,146,021	)		(84,831,826	)

Net realized and unrealized loss		(59,704,326	)		(66,463,516	)		(56,795,788	)		(63,837,120	)


Net decrease in net assets resulting from operations	$	(59,096,662	)	$	(62,579,809	)	$	(57,075,250	)	$	(63,091,472	)

See accompanying Notes to the Financial Statements.

124

Mercer Funds
(formerly known as MGI Funds)

Statements of Operations (Continued)
For the Six Months Ended September 30, 2011 (Unaudited)


	Mercer Non-US Core			Mercer Core Opportunistic			Mercer US Short Maturity
	Equity Fund			Fixed Income Fund			Fixed Income Fund
	(formerly known as			(formerly known as			(formerly known as
	MGI Non-US Core			MGI Core Opportunistic			MGI US Short Maturity
	Equity Fund)			Fixed Income Fund)			Fixed Income Fund)
Investment Income:
Interest	$	3,768		$	18,202,213		$	486,791
Dividends		38,127,636			60,584			—
Withholding taxes		(3,496,665	)		—			(10	)
Other income		—			30,024			—

Total investment income		34,634,739			18,292,821			486,781


Expenses:
Advisory fees		5,868,688			1,833,881			64,377
Transfer agent fees		77,629			52,109			2,496
Custodian and fund accounting fees		1,185,331			228,823			23,870
Audit fees		39,035			40,888			21,952
Legal fees		77,691			52,025			3,028
Trustees fees		38,178			25,630			1,472
Registration fees		8,302			856			—
Blue Sky fees		10,431			11,299			10,355
Miscellaneous		78,303			40,689			1,521

Total expenses		7,383,588			2,286,200			129,071
Reimbursement of expenses		(857,891	)		(314,120	)		(46,669	)

Net expenses		6,525,697			1,972,080			82,402

Net investment income		28,109,042			16,320,741			404,379


Realized and unrealized gain (loss):
Net realized gain (loss) on:
Realized loss on investments		(13,731,199	)		13,749,666			154,804
TBA Sale Commitments		—			(213,636	)		—
Swap contracts		—			64,834			—
Closed futures contracts		(467,838	)		(2,236,087	)		—
Written option contracts		—			337,298			—
Forward foreign currency contracts and foreign currency related transactions*		(808,388	)		270,557			—

Net realized gain (loss)		(15,007,425	)		11,972,632			154,804

Change in net unrealized appreciation (depreciation) on:
Investments		(310,875,749	)		10,906,651			132,056
TBA Sale Commitments		—			(247,656	)		—
Swap contracts		—			873,065			—
Open futures contracts		135,512			2,052,180			—
Written option contracts		—			469,134			—
Forward foreign currency contracts and foreign currency related translations		(1,544,512	)		678,349			—

Change in net unrealized depreciation		(312,284,749	)		14,731,723			132,056

Net realized and unrealized loss		(327,292,174	)		26,704,355			286,860


Net increase (decrease) in net assets resulting from operations	$	(299,183,132	)	$	43,025,096		$	691,239


*		Net of Brazilian Imposto sobre Operacoes Financeiras (“IOF”) tax of $12,205 for the Non-US Core Equity Fund.

See accompanying Notes to the Financial Statements.

125

Mercer Funds
(formerly known as MGI Funds)

Statements of Changes in Net Assets


	Mercer US Large Cap						Mercer US Large Cap
	Growth Equity Fund						Value Equity Fund
	(formerly known as MGI						(formerly known as MGI
	US Large Cap Growth						US Large Cap Value
	Equity Fund)						Equity Fund)
	Six Months Ended						Six Months Ended
	September 30, 2011			Year Ended			September 30, 2011			Year Ended
	(Unaudited)			March 31, 2011			(Unaudited)			March 31, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	607,664		$	969,810		$	3,883,707		$	5,443,478
Net realized gain (loss)		18,169,040			41,730,278			10,853,041			36,795,493
Change in net unrealized appreciation (depreciation)		(77,873,366	)		33,034,747			(77,316,557	)		1,046,025

Net increase (decrease) in net assets from operations		(59,096,662	)		75,734,835			(62,579,809	)		43,284,996

Distributions to shareholders from:
Net investment income
Class Y-3		—			(1,533,041	)		—			(4,947,427	)

Total distributions from net investment income		—			(1,533,041	)		—			(4,947,427	)

Net share transactions:
Class Y-3		(10,415,275	)		(6,153,449	)		1,818,556			24,392,816

Increase (decrease) in net assets resulting from net shares transactions		(10,415,275	)		(6,153,449	)		1,818,556			24,392,816

Net increase (decrease) in net assets		(69,511,937	)		68,048,345			(60,761,253	)		62,730,385

Net assets:
Beginning of year		427,839,997			359,791,652			420,517,861			357,787,476

End of year	$	358,328,060		$	427,839,997		$	359,756,608		$	420,517,861

Undistributed net investment income included in net assets at end of year	$	676,183		$	68,519		$	5,475,732		$	1,592,025

See accompanying Notes to the Financial Statements.

126

Mercer Funds
(formerly known as MGI Funds)

Statements of Changes in Net Assets (Continued)


	Mercer US Small/Mid Cap						Mercer US Small/Mid Cap
	Growth Equity Fund						Value Equity Fund
	(formerly known as MGI						(formerly known as MGI
	US Small/Mid Cap Growth						US Small/Mid Cap Value
	Equity Fund)						Equity Fund)
	Six Months Ended						Six Months Ended
	September 30, 2011			Year Ended			September 30, 2011			Year Ended
	(Unaudited)			March 31, 2011			(Unaudited)			March 31, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	(279,462	)	$	(839,732	)	$	745,648		$	1,604,679
Net realized gain (loss)		21,350,233			46,137,198			20,994,706			34,653,954
Change in net unrealized appreciation (depreciation)		(78,146,021	)		26,841,376			(84,831,826	)		26,117,811

Net increase (decrease) in net assets from operations		(57,075,250	)		72,138,842			(63,091,472	)		62,376,444

Distributions to shareholders from:
Net investment income
Class Y-3		—			—			—			(2,802,122	)

Total distributions from net investment income		—			—			—			(2,802,122	)

Net share transactions:
Class Y-3		(14,877,016	)		8,175,853			(8,648,367	)		13,949,227

Increase (decrease) in net assets resulting from net shares transactions		(14,877,016	)		8,175,853			(8,648,367	)		13,949,227

Net increase (decrease) in net assets		(71,952,266	)		80,314,695			(71,739,839	)		73,523,549

Net assets:
Beginning of year		300,979,807			220,665,112			295,625,890			222,102,341

End of year	$	229,027,541		$	300,979,807		$	223,886,051		$	295,625,890

Undistributed (distributions in excess of) net investment income included in net assets at end of year	$	(280,808	)	$	(1,346	)	$	801,217		$	55,569

See accompanying Notes to the Financial Statements.

127

Mercer Funds
(formerly known as MGI Funds)

Statements of Changes in Net Assets (Continued)


	Mercer Non-US Core						Mercer Core Opportunistic
	Equity Fund						Fixed Income Fund
	(formerly known as MGI						(formerly known as MGI
	Non-US Core						Core Opportunistic
	Equity Fund)						Fixed Income Fund)
	Six Months Ended						Six Months Ended
	September 30, 2011			Year Ended			September 30, 2011			Year Ended
	(Unaudited)			March 31, 2011			(Unaudited)			March 31, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	28,109,042		$	22,020,984		$	16,320,741		$	25,526,264
Net realized gain (loss)		(15,007,425	)		79,335,672			11,972,632			16,454,811
Change in net unrealized appreciation (depreciation)		(312,284,749	)		40,053,872			14,731,723			6,999,333

Net increase (decrease) in net assets from operations		(299,183,132	)		141,410,528			43,025,096			48,980,408

Distributions to shareholders from:
Net investment income
Class Y-3		—			(26,060,738	)		—			(34,487,212	)

Total distributions from net investment income		—			(26,060,738	)		—			(34,487,212	)

Net realized gains
Class Y-3		—			—			—			(13,790,283	)

Total distributions from net realized gains		—			—			—			(13,790,283	)

Net share transactions:
Class Y-3		215,435,717			405,347,432			(51,229,810	)		283,544,769

Increase (decrease) in net assets resulting from net shares transactions		215,435,717			405,347,432			(51,229,810	)		283,544,769

Net increase (decrease) in net assets		(83,747,415	)		520,697,222			(8,204,714	)		284,247,682

Net assets:
Beginning of year		1,563,528,639			1,042,831,417			1,043,027,324			758,779,642

End of year	$	1,479,781,224		$	1,563,528,639		$	1,034,822,610		$	1,043,027,324

Undistributed net investment income included in net assets at end of year	$	36,984,466		$	8,875,424		$	21,904,591		$	5,583,850

See accompanying Notes to the Financial Statements.

128

Mercer Funds
(formerly known as MGI Funds)

Statements of Changes in Net Assets (Continued)


	Mercer US Short Maturity
	Fixed Income Fund
	(formerly known as MGI
	US Short Maturity
	Fixed Income Fund)
	Six Months Ended
	September 30, 2011			Year Ended
	(Unaudited)			March 31, 2011
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	404,379		$	1,009,946
Net realized gain (loss)		154,804			80,377
Change in net unrealized appreciation (depreciation)		132,056			220,390

Net increase in net assets from operations		691,239			1,310,713

Distributions to shareholders from:
Net investment income
Class Y-3		—			(1,083,585	)

Total distributions from net investment income		—			(1,083,585	)

Net share transactions:
Class Y-3		(23,117,132	)		20,235,277

Increase (decrease) in net assets resulting from net shares transactions		(23,117,132	)		20,235,277

Net increase (decrease) in net assets		(22,425,893	)		20,462,405

Net assets:
Beginning of year		67,949,505			47,487,100

End of year	$	45,523,612		$	67,949,505

Undistributed net investment income included in net assets at end of year	$	656,095		$	251,716

See accompanying Notes to the Financial Statements.

129

Mercer US Large Cap Growth Equity Fund
(formerly known as MGI US Large Cap Growth Equity Fund)

Financial Highlights
(For a Class Y-3 share outstanding throughout each period)


	Period Ended
	09/30/11			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	(Unaudited)			03/31/11			03/31/10			03/31/09			03/31/08			03/31/07

Net asset value at beginning of year	$	12.19		$	10.08		$	6.85		$	10.20		$	10.54		$	10.58


Net investment income†		0.02			0.03			0.05			0.04			0.03			0.04
Net realized and unrealized gain (loss) on investments		(1.81	)		2.12			3.23			(3.37	)		(0.06	)		0.09


Total from investment operations		(1.79	)		2.15			3.28			(3.33	)		(0.03	)		0.13

Less dividends and distributions:
From net investment income		—			(0.04	)		(0.05	)		(0.02	)		(0.03	)		(0.02	)
From net realized gain on investments		—			—			—			—			(0.28	)		(0.15	)


Total dividends and distributions		—			(0.04	)		(0.05	)		(0.02	)		(0.31	)		(0.17	)


Net asset value at end of year	$	10.40		$	12.19		$	10.08		$	6.85		$	10.20		$	10.54

Total investment return^(a)		(14.68	)%**		21.38	%		47.85	%		(32.62	)%		(0.55	)%		1.28	%

Ratios/Supplemental Data:
Net investment income to average net assets		0.30	%*		0.27	%		0.54	%		0.43	%		0.25	%		0.40	%
Net expenses to average daily net assets		0.57	%*		0.57	%		0.57	%		0.57	%		0.57	%		0.57	%
Total expenses (before reimbursements) to average daily net assets		0.63	%*		0.64	%		0.66	%		0.65	%		0.68	%		0.75	%
Portfolio turnover rate		35	%**		106	%^(b)		102	%		93	%		129	%		77	%
Net assets at end of year (in 000’s)	$	358,328		$	427,840		$	359,792		$	277,740		$	381,775		$	308,879


(a)		The total return would have been lower had certain expenses not been reimbursed during the periods shown.
(b)		Portfolio turnover calculation does not include $23,568,413 of in-kind contributions.
†		Computed using average shares outstanding throughout the year.
*		Annualized
**		Not annualized

See accompanying Notes to the Financial Statements.

130

Mercer US Large Cap Value Equity Fund
(formerly known as MGI US Large Cap Value Equity Fund)

Financial Highlights (Continued)
(For a Class Y-3 share outstanding throughout each period)


	Period Ended
	09/30/11			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	(Unaudited)			03/31/11			03/31/10			03/31/09			03/31/08			03/31/07

Net asset value at beginning of year	$	8.25		$	7.52		$	5.18		$	9.39		$	11.77		$	10.82


Net investment income†		0.08			0.11			0.11			0.19			0.20			0.19
Net realized and unrealized gain (loss) on investments		(1.35	)		0.72			2.37			(4.23	)		(1.77	)		1.10


Total from investment operations		(1.27	)		0.83			2.48			(4.04	)		(1.57	)		1.29

Less dividends and distributions:
From net investment income		—			(0.10	)		(0.14	)		(0.17	)		(0.16	)		(0.14	)
From net realized gain on investments		—			—			—			(0.00	)(a)		(0.65	)		(0.20	)


Total dividends and distributions		—			(0.10	)		(0.14	)		(0.17	)		(0.81	)		(0.34	)


Net asset value at end of year	$	6.98		$	8.25		$	7.52		$	5.18		$	9.39		$	11.77

Total investment return^(b)		(15.39	)%**		11.07	%		47.96	%		(43.31	)%		(13.95	)%		11.98	%

Ratios/Supplemental Data:
Net investment income to average net assets		1.95	%*		1.52	%		1.69	%		2.57	%		1.76	%		1.67	%
Net expenses to average daily net assets		0.55	%*		0.55	%		0.55	%		0.55	%		0.55	%		0.55	%
Total expenses (before reimbursements) to average daily net assets		0.62	%*		0.63	%		0.64	%		0.64	%		0.67	%		0.72	%
Portfolio turnover rate		44	%**		117	%^(c)		128	%		238	%		132	%		67	%
Net assets at end of year (in 000’s)	$	359,757		$	420,518		$	357,787		$	255,400		$	376,226		$	314,038


(a)		Amount rounds to less than $0.01 per share.
(b)		The total return would have been lower had certain expenses not been reimbursed during the periods shown.
(c)		Portfolio turnover calculation does not include $21,956,759 of in-kind contributions.
†		Computed using average shares outstanding throughout the year.
*		Annualized
**		Not annualized

See accompanying Notes to the Financial Statements.

131

Mercer US Small/Mid Cap Growth Equity Fund
(formerly known as MGI US Small/Mid Cap Growth Equity Fund)

Financial Highlights (Continued)
(For a Class Y-3 share outstanding throughout each period)


	Period Ended
	09/30/11			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	(Unaudited)			03/31/11			03/31/10			03/31/09			03/31/08			03/31/07

Net asset value at beginning of year	$	12.49		$	9.75		$	6.19		$	9.84		$	11.66		$	11.99


Net investment loss†		(0.01	)		(0.03	)		(0.04	)		(0.03	)		(0.05	)		(0.05	)
Net realized and unrealized gain (loss) on investments		(2.53	)		2.77			3.60			(3.55	)		(0.94	)		0.37


Total from investment operations		(2.54	)		2.74			3.56			(3.58	)		(0.99	)		0.32

Less dividends and distributions:
From net realized gain on investments		—			—			—			(0.07	)		(0.83	)		(0.65	)


Total dividends and distributions		—			—			—			(0.07	)		(0.83	)		(0.65	)


Net asset value at end of year	$	9.95		$	12.49		$	9.75		$	6.19		$	9.84		$	11.66

Total investment return^(a)		(20.34	)%**		28.10	%		57.51	%		(36.43	)%		(9.40	)%		2.75	%

Ratios/Supplemental Data:
Net investment loss to average net assets		(0.21	)%*		(0.34	)%		(0.45	)%		(0.36	)%		(0.39	)%		(0.43	)%
Net expenses to average daily net assets		0.92	%*		0.92	%		0.92	%		0.92	%		0.92	%		0.92	%
Total expenses (before reimbursements) to average daily net assets		1.02	%*		1.02	%		1.04	%		1.07	%		1.07	%		1.15	%
Portfolio turnover rate		37	%**		107	%		92	%		170	%		95	%		77	%
Net assets at end of year (in 000’s)	$	229,028		$	300,980		$	220,665		$	133,116		$	161,362		$	132,178


(a)		The total return would have been lower had certain expenses not been reimbursed during the periods shown.
†		Computed using average shares outstanding throughout the year.
*		Annualized
**		Not annualized

See accompanying Notes to the Financial Statements.

132

Mercer US Small/Mid Cap Value Equity Fund
(formerly known as MGI US Small/Mid Cap Value Equity Fund)

Financial Highlights (Continued)
(For a Class Y-3 share outstanding throughout each period)


	Period Ended
	09/30/11			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	(Unaudited)			03/31/11			03/31/10			03/31/09			03/31/08			03/31/07

Net asset value at beginning of year	$	10.64		$	8.64		$	5.26		$	8.85		$	11.32		$	11.03


Net investment income†		0.03			0.05			0.06			0.09			0.10			0.10
Net realized and unrealized gain (loss) on investments		(2.40	)		2.05			3.35			(3.61	)		(2.13	)		0.75


Total from investment operations		(2.37	)		2.10			3.41			(3.52	)		(2.03	)		0.85

Less dividends and distributions:
From net investment income		—			(0.10	)		(0.03	)		(0.06	)		(0.07	)		(0.06	)
From net realized gain on investments		—			—			—			(0.01	)		(0.37	)		(0.50	)


Total dividends and distributions		—			(0.10	)		(0.03	)		(0.07	)		(0.44	)		(0.56	)


Net asset value at end of year	$	8.27		$	10.64		$	8.64		$	5.26		$	8.85		$	11.32

Total investment return^(a)		(22.27	)%**		24.36	%		64.86	%		(39.85	)%		(18.26	)%		7.90	%

Ratios/Supplemental Data:
Net investment income to average net assets		0.56	%*		0.65	%		0.81	%		1.20	%		1.01	%		0.93	%
Net expenses to average daily net assets		0.92	%*		0.92	%		0.92	%		0.92	%		0.92	%		0.92	%
Total expenses (before reimbursements) to average daily net assets		1.01	%*		1.02	%		1.07	%		1.08	%		1.07	%		1.17	%
Portfolio turnover rate		43	%**		95	%		119	%		120	%		71	%		139	%
Net assets at end of year (in 000’s)	$	223,886		$	295,626		$	222,102		$	124,586		$	144,167		$	118,166


(a)		The total return would have been lower had certain expenses not been reimbursed during the periods shown.
†		Computed using average shares outstanding throughout the year.
*		Annualized
**		Not annualized

See accompanying Notes to the Financial Statements.

133

Mercer Non-US Core Equity Fund
(formerly known as MGI Non-US Core Equity Fund)

Financial Highlights (Continued)
(For a Class Y-3 share outstanding throughout each period)


	Period Ended
	09/30/11			Year Ended			Year Ended			Year Ended			Year Ended			Period Ended
	(Unaudited)			03/31/11			03/31/10			03/31/09			03/31/08			03/31/07^(a)

Net asset value at beginning of period	$	10.46		$	9.73		$	6.29		$	12.76		$	13.76		$	12.17


Net investment income†		0.18			0.17			0.17			0.25			0.32			0.06
Net realized and unrealized gain (loss) on investments		(2.00	)		0.74			3.38			(6.51	)		(0.41	)		1.55


Total from investment operations		(1.82	)		0.91			3.55			(6.26	)		(0.09	)		1.61

Less dividends and distributions:
From net investment income		—			(0.18	)		(0.11	)		(0.12	)		(0.21	)		(0.02	)
From net realized gain on investments		—			—			—			(0.09	)		(0.70	)		—


Total dividends and distributions		—			(0.18	)		(0.11	)		(0.21	)		(0.91	)		(0.02	)


Net asset value at end of period	$	8.64		$	10.46		$	9.73		$	6.29		$	12.76		$	13.76

Total investment return^(b)		(17.40	)%**		9.45	%		56.52	%		(49.30	)%		(1.09	)%		13.24	%**

Ratios/Supplemental Data:
Net investment income to average net assets		3.54	%*		1.76	%		1.93	%		2.68	%		2.28	%		0.75	%*
Net expenses to average daily net assets		0.82	%*		0.82	%		0.82	%		0.82	%		0.82	%		0.82	%*
Total expenses (before reimbursements) to average daily net assets		0.93	%*		0.92	%		0.94	%		0.95	%		0.96	%		1.06	%*
Portfolio turnover rate		45	%**		87	%		51	%		64	%		72	%		36	%**
Net assets at end of period (in 000’s)	$	1,479,781		$	1,563,529		$	1,042,831		$	485,543		$	624,426		$	475,351


(a)		Class commenced operations on August 18, 2006.
(b)		The total return would have been lower had certain expenses not been reimbursed during the periods shown.
†		Computed using average shares outstanding throughout the year.
*		Annualized
**		Not annualized

See accompanying Notes to the Financial Statements.

134

Mercer Core Opportunistic Fixed Income Fund
(formerly known as MGI Core Opportunistic Fixed Income Fund)

Financial Highlights (Continued)
(For a Class Y-3 share outstanding throughout each period)


	Period Ended
	09/30/11			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	(Unaudited)			03/31/11			03/31/10			03/31/09			03/31/08			03/31/07

Net asset value at beginning of year	$	10.23		$	10.11		$	9.00		$	10.24		$	10.21		$	9.89


Net investment income†		0.16			0.29			0.40			0.50			0.51			0.48
Net realized and unrealized gain (loss) on investments		0.26			0.34			0.98			(0.91	)		(0.10	)		0.14


Total from investment operations		0.42			0.63			1.38			(0.41	)		0.41			0.62

Less dividends and distributions:
From net investment income		—			(0.36	)		(0.27	)		(0.63	)		(0.38	)		(0.30	)
From net realized gain on investments		—			(0.15	)		—			(0.20	)		—			—


Total dividends and distributions		—			(0.51	)		(0.27	)		(0.83	)		(0.38	)		(0.30	)


Net asset value at end of year	$	10.65		$	10.23		$	10.11		$	9.00		$	10.24		$	10.21

Total investment return^(a)		4.11	%**		6.25	%		15.34	%		(3.90	)%		4.08	%		6.30	%

Ratios/Supplemental Data:
Net investment income to average net assets		3.06	%*		2.79	%		4.12	%		5.16	%		4.94	%		4.74	%
Net expenses to average daily net assets		0.37	%*		0.37	%		0.37	%		0.37	%		0.37	%		0.37	%
Total expenses (before reimbursements) to average daily net assets		0.43	%*		0.45	%		0.47	%		0.47	%		0.48	%		0.55	%
Portfolio turnover rate		104	%**		379	%		276	%		229	%		229	%		244	%
Net assets at end of year (in 000’s)	$	1,034,823		$	1,043,027		$	758,780		$	394,347		$	527,340		$	465,912


(a)		The total return would have been lower had certain expenses not been reimbursed during the periods shown.
†		Computed using average shares outstanding throughout the year.
*		Annualized
**		Not annualized

See accompanying Notes to the Financial Statements.

135

Mercer US Short Maturity Fixed Income Fund
(formerly known as MGI US Short Maturity Fixed Income Fund)

Financial Highlights (Continued)
(For a Class Y-3 share outstanding throughout each period)


	Period Ended
	09/30/11			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	(Unaudited)			03/31/11			03/31/10			03/31/09			03/31/08			03/31/07

Net asset value at beginning of year	$	9.56		$	9.51		$	8.57		$	10.01		$	10.05		$	9.98


Net investment income†		0.08			0.15			0.30			0.40			0.49			0.48
Net realized and unrealized gain (loss) on investments		0.04			0.06			0.83			(1.16	)		(0.11	)		0.06


Total from investment operations		0.12			0.21			1.13			(0.76	)		0.38			0.54

Less dividends and distributions:
From net investment income		—			(0.16	)		(0.19	)		(0.68	)		(0.42	)		(0.47	)


Total dividends and distributions		—			(0.16	)		(0.19	)		(0.68	)		(0.42	)		(0.47	)


Net asset value at end of year	$	9.68		$	9.56		$	9.51		$	8.57		$	10.01		$	10.05

Total investment return^(a)		1.26	%**		2.19	%		13.19	%		(7.52	)%		3.72	%		5.51	%

Ratios/Supplemental Data:
Net investment income to average net assets		1.57	%*		1.60	%		3.24	%		4.16	%		4.80	%		4.76	%
Net expenses to average daily net assets		0.32	%*		0.32	%		0.32	%		0.32	%		0.32	%		0.32	%
Total expenses (before reimbursements) to average daily net assets		0.50	%*		0.47	%		0.61	%		0.49	%		0.49	%		1.00	%
Portfolio turnover rate		18	%**		61	%		589	%		217	%		131	%		186	%
Net assets at end of year (in 000’s)	$	45,524		$	67,950		$	47,487		$	18,904		$	62,172		$	58,509


(a)		The total return would have been lower had certain expenses not been reimbursed during the periods shown.
†		Computed using average shares outstanding throughout the year.
*		Annualized
**		Not annualized

See accompanying Notes to the Financial Statements.

136

Mercer Funds
(formerly known as MGI Funds)

Notes to the Financial Statements
September 30, 2011 (Unaudited)


1.	Organization

Mercer Funds (the “Trust”), formerly known as MGI Funds, consists of seven series as follows: Mercer US Large Cap Growth Equity Fund (“Large Cap Growth”), formerly known as MGI US Large Cap Growth Equity Fund, Mercer US Large Cap Value Equity Fund (“Large Cap Value”), formerly known as MGI US Large Cap Value Equity Fund, Mercer US Small/Mid Cap Growth Equity Fund (“Small/Mid Cap Growth”), formerly known as MGI US Small/Mid Cap Growth Equity Fund, Mercer US Small/Mid Cap Value Equity Fund (“Small/Mid Cap Value”), formerly known as MGI US Small/Mid Cap Value Equity Fund, Mercer Non-US Core Equity Fund (“Non-US Core Equity”), formerly known as MGI Non-US Core Equity Fund, Mercer Core Opportunistic Fixed Income Fund (“Core Opportunistic”), formerly known as MGI Core Opportunistic Fixed Income Fund, and Mercer US Short Maturity Fixed Income Fund (“Short Maturity”), formerly known as MGI US Short Maturity Fixed Income Fund (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”), formerly known as Mercer Global Investments, Inc. 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.

Each Fund is classified as “diversified” for purposes of the Investment Company Act of 1940 (“1940 Act”).

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 Opportunistic		Total return, consisting of both current income and capital appreciation
Short Maturity		Safety of principal and a moderate level of income

There can be no guarantee that a Fund will achieve its investment objective. Each Fund 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 September 30, 2011, 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.

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Mercer Funds
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Notes to the Financial Statements (Continued)
September 30, 2011 (Unaudited)


	(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 market and listed on the NASDAQ Stock Market (“NASDAQ”) normally are valued at the NASDAQ Official Closing Price; other over-the-counter 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 rate in effect at a uniform time on each business day (“Valuation Date”). Investments in open-end investment companies are valued at their net asset value (“NAV”) per share.

The Board of Trustees of the Trust (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. In that regard, at September 30, 2011, substantially all foreign equity securities held by Non-US Core Equity were fair valued using valuations provided by an independent valuation service consistent with the valuation procedures approved by the Board. Certain fixed-income securities may be valued based upon appraisals received from a 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 Fund generally values short-term investments, which mature in 60 days or less, at amortized cost, which approximates market value; unless the Board determines that this approach does not represent fair value.

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, tranche type, industry, company performance, spread, individual trading characteristics, institutional size trading in similar groups of securities and other market data.

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 was 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.

The valuation techniques used by the Funds to measure fair value for the period ended September 30, 2011 maximized the use of observable inputs and minimized the use of unobservable inputs. The Funds follow Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 820, “Fair Value Measurements” (“ASC 820”). Under generally accepted accounting principles for fair value measurements, a

138

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(formerly known as MGI Funds)

Notes to the Financial Statements (Continued)
September 30, 2011 (Unaudited)

three-tier hierarchy to prioritize the assumptions, referred to as inputs, is 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.

At September 30, 2011, Large Cap Growth, Large Cap Value and Small/Mid Cap Growth each held long-term investments determined using Level 1 inputs, with corresponding major categories as shown in the schedules of investments, and a short-term investment position in Euro Time Deposits as shown in the schedules of investments, which is determined using Level 2 inputs.

The following is a summary of the inputs used as of September 30, 2011 in valuing the assets and liabilities of Small/Mid Cap Value, Non-US Core Equity, Core Opportunistic, and Short Maturity for which fair valuation was used:


	Small/Mid Cap Value


	ASSETS VALUATION INPUT


	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Common Stocks
Aerospace & Defense	$	2,245,715	$	—	$	—	$	2,245,715
Agriculture		75,306		—		—		75,306
Airlines		626,853		—		—		626,853
Apparel		2,302,447		—		—		2,302,447
Auto Parts & Equipment		3,094,967		—		—		3,094,967
Banks		13,849,518		—		—		13,849,518
Beverages		976,106		—		—		976,106
Biotechnology		679,256		—		—		679,256
Building Materials		2,286,252		—		—		2,286,252
Chemicals		3,449,127		—		—		3,449,127
Coal		1,652,394		—		—		1,652,394
Commercial Services		9,718,644		—		—		9,718,644
Computers		5,819,976		—		—		5,819,976
Cosmetics & Personal Care		1,635,910		—		—		1,635,910
Distribution & Wholesale		1,573,912		—		—		1,573,912
Diversified Financial Services		6,191,670		—		—		6,191,670
Electric		6,996,192		—		—		6,996,192
Electrical Components & Equipment		440,369		—		—		440,369
Electronics		5,303,925		—		—		5,303,925
Energy-Alternate Sources		69,874		—		—		69,874

139

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(formerly known as MGI Funds)

Notes to the Financial Statements (Continued)
September 30, 2011 (Unaudited)


	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Engineering & Construction	$	2,658,579	$	—	$	—	$	2,658,579
Entertainment		1,767,286		—		—		1,767,286
Environmental Control		116,655		—		—		116,655
Food		10,480,385		—		—		10,480,385
Forest Products & Paper		5,457,584		—		—		5,457,584
Gas		5,194,840		—		—		5,194,840
Health Care - Products		3,392,886		—		—		3,392,886
Health Care - Services		6,313,955		—		—		6,313,955
Home Builders		73,075		—		—		73,075
Home Furnishings		209,774		—		—		209,774
Household Products & Wares		719,758		—		—		719,758
Insurance		16,939,074		—		—		16,939,074
Internet		2,749,921		—		—		2,749,921
Investment Companies		1,267,455		—		—		1,267,455
Iron & Steel		132,928		—		—		132,928
Leisure Time		1,231,783		—		—		1,231,783
Lodging		1,115,493		—		—		1,115,493
Machinery - Construction & Mining		72,948		—		—		72,948
Machinery - Diversified		2,142,420		—		—		2,142,420
Media		1,603,813		—		—		1,603,813
Metal Fabricate & Hardware		2,936,454		—		—		2,936,454
Mining		4,632,872		—		—		4,632,872
Miscellaneous - Manufacturing		5,647,819		—		—		5,647,819
Oil & Gas		5,828,773		—		—		5,828,773
Oil & Gas Services		4,684,335		—		—		4,684,335
Packaging & Containers		936,092		—		—		936,092
Pharmaceuticals		3,292,483		—		—		3,292,483
Pipelines		63,756		—		—		63,756
Real Estate		1,414,776		—		—		1,414,776
REITS		13,910,889		—		—		13,910,889
Retail		19,663,974		—		—		19,663,974
Savings & Loans		2,163,103		—		—		2,163,103
Semiconductors		8,102,253		—		—		8,102,253
Shipbuilding		104,619		—		—		104,619
Software		1,984,842		—		—		1,984,842
Telecommunications		3,682,390		—		—		3,682,390
Textiles		1,860,638		—		—		1,860,638
Toys, Games & Hobbies		422,585		—		—		422,585
Transportation		2,730,060		—		—		2,730,060
Trucking & Leasing		386,262		—		—		386,262
Water		2,176,733		—		—		2,176,733

Total Common Stocks		219,254,733		—		—		219,254,733

140

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(formerly known as MGI Funds)

Notes to the Financial Statements (Continued)
September 30, 2011 (Unaudited)


	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Short-Term Investments
Bank Deposits	$	—	$	4,794,410	$	—	$	4,794,410

Total Short-Term Investments		—		4,794,410		—		4,794,410

Total	$	219,254,733	$	4,794,410	$	—	$	224,049,143


	LIABILITIES VALUATION INPUT


	Quoted Prices		Significant
	in Active		Other			Significant
	Markets for		Observable			Unobservable
	Identical Assets		Inputs			Inputs
Description	(Level 1)		(Level 2)			(Level 3)		Total
Futures
Buys	$	—	$	(118,170	)	$	—	$	(118,170	)

Total	$	—	$	(118,170	)	$	—	$	(118,170	)


	Non-US Core Equity


	ASSETS VALUATION INPUT


	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Common Stocks
Argentina	$	1,087,057	$	—	$	—	$	1,087,057
Australia		—		46,465,759		—		46,465,759
Austria		—		5,524,589		—		5,524,589
Belgium		—		14,520,473		—		14,520,473
Bermuda		264,522		11,889,429		—		12,153,951
Brazil		37,656,035		—		—		37,656,035
Canada		17,645,330		—		—		17,645,330
Cayman Islands		905,930		7,646,127		—		8,552,057
Chile		1,524,571		—		—		1,524,571
China		—		3,544,196		—		3,544,196
Cyprus		—		1,035,885		—		1,035,885
Denmark		—		10,743,304		—		10,743,304
Egypt		—		2,117,084		—		2,117,084
Finland		360,984		10,149,313		—		10,510,297
France		2,478,968		108,126,834		—		110,605,802
Germany		95,871		96,699,225		—		96,795,096
Greece		—		6,058,310		—		6,058,310
Hong Kong		—		14,064,181		—		14,064,181
Hungary		—		762,098		—		762,098

141

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Notes to the Financial Statements (Continued)
September 30, 2011 (Unaudited)


	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
India	$	918,628	$	9,912,710	$	—	$	10,831,338
Indonesia		1,779,497		5,032,887		—		6,812,384
Ireland		5,725,641		4,419,146		—		10,144,787
Israel		7,723,708		5,207,704		—		12,931,412
Italy		62,958		28,413,753		—		28,476,711
Japan		2,753,974		353,609,373		—		356,363,347
Luxembourg		456,624		11,368,932		—		11,825,556
Malaysia		—		1,145,414		—		1,145,414
Mauritius		—		1,086,486		—		1,086,486
Mexico		9,977,306		—		—		9,977,306
Netherlands		286,087		33,073,017		—		33,359,104
New Zealand		265,021		4,629,933		—		4,894,954
Norway		—		20,504,607		—		20,504,607
Pakistan		—		1,059,386		—		1,059,386
Philippines		1,558,709		—		—		1,558,709
Poland		—		763,218		—		763,218
Portugal		—		2,570,938		—		2,570,938
Qatar		—		441,529		—		441,529
Russia		6,480,603		2,109,011		—		8,586,614
Singapore		—		25,299,121		—		25,299,121
South Africa		—		15,662,648		—		15,662,648
South Korea		237,772		31,166,609		—		31,404,381
Spain		1,603,006		25,652,674		—		27,255,680
Sweden		—		23,839,584		—		23,839,584
Switzerland		1,947,945		89,650,432		—		91,598,377
Taiwan		5,182,842		8,699,570		—		13,882,412
Thailand		—		3,482,611		—		3,482,611
Turkey		1,323,821		5,007,514		—		6,331,335
United Kingdom		31,207,966		217,922,913		—		249,130,879

Total Common Stocks		141,511,376		1,271,078,527		—		1,412,589,903

Investment Company
United States		12,334,064		—		—		12,334,064

Total Investment Companies		12,334,064		—		—		12,334,064

Preferred Stocks
Brazil		1,608,010		—		—		1,608,010
Germany		—		6,771,561		—		6,771,561

Total Preferred Stocks		1,608,010		6,771,561		—		8,379,571

Rights
Australia		14,969		—		—		14,969
Spain		31,487		—		—		31,487

Total Rights		46,456		—		—		46,456

142

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(formerly known as MGI Funds)

Notes to the Financial Statements (Continued)
September 30, 2011 (Unaudited)


	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Warrants
Bermuda	$	—	$	7,659,122	$	—	$	7,659,122

Total Warrants		—		7,659,122		—		7,659,122

Options Purchased
Call Options		—		9,929		—		9,929
Put Options		—		73,321		—		73,321

Total Options Purchased		—		83,250		—		83,250

Short-Term Investments
Bank Deposit		—		32,087,394		—		32,087,394

Total Short-Term Investments		—		32,087,394		—		32,087,394

Forward Foreign Currency Contracts
Buys		—		149,627		—		149,627
Sales		—		8,801,488		—		8,801,488

Total Forward Foreign Currency Contracts		—		8,951,115		—		8,951,115

Futures Contracts
Buys		—		77,502		—		77,502

Total	$	155,499,906	$	1,326,708,471	$	—	$	1,482,208,377


	LIABILITIES VALUATION INPUT


	Quoted Prices		Significant
	in Active		Other			Significant
	Markets for		Observable			Unobservable
	Identical Assets		Inputs			Inputs
Description	(Level 1)		(Level 2)			(Level 3)		Total
Forward Foreign Currency Contracts
Buys	$	—	$	(8,926,252	)	$	—	$	(8,926,252	)
Sales		—		(1,023,123	)		—		(1,023,123	)

Total Forward Foreign Currency Contracts	$	—	$	(9,949,375	)	$	—	$	(9,949,375	)

143

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Notes to the Financial Statements (Continued)
September 30, 2011 (Unaudited)


	Core Opportunistic


	ASSETS VALUATION INPUT


	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Debt Obligations
Asset Backed Securities	$	—	$	45,513,794	$	—	$	45,513,794
Bank Loans		—		10,225,258		—		10,225,258
Convertible Debt		—		227,556		—		227,556
Corporate Debt		—		313,795,099		—		313,795,099
Mortgage Backed Securities - Private Issuers		—		34,089,870		—		34,089,870
Mortgage Backed Securities - U.S. Government Agency Obligations		—		440,937,554		—		440,937,554
Municipal Obligations		—		41,596,539		—		41,596,539
Sovereign Debt Obligations		—		32,583,093		—		32,583,093
U.S. Government and Agency Obligations		119,922,921		18,491,175		—		138,414,096

Total Debt Obligations		119,922,921		937,459,938		—		1,057,382,859

Common Stocks
Auto Manufacturers		164,488		—		—		164,488
Building Materials		49,407		—		—		49,407
Diversified Financial Services		53,269		—		—		53,269
Oil & Gas Services		3,613		—		—		3,613

Total Common Stocks		270,777		—		—		270,777

Preferred Stocks
Banks		619,836		—		—		619,836
Diversified Financial Services		1,324,899		—		—		1,324,899
Sovereign		—		1,925		—		1,925

Total Preferred Stocks		1,944,735		1,925		—		1,946,660

Warrants
Auto Manufacturers		145,033		—		—		145,033
Media		4,145		—		—		4,145
Oil & Gas Services		779		—		—		779

Total Warrants		149,957		—		—		149,957

Options Purchased
Call Options		—		10,563		—		10,563
Put Options		—		2,439		—		2,439

Total Options Purchased		—		13,002		—		13,002

144

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(formerly known as MGI Funds)

Notes to the Financial Statements (Continued)
September 30, 2011 (Unaudited)


	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Short-Term Investments
U.S. Government and Agency Obligations	$	—	$	33,298,715	$	—	$	33,298,715
Bank Deposit		—		70,055,600		—		70,055,600

Total Short-Term Investments		—		103,354,315		—		103,354,315

Forward Foreign Currency Contracts
Buys		—		166,990		—		166,990
Sales		—		709,669		—		709,669

Total Forward Foreign Currency Contracts		—		876,659		—		876,659

Futures Contracts
Buys		—		3,044,653		—		3,044,653
Sales		—		19,672		—		19,672

Total Futures Contracts		—		3,064,325		—		3,064,325

Interest Rate Swaps		—		732,244		—		732,244
Credit Default Swaps		—		259,875		—		259,875

Total Swap Contracts		—		992,119		—		992,119

Total	$	122,288,390	$	1,045,762,283	$	—	$	1,168,050,673


	LIABILITIES VALUATION INPUT


	Quoted Prices		Significant
	in Active		Other			Significant
	Markets for		Observable			Unobservable
	Identical Assets		Inputs			Inputs
Description	(Level 1)		(Level 2)			(Level 3)		Total
TBA Sale Commitments	$	—	$	(29,584,062	)	$	—	$	(29,584,062	)
Forward Foreign Currency Contracts
Buys		—		(798,488	)		—		(798,488	)
Futures Contracts
Buys		—		(4,841	)		—		(4,841	)
Sales		—		(622,133	)		—		(622,133	)

Total Futures Contracts		—		(626,974	)		—		(626,974	)

Written Options		—		(767,849	)		—		(767,849	)
Credit Default Swaps		—		(86,830	)		—		(86,830	)

Total	$	—	$	(31,864,203	)	$	—	$	(31,864,203	)

145

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(formerly known as MGI Funds)

Notes to the Financial Statements (Continued)
September 30, 2011 (Unaudited)


	Short Maturity


	ASSETS VALUATION INPUT


	Quoted Prices		Significant
	in Active		Other		Significant
	Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
Debt Obligations
Asset Backed Securities	$	—	$	5,335,146	$	—	$	5,335,146
Corporate Debt		—		8,957,245		—		8,957,245
Mortgage Backed Securities - Private Issuers		—		2,268,028		—		2,268,028
Mortgage Backed Securities - U.S. Government Agency Obligations		—		7,666,094		—		7,666,094
U.S. Government and Agency Obligations		12,864,378		8,174,616		—		21,038,994

Total Debt Obligations		12,864,378		32,401,129		—		45,265,507

Short-Term Investments
Bank Deposits		—		44,205		—		44,205

Total Short-Term Investments		—		44,205		—		44,205

Total	$	12,864,378	$	32,445,334	$	—	$	45,309,712

The following table shows transfers between Level 1 and Level 2 of the fair value hierarchy:

Transfers In

Transfers Out

Level 2 — Other

Level 1 — Quoted

Significant

Level 1 — Quoted

Significant

Prices

Observable Inputs

Prices

Observable Inputs

Non US Core Equity

—

1,085,800,842

(1,085,800,842

)

—

The Funds recognize transfers between the Levels as of the end of the reporting period.

* Transfers occurred between Level 1 and Level 2 as a result of applying a pricing factor, consistent with the Funds’ valuation and liquidity procedures, to certain foreign equity securities to reflect significant market movements between the time at which the Fund valued its securities and the earlier closing of foreign markets.


	*Disclosures about Derivative Instruments and Hedging Activities*

The Funds follow FASB ASC 815 “Disclosures about Derivative Instruments and Hedging Activities” (“ASC 815”), which requires enhanced disclosures about the Funds’ use of, and accounting for, derivative instruments and the effect on the results of each Fund’s operations and financial position.

Non-US Core Equity held rights during the year as a result of corporate actions. Non-US Core Equity and Core Opportunistic held warrants during the year as a result of corporate actions.

146

Mercer Funds
(formerly known as MGI Funds)

Notes to the Financial Statements (Continued)
September 30, 2011 (Unaudited)

At September 30, 2011 and during the period then ended, the Fund(s) had the following derivatives and transactions in derivatives, grouped into appropriate risk categories:


	Small/Mid Cap Value


	LIABILITY DERIVATIVES


	Equity Risk			Total
Futures Contracts⁽³⁾	$	(118,170	)	$	(118,170	)

Total Net Realized Gain (Loss)	$	(118,170	)	$	(118,170	)


	NET REALIZED GAIN (LOSS)


	Equity Risk			Total
Futures Contracts⁽⁹⁾	$	(66,341	)	$	(66,341	)

Total Net Realized Gain (Loss)	$	(66,341	)	$	(66,341	)


	CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION)


	Equity Risk			Total
Futures Contracts⁽¹⁴⁾	$	(118,170	)	$	(118,170	)

Total Change in Net Unrealized Appreciation (Depreciation)	$	(118,170	)	$	(118,170	)


	NUMBER OF CONTRACTS⁽¹⁷⁾


	Equity Risk		Total
Futures Contracts		12		12


	Non-US Core Equity


	ASSET DERIVATIVES


	Foreign
	Exchange Risk		Equity Risk		Total
Rights⁽¹⁾	$	—	$	46,456	$	46,456
Warrants⁽¹⁾		—		7,659,122		7,659,122
Options Purchased⁽¹⁾		83,250		—		83,250
Forward Foreign Currency Contracts⁽²⁾		8,951,115		—		8,951,115
Futures Contracts⁽³⁾		—		77,502		77,502

Total Value	$	9,034,365	$	7,783,080	$	16,817,445


	LIABILITY DERIVATIVES


	Foreign
	Exchange Risk			Equity Risk		Total
Forward Foreign Currency Contracts⁽⁵⁾	$	(9,949,375	)	$	—	$	(9,949,375	)

Total Value	$	(9,949,375	)	$	—	$	(9,949,375	)

147

Mercer Funds
(formerly known as MGI Funds)

Notes to the Financial Statements (Continued)
September 30, 2011 (Unaudited)


	NET REALIZED GAIN (LOSS)


	Foreign
	Exchange Risk			Equity Risk			Total
Options Purchased⁽⁷⁾	$	(324,599	)	$	—		$	(324,599	)
Forward Foreign Currency Contracts⁽⁸⁾		(129,985	)		—			(129,985	)
Futures Contracts⁽⁹⁾		—			(467,838	)		(467,838	)

Total Net Realized Gain (Loss)	$	(454,584	)	$	(467,838	)	$	(922,422	)


	CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION)


	Foreign
	Exchange Risk			Equity Risk			Total
Rights⁽¹²⁾	$	—		$	(39,901	)	$	(39,901	)
Warrants⁽¹²⁾		—			(3,728,105	)		(3,728,105	)
Options Purchased⁽¹²⁾		(760,059	)		—			(760,059	)
Forward Foreign Currency Contracts⁽¹³⁾		(1,346,191	)		—			(1,346,191	)
Futures Contracts⁽¹⁴⁾		—			135,512			135,512

Total Change in Net Unrealized Appreciation (Depreciation)	$	(2,106,250	)	$	(3,632,494	)	$	(5,738,744	)


	NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS⁽¹⁷⁾


	Foreign
	Exchange Risk		Equity Risk		Total
Rights		—		255,686		255,686
Warrants		—		348,831		348,831
Options Purchased		1,346,070,767		—		1,346,070,767
Forward Foreign Currency Contracts		1,409,391		—		1,409,391
Futures Contracts		—		32		32


	Core Opportunistic


	ASSET DERIVATIVES


	Interest Rate		Foreign				Equity
	Risk		Exchange Risk		Credit Risk		Risk		Total
Warrants⁽¹⁾	$	—	$	—	$	—	$	149,957	$	149,957
Options Purchased⁽¹⁾		13,001		—		—		—		13,001
Forward Foreign Currency Contracts⁽²⁾		—		876,659		—		—		876,659
Futures Contracts⁽³⁾		3,064,325		—		—		—		3,064,325
Swap Contracts⁽⁴⁾		732,244		—		259,875		—		992,119

Total Value	$	3,809,570	$	876,659	$	259,875	$	149,957	$	5,096,061

148

Mercer Funds
(formerly known as MGI Funds)

Notes to the Financial Statements (Continued)
September 30, 2011 (Unaudited)


	LIABILITY DERIVATIVES


	Interest Rate			Foreign						Equity
	Risk			Exchange Risk			Credit Risk			Risk		Total
Forward Foreign Currency Contracts⁽⁵⁾	$	—		$	(798,488	)	$	—		$	—	$	(798,488	)
Futures Contracts⁽³⁾		(626,974	)		—			—			—		(626,974	)
Options Written⁽⁶⁾		(473,031	)		—			(294,818	)		—		(767,849	)
Swap Contracts⁽⁴⁾		—			—			(86,830	)		—		(86,830	)

Total Value	$	(1,100,005	)	$	(798,488	)	$	(381,648	)	$	—	$	(2,280,141	)


	NET REALIZED GAIN (LOSS)


	Interest Rate			Foreign					Equity
	Risk			Exchange Risk			Credit Risk		Risk		Total
Options Purchased⁽⁷⁾	$	(83,920	)	$	—		$	—	$	—	$	(83,920	)
Forward Foreign Currency Contracts⁽⁸⁾		—			(696,356	)		—		—		(696,356	)
Futures Contracts⁽⁹⁾		(2,236,087	)		—			—		—		(2,236,087	)
Options Written⁽¹⁰⁾		337,298			—			—		—		337,298
Swap Contracts ⁽¹¹⁾		—			—			64,834		—		64,834

Total Net Realized Gain (Loss)	$	(1,982,709	)	$	(696,356	)	$	64,834	$	—	$	(2,614,231	)


	CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION)


	Interest Rate			Foreign					Equity
	Risk			Exchange Risk		Credit Risk			Risk			Total
Warrants⁽¹²⁾	$	—		$	—	$	—		$	(161,122	)	$	(161,122	)
Options Purchased⁽¹²⁾		(32,784	)		—		—			—			(32,784	)
Forward Foreign Currency Contracts⁽¹³⁾		—			786,008		—			—			786,008
Futures Contracts⁽¹⁴⁾		2,052,180			—		—			—			2,052,180
Options Written⁽¹⁵⁾		696,430			—		(227,296	)		—			469,134
Swap Contracts⁽¹⁶⁾		798,548			—		74,517			—			873,065

Total Change in Net Unrealized Appreciation (Depreciation)	$	3,514,374		$	786,008	$	(152,779	)	$	(161,122	)	$	3,986,481


	NUMBER OF CONTRACTS, NOTIONAL AMOUNTS OR SHARES/UNITS⁽¹⁷⁾


	Interest Rate			Foreign						Equity
	Risk			Exchange Risk			Credit Risk			Risk		Total
Warrants		—			—			—			15,122		15,122
Options Purchased		5,275,500			—			—			—		5,275,500
Forward Foreign Currency Contracts		—			(4,403,866	)		—			—		(4,403,866	)
Futures Contracts		1,864			—			—			—		1,864
Options Written		(71,975,833	)		—			(26,033,333	)		—		(98,009,166	)
Swap Contracts		18,520,000			—			59,200,000			—		77,720,000

149

Mercer Funds
(formerly known as MGI Funds)

Notes to the Financial Statements (Continued)
September 30, 2011 (Unaudited)


	⁽¹⁾	Statement of Assets and Liabilities location: Investments, at value.
	⁽²⁾	Statement of Assets and Liabilities location: Receivable for open forward foreign currency contracts.
	⁽³⁾	Cumulative appreciation (depreciation) on futures contracts is reported within the Schedule of Investments under the open “Futures Contracts” section. Only current day’s variation margin, if any, is reported within the Statements of Assets and Liabilities.
	⁽⁴⁾	Statement of Assets and Liabilities location: Swap contracts, at value.
	⁽⁵⁾	Statement of Assets and Liabilities location: Payable for open forward foreign currency contracts.
	⁽⁶⁾	Statement of Assets and Liabilities location: Written options, at value.
	⁽⁷⁾	Statement of Operations location: Amounts are included in Net realized gain (loss) on Investments.
	⁽⁸⁾	Statement of Operations location: Amounts are included in Net realized gain (loss) on Forward foreign currency contracts and foreign currency related transactions.
	⁽⁹⁾	Statement of Operations location: Amounts are included in Net realized gain (loss) on Closed futures contracts.


	⁽¹⁰⁾	Statement of Operations location: Amounts are included in Net realized gain (loss) on Written option contracts.
	⁽¹¹⁾	Statement of Operations location: Amounts are included in Net realized gain (loss) on Swap contracts.
	⁽¹²⁾	Statement of Operations location: Amounts are included in Change in net unrealized appreciation (depreciation) on Investments.
	⁽¹³⁾	Statement of Operations location: Amounts are included in Change in net unrealized appreciation (depreciation) on Forward foreign currency contracts and foreign currency related transactions.
	⁽¹⁴⁾	Statement of Operations location: Amounts are included in Change in net unrealized appreciation (depreciation) on Open futures contracts.
	⁽¹⁵⁾	Statement of Operations location: Amounts are included in Change in net unrealized appreciation (depreciation) on Written option contracts.
	⁽¹⁶⁾	Statement of Operations location: Amounts are included in Change in net unrealized appreciation (depreciation) on Swap contracts.
	⁽¹⁷⁾	Amounts disclosed represent average number of contracts, notional amounts, or shares outstanding for the months that the Fund held such derivatives during the year ended September 30, 2011.

The Funds follow FASB ASC 815-10-50 “Disclosures about Credit Derivative and Certain Guarantees”. This applies to written credit derivatives, hybrid instruments that have embedded credit derivatives (for example, credit-linked notes), and certain guarantees. See Note 2 for a description of credit derivative instruments.

150

Mercer Funds
(formerly known as MGI Funds)

Notes to the Financial Statements (Continued)
September 30, 2011 (Unaudited)

The following is a summary of open credit default swaps positions held in Core Opportunistic at September 30, 2011:


									Maximum
									Potential Amount
									of Future		Receive
									Payments by		(Pay)				Unrealized
Notional				Expiration			Buy/Sell		the Fund Under		Fixed			Deliverable	Appreciation
Amount		Currency		Date		Counterparty	Protection		the Contract		Rate			on Default	(Depreciation)			Value
	400,000		USD		12/20/2015	Deutsche Bank AG		Buy	$	400,000		(1.00	%)	Starwood Hotels and Resorts, 6.75%, 05/15/18	$	(4,847	)	$	23,957
	900,000		USD		3/20/2016	Deutsche Bank AG		Buy		900,000		(1.00	%)	Kinder Morgan, Inc., 6.50%, 09/01/12	$	26,566		$	68,760
	1,400,000		USD		3/20/2016	Morgan Stanley Capital Services, Inc.		Buy		1,400,000		(1.00	%)	Kinder Morgan, Inc., 6.50%, 09/01/12	$	39,866		$	106,960
	1,600,000		USD		12/20/2019	Bank of America N.A.		Sell		1,600,000		1.00	%	CDX.NA.IG.I3 (Rating: BAA+)^*	$	(26,049	)	$	(47,906	)
	1,300,000		USD		12/20/2019	UBS AG		Sell		1,300,000		1.00	%	CDX.NA.IG.I3 (Rating: BAA+)^*	$	(19,372	)	$	(38,924	)
	8,500,000		USD		06/20/2015	Barclays Capital, Inc.		Buy		8,500,000		(1.00	%)	Cash	$	23,570		$	57,588
	4,400,000		USD		03/20/2021	Goldman Sachs International		Sell		4,400,000		1.60	%	State of Connecticut (Moody’s Rating: Aa2; S&P Rating: AA)	$	2,610		$	2,610

									$	18,500,000					$	42,344		$	173,045


*		Represents an investment grade index of single name credit default swaps (CDS). All of the companies underlying the single name CDS within the index are rated investment grade or higher. Rating represents a weighted average of the credit ratings of all the companies underlying the single name CDS within the index.


	(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 market 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.

The Non-US Core Equity Fund is subject to a 2% Imposto sobre Operacoes Financeiras (“IOF”) transaction tax levied by the Brazilian government on certain foreign exchange transactions related to security transactions executed across Brazilian exchanges. The IOF tax has been included in net realized gain (loss) on forward contracts and foreign currency related transactions in the Statement of Operations.


	(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.

151

Mercer Funds
(formerly known as MGI Funds)

Notes to the Financial Statements (Continued)
September 30, 2011 (Unaudited)

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 market 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 market value of securities loaned will not at any time exceed 331/3% 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. 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.

Effective October 6, 2008, the Funds suspended their participation in the securities lending arrangement under which State Street Bank and Trust Company serves as lending agent (the “State Street Program”). As of September 30, 2011, no Fund had any portfolio securities on loan. The Advisor will determine if or when it becomes appropriate for the Funds to resume their participation in the State Street Program.


	(e) Repurchase agreements

A Fund may enter into a repurchase agreement 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 will be fully collateralized and the collateral will be 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. As of September 30, 2011 none of the Funds held open repurchase agreements.


	(f) Swaps

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.

152

Mercer Funds
(formerly known as MGI Funds)

Notes to the Financial Statements (Continued)
September 30, 2011 (Unaudited)

The purchase of a cap entitles the purchaser to receive payments on a notional principal amount from the party selling the cap to the extent that a specified index exceeds a predetermined interest rate or amount. The purchase of an interest rate floor entitles the purchaser to receive payments on a notional principal amount from the party selling the floor to the extent that a specified index falls below a predetermined interest rate or amount. A collar is a combination of a cap and a floor that preserves a certain return with a predetermined range of interest rates or values.

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. Under Internal Revenue Service rules, any nonperiodic payments received or due under the notional principal contract must be recognized over the term of the notional principal contract in a manner that reflects the economic substance of the contract.

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, not the entire notional amount. 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 swaps.

Swaps are highly specialized instruments that require investment techniques, risk analyses, and tax planning different from those associated with traditional investments. The use of a swap requires an understanding not only of the referenced asset, reference rate, or index but also of the swap itself, without the benefit of observing the performance of the swap under all possible market conditions. 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.

Certain restrictions imposed on the Funds by the Code may limit the Funds’ ability to use swap agreements. The swaps market is largely unregulated. It is possible that developments in the swaps market, including potential government regulation, could adversely affect a Fund’s ability to terminate existing swap agreements or to realize amounts to be received under such agreements.

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

153

Mercer Funds
(formerly known as MGI Funds)

Notes to the Financial Statements (Continued)
September 30, 2011 (Unaudited)

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.

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 soundness and 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.

Credit default swap agreements involve greater risks than if a Fund had invested in the reference obligation directly since, in addition to general market risks, credit default swaps are subject to illiquidity risk, counterparty risk and credit risk. A Fund will enter into credit default swap agreements only with counterparties that meet certain standards of creditworthiness. A buyer generally also will lose its investment and recover nothing should no credit event occur and the swap is held to its termination date. If a credit event were to occur, the value of any deliverable obligation received by the seller, coupled with the upfront or periodic payments previously received, may be less than the full notional value it pays to the buyer, resulting in a loss of value to the seller. A Fund’s obligations under a credit default swap agreement will be accrued daily (offset against any amounts owing to the Fund). In connection with credit default swaps in which a Fund is the buyer, the Fund will segregate or “earmark” cash or assets determined to be liquid by the Advisor and/or the Subadvisor in accordance with procedures established by the Board of Trustees, or enter into certain offsetting positions, with a value at least equal to the Fund’s exposure (any accrued but unpaid net amounts owed by the Fund to any counterparty), on a marked-to-market basis. In connection with credit default swaps in which a Fund is the seller, the Fund will segregate or “earmark” cash or assets determined to be liquid by the Advisor and/or Subadvisor in accordance with procedures established by the Board of Trustees, or enter into offsetting positions, with a value at least equal to the full notional amount of the swap (minus any amounts owed to the Fund). Such segregation or “earmarking” will ensure that a Fund has assets available to satisfy its obligations with respect to the transaction and will limit any potential leveraging of the Fund’s portfolio. Such segregation or “earmarking” will not limit the Fund’s exposure to loss.

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. Many swaps are complex and often valued subjectively.

During the period ended September 30, 2011, Core Opportunistic used swap agreements to adjust interest rate and yield curve exposure or to manage credit exposure.

154

Mercer Funds
(formerly known as MGI Funds)

Notes to the Financial Statements (Continued)
September 30, 2011 (Unaudited)

See the Core Opportunistic Schedule of Investments for a listing of open swap agreements as of September 30, 2011.


	(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 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 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 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 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 CFTC for sale to customers in the United States, 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.

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

During the period ended September 30, 2011, Small/Mid Cap Value used futures to equitize cash. Non-US Core Equity used futures to adjust exposure to certain markets and maintain liquidity. Core Opportunistic used futures to adjust interest rate exposure and replicate government bond positions.

See the Small/Mid Cap Value, Non-US Core Equity and Core Opportunistic Schedules of Investments for a listing of open futures contracts as of September 30, 2011.


	(h) Options

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

155

Mercer Funds
(formerly known as MGI Funds)

Notes to the Financial Statements (Continued)
September 30, 2011 (Unaudited)

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 write (sell) 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 and interest rates.

During the period ended September 30, 2011, Non-US Core Equity used options to adjust exposure to foreign currency and to efficiently maintain liquidity. Core Opportunistic used options to manage interest rate and volatility exposure.

See the Non-US Core Equity and Core Opportunistic Schedules of Investments for a listing of options contracts as of September 30, 2011.

Transactions in written option contracts for Core Opportunistic for the period ended September 30, 2011, is as follows:


	Number of			Premiums
	Contracts			Received
Options outstanding at March 31, 2011		118,500,230		$	1,013,596
Options written		24,501,279			668,847
Options terminated in closing purchase transactions		(59,000,766	)		(762,132	)
Options expired		(214	)		(114,739	)

Options outstanding at September 30, 2011		84,000,529		$	805,572

156

Mercer Funds
(formerly known as MGI Funds)

Notes to the Financial Statements (Continued)
September 30, 2011 (Unaudited)


	(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.

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 period ended September 30, 2011, Non-US Core Equity used forward foreign currency contracts to adjust exposure to foreign currencies and to efficiently maintain liquidity. Core Opportunistic used forward foreign currency contracts to hedge, cross-hedge or to actively manage non-US Dollar exposures in the Fund.

See the Non-US Core Equity and Core Opportunistic Schedules of Investments for a listing of open forward foreign currency contracts as of September 30, 2011.


	(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 exchange rates prevailing at the end of the period, and purchases and sales of investment securities, income and expenses are translated at exchange rates prevailing on the 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 the Statements 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/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 “to-be-announced” (“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

157

Mercer Funds
(formerly known as MGI Funds)

Notes to the Financial Statements (Continued)
September 30, 2011 (Unaudited)

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 Opportunistic Schedule of Investments for TBA sale commitments held as of September 30, 2011.


	(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 Funds’ Schedule of Investments for REIT securities held as of September 30, 2011.


	(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 Schedules of Investments for mortgage-backed and asset-backed securities held by Core Opportunistic and Short Maturity as of September 30, 2011.


	(n) Bank loans

Core Opportunistic invests 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

158

Mercer Funds
(formerly known as MGI Funds)

Notes to the Financial Statements (Continued)
September 30, 2011 (Unaudited)

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.


	(o) 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. See the Core Opportunistic Schedule of Investments for indexed securities held as of September 30, 2011.


	(p) 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 income or excise tax is necessary.


	(q) Allocation of expenses and operating 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.


	(r) 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.


	(s) Credit agreement

The Trust entered into a Credit Agreement on behalf of the Funds (“the Agreement”) with a bank pursuant to a revolving line of credit through June 27, 2011. Borrowings for each Fund under the Agreement were limited to the lesser of $50,000,000 or 331/3% of a Fund’s Total Net Assets provided borrowings did not exceed, in the aggregate, $50,000,000. Under the terms of the Agreement the Trust paid an annual commitment fee at the rate 0.15% per year on the difference between the total line of credit and the average daily amount of borrowings outstanding. Interest was charged to the Funds based on its borrowings at a variable rate equal to the Overnight Rate plus 1.25%. The Funds did not borrow under the Agreement during the period September 30, 2011.


	(t) 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.

159

Mercer Funds
(formerly known as MGI Funds)

Notes to the Financial Statements (Continued)
September 30, 2011 (Unaudited)


3.	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:


	Assets up to		Assets in excess of
	$750 million		$750 million
Large Cap Growth		0.55%		0.53%
Large Cap Value		0.53%		0.51%
Small/Mid Cap Growth		0.90%		0.90%
Small/Mid Cap Value		0.90%		0.90%
Non-US Core Equity		0.75%		0.73%
Core Opportunistic		0.35%		0.33%
Short Maturity		0.25%		0.23%

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.

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 each Fund, 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. For the year ended September 30, 2011, the fees were reimbursed to the extent that each Fund’s class expenses exceeded the net expense rates as set forth below of average daily net assets of the Fund class. 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 waivers and expense reimbursements, 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. These reimbursements are shown in the Reimbursement of expenses line in the Statements of Operations.


	Class S			Class Y-1			Class Y-2			Class Y-3
Large Cap Growth		1.07	%		1.02	%		0.72	%		0.57	%
Large Cap Value		1.05	%		1.00	%		0.70	%		0.55	%
Small/Mid Cap Growth		1.42	%		1.37	%		1.07	%		0.92	%
Small/Mid Cap Value		1.42	%		1.37	%		1.07	%		0.92	%
Non-US Core Equity		1.32	%		1.27	%		0.97	%		0.82	%
Core Opportunistic		0.87	%		0.82	%		0.52	%		0.37	%
Short Maturity		0.82	%		0.77	%		0.47	%		0.32	%

As of September 30, 2011 only Class Y-3 had commenced operations.

160

Mercer Funds
(formerly known as MGI Funds)

Notes to the Financial Statements (Continued)
September 30, 2011 (Unaudited)


4.	Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended September 30, 2011, were as follows:


	Long-Term		Other Long-Term
	U.S. Government Securities		Securities
Purchases
Large Cap Growth	$	—	$	140,699,972
Large Cap Value		—		174,412,358
Small/Mid Cap Growth		—		100,527,626
Small/Mid Cap Value		—		114,511,267
Non-US Core Equity		—		934,513,064
Core Opportunistic		997,747,012		156,296,560
Short Maturity		6,496,872		2,443,971
Sales
Large Cap Growth		—		154,020,037
Large Cap Value		—		172,554,205
Small/Mid Cap Growth		—		117,363,407
Small/Mid Cap Value		—		122,563,094
Non-US Core Equity		—		698,995,904
Core Opportunistic		822,240,181		50,881,800
Short Maturity		20,930,005		10,149,896


5.	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


	Six Months Ended						Year Ended
	September 30, 2011						March 31, 2011
	Shares			Amount			Shares			Amount
Class Y-3:
Shares sold		2,876,522		$	32,694,452			6,060,891		$	63,248,838
Shares issued through in-kind contribution		—			—			2,176,215			23,568,413
Shares issued to shareholders in reinvestment of distributions		—			—			133,308			1,533,041
Shares repurchased		(3,535,040	)		(43,109,727	)		(8,952,482	)		(94,503,741	)

Net decrease		(658,518	)	$	(10,415,275	)		(582,068	)	$	(6,153,449	)

161

Mercer Funds
(formerly known as MGI Funds)

Notes to the Financial Statements (Continued)
September 30, 2011 (Unaudited)


	Large Cap Value


	Six Months Ended						Year Ended
	September 30, 2011						March 31, 2011
	Shares			Amount			Shares			Amount
Class Y-3:
Shares sold		4,412,462		$	33,697,431			9,643,487		$	70,765,558
Shares issued through in-kind contribution		—			—			2,927,568			21,956,759
Shares issued to shareholders in reinvestment of distributions		—			—			640,858			4,947,427
Shares repurchased		(3,888,905	)		(31,878,875	)		(9,768,225	)		(73,276,928	)

Net increase		523,557		$	1,818,556			3,443,688		$	24,392,816


	Small/Mid Cap Growth


	Six Months Ended						Year Ended
	September 30, 2011						March 31, 2011
	Shares			Amount			Shares			Amount
Class Y-3:
Shares sold		1,766,160		$	19,967,866			7,368,261		$	70,741,691
Shares repurchased		(2,844,098	)		(34,844,882	)		(5,892,339	)		(62,565,838	)

Net increase (decrease)		(1,077,938	)	$	(14,877,016	)		1,475,922		$	8,175,853


	Small/Mid Cap Value


	Six Months Ended						Year Ended
	September 30, 2011						March 31, 2011
	Shares			Amount			Shares			Amount
Class Y-3:
Shares sold		2,044,488		$	19,522,209			8,135,739		$	70,169,226
Shares issued to shareholders in reinvestment of distributions		—			—			282,472			2,802,122
Shares repurchased		(2,742,770	)		(28,170,576	)		(6,342,104	)		(59,022,121	)

Net increase (decrease)		(698,282	)	$	(8,648,367	)		2,076,107		$	13,949,227


	Non-US Core Equity


	Six Months Ended						Year Ended
	September 30, 2011						March 31, 2011
	Shares			Amount			Shares			Amount
Class Y-3:
Shares sold		25,878,805		$	256,029,844			46,740,082		$	449,851,919
Shares issued to shareholders in reinvestment of distributions		—			—			2,575,172			26,060,738
Shares repurchased		(3,960,633	)		(40,594,127	)		(6,994,746	)		(70,565,225	)

Net increase		21,918,172		$	215,435,717			42,320,508		$	405,347,432

162

Mercer Funds
(formerly known as MGI Funds)

Notes to the Financial Statements (Continued)
September 30, 2011 (Unaudited)


	Core Opportunistic


	Six Months Ended						Year Ended
	September 30, 2011						March 31, 2011
	Shares			Amount			Shares			Amount
Class Y-3:
Shares sold		7,155,434		$	75,089,055			32,658,373		$	346,199,317
Shares issued to shareholders in reinvestment of distributions		—			—			4,779,950			48,277,495
Shares repurchased		(11,960,479	)		(126,318,865	)		(10,571,225	)		(110,932,043	)

Net increase (decrease)		(4,805,045	)	$	(51,229,810	)		26,867,098		$	283,544,769


	Short Maturity


	Six Months Ended						Year Ended
	September 30, 2011						March 31, 2011
	Shares			Amount			Shares			Amount
Class Y-3:
Shares sold		396,246		$	3,800,000			2,166,595		$	20,779,441
Shares issued to shareholders in reinvestment of distributions		—			—			113,703			1,083,585
Shares repurchased		(2,799,816	)		(26,917,132	)		(167,722	)		(1,627,749	)

Net increase (decrease)		(2,403,570	)	$	(23,117,132	)		2,112,576		$	20,235,277


6.	Federal income taxes

As of September 30, 2011, the cost for U.S. federal income tax purposes and gross unrealized appreciation and depreciation in value of investments were as follows:


								Net
	Federal		Tax Basis		Tax Basis			Unrealized
	Income Tax		Unrealized		Unrealized			Appreciation
	Cost		Appreciation		Depreciation			(Depreciation)
Large Cap Growth	$	345,071,873	$	37,271,170	$	(24,935,545	)	$	12,335,625
Large Cap Value		380,632,261		14,013,888		(35,822,499	)		(21,808,611	)
Small/Mid Cap Growth		241,850,571		16,860,066		(28,688,119	)		(11,828,053	)
Small/Mid Cap Value		250,710,594		11,040,534		(37,701,985	)		(26,661,451	)
Non-US Core Equity		1,672,863,739		55,229,209		(254,913,188	)		(199,683,979	)
Core Opportunistic		1,147,227,881		38,361,451		(22,471,762	)		15,889,689
Short Maturity		45,033,770		512,763		(236,821	)		275,942

The 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.


7.	Subsequent event

In accordance with the provisions set forth in FASB ASC 855 (“Subsequent Events”), management has evaluated the possibility of subsequent events existing in the Funds’ financial statements for the period ended September 30, 2011 and determined that there are no material events that would require adjustment to or disclosure in the Funds’ financial statements through the date of issuance.

163

Mercer Funds
(formerly known as MGI Funds)

Notes to the Financial Statements (Continued)
September 30, 2011 (Unaudited)


8.	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 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.mgifunds.us/proxy.


9.	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.

10. Board Approvals of Subadvisory Agreements during the period April 1, 2011 through September 30, 2011


	June 7-8, 2011 Board Meeting


	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 Opportunistic Fixed Income Fund Mercer US Short Maturity Fixed Income Fund


	Renewal of the Investment Management Agreement for the Funds

At the meeting of the Board of Trustees (the “Board” or the “Trustees”) of Mercer Funds (the “Trust”) held on June 7-8, 2011 (the “June Meeting”), the Trustees, including the Trustees who are not “interested persons” (as that term is defined in the Investment Company Act of 1940, as amended (the “1940 Act”)), of the Trust or Mercer Investment Management, Inc., the Trust’s investment advisor (the “Advisor” or “MIM”) (together, the “Independent Trustees”), considered and approved the renewal of the investment management agreement between the Advisor and the Trust (the “Investment Management Agreement”) with respect to each of the following series of the Trust (each a “Fund,” and together, the “Funds”): (i) Mercer US Large Cap Growth Equity Fund (“Large Cap Growth Fund”), Mercer US Large Cap Value Equity Fund (“Large Cap Value Fund”), Mercer US Small/Mid Cap Growth Equity Fund (“Small Cap Growth Fund”), Mercer US Small/Mid Cap Value Equity Fund (“Small Cap Value Fund”), Mercer Non-US Core Equity Fund (“Non-US Fund”), Mercer Core Opportunistic Fixed Income Fund (“Core Opportunistic Fund”), and Mercer US Short Maturity Fixed Income Fund (“Short Term Fund”).

In considering the renewal of the Investment Management Agreement, the Independent Trustees reviewed the information and materials from the Advisor and from counsel that were prepared for the June Meeting, including: (i) the Investment Management Agreement, with respect to the Advisor’s management of the assets of each Fund; (ii) information describing the nature, extent, and quality of the services that the Advisor provided to the Funds, the fees that the Advisor charged to the Funds for these services, and a comparison of those fees to the fees paid by a peer group of other investment companies having investment objectives similar to the investment objectives of the Funds, and that were identified as competitors, as contained in a report requested by the Board and prepared by Lipper Inc. (the “Lipper Report”), an independent, nationally recognized provider of investment company data, containing, among other things, information on the investment performance (over the one-, two-, three- and four-year periods and since inception time frames) and the fees and expenses of each

164

Mercer Funds
(formerly known as MGI Funds)

Notes to the Financial Statements (Continued)
September 30, 2011 (Unaudited)

Fund, as compared to a comparable group of funds (each a “peer group”); (iii) information regarding the Advisor’s business and operations, financial position, portfolio management team, and compliance program; (iv) information describing each Fund’s operating expenses compared to the Fund’s peer group of other registered investment companies with investment objectives similar to the investment objectives of the Funds, and that were identified in the Lipper Report; (v) information describing each Fund’s performance compared to the Fund’s peer group of other investment companies with investment objectives similar to the investment objective of the Fund, as identified in the Lipper Report; (vi) information regarding the Advisor’s profitability in managing each Fund and the Fee Waiver/Expense Limitation Agreement, pursuant to which the Advisor has agreed to subsidize the Funds’ expenses at specific levels, through March 31, 2011, and the substantial losses that the Advisor had sustained to date in managing the Funds; and (vii) information regarding the benefits that the Advisor received (or may receive in the future) as a result of its relationship with the Funds. The Independent Trustees also considered presentations made by, and discussions held with, representatives of the Advisor, both at the June Meeting and throughout the course of the year at regularly scheduled Board meetings.

In their consideration of the renewal of the Investment Management Agreement, the Independent Trustees considered the following factors:

(a) The nature, extent, and quality of the services that were provided by the Advisor. The Independent Trustees reviewed the services that the Advisor had provided to the Funds. In connection with the investment advisory services that were provided to the Funds, the Independent Trustees considered the qualifications, experience, and capabilities of the Advisor’s portfolio management team and other investment personnel, and the extent of care and conscientiousness with which the Advisor’s personnel performed their duties.

In this regard, the Independent Trustees considered that while the Advisor focused primarily on the selection, evaluation, and oversight of the Funds’ subadvisors, consistent with the Trust’s multi-manager structure, the Advisor also had extensive other responsibilities as the Funds’ investment advisor, including: the provision of investment advice; the selection of the subadvisor(s) for each Fund; the allocation of each Fund’s assets among multiple subadvisors (including overseeing the process of transitioning assets among subadvisors); the fee negotiation process whereby the Advisor sought to achieve an appropriate and competitive level of fees and fee structure, and the Advisor’s continual monitoring of the ongoing appropriateness and competitiveness of each subadvisory fee and fee structure; the monitoring of each subadvisor’s investment performance and processes; the oversight of each subadvisor’s compliance with the applicable Fund’s investment objective, policies, and limitations; the review of portfolio security brokerage and trading practices; the oversight of general portfolio compliance with relevant law; and the implementation of Board directives as they related to the Funds.

The Independent Trustees discussed the Advisor’s ability and willingness to identify instances where there was a need to add a new subadvisor, to replace a current subadvisor, to reallocate Fund assets among current subadvisors, to utilize a new strategy of a current Subadvisor to implement a combination of these measures, as well as the Advisor’s ability to promptly, efficiently, and economically effect such changes. The Independent Trustees reviewed the proprietary tools utilized by the Advisor to review, select, evaluate, and monitor subadvisors for the Funds, as well as the Advisor’s experience, resources, and strengths in advising the MGI Collective Trust and the Mercer Group Trust, two other pooled investment vehicles overseen by MIM.

The Independent Trustees discussed the Trust’s multi-manager structure, and the services required by the Trust as a consequence of that structure, as measured against an investment company without multiple subadvisors. The Independent Trustees also evaluated the nature, extent, and quality of the non-investment advisory and administrative services that were provided to the Funds by the Advisor, such as the supervision of the Funds’ third-party service providers. The Independent Trustees considered the scope and substance of the Advisor’s regulatory and compliance policies, procedures, and systems. The Independent Trustees evaluated the Advisor’s capabilities in providing the administrative and compliance services needed to support management of the Funds, and the information that regularly had been provided by the Chief Compliance Officer to the Trustees at prior Board meetings. The Independent Trustees also considered the Advisor’s willingness both to add personnel and

165

Mercer Funds
(formerly known as MGI Funds)

Notes to the Financial Statements (Continued)
September 30, 2011 (Unaudited)

to replace existing personnel, as the Funds have grown, in order to ensure that appropriate staffing levels were maintained, and to enhance the distribution of the Funds. The Independent Trustees also recalled the Advisor’s identification of the large number of new employees that had been hired over the prior year as the Advisor grew. Based on their consideration and review of the foregoing information, the Independent Trustees determined that the Funds benefited from the nature, extent, and quality of these services, as well as the Advisor’s ability to continue to provide these services based on the Advisor’s experience, operations, and resources.

(b) The costs of the services provided and the profits realized by the Advisor and its affiliates from the Advisor’s relationship with the Funds. The Independent Trustees compared each Fund’s contractual management fee and expense ratio to other investment companies considered to be in the Fund’s respective peer group (as identified in the Lipper Report), and noted the Funds’ favorable rankings. The Independent Trustees observed that the Advisor did not manage other registered investment companies, and therefore, the Advisor could not provide information regarding the Advisor’s fees for such activities.

The Independent Trustees discussed the costs of organizing and operating the Funds, and the significant economic impact that these activities had exerted on the profitability of the Advisor over the prior five years, as well as the effect it would have on the Advisor in connection with its continuing to serve as the investment advisor to each Fund. The Independent Trustees also discussed the Advisor’s ongoing costs in operating the Funds and the costs of compensating the subadvisors. The Independent Trustees noted the Advisor’s continuing commitment to limit each Fund’s expenses through the Fee Waiver/Expense Limitation Agreement with the Trust. In addition, the Independent Trustees discussed the entrepreneurial risk undertaken by the Advisor in creating and operating the Trust and the Funds. The Independent Trustees recalled their discussions, both at the June Meeting and at prior Board meetings, regarding the Advisor’s subsidizing the Funds in their initial stages, and the significant losses that the Advisor had sustained, as well as the reiteration of the resolution of both the Advisor and Mercer’s resolution to continue to waive the Advisor’s fees and to reimburse Fund expenses, until such time as the Funds reach profitable asset levels. After comparing each Fund’s fees with the fees of other funds in the Fund’s respective peer group, and in light of the nature, extent, and quality of services that were provided by the Advisor and the costs that were incurred by the Advisor in rendering those services, the Independent Trustees concluded that the level of fees that were paid to the Advisor with respect to each Fund was fair and reasonable.

The Independent Trustees also considered the other relationships that the Advisor and its affiliates have with the Trust, and any ancillary benefits realized by the Advisor and its affiliates from the Advisor’s relationship with each Fund. The Independent Trustees recognized that because of the Trust’s multi-manager structure, the Advisor did not place portfolio transactions on behalf of the Funds, and, thus, the Advisor did not receive proprietary research from broker-dealers that executed the Funds’ portfolio transactions. In addition, the Independent Trustees noted that the Advisor, as a policy, did not receive any services paid for by Fund soft dollar commissions. As such, the Independent Trustees took note of the fact that the Advisor did not derive any benefits from any Fund portfolio transactions, which benefits were enjoyed by certain subadvisors, and in the case of other registered investment companies, by their investment managers.

The Independent Trustees noted that the Advisor, by managing the Funds, may benefit (along with its affiliates) to the extent that potential investors view the Advisor and its affiliates as providing a diverse array of investment products, and managing different asset classes, which were available through multiple investment vehicles. The Independent Trustees also noted that the Advisor served as the Trust’s internal administrator, and the Advisor will be entitled to receive compensation from the Class S, Class Y-l, and Class Y-2 shares of the Funds for acting in that capacity (although no compensation had been paid to date). The Independent Trustees also considered that, in return for this compensation, the Advisor was responsible for, among other things, attending to shareholder correspondence, assisting with the purchase and redemption of shares, and preparing and distributing documents for shareholder use. As such, the Independent Trustees concluded that the benefits that accrued to the

166

Mercer Funds
(formerly known as MGI Funds)

Notes to the Financial Statements (Continued)
September 30, 2011 (Unaudited)

Advisor and its affiliates by virtue of their relationships to the Funds were reasonable and fair in comparison with the costs of providing the relevant services.

(c) The extent to which economies of scale were realized as each Fund grew, and whether fee levels reflected these economies of scale for the benefit of Fund shareholders. The Independent Trustees next discussed potential economies of scale. Given that the Funds (other than the Non-US Fund) had been in existence and operating for six years, and in light of the challenging market conditions experienced over the prior three and one-half years, Independent Trustees noted that the Funds could be considered to still be in a growth phase, and the Independent Trustees recognized the uncertainty in launching a new investment product and estimating future asset levels. The Independent Trustees discussed that the advisory fee schedule for each Fund, other than for the Small Cap Growth Fund and the Small Cap Value Fund, included a breakpoint at $750 million, which would reduce the investment advisory fee for a Fund and allow the shareholders of the Fund to participate in economies of scale available when the Fund surpassed the threshold level.

(d) The investment performance of the Funds and the Advisor. The Independent Trustees considered the overall investment performance of the Funds, and evaluated Fund performance in the context of the Trust’s multi-manager structure, and the unique considerations that this structure required. The Independent Trustees considered whether the Funds operated within their investment objectives and styles, and considered each Fund’s record of compliance with its investment restrictions. The Independent Trustees also considered that the Advisor continued to be proactive in seeking to replace and/or add Subadvisors, to reallocate assets among Subadvisors, and to implement new investment Subadvisor strategies, with a view to improving Fund performance over the long term.

While consideration was given to the Advisor’s performance reports and discussions at prior Board meetings, particular attention was given to the Lipper Report prepared specifically for the June Meeting. In reviewing the performance of the Funds, the Independent Trustees considered that the performance of each Fund, other than the Large Cap Value Fund, fell within the second, third, or fourth quintiles of its respective performance universe for performance since inception. In particular, the Large Cap Growth Fund and the Small Cap Value Fund had exhibited upward improvement since 2010. The Board also recalled the Advisor’s remarks at the June Meeting describing the Advisor’s expectations for the acceptable performance of each Fund with respect to a range of quintiles.

In the case of the Non-US Fund, the Independent Trustees recalled that the Advisor had terminated Grantham, Mayo, Van Otterloo & Company LLC, and had hired Arrowstreet as a replacement Subadvisor. Additionally, the Board noted that the Advisor was proposing to hire William Blair to ensure that the Fund continued to have emerging markets exposure.

In the case of the Large Cap Value Fund, the Independent Trustees noted that the Fund’s performance for the one- and two-year periods placed it in the fourth quintile of its peer universe, which was an improvement from its prior fifth quintile performance. The Independent Trustees recalled the Advisor’s explanation that Pzena Investment Management (“Pzena”), a prior Subadvisor that had been terminated in December of 2008 because of MIM’s loss of confidence in Pzena, continued to exert a negative impact on the Fund’s performance. Additionally, the Board recalled that the Advisor had added O’Shaughnessy Asset Management as a fourth Subadvisor in October of 2010, which was intended to improve the Fund’s performance.

In the case of the Small Cap Growth Fund, the Independent Trustees noted that the Advisor had indicated that it was comfortable with the Fund’s mid-range (third quintile) performance. The Board recalled that Delaware Investments had been added as an additional Subadvisor in an effort to improve returns.

In the case of the Small Cap Value Fund, the Independent Trustees recalled that the Fund’s performance was trending upward.

167

Mercer Funds
(formerly known as MGI Funds)

Notes to the Financial Statements (Continued)
September 30, 2011 (Unaudited)

In the case of the Core Opportunistic Fund, the Independent Trustees noted that the Advisor had terminated BlackRock Financial Management, Inc., and its belief that the Fund’s performance appeared to be slightly improving.

Finally, in the case of the Short Maturity Fund, the Independent Trustees observed that the Advisor was continuing to closely monitor JP Morgan Investment Management, which had reported somewhat disappointing performance.

On this basis, the Independent Trustees concluded that MIM’s performance in managing each Fund indicated that the Advisor’s continued management will benefit the Fund and its shareholders.

Conclusion. No single factor was determinative to the decisions of the Independent Trustees. Based on these factors, and such other matters as were deemed relevant, the Independent Trustees concluded that the management fee rates of the Funds continued to be reasonable in relation to the services provided by the Advisor to the Funds, as well as the costs that were incurred and benefits that were gained by the Advisor in providing such services. The Independent Trustees also found the Advisor’s investment management fees to be reasonable in comparison to the fees charged by the investment advisors to the investment companies included in the Funds’ peer groups in the Lipper Report. As a result, the Independent Trustees unanimously approved the Investment Management Agreement and recommended the Agreement’s approval to the Board as being in the best interests of the Funds and their shareholders.


	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 Opportunistic Fixed Income Fund Mercer US Short Maturity Fixed Income Fund


	Renewal of the Subadvisory Agreements for the Funds

At the June Meeting, the Board, including the Independent Trustees, considered and approved the continuation of the subadvisory agreements (together, the “Subadvisory Agreements”) entered into by the Advisor and the following subadvisors for the Funds: Winslow Capital Management, Inc., Atlanta Capital Management Company, LLC, Neuberger Berman Management, LLC, and Sands Capital Management, LLC (in the case of the Large Cap Growth Fund); Eaton Vance Management, LLC, Numeric Investors LLC, and Robeco Investment Management, Inc. (in the case of the Large Cap Value Fund); Westfield Capital Management Company, LLC, Tygh Capital Management, Inc., and Goldman Sachs Asset Management, L.P. (in the case of the Small Cap Growth Fund); AQR Capital Management, LLC, NWQ Investment Management Company, LLC, River Road Asset Management, LLC, and Systematic Financial Management, L.P. (in the case of the Small Cap Value Fund); AllianceBernstein L.P., Lazard Asset Management LLC, and Massachusetts Financial Services Company (in the case of the Non-US Fund); and Western Asset Management Company, Mackay Shields LLC, and Pacific Investment Management Company LLC (in the case of Core Opportunistic Fund); and J.P. Morgan Investment Management, Inc. (in the case of Short Maturity Fund); (each a “Subadvisor,” and together, the “Subadvisors”).

In considering the renewal of the Subadvisory Agreements, the Independent Trustees considered the information and materials from the Advisor and counsel that included, as to each Subadvisor and each Fund: (i) the Subadvisory Agreement between the Advisor and the Subadvisor; (ii) information regarding the review and due diligence process by which the Advisor selected, monitored, and evaluated the Subadvisor, and recommended the Subadvisor for Board approval; (iii) information describing the nature, extent, and quality of the services that the Subadvisor provided to the respective Fund, and the fees that the Subadvisor charged the Advisor for these services; (iv) information regarding the Subadvisor’s business and operations, financial condition, portfolio

168

Mercer Funds
(formerly known as MGI Funds)

Notes to the Financial Statements (Continued)
September 30, 2011 (Unaudited)

management team, and compliance program; (v) the Subadvisor’s brokerage and trading policies and practices; (vi) the Subadvisor’s performance in managing its allocated portion of the Fund’s investment portfolio; and (vii) the Subadvisor’s historical performance returns managing a similar investment mandate, and such performance compared to a relevant index. In addition, the Independent Trustees considered presentations made by, and discussions held with, representatives of the Advisor and representatives of the Subadvisors at prior Board meetings. The Independent Trustees also evaluated answers and responses to applicable information requests contained in a letter from counsel dated May 19, 2011 (the “15(c) Information Request Letter”), which identified the information that the Independent Trustees requested the Advisor compile and provide to the Board prior to the June Meeting, in order to assist the Independent Trustees in making informed determinations regarding the Funds’ contract renewals. Additionally, the Independent Trustees received assistance and advice regarding legal and industry standards and reviewed materials supplied by counsel.

In particular, and as to each Fund and to each Subadvisor, the Independent Trustees considered the following factors:

(a) The nature, extent, and quality of the advisory services that were provided by the Subadvisors. The Independent Trustees reviewed the nature, extent, and quality of the advisory services that each Subadvisor had provided to the applicable Fund. The Independent Trustees considered the Advisor’s active role as a manager of managers, which included, among other items, monitoring and evaluating the performance of the Subadvisors, recommending that Subadvisors that have not performed as expected be replaced (or their original allocated portion of the Fund be reduced), and negotiating fee arrangements that could permit the Funds to realize economies of scale without compromising the quality of services. The Independent Trustees discussed the specific investment management process that was employed by each Subadvisor in managing the assets that were allocated to the Subadvisor (which had been discussed with each Subadvisor previously), the qualifications, experience, and capabilities of the Subadvisor’s management and other personnel responsible for the portfolio management of the applicable Fund; the financial position of the Subadvisor; the quality of the Subadvisor’s regulatory and legal compliance policies and procedures; and the Subadvisor’s brokerage practices. The Independent Trustees considered each Subadvisor’s infrastructure and whether it continued to support the Subadvisor’s investment strategy adequately. The Independent Trustees also discussed the Advisor’s review, selection, and due diligence process with respect to each Subadvisor, and the Advisor’s favorable assessment as to the nature, extent, and quality of the subadvisory services that were provided by the Subadvisor. The Independent Trustees determined that each Fund would continue to benefit from the quality and experience of the portfolio managers of the Fund’s Subadvisors. Based on their consideration and review of the foregoing information, the Independent Trustees concluded that the nature, extent, and quality of the subadvisory services that were provided by each Subadvisor, as well as each Subadvisor’s ability to continue to provide these services based on the Subadvisor’s experience, operations, and resources, were appropriate, and had benefited and will continue to benefit, the applicable Fund and its shareholders.

(b) The costs of the services provided and the profits realized by the Subadvisors and their affiliates from the Subadvisors’ relationships with the Funds. The Independent Trustees considered the review, selection, and due diligence process employed by the Advisor in deciding to recommend each Subadvisor as a subadvisor to the respective Fund. The Independent Trustees took account of the Advisor’s reasons for concluding that the compensation payable to each Subadvisor for its services to the Fund were fair and reasonable, in light of the nature and quality of the services furnished to the Fund, and the Advisor’s recommendation that the Subadvisors be continued, particularly in light of the fact that the Subadvisors’ fees were paid by the Advisor and not by the Funds (or their shareholders), and, thus, payments to the Subadvisors detracted from the Advisor’s profitability. The Independent Trustees reviewed Subadvisor profitability information, to the extent it was provided by the Subadvisors in their responses to the queries in the l5(c) Information Request Letter, but since the fees paid by the Advisor to each Subadvisor were the result of arm’s-length bargaining between unaffiliated parties, and given the Advisor’s economic incentive to negotiate reasonable fees with the Subadvisors, the consideration of each Subadvisor’s profitability was not considered necessary. The Independent Trustees took into account the

169

Mercer Funds
(formerly known as MGI Funds)

Notes to the Financial Statements (Continued)
September 30, 2011 (Unaudited)

Advisor’s ongoing monitoring of the appropriateness and competitiveness of each subadvisory fee and fee structure, as well as the Advisor’s assessment that the subadvisory fee rates charged by each Subadvisor reflected a reasonable fee arrangement, and the Advisor’s continued initiative to implement reduced subadvisory fee schedules with the Subadvisors. The Independent Trustees noted that the subadvisory fees were paid by the Advisor to each Subadvisor and were not additional fees to be borne by the Fund or its shareholders. The Independent Trustees also considered the information supplied by each Subadvisor, in its response to the queries in the l5(c) Information Request Letter, that presented data regarding fees charged to other clients of the Subadvisor. Based on their discussion, the Independent Trustees concluded that, in light of the quality and extent of the services that were provided, the fees paid to each Subadvisor with respect to the assets that were allocated to the Subadvisor appeared to be within a reasonable range.

(c) Ancillary Benefits. The Independent Trustees considered whether there were any ancillary benefits that may accrue to the Subadvisors as a result of their relationships with the Funds. The Independent Trustees concluded that certain Subadvisors may direct Fund brokerage transactions to certain brokers to obtain research and other services. However, the Independent Trustees noted that the Subadvisors were required to select brokers who met the Funds’ requirements for seeking best execution, and that the Advisor monitored and evaluated the Subadvisors’ trade execution with respect to Fund brokerage transactions on a quarterly basis and provided reports to the Board on these matters. The Independent Trustees concluded that the benefits accruing to the Subadvisors by virtue of their relationships with the Funds were reasonable.

(d) The extent to which economies of scale were realized as each Fund grew, and whether fee levels reflected these economies of scale for the benefit of Fund shareholders. The Independent Trustees next discussed economies of scale. The Independent Trustees considered each Subadvisor’s fee schedule for providing services to the applicable Fund, and noted that each Subadvisory Agreement, with the exception of the Subadvisory Agreement with NWQ for the Small Cap Value Fund, included breakpoints that would reduce the Subadvisor’s fees as assets in the applicable Fund increased, which could allow economies of scale to be shared with Fund shareholders.

(e) The investment performance of the Funds and the Subadvisors. The Independent Trustees considered whether each Subadvisor operated within the applicable Fund’s investment objective and style, and considered each Subadvisor’s record of compliance with the Fund’s relevant investment restrictions. The Independent Trustees also considered the Advisor’s conclusions, and the reasons supporting the Advisor’s conclusions, that the performance record of each Subadvisor supported the approval of its Subadvisory Agreement.

Conclusion. No single factor was determinative to the decisions of the Independent Trustees. Based on these factors, along with the determinations of the Advisor at the conclusion of its review and due diligence process and such other matters as were deemed relevant, the Independent Trustees concluded that the fee rate for each Subadvisor continued to be reasonable in relation to the services that were provided by the Subadvisors to the Funds. As a result, the Independent Trustees unanimously approved the Subadvisory Agreements and recommended to the Board the approval of each Subadvisory Agreement concluded that the approval of the Subadvisory Agreements as being in the best interests of the Funds and their shareholders.


	Mercer Non-US Core Equity Fund — Approval of New Subadvisory Agreement

170

Mercer Funds
(formerly known as MGI Funds)

Notes to the Financial Statements (Continued)
September 30, 2011 (Unaudited)

Proposed William Blair Subadvisory Agreement, the Board was able to draw on its knowledge of the Trust, the Non-US Fund, and the Trust’s other series, as well as the Advisor, and William Blair.

At the June Meeting, the Board, including a majority of the Independent Trustees, considered and approved the Proposed William Blair Subadvisory Agreement. In determining whether to approve the Proposed William Blair Subadvisory Agreement, the Board considered the information received in advance of the Meeting, which included: (i) a copy of a form of Proposed William Blair Subadvisory Agreement; (ii) information regarding the process by which the Advisor had reviewed, selected and recommended William Blair for the Board’s approval, and MIM’s rationale for recommending that William Blair be appointed as a Subadvisor to the Non-US Fund; (iii) information regarding the nature, extent, and quality of the services that William Blair would provide to the Non-US Fund; (iv) information regarding William Blair’s reputation, investment management business, personnel, prior investment experience and operations; (v) information regarding William Blair’s brokerage and trading policies and practices; (vi) information regarding the level of subadvisory fees to be charged by William Blair to comparable mutual funds and institutional separate accounts that William Blair managed; (vii) information regarding William Blair’s compliance program; (viii) information regarding William Blair’s historical performance returns managing an investment mandate similar to the Non-US Fund’s investment mandate, and such performance compared to a relevant index; and (ix) information regarding William Blair’s financial condition. The Board also considered the substance of discussions with representatives of the Advisor and William Blair at the June Meeting.

When considering the approval of the Proposed William Blair Subadvisory Agreement, the Independent Trustees reviewed and analyzed the factors that the Board deemed relevant with respect to William Blair, including: the nature, extent, and quality of the services to be provided to the Non-US Fund; William Blair’s management style; the historical performance record of William Blair in managing pooled investment products similar to the Non-US Fund; the qualifications and experience of the investment professionals at William Blair who will be responsible for the day-to-day management of William Blair’s allocated portion of the Non-US Fund’s investment portfolio; and William Blair’s staffing levels and overall resources. Additionally, the Board reviewed materials supplied by counsel that were prepared for use by the Board in fulfilling its duties under the 1940 Act.

In examining the nature, extent and quality of the services to be provided by William Blair to the Non-US Fund, the Board considered: the specific investment management process and strategy to be employed by William Blair in managing its allocated portion of the assets of the Fund; the qualifications of William Blair’s investment professionals with regard to implementing the investment mandate similar to the Non-US Fund’s investment mandate; the performance record of William Blair’s strategy as compared to a relevant benchmark; and the infrastructure of William Blair and whether that infrastructure appeared to adequately support William Blair’s investment strategy. The Board also discussed the Advisor’s review, selection and due diligence process and the Advisor’s favorable assessment as to the nature, extent, and quality of the subadvisory services expected to be provided to the Non-US Fund by William Blair.

The Board concluded that the Non-US Fund and its shareholders would benefit from the quality and experience of the members of William Blair’s portfolio managers and the qualifications of its investment professionals. Based on the Board’s consideration and review of the foregoing information, the Independent Trustees concluded that the nature, extent, and quality of the subadvisory services anticipated to be provided by William Blair to the Non-US Fund, as well as William Blair’s ability to render such services based on William Blair’s experience, operations, and resources, were appropriate for the Non-US Fund, in light of the Fund’s investment objective, and the mandate relating to the allocated portion of the Non-US Fund’s investment portfolio that William Blair would manage.

The Independent Trustees considered the services that would be rendered by William Blair and evaluated the compensation to be paid to William Blair by the Advisor for those services. The Independent Trustees noted that the services that William Blair would furnish to the Non-US Fund appeared to be comparable to the services that William Blair currently provides to its other advisory and subadvisory clients. The Independent Trustees also

171

Mercer Funds
(formerly known as MGI Funds)

Notes to the Financial Statements (Continued)
September 30, 2011 (Unaudited)

considered comparisons of the fees that will be paid to William Blair by the Advisor in light of the fees that were charged by William Blair to its other advisory clients. The Independent Trustees noted that William Blair presently serves as a subadvisor to fifteen investment companies.

The Independent Trustees concluded that the proposed subadvisory fee that will be payable to William Blair appeared to compare favorably to the fees charged by William Blair to its other investment company clients. The Independent Trustees also noted that, while William Blair’s fee schedule did include breakpoints, this would not be relevant to the shareholders of the Non-US Fund, as the Advisor would pay William Blair’s fees. In addition, the Independent Trustees considered the review, selection, and due diligence process employed by the Advisor, as discussed at this Meeting, in determining to recommend William Blair to serve as a Subadvisor to the Non-US Fund, and the Advisor’s reasons for concluding that the subadvisory fees to be paid by MIM to William Blair for its services to the Non-US Fund were reasonable. The Independent Trustees emphasized in their discussions that the subadvisory fees of William Blair would be paid by the Advisor, and were not additional fees to be borne by the Non-US Fund or its shareholders. Based on their discussion, the Independent Trustees concluded that, in light of the nature, quality, and extent of the services to be provided, the proposed fees to be paid to William Blair with respect to the assets of the Non-US Fund to be allocated to William Blair appeared to be within a reasonable range.

The Independent Trustees also considered the potential “fallout” or ancillary benefits that may accrue to William Blair from its relationship with the Non-US Fund and concluded that they were reasonable.

Since the fees to be paid to William Blair 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 William Blair was not considered relevant to the Independent Trustees’ deliberations. The Independent Trustees took note of the Advisor’s explanation, earlier in the Meeting, that the recommended appointment of William Blair was not affected by the impact that the appointment would have on MIM’s revenues and profitability, and recalled that the Advisor had demonstrated that the appointment of William Blair may allow the Advisor to reach profitability when managing the Non-US Fund slightly more quickly. On the basis of these considerations, the Independent Trustees concluded that, in light of the nature, extent, and quality of the services expected to be provided by William Blair and the proposed fees to be paid to William Blair by MIM for managing its allocated portion of the Non-US Fund, the potential benefits accruing to William Blair as a result of serving as a Subadvisor to the Non-US Fund were reasonable.

The Independent Trustees noted that William Blair previously had not managed an allocated portion of the Non-US Fund’s investment portfolio, and therefore, the Independent Trustees could not consider William Blair’s investment performance in managing the Fund as a factor in evaluating the Proposed William Blair Subadvisory Agreement. However, the Independent Trustees considered William Blair’s historical investment performance record, utilizing the investment strategy in managing institutional separate accounts and advising and subadvising other registered investment companies that were comparable to the Non-US Fund. The Independent Trustees also compared the historical investment performance of the strategy to relevant benchmarks. The Board concluded that William Blair’s historical performance record, viewed together with the other factors considered by the Independent Trustees, supported a decision to approve the Proposed Subadvisory Agreement.

The Independent Trustees also considered MIM’s recommendation that the hiring of William Blair as a Subadvisor to the Non-US Fund would allow the Fund to continue to maintain the desired exposure to emerging markets securities. The Independent Trustees also considered the Advisor’s explanation of why MIM anticipated that the addition of the William Blair would improve the Fund’s risk/return profile, resulting in slightly higher excess return expectations (commensurate with the slight increase in tracking error). The Independent Trustees also discussed that the addition of William Blair would not require any reallocation of the Non-US Fund’s assets from three of the Fund’s five current Subadvisors, and would be accomplished by a small reallocation from Arrowstreet and Lazard. The Independent Trustees also considered that the Advisor could accomplish the transition efficiently and economically.

172

Mercer Funds
(formerly known as MGI Funds)

Notes to the Financial Statements (Continued)
September 30, 2011 (Unaudited)

In considering the materials and information described above, the Independent Trustees received assistance from, and met separately with, their independent legal counsel, and were provided with and discussed a description of their statutory responsibilities and the legal standards that are applicable to the approval of investment advisory and subadvisory agreements.

After full consideration of the factors discussed above, no single factor was identified as being determinative to the Independent 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 William Blair to supplement Lazard, and such other matters as were deemed relevant, the Independent Trustees concluded that the proposed fee rate for William Blair was reasonable in relation to the services that would be provided to the Non-US Fund. As a result, the Board, including a majority of the Independent Trustees approved unanimously the Proposed William Blair Subadvisory Agreement.


	Mercer Core Opportunistic Fixed Income Fund — Approval of New Subadvisory Agreement

At the meeting of the Board of Trustees (the “Board” or the “Trustees”) of Mercer Funds (the “Trust”) held on March 1-2, 2011 (the “March Meeting”), the Trustees, including the Trustees who are not “interested persons” (as that term is defined in the Investment Company Act of 1940, as amended (the “1940 Act”)) of the Trust or Mercer Investment Management, Inc., the Trust’s investment advisor (the “Advisor” or “MIM”) (together, the “Independent Trustees”), considered and approved the proposed subadvisory agreement (the “Proposed Dodge & Cox Subadvisory Agreement”) between the Advisor and Dodge & Cox (“Dodge & Cox”) with respect to the Mercer Core Opportunistic Fixed Income Fund (the “Core Fixed Income Fund”). In considering the approval of the Proposed Dodge & Cox Subadvisory Agreement, the Board was able to draw on its knowledge of the Trust, the Core Fixed Income Fund, and the Trust’s other series, as well as the Advisor, and Dodge & Cox.

At the March Meeting, the Board, including a majority of the Independent Trustees, considered and approved the Proposed Dodge & Cox Subadvisory Agreement. In determining whether to approve the Proposed Dodge & Cox Subadvisory Agreement, the Board considered the information received in advance of the Meeting, which included: (i) a copy of a form of Proposed Dodge & Cox Subadvisory Agreement; (ii) information regarding the process by which the Advisor had reviewed, selected and recommended Dodge & Cox for the Board’s approval, and MIM’s rationale for recommending that Dodge & Cox be appointed as a Subadvisor to the Core Fixed Income Fund, replacing Blackrock Financial Management, Inc.; (iii) information regarding the nature, extent, and quality of the services that Dodge & Cox would provide to the Core Fixed Income Fund; (iv) information regarding Dodge & Cox’s reputation, investment management business, personnel, prior investment experience and operations; (v) information regarding Dodge & Cox’s brokerage and trading policies and practices; (vi) information regarding the level of subadvisory fees to be charged by Dodge & Cox to comparable mutual funds and institutional separate accounts that Dodge & Cox managed; (vii) information regarding Dodge & Cox’s compliance program; (viii) information regarding Dodge & Cox’s historical performance returns managing an investment mandate similar to the Core Fixed Income Fund’s investment mandate, and such performance compared to a relevant index; and (ix) information regarding Dodge & Cox’s financial condition. The Board also considered the substance of discussions with representatives of the Advisor and Dodge & Cox at the March Meeting.

When considering the approval of the Proposed Dodge & Cox Subadvisory Agreement, the Independent Trustees reviewed and analyzed the factors that the Board deemed relevant with respect to Dodge & Cox, including: the nature, extent, and quality of the services to be provided to the Core Fixed Income Fund; Dodge & Cox’s management style and investment decision-making process; the historical performance record of Dodge & Cox in managing investment products similar to the Core Fixed Income Fund; the qualifications and experience of the members of Dodge & Cox’s portfolio management team and its Policy Committee and Dodge & Cox’s staffing levels and overall resources. Additionally, the Board reviewed materials supplied by counsel that were prepared for use by the Board in fulfilling its duties under the 1940 Act.

173

Mercer Funds
(formerly known as MGI Funds)

Notes to the Financial Statements (Continued)
September 30, 2011 (Unaudited)

In examining the nature, extent and quality of the services to be provided by Dodge & Cox to the Core Fixed Income Fund, the Independent Trustees considered: the specific investment management process to be employed by Dodge & Cox in managing its allocated portion of the assets of the Fund; the qualifications of Dodge & Cox’s portfolio managers and investment management personnel with regard to implementing the investment mandate similar to the Core Fixed Income Fund’s investment mandate; the favorable performance record of Dodge & Cox as compared to a relevant benchmark; and the infrastructure and resources of Dodge & Cox and whether that infrastructure and resources appeared to adequately support Dodge & Cox’s investment strategy. The Independent Trustees also discussed the Advisor’s review, selection and due diligence process and the Advisor’s favorable assessment as to the nature, extent, and quality of the subadvisory services expected to be provided to the Core Fixed Income Fund by Dodge & Cox.

The Board concluded that the Core Fixed Income Fund and its shareholders would benefit from the quality and experience of the members of Dodge & Cox’s portfolio managers and the qualifications of its investment professionals. Based on the Board’s consideration and review of the foregoing information, the Independent Trustees concluded that the nature, extent, and quality of the subadvisory services anticipated to be provided by Dodge & Cox to the Core Fixed Income Fund, as well as Dodge & Cox’s ability to render such services based on Dodge & Cox’s experience, operations, and resources, were appropriate for the Core Fixed Income Fund, in light of the Fund’s investment objective, and the mandate relating to the allocated portion of the Core Fixed Income Fund’s investment portfolio that Dodge & Cox would manage.

The Independent Trustees considered the services that would be rendered by Dodge & Cox and evaluated the compensation to be paid to Dodge & Cox by the Advisor for those services. The Independent Trustees noted that the services that Dodge & Cox would furnish to the Core Fixed Income Fund appeared to be comparable to the services that Dodge & Cox currently provides to its other advisory and subadvisory clients. The Independent Trustees also considered comparisons of the fees that will be paid to Dodge & Cox by the Advisor in light of the fees that were charged by Dodge & Cox to its other advisory clients. The Independent Trustees noted that this will be the first time Dodge & Cox subadvised a mutual fund that was not a part of the Dodge & Cox Funds, and that Dodge and Cox was comfortable with this role.

The Independent Trustees concluded that the proposed subadvisory fee that will be payable to Dodge & Cox appeared to compare favorably to the fees charged by Dodge & Cox to its other investment company clients. The Independent Trustees also noted that, while Dodge & Cox’s fee schedule did include breakpoints, this would not be relevant to the shareholders of the Core Fixed Income Fund, as the Advisor would pay Dodge & Cox’s fees. In addition, the Independent Trustees considered the review, selection, and due diligence process employed by the Advisor, as discussed at this Meeting, in determining to recommend Dodge & Cox to serve as a Subadvisor to the Core Fixed Income Fund, and the Advisor’s reasons for concluding that the subadvisory fees to be paid by MIM to Dodge & Cox for its services to the Core Fixed Income Fund were reasonable. The Independent Trustees emphasized in their discussions that the subadvisory fees of Dodge & Cox would be paid by the Advisor, and were not additional fees to be borne by the Core Fixed Income Fund or its shareholders. Based on their discussion, the Independent Trustees concluded that, in light of the nature, quality, and extent of the services to be provided, the proposed fees to be paid to Dodge & Cox with respect to the assets of the Core Fixed Income Fund to be allocated to Dodge & Cox appeared to be within a reasonable range.

The Independent Trustees also considered the potential “fallout” or ancillary benefits that may accrue to Dodge & Cox from its relationship with the Core Fixed Income Fund and concluded that they were reasonable.

Since the fees to be paid to Dodge & Cox 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 Dodge & Cox was not considered relevant to the Independent Trustees’ deliberations. The Independent Trustees took note of the Advisor’s explanation, earlier in the Meeting, that the recommended appointment of Dodge & Cox was not affected by the impact that the appointment would have on MIM’s revenues and profitability, and recalled that the Advisor had demonstrated that the appointment of Dodge & Cox may allow the Advisor to reach

174

Mercer Funds
(formerly known as MGI Funds)

Notes to the Financial Statements (Continued)
September 30, 2011 (Unaudited)

profitability when managing the Core Fixed Income Fund slightly more quickly. On the basis of these considerations, the Independent Trustees concluded that, in light of the nature, extent, and quality of the services expected to be provided by Dodge & Cox and the proposed fees to be paid to Dodge & Cox by MIM for managing its allocated portion of the Core Fixed Income Fund, the potential benefits accruing to Dodge & Cox as a result of serving as a Subadvisor to the Core Fixed Income Fund were reasonable.

The Independent Trustees noted that Dodge & Cox previously had not managed an allocated portion of the Core Fixed Income Fund’s investment portfolio, and therefore, the Independent Trustees could not consider Dodge & Cox’s investment performance in managing the Fund as a factor in evaluating the Proposed Dodge & Cox Subadvisory Agreement. However, the Independent Trustees considered Dodge & Cox’s historical investment performance record, utilizing the investment strategy in managing institutional separate accounts and advising and subadvising other registered investment companies that were comparable to the Core Fixed Income Fund. The Independent Trustees also compared the historical investment performance of the strategy to a relevant benchmark. The Board concluded that Dodge & Cox’s historical performance record, viewed together with the other factors considered by the Independent Trustees, supported a decision to approve the Proposed Dodge & Cox Subadvisory Agreement.

The Independent Trustees also considered MIM’s recommendation that the hiring of Dodge & Cox as a Subadvisor to the Core Fixed Income Fund, replacing Blackrock, would more effectively complement the Core Fixed Income Fund’s three other subadvisors, and thereby add value. The Independent Trustees also considered the Advisor’s explanation of why MIM anticipated that the addition of Dodge & Cox would improve the Fund’s returns. The Independent Trustees also discussed that the addition of Dodge & Cox, replacing Blackrock would not require any reallocation of the Core Fixed Income Fund’s assets from each of the Fund’s three current Subadvisors. The Independent Trustees also considered that the Advisor could accomplish the transition efficiently and economically.

After full consideration of the factors discussed above, no single factor was identified as being determinative to the Independent 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 Dodge & Cox replace Blackrock, and such other matters as were deemed relevant, the Independent Trustees concluded that the proposed fee rate for Dodge & Cox was reasonable in relation to the services that would be provided to the Core Fixed Income Fund. As a result, the Board, including a majority of the Independent Trustees approved unanimously the Proposed Dodge & Cox Subadvisory Agreement.

175

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 April 1, 2011 through September 30, 2011. 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


									Operating
	Expense		Beginning		Ending		Avg		Expense
	Ratio		Amount		Value		Value		Incurred*
Actual		0.57%		1,000.00		853.20		926.60		2.64
Hypothetical		0.57%		1,000.00		1,022.15		1,011.08		2.88


*		Actual expenses are equal to the Class’ annualized expense ratio of 0.57%, multiplied by the average account value over the period, multiplied by 183/366

Large Cap Value — Class Y-3

Hypothetical Return on $1,000


									Operating
	Expense		Beginning		Ending		Avg		Expense
	Ratio		Amount		Value		Value		Incurred*
Actual		0.55%		1,000.00		846.10		923.05		2.54
Hypothetical		0.55%		1,000.00		1,022.25		1,011.13		2.78


*		Actual expenses are equal to the Class’ annualized expense ratio of 0.55%, multiplied by the average account value over the period, multiplied by 183/366

Small/Mid Cap Growth — Class Y-3

Hypothetical Return on $1,000


									Operating
	Expense		Beginning		Ending		Avg		Expense
	Ratio		Amount		Value		Value		Incurred*
Actual		0.92%		1,000.00		796.60		898.30		4.13
Hypothetical		0.92%		1,000.00		1,020.40		1,010.20		4.65


*		Actual expenses are equal to the Class’ annualized expense ratio of 0.92%, multiplied by the average account value over the period, multiplied by 183/366

176

Mercer Funds

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

Small/Mid Cap Value — Class Y-3

Hypothetical Return on $1,000


									Operating
	Expense		Beginning		Ending		Avg		Expense
	Ratio		Amount		Value		Value		Incurred*
Actual		0.92%		1,000.00		777.30		888.65		4.09
Hypothetical		0.92%		1,000.00		1,020.40		1,010.20		4.65


*		Actual expenses are equal to the Class’ annualized expense ratio of 0.92%, multiplied by the average account value over the period, multiplied by 183/366

Non-US Core Equity — Class Y-3

Hypothetical Return on $1,000


									Operating
	Expense		Beginning		Ending		Avg		Expense
	Ratio		Amount		Value		Value		Incurred*
Actual		0.82%		1,000.00		826.00		913.00		3.74
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

Core Opportunistic — Class Y-3

Hypothetical Return on $1,000


									Operating
	Expense		Beginning		Ending		Avg		Expense
	Ratio		Amount		Value		Value		Incurred*
Actual		0.37%		1,000.00		1,041.10		1,020.55		1.89
Hypothetical		0.37%		1,000.00		1,023.15		1,011.58		1.87


*		Actual expenses are equal to the Class’ annualized expense ratio of 0.37%, multiplied by the average account value over the period, multiplied by 183/366

Short Maturity — Class Y3

Hypothetical Return on $1,000


									Operating
	Expense		Beginning		Ending		Avg		Expense
	Ratio		Amount		Value		Value		Incurred*
Actual		0.32%		1,000.00		1,012.60		1,006.30		1.61
Hypothetical		0.32%		1,000.00		1,023.40		1,011.70		1.62


*		Actual expenses are equal to the Class’ annualized expense ratio of 0.32%, multiplied by the average account value over the period, multiplied by 183/366

177

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 866-658-9896, or on the SEC website at www.sec.gov.

Independent Trustees

Number of

Term of

Portfolios

Office⁽¹⁾ and

in Fund

Other

Position(s)

Length of

Principal

Complex*

Directorships

Name, Address

Held with

Time

Occupation(s) During

Overseen

Held by

and Age

Trust

Served

Past 5 Years

by Trustee

Trustee

Harrison M. Bains, Jr.
99 High Street
Boston, MA 02110
(68)

Trustee

Trustee
Since 2005

Mr. Bains is retired.

Mr. Bains is a director of BG Medicine, Inc. and the Bank of America Funds.

Adela M. Cepeda
A.C. Advisory, Inc.
150 North Wacker Drive, Suite 2160
Chicago, IL 60606
(53)

Chairperson and
Trustee

Chairperson
Since 2011,
Trustee
Since 2005

Ms. Cepeda is Founder and President of A.C. Advisory, Inc. (a financial advisory firm) since 1995.

Ms. Cepeda is a director of The UBS Funds, UBS Relationship Funds, Fort Dearborn Income Securities, Inc., SMA Relationship Trust, Consulting Group Capital Markets Funds, and the Amalgamated Bank of Chicago.

Gail A. Schneider
99 High Street
Boston, MA 02110
(63)

Trustee

Since 2009

Ms. Schneider is a self-employed consultant since 2007. From 2002 to 2007, Ms. Schneider was retired.

None

178

Mercer Funds

Trustees and Officers (Unaudited) (Continued)

Officers:

The executive officers of the Trust not named above are:


		Term of
		Office† and
	Position(s)	Length of
	Held with	Time
Name and Age	the Trust	Served	Principal Occupation(s) During Past 5 Years
Tom Murphy (40)	Vice President and Chief Investment Officer	Since 2011	Mr. Murphy is President and Chief Investment Officer of Mercer Investment Management, Inc. since 2011. Previously, Mr. Murphy was a Business Leader for Mercer Investment Management in EMEA since 2006.
Richard S. Joseph (46)	Vice President, Treasurer, and Chief Financial Officer	Since 2005	Mr. Joseph is Chief Operating Officer, Mercer Investment Management, Inc. since 2005. Mr. Joseph was Chief Operating Officer of Pioneer Investments from March 2004 to June 2004, and Chief Operating Officer of AdvisorCentral LLC from 2001 to 2004.
Scott M. Zoltowski (42)	Vice President, Chief Legal Officer and Secretary	Since 2008	Mr. Zoltowski is a partner of Mercer (US) Inc. and serves as Global Chief Counsel – Investments, for Mercer Investment Management, Inc. and Mercer Investment Consulting, Inc. Mr. Zoltowski was Senior Counsel and Vice President for State Street Global Advisors (2006-2008) and State Street Bank and Trust Company (2004-2006).
Colin Dean (34)	Vice President and Assistant Secretary	Since 2010	Mr. Dean has served as Legal Counsel – Investments for Mercer Investment Management, Inc. since 2010. Prior to that, Mr. Dean was an Associate at Dechert LLP (2007-2010) and Associate Counsel at Affiliated Managers Group, Inc. (2005-2007).
Christopher Ray (48)	Vice President	Since 2006	Mr. Ray is a Vice President and Portfolio Manager of Mercer Investment Management, Inc. since 2005. From 1986 to 2005, Mr. Ray held several positions with Putnam Investments, including senior vice president, consultant relations manager, and fixed income portfolio manager.
Ian Dillon (45)	Vice President	Since 2008	Mr. Dillon is a Portfolio Manager and Principal of Mercer Global Investments Canada Limited since 2006. From 2004 to 2006, Mr. Dillon was Chief Investment Strategist of Altamira Financial Services, Ltd.
Manny Weiss (62)	Vice President	Since 2010	Mr. Weiss is a Portfolio Manager and Principal of Mercer Investment Management, Inc. since 2009. From 2006 to 2008, Mr. Weiss worked for 21 Capital Group, an affiliate of Old Mutual Asset Management, in Hedge Fund Manager Research and Client Service.
Wil Berglund (40)	Vice President	Since 2010	Mr. Berglund is a Portfolio Manager and Principal of Mercer Investment Management, Inc. since 2009. From 2000 to 2008, Mr. Berglund held several positions with Putnam Investments including fixed income portfolio manager.
Mark Gilbert (39)	Vice President and Chief Compliance Officer	Since 2011	Mr. Gilbert is the Chief Compliance Officer of Mercer Investment Management, Inc. since 2011. He previously held the position of Americas Compliance Leader – Investments since 2007. Prior to 2007, Mr. Gilbert was Chief Compliance Officer of AmSouth Investment Management Company LLC and AmSouth Asset Management, Inc.


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

180


Item 2.		Code of Ethics.

Not applicable.


Item 3.		Audit Committee Financial Expert.

Not applicable.


Item 4.		Principal Accountant Fees and Services.

Not applicable.


Item 5.		Audit Committee of Listed Registrants.

Not applicable.


Item 6.		Schedule of Investments.

Not applicable.


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 7(d)(2)(ii)(G) 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) Not applicable.

(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 (formerly known as MGI Funds)


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


Date		November 30, 2011

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		November 30, 2011


By (Signature and Title)		By: /s/ Richard S. Joseph Richard S. Joseph
		Vice President, Treasurer and Principal Accounting Officer
		(Principal Financial Officer)


Date		November 30, 2011


	Item 1. Reports to Stockholders
	Item 2. Code of Ethics
	Item 3. Audit Committee Financial Expert
	Item 4. Principal Accountant Fees and Services
	Item 5. Audit Committee of Listed Registrants
	Item 6. Schedule of Investments
	Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
	Item 8. Portfolio Managers of Closed-End Investment Companies
	Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
	Item 10. Submission of Matters to a Vote of Security Holders
	Item 11. Controls and Procedures
	Item 12. Exhibits
SIGNATURES


		Page
Schedules of Investments		1
Statements of Assets and Liabilities		121
Statements of Operations		124
Statements of Changes in Net Assets		126
Financial Highlights		130
Notes to the Financial Statements		137
Understanding Your Fund’s Expenses		176
Trustees and Officers		178


Asset Class Summary (Unaudited)	% of Total Net Assets
Common Stocks		97.4
Short-Term Investments		2.3
Other Assets and Liabilities (net)		0.3

		100.0	%


Industry Sector Summary (Unaudited)	% of Total Net Assets
Office & Business Equipment		0.3
Leisure Time		0.2
Lodging		0.2
Machinery — Diversified		0.2
Environmental Control		0.1
Hand & Machine Tools		0.1
Investment Companies		0.1
REITS		0.1
Toys, Games & Hobbies		0.1
Coal		0.0
Energy-Alternate Sources		0.0
Forest Products & Paper		0.0
Packaging & Containers		0.0
Textiles		0.0
Water		0.0
Short-Term Investments and Other Assets and Liabilities (net)		2.6

		100.0	%


				Notes to Schedule of Investments:


				† Floating rate note. Rate shown is as of September 30, 2011.

				†† 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.

				‡ Zero coupon bond

				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 $79,440,695 which represents 7.7% of net assets.


Notional Amount		Expiration Date		Counterparty		Value
	8,500,000		06/20/15		Barclay’s Capital, Inc.	$	57,588
	1,600,000		12/20/19		Bank of America N.A.		(47,906	)
	4,400,000		03/20/21		Goldman Sachs International		2,610
	1,300,000		12/20/19		UBS AG		(38,924	)
	900,000		03/20/16		Deutsche Bank AG		68,760
	1,400,000		03/20/16		Morgan Stanley Capital Services, Inc.		106,960
	400,000		12/20/15		Deutsche Bank AG		23,957

						$	173,045


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

*		The “Fund Complex” consists of the Trust, which has seven portfolios.

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


Item 1.		Reports to Stockholders.